def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='bitso-market-maker-keeper')
parser.add_argument(
"--bitso-api-server",
type=str,
default="https://api.bitso.com",
help=
"Address of the bitso API server (default: 'https://api.bitso.com')"
)
parser.add_argument("--bitso-api-key",
type=str,
required=True,
help="API key for the Bitso API")
parser.add_argument(
"--bitso-secret-key",
type=str,
required=True,
help="RSA Private Key for signing requests to the BitsoX API")
parser.add_argument(
"--bitso-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Bitso 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("--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(
"--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.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.bitso_api = BitsoApi(api_server=self.arguments.bitso_api_server,
api_key=self.arguments.bitso_api_key,
secret_key=self.arguments.bitso_secret_key,
timeout=self.arguments.bitso_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.bitso_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.bitso_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.bitso_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()
class BitsoMarketMakerKeeper:
"""Keeper acting as a market maker on Bitso."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='bitso-market-maker-keeper')
parser.add_argument(
"--bitso-api-server",
type=str,
default="https://api.bitso.com",
help=
"Address of the bitso API server (default: 'https://api.bitso.com')"
)
parser.add_argument("--bitso-api-key",
type=str,
required=True,
help="API key for the Bitso API")
parser.add_argument(
"--bitso-secret-key",
type=str,
required=True,
help="RSA Private Key for signing requests to the BitsoX API")
parser.add_argument(
"--bitso-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Bitso 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("--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(
"--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.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.bitso_api = BitsoApi(api_server=self.arguments.bitso_api_server,
api_key=self.arguments.bitso_api_key,
secret_key=self.arguments.bitso_secret_key,
timeout=self.arguments.bitso_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.bitso_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.bitso_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.bitso_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):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.lower()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].lower()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].lower()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
balance = list(filter(lambda x: x['currency'] == token,
our_balances))[0]['total']
return Wad.from_number(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 synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# 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)
return
# 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
# 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
# Convert wad to float as Bitso limits amount decimal places to 8, and price to 2
float_price = round(Wad.__float__(new_order_to_be_placed.price), 2)
float_amount = round(Wad.__float__(amount), 8)
side = "sell" if new_order_to_be_placed.is_sell == True else "buy"
order_id = self.bitso_api.place_order(book=self.pair(),
side=side,
price=float_price,
amount=float_amount)
timestamp = datetime.now(tz=timezone.utc).isoformat()
return Order(str(order_id), timestamp, self.pair(),
new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class TestBitso:
def setup_method(self):
self.bitso = BitsoApi(api_server="localhost",
api_key="00000000-0000-0000-0000-000000000000",
secret_key="bitsosecretkey",
timeout=15.5)
def test_convert_iso_to_unix(self):
iso_timestamp = datetime.now(tz=timezone.utc).isoformat()
assert (isinstance(iso_timestamp, str))
unix_timestamp = iso8601_to_unix(iso_timestamp)
assert (isinstance(unix_timestamp, int))
def test_get_markets(self, mocker):
mocker.patch("requests.request",
side_effect=BitsoMockServer.handle_request)
response = self.bitso.get_markets()
assert (len(response) > 0)
assert (any(x["book"] == "eth_mxn" for x in response))
def test_order(self):
price = Wad.from_number(4.8765)
amount = Wad.from_number(0.222)
remaining_amount = Wad.from_number(0.153)
order = Order(order_id="153153",
timestamp=iso8601_to_unix(
datetime.now(tz=timezone.utc).isoformat()),
pair="eth_mxn",
is_sell=False,
price=price,
amount=amount)
assert (order.price == order.sell_to_buy_price)
assert (order.price == order.buy_to_sell_price)
def test_get_balances(self, mocker):
mocker.patch("requests.request",
side_effect=BitsoMockServer.handle_request)
response = self.bitso.get_balances()
assert (len(response) > 0)
for balance in response:
if "eth" in balance["currency"]:
assert (float(balance["total"]) > 0)
@staticmethod
def check_orders(orders):
by_oid = {}
duplicate_count = 0
duplicate_first_found = -1
current_time = iso8601_to_unix(
datetime.now(tz=timezone.utc).isoformat())
for index, order in enumerate(orders):
assert (isinstance(order, Order))
assert (order.order_id is not None)
assert (order.timestamp < current_time)
# Check for duplicates
if order.order_id in by_oid:
duplicate_count += 1
if duplicate_first_found < 0:
duplicate_first_found = index
else:
by_oid[order.order_id] = order
if duplicate_count > 0:
print(f"{duplicate_count} duplicate orders were found, "
f"starting at index {duplicate_first_found}")
else:
print("no duplicates were found")
assert (duplicate_count == 0)
def test_get_orders(self, mocker):
instrument_id = "eth_mxn"
mocker.patch("requests.request",
side_effect=BitsoMockServer.handle_request)
response = self.bitso.get_orders(instrument_id)
assert (len(response) > 0)
for order in response:
assert (isinstance(order.is_sell, bool))
assert (Wad(order.price) > Wad(0))
TestBitso.check_orders(response)
def test_order_placement_and_cancellation(self, mocker):
instrument_id = "eth_mxn"
side = "sell"
mocker.patch("requests.request",
side_effect=BitsoMockServer.handle_request)
order_id = self.bitso.place_order(instrument_id, side, 4400.000, .01)
assert (isinstance(order_id, str))
assert (order_id is not None)
cancel_result = self.bitso.cancel_order(order_id)
assert (cancel_result is True)
@staticmethod
def check_trades(trades):
by_tradeid = {}
duplicate_count = 0
duplicate_first_found = -1
missorted_found = False
last_timestamp = 0
for index, trade in enumerate(trades):
assert (isinstance(trade, Trade))
if trade.trade_id in by_tradeid:
print(f"found duplicate trade {trade.trade_id}")
duplicate_count += 1
if duplicate_first_found < 0:
duplicate_first_found = index
else:
by_tradeid[trade.trade_id] = trade
if not missorted_found and last_timestamp > 0:
if trade.timestamp > last_timestamp:
print(f"missorted trade found at index {index}")
missorted_found = True
last_timestamp = trade.timestamp
if duplicate_count > 0:
print(f"{duplicate_count} duplicate trades were found, "
f"starting at index {duplicate_first_found}")
else:
print("no duplicates were found")
assert (duplicate_count == 0)
assert (missorted_found is False)
def test_get_trades(self, mocker):
instrument_id = "eth_mxn"
mocker.patch("requests.request",
side_effect=BitsoMockServer.handle_request)
response = self.bitso.get_trades(instrument_id)
assert (len(response) > 0)
TestBitso.check_trades(response)
def setup_method(self):
self.bitso = BitsoApi(api_server="localhost",
api_key="00000000-0000-0000-0000-000000000000",
secret_key="bitsosecretkey",
timeout=15.5)
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
#
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <http://www.gnu.org/licenses/>.
import sys
from pyexchange.bitso import BitsoApi
from pymaker.numeric import Wad
bitso = BitsoApi('https://api.bitso.com', sys.argv[1], sys.argv[2], 9.5)
print("Starting BitsoApi with the following parameters: ", sys.argv)
# GET "/v3/balance/"
# print(bitso.get_balances())
#print(bitso.get_markets())
# print(bitso.get_pair('ETH/USDC'))
# GET "/api/v1/orders"
# print(bitso.get_orders('eth_mxn'))
# POST /api/v1/orders
# print(bitso.place_order('eth_mxn', 'buy', 5200.000, .01))
# DELETE /api/v1/orders/{order_id}