class EtherDeltaMarketMakerKeeper:
"""Keeper acting as a market maker on EtherDelta, on the ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='etherdelta-market-maker-keeper')
parser.add_argument("--rpc-host",
type=str,
default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port",
type=int,
default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout",
type=int,
default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument(
"--eth-from",
type=str,
required=True,
help="Ethereum account from which to send transactions")
parser.add_argument(
"--eth-key",
type=str,
nargs='*',
help=
"Ethereum private key(s) to use (e.g. 'key_file=aaa.json,pass_file=aaa.pass')"
)
parser.add_argument("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--etherdelta-address",
type=str,
required=True,
help="Ethereum address of the EtherDelta contract")
parser.add_argument(
"--etherdelta-socket",
type=str,
required=True,
help="Ethereum address of the EtherDelta API socket")
parser.add_argument(
"--etherdelta-number-of-attempts",
type=int,
default=3,
help=
"Number of attempts of running the tool to talk to the EtherDelta API socket"
)
parser.add_argument(
"--etherdelta-retry-interval",
type=int,
default=10,
help=
"Retry interval for sending orders over the EtherDelta API socket")
parser.add_argument(
"--etherdelta-timeout",
type=int,
default=120,
help="Timeout for sending orders over the EtherDelta API socket")
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("--control-feed",
type=str,
help="Source of control feed")
parser.add_argument(
"--control-feed-expiry",
type=int,
default=86400,
help="Maximum age of the control feed (in seconds, default: 86400)"
)
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("--order-age",
type=int,
required=True,
help="Age of created orders (in blocks)")
parser.add_argument(
"--order-expiry-threshold",
type=int,
default=0,
help=
"Remaining order age (in blocks) at which order is considered already expired, which"
" means the keeper will send a new replacement order slightly ahead"
)
parser.add_argument(
"--order-no-cancel-threshold",
type=int,
default=0,
help=
"Remaining order age (in blocks) below which keeper does not try to cancel orders,"
" assuming that they will probably expire before the cancel transaction gets mined"
)
parser.add_argument(
"--eth-reserve",
type=float,
required=True,
help=
"Amount of ETH which will never be deposited so the keeper can cover gas"
)
parser.add_argument(
"--min-eth-balance",
type=float,
default=0,
help="Minimum ETH balance below which keeper will cease operation")
parser.add_argument(
"--min-eth-deposit",
type=float,
required=True,
help=
"Minimum amount of ETH that can be deposited in one transaction")
parser.add_argument(
"--min-sai-deposit",
type=float,
required=True,
help=
"Minimum amount of SAI that can be deposited in one transaction")
parser.add_argument(
'--cancel-on-shutdown',
dest='cancel_on_shutdown',
action='store_true',
help=
"Whether should cancel all open orders on EtherDelta on keeper shutdown"
)
parser.add_argument(
'--withdraw-on-shutdown',
dest='withdraw_on_shutdown',
action='store_true',
help=
"Whether should withdraw all tokens from EtherDelta on keeper shutdown"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price (in Wei)")
parser.add_argument(
"--smart-gas-price",
dest='smart_gas_price',
action='store_true',
help=
"Use smart gas pricing strategy, based on the ethgasstation.info feed"
)
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.set_defaults(cancel_on_shutdown=False,
withdraw_on_shutdown=False)
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(
HTTPProvider(
endpoint_uri=
f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
self.web3.eth.defaultAccount = self.arguments.eth_from
self.our_address = Address(self.arguments.eth_from)
register_keys(self.web3, self.arguments.eth_key)
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.bands_config = ReloadableConfig(self.arguments.config)
self.eth_reserve = Wad.from_number(self.arguments.eth_reserve)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.min_eth_deposit = Wad.from_number(self.arguments.min_eth_deposit)
self.min_sai_deposit = Wad.from_number(self.arguments.min_sai_deposit)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(
self.arguments, self.tub)
self.spread_feed = create_spread_feed(self.arguments)
self.control_feed = create_control_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(
self.arguments)
if self.eth_reserve <= self.min_eth_balance:
raise Exception(
"--eth-reserve must be higher than --min-eth-balance")
assert (self.arguments.order_expiry_threshold >= 0)
assert (self.arguments.order_no_cancel_threshold >=
self.arguments.order_expiry_threshold)
self.history = History()
self.etherdelta = EtherDelta(web3=self.web3,
address=Address(
self.arguments.etherdelta_address))
self.etherdelta_api = EtherDeltaApi(
client_tool_directory="lib/pymaker/utils/etherdelta-client",
client_tool_command="node main.js",
api_server=self.arguments.etherdelta_socket,
number_of_attempts=self.arguments.etherdelta_number_of_attempts,
retry_interval=self.arguments.etherdelta_retry_interval,
timeout=self.arguments.etherdelta_timeout)
self.our_orders = list()
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
if self.arguments.cancel_on_shutdown:
self.cancel_all_orders()
if self.arguments.withdraw_on_shutdown:
self.withdraw_everything()
def approve(self):
token_addresses = filter(
lambda address: address != EtherDelta.ETH_TOKEN,
[self.token_sell(), self.token_buy()])
tokens = list(
map(lambda address: ERC20Token(web3=self.web3, address=address),
token_addresses))
self.etherdelta.approve(tokens, directly(gas_price=self.gas_price))
def place_order(self, order: Order):
self.our_orders.append(order)
self.etherdelta_api.publish_order(order)
def token_sell(self) -> Address:
return EtherDelta.ETH_TOKEN
def token_buy(self) -> Address:
return self.sai.address
def our_total_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return self.etherdelta.balance_of(self.our_address)
else:
return self.etherdelta.balance_of_token(token, self.our_address)
def our_sell_orders(self):
return list(
filter(
lambda order: order.buy_token == self.token_buy() and order.
pay_token == self.token_sell(), self.our_orders))
def our_buy_orders(self):
return list(
filter(
lambda order: order.buy_token == self.token_sell() and order.
pay_token == self.token_buy(), self.our_orders))
def synchronize_orders(self):
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
#
# The exception is when we can withdraw some ETH from EtherDelta. Then we do it and carry on.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
if self.etherdelta.balance_of(self.our_address) > self.eth_reserve:
self.logger.warning(
f"Keeper ETH balance below minimum, withdrawing {self.eth_reserve}."
)
self.etherdelta.withdraw(self.eth_reserve).transact()
else:
self.logger.warning(
f"Keeper ETH balance below minimum, cannot withdraw. Cancelling all orders."
)
self.cancel_all_orders()
return
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
block_number = self.web3.eth.blockNumber
target_price = self.price_feed.get_price()
# Remove expired orders from the local order list
self.remove_expired_orders(block_number)
# Cancel orders
cancellable_orders = bands.cancellable_orders(self.our_buy_orders(),
self.our_sell_orders(),
target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders, block_number)
return
# In case of EtherDelta, balances returned by `our_total_balance` still contain amounts "locked"
# by currently open orders, so we need to explicitly subtract these amounts.
our_buy_balance = self.our_total_balance(
self.token_buy()) - Bands.total_amount(self.our_buy_orders())
our_sell_balance = self.our_total_balance(
self.token_sell()) - Bands.total_amount(self.our_sell_orders())
# Evaluate if we need to create new orders, and how much do we need to deposit
new_orders, missing_buy_amount, missing_sell_amount = bands.new_orders(
our_buy_orders=self.our_buy_orders(),
our_sell_orders=self.our_sell_orders(),
our_buy_balance=our_buy_balance,
our_sell_balance=our_sell_balance,
target_price=target_price)
# If deposited amount too low for placing buy orders, try to deposit.
# If deposited amount too low for placing sell orders, try to deposit.
made_deposit = False
if missing_buy_amount > Wad(0):
if self.deposit_for_buy_order():
made_deposit = True
if missing_sell_amount > Wad(0):
if self.deposit_for_sell_order():
made_deposit = True
# If we managed to deposit something, do not do anything so we can reevaluate new orders to be created.
# Otherwise, create new orders.
if not made_deposit:
self.place_orders(new_orders)
@staticmethod
def is_order_age_above_threshold(order: Order, block_number: int,
threshold: int):
return block_number >= order.expires - threshold # we do >= 0, which makes us effectively detect an order
# as expired one block earlier than the contract, but
# this is desirable from the keeper point of view
def is_expired(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(
order, block_number, self.arguments.order_expiry_threshold)
def is_non_cancellable(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(
order, block_number, self.arguments.order_no_cancel_threshold)
def remove_expired_orders(self, block_number: int):
self.our_orders = list(
filter(lambda order: not self.is_expired(order, block_number),
self.our_orders))
def cancel_orders(self, orders: Iterable, block_number: int):
cancellable_orders = list(
filter(
lambda order: not self.is_non_cancellable(order, block_number),
orders))
synchronize([
self.etherdelta.cancel_order(order).transact_async(
gas_price=self.gas_price) for order in cancellable_orders
])
self.our_orders = list(set(self.our_orders) - set(cancellable_orders))
def cancel_all_orders(self):
self.cancel_orders(self.our_orders, self.web3.eth.blockNumber)
def place_orders(self, new_orders):
# EtherDelta sometimes rejects orders when the amounts are not rounded. Choice of choosing
# rounding to 9 decimal digits is completely arbitrary as it's not documented anywhere.
for new_order in new_orders:
if new_order.is_sell:
order = self.etherdelta.create_order(
pay_token=self.token_sell(),
pay_amount=round(new_order.pay_amount, 9),
buy_token=self.token_buy(),
buy_amount=round(new_order.buy_amount, 9),
expires=self.web3.eth.blockNumber +
self.arguments.order_age)
else:
order = self.etherdelta.create_order(
pay_token=self.token_buy(),
pay_amount=round(new_order.pay_amount, 9),
buy_token=self.token_sell(),
buy_amount=round(new_order.buy_amount, 9),
expires=self.web3.eth.blockNumber +
self.arguments.order_age)
self.place_order(order)
new_order.confirm()
def withdraw_everything(self):
eth_balance = self.etherdelta.balance_of(self.our_address)
if eth_balance > Wad(0):
self.etherdelta.withdraw(eth_balance).transact(
gas_price=self.gas_price)
sai_balance = self.etherdelta.balance_of_token(self.sai.address,
self.our_address)
if sai_balance > Wad(0):
self.etherdelta.withdraw_token(self.sai.address,
sai_balance).transact()
def depositable_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return Wad.max(
eth_balance(self.web3, self.our_address) - self.eth_reserve,
Wad(0))
else:
return ERC20Token(web3=self.web3,
address=token).balance_of(self.our_address)
def deposit_for_sell_order(self):
depositable_eth = self.depositable_balance(self.token_sell())
if depositable_eth > self.min_eth_deposit:
return self.etherdelta.deposit(depositable_eth).transact(
gas_price=self.gas_price).successful
else:
return False
def deposit_for_buy_order(self):
depositable_sai = self.depositable_balance(self.token_buy())
if depositable_sai > self.min_sai_deposit:
return self.etherdelta.deposit_token(
self.token_buy(),
depositable_sai).transact(gas_price=self.gas_price).successful
else:
return False
class EtherDeltaMarketMakerKeeper:
"""Keeper acting as a market maker on EtherDelta, on the ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='etherdelta-market-maker-keeper')
parser.add_argument("--rpc-host",
type=str,
default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port",
type=int,
default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout",
type=int,
default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument(
"--eth-from",
type=str,
required=True,
help="Ethereum account from which to send transactions")
parser.add_argument("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--etherdelta-address",
type=str,
required=True,
help="Ethereum address of the EtherDelta contract")
parser.add_argument(
"--etherdelta-socket",
type=str,
required=True,
help="Ethereum address of the EtherDelta API socket")
parser.add_argument(
"--etherdelta-number-of-attempts",
type=int,
default=3,
help=
"Number of attempts of running the tool to talk to the EtherDelta API socket"
)
parser.add_argument(
"--etherdelta-retry-interval",
type=int,
default=10,
help=
"Retry interval for sending orders over the EtherDelta API socket")
parser.add_argument(
"--etherdelta-timeout",
type=int,
default=120,
help="Timeout for sending orders over the EtherDelta API socket")
parser.add_argument("--config",
type=str,
required=True,
help="Buy/sell bands configuration file")
parser.add_argument(
"--price-feed",
type=str,
help=
"Source of price feed. Tub price feed will be used if not specified"
)
parser.add_argument(
"--price-feed-expiry",
type=int,
default=120,
help="Maximum age of non-Tub price feed (in seconds, default: 120)"
)
parser.add_argument("--order-age",
type=int,
required=True,
help="Age of created orders (in blocks)")
parser.add_argument(
"--order-expiry-threshold",
type=int,
default=0,
help=
"Remaining order age (in blocks) at which order is considered already expired, which"
" means the keeper will send a new replacement order slightly ahead"
)
parser.add_argument(
"--order-no-cancel-threshold",
type=int,
default=0,
help=
"Remaining order age (in blocks) below which keeper does not try to cancel orders,"
" assuming that they will probably expire before the cancel transaction gets mined"
)
parser.add_argument(
"--eth-reserve",
type=float,
required=True,
help=
"Amount of ETH which will never be deposited so the keeper can cover gas"
)
parser.add_argument(
"--min-eth-balance",
type=float,
default=0,
help=
"Minimum ETH balance below which keeper with either terminate or not start at all"
)
parser.add_argument(
"--min-eth-deposit",
type=float,
required=True,
help=
"Minimum amount of ETH that can be deposited in one transaction")
parser.add_argument(
"--min-sai-deposit",
type=float,
required=True,
help=
"Minimum amount of SAI that can be deposited in one transaction")
parser.add_argument(
'--cancel-on-shutdown',
dest='cancel_on_shutdown',
action='store_true',
help=
"Whether should cancel all open orders on EtherDelta on keeper shutdown"
)
parser.add_argument(
'--withdraw-on-shutdown',
dest='withdraw_on_shutdown',
action='store_true',
help=
"Whether should withdraw all tokens from EtherDelta on keeper shutdown"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price (in Wei)")
parser.add_argument(
"--gas-price-increase",
type=int,
help="Gas price increase (in Wei) if no confirmation within"
" `--gas-price-increase-every` seconds")
parser.add_argument(
"--gas-price-increase-every",
type=int,
default=120,
help="Gas price increase frequency (in seconds, default: 120)")
parser.add_argument("--gas-price-max",
type=int,
help="Maximum gas price (in Wei)")
parser.add_argument("--gas-price-file",
type=str,
help="Gas price configuration file")
parser.add_argument(
"--smart-gas-price",
dest='smart_gas_price',
action='store_true',
help=
"Use smart gas pricing strategy, based on the ethgasstation.info feed"
)
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.set_defaults(cancel_on_shutdown=False,
withdraw_on_shutdown=False)
self.arguments = parser.parse_args(args)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(
HTTPProvider(
endpoint_uri=
f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
self.web3.eth.defaultAccount = self.arguments.eth_from
self.our_address = Address(self.arguments.eth_from)
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.vox = Vox(web3=self.web3, address=self.tub.vox())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
logging.basicConfig(
format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))
logging.getLogger('urllib3.connectionpool').setLevel(logging.INFO)
logging.getLogger('requests.packages.urllib3.connectionpool').setLevel(
logging.INFO)
self.bands_config = ReloadableConfig(self.arguments.config)
self.eth_reserve = Wad.from_number(self.arguments.eth_reserve)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.min_eth_deposit = Wad.from_number(self.arguments.min_eth_deposit)
self.min_sai_deposit = Wad.from_number(self.arguments.min_sai_deposit)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(
self.arguments.price_feed, self.arguments.price_feed_expiry,
self.tub, self.vox)
if self.eth_reserve <= self.min_eth_balance:
raise Exception(
"--eth-reserve must be higher than --min-eth-balance")
assert (self.arguments.order_expiry_threshold >= 0)
assert (self.arguments.order_no_cancel_threshold >=
self.arguments.order_expiry_threshold)
self.etherdelta = EtherDelta(web3=self.web3,
address=Address(
self.arguments.etherdelta_address))
self.etherdelta_api = EtherDeltaApi(
client_tool_directory="lib/pymaker/utils/etherdelta-client",
client_tool_command="node main.js",
api_server=self.arguments.etherdelta_socket,
number_of_attempts=self.arguments.etherdelta_number_of_attempts,
retry_interval=self.arguments.etherdelta_retry_interval,
timeout=self.arguments.etherdelta_timeout)
self.our_orders = list()
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
if self.arguments.cancel_on_shutdown:
self.cancel_all_orders()
if self.arguments.withdraw_on_shutdown:
self.withdraw_everything()
def approve(self):
"""Approve EtherDelta to access our tokens, so we can deposit them with the exchange"""
token_addresses = filter(
lambda address: address != EtherDelta.ETH_TOKEN,
[self.token_sell(), self.token_buy()])
tokens = list(
map(lambda address: ERC20Token(web3=self.web3, address=address),
token_addresses))
self.etherdelta.approve(tokens, directly(gas_price=self.gas_price))
def place_order(self, order: Order):
self.our_orders.append(order)
self.etherdelta_api.publish_order(order)
def price(self) -> Wad:
return self.price_feed.get_price()
def token_sell(self) -> Address:
return EtherDelta.ETH_TOKEN
def token_buy(self) -> Address:
return self.sai.address
def our_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return self.etherdelta.balance_of(self.our_address)
else:
return self.etherdelta.balance_of_token(token, self.our_address)
def our_sell_orders(self):
return list(
filter(
lambda order: order.buy_token == self.token_buy() and order.
pay_token == self.token_sell(), self.our_orders))
def our_buy_orders(self):
return list(
filter(
lambda order: order.buy_token == self.token_sell() and order.
pay_token == self.token_buy(), self.our_orders))
def synchronize_orders(self):
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
self.logger.warning(
"Keeper ETH balance below minimum. Cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config)
block_number = self.web3.eth.blockNumber
target_price = self.price()
# If the is no target price feed, cancel all orders but do not terminate the keeper.
# The moment the price feed comes back, the keeper will resume placing orders.
if target_price is None:
self.logger.warning(
"Cancelling all orders as no price feed available.")
self.cancel_all_orders()
return
# Remove expired orders from the local order list
self.remove_expired_orders(block_number)
# Cancel orders
cancellable_orders = bands.cancellable_orders(self.our_buy_orders(),
self.our_sell_orders(),
target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders, block_number)
return
# Place new orders
self.top_up_bands(bands.buy_bands, bands.sell_bands, target_price)
@staticmethod
def is_order_age_above_threshold(order: Order, block_number: int,
threshold: int):
return block_number >= order.expires - threshold # we do >= 0, which makes us effectively detect an order
# as expired one block earlier than the contract, but
# this is desirable from the keeper point of view
def is_expired(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(
order, block_number, self.arguments.order_expiry_threshold)
def is_non_cancellable(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(
order, block_number, self.arguments.order_no_cancel_threshold)
def remove_expired_orders(self, block_number: int):
self.our_orders = list(
filter(lambda order: not self.is_expired(order, block_number),
self.our_orders))
def cancel_orders(self, orders: Iterable, block_number: int):
"""Cancel orders asynchronously."""
cancellable_orders = list(
filter(
lambda order: not self.is_non_cancellable(order, block_number),
orders))
synchronize([
self.etherdelta.cancel_order(order).transact_async(
gas_price=self.gas_price) for order in cancellable_orders
])
self.our_orders = list(set(self.our_orders) - set(cancellable_orders))
def cancel_all_orders(self):
"""Cancel all our orders."""
self.cancel_orders(self.our_orders, self.web3.eth.blockNumber)
def withdraw_everything(self):
eth_balance = self.etherdelta.balance_of(self.our_address)
if eth_balance > Wad(0):
self.etherdelta.withdraw(eth_balance).transact(
gas_price=self.gas_price)
sai_balance = self.etherdelta.balance_of_token(self.sai.address,
self.our_address)
if sai_balance > Wad(0):
self.etherdelta.withdraw_token(self.sai.address,
sai_balance).transact()
def top_up_bands(self, buy_bands: list, sell_bands: list,
target_price: Wad):
"""Create new buy and sell orders in all send and buy bands if necessary."""
self.top_up_buy_bands(buy_bands, target_price)
self.top_up_sell_bands(sell_bands, target_price)
def top_up_sell_bands(self, sell_bands: list, target_price: Wad):
"""Ensure our sell engagement is not below minimum in all sell bands. Place new orders if necessary."""
our_balance = self.our_balance(self.token_sell())
for band in sell_bands:
orders = [
order for order in self.our_sell_orders()
if band.includes(order, target_price)
]
total_amount = self.total_amount(orders)
if total_amount < band.min_amount:
if self.deposit_for_sell_order_if_needed(band.avg_amount -
total_amount):
return
price = band.avg_price(target_price)
pay_amount = self.fix_amount(
Wad.min(
band.avg_amount - total_amount, our_balance -
self.total_amount(self.our_sell_orders())))
buy_amount = self.fix_amount(pay_amount * price)
if (pay_amount >= band.dust_cutoff) and (
pay_amount > Wad(0)) and (buy_amount > Wad(0)):
self.logger.debug(
f"Using price {price} for new sell order")
order = self.etherdelta.create_order(
pay_token=self.token_sell(),
pay_amount=pay_amount,
buy_token=self.token_buy(),
buy_amount=buy_amount,
expires=self.web3.eth.blockNumber +
self.arguments.order_age)
self.place_order(order)
def top_up_buy_bands(self, buy_bands: list, target_price: Wad):
"""Ensure our buy engagement is not below minimum in all buy bands. Place new orders if necessary."""
our_balance = self.our_balance(self.token_buy())
for band in buy_bands:
orders = [
order for order in self.our_buy_orders()
if band.includes(order, target_price)
]
total_amount = self.total_amount(orders)
if total_amount < band.min_amount:
if self.deposit_for_buy_order_if_needed(band.avg_amount -
total_amount):
return
price = band.avg_price(target_price)
pay_amount = self.fix_amount(
Wad.min(
band.avg_amount - total_amount, our_balance -
self.total_amount(self.our_buy_orders())))
buy_amount = self.fix_amount(pay_amount / price)
if (pay_amount >= band.dust_cutoff) and (
pay_amount > Wad(0)) and (buy_amount > Wad(0)):
self.logger.debug(f"Using price {price} for new buy order")
order = self.etherdelta.create_order(
pay_token=self.token_buy(),
pay_amount=pay_amount,
buy_token=self.token_sell(),
buy_amount=buy_amount,
expires=self.web3.eth.blockNumber +
self.arguments.order_age)
self.place_order(order)
def depositable_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return Wad.max(
eth_balance(self.web3, self.our_address) - self.eth_reserve,
Wad(0))
else:
return ERC20Token(web3=self.web3,
address=token).balance_of(self.our_address)
def deposit_for_sell_order_if_needed(self, desired_order_pay_amount: Wad):
if self.our_balance(self.token_sell()) < desired_order_pay_amount:
return self.deposit_for_sell_order()
else:
return False
def deposit_for_sell_order(self):
depositable_eth = self.depositable_balance(self.token_sell())
if depositable_eth > self.min_eth_deposit:
return self.etherdelta.deposit(depositable_eth).transact(
gas_price=self.gas_price).successful
else:
return False
def deposit_for_buy_order_if_needed(self, desired_order_pay_amount: Wad):
if self.our_balance(self.token_buy()) < desired_order_pay_amount:
return self.deposit_for_buy_order()
else:
return False
def deposit_for_buy_order(self):
depositable_sai = self.depositable_balance(self.token_buy())
if depositable_sai > self.min_sai_deposit:
return self.etherdelta.deposit_token(
self.sai.address,
depositable_sai).transact(gas_price=self.gas_price).successful
else:
return False
def total_amount(self, orders):
return reduce(operator.add,
map(lambda order: order.remaining_sell_amount, orders),
Wad(0))
@staticmethod
def fix_amount(amount: Wad) -> Wad:
# for some reason, the EtherDelta backend rejects offchain orders with some amounts
# for example, the following order:
# self.etherdelta.place_order_offchain(self.sai.address, Wad(93033469375510291122),
# EtherDelta.ETH_TOKEN, Wad(400000000000000000),
# self.web3.eth.blockNumber + 50)
# will get placed correctly, but if we substitute 93033469375510291122 for 93033469375510237227
# the backend will not accept it. this is 100% reproductible with above amounts,
# although I wasn't able to figure out the actual reason
#
# what I have noticed is that rounding the amount seems to help,
# so this is what this particular method does
return Wad(int(amount.value / 10**9) * 10**9)
class EtherDeltaMarketMakerKeeper:
"""Keeper acting as a market maker on EtherDelta, on the ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='etherdelta-market-maker-keeper')
parser.add_argument("--rpc-host", type=str, default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port", type=int, default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout", type=int, default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument("--eth-from", type=str, required=True,
help="Ethereum account from which to send transactions")
parser.add_argument("--tub-address", type=str, required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--etherdelta-address", type=str, required=True,
help="Ethereum address of the EtherDelta contract")
parser.add_argument("--etherdelta-socket", type=str, required=True,
help="Ethereum address of the EtherDelta API socket")
parser.add_argument("--etherdelta-number-of-attempts", type=int, default=3,
help="Number of attempts of running the tool to talk to the EtherDelta API socket")
parser.add_argument("--etherdelta-retry-interval", type=int, default=10,
help="Retry interval for sending orders over the EtherDelta API socket")
parser.add_argument("--etherdelta-timeout", type=int, default=120,
help="Timeout for sending orders over the EtherDelta API socket")
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("--order-age", type=int, required=True,
help="Age of created orders (in blocks)")
parser.add_argument("--order-expiry-threshold", type=int, default=0,
help="Remaining order age (in blocks) at which order is considered already expired, which"
" means the keeper will send a new replacement order slightly ahead")
parser.add_argument("--order-no-cancel-threshold", type=int, default=0,
help="Remaining order age (in blocks) below which keeper does not try to cancel orders,"
" assuming that they will probably expire before the cancel transaction gets mined")
parser.add_argument("--eth-reserve", type=float, required=True,
help="Amount of ETH which will never be deposited so the keeper can cover gas")
parser.add_argument("--min-eth-balance", type=float, default=0,
help="Minimum ETH balance below which keeper will cease operation")
parser.add_argument("--min-eth-deposit", type=float, required=True,
help="Minimum amount of ETH that can be deposited in one transaction")
parser.add_argument("--min-sai-deposit", type=float, required=True,
help="Minimum amount of SAI that can be deposited in one transaction")
parser.add_argument('--cancel-on-shutdown', dest='cancel_on_shutdown', action='store_true',
help="Whether should cancel all open orders on EtherDelta on keeper shutdown")
parser.add_argument('--withdraw-on-shutdown', dest='withdraw_on_shutdown', action='store_true',
help="Whether should withdraw all tokens from EtherDelta on keeper shutdown")
parser.add_argument("--gas-price", type=int, default=0,
help="Gas price (in Wei)")
parser.add_argument("--smart-gas-price", dest='smart_gas_price', action='store_true',
help="Use smart gas pricing strategy, based on the ethgasstation.info feed")
parser.add_argument("--debug", dest='debug', action='store_true',
help="Enable debug output")
parser.set_defaults(cancel_on_shutdown=False, withdraw_on_shutdown=False)
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(HTTPProvider(endpoint_uri=f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
self.web3.eth.defaultAccount = self.arguments.eth_from
self.our_address = Address(self.arguments.eth_from)
self.tub = Tub(web3=self.web3, address=Address(self.arguments.tub_address))
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.bands_config = ReloadableConfig(self.arguments.config)
self.eth_reserve = Wad.from_number(self.arguments.eth_reserve)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.min_eth_deposit = Wad.from_number(self.arguments.min_eth_deposit)
self.min_sai_deposit = Wad.from_number(self.arguments.min_sai_deposit)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments, self.tub)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(self.arguments)
if self.eth_reserve <= self.min_eth_balance:
raise Exception("--eth-reserve must be higher than --min-eth-balance")
assert(self.arguments.order_expiry_threshold >= 0)
assert(self.arguments.order_no_cancel_threshold >= self.arguments.order_expiry_threshold)
self.history = History()
self.etherdelta = EtherDelta(web3=self.web3, address=Address(self.arguments.etherdelta_address))
self.etherdelta_api = EtherDeltaApi(client_tool_directory="lib/pymaker/utils/etherdelta-client",
client_tool_command="node main.js",
api_server=self.arguments.etherdelta_socket,
number_of_attempts=self.arguments.etherdelta_number_of_attempts,
retry_interval=self.arguments.etherdelta_retry_interval,
timeout=self.arguments.etherdelta_timeout)
self.our_orders = list()
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
if self.arguments.cancel_on_shutdown:
self.cancel_all_orders()
if self.arguments.withdraw_on_shutdown:
self.withdraw_everything()
def approve(self):
token_addresses = filter(lambda address: address != EtherDelta.ETH_TOKEN, [self.token_sell(), self.token_buy()])
tokens = list(map(lambda address: ERC20Token(web3=self.web3, address=address), token_addresses))
self.etherdelta.approve(tokens, directly(gas_price=self.gas_price))
def place_order(self, order: Order):
self.our_orders.append(order)
self.etherdelta_api.publish_order(order)
def token_sell(self) -> Address:
return EtherDelta.ETH_TOKEN
def token_buy(self) -> Address:
return self.sai.address
def our_total_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return self.etherdelta.balance_of(self.our_address)
else:
return self.etherdelta.balance_of_token(token, self.our_address)
def our_sell_orders(self):
return list(filter(lambda order: order.buy_token == self.token_buy() and
order.pay_token == self.token_sell(), self.our_orders))
def our_buy_orders(self):
return list(filter(lambda order: order.buy_token == self.token_sell() and
order.pay_token == self.token_buy(), self.our_orders))
def synchronize_orders(self):
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
#
# The exception is when we can withdraw some ETH from EtherDelta. Then we do it and carry on.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
if self.etherdelta.balance_of(self.our_address) > self.eth_reserve:
self.logger.warning(f"Keeper ETH balance below minimum, withdrawing {self.eth_reserve}.")
self.etherdelta.withdraw(self.eth_reserve).transact()
else:
self.logger.warning(f"Keeper ETH balance below minimum, cannot withdraw. Cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config, self.spread_feed, self.history)
block_number = self.web3.eth.blockNumber
target_price = self.price_feed.get_price()
# Remove expired orders from the local order list
self.remove_expired_orders(block_number)
# Cancel orders
cancellable_orders = bands.cancellable_orders(self.our_buy_orders(), self.our_sell_orders(), target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders, block_number)
return
# In case of EtherDelta, balances returned by `our_total_balance` still contain amounts "locked"
# by currently open orders, so we need to explicitly subtract these amounts.
our_buy_balance = self.our_total_balance(self.token_buy()) - Bands.total_amount(self.our_buy_orders())
our_sell_balance = self.our_total_balance(self.token_sell()) - Bands.total_amount(self.our_sell_orders())
# Evaluate if we need to create new orders, and how much do we need to deposit
new_orders, missing_buy_amount, missing_sell_amount = bands.new_orders(our_buy_orders=self.our_buy_orders(),
our_sell_orders=self.our_sell_orders(),
our_buy_balance=our_buy_balance,
our_sell_balance=our_sell_balance,
target_price=target_price)
# If deposited amount too low for placing buy orders, try to deposit.
# If deposited amount too low for placing sell orders, try to deposit.
made_deposit = False
if missing_buy_amount > Wad(0):
if self.deposit_for_buy_order():
made_deposit = True
if missing_sell_amount > Wad(0):
if self.deposit_for_sell_order():
made_deposit = True
# If we managed to deposit something, do not do anything so we can reevaluate new orders to be created.
# Otherwise, create new orders.
if not made_deposit:
self.place_orders(new_orders)
@staticmethod
def is_order_age_above_threshold(order: Order, block_number: int, threshold: int):
return block_number >= order.expires-threshold # we do >= 0, which makes us effectively detect an order
# as expired one block earlier than the contract, but
# this is desirable from the keeper point of view
def is_expired(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(order, block_number, self.arguments.order_expiry_threshold)
def is_non_cancellable(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(order, block_number, self.arguments.order_no_cancel_threshold)
def remove_expired_orders(self, block_number: int):
self.our_orders = list(filter(lambda order: not self.is_expired(order, block_number), self.our_orders))
def cancel_orders(self, orders: Iterable, block_number: int):
cancellable_orders = list(filter(lambda order: not self.is_non_cancellable(order, block_number), orders))
synchronize([self.etherdelta.cancel_order(order).transact_async(gas_price=self.gas_price) for order in cancellable_orders])
self.our_orders = list(set(self.our_orders) - set(cancellable_orders))
def cancel_all_orders(self):
self.cancel_orders(self.our_orders, self.web3.eth.blockNumber)
def place_orders(self, new_orders):
# EtherDelta sometimes rejects orders when the amounts are not rounded. Choice of choosing
# rounding to 9 decimal digits is completely arbitrary as it's not documented anywhere.
for new_order in new_orders:
if new_order.is_sell:
order = self.etherdelta.create_order(pay_token=self.token_sell(),
pay_amount=round(new_order.pay_amount, 9),
buy_token=self.token_buy(),
buy_amount=round(new_order.buy_amount, 9),
expires=self.web3.eth.blockNumber + self.arguments.order_age)
else:
order = self.etherdelta.create_order(pay_token=self.token_buy(),
pay_amount=round(new_order.pay_amount, 9),
buy_token=self.token_sell(),
buy_amount=round(new_order.buy_amount, 9),
expires=self.web3.eth.blockNumber + self.arguments.order_age)
self.place_order(order)
new_order.confirm()
def withdraw_everything(self):
eth_balance = self.etherdelta.balance_of(self.our_address)
if eth_balance > Wad(0):
self.etherdelta.withdraw(eth_balance).transact(gas_price=self.gas_price)
sai_balance = self.etherdelta.balance_of_token(self.sai.address, self.our_address)
if sai_balance > Wad(0):
self.etherdelta.withdraw_token(self.sai.address, sai_balance).transact()
def depositable_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return Wad.max(eth_balance(self.web3, self.our_address) - self.eth_reserve, Wad(0))
else:
return ERC20Token(web3=self.web3, address=token).balance_of(self.our_address)
def deposit_for_sell_order(self):
depositable_eth = self.depositable_balance(self.token_sell())
if depositable_eth > self.min_eth_deposit:
return self.etherdelta.deposit(depositable_eth).transact(gas_price=self.gas_price).successful
else:
return False
def deposit_for_buy_order(self):
depositable_sai = self.depositable_balance(self.token_buy())
if depositable_sai > self.min_sai_deposit:
return self.etherdelta.deposit_token(self.token_buy(), depositable_sai).transact(gas_price=self.gas_price).successful
else:
return False