def __init__(self, hub: aiopubsub.Hub,
currency: mm_bot.model.currency.CurrencyPair, bc_address: str,
bc_scookie: str, bc_wallet_address: str,
bc_private_key_hex: str, base_address: str,
counter_address: str):
self.side = 'maker'
self.name = 'borderless'
self._logger = logging.getLogger(self.__class__.__name__)
self._loop = aiopubsub.loop.Loop(self._run,
delay=config(
'exchange_borderless_loop_delay',
parser=int))
self._hub = hub
self._publisher = aiopubsub.Publisher(self._hub, self.name)
self._currency = currency
self._bc_rpc_address = bc_address
self._bc_rpc_scookie = bc_scookie
self._bc_wallet_address = bc_wallet_address
self._bc_private_key_hex = bc_private_key_hex
self._bc_base_address = base_address
self._bc_counter_address = counter_address
self._last_ask_best: mm_bot.model.book.PriceLevel = None
self._last_bid_best: mm_bot.model.book.PriceLevel = None
def validate_cross_exchange_configs():
invalid_params = []
for param, parser in REQUIRED_PARAMS:
val = config(param, parser=parser)
if val == 'fillme':
invalid_params.append(param)
if len(invalid_params) > 0:
raise InvalidParam('Please fill these values: \n\n' +
'\n'.join(invalid_params))
async def get_open_orders(self) -> List[mm_bot.model.order.Order]:
dry_run = config('dry_run', parser=bool)
if dry_run:
self._logger.info('DRY-RUN, get_open_orders')
return []
json = await _call_js_cli([
'get', 'open_orders', '--bcRpcAddress', self._bc_rpc_address,
'--bcRpcScookie', self._bc_rpc_scookie, '--bcAddress',
self._bc_wallet_address
], self._logger)
orders = []
utc_now = datetime.utcnow()
for order in json:
if self.is_buy_order(self._currency, order):
order_type = OrderType.BUY
elif self.is_sell_order(self._currency, order):
order_type = OrderType.SELL
else:
# other orders that i don't care
continue
tx_hash = order['txHash']
tx_output_index = order['txOutputIndex']
block_height = str(order['tradeHeight'])
o = mm_bot.model.order.MakerOrder(
exchange=self.name,
currency=self._currency.to_currency(),
status=mm_bot.model.constants.Status.OPEN,
order_type=order_type,
order_body=order,
tx_hash=tx_hash,
tx_output_index=tx_output_index,
block_height=block_height,
taker_order_body={},
created_at=utc_now,
updated_at=utc_now)
orders.append(o)
return orders
async def create_orders(self, orders_to_open):
"""
orders_to_open:
[{
'profit': profit
'qty': qty,
'price': best_bid_price_from_maker
}]
"""
dry_run = config('dry_run', parser=bool)
orders_to_return = []
for order in orders_to_open:
if order['order_type'] == mm_bot.model.constants.OrderType.SELL:
order_side = binance.AsyncClient.SIDE_SELL
else:
order_side = binance.AsyncClient.SIDE_BUY
if dry_run:
self._logger.info(f'DRY-RUN: Would create order {order}')
else:
price = self.normalize_price(order['price'])
res = await self._client.create_order(
symbol=self._currency.to_currency(self.name),
side=order_side,
type=binance.AsyncClient.ORDER_TYPE_LIMIT,
timeInForce=binance.AsyncClient.TIME_IN_FORCE_GTC,
quantity=order['qty'],
price=price,
)
order_str = dict(order)
order_str['order_id'] = res['orderId']
order_str['price'] = price
order_str['qty'] = str(order['qty'])
orders_to_return.append(order_str)
self._logger.info(f'Created order {order_str} with res: {res}')
return orders_to_return
async def _call_js_cli(args: List[str],
logger: Optional[logging.Logger] = None):
if logger:
filtered_params = ('--bcPrivateKeyHex', '--privateKey')
log_args = args.copy()
for param in filtered_params:
if param in log_args:
log_args[log_args.index(param) + 1] = '***'
logger.info('call_js_cli %s', ' '.join(log_args))
dry_run = config('dry_run', parser=bool)
cmd = ' '.join(['/usr/bin/env', 'node', str(CLI_PATH)] + args)
proc = await asyncio.create_subprocess_shell(
cmd, stdout=asyncio.subprocess.PIPE, stderr=asyncio.subprocess.PIPE)
stdout, stderr = await proc.communicate()
# print(f'[{cmd!r} exited with {proc.returncode}] out: {stdout}, err: {stderr}')
if proc.returncode == 0:
try:
result = json.loads(stdout.decode('utf8'))
if 'status' in result and result['status'] == 1:
raise JSCallFailedError(result['status'],
stdout.decode('utf8'))
return result
except:
if logger:
logger.exception(
'failed to decode results from borderless cli, %s',
stdout.decode('utf8'))
raise JSCallFailedError(1, stdout.decode('utf8'))
else:
err_msg = stderr.decode('utf8')
if 'ECONNREFUSED' in err_msg:
print('Exiting as it failed to connect to the miner', err_msg)
sys.exit(1)
raise JSCallFailedError(proc.returncode, err_msg)
async def get_unmatched_orders(self):
dry_run = config('dry_run', parser=bool)
if dry_run:
self._logger.info('DRY-RUN, get_unmatched_orders')
return []
json = await _call_js_cli([
'get', 'unmatched_orders', '--bcRpcAddress', self._bc_rpc_address,
'--bcRpcScookie', self._bc_rpc_scookie, '--bcAddress',
self._bc_wallet_address
], self._logger)
unmatched_orders = []
for order in json:
tx_hash = order['txHash']
tx_output_index = order['txOutputIndex']
unmatched_orders.append({
'tx_hash': tx_hash,
'tx_output_index': tx_output_index
})
return unmatched_orders
async def load_config(request):
strategy = 'cross_market'
config_path = get_config_path(strategy)
params = collections.defaultdict(lambda: '')
if os.path.isfile(config_path):
with open(config_path, 'r') as f:
params = yaml.load(f, Loader=yaml.FullLoader)['mmbc']
else:
default_keys = [
'cancel_order_threshold',
'max_open_orders',
'max_open_taker_orders',
'max_qty_per_order',
'min_profitability_rate',
]
for key in default_keys:
params[key] = config(key, parser=str)
template = jinja_env.get_template(f'{strategy}.html')
html_content = template.render(params=params)
return html(html_content)
def validate():
strategy_name = config(STRATEGY_NAME_KEY, parser=str)
if strategy_name == 'cross_market':
validate_cross_exchange_configs()
logger.setLevel(logging.WARN)
session = Session(app, interface=InMemorySessionInterface())
# we a very simple way for auth
app.token = uuid.uuid4().hex
jinja_env = Environment(loader=PackageLoader('server', 'server/templates'))
from mm_bot.config import config
from mm_bot.config.validator import REQUIRED_PARAMS, STRATEGY_NAME_KEY
from mm_bot.helpers import get_config_path, signal_config_reloaded, LOGS_FILE_PATTERN
from mm_bot.model.repository import OrderRepository
url = config('database_url', parser=str)
order_repository = OrderRepository(url)
def get_borderless_balance(endpoint, public_key, scookie):
url = f"{endpoint}/rpc"
payload = {"id":1,"jsonrpc":"2.0","method":"getBalance","params":[public_key]}
headers = {'Content-Type': 'application/json'}
if scookie:
token = ':' + scookie
token = base64.b64encode(token.encode('ascii')).decode('ascii')
headers['authorization'] = f"Basic {token}"
try:
response = requests.request("POST", url, headers=headers, json=payload)
if response.ok:
return response.json()
async def create_orders(self, orders_to_open):
"""
orders_to_open:
[{
'qty': qty,
'order_type': 'sell|buy',
'price': best_bid_price_from_maker,
'ask_nrg_rate': Decimal, # 1 ETH can buy ? NRG
'bid_nrg_rate': Decimal # 1 BTC can buy ? NRG
}]
1. call js lib to create order in borderless
2. create maker orders and save them to db
"""
results = []
for order in orders_to_open:
if order['order_type'] == OrderType.BUY:
# eg: ETH/BTC, base is ETH, quote is BTC
# if BUY ETH/BTC, you receive ETH (base) and send BTC (counter)
# currency.base = receives_to_chain = bids and vice-versa
receives_to_chain = self._currency.base.lower()
receives_unit = decimal_to_str(order['qty'])
sends_from_chain = self._currency.counter.lower()
sends_unit = decimal_to_str(order['qty'] * order['price'])
# BTC NRG rate, if i default to send sends_unit (BTC)
sends_from_address = self._bc_counter_address
receives_to_address = self._bc_base_address
else:
# if SELL ETH/BTC, you receive BTC and send ETH
receives_to_chain = self._currency.counter.lower()
receives_unit = decimal_to_str(order['qty'] * order['price'])
sends_from_chain = self._currency.base.lower()
sends_unit = decimal_to_str(order['qty'])
# ETH NRG rate, if i default to send sends_unit (ETH)
sends_from_address = self._bc_base_address
receives_to_address = self._bc_counter_address
# I loss my collateralized_nrg, so use sends_from_chain
collateralized_nrg = await self.calculate_collateralized_nrg(
sends_from_chain, Decimal(sends_unit))
order_body = {
'collateralizedNrg': collateralized_nrg,
'sendsFromChain': sends_from_chain,
'sendsUnit': sends_unit,
'receivesUnit': receives_unit,
'receivesToChain': receives_to_chain,
'orderType': order['order_type'],
'askNrgRate': decimal_to_str(order['ask_nrg_rate']),
'bidNrgRate': decimal_to_str(order['bid_nrg_rate']),
'qty': decimal_to_str(order['qty']),
}
self._logger.info(f'Creating order {order_body}')
dry_run = config('dry_run', parser=bool)
if dry_run:
self._logger.info('DRY-RUN, create maker order, %s', order)
continue
else:
json = await _call_js_cli(
[
'create',
'maker',
'--bcRpcAddress',
self._bc_rpc_address,
'--bcRpcScookie',
self._bc_rpc_scookie,
'--bcAddress',
self._bc_wallet_address,
'--shiftMaker',
self.get_confirmation_blocks(sends_from_chain),
'--shiftTaker',
self.get_confirmation_blocks(receives_to_chain),
'--depositLength',
config('exchange_borderless_deposit_length',
parser=str),
'--settleLength',
config('exchange_borderless_settlement_window_length',
parser=str),
'--sendsFromChain',
sends_from_chain,
'--receivesToChain',
receives_to_chain,
'--sendsFromAddress',
sends_from_address,
'--receivesToAddress',
receives_to_address,
'--sendsUnit',
sends_unit,
'--receivesUnit',
receives_unit,
'--bcPrivateKeyHex',
self._bc_private_key_hex,
'--collateralizedNrg',
collateralized_nrg,
'--nrgUnit',
collateralized_nrg, # does not allow partial order
'--additionalTxFee',
'0'
],
self._logger)
self._logger.info(f'Created order {json}')
json['order_body'] = order_body
results.append(json)
return results
async def get_order_book(
self, currency: mm_bot.model.currency.CurrencyPair
) -> mm_bot.model.book.OrderBook:
dry_run = config('dry_run', parser=bool)
if dry_run:
self._logger.info('DRY-RUN, get_order_book')
return mm_bot.model.book.OrderBook([], [], 0, 0)
json = await _call_js_cli([
'get',
'order_book',
'--bcRpcAddress',
self._bc_rpc_address,
'--bcRpcScookie',
self._bc_rpc_scookie,
'--bcAddress',
self._bc_wallet_address,
])
# key is price, value is quantity
json_bids: DefaultDict[Decimal, Decimal] = collections.defaultdict(
lambda: Decimal('0'))
json_asks: DefaultDict[Decimal, Decimal] = collections.defaultdict(
lambda: Decimal('0'))
bid_nrg_rate = Decimal('0')
ask_nrg_rate = Decimal('0')
for order in json:
price = self.calc_price(currency, order)
quantity = self.calc_quantity(currency, order)
if self.is_buy_order(currency, order):
json_bids[price] += quantity
sends_unit = Decimal(order['sendsUnit'])
bid_nrg_rate += (Decimal(order['collateralizedNrg']) /
sends_unit)
elif self.is_sell_order(currency, order):
json_asks[price] += quantity
sends_unit = Decimal(order['sendsUnit'])
ask_nrg_rate += (Decimal(order['collateralizedNrg']) /
sends_unit)
else:
# idon't care this
continue
bid = [
mm_bot.model.book.PriceLevel(price, quantity)
for price, quantity in json_bids.items()
]
ask = [
mm_bot.model.book.PriceLevel(price, quantity)
for price, quantity in json_asks.items()
]
bid = sorted(bid, key=lambda p: p.price, reverse=True)
ask = sorted(ask, key=lambda p: p.price)
if len(bid) == 0:
bid_nrg_rate = Decimal('0')
else:
bid_nrg_rate = bid_nrg_rate / len(bid)
if len(ask) == 0:
ask_nrg_rate = Decimal('0')
else:
ask_nrg_rate = ask_nrg_rate / len(ask)
return mm_bot.model.book.OrderBook(bid, ask, bid_nrg_rate,
ask_nrg_rate)