154 lines
7.6 KiB
Python
154 lines
7.6 KiB
Python
import jesse.helpers as jh
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import jesse.services.logger as logger
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from jesse.enums import sides, order_types
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from jesse.exceptions import NegativeBalance, InvalidConfig
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from jesse.models import Order
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from .Exchange import Exchange
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class SpotExchange(Exchange):
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def add_realized_pnl(self, realized_pnl: float) -> None:
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pass
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def charge_fee(self, amount: float) -> None:
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pass
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# current holding assets
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assets = {}
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# current available assets (dynamically changes based on active orders)
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available_assets = {}
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def __init__(self, name: str, starting_assets: list, fee_rate: float):
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super().__init__(name, starting_assets, fee_rate, 'spot')
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from jesse.routes import router
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# check if base assets are configured
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for route in router.routes:
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base_asset = jh.base_asset(route.symbol)
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if base_asset not in self.available_assets:
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raise InvalidConfig(
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f"Jesse needs to know the balance of your base asset for spot mode. Please add {base_asset} to your exchanges assets config.")
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def wallet_balance(self, symbol: str = '') -> float:
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if symbol == '':
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raise ValueError
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quote_asset = jh.quote_asset(symbol)
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return self.assets[quote_asset]
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def available_margin(self, symbol: str = '') -> float:
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return self.wallet_balance(symbol)
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def on_order_submission(self, order: Order, skip_market_order=True):
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base_asset = jh.base_asset(order.symbol)
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quote_asset = jh.quote_asset(order.symbol)
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# skip market order at the time of submission because we don't have
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# the exact order.price. Instead, we call on_order_submission() one
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# more time at time of execution without "skip_market_order=False".
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if order.type == order_types.MARKET and skip_market_order:
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return
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# used for logging balance change
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temp_old_quote_available_asset = self.available_assets[quote_asset]
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temp_old_base_available_asset = self.available_assets[base_asset]
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if order.side == sides.BUY:
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quote_balance = self.available_assets[quote_asset]
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self.available_assets[quote_asset] -= (abs(order.qty) * order.price) * (1 + self.fee_rate)
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if self.available_assets[quote_asset] < 0:
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raise NegativeBalance(
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f"Balance cannot go below zero in spot market. Available capital at {self.name} for {quote_asset} is {quote_balance} but you're trying to sell {abs(order.qty * order.price)}"
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)
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# sell order
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else:
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base_balance = self.available_assets[base_asset]
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new_base_balance = base_balance + order.qty
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if new_base_balance < 0:
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raise NegativeBalance(
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f"Balance cannot go below zero in spot market. Available capital at {self.name} for {base_asset} is {base_balance} but you're trying to sell {abs(order.qty)}"
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)
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self.available_assets[base_asset] -= abs(order.qty)
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temp_new_quote_available_asset = self.available_assets[quote_asset]
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if jh.is_debuggable('balance_update') and temp_old_quote_available_asset != temp_new_quote_available_asset:
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logger.info(
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f'Available balance for {quote_asset} on {self.name} changed from {round(temp_old_quote_available_asset, 2)} to {round(temp_new_quote_available_asset, 2)}'
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)
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temp_new_base_available_asset = self.available_assets[base_asset]
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if jh.is_debuggable('balance_update') and temp_old_base_available_asset != temp_new_base_available_asset:
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logger.info(
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f'Available balance for {base_asset} on {self.name} changed from {round(temp_old_base_available_asset, 2)} to {round(temp_new_base_available_asset, 2)}'
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)
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def on_order_execution(self, order: Order) -> None:
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base_asset = jh.base_asset(order.symbol)
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quote_asset = jh.quote_asset(order.symbol)
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if order.type == order_types.MARKET:
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self.on_order_submission(order, skip_market_order=False)
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# used for logging balance change
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temp_old_quote_asset = self.assets[quote_asset]
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temp_old_quote_available_asset = self.available_assets[quote_asset]
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temp_old_base_asset = self.assets[base_asset]
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temp_old_base_available_asset = self.available_assets[base_asset]
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# works for both buy and sell orders (sell order's qty < 0)
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self.assets[base_asset] += order.qty
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if order.side == sides.BUY:
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self.available_assets[base_asset] += order.qty
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self.assets[quote_asset] -= (abs(order.qty) * order.price) * (1 + self.fee_rate)
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# sell order
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else:
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self.available_assets[quote_asset] += abs(order.qty) * order.price * (1 - self.fee_rate)
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self.assets[quote_asset] += abs(order.qty) * order.price * (1 - self.fee_rate)
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temp_new_quote_asset = self.assets[quote_asset]
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if jh.is_debuggable('balance_update') and temp_old_quote_asset != temp_new_quote_asset:
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logger.info(
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f'Balance for {quote_asset} on {self.name} changed from {round(temp_old_quote_asset, 2)} to {round(temp_new_quote_asset, 2)}'
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)
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temp_new_quote_available_asset = self.available_assets[quote_asset]
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if jh.is_debuggable('balance_update') and temp_old_quote_available_asset != temp_new_quote_available_asset:
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logger.info(
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f'Balance for {quote_asset} on {self.name} changed from {round(temp_old_quote_available_asset, 2)} to {round(temp_new_quote_available_asset, 2)}'
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)
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temp_new_base_asset = self.assets[base_asset]
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if jh.is_debuggable('balance_update') and temp_old_base_asset != temp_new_base_asset:
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logger.info(
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f'Balance for {base_asset} on {self.name} changed from {round(temp_old_base_asset, 2)} to {round(temp_new_base_asset, 2)}'
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)
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temp_new_base_available_asset = self.available_assets[base_asset]
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if jh.is_debuggable('balance_update') and temp_old_base_available_asset != temp_new_base_available_asset:
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logger.info(
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f'Balance for {base_asset} on {self.name} changed from {round(temp_old_base_available_asset, 2)} to {round(temp_new_base_available_asset, 2)}'
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)
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def on_order_cancellation(self, order: Order) -> None:
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base_asset = jh.base_asset(order.symbol)
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quote_asset = jh.quote_asset(order.symbol)
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# used for logging balance change
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temp_old_quote_available_asset = self.available_assets[quote_asset]
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temp_old_base_available_asset = self.available_assets[base_asset]
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if order.side == sides.BUY:
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self.available_assets[quote_asset] += (abs(order.qty) * order.price) * (1 + self.fee_rate)
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# sell order
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else:
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self.available_assets[base_asset] += abs(order.qty)
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temp_new_quote_available_asset = self.available_assets[quote_asset]
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if jh.is_debuggable('balance_update') and temp_old_quote_available_asset != temp_new_quote_available_asset:
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logger.info(
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f'Available balance for {quote_asset} on {self.name} changed from {round(temp_old_quote_available_asset, 2)} to {round(temp_new_quote_available_asset, 2)}'
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)
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temp_new_base_available_asset = self.available_assets[base_asset]
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if jh.is_debuggable('balance_update') and temp_old_base_available_asset != temp_new_base_available_asset:
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logger.info(
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f'Available balance for {base_asset} on {self.name} changed from {round(temp_old_base_available_asset, 2)} to {round(temp_new_base_available_asset, 2)}'
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)
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