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balancer.py
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balancer.py
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#!/usr/bin/python3
import calendar
import configparser
import datetime
import inspect
import logging
import os
import pickle
import random
import smtplib
import socket
import sys
import time
from email import encoders
from email.mime.base import MIMEBase
from email.mime.multipart import MIMEMultipart
from email.mime.text import MIMEText
from logging.handlers import RotatingFileHandler
from time import sleep
import ccxt
import requests
MIN_ORDER_SIZE = 0.001
MIN_FIAT_ORDER_SIZE = 100
INIT = False
ORDER = None
LAST_ORDER = None
BAL = {'cryptoBalance': 0, 'totalBalanceInCrypto': 0, 'price': 0}
EMAIL_SENT = False
EMAIL_ONLY = False
KEEP_ORDERS = False
NO_LOG = False
SIMULATE = False
DATA_DIR = ''
STARTED = datetime.datetime.utcnow().replace(microsecond=0)
STOP_ERRORS = ['order_size', 'smaller', 'MIN_NOTIONAL', 'nsufficient', 'too low', 'too small', 'not_enough', 'below',
'exceeds account', 'price', 'nvalid arg', 'nvalid orderQty']
ACCOUNT_ERRORS = ['account has been disabled', 'key is disabled', 'authentication failed', 'permission denied',
'invalid api key', 'access denied']
RETRY_MESSAGE = 'Got an error %s %s, retrying in about 5 seconds...'
NOT_IMPLEMENTED_MESSAGE = '%s is not implemented for %s'
NA = 'n/a'
class ExchangeConfig:
def __init__(self):
self.mm_quotes = ['OFF', 'MM', 'MMRange']
self.report_cadences = ['T', 'D', 'M', 'A']
self.mayer_file = f'{DATA_DIR}mayer.avg'
self.api_password = ''
config = configparser.ConfigParser(interpolation=None)
config.read(f'{DATA_DIR}{INSTANCE}.txt')
try:
props = config['config']
self.bot_version = '1.4.5'
self.exchange = str(props['exchange']).strip('"').lower()
self.api_key = str(props['api_key']).strip('"')
self.api_secret = str(props['api_secret']).strip('"')
if config.has_option('config', 'api_password'):
self.api_password = str(props['api_password']).strip('"')
self.test = bool(str(props['test']).strip('"').lower() == 'true')
self.pair = str(props['pair']).strip('"')
self.symbol = str(props['symbol']).strip('"')
self.net_deposits_in_base_currency = abs(float(props['net_deposits_in_base_currency']))
self.start_crypto_price = abs(int(props['start_crypto_price']))
self.start_margin_balance = abs(float(props['start_margin_balance']))
self.start_mayer_multiple = abs(float(props['start_mayer_multiple']))
self.start_date = str(props['start_date']).strip('"').strip()
self.reference_net_deposits = abs(float(props['reference_net_deposits']))
self.crypto_quote_in_percent = abs(float(props['crypto_quote_in_percent']))
self.auto_quote = str(props['auto_quote']).strip('"')
self.mm_quote_0 = abs(float(props['mm_quote_0']))
self.mm_quote_100 = abs(float(props['mm_quote_100']))
self.tolerance_in_percent = abs(float(props['tolerance_in_percent']))
self.period_in_minutes = abs(float(props['period_in_minutes']))
self.trade_trials = abs(int(props['trade_trials']))
self.order_adjust_seconds = abs(int(props['order_adjust_seconds']))
self.trade_advantage_in_percent = float(props['trade_advantage_in_percent'])
self.stop_buy = bool(str(props['stop_buy']).strip('"').lower() == 'true')
self.stop_sell = bool(str(props['stop_sell']).strip('"').lower() == 'true')
self.max_crypto_quote_in_percent = abs(float(props['max_crypto_quote_in_percent']))
self.max_leverage_in_percent = abs(float(props['max_leverage_in_percent']))
self.backtrade_only_on_profit = bool(str(props['backtrade_only_on_profit']).strip('"').lower() == 'true')
self.report = str(props['report']).strip('"')
self.base, self.quote = self.pair.split("/")
if self.auto_quote not in self.mm_quotes:
raise SystemExit(f"Invalid value for auto_quote: '{self.auto_quote}' possible values are: {self.mm_quotes}")
if self.report not in self.report_cadences:
raise SystemExit(f"Invalid value for report: '{self.report}' possible values are: {self.report_cadences}")
self.period_in_seconds = round(self.period_in_minutes * 60)
self.satoshi_factor = 0.00000001
if config.has_option('config', 'mayer_file'):
self.mayer_file = str(props['mayer_file']).strip('"')
self.recipient_addresses = str(props['recipient_addresses']).strip('"').replace(' ', '').split(",")
self.sender_address = str(props['sender_address']).strip('"')
self.sender_password = str(props['sender_password']).strip('"')
self.mail_server = str(props['mail_server']).strip('"')
self.info = str(props['info']).strip('"')
self.url = 'https://bitcoin-schweiz.ch/bot/'
except (configparser.NoSectionError, KeyError):
raise SystemExit(f'Invalid configuration for {INSTANCE}')
class Order:
"""
Holds the relevant data of an order
"""
__slots__ = 'id', 'price', 'amount', 'side', 'datetime'
def __init__(self, ccxt_order, amount_fiat: float = None, amount_crypto: float = None, price: float = None):
if 'id' in ccxt_order:
self.id = ccxt_order['id']
elif 'uuid' in ccxt_order:
self.id = ccxt_order['uuid']
if 'price' in ccxt_order:
self.price = set_price(ccxt_order['price'], price)
elif 'info' in ccxt_order:
self.price = set_price(ccxt_order['info']['price'], price)
if 'amount' in ccxt_order:
self.amount = compute_amount(ccxt_order['amount'], ccxt_order['price'] if 'price' in ccxt_order else None, amount_fiat, amount_crypto)
elif 'info' in ccxt_order:
self.amount = compute_amount(ccxt_order['info']['amount'], ccxt_order['info']['price'], amount_fiat, amount_crypto)
if 'side' in ccxt_order:
self.side = ccxt_order['side']
elif 'direction' in ccxt_order:
self.side = ccxt_order['direction']
elif 'info' in ccxt_order:
self.side = ccxt_order['info']['direction']
if 'datetime' in ccxt_order:
self.datetime = ccxt_order['datetime']
elif 'created_at' in ccxt_order:
self.datetime = ccxt_order['created_at']
elif 'info' in ccxt_order:
self.datetime = ccxt_order['info']['created_at']
def __str__(self):
return f"{self.side}, price: {self.price}, amount: {self.amount}, order id: {self.id}, created: {self.datetime}"
class Stats:
"""
Holds the daily statistics in a ring memory (today plus the previous two)
"""
def __init__(self, day_of_year: int = None, data: dict = None):
self.days = []
if day_of_year and data:
self.add_day(day_of_year, data)
def add_day(self, day_of_year: int, data: dict):
if self.get_day(day_of_year) is None:
data['day'] = day_of_year
if len(self.days) > 2:
self.days = sorted(self.days, key=lambda item: item['day'], reverse=True) # desc
self.days.pop()
self.days.append(data)
def get_day(self, day_of_year: int):
matched = filter(lambda element: element['day'] == day_of_year, self.days)
if matched:
for day in matched:
return day
return None
def function_logger(console_level: int, log_file: str = None, file_level: int = None):
function_name = inspect.stack()[1][3]
logger = logging.getLogger(function_name)
# By default log all messages
logger.setLevel(logging.DEBUG)
# StreamHandler logs to console
ch = logging.StreamHandler()
ch.setLevel(console_level)
ch.setFormatter(logging.Formatter('%(asctime)s: %(message)s', '%Y-%m-%d %H:%M:%S'))
logger.addHandler(ch)
if log_file and file_level:
fh = RotatingFileHandler(f"{log_file}.log", mode='a', maxBytes=5 * 1024 * 1024, backupCount=4, encoding=None,
delay=False)
fh.setLevel(file_level)
fh.setFormatter(logging.Formatter('%(asctime)s - %(lineno)4d - %(levelname)-8s - %(message)s'))
logger.addHandler(fh)
return logger
def compute_amount(ccxt_amount: float = None, price: float = None, amount_fiat: float = None, amount_crypto: float = None):
if CONF.exchange == 'bitmex':
return amount_fiat if amount_fiat is not None else ccxt_amount if \
(not ccxt_amount or ccxt_amount >= MIN_FIAT_ORDER_SIZE or not price) else round(price * ccxt_amount)
return ccxt_amount if ccxt_amount is not None else amount_crypto
def set_price(ccxt_price: float = None, price: float = None):
return round(ccxt_price) if ccxt_price is not None else round(price) if price is not None else None
def fetch_mayer(tries: int = 0):
try:
req = requests.get('https://bitcoinition.com/current.json', timeout=10)
if req.text:
mayer = req.json()['data']
return {'current': float(mayer['current_mayer_multiple']),
'average': float(mayer['average_mayer_multiple'])}
except (requests.exceptions.ConnectionError, requests.exceptions.Timeout, requests.exceptions.ReadTimeout,
ValueError) as error:
LOG.error(RETRY_MESSAGE, type(error).__name__, str(error.args))
if tries < 4:
sleep_for(4, 6)
return fetch_mayer(tries + 1)
LOG.warning('Failed to fetch Mayer multiple, giving up after 4 attempts')
return None
def evaluate_mayer(mayer: dict = None):
if mayer is None:
return 'n/a'
if mayer['current'] < mayer['average']:
return 'BUY'
if mayer['current'] > 2.4:
return 'SELL'
return 'HOLD'
def append_mayer(part: dict):
mayer = fetch_mayer()
advice = evaluate_mayer(mayer)
part['labels'].append("MM")
if mayer is None:
part['mail'].append("Mayer multiple: {:>19} (n/a)".format(advice))
part['csv'].append(NA)
return
if advice == 'HOLD':
part['mail'].append("Mayer multiple: {:>19.2f} (< {:.2f} = {})".format(mayer['current'], 2.4, advice))
elif advice == 'BUY':
part['mail'].append(
"Mayer multiple: {:>19.2f} (< {:.2f} = {})".format(mayer['current'], mayer['average'], advice))
else:
part['mail'].append("Mayer multiple: {:>19.2f} (> {:.2f} = {})".format(mayer['current'], 2.4, advice))
part['csv'].append("{:.2f}".format(mayer['current']))
def get_mayer():
btc_usd = get_btc_usd_pair()
mayer = calculate_mayer(get_current_price(btc_usd, 0, 3))
if mayer is None:
mayer = fetch_mayer()
return mayer
def calculate_mayer(price: float):
average = read_daily_average()
if average:
return {'current': price / average}
return None
def read_daily_average():
if CONF.mayer_file and os.path.isfile(CONF.mayer_file):
with open(CONF.mayer_file, "rt") as file:
return float(file.read())
return None
def daily_report(immediately: bool = False):
"""
Creates a daily report email around 12:02 UTC or immediately if told to do so
"""
global EMAIL_SENT
now = datetime.datetime.utcnow()
if immediately or datetime.datetime(2012, 1, 17, 12, 25).time() > now.time() \
> datetime.datetime(2012, 1, 17, 12, 1).time() and EMAIL_SENT != now.day:
content = create_mail_content(True)
filename_csv = f'{DATA_DIR}{INSTANCE}.csv'
update_csv(content, filename_csv)
if immediately or is_due_date(datetime.date.today()):
cadence = "Daily" if CONF.report in ['T', 'D'] else "Monthly" if CONF.report == 'M' else 'Annual'
subject = f"{cadence} BalanceR report {INSTANCE}"
send_mail(subject, content['text'], filename_csv)
EMAIL_SENT = now.day
def is_due_date(today: datetime.date):
if CONF.report in ['T', 'D']:
return True
if today.day == calendar.monthrange(today.year, today.month)[1]:
if CONF.report == 'M':
return True
if today.month == 12:
return True
return False
def trade_report():
"""
Creates a trade report email
"""
if CONF.report == 'T':
subject = f"RB Trade report {INSTANCE}"
content = create_mail_content()
send_mail(subject, content['text'])
def create_mail_content(daily: bool = False):
"""
Fetches and formats the data required for the daily report email
:return: dict: text: str
"""
if not daily:
order = ORDER if ORDER else get_closed_order()
trade = ["Trade", "-----", '\n'.join(create_report_part_trade(order)), '\n\n']
text = '\n'.join(trade)
else:
text = ''
performance_part = create_report_part_performance(daily)
base_values_part = create_report_part_base_values()
advice_part = create_report_part_advice()
settings_part = create_report_part_settings()
general_part = create_mail_part_general()
performance = ["Performance", "-----------", '\n'.join(performance_part['mail']) +
'\n* (change since yesterday noon)', '\n\n']
if CONF.exchange == 'bitmex':
start = ["Base information", "----------------", '\n'.join(base_values_part['mail']), '\n\n']
else:
start = []
advice = ["Assessment / advice", "-------------------", '\n'.join(advice_part['mail']), '\n\n']
settings = ["Your settings", "-------------", '\n'.join(settings_part['mail']), '\n\n']
general = ["General", "-------", '\n'.join(general_part), '\n\n']
if not CONF.info:
text += '\n'.join(performance) + '\n'.join(start) + '\n'.join(advice) + '\n'.join(settings) + '\n'.join(
general) + CONF.url + '\n'
else:
text += '\n'.join(performance) + '\n'.join(start) + '\n'.join(advice) + '\n'.join(settings) + '\n'.join(
general) + CONF.info + '\n\n' + CONF.url + '\n'
csv = None if not daily else "{};{} UTC;{};{};{};{};{}\n".format(INSTANCE,
datetime.datetime.utcnow().replace(microsecond=0),
';'.join(performance_part['csv']),
';'.join(base_values_part['csv']),
';'.join(advice_part['csv']),
';'.join(settings_part['csv']),
CONF.info)
labels = None if not daily else "Bot;Datetime;{};{};{};{};\n".format(';'.join(performance_part['labels']),
';'.join(base_values_part['labels']),
';'.join(advice_part['labels']),
';'.join(settings_part['labels']))
return {'text': text, 'csv': csv, 'labels': labels}
def create_report_part_base_values():
part = {'mail': [], 'csv': [], 'labels': []}
part['labels'].append("Price")
part['labels'].append("Margin")
part['labels'].append("MM")
part['labels'].append("Start Date")
if CONF.exchange == 'bitmex':
part['mail'].append("Price {}: {:>18}".format(CONF.quote, CONF.start_crypto_price))
part['mail'].append("Margin balance {}: {:>9}".format(CONF.base, round(CONF.start_margin_balance, 4)))
part['mail'].append("MM: {:>25}".format(round(CONF.start_mayer_multiple, 4)))
part['mail'].append("Start date: {:>27}".format(CONF.start_date))
part['csv'].append("{}".format(CONF.start_crypto_price))
part['csv'].append("{}".format(CONF.start_margin_balance))
part['csv'].append("{}".format(round(CONF.start_mayer_multiple, 1)))
part['csv'].append("{}".format(CONF.start_date))
else:
part['csv'].append(NA)
part['csv'].append(NA)
part['csv'].append(NA)
part['csv'].append(NA)
return part
def create_report_part_settings():
part = {'mail': [], 'csv': [], 'labels': []}
part['labels'].append("Quote {}".format(CONF.base))
base_len = len(CONF.base)
if CONF.auto_quote == 'MMRange':
part['csv'].append(NA)
else:
part['mail'].append("Quote {} in %: {:>{}}".format(CONF.base, CONF.crypto_quote_in_percent, 22-base_len))
part['csv'].append("{}".format(CONF.crypto_quote_in_percent))
part['labels'].append("Auto-Quote")
part['mail'].append("Auto-quote: {:>23}".format(CONF.auto_quote))
part['csv'].append("{}".format(CONF.auto_quote))
part['labels'].append("MM Q0")
part['mail'].append("MM quote 0: {:>23}".format(CONF.mm_quote_0))
part['csv'].append("{}".format(CONF.mm_quote_0))
part['labels'].append("MM Q100")
part['mail'].append("MM quote 100: {:>21}".format(CONF.mm_quote_100))
part['csv'].append("{}".format(CONF.mm_quote_100))
part['labels'].append("Max Quote")
part['mail'].append("Max quote {} in %: {:>{}}".format(CONF.base, CONF.max_crypto_quote_in_percent, 18-base_len))
part['csv'].append("{}".format(CONF.max_crypto_quote_in_percent))
part['labels'].append("Max Leverage")
part['mail'].append("Max leverage in %: {:>16}".format(CONF.max_leverage_in_percent))
part['csv'].append("{}".format(CONF.max_leverage_in_percent))
part['labels'].append("Tol. %")
part['mail'].append("Tolerance in %: {:>19}".format(CONF.tolerance_in_percent))
part['csv'].append("{}".format(CONF.tolerance_in_percent))
part['labels'].append("Period Min.")
part['mail'].append("Period in minutes: {:>16}".format(CONF.period_in_minutes))
part['csv'].append("{}".format(CONF.period_in_minutes))
part['labels'].append("Trade Trials")
part['mail'].append("Trade trials: {:>21}".format(CONF.trade_trials))
part['csv'].append("{}".format(CONF.trade_trials))
part['labels'].append("Order Adj. Sec.")
part['mail'].append("Order adjust seconds: {:>13}".format(CONF.order_adjust_seconds))
part['csv'].append("{}".format(CONF.order_adjust_seconds))
part['labels'].append("Trade Adv. %")
part['mail'].append("Trade advantage in %: {:>13}".format(CONF.trade_advantage_in_percent))
part['csv'].append("{}".format(CONF.trade_advantage_in_percent))
part['labels'].append("Stop Buy")
part['mail'].append("Stop buy: {:>25}".format(str('Y' if CONF.stop_buy is True else 'N')))
part['csv'].append("{}".format(str('Y' if CONF.stop_buy is True else 'N')))
part['labels'].append("Stop Sell")
part['mail'].append("Stop sell: {:>24}".format(str('Y' if CONF.stop_sell is True else 'N')))
part['csv'].append("{}".format(str('Y' if CONF.stop_sell is True else 'N')))
part['labels'].append("Backtrade Only Profit")
part['mail'].append("Backtrade only on profit: {:>9}".format(str('Y' if CONF.backtrade_only_on_profit is True else 'N')))
part['csv'].append("{}".format(str('Y' if CONF.backtrade_only_on_profit is True else 'N')))
part['labels'].append("Report")
part['mail'].append("Report: {:>27}".format(CONF.report))
part['csv'].append("{}".format(CONF.report))
part['labels'].append("Info")
return part
def create_mail_part_general():
return ["Generated: {:>28}".format(str(datetime.datetime.utcnow().replace(microsecond=0)) + " UTC"),
"Bot: {:>30}".format(INSTANCE + '@' + socket.gethostname()),
"Version: {:>26}".format(CONF.bot_version),
"Running since: {:>20} UTC".format(str(STARTED))]
def create_report_part_advice():
part = {'mail': [], 'csv': [], 'labels': []}
append_mayer(part)
return part
def create_report_part_performance(daily: bool):
part = {'mail': [], 'csv': [], 'labels': []}
margin_balance = get_margin_balance()
net_deposits = get_net_deposits()
sleep_for(0, 1)
append_performance(part, margin_balance, net_deposits)
sleep_for(0, 1)
append_balances(part, margin_balance, daily)
return part
def create_report_part_trade(last_order: Order):
return ["{:>17}".format(str(last_order))]
def send_mail(subject: str, text: str, attachment: str = None):
recipients = ", ".join(CONF.recipient_addresses)
msg = MIMEMultipart()
msg['Subject'] = subject
msg['From'] = CONF.sender_address
msg['To'] = recipients
readable_part = MIMEMultipart('alternative')
readable_part.attach(MIMEText(text, 'plain', 'utf-8'))
html = '<html><body><pre style="font:monospace">' + text + '</pre></body></html>'
readable_part.attach(MIMEText(html, 'html', 'utf-8'))
msg.attach(readable_part)
if attachment and os.path.isfile(attachment):
part = MIMEBase('application', 'octet-stream')
with open(attachment, "rb") as file:
part.set_payload(file.read())
encoders.encode_base64(part)
part.add_header('Content-Disposition', "attachment; filename={}".format(attachment))
msg.attach(part)
server = smtplib.SMTP_SSL(CONF.mail_server, 465)
# server.starttls()
server.set_debuglevel(0)
server.login(CONF.sender_address, CONF.sender_password)
server.send_message(msg, None, None, mail_options=(), rcpt_options=())
server.quit()
LOG.info('Sent email to %s', recipients)
def append_performance(part: dict, margin_balance: float, net_deposits: float):
"""
Calculates and appends the absolute and relative overall performance
"""
part['labels'].append("Deposit {}".format(CONF.base))
part['labels'].append("Overall Perf. {}".format(CONF.base))
part['labels'].append("Performance %")
base_len = len(CONF.base)
if net_deposits is None:
part['mail'].append("Net deposits {}: {:>{}}".format(CONF.base, NA, 20-base_len))
part['mail'].append("Overall performance in {}: {:>{}} (% n/a)".format(CONF.base, NA, 10-base_len))
part['csv'].append(NA)
part['csv'].append(NA)
part['csv'].append(NA)
else:
part['mail'].append("Net deposits {}: {:>{}.4f}".format(CONF.base, net_deposits, 20-base_len))
part['csv'].append("{:.4f}".format(net_deposits))
absolute_performance = margin_balance - net_deposits
if net_deposits > 0 and absolute_performance != 0:
relative_performance = round(100 / (net_deposits / absolute_performance), 2)
part['mail'].append("Overall performance in {}: {:>+{}.4f} ({:+.2f}%)".format(CONF.base,
absolute_performance,
10-base_len,
relative_performance))
part['csv'].append("{:.4f};{:+.2f}".format(absolute_performance, relative_performance))
else:
part['mail'].append("Overall performance in {}: {:>+{}.4f} (% n/a)".format(CONF.base,
absolute_performance,
10-base_len))
part['csv'].append("{:.4f};n/a".format(absolute_performance))
def append_balances(part: dict, margin_balance: float, daily: bool):
"""
Appends wallet balance, margin balance (including stats), used margin and leverage information, liquidation price
"""
price = get_current_price()
append_wallet_balance(part, price)
stats = load_statistics()
if CONF.exchange == 'bitmex':
margin_balance_of_fiat = get_margin_balance_of_fiat()
today = calculate_daily_statistics(margin_balance, margin_balance_of_fiat['total'], price, stats, daily)
append_margin_change(part, today)
append_position_change(part, today)
else:
c_bal = get_crypto_balance()
crypto_total = c_bal['total'] if c_bal else 0
f_bal = get_fiat_balance()
fiat_total = f_bal['total'] if f_bal else 0
today = calculate_daily_statistics(crypto_total, fiat_total, price, stats, daily)
append_balance_change(part, today)
yesterday = None if stats is None else stats.get_day(int(datetime.date.today().strftime("%Y%j")) - 1)
append_value_change(part, today, yesterday, price)
append_trading_result(part, today, yesterday, price)
append_price_change(part, today, price)
append_actual_quote(part, price)
append_margin_leverage(part)
part['labels'].append("Target Position {}".format(CONF.quote))
target_position = NA
if CONF.exchange == 'bitmex':
target_position = round(calculate_target_position(calculate_target_quote(), price))
part['mail'].append("Target position {}: {:>{}}".format(CONF.quote, target_position, 17-len(CONF.quote)))
part['csv'].append("{}".format(target_position))
append_liquidation_price(part)
def append_wallet_balance(part: dict, price: float):
wallet_balance = get_wallet_balance(price)
part['labels'].append("Wallet {}".format(CONF.base))
base_len = len(CONF.base)
if wallet_balance is None:
part['mail'].append("Wallet balance {}: {:>{}}".format(CONF.base, NA, 15-base_len))
part['csv'].append(NA)
else:
part['mail'].append("Wallet balance {}: {:>{}.4f}".format(CONF.base, wallet_balance, 18-base_len))
part['csv'].append("{:.4f}".format(wallet_balance))
def append_liquidation_price(part: dict):
poi = None
part['labels'].append("Liq. Price {}".format(CONF.quote))
if CONF.exchange == 'bitmex':
sleep_for(1, 2)
poi = get_position_info()
padding = 15-len(CONF.quote)
if poi is not None and 'liquidationPrice' in poi and poi['liquidationPrice'] is not None:
part['mail'].append("Liquidation price {}: {:>{}}".format(CONF.quote, round(float(poi['liquidationPrice'])), padding))
part['csv'].append("{}".format(round(float(poi['liquidationPrice']))))
else:
part['mail'].append("Liquidation price {}: {:>{}}".format(CONF.quote, 'n/a', padding))
part['csv'].append(NA)
def append_margin_change(part: dict, today: dict):
"""
Appends crypto margin and its change (bitmex only)
"""
part['labels'].append("Margin {}".format(CONF.base))
part['labels'].append("Change %")
part['labels'].append("Position {}".format(CONF.quote))
part['labels'].append("Change %")
m_bal = "Margin balance {}: {:>{}.4f}".format(CONF.base, today['mBal'], 18-len(CONF.base))
change = NA
if 'mBalChan24' in today:
change = "{:+.2f}%".format(today['mBalChan24'])
m_bal += " (" + change + ")*"
change = "{:+.2f}".format(today['mBalChan24'])
part['mail'].append(m_bal)
part['csv'].append("{:.4f};{}".format(today['mBal'], change))
def append_position_change(part: dict, today: dict):
"""
Appends fiat position and its change (bitmex only)
"""
fm_bal = "Position {}: {:>{}}".format(CONF.quote, round(today['fmBal']), 24-len(CONF.quote))
change = NA
if 'fmBalChan24' in today:
change = "{:+.2f}%".format(today['fmBalChan24'])
fm_bal += " (" + change + ")*"
change = "{:+.2f}".format(today['fmBalChan24'])
part['mail'].append(fm_bal)
part['csv'].append("{};{}".format(round(today['fmBal']), change))
def append_balance_change(part: dict, today: dict):
"""
Appends balance changes
"""
part['labels'].append("Balance {}".format(CONF.base))
part['labels'].append("Change %")
part['labels'].append("Balance {}".format(CONF.quote))
part['labels'].append("Change %")
m_bal = "Balance {}: {:>{}.4f}".format(CONF.base, today['mBal'], 25-len(CONF.base))
change = NA
if 'mBalChan24' in today:
change = "{:+.2f}%".format(today['mBalChan24'])
m_bal += " (" + change + ")*"
change = "{:+.2f}".format(today['mBalChan24'])
part['mail'].append(m_bal)
part['csv'].append("{:.4f};{}".format(today['mBal'], change))
fm_bal = "Balance {}: {:>{}}".format(CONF.quote, round(today['fmBal']), 25-len(CONF.quote))
change = NA
if 'fmBalChan24' in today:
change = "{:+.2f}%".format(today['fmBalChan24'])
fm_bal += " (" + change + ")*"
change = "{:+.2f}".format(today['fmBalChan24'])
part['mail'].append(fm_bal)
part['csv'].append("{};{}".format(round(today['fmBal']), change))
def append_value_change(part: dict, today: dict, yesterday: dict, price: float):
part['labels'].append("Value Change %")
change = NA
if CONF.exchange == 'bitmex':
if 'mBalChan24' in today and 'priceChan24' in today:
margin_change = today['mBalChan24']
price_change = today['priceChan24']
margin_leverage = get_margin_leverage()
if margin_leverage:
margin_leverage = round(margin_leverage * 100)
change = "{:+.4f}".format(margin_change - price_change * margin_leverage / 100)
elif yesterday and 'mBal' in today and 'fmBal' in today:
yesterday_total_in_fiat = yesterday['mBal'] * yesterday['price'] + yesterday['fmBal']
today_total_in_fiat = today['mBal'] * price + today['fmBal']
change = "{:+.2f}".format(
(today_total_in_fiat / yesterday_total_in_fiat - 1) * 100) if yesterday_total_in_fiat > 0 else NA
if change != NA:
part['mail'].append("Value change: {:>21}%*".format(change))
else:
part['mail'].append("Value change: {:>21}*".format(change))
part['csv'].append("{}".format(change))
def append_trading_result(part: dict, today: dict, yesterday: dict, price: float):
part['labels'].append("Trading Result {}".format(CONF.quote))
trading_result = NA
if yesterday and 'mBal' in today and 'fmBal' in today:
trading_result = (today['mBal'] - yesterday['mBal']) * price + today['fmBal'] - yesterday['fmBal']
trading_result = "{:+}".format(round(trading_result))
part['mail'].append("Trading result in {}: {:>{}}*".format(CONF.quote, trading_result, 15-len(CONF.quote)))
part['csv'].append("{}".format(trading_result))
def append_price_change(part: dict, today: dict, price: float):
"""
Appends price changes
"""
part['labels'].append("{} Price {}".format(CONF.base, CONF.quote))
part['labels'].append("Change %")
padding = 26-len(CONF.base)-len(CONF.quote)
rate = "{} price {}: {:>{}}".format(CONF.base, CONF.quote, round(price), padding)
change = NA
if 'priceChan24' in today:
change = "{:+.2f}%".format(today['priceChan24'])
rate += " (" + change + ")*"
change = "{:+.2f}".format(today['priceChan24'])
part['mail'].append(rate)
part['csv'].append("{};{}".format(round(price), change))
def append_actual_quote(part: dict, price: float = None):
"""
:param part: dict { 'labels': [], 'mail': [], 'csv': [] }
:param price: optional, but required for bitmex
"""
part['labels'].append("Actual Quote %")
actual_quote = calculate_actual_quote(price)
if actual_quote >= CONF.max_crypto_quote_in_percent * 0.98:
part['mail'].append("Actual quote: {:>21n}% (Max.)".format(round(actual_quote)))
else:
part['mail'].append("Actual quote: {:>21n}%".format(round(actual_quote)))
part['csv'].append("{:n}".format(round(actual_quote)))
def append_margin_leverage(part: dict):
part['labels'].append("Leverage %")
margin_leverage = get_margin_leverage()
if margin_leverage:
margin_leverage = round(margin_leverage * 100)
if margin_leverage >= CONF.max_leverage_in_percent * 0.98:
part['mail'].append("Margin leverage: {:>18n}% (Max.)".format(margin_leverage))
else:
part['mail'].append("Margin leverage: {:>18n}%".format(margin_leverage))
part['csv'].append("{:n}".format(margin_leverage))
else:
part['mail'].append("Margin leverage: {:>18}".format("% n/a"))
part['csv'].append(NA)
def calculate_daily_statistics(m_bal: float, fm_bal: float, price: float, stats: Stats, update_stats: bool):
"""
Calculates, updates and persists the change in the margin balance compared with yesterday
:param m_bal: today's margin balance
:param fm_bal: today's fiat margin balance
:param price: the current rate
:param stats: the loaded stats
:param update_stats: update and persists the statistic values
:return: today's statistics including price and margin balance changes compared with 24 hours ago
"""
today = {'mBal': m_bal, 'fmBal': fm_bal, 'price': price}
if stats is None:
stats = Stats()
if update_stats and datetime.datetime.utcnow().time() > datetime.datetime(2012, 1, 17, 12, 1).time() and not \
stats.get_day(int(datetime.date.today().strftime("%Y%j"))):
stats.add_day(int(datetime.date.today().strftime("%Y%j")), today)
persist_statistics(stats)
before_24h = stats.get_day(int(datetime.date.today().strftime("%Y%j")) - 1)
if before_24h:
if 'mBal' in before_24h and before_24h['mBal'] and before_24h['mBal'] > 0:
today['mBalChan24'] = round((today['mBal'] / before_24h['mBal'] - 1) * 100, 2)
if 'fmBal' in before_24h and before_24h['fmBal'] and before_24h['fmBal'] > 0:
today['fmBalChan24'] = round((today['fmBal'] / before_24h['fmBal'] - 1) * 100, 2)
if 'price' in before_24h:
today['priceChan24'] = round((today['price'] / before_24h['price'] - 1) * 100, 2)
return today
def load_statistics():
stats_file = f'{DATA_DIR}{INSTANCE}.pkl'
if os.path.isfile(stats_file):
with open(stats_file, "rb") as file:
return pickle.load(file)
return None
def persist_statistics(stats: Stats):
stats_file = f'{DATA_DIR}{INSTANCE}.pkl'
with open(stats_file, "wb") as file:
pickle.dump(stats, file)
def update_csv(content: dict, filename_csv: str):
if not os.path.isfile(filename_csv) or (
int(datetime.date.today().strftime("%j")) == 1 and not is_already_written(filename_csv)):
write_csv_header(content['labels'], filename_csv)
write_csv(content['csv'], filename_csv)
def write_csv_header(content: str, filename_csv: str):
with open(filename_csv, 'w') as file:
file.write(content)
def write_csv(content: str, filename_csv: str):
if not is_already_written(filename_csv):
with open(filename_csv, 'a') as file:
file.write(content)
def is_already_written(filename_csv: str):
if os.path.isfile(filename_csv):
with open(filename_csv, 'r') as file:
return str(datetime.date.today().isoformat()) in list(file)[-1]
return False
def set_start_values(values: dict):
config = configparser.ConfigParser(interpolation=None, allow_no_value=True, comment_prefixes="£", strict=False)
config.read(f'{DATA_DIR}{INSTANCE}.txt')
config.set('config', 'start_crypto_price', str(values['crypto_price']))
config.set('config', 'start_margin_balance', str(values['margin_balance']))
config.set('config', 'start_mayer_multiple', str(values['mayer_multiple']))
config.set('config', 'reference_net_deposits', str(values['net_deposits']))
sv_type = 'Initial'
if 'date' in values and values['date']:
config.set('config', 'start_date', str(values['date']))
sv_type = 'Final'
LOG.info('%s start position: price: %s, margin: %s, mayer: %s, deposits: %s', sv_type, values['crypto_price'],
values['margin_balance'], values['mayer_multiple'], values['net_deposits'])
with open(f'{DATA_DIR}{INSTANCE}.txt', 'w') as config_file:
config.write(config_file)
def update_deposits(reference_deposits: float, diff: float = 0):
new_margin_balance = CONF.start_margin_balance + diff
config = configparser.ConfigParser(interpolation=None, allow_no_value=True, comment_prefixes="£", strict=False)
config.read(f'{DATA_DIR}{INSTANCE}.txt')
if diff and CONF.net_deposits_in_base_currency:
new_net_deposits_in_base_currency = CONF.net_deposits_in_base_currency + diff
config.set('config', 'net_deposits_in_base_currency', str(new_net_deposits_in_base_currency))
config.set('config', 'start_margin_balance', str(new_margin_balance))
config.set('config', 'reference_net_deposits', str(reference_deposits))
with open(f'{DATA_DIR}{INSTANCE}.txt', 'w') as config_file:
config.write(config_file)
if diff:
if CONF.net_deposits_in_base_currency:
LOG.info('Updated start margin, reference and net deposits: %s %s %s (%s)', str(new_margin_balance),
str(reference_deposits), str(new_net_deposits_in_base_currency), str(diff))
else:
LOG.info('Updated start margin and reference deposits: %s %s (%s)', str(new_margin_balance),
str(reference_deposits), str(diff))
else:
LOG.info('Initialized reference deposits: %s', str(reference_deposits))
def get_margin_balance():
"""
Fetches the margin balance (of crypto) in fiat
return: balance of crypto in fiat
"""
try:
if CONF.exchange == 'kraken':
bal = EXCHANGE.private_post_tradebalance({'asset': CONF.base})['result']
# bal['free'] = float(bal['mf'])
return float(bal['e'])
# bal['used'] = float(bal['m'])
if CONF.exchange in ['bitpanda', 'coinbase', 'coinbasepro']:
return get_crypto_balance()['total'] + get_fiat_balance()['total'] / get_current_price()
return get_crypto_balance()['total']
except (ccxt.ExchangeError, ccxt.NetworkError) as error:
handle_account_errors(str(error.args))
LOG.error(RETRY_MESSAGE, type(error).__name__, str(error.args))
sleep_for(4, 6)
return get_margin_balance()
def get_margin_balance_of_fiat():
"""
Fetches the margin balance (of fiat) in fiat
return: balance of fiat in fiat
"""
try:
if CONF.exchange == 'bitmex':
pos = get_position_info()
if not pos or not pos['markPrice']:
return {'total': 0}
return {'total': float(pos['homeNotional']) * float(pos['markPrice'])}
LOG.warning(NOT_IMPLEMENTED_MESSAGE, 'get_margin_balance_of_fiat()', CONF.exchange)
return None
except (ccxt.ExchangeError, ccxt.NetworkError) as error:
handle_account_errors(str(error.args))
LOG.error(RETRY_MESSAGE, type(error).__name__, str(error.args))
sleep_for(4, 6)
return get_margin_balance_of_fiat()
def get_margin_leverage():
"""
Fetch the leverage
"""
try:
if CONF.exchange == 'bitmex':
return float(EXCHANGE.fetch_balance()['info'][0]['marginLeverage'])
if CONF.exchange == 'kraken':
result = EXCHANGE.private_post_tradebalance()['result']
if hasattr(result, 'ml'):
return float(result['ml'])
return 0
if CONF.exchange in ['bitpanda', 'coinbase']:
return 0 # Margin trading unavailable
LOG.warning(NOT_IMPLEMENTED_MESSAGE, 'get_margin_leverage()', CONF.exchange)
return None
except (ccxt.ExchangeError, ccxt.NetworkError) as error:
handle_account_errors(str(error.args))
LOG.error(RETRY_MESSAGE, type(error).__name__, str(error.args))
sleep_for(4, 6)
return get_margin_leverage()
def get_net_deposits(from_exchange: bool = False):
"""
Get deposits and withdraws to calculate the net deposits in crypto.
return: net deposits
"""
if not from_exchange and CONF.net_deposits_in_base_currency:
return CONF.net_deposits_in_base_currency
try:
currency = CONF.base if CONF.base != 'BTC' else 'XBt'
if CONF.exchange == 'bitmex':
result = EXCHANGE.private_get_user_wallet({'currency': currency})
return (int(result['deposited']) + int(result['transferIn']) - int(result['withdrawn']) - int(result['transferOut'])) * CONF.satoshi_factor
if CONF.exchange == 'kraken':
net_deposits = 0
deposits = EXCHANGE.fetch_deposits(CONF.base)
for deposit in deposits:
net_deposits += deposit['amount']
ledgers = EXCHANGE.private_post_ledgers({'asset': currency, 'type': 'withdrawal'})['result']['ledger']
for withdrawal_id in ledgers:
net_deposits += float(ledgers[withdrawal_id]['amount'])
return net_deposits
if CONF.exchange in ['bitpanda', 'coinbase', 'coinbasepro']:
net_deposits = 0
net_withdrawals = 0
deposits = EXCHANGE.fetch_deposits(CONF.base)
for deposit in deposits:
net_deposits += deposit['amount']
withdrawals = EXCHANGE.fetch_withdrawals(CONF.base)
for withdrawal in withdrawals:
net_withdrawals += withdrawal['amount']
if net_deposits > net_withdrawals:
return net_deposits - net_withdrawals
return 0
LOG.warning(NOT_IMPLEMENTED_MESSAGE, 'get_net_deposit()', CONF.exchange)
return None
except (ccxt.ExchangeError, ccxt.NetworkError) as error:
handle_account_errors(str(error.args))
LOG.error(RETRY_MESSAGE, type(error).__name__, str(error.args))
sleep_for(4, 6)
return get_net_deposits(from_exchange)
def get_wallet_balance(price: float):
"""
Fetch the wallet balance in crypto
"""
try:
if CONF.exchange == 'bitmex':
return float(EXCHANGE.fetch_balance()['info'][0]['walletBalance']) * CONF.satoshi_factor
if CONF.exchange == 'kraken':
asset = CONF.base if CONF.base != 'BTC' else 'XBt'
return float(EXCHANGE.private_post_tradebalance({'asset': asset})['result']['tb'])
if CONF.exchange in ['bitpanda', 'coinbase']:
balance = 0
balances = EXCHANGE.fetch_balance()
if balances:
if CONF.base in balances and 'total' in balances[CONF.base]:
balance += balances[CONF.base]['total']
if CONF.quote in balances and 'total' in balances[CONF.quote]:
fiat = balances[CONF.quote]['total']
if fiat and fiat > 0:
balance += fiat / price
return balance
LOG.warning('get_net_deposit() could not retrieve bitpanda/coinbase wallet balance')
return 0
LOG.warning(NOT_IMPLEMENTED_MESSAGE, 'get_wallet_balance()', CONF.exchange)
return None
except (ccxt.ExchangeError, ccxt.NetworkError) as error:
handle_account_errors(str(error.args))
LOG.error(RETRY_MESSAGE, type(error).__name__, str(error.args))
sleep_for(4, 6)
return get_wallet_balance(price)
def get_balances():
"""
Fetch the margin and wallet balance in satoshi
"""
try:
if CONF.exchange == 'bitmex':
return EXCHANGE.fetch_balance()['info'][0]
LOG.warning(NOT_IMPLEMENTED_MESSAGE, 'get_balances()', CONF.exchange)
return None
except (ccxt.ExchangeError, ccxt.NetworkError) as error:
handle_account_errors(str(error.args))
LOG.error(RETRY_MESSAGE, type(error).__name__, str(error.args))
sleep_for(4, 6)
return get_balances()
def get_open_orders():
"""
Gets open orders
:return: [Order]
"""
try:
if CONF.exchange == 'paymium':
orders = EXCHANGE.private_get_user_orders({'active': True})