class ZrxMarketMakerKeeper:
"""Keeper acting as a market maker on any 0x exchange implementing the Standard 0x Relayer API V0."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='0x-market-maker-keeper')
parser.add_argument("--rpc-host", type=str, default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port", type=int, default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout", type=int, default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument("--eth-from", type=str, required=True,
help="Ethereum account from which to send transactions")
parser.add_argument("--exchange-address", type=str, required=True,
help="Ethereum address of the 0x Exchange contract")
parser.add_argument("--relayer-api-server", type=str, required=True,
help="Address of the 0x Relayer API")
parser.add_argument("--relayer-per-page", type=int, default=100,
help="Number of orders to fetch per one page from the 0x Relayer API (default: 100)")
parser.add_argument("--buy-token-address", type=str, required=True,
help="Ethereum address of the buy token")
parser.add_argument("--buy-token-decimals", type=int, default=18,
help="Number of decimals of the buy token")
parser.add_argument("--sell-token-address", type=str, required=True,
help="Ethereum address of the sell token")
parser.add_argument("--sell-token-decimals", type=int, default=18,
help="Number of decimals of the sell token")
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("--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("--order-expiry", type=int, required=True,
help="Expiration time of created orders (in seconds)")
parser.add_argument("--order-expiry-threshold", type=int, default=0,
help="How long before order expiration it is considered already expired (in seconds)")
parser.add_argument("--use-full-balances", dest='use_full_balances', action='store_true',
help="Do not subtract the amounts locked by current orders from available balances")
parser.add_argument("--min-eth-balance", type=float, default=0,
help="Minimum ETH balance below which keeper will cease operation")
parser.add_argument('--cancel-on-shutdown', dest='cancel_on_shutdown', action='store_true',
help="Whether should cancel all open orders on keeper shutdown")
parser.add_argument("--remember-own-orders", dest='remember_own_orders', action='store_true',
help="Whether should the keeper remember his own submitted orders")
parser.add_argument("--gas-price", type=int, default=0,
help="Gas price (in Wei)")
parser.add_argument("--smart-gas-price", dest='smart_gas_price', action='store_true',
help="Use smart gas pricing strategy, based on the ethgasstation.info feed")
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.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(HTTPProvider(endpoint_uri=f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
self.web3.eth.defaultAccount = self.arguments.eth_from
self.our_address = Address(self.arguments.eth_from)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.bands_config = ReloadableConfig(self.arguments.config)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(self.arguments)
self.history = History()
# Delegate 0x specific init to a function to permit overload for 0xv2
self.zrx_exchange = None
self.zrx_relayer_api = None
self.zrx_api = None
self.pair = None
self.init_zrx()
self.placed_zrx_orders = []
self.placed_zrx_orders_lock = Lock()
self.order_book_manager = OrderBookManager(refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(lambda: self.get_orders())
self.order_book_manager.get_balances_with(lambda: self.get_balances())
self.order_book_manager.place_orders_with(self.place_order_function)
self.order_book_manager.cancel_orders_with(self.cancel_order_function)
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 init_zrx(self):
self.zrx_exchange = ZrxExchange(web3=self.web3, address=Address(self.arguments.exchange_address))
self.zrx_relayer_api = ZrxRelayerApi(exchange=self.zrx_exchange, api_server=self.arguments.relayer_api_server)
self.zrx_api = ZrxApi(zrx_exchange=self.zrx_exchange)
self.pair = Pair(sell_token_address=Address(self.arguments.sell_token_address),
sell_token_decimals=self.arguments.sell_token_decimals,
buy_token_address=Address(self.arguments.buy_token_address),
buy_token_decimals=self.arguments.buy_token_decimals)
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
def shutdown(self):
self.order_book_manager.cancel_all_orders(final_wait_time=60)
def approve(self):
token_buy = ERC20Token(web3=self.web3, address=Address(self.pair.buy_token_address))
token_sell = ERC20Token(web3=self.web3, address=Address(self.pair.sell_token_address))
self.zrx_exchange.approve([token_sell, token_buy], directly(gas_price=self.gas_price))
def remove_expired_orders(self, orders: list) -> list:
current_timestamp = int(time.time())
return list(filter(lambda order: order.zrx_order.expiration > current_timestamp - self.arguments.order_expiry_threshold, orders))
def remove_expired_zrx_orders(self, zrx_orders: list) -> list:
current_timestamp = int(time.time())
return list(filter(lambda order: order.expiration > current_timestamp - self.arguments.order_expiry_threshold, zrx_orders))
def remove_filled_or_cancelled_zrx_orders(self, zrx_orders: list) -> list:
return list(filter(lambda order: self.zrx_exchange.get_unavailable_buy_amount(order) < order.buy_amount, zrx_orders))
def get_orders(self) -> list:
def remove_old_zrx_orders(zrx_orders: list) -> list:
return self.remove_filled_or_cancelled_zrx_orders(self.remove_expired_zrx_orders(zrx_orders))
with self.placed_zrx_orders_lock:
self.placed_zrx_orders = remove_old_zrx_orders(self.placed_zrx_orders)
api_zrx_orders = remove_old_zrx_orders(self.zrx_relayer_api.get_orders_by_maker(self.our_address, self.arguments.relayer_per_page))
with self.placed_zrx_orders_lock:
zrx_orders = list(set(self.placed_zrx_orders + api_zrx_orders))
return self.zrx_api.get_orders(self.pair, zrx_orders)
def get_balances(self):
balances = self.zrx_api.get_balances(self.pair)
return balances[0], balances[1], eth_balance(self.web3, self.our_address)
def our_total_sell_balance(self, balances) -> Wad:
return balances[0]
def our_total_buy_balance(self, balances) -> Wad:
return balances[1]
def our_eth_balance(self, balances) -> Wad:
return balances[2]
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.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# We filter out expired orders from the order book snapshot. The reason for that is that
# it allows us to replace expired orders faster. Without it, we would have to wait
# for the next order book refresh in order to realize an order has expired. Unfortunately,
# in case of 0x order book refresh can be quite slow as it involves making multiple calls
# to the Ethereum node.
#
# By filtering out expired orders here, we can replace them the next `synchronize_orders`
# tick after they expire. Which is ~ 1s delay, instead of avg ~ 5s without this trick.
orders = self.remove_expired_orders(order_book.orders)
if self.our_eth_balance(order_book.balances) < self.min_eth_balance:
self.logger.warning("Keeper ETH balance below minimum. Cancelling all orders.")
self.order_book_manager.cancel_all_orders()
return
# Cancel orders
cancellable_orders = bands.cancellable_orders(our_buy_orders=self.our_buy_orders(orders),
our_sell_orders=self.our_sell_orders(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
# Balances returned by `our_total_***_balance` still contain amounts "locked"
# by currently open orders, so we need to explicitly subtract these amounts.
if self.arguments.use_full_balances:
our_buy_balance = self.our_total_buy_balance(order_book.balances)
our_sell_balance = self.our_total_sell_balance(order_book.balances)
else:
our_buy_balance = self.our_total_buy_balance(order_book.balances) - Bands.total_amount(self.our_buy_orders(orders))
our_sell_balance = self.our_total_sell_balance(order_book.balances) - Bands.total_amount(self.our_sell_orders(orders))
# Place new orders
self.order_book_manager.place_orders(bands.new_orders(our_buy_orders=self.our_buy_orders(orders),
our_sell_orders=self.our_sell_orders(orders),
our_buy_balance=our_buy_balance,
our_sell_balance=our_sell_balance,
target_price=target_price)[0])
def place_order_function(self, new_order: NewOrder):
assert(isinstance(new_order, NewOrder))
zrx_order = self.zrx_api.place_order(pair=self.pair,
is_sell=new_order.is_sell,
price=new_order.price,
amount=new_order.amount,
expiration=int(time.time()) + self.arguments.order_expiry)
zrx_order = self.zrx_relayer_api.calculate_fees(zrx_order)
zrx_order = self.zrx_exchange.sign_order(zrx_order)
if self.zrx_relayer_api.submit_order(zrx_order):
if self.arguments.remember_own_orders:
with self.placed_zrx_orders_lock:
self.placed_zrx_orders.append(zrx_order)
order = self.zrx_api.get_orders(self.pair, [zrx_order])[0]
return order
else:
return None
def cancel_order_function(self, order):
transact = self.zrx_exchange.cancel_order(order.zrx_order).transact(gas_price=self.gas_price)
return transact is not None and transact.successful
class TestZrxApi:
def setup_method(self):
self.web3 = Web3(EthereumTesterProvider())
self.web3.eth.defaultAccount = self.web3.eth.accounts[0]
self.our_address = Address(self.web3.eth.defaultAccount)
self.zrx_token = ERC20Token(web3=self.web3, address=deploy_contract(self.web3, 'ZRXToken'))
self.token_transfer_proxy_address = deploy_contract(self.web3, 'TokenTransferProxy')
self.exchange = ZrxExchange.deploy(self.web3, self.zrx_token.address, self.token_transfer_proxy_address)
self.web3.eth.contract(abi=json.loads(pkg_resources.resource_string('pymaker.deployment', f'abi/TokenTransferProxy.abi')))(address=self.token_transfer_proxy_address.address).transact().addAuthorizedAddress(self.exchange.address.address)
self.zrx_api = ZrxApi(self.exchange)
self.dgx = DSToken.deploy(self.web3, 'DGX')
self.dai = DSToken.deploy(self.web3, 'DAI')
self.pair = Pair(self.dgx.address, 9, self.dai.address, 18)
def test_getting_balances(self):
# given
self.dgx.mint(Wad(17 * 10**9)).transact()
self.dai.mint(Wad.from_number(17)).transact()
# when
balances = self.zrx_api.get_balances(self.pair)
# then
assert balances[0] == Wad.from_number(17)
assert balances[1] == Wad.from_number(17)
def test_sell_order(self):
# when
zrx_order = self.zrx_api.place_order(self.pair, True, Wad.from_number(45.0), Wad.from_number(5.0), 999)
# then
assert zrx_order.buy_token == self.dai.address
assert zrx_order.buy_amount == Wad.from_number(5.0 * 45.0)
assert zrx_order.pay_token == self.dgx.address
assert zrx_order.pay_amount == Wad(5 * 10**9)
assert zrx_order.expiration == 999
# when
orders = self.zrx_api.get_orders(self.pair, [zrx_order])
# then
assert orders[0].order_id is not None
assert orders[0].is_sell is True
assert orders[0].price == Wad.from_number(45.0)
assert orders[0].amount == Wad.from_number(5.0)
assert orders[0].zrx_order == zrx_order
def test_buy_order(self):
# when
zrx_order = self.zrx_api.place_order(self.pair, False, Wad.from_number(45.0), Wad.from_number(5.0), 999)
# then
assert zrx_order.buy_token == self.dgx.address
assert zrx_order.buy_amount == Wad(5 * 10**9)
assert zrx_order.pay_token == self.dai.address
assert zrx_order.pay_amount == Wad.from_number(5.0 * 45.0)
assert zrx_order.expiration == 999
# when
orders = self.zrx_api.get_orders(self.pair, [zrx_order])
# then
assert orders[0].order_id is not None
assert orders[0].is_sell is False
assert orders[0].price == Wad.from_number(45.0)
assert orders[0].amount == Wad.from_number(5.0)
assert orders[0].zrx_order == zrx_order