def setUp(self):
self.amm_1: MockAMM = MockAMM("onion")
self.amm_1.set_balance(base_asset, 500)
self.amm_1.set_balance(quote_asset, 500)
self.market_info_1 = MarketTradingPairTuple(self.amm_1, trading_pair,
base_asset, quote_asset)
self.amm_2: MockAMM = MockAMM("garlic")
self.amm_2.set_balance(base_asset, 500)
self.amm_2.set_balance(quote_asset, 500)
self.market_info_2 = MarketTradingPairTuple(self.amm_2, trading_pair,
base_asset, quote_asset)
self.strategy = AmmArbStrategy(
self.market_info_1,
self.market_info_2,
min_profitability=Decimal("0.01"),
order_amount=Decimal("1"),
market_1_slippage_buffer=Decimal("0.001"),
market_2_slippage_buffer=Decimal("0.002"),
)
self.clock.add_iterator(self.amm_1)
self.clock.add_iterator(self.amm_2)
self.clock.add_iterator(self.strategy)
self.market_order_fill_logger: EventLogger = EventLogger()
self.amm_1.add_listener(MarketEvent.OrderFilled,
self.market_order_fill_logger)
self.amm_2.add_listener(MarketEvent.OrderFilled,
self.market_order_fill_logger)
def test_non_concurrent_orders_submission(self):
# On non concurrent orders submission, the second leg of the arb trade has to wait for the first leg order gets
# filled.
self.strategy = AmmArbStrategy()
self.strategy.init_params(self.market_info_1,
self.market_info_2,
min_profitability=Decimal("0.01"),
order_amount=Decimal("1"),
concurrent_orders_submission=False)
self.clock.add_iterator(self.strategy)
asyncio.ensure_future(self.clock.run())
self.amm_1.set_prices(trading_pair, True, 101)
self.amm_1.set_prices(trading_pair, False, 100)
self.amm_2.set_prices(trading_pair, True, 105)
self.amm_2.set_prices(trading_pair, False, 104)
self.ev_loop.run_until_complete(asyncio.sleep(1.5))
placed_orders = self.strategy.tracked_limit_orders
self.assertEqual(1, len(placed_orders))
# Only one order submitted at this point, the one from amm_1
amm_1_order = [
order for market, order in placed_orders if market == self.amm_1
][0]
amm_2_orders = [
order for market, order in placed_orders if market == self.amm_2
]
self.assertEqual(0, len(amm_2_orders))
self.assertEqual(True, amm_1_order.is_buy)
self.trigger_order_complete(True, self.amm_1, amm_1_order.quantity,
amm_1_order.price,
amm_1_order.client_order_id)
# After the first leg order completed, the second one is now submitted.
self.ev_loop.run_until_complete(asyncio.sleep(1.5))
placed_orders = self.strategy.tracked_limit_orders
amm_2_orders = [
order for market, order in placed_orders if market == self.amm_2
]
self.assertEqual(1, len(amm_2_orders))
amm_2_order = amm_2_orders[0]
self.assertEqual(False, amm_2_order.is_buy)
self.trigger_order_complete(False, self.amm_2, amm_2_order.quantity,
amm_2_order.price,
amm_2_order.client_order_id)
self.ev_loop.run_until_complete(asyncio.sleep(1.5))
placed_orders = self.strategy.tracked_limit_orders
new_amm_1_order = [
order for market, order in placed_orders if market == self.amm_1
][0]
# Check if new order is submitted when arb opportunity still presents
self.assertNotEqual(amm_1_order.client_order_id,
new_amm_1_order.client_order_id)
def setUp(self):
self.clock: Clock = Clock(ClockMode.REALTIME)
self.stack: contextlib.ExitStack = contextlib.ExitStack()
self.amm_1: MockAMM = MockAMM(
name="onion",
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.amm_1.set_balance(BASE_ASSET, 500)
self.amm_1.set_balance(QUOTE_ASSET, 500)
self.market_info_1 = MarketTradingPairTuple(self.amm_1, TRADING_PAIR, BASE_ASSET, QUOTE_ASSET)
self.amm_2: MockAMM = MockAMM(
name="garlic",
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.amm_2.set_balance(BASE_ASSET, 500)
self.amm_2.set_balance(QUOTE_ASSET, 500)
self.market_info_2 = MarketTradingPairTuple(self.amm_2, TRADING_PAIR, BASE_ASSET, QUOTE_ASSET)
# Set some default prices.
self.amm_1.set_prices(TRADING_PAIR, True, 101)
self.amm_1.set_prices(TRADING_PAIR, False, 100)
self.amm_2.set_prices(TRADING_PAIR, True, 105)
self.amm_2.set_prices(TRADING_PAIR, False, 104)
self.strategy = AmmArbStrategy()
self.strategy.init_params(
self.market_info_1,
self.market_info_2,
min_profitability=Decimal("0.01"),
order_amount=Decimal("1"),
market_1_slippage_buffer=Decimal("0.001"),
market_2_slippage_buffer=Decimal("0.002"),
)
self.rate_source: FixedRateSource = FixedRateSource()
self.strategy.rate_source = self.rate_source
self.clock.add_iterator(self.amm_1)
self.clock.add_iterator(self.amm_2)
self.clock.add_iterator(self.strategy)
self.market_order_fill_logger: EventLogger = EventLogger()
self.amm_1.add_listener(MarketEvent.OrderFilled, self.market_order_fill_logger)
self.amm_2.add_listener(MarketEvent.OrderFilled, self.market_order_fill_logger)
self.rate_source.add_rate("ETH-USDT", Decimal(3000))
self.stack.enter_context(self.clock)
self.stack.enter_context(patch(
"hummingbot.client.config.trade_fee_schema_loader.TradeFeeSchemaLoader.configured_schema_for_exchange",
return_value=TradeFeeSchema()
))
self.clock_task: asyncio.Task = safe_ensure_future(self.clock.run())