class BiboxMarketSurfer:
"""Keeper acting as a market maker on Bibox."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='bibox-market-maker-keeper')
parser.add_argument("--config",
type=str,
required=True,
help="Bands configuration file")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the surfer will operate")
parser.add_argument(
"--output-path",
type=str,
required=True,
help="output file path of the completed order result")
# reserved for old program
# parser.add_argument("--price-feed", type=str, required=True,
# help="Source of price feed")
parser.add_argument(
"--price-feed-expiry",
type=int,
default=120,
help="Maximum age of the price feed (in seconds, default: 120)")
parser.add_argument("--spread-feed",
type=str,
help="Source of spread feed")
parser.add_argument(
"--spread-feed-expiry",
type=int,
default=3600,
help="Maximum age of the spread feed (in seconds, default: 3600)")
parser.add_argument("--order-history",
type=str,
help="Endpoint to report active orders to")
parser.add_argument(
"--order-history-every",
type=int,
default=30,
help=
"Frequency of reporting active orders (in seconds, default: 30)")
parser.add_argument(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.orderlog = Logger(self.arguments.output_path + "SurferResult_" +
self.arguments.pair,
level='info')
try:
f = open(self.arguments.config, 'r')
config = json.loads(f.read())
f.close()
self.bibox_api = BiboxApi(api_server=config["bibox_api_server"],
api_key=config["bibox_api_key"],
secret=config["bibox_secret"],
timeout=config["bibox_timeout"])
for pair in config['pairs']:
if pair['pair'] == self.arguments.pair:
self.total_amount = pair["total_amount"]
# percent of total amount of each transaction or each order
self.each_order_percent = pair["each_order_percent"]
self.arbitrage_percent = pair["arbitrage_percent"]
# the order count of sell or buy bands must less than limit
self.band_order_limit = pair["band_order_limit"]
except Exception as e:
logging.getLogger().warning(
f"Config file is invalid ({e}). Treating the config file as it has no bands."
)
self.history = History()
self.bands_config = ReloadableConfig(self.arguments.config)
# self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(
self.arguments)
self.local_orders = []
self.each_order_amount = self.total_amount * self.each_order_percent
# To implement abstract function with different exchanges API
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.bibox_api.get_orders(pair=self.pair(), retry=True))
self.order_book_manager.get_balances_with(
lambda: self.bibox_api.coin_list(retry=True))
self.order_book_manager.cancel_orders_with(
lambda order: self.bibox_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
# Place new orders while initialize the whole surfer system
self.initialize_orders(self.each_order_amount, self.arbitrage_percent,
self.band_order_limit)
time.sleep(
5
) # wait for order book manager to get placed orders 足够时间保证系统稳定返回，这个时间还是不一定够
self.local_orders = self.order_book_manager.get_order_book().orders
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(10, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def initialize_orders(self, each_order_amount, arbitrage_percent,
band_order_limit):
orders = []
i = 1
base_price = self.get_last_price(self.pair())
while band_order_limit + 1 > i:
# place sell order
price = float(base_price) * (1 + arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
pay_amount = each_order_amount * self.amount_disguise(
) #bix amount
pay_amount = pay_amount + self.suffix_amount_identify()
buy_amount = pay_amount * price #eth money
# print(pay_amount)
orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
# place buy order, pay attention to rotate bix - eth
price = float(base_price) * (1 - arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
tmp = each_order_amount * self.amount_disguise()
pay_amount = tmp * price #eth money 25
buy_amount = tmp #bix amount 0.05
buy_amount = buy_amount + self.suffix_amount_identify()
# print(buy_amount)
orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
i = i + 1
self.place_orders(orders)
# 偶尔有 bug，提交的完成慢，导致 local orders 比 下一次 获取回来少， initial_delay 加长时间到15秒,时间太长也麻烦，
# 会导致一开始提交就成交的那部分订单不会存到 local orders
# 需要换地方，order_book_manager更新不及时的情况下，会导致返回的订单数据不全，或者订单里的参数默认为0的情况
# self.local_orders = self.order_book_manager.get_order_book().orders
@staticmethod
def amount_disguise():
rand = [
0.8, 0.84, 0.88, 0.92, 0.95, 0.99, 1.03, 1.06, 1.09, 1.12, 1.16,
1.2
]
return rand[random.randint(0, 11)]
# suffix unique amount number to identify different buy/sell order pairs for result performance statics
@staticmethod
def suffix_amount_identify():
return round(random.random() / 10.0, 10)
def get_last_price(self, pair):
return self.bibox_api.ticker(pair)['last']
def shutdown(self):
self.order_book_manager.cancel_all_orders(final_wait_time=30)
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].upper()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
return Wad.from_number(
next(filter(lambda coin: coin['symbol'] == token,
our_balances))['balance'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def count_sell_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: order.is_sell, our_orders)))
def count_buy_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: not order.is_sell, our_orders)))
def synchronize_orders(self):
# bands = Bands.read(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
self.logger.info(
"---**----synchronize_orders: The length of local_orders " +
str(self.local_orders.__len__()))
self.logger.info(
"---**----synchronize_orders: The length of order_book.orders " +
str(len(order_book.orders)))
local_order_ids = set(order.order_id for order in self.local_orders)
order_book_ids = set(order.order_id for order in order_book.orders)
completed_order_ids = list(local_order_ids - order_book_ids)
# 如果没有后续的更新 local orders，只有这里的更新模块，肯定有问题的，因为一旦有成交，
# completed_order_ids 不为0，则永远更新不了local orders 了
# return if there none order be completed
# 下面这种情况，只有在order_book订单完全"包含"local_order订单时，但是两者并不相等时，才会让本地订单等于远程订单；
# 这种一般是远程订单比本地订单多，往往比如人工在系统提交了新的订单
# 这段是必须的，比如程序起步的时候，同时提交一批订单，导致速度慢，导致 local_orders 只有真正订单的一部分
if completed_order_ids.__len__() == 0:
if local_order_ids.__len__() != order_book_ids.__len__():
self.logger.info(
"---**---update local order with remote order while no completed order in past cycle"
)
self.local_orders = order_book.orders
return
# completed_orders = list(filter(lambda order: order.order_id in completed_order_ids, self.local_orders))
completed_orders = [
order for order in self.local_orders
if order.order_id in completed_order_ids
]
# completed_orders = list(filter(lambda order: order.order_id in local_order_ids, order_book.orders))
self.logger.info("---**---The number of completed orders is " +
str(len(completed_orders)))
self.logger.info("---**---Below is/are completed orders : ")
self.logger.info(completed_orders)
# completed_orders_new = list(set(self.local_orders) - set(order_book.orders))
# print("---**---The lenght of completed new orders " + str(len(completed_orders_new)))
# print(completed_orders_new)
# completed_orders = [{'amount': Wad(2220000000000000000),
# 'amount_symbol': 'BIX',
# 'created_at': 1528203670000,
# 'is_sell': True,
# 'money': Wad(52779250000000000),
# 'money_symbol': 'ETH',
# 'order_id': 606026215,
# 'price': Wad(2294750000000000)}, {'amount': Wad(2990000000000000000),
# 'amount_symbol': 'BIX',
# 'created_at': 1528203670000,
# 'is_sell': False,
# 'money': Wad(55779250000000000),
# 'money_symbol': 'ETH',
# 'order_id': 606026215,
# 'price': Wad(2394750000000000)}]
# our_buy_orders = self.our_buy_orders(order_book.orders)
# our_sell_orders = self.our_sell_orders(order_book.orders)
# print(our_buy_orders)
# print(our_sell_orders)
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# order_book.orders 按照从低到高价格排序，获取价格最低（也就是最远）的1个订单作为要取消的订单；
sorted_buy_orders = sorted(self.our_buy_orders(order_book.orders),
key=lambda order: order.price)
# order_book.orders 按照从高到低价格排序，获取价格最高（也就是最远）的 1 个订单作为要取消的订单；
sorted_sell_orders = sorted(self.our_sell_orders(order_book.orders),
key=lambda order: order.price,
reverse=True)
# if (self.local_orders.__len__() - len(order_book.orders) > 0):
if len(completed_orders) > 0:
self.logger.info(
"---**---some orders have been completed, and new should be submitted"
)
new_orders = []
cancellable_orders = []
step = 1
buy_index = 0
sell_index = 0
count_sell_order = self.count_sell_orders(order_book.orders)
count_buy_order = self.count_buy_orders(order_book.orders)
for cod in completed_orders:
# print(type(cod))
# print(cod.is_sell)
# the completed order is sell order, buy order should be placed
cancel_order_count = 0
self.orderlog.logger.info(" - " + str(cod.is_sell) + " - " +
str(cod.price) + " - " +
str(cod.amount) + " - " +
str(cod.price * cod.amount))
if cod.is_sell:
#(1-1 buy) place buy order, pay attention to rotate bix - eth
price = float(cod.price) * (1 - self.arbitrage_percent)
self.logger.info("To submit a new buy order with price " +
str(price))
pay_amount = float(cod.amount) * price # eth money 25
buy_amount = float(cod.amount) # bix amount 0.05
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
#(1-2 buy) 取消超出订单数量上限的buy订单，价格最远的订单--就是最低价格的订单
buyo = count_buy_order + 1 - self.band_order_limit
self.logger.info(
"Number of exceed the upper limit of buy order: " +
str(buyo))
# 加上后面这个条件，防止buy订单也成交，当前的订单列表里实际已经没有那么多数量的 buy 订单供取消
# 比如同一周期，buy 订单被吃了1，sell 订单被吃了3个，那么剩下的buy订单就不会被取消3次了
if buyo > 0 and len(sorted_buy_orders) > buy_index:
# order_book.orders 按照从低到高价格排序，获取价格最低（也就是最远）的1个订单作为要取消的订单；
# sorted_buy_orders = sorted(self.our_buy_orders(order_book.orders),
# key=lambda order: order.price)
print(sorted_buy_orders)
self.logger.info(
"Cancel buy order which exceed band order limit ")
self.logger.info(
str(sorted_buy_orders[buy_index].order_id))
self.logger.info(str(sorted_buy_orders[buy_index]))
print(type(sorted_buy_orders[buy_index]))
cancellable_orders.append(sorted_buy_orders[buy_index])
# self.bibox_api.cancel_order(sorted_buy_orders[index].order_id)
buy_index = buy_index + 1
else: #如果没有对应取消订单，则 buy 订单数量增加
count_buy_order = count_buy_order + 1
#(2 sell) 以当前价格为基数，重新submit一个高价格的 sell 订单，补充 sell list
# place sell a new order with higher price
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_sell_order = self.count_sell_orders(order_book.orders)
band_sell_order_gap = self.band_order_limit - count_sell_order
self.logger.info(
"The number of sell order which need to submit " +
str(band_sell_order_gap))
# while band_sell_order_gap > 0: # 外部已经有循环了，不需要这个循环了,否则在多订单被吃时，会加倍补充
# 这里只需要判断，控制数量就够了
if band_sell_order_gap > 0:
current_price = self.get_last_price(self.pair())
self.logger.info("---**---current price is " +
str(current_price))
price = float(current_price) * (
1 + self.arbitrage_percent *
(step + count_sell_order))
self.logger.info(
"The higher price of new sell order is " +
str(price))
pay_amount = self.each_order_amount * self.amount_disguise(
) # bix amount
pay_amount = pay_amount + self.suffix_amount_identify(
) # add unique identify
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
count_sell_order = count_sell_order + 1
else: # buy order had been completed
#(1-1 sell) to place a corresponding sell order
price = float(cod.price) * (1 + self.arbitrage_percent)
self.logger.info(
"To submit new sell order with arbitrage price: " +
str(price))
pay_amount = float(cod.amount) # bix amount
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
#(1-2 sell) 取消超出band order limits数量的 sell 订单
self.logger.info(
"--------debug--------------Number of exceed the upper limit of sell order: "
+ str(count_sell_order + 1 - self.band_order_limit))
sello = count_sell_order + 1 - self.band_order_limit
if sello > 0 and len(sorted_sell_orders) > sell_index:
# order_book.orders 按照从高到低价格排序，获取价格最高（也就是最远）的 1 个订单作为要取消的订单；
# sorted_sell_orders = sorted(self.our_sell_orders(order_book.orders),
# key=lambda order: order.price,
# reverse=True)
print(sorted_sell_orders)
self.logger.info(
"Cancel sell order which exceed band order limit ")
self.logger.info(
str(sorted_sell_orders[sell_index].order_id))
self.logger.info(str(sorted_sell_orders[sell_index]))
cancellable_orders.append(
sorted_sell_orders[sell_index])
# self.bibox_api.cancel_order(sorted_sell_orders[index].order_id)
sell_index = sell_index + 1
else:
count_sell_order = count_sell_order + 1
#(2 buy) 以当前价格为基数，重新submit一个 buy 订单，补充 buy list
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_buy_order = self.count_buy_orders(order_book.orders)
band_buy_order_gap = self.band_order_limit - count_buy_order
self.logger.info(
"The number of buy order which need to submit " +
str(band_buy_order_gap))
if band_buy_order_gap > 0:
#基础价格放在循环里的话，能快速反映当前价格，特保是激烈波动的时候；但是增加了请求次数
current_price = self.get_last_price(self.pair())
price = float(current_price) * (
1 - self.arbitrage_percent *
(step + count_buy_order))
self.logger.info(
"The lower price order of new buy order is " +
str(price))
tmp = self.each_order_amount * self.amount_disguise()
pay_amount = tmp * price # eth money 25
buy_amount = tmp # bix amount 0.05
buy_amount = buy_amount + self.suffix_amount_identify(
) # add unique identify
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# band_buy_order_gap = band_buy_order_gap - 1
count_buy_order = count_buy_order + 1
step = step + 1
# Cancel orders
if len(cancellable_orders) > 0:
self.order_book_manager.cancel_orders(cancellable_orders)
time.sleep(1)
while order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.info(
"Sleep 1 s while order manager is in progress after cancelling exceed orders"
)
time.sleep(1)
# Submit new orders
self.place_orders(new_orders)
time.sleep(1)
while order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.info(
"Sleep 1 s while order manager is in progress after placing new orders"
)
time.sleep(1)
# update local orders, 前面有更新模块，与这边不完全相同，尤其是有成交的情况下，必须要更新
# 是这样吗？ 似乎也不是的，有成交的情况下，下一次订单也会让 set（local） - set（order book）=0的，集合相减的特殊之处
# 如果这样就没有必要了。
# 是这样简单的复制更新，还是本地自己维护一个 id list 好呢？ 也就是把（1）确定成交的从 local 删除；
# （2）确定提交的add 到本地；
# 缩进到循环： if len(completed_orders) > 0：，在出现两者不一致的时候，同步更新订单；
# 但是这个会导致一个问题，就是初始化的订单里，有price 为0，导致两者不一致的情况，怎么办？这里解决了，是通过 order id对比而不是
# 直接的 order 对比，所以应该是解决了才对
# 默认有3秒的刷新周期，导致被成功取消的订单，不会马上出现在order_book_manager
# 导致 local 比真实的多了，使得取消的订单在下一次被误认为是成交了
# 以上虽然 while 循环了，但是如果 while 循环的时候，有订单被成交了，这个订单就会丢掉，被误认为是撤销的订单了
self.logger.info(
"Update local order with latest remote order at the end of synchronize cycle"
)
self.local_orders = self.order_book_manager.get_order_book().orders
# Cancel orders
# cancellable_orders = bands.cancellable_orders(our_buy_orders=self.our_buy_orders(order_book.orders),
# our_sell_orders=self.our_sell_orders(order_book.orders),
# target_price=target_price)
# if len(cancellable_orders) > 0:
# self.order_book_manager.cancel_orders(cancellable_orders)
# print("there is " + str(len(cancellable_orders)) + " orders should be cancelled")
# Place new orders
# self.place_orders(bands.new_orders(our_buy_orders=self.our_buy_orders(order_book.orders),
# our_sell_orders=self.our_sell_orders(order_book.orders),
# our_buy_balance=self.our_available_balance(order_book.balances, self.token_buy()),
# our_sell_balance=self.our_available_balance(order_book.balances, self.token_sell()),
# target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
amount_symbol = self.token_sell()
money = new_order_to_be_placed.buy_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.pay_amount
money_symbol = self.token_buy()
new_order_id = self.bibox_api.place_order(
is_sell=new_order_to_be_placed.is_sell,
amount=amount,
amount_symbol=amount_symbol,
money=money,
money_symbol=money_symbol)
return Order(new_order_id, 0, new_order_to_be_placed.is_sell,
Wad(money / amount), amount, amount_symbol, money,
money_symbol)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
def get_price(self, pair):
self.bibox_api.get_all_trades()
class BiboxMarketSurfer:
"""Keeper acting as a market maker on Bibox."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='bibox-market-maker-keeper')
parser.add_argument(
"--bibox-api-server",
type=str,
default="https://api.bibox.com",
help=
"Address of the Bibox API server (default: 'https://api.bibox.com')"
)
parser.add_argument("--bibox-api-key",
type=str,
required=True,
help="API key for the Bibox API")
parser.add_argument("--bibox-secret",
type=str,
required=True,
help="Secret for the Bibox API")
parser.add_argument(
"--bibox-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Bibox API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
parser.add_argument("--config",
type=str,
required=True,
help="Bands configuration file")
parser.add_argument("--price-feed",
type=str,
required=True,
help="Source of price feed")
parser.add_argument(
"--price-feed-expiry",
type=int,
default=120,
help="Maximum age of the price feed (in seconds, default: 120)")
parser.add_argument("--spread-feed",
type=str,
help="Source of spread feed")
parser.add_argument(
"--spread-feed-expiry",
type=int,
default=3600,
help="Maximum age of the spread feed (in seconds, default: 3600)")
parser.add_argument("--order-history",
type=str,
help="Endpoint to report active orders to")
parser.add_argument(
"--order-history-every",
type=int,
default=30,
help=
"Frequency of reporting active orders (in seconds, default: 30)")
parser.add_argument(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.add_argument("--base_price",
type=str,
default=0.00205375,
help="base price while initial base price ")
parser.add_argument("--total_amount",
type=str,
default=5,
help="the total assets for investing ")
parser.add_argument(
"--transaction_percent",
type=str,
default=0.02,
help=
"percent of total amount of each transaction or each order, fix percent 2%"
)
parser.add_argument(
"--arbitrage_percent",
type=str,
default=0.005,
help=
"the percent of current pirce as margin between two adjacent price orders, 0.5%"
)
parser.add_argument(
"--order_num",
type=str,
default=3,
help="the number of orders in each sell and buy bands ")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.history = History()
self.bibox_api = BiboxApi(api_server=self.arguments.bibox_api_server,
api_key=self.arguments.bibox_api_key,
secret=self.arguments.bibox_secret,
timeout=self.arguments.bibox_timeout)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(
self.arguments)
self.local_orders = []
self.base_price = 0.00243602
self.total_amount = 2000
self.each_order_percent = 0.1 # percent of total amount of each transaction or each order
self.arbitrage_percent = 0.01
self.band_order_limit = 3 # the order count of sell or buy bands must less than limit
self.each_order_amount = self.total_amount * self.each_order_percent
# To implement abstract function with different exchanges API
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.bibox_api.get_orders(pair=self.pair(), retry=True))
self.order_book_manager.get_balances_with(
lambda: self.bibox_api.coin_list(retry=True))
self.order_book_manager.cancel_orders_with(
lambda order: self.bibox_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
# Place new orders while initialize the whole surfer system
self.initialize_orders(self.base_price, self.each_order_amount,
self.arbitrage_percent, self.band_order_limit)
time.sleep(
5) # wait for order book manager to get placed orders 足够时间保证系统稳定返回
self.local_orders = self.order_book_manager.get_order_book().orders
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(10, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def initialize_orders(self, base_price, each_order_amount,
arbitrage_percent, band_order_limit):
orders = []
i = 1
while band_order_limit + 1 > i:
# place sell order
price = base_price * (1 + arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
pay_amount = each_order_amount * self.amount_disguise(
) #bix amount
# add unique amount number to identify different order for result performance statics
pay_amount = pay_amount + self.amount_identify()
buy_amount = pay_amount * price #eth money
orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
# place buy order, pay attention to rotate bix - eth
price = base_price * (1 - arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
tmp = each_order_amount * self.amount_disguise(
) + self.amount_identify()
pay_amount = tmp * price #eth money 25
buy_amount = tmp #bix amount 0.05
orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
i = i + 1
self.place_orders(orders)
# 偶尔有 bug，提交的完成慢，导致 local orders 比 下一次 获取回来少， initial_delay 加长时间到15秒,时间太长也麻烦，
# 会导致一开始提交就成交的那部分订单不会存到 local orders
# 需要换地方，order_book_manager更新不及时的情况下，会导致返回的订单数据不全，或者订单里的参数默认为0的情况
# self.local_orders = self.order_book_manager.get_order_book().orders
@staticmethod
def amount_disguise():
rand = [
0.8, 0.84, 0.88, 0.92, 0.95, 0.99, 1.03, 1.06, 1.09, 1.12, 1.16,
1.2
]
return rand[random.randint(0, 11)]
@staticmethod
def amount_identify():
return round(random.random() / 10000.0, 10)
def shutdown(self):
self.order_book_manager.cancel_all_orders(final_wait_time=30)
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].upper()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
return Wad.from_number(
next(filter(lambda coin: coin['symbol'] == token,
our_balances))['balance'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def count_sell_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: order.is_sell, our_orders)))
def count_buy_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: not order.is_sell, our_orders)))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# print(type(self.local_orders))
# print(self.local_orders)
# print(type(order_book.orders))
# print(order_book.orders)
print("---**---The lenght of local_orders " +
str(self.local_orders.__len__()))
print("---**---The lenght of order_book.orders " +
str(len(order_book.orders)))
local_order_ids = set(order.order_id for order in self.local_orders)
order_book_ids = set(order.order_id for order in order_book.orders)
completed_order_ids = list(local_order_ids - order_book_ids)
# 如果没有后续的更新 local orders，只有这里的更新模块，肯定有问题的，因为一旦有成交，
# completed_order_ids 不为0，则永远更新不了local orders 了
# return if there none order be completed
# 下面这种情况，只有在order_book订单完全"包含"local_order订单时，但是两者并不相等时，才会让本地订单等于远程订单；
# 这种一般是远程订单比本地订单多，往往比如人工在系统提交了新的订单
if completed_order_ids.__len__() == 0:
if local_order_ids.__len__() != order_book_ids.__len__():
print("update local order")
self.local_orders = order_book.orders
return
# completed_orders = list(filter(lambda order: order.order_id in completed_order_ids, self.local_orders))
completed_orders = [
order for order in self.local_orders
if order.order_id in completed_order_ids
]
# completed_orders = list(filter(lambda order: order.order_id in local_order_ids, order_book.orders))
print("---**---The lenght of completed orders " +
str(len(completed_orders)))
print(completed_orders)
# completed_orders_new = list(set(self.local_orders) - set(order_book.orders))
# print("---**---The lenght of completed new orders " + str(len(completed_orders_new)))
# print(completed_orders_new)
# completed_orders = [{'amount': Wad(2220000000000000000),
# 'amount_symbol': 'BIX',
# 'created_at': 1528203670000,
# 'is_sell': True,
# 'money': Wad(52779250000000000),
# 'money_symbol': 'ETH',
# 'order_id': 606026215,
# 'price': Wad(2294750000000000)}, {'amount': Wad(2990000000000000000),
# 'amount_symbol': 'BIX',
# 'created_at': 1528203670000,
# 'is_sell': False,
# 'money': Wad(55779250000000000),
# 'money_symbol': 'ETH',
# 'order_id': 606026215,
# 'price': Wad(2394750000000000)}]
# our_buy_orders = self.our_buy_orders(order_book.orders)
# our_sell_orders = self.our_sell_orders(order_book.orders)
# print(our_buy_orders)
# print(our_sell_orders)
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# if (self.local_orders.__len__() - len(order_book.orders) > 0):
if len(completed_orders) > 0:
print("--------- some orders have been done --------")
new_orders = []
step = 1
count_sell_order = self.count_sell_orders(order_book.orders)
count_buy_order = self.count_buy_orders(order_book.orders)
for cod in completed_orders:
# print(type(cod))
# print(cod.is_sell)
# the completed order is sell order, buy order should be placed
if cod.is_sell:
# place buy order, pay attention to rotate bix - eth
price = float(cod.price) * (1 - self.arbitrage_percent)
print("----to submit a new buy order with price " +
str(price))
pay_amount = float(cod.amount) * price # eth money 25
buy_amount = float(cod.amount) # bix amount 0.05
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# 以当前价格为基数，重新submit一个高价格的 sell 订单，补充 sell list
# place sell a new order with higher price
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_sell_order = self.count_sell_orders(order_book.orders)
print(count_sell_order)
band_sell_order_gap = self.band_order_limit - count_sell_order
print("---band gap---- " + str(band_sell_order_gap))
# while band_sell_order_gap > 0: # 外部已经有循环了，不需要这个循环了,否则在多订单被吃时，会加倍补充
# 这里只需要判断，控制数量就够了
if band_sell_order_gap > 0:
current_price = self.bibox_api.get_last_price(
self.pair())
print("------current price---- " + str(current_price))
price = float(current_price) * (
1 + self.arbitrage_percent *
(step + count_sell_order))
print("----higher price to sell--- " + str(price))
pay_amount = self.each_order_amount * self.amount_disguise(
) # bix amount
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# step = step + 1
# band_sell_order_gap = band_sell_order_gap - 1
count_sell_order = count_sell_order + 1
else: # buy order had been completed
# to place a sell order
price = float(cod.price) * (1 + self.arbitrage_percent)
print("----price--- sell--- ")
print(price)
pay_amount = float(cod.amount) # bix amount
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# 以当前价格为基数，重新submit一个 buy 订单，补充 buy list
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_buy_order = self.count_buy_orders(order_book.orders)
band_buy_order_gap = self.band_order_limit - count_buy_order
print("---band gap----" + str(band_buy_order_gap))
# while band_buy_order_gap > 0:
if band_buy_order_gap > 0:
#基础价格放在循环里的话，能快速反映当前价格，特保是激烈波动的时候；但是增加了请求次数
current_price = self.bibox_api.get_last_price(
self.pair())
price = float(current_price) * (
1 - self.arbitrage_percent *
(step + count_buy_order))
print("----lower price order to buy--- " + str(price))
tmp = self.each_order_amount * self.amount_disguise()
pay_amount = tmp * price # eth money 25
buy_amount = tmp # bix amount 0.05
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# band_buy_order_gap = band_buy_order_gap - 1
count_buy_order = count_buy_order + 1
step = step + 1
self.place_orders(new_orders)
# update local orders, 前面有更新模块，与这边不完全相同，尤其是有成交的情况下，必须要更新
# 是这样吗？ 似乎也不是的，有成交的情况下，下一次订单也会让 set（local） - set（order book）=0的，集合相减的特殊之处
# 如果这样就没有必要了。
# 是这样简单的复制更新，还是本地自己维护一个 id list 好呢？ 也就是把（1）确定成交的从 local 删除；
# （2）确定提交的add 到本地；
# 缩进到循环： if len(completed_orders) > 0：，在出现两者不一致的时候，同步更新订单；
# 但是这个会导致一个问题，就是初始化的订单里，有price 为0，导致两者不一致的情况，怎么办？这里解决了，是通过 order id对比而不是
# 直接的 order 对比，所以应该是解决了才对
print("-----update local order------")
self.local_orders = self.order_book_manager.get_order_book().orders
# Cancel orders
# cancellable_orders = bands.cancellable_orders(our_buy_orders=self.our_buy_orders(order_book.orders),
# our_sell_orders=self.our_sell_orders(order_book.orders),
# target_price=target_price)
# if len(cancellable_orders) > 0:
# self.order_book_manager.cancel_orders(cancellable_orders)
# print("there is " + str(len(cancellable_orders)) + " orders should be cancelled")
# Place new orders
# self.place_orders(bands.new_orders(our_buy_orders=self.our_buy_orders(order_book.orders),
# our_sell_orders=self.our_sell_orders(order_book.orders),
# our_buy_balance=self.our_available_balance(order_book.balances, self.token_buy()),
# our_sell_balance=self.our_available_balance(order_book.balances, self.token_sell()),
# target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
amount_symbol = self.token_sell()
money = new_order_to_be_placed.buy_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.pay_amount
money_symbol = self.token_buy()
new_order_id = self.bibox_api.place_order(
is_sell=new_order_to_be_placed.is_sell,
amount=amount,
amount_symbol=amount_symbol,
money=money,
money_symbol=money_symbol)
return Order(new_order_id, 0, new_order_to_be_placed.is_sell,
Wad(money / amount), amount, amount_symbol, money,
money_symbol)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
def get_price(self, pair):
self.bibox_api.get_all_trades()