276 lines
9.6 KiB
Python
276 lines
9.6 KiB
Python
"""
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This module contains the class to persist trades into SQLite
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"""
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import logging
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from datetime import datetime
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from decimal import Decimal, getcontext
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from typing import Dict, Optional, Any
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import arrow
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from sqlalchemy import (Boolean, Column, DateTime, Float, Integer, String,
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create_engine)
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from sqlalchemy.engine import Engine
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from sqlalchemy.ext.declarative import declarative_base
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from sqlalchemy.orm.scoping import scoped_session
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from sqlalchemy.orm.session import sessionmaker
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from sqlalchemy.pool import StaticPool
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from sqlalchemy import inspect
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logger = logging.getLogger(__name__)
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_CONF = {}
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_DECL_BASE: Any = declarative_base()
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def init(config: dict, engine: Optional[Engine] = None) -> None:
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"""
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Initializes this module with the given config,
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registers all known command handlers
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and starts polling for message updates
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:param config: config to use
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:param engine: database engine for sqlalchemy (Optional)
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:return: None
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"""
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_CONF.update(config)
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if not engine:
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if _CONF.get('dry_run', False):
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# the user wants dry run to use a DB
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if _CONF.get('dry_run_db', False):
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engine = create_engine('sqlite:///tradesv3.dry_run.sqlite')
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# Otherwise dry run will store in memory
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else:
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engine = create_engine('sqlite://',
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connect_args={'check_same_thread': False},
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poolclass=StaticPool,
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echo=False)
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else:
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engine = create_engine('sqlite:///tradesv3.sqlite')
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session = scoped_session(sessionmaker(bind=engine, autoflush=True, autocommit=True))
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Trade.session = session()
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Trade.query = session.query_property()
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_DECL_BASE.metadata.create_all(engine)
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check_migrate(engine)
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# Clean dry_run DB
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if _CONF.get('dry_run', False) and _CONF.get('dry_run_db', False):
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clean_dry_run_db()
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def has_column(columns, searchname: str) -> bool:
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return len(list(filter(lambda x: x["name"] == searchname, columns))) == 1
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def check_migrate(engine) -> None:
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"""
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Checks if migration is necessary and migrates if necessary
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"""
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inspector = inspect(engine)
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cols = inspector.get_columns('trades')
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if not has_column(cols, 'fee_open'):
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# Schema migration necessary
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engine.execute("alter table trades rename to trades_bak")
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# let SQLAlchemy create the schema as required
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_DECL_BASE.metadata.create_all(engine)
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# Copy data back - following the correct schema
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engine.execute("""insert into trades
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(id, exchange, pair, is_open, fee_open, fee_close, open_rate,
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open_rate_requested, close_rate, close_rate_requested, close_profit,
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stake_amount, amount, open_date, close_date, open_order_id)
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select id, lower(exchange),
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case
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when instr(pair, '_') != 0 then
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substr(pair, instr(pair, '_') + 1) || '/' ||
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substr(pair, 1, instr(pair, '_') - 1)
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else pair
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end
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pair,
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is_open, fee fee_open, fee fee_close,
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open_rate, null open_rate_requested, close_rate,
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null close_rate_requested, close_profit,
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stake_amount, amount, open_date, close_date, open_order_id
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from trades_bak
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""")
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# Reread columns - the above recreated the table!
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inspector = inspect(engine)
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cols = inspector.get_columns('trades')
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if not has_column(cols, 'open_rate_requested'):
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engine.execute("alter table trades add open_rate_requested float")
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if not has_column(cols, 'close_rate_requested'):
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engine.execute("alter table trades add close_rate_requested float")
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def cleanup() -> None:
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"""
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Flushes all pending operations to disk.
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:return: None
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"""
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Trade.session.flush()
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def clean_dry_run_db() -> None:
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"""
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Remove open_order_id from a Dry_run DB
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:return: None
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"""
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for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
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# Check we are updating only a dry_run order not a prod one
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if 'dry_run' in trade.open_order_id:
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trade.open_order_id = None
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class Trade(_DECL_BASE):
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"""
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Class used to define a trade structure
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"""
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__tablename__ = 'trades'
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id = Column(Integer, primary_key=True)
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exchange = Column(String, nullable=False)
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pair = Column(String, nullable=False)
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is_open = Column(Boolean, nullable=False, default=True)
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fee_open = Column(Float, nullable=False, default=0.0)
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fee_close = Column(Float, nullable=False, default=0.0)
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open_rate = Column(Float)
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open_rate_requested = Column(Float)
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close_rate = Column(Float)
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close_rate_requested = Column(Float)
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close_profit = Column(Float)
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stake_amount = Column(Float, nullable=False)
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amount = Column(Float)
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open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
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close_date = Column(DateTime)
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open_order_id = Column(String)
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def __repr__(self):
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return 'Trade(id={}, pair={}, amount={:.8f}, open_rate={:.8f}, open_since={})'.format(
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self.id,
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self.pair,
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self.amount,
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self.open_rate,
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arrow.get(self.open_date).humanize() if self.is_open else 'closed'
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)
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def update(self, order: Dict) -> None:
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"""
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Updates this entity with amount and actual open/close rates.
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:param order: order retrieved by exchange.get_order()
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:return: None
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"""
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# Ignore open and cancelled orders
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if order['status'] == 'open' or order['price'] is None:
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return
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logger.info('Updating trade (id=%d) ...', self.id)
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getcontext().prec = 8 # Bittrex do not go above 8 decimal
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if order['type'] == 'limit' and order['side'] == 'buy':
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# Update open rate and actual amount
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self.open_rate = Decimal(order['price'])
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self.amount = Decimal(order['amount'])
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logger.info('LIMIT_BUY has been fulfilled for %s.', self)
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self.open_order_id = None
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elif order['type'] == 'limit' and order['side'] == 'sell':
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self.close(order['price'])
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else:
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raise ValueError('Unknown order type: {}'.format(order['type']))
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cleanup()
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def close(self, rate: float) -> None:
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"""
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Sets close_rate to the given rate, calculates total profit
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and marks trade as closed
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"""
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self.close_rate = Decimal(rate)
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self.close_profit = self.calc_profit_percent()
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self.close_date = datetime.utcnow()
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self.is_open = False
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self.open_order_id = None
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logger.info(
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'Marking %s as closed as the trade is fulfilled and found no open orders for it.',
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self
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)
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def calc_open_trade_price(
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self,
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fee: Optional[float] = None) -> float:
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"""
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Calculate the open_rate in BTC
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:param fee: fee to use on the open rate (optional).
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If rate is not set self.fee will be used
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:return: Price in BTC of the open trade
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"""
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getcontext().prec = 8
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buy_trade = (Decimal(self.amount) * Decimal(self.open_rate))
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fees = buy_trade * Decimal(fee or self.fee_open)
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return float(buy_trade + fees)
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def calc_close_trade_price(
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self,
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rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculate the close_rate in BTC
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:param fee: fee to use on the close rate (optional).
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If rate is not set self.fee will be used
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:param rate: rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:return: Price in BTC of the open trade
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"""
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getcontext().prec = 8
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if rate is None and not self.close_rate:
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return 0.0
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sell_trade = (Decimal(self.amount) * Decimal(rate or self.close_rate))
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fees = sell_trade * Decimal(fee or self.fee_close)
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return float(sell_trade - fees)
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def calc_profit(
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self,
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rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculate the profit in BTC between Close and Open trade
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:param fee: fee to use on the close rate (optional).
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If rate is not set self.fee will be used
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:param rate: close rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:return: profit in BTC as float
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"""
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open_trade_price = self.calc_open_trade_price()
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close_trade_price = self.calc_close_trade_price(
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rate=(rate or self.close_rate),
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fee=(fee or self.fee_close)
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)
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return float("{0:.8f}".format(close_trade_price - open_trade_price))
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def calc_profit_percent(
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self,
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rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculates the profit in percentage (including fee).
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:param rate: rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:param fee: fee to use on the close rate (optional).
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:return: profit in percentage as float
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"""
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getcontext().prec = 8
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open_trade_price = self.calc_open_trade_price()
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close_trade_price = self.calc_close_trade_price(
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rate=(rate or self.close_rate),
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fee=(fee or self.fee_close)
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)
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return float("{0:.8f}".format((close_trade_price / open_trade_price) - 1))
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