porftolio_manager_service.py

from typing import Dict

# Start
# binance - 2 BTC
# bittrex - 4 ETH
# allocations: {
#   'free': {'binance': {'BTC': 2}, 'bittrex: {'ETH': 4} }
# }

# receive arbitrage signal for BTC and ETH
# create arbitrage strategy execution instance, "arb_btc_eth_1"
# query portfolio manager for initial capital allocated to a new arbitrage strategy. It's 50% of free balance on each
# exchange.

# Execute
# arb_btc_eth_1 - allocate 50% of each of current free balances - 1 BTC on binance and 4 ETH on bittrex
# allocations: {
#   'arb_btc_eth_1': {'binance': {'BTC': 1}, 'bittrex: {'ETH': 2} }
#   'free': {'binance': {'BTC': 1}, 'bittrex: {'ETH': 2} }
# }

# arb_btc_eth_1 - rebalance 1 BTC from binance to bittrex and 1 ETH from bittrex to binance. Note that a strategy
# may attempt to use the alloted balance before the deposit has completed. Waiting until completion is an enchancement
# for later
# allocations: {
#   'arb_btc_eth_1': {'binance': {'BTC': 1}, 'bittrex: {'ETH': 2} }
#   'free': {'binance': {'BTC': 1}, 'bittrex: {'ETH': 2} }
# }

# arb_btc_eth_1 - BTC buy order for ETH on bittrex is completed at a price of 3 ETH per BTC.
# allocations: {
#   'arb_btc_eth_1': {'binance': {'ETH': 2}, 'bittrex: {'ETH': 3} }
#   'free': {'binance': {'BTC': 1}, 'bittrex: {'ETH': 2} }
# }

# arb_btc_eth_1 - ETH sell order for BTC on binance is completed at a sell price of 1.1 BTC per ETH
# allocations: {
#   'arb_btc_eth_1': {'binance': {'BTC': 1.1}, 'bittrex: {'ETH': 3} }
#   'free': {'binance': {'BTC': 1}, 'bittrex: {'ETH': 2} }
# }

# receive new market signal for XRP. Execute buy order on binance.
# create "new_market_xrp_1 execution" instance
# query portfolio manager for initial capital allocated to a new arbitrage strategy. It's 50% of free balance on exchange
# to purchase.
# allocations: {
#   'arb_btc_eth_1': {'binance': {'BTC': 1.1}, 'bittrex: {'ETH': 3} }
#   'new_market_xrp_1': {'binance': {'BTC': .5 } }
#   'free': {'binance': {'BTC': .5}, 'bittrex: {'ETH': 2} }
# }

# Execute

# new_market_xrp_1 - buy XRP at 5000 XRP/BTC - remove .5 BTC on bittrex, allocate 5000 XRP on bittrex
# allocations: {
#   'arb_btc_eth_1': {'bittrex': {'ETH': 3}, 'binance: {'BTC': 1.1} },
#   'new_market_xrp_1': {'bittrex': {'XRP': 5000 } }
#   'free': {'binance': {'BTC': .5}, 'bittrex: {'ETH': 2} }
# }
# new_market_xrp_1 - sell 5000 XRP for 1.5 BTC - end strategy - remove 5000 XRP on bittrex
# allocations: {
#   'arb_btc_eth_1': {'bittrex': {'ETH': 3}, 'binance: {'BTC': 1.1} },
#   'free': {'binance': {'BTC': 2}, 'bittrex: {'ETH': 2} }
# }


class PortfolioManagerService:
    """
    Allocate % of capital on each exchange to each strategy.
    """
    def __init__(self, allocations: Dict[str, Dict]):
        """

        Args:
            allocations: Dict[str, Dict[str]]. Example: {
                'new_market': float
            }
        """
        self.allocations_by_strategy: Dict[str, Dict] = allocations

    def set_allocations(self, allocations: Dict):
        self.allocations_by_strategy: Dict = allocations
    
    def get_allocations_for_strategy_id(strategy_id: str):
      return self.allocations_by_strategy.get(strategy_id)
    
    def set_allocations_for_strategy_id(strategy_id: str, allocations: Dict):
      self.allocations_by_strategy[strategy_id] = allocations