async def create_base_proposals(self) -> List[ArbProposal]:
"""
Creates a list of 2 base proposals, no filter.
:return: A list of 2 base proposals.
"""
tasks = [
self._spot_market_info.market.get_order_price(
self._spot_market_info.trading_pair, True, self._order_amount),
self._spot_market_info.market.get_order_price(
self._spot_market_info.trading_pair, False,
self._order_amount),
self._perp_market_info.market.get_order_price(
self._perp_market_info.trading_pair, True, self._order_amount),
self._perp_market_info.market.get_order_price(
self._perp_market_info.trading_pair, False, self._order_amount)
]
prices = await safe_gather(*tasks, return_exceptions=True)
spot_buy, spot_sell, perp_buy, perp_sell = [*prices]
return [
ArbProposal(
ArbProposalSide(self._spot_market_info, True, spot_buy),
ArbProposalSide(self._perp_market_info, False, perp_sell),
self._order_amount),
ArbProposal(
ArbProposalSide(self._spot_market_info, False, spot_sell),
ArbProposalSide(self._perp_market_info, True, perp_buy),
self._order_amount)
]
def test_check_budget_constraint(self):
proposal = ArbProposal(ArbProposalSide(self.spot_market_info, False, Decimal("100")),
ArbProposalSide(self.perp_market_info, True, Decimal("100")),
Decimal("1"))
self.spot_connector.set_balance(base_asset, 0.5)
self.spot_connector.set_balance(quote_asset, 0)
self.perp_connector.set_balance(base_asset, 0)
self.perp_connector.set_balance(quote_asset, 21)
# Since spot has 0.5 HBOT, not enough to sell on 1 order amount
self.assertFalse(self.strategy.check_budget_constraint(proposal))
self.spot_connector.set_balance(base_asset, 1)
self.assertTrue(self.strategy.check_budget_constraint(proposal))
# on perpetual you need at least 100/5 to open a position
self.perp_connector.set_balance(quote_asset, 10)
self.assertFalse(self.strategy.check_budget_constraint(proposal))
# There is no balance required to close a position
self.perp_connector._account_positions[trading_pair] = Position(
trading_pair,
PositionSide.SHORT,
Decimal("0"),
Decimal("95"),
Decimal("-1"),
self.perp_connector.get_leverage(trading_pair)
)
self.assertTrue(self.strategy.check_budget_constraint(proposal))
def test_arb_proposal(self):
spot_connector = MagicMock()
spot_connector.display_name = "Binance"
spot_market_info = MarketTradingPairTuple(spot_connector,
self.trading_pair,
self.base_token,
self.quote_token)
perp_connector = MagicMock()
perp_connector.display_name = "Binance Perpetual"
perp_market_info = MarketTradingPairTuple(perp_connector,
self.trading_pair,
self.base_token,
self.quote_token)
spot_side = ArbProposalSide(spot_market_info, True, Decimal(100))
perp_side = ArbProposalSide(perp_market_info, False, Decimal(110))
proposal = ArbProposal(spot_side, perp_side, Decimal("1"))
self.assertEqual(Decimal("0.1"), proposal.profit_pct())
expected_str = "Spot: Binance: Buy BTC at 100 USDT.\n" \
"Perpetual: Binance perpetual: Sell BTC at 110 USDT.\n" \
"Order amount: 1\n" \
"Profit: 10.00%"
self.assertEqual(expected_str, str(proposal))
perp_side = ArbProposalSide(perp_market_info, True, Decimal(110))
with self.assertRaises(Exception) as context:
proposal = ArbProposal(spot_side, perp_side, Decimal("1"))
self.assertEqual(
'Spot and perpetual arb proposal cannot be on the same side.',
str(context.exception))
def test_apply_slippage_buffers(self):
proposal = ArbProposal(ArbProposalSide(self.spot_market_info, True, Decimal("100")),
ArbProposalSide(self.perp_market_info, False, Decimal("100")),
Decimal("1"))
self.strategy._spot_market_slippage_buffer = Decimal("0.01")
self.strategy._perp_market_slippage_buffer = Decimal("0.02")
self.strategy.apply_slippage_buffers(proposal)
self.assertEqual(Decimal("101"), proposal.spot_side.order_price)
self.assertEqual(Decimal("98"), proposal.perp_side.order_price)
def exec_hedge_side(self, event, market_info, is_buy):
p = ArbProposalSide(
self._derivative_market_infos[market_info.trading_pair],
not is_buy, event.price, event.amount)
safe_ensure_future(self.execute_derivative_side(p))
