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Store changes for rebase, positions prototype

kraken_orders
Konstantine Tsafatinos 2021-09-06 21:43:17 -04:00
parent 88061d8799
commit 0285a847d8
1 changed files with 68 additions and 0 deletions
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68
piker/brokers/kraken.py
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@ -387,8 +387,76 @@ async def get_client() -> Client:
}
balances = await client.get_user_data('Balance', data)
traders = await client.get_user_data('TradesHistory', data)
ledger = await client.get_ledger(data)
# positions
## TODO: Make sure to add option with fees
n, m = ledger.shape
ledger['time'] = ledger['time'].apply(lambda x: int(x))
assets = set(ledger['asset'])
trade_times = set(ledger['time'])
trades = {}
positions = {}
# for index, row in ledger.iterrows():
# if index == n:
# break
# asset = row['asset']
# ## TODO: Look into a way to generalize this
# if asset != 'ZEUR' and ledger.loc[index+1, 'asset'] == 'ZEUR':
# try:
# trades[asset]['amounts'].append(float(ledger.loc[index, 'amount']))
# trades[asset]['prices'].append(float(ledger.loc[index+1, 'amount']))
# except KeyError:
# trades[asset] = {
# 'amounts': [float(ledger.loc[index+1, 'amount'])],
# 'prices': [float(ledger.loc[index+1, 'amount'])]
# }
## TODO: Look into a way to generalize this for any fiat
## TODO: Figure out how to handle coin for coin trades
for trade_time in trade_times:
trade = ledger[ledger['time'] == trade_time]
coin = trade[trade['asset'] != 'ZEUR']
fiat = trade[trade['asset'] == 'ZEUR']
if len(coin) == 0 or len(coin) > 1:
continue
asset = list(coin.loc[:, 'asset'])[0]
amount = np.sum(coin['amount'].apply(lambda x: float(x)))
if amount > 0:
sign = -1
price = sign * np.sum(fiat['amount'].apply(lambda x: float(x)))
try:
trades[asset]['trade_amounts'].append(amount)
trades[asset]['trade_prices'].append(price)
trades[asset]['enter_amounts'].append(amount)
except KeyError:
trades[asset] = {
'trade_amounts': [amount],
'trade_prices': [price],
'enter_amounts': [amount]
}
else:
price = 0
# continue
try:
trades[asset]['trade_amounts'].append(amount)
trades[asset]['trade_prices'].append(price)
except KeyError:
trades[asset] = {
'trade_amounts': [amount],
'trade_prices': [price],
'enter_amounts': []
}
for asset in assets:
if asset == 'ZEUR':
continue
t_amounts = np.array(trades[asset]['trade_amounts'])
t_prices = np.array(trades[asset]['trade_prices'])
e_amounts = np.array(trades[asset]['enter_amounts'])
positions[asset] = np.dot(np.divide(t_prices, t_amounts), t_amounts) / np.sum(e_amounts)
await tractor.breakpoint()