def _ideal_fiat_value_per_coin(self, market_state: MarketState) -> float:
"""We define "ideal" value as total value (in fiat) / # of available
coins (including fiat).
"""
total_value = market_state.estimate_total_value(
market_state.balances, self.fiat)
num_coins = len(market_state.available_coins())
return total_value / num_coins
def reify_trade(
cls,
trade: AbstractTrade,
market_state: MarketState,
) -> List[Order]:
"""Given an abstract trade, return a list of concrete orders that will
accomplish the higher-level transaction described.
"""
markets = market_state.available_markets()
market = format_currency_pair(trade.sell_coin, trade.buy_coin)
if market not in markets:
market = format_currency_pair(trade.buy_coin, trade.sell_coin)
if market not in markets:
raise NoMarketAvailableError(
f'No market available between {trade.sell_coin} and '
f'{trade.buy_coin} and indirect trades are not yet supported'
)
base, quote = split_currency_pair(market)
# Price is given as base currency / quote currency
price = market_state.price(market)
# Order amount is given with respect to the quote currency
quote_amount = market_state.estimate_value(
trade.reference_coin,
trade.reference_value,
quote,
)
# Order direction is given with respect to the quote currency
if trade.sell_coin == base:
# Buy quote currency; sell base currency
direction = Order.Direction.BUY
elif trade.sell_coin == quote:
# Sell quote currency; buy quote currency
direction = Order.Direction.SELL
else:
raise
return [
Order(
market,
price,
quote_amount,
direction,
OrderType.fill_or_kill,
)
]
def sell_to_achieve_value_of(
self,
desired_value: float,
market_state: MarketState,
) -> None:
'''
Sets `self.sell_amount`, `self.buy_amount`, `self.price`
such that the proposed trade would leave us with a
holding of `desired_value`.
'''
self.estimate_price(market_state)
if not self.price:
logger.error(
'Must set a price for ProposedTrade, or pass a chart object '
'into estimate_price_with')
raise
# After rebalance, we want the value of the coin we're trading to
# to be equal to the ideal value (in fiat).
# First we'll find the value of the coin we currently hold.
current_value = market_state.balance(self.sell_coin) * self.price
# To find how much coin we want to sell,
# we'll subtract our holding's value from the ideal value
# to produce the value of coin we must sell
value_to_sell = current_value - desired_value
# Now we find the amount of coin equal to this value
amount_to_sell = value_to_sell / self.price
self.set_sell_amount(amount_to_sell, market_state)
def test_simulate_trades():
trades = [
# Sell 0.5 BTC worth of BTC to buy ETH
# -0.5 BTC, +6.737858883631113 ETH
AbstractTrade('BTC', 'ETH', 'BTC', 0.5),
# Sell 5 BCH worth of BTC to buy ETH
# -0.60083005 BTC, +8.096616179890052 ETH
AbstractTrade('BTC', 'ETH', 'BCH', 5),
# Sell 1 ETH worth of ETH to buy BCH
# -1 ETH, +0.612798695395699 BCH
AbstractTrade('ETH', 'BCH', 'ETH', 1),
]
chart_data = {
'BTC_ETH': {
'weighted_average': 0.07420755
}, # BTC/ETH
'BTC_BCH': {
'weighted_average': 0.12016601
}, # BTC/BCH
'ETH_BCH': {
'weighted_average': 1.63185726
}, # ETH/BCH
}
balances = {'BTC': 8}
state = MarketState(chart_data, balances, datetime.now(), 'BTC')
result = simulate_trades(trades, state)
assert result == {
'BCH': 0.612798695395699,
'BTC': 6.89916995,
'ETH': 13.834475063521165,
}
def propose_trades_for_total_rebalancing(
self,
market_state: MarketState,
) -> List[AbstractTrade]:
"""A total rebalancing should get us as close as possible to an equal
distribution of value (w/r/t `self.fiat`) across all "reachable"
markets (those in which the base currency is `self.fiat`).
"""
ideal_fiat_value_per_coin = self._ideal_fiat_value_per_coin(
market_state)
est_values = market_state.estimate_values(market_state.balances,
self.fiat)
coins_to_sell = {}
coins_to_buy = {}
for coin in sorted(self._possible_investments(market_state)):
value = est_values.get(coin, 0)
delta = value - ideal_fiat_value_per_coin
if delta > 0:
coins_to_sell[coin] = delta
elif delta < 0:
coins_to_buy[coin] = abs(delta)
trades_to_fiat = [
AbstractTrade(sell_coin, self.fiat, self.fiat, fiat_value)
for sell_coin, fiat_value in coins_to_sell.items()
]
trades_from_fiat = [
AbstractTrade(self.fiat, buy_coin, self.fiat, fiat_value)
for buy_coin, fiat_value in coins_to_buy.items()
]
return trades_to_fiat + trades_from_fiat
def _possible_investments(self,
market_state: MarketState) -> FrozenSet[str]:
'''
Returns a set of all coins that the strategy might invest in, excluding
`self.fiat`.
'''
return market_state.available_coins() - {self.fiat}
def __init__(
self,
history: MarketHistory,
initial_balances: Dict[str, float],
fiat: str,
) -> None:
self.market_history = history
self.fiat = fiat
self.market_state = MarketState(None, initial_balances, None,
self.fiat)
def state():
chart_data = {
'BTC_ETH': {
'weighted_average': 0.07096974
},
'ETH_BCH': {
'weighted_average': 1.84201100
},
}
balances = {}
return MarketState(chart_data, balances, datetime.now(), 'BTC')
def market_state():
chart_data = {
'BTC_ETH': {
'weighted_average': 0.07420755
}, # BTC/ETH
'BTC_BCH': {
'weighted_average': 0.12016601
}, # BTC/BCH
'ETH_BCH': {
'weighted_average': 1.63185726
}, # ETH/BCH
}
return MarketState(chart_data, {}, datetime.now(), 'BTC')
def rebalancing_proposed_trades(
self,
coins_to_rebalance: List[str],
market_state: MarketState,
) -> List[ProposedTrade]:
possible_investments = self._possible_investments(market_state)
total_value = market_state.estimate_total_value()
ideal_fiat_value_per_coin = total_value / len(possible_investments)
proposed_trades_to_fiat = list(
self._propose_trades_to_fiat(coins_to_rebalance,
ideal_fiat_value_per_coin,
market_state))
# Next, we will simulate actually executing all of these trades
# Afterward, we'll get some simulated balances
est_bals_after_fiat_trades = market_state.simulate_trades(
proposed_trades_to_fiat)
if self.fiat in coins_to_rebalance and len(
proposed_trades_to_fiat) > 0:
fiat_after_trades = est_bals_after_fiat_trades[self.fiat]
to_redistribute = fiat_after_trades - ideal_fiat_value_per_coin
coins_divested_from = [
proposed.sell_coin for proposed in proposed_trades_to_fiat
]
coins_to_buy = possible_investments - set(coins_divested_from) - {
self.fiat
}
to_redistribute_per_coin = to_redistribute / len(coins_to_buy)
proposed_trades_from_fiat = self._propose_trades_from_fiat(
coins_to_buy, to_redistribute_per_coin, market_state)
trades = proposed_trades_to_fiat + list(proposed_trades_from_fiat)
return trades
return proposed_trades_to_fiat
def simulate_trades(
trades: List[AbstractTrade],
market_state: MarketState,
) -> Dict[str, float]:
"""
"""
new = market_state.balances.copy()
for trade in trades:
sell_amount = market_state.estimate_value(
trade.reference_coin,
trade.reference_value,
trade.sell_coin,
)
new[trade.sell_coin] = new.get(trade.sell_coin, 0) - sell_amount
buy_amount = market_state.estimate_value(
trade.sell_coin,
sell_amount,
trade.buy_coin,
)
new[trade.buy_coin] = new.get(trade.buy_coin, 0) + buy_amount
return new
def estimate_price(self, market_state: MarketState):
'''
Sets the approximate price of the quote value, given some chart data.
'''
base_price = market_state.price(self.market_name)
# The price (when buying/selling)
# should match the self.market_name.
# So, we keep around a self.market_price to match
# self.price is always in the quote currency.
self.market_price = base_price
# Now, we find out what price matters for our trade.
# The base price is always in the base currency,
# So we will need to figure out if we are trading from,
# or to, this base currency.
if self.buy_coin == self.market_base_currency:
self.price = 1 / base_price
else:
self.price = base_price
def get_market_state(self, time: datetime) -> MarketState:
# Get the latest chart data from the market
charts = self.market_history.latest(time)
balances = self.get_balances()
self.market_state = MarketState(charts, balances, time, self.fiat)
return self.market_state
def propose_trades_for_partial_rebalancing(
self,
market_state: MarketState,
coins_to_rebalance: FrozenSet[str],
) -> List[AbstractTrade]:
"""TODO: Trade directly from X to Y without going through fiat.
"""
ideal_fiat_value_per_coin = self._ideal_fiat_value_per_coin(
market_state)
est_values = market_state.estimate_values(market_state.balances,
self.fiat)
# 1) Fan in to fiat, selling excess value in coins we want to rebalance
trades_to_fiat = []
for sell_coin in sorted(coins_to_rebalance):
if sell_coin == self.fiat:
continue
value = est_values.get(sell_coin, 0)
delta = value - ideal_fiat_value_per_coin
if delta > 0:
trades_to_fiat.append(
AbstractTrade(sell_coin, self.fiat, self.fiat, delta), )
# 2) Simulate trades and estimate portfolio state afterwards
est_balances_after_trades = simulate_trades(
trades_to_fiat,
market_state,
)
est_values_after_trades = market_state.estimate_values(
est_balances_after_trades,
self.fiat,
)
fiat_after_trades = est_balances_after_trades[self.fiat]
fiat_to_redistribute = fiat_after_trades - ideal_fiat_value_per_coin
if fiat_to_redistribute <= 0:
return trades_to_fiat
# 3) Find coins in which we don't hold enough value
possible_buys = set()
for buy_coin in self._possible_investments(market_state):
value = est_values_after_trades.get(buy_coin, 0)
if ideal_fiat_value_per_coin > value:
possible_buys.add(buy_coin)
fiat_to_redistribute_per_coin = fiat_to_redistribute / len(
possible_buys)
# 4) Plan trades, fanning back out from fiat to others
trades_from_fiat = []
for buy_coin in sorted(possible_buys):
value = est_values_after_trades.get(buy_coin, 0)
delta = ideal_fiat_value_per_coin - value
if delta > 0:
available_fiat = min(fiat_to_redistribute_per_coin, delta)
trades_from_fiat.append(
AbstractTrade(self.fiat, buy_coin, self.fiat,
available_fiat), )
return trades_to_fiat + trades_from_fiat
