def __init__(self,
trading_pairs: List[str],
wallet_private_key: str,
ethereum_rpc_url: str, # not used, but left in place to be consistent with other gateway connectors
trading_required: bool = True
):
"""
:param trading_pairs: a list of trading pairs
:param wallet_private_key: a private key for eth wallet
:param trading_required: Whether actual trading is needed.
"""
ExchangeBase.__init__(self)
PerpetualTrading.__init__(self)
self._trading_pairs = trading_pairs
self._wallet_private_key = wallet_private_key
self._trading_required = trading_required
self._ev_loop = asyncio.get_event_loop()
self._shared_client = None
self._last_poll_timestamp = 0.0
self._last_balance_poll_timestamp = time.time()
self._in_flight_orders = {}
self._allowances = {}
self._status_polling_task = None
self._auto_approve_task = None
self._real_time_balance_update = False
self._poll_notifier = None
self._funding_payment_span = [120, 120]
self._fundingPayment = {}
self._budget_checker = PerpetualBudgetChecker(self)
def __init__(
self,
client_config_map: "ClientConfigAdapter",
bitmex_api_key: str = None,
bitmex_api_secret: str = None,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
domain: str = CONSTANTS.DOMAIN,
):
self._bitmex_time_synchronizer = TimeSynchronizer()
self._auth: BitmexAuth = BitmexAuth(api_key=bitmex_api_key,
api_secret=bitmex_api_secret)
self._trading_pairs = trading_pairs
self._trading_required = trading_required
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._domain = domain
self._api_factory = web_utils.build_api_factory(auth=self._auth)
self._rest_assistant: Optional[RESTAssistant] = None
self._ws_assistant: Optional[WSAssistant] = None
ExchangeBase.__init__(self, client_config_map=client_config_map)
self._user_stream_tracker = BitmexUserStreamTracker(
auth=self._auth,
domain=self._domain,
throttler=self._throttler,
api_factory=self._api_factory,
time_synchronizer=self._bitmex_time_synchronizer)
self._order_book_tracker = BitmexOrderBookTracker(
trading_pairs=trading_pairs,
domain=self._domain,
throttler=self._throttler,
api_factory=self._api_factory)
self._ev_loop = asyncio.get_event_loop()
self._poll_notifier = asyncio.Event()
self._order_not_found_records = defaultdict(int)
self._last_timestamp = 0
self._trading_rules = {}
self._in_flight_orders = {}
self._status_polling_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._user_stream_tracker_task = None
self._last_poll_timestamp = 0
self._client_order_tracker: ClientOrderTracker = ClientOrderTracker(
connector=self)
self._trading_pair_to_multipliers = {}
self._trading_pair_price_estimate_for_quantize = {}
self._token_multiplier = {}
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.markets = {"binance": ExchangeBase(), "kucoin": ExchangeBase()}
self.notifications = []
self.log_errors = []
assign_config_default(strategy_cmap)
strategy_cmap.get("maker_market").value = "binance"
strategy_cmap.get("taker_market").value = "kucoin"
strategy_cmap.get("maker_market_trading_pair").value = "ETH-USDT"
strategy_cmap.get("taker_market_trading_pair").value = "ETH-USDT"
strategy_cmap.get("order_amount").value = Decimal("1")
strategy_cmap.get("min_profitability").value = Decimal("2")
global_config_map.get("strategy_report_interval").value = 60.
strategy_cmap.get("use_oracle_conversion_rate").value = False
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.markets = {"binance": ExchangeBase()}
self.assets = set()
self.notifications = []
self.log_errors = []
assign_config_default(strategy_cmap)
strategy_cmap.get("exchange").value = "binance"
strategy_cmap.get("market").value = "balancer"
strategy_cmap.get("order_amount").value = Decimal("1")
strategy_cmap.get("order_refresh_time").value = 60.
strategy_cmap.get("hanging_orders_enabled").value = True
strategy_cmap.get("hanging_orders_cancel_pct").value = Decimal("1")
# strategy_cmap.get("hanging_orders_aggregation_type").value = "VOLUME_WEIGHTED"
strategy_cmap.get("parameters_based_on_spread").value = True
strategy_cmap.get("min_spread").value = Decimal("2")
strategy_cmap.get("max_spread").value = Decimal("3")
strategy_cmap.get("vol_to_spread_multiplier").value = Decimal("1.1")
strategy_cmap.get("volatility_sensibility").value = Decimal("2.2")
strategy_cmap.get("inventory_risk_aversion").value = Decimal("0.1")
strategy_cmap.get("risk_factor").value = Decimal("1.11")
strategy_cmap.get("order_book_depth_factor").value = Decimal("2.22")
strategy_cmap.get("order_amount_shape_factor").value = Decimal("3.33")
self.raise_exception_for_market_initialization = False
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.markets = {"binance": ExchangeBase()}
self.assets = set()
self.notifications = []
self.log_errors = []
assign_config_default(strategy_cmap)
strategy_cmap.get("exchange").value = "binance"
strategy_cmap.get("markets").value = "BTC-USDT,ETH-USDT"
strategy_cmap.get("token").value = "USDT"
strategy_cmap.get("order_amount").value = Decimal("1")
strategy_cmap.get("spread").value = Decimal("2")
strategy_cmap.get("inventory_skew_enabled").value = False
strategy_cmap.get("target_base_pct").value = Decimal("50")
strategy_cmap.get("order_refresh_time").value = 60.
strategy_cmap.get("order_refresh_tolerance_pct").value = Decimal("1.5")
strategy_cmap.get("inventory_range_multiplier").value = Decimal("2")
strategy_cmap.get("volatility_interval").value = 30
strategy_cmap.get("avg_volatility_period").value = 5
strategy_cmap.get("volatility_to_spread_multiplier").value = Decimal(
"1.1")
strategy_cmap.get("max_spread").value = Decimal("4")
strategy_cmap.get("max_order_age").value = 300.
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.markets = {"binance": ExchangeBase(client_config_map=ClientConfigAdapter(ClientConfigMap()))}
self.notifications = []
self.log_records = []
self.base = "ETH"
self.quote = "BTC"
self.strategy_config_map = ClientConfigAdapter(
AvellanedaMarketMakingConfigMap(
exchange="binance",
market=combine_to_hb_trading_pair(self.base, self.quote),
execution_timeframe_mode=FromDateToDateModel(
start_datetime="2021-11-18 15:00:00",
end_datetime="2021-11-18 16:00:00",
),
order_amount=60,
order_refresh_time=60,
hanging_orders_mode=TrackHangingOrdersModel(
hanging_orders_cancel_pct=1,
),
order_levels_mode=MultiOrderLevelModel(
order_levels=4,
level_distances=1,
),
min_spread=2,
risk_factor=1.11,
order_amount_shape_factor=0.33,
)
)
self.raise_exception_for_market_initialization = False
self._logger = None
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.markets = {"binance": ExchangeBase()}
self.notifications = []
self.log_errors = []
assign_config_default(strategy_cmap)
strategy_cmap.get("secondary_exchange").value = "binance"
strategy_cmap.get("secondary_market").value = "CELO-USDT"
strategy_cmap.get("order_amount").value = Decimal("1")
strategy_cmap.get("min_profitability").value = Decimal("2")
strategy_cmap.get("celo_slippage_buffer").value = Decimal("3")
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.markets = {"binance": ExchangeBase()}
self.notifications = []
self.log_errors = []
assign_config_default(c_map)
c_map.get("derivative").value = "binance"
c_map.get("market").value = "ETH-USDT"
c_map.get("leverage").value = Decimal("5")
c_map.get("order_amount").value = Decimal("1")
c_map.get("order_refresh_time").value = 60.
c_map.get("bid_spread").value = Decimal("1")
c_map.get("ask_spread").value = Decimal("2")
def quantize_order_amount(self, trading_pair: str, amount: Decimal, price: Decimal = s_decimal_0) -> Decimal:
trading_rule = self._trading_rules[trading_pair]
quantized_amount = ExchangeBase.quantize_order_amount(self, trading_pair, amount)
current_price = self.get_price(trading_pair, False)
calc_price = current_price if price == s_decimal_0 else price
notional_size = calc_price * quantized_amount
if notional_size < trading_rule.min_notional_size * Decimal("1"):
return s_decimal_0
return quantized_amount
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.markets = {"binance": ExchangeBase(), "kucoin": MockPerpConnector()}
self.notifications = []
self.log_errors = []
assign_config_default(strategy_cmap)
strategy_cmap.get("spot_connector").value = "binance"
strategy_cmap.get("spot_market").value = "BTC-USDT"
strategy_cmap.get("perpetual_connector").value = "kucoin"
strategy_cmap.get("perpetual_market").value = "BTC-USDT"
strategy_cmap.get("order_amount").value = Decimal("1")
strategy_cmap.get("perpetual_leverage").value = Decimal("2")
strategy_cmap.get("min_opening_arbitrage_pct").value = Decimal("10")
strategy_cmap.get("min_closing_arbitrage_pct").value = Decimal("1")
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.client_config_map = ClientConfigAdapter(ClientConfigMap())
self.markets = {"binance": ExchangeBase(client_config_map=self.client_config_map)}
self.notifications = []
self.log_errors = []
assign_config_default(c_map)
c_map.get("exchange").value = "binance"
c_map.get("market").value = "ETH-USDT"
c_map.get("order_amount").value = Decimal("1")
c_map.get("order_refresh_time").value = 60.
c_map.get("max_order_age").value = 300.
c_map.get("bid_spread").value = Decimal("1")
c_map.get("ask_spread").value = Decimal("2")
c_map.get("minimum_spread").value = Decimal("0.5")
c_map.get("price_ceiling").value = Decimal("100")
c_map.get("price_floor").value = Decimal("50")
c_map.get("ping_pong_enabled").value = False
c_map.get("order_levels").value = 2
c_map.get("order_level_amount").value = Decimal("0.5")
c_map.get("order_level_spread").value = Decimal("0.2")
c_map.get("inventory_skew_enabled").value = True
c_map.get("inventory_target_base_pct").value = Decimal("50")
c_map.get("inventory_range_multiplier").value = Decimal("2")
c_map.get("filled_order_delay").value = 45.
c_map.get("hanging_orders_enabled").value = True
c_map.get("hanging_orders_cancel_pct").value = Decimal("6")
c_map.get("order_optimization_enabled").value = False
c_map.get("ask_order_optimization_depth").value = Decimal("0.01")
c_map.get("bid_order_optimization_depth").value = Decimal("0.02")
c_map.get("add_transaction_costs").value = False
c_map.get("price_source").value = "external_market"
c_map.get("price_type").value = "best_bid"
c_map.get("price_source_exchange").value = "ascend_ex"
c_map.get("price_source_market").value = "ETH-DAI"
c_map.get("price_source_custom_api").value = "localhost.test"
c_map.get("order_refresh_tolerance_pct").value = Decimal("2")
c_map.get("order_override").value = None
c_map.get("split_order_levels_enabled").value = True
c_map.get("bid_order_level_spreads").value = "1,2"
c_map.get("ask_order_level_spreads").value = "1,2"
c_map.get("bid_order_level_amounts").value = "1,2"
c_map.get("ask_order_level_amounts").value = None
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.markets = {"binance": ExchangeBase()}
self.notifications = []
self.log_errors = []
assign_config_default(strategy_cmap)
strategy_cmap.get("exchange").value = "binance"
strategy_cmap.get("market").value = "balancer"
strategy_cmap.get("execution_timeframe").value = "from_date_to_date"
strategy_cmap.get("start_time").value = "2021-11-18 15:00:00"
strategy_cmap.get("end_time").value = "2021-11-18 16:00:00"
strategy_cmap.get("order_amount").value = Decimal("1")
strategy_cmap.get("order_refresh_time").value = 60.
strategy_cmap.get("hanging_orders_enabled").value = True
strategy_cmap.get("hanging_orders_cancel_pct").value = Decimal("1")
# strategy_cmap.get("hanging_orders_aggregation_type").value = "VOLUME_WEIGHTED"
strategy_cmap.get("min_spread").value = Decimal("2")
strategy_cmap.get("risk_factor").value = Decimal("1.11")
strategy_cmap.get("order_levels").value = Decimal("4")
strategy_cmap.get("level_distances").value = Decimal("1")
strategy_cmap.get("order_amount_shape_factor").value = Decimal("3.33")
self.raise_exception_for_market_initialization = False
def setUp(self) -> None:
super().setUp()
self.strategy = None
self.client_config_map = ClientConfigAdapter(ClientConfigMap())
self.markets = {
"binance": ExchangeBase(client_config_map=self.client_config_map)
}
self.notifications = []
self.log_errors = []
assign_config_default(c_map)
c_map.get("exchange").value = "binance"
c_map.get("market").value = "ETH-USDT"
c_map.get("n_levels").value = 10
c_map.get("grid_price_ceiling").value = Decimal("5000")
c_map.get("grid_price_floor").value = Decimal("2000")
c_map.get("start_order_spread").value = Decimal("1")
c_map.get("order_refresh_time").value = 60.
c_map.get("max_order_age").value = 300.
c_map.get("order_refresh_tolerance_pct").value = Decimal("2")
c_map.get("order_amount").value = Decimal("1")
c_map.get("order_optimization_enabled").value = False
c_map.get("ask_order_optimization_depth").value = Decimal("0.01")
c_map.get("bid_order_optimization_depth").value = Decimal("0.02")