def start(self):
try:
order_size = pure_market_making_config_map.get("order_amount").value
cancel_order_wait_time = pure_market_making_config_map.get(
"cancel_order_wait_time").value
bid_place_threshold = pure_market_making_config_map.get(
"bid_place_threshold").value
ask_place_threshold = pure_market_making_config_map.get(
"ask_place_threshold").value
mode = pure_market_making_config_map.get("mode").value
number_of_orders = pure_market_making_config_map.get(
"number_of_orders").value
order_start_size = pure_market_making_config_map.get(
"order_start_size").value
order_step_size = pure_market_making_config_map.get(
"order_step_size").value
order_interval_percent = pure_market_making_config_map.get(
"order_interval_percent").value
maker_market = pure_market_making_config_map.get(
"maker_market").value.lower()
raw_maker_trading_pair = pure_market_making_config_map.get(
"maker_market_trading_pair").value
inventory_skew_enabled = pure_market_making_config_map.get(
"inventory_skew_enabled").value
inventory_target_base_percent = pure_market_making_config_map.get(
"inventory_target_base_percent").value
filled_order_replenish_wait_time = pure_market_making_config_map.get(
"filled_order_replenish_wait_time").value
enable_order_filled_stop_cancellation = pure_market_making_config_map.get(
"enable_order_filled_stop_cancellation").value
best_bid_ask_jump_mode = pure_market_making_config_map.get(
"best_bid_ask_jump_mode").value
best_bid_ask_jump_orders_depth = pure_market_making_config_map.get(
"best_bid_ask_jump_orders_depth").value
add_transaction_costs_to_orders = pure_market_making_config_map.get(
"add_transaction_costs").value
pricing_delegate = None
sizing_delegate = None
filter_delegate = PassThroughFilterDelegate()
if mode == "multiple":
pricing_delegate = ConstantMultipleSpreadPricingDelegate(
bid_place_threshold, ask_place_threshold,
order_interval_percent, number_of_orders)
if inventory_skew_enabled:
sizing_delegate = InventorySkewMultipleSizeSizingDelegate(
order_start_size, order_step_size, number_of_orders,
inventory_target_base_percent)
else:
sizing_delegate = StaggeredMultipleSizeSizingDelegate(
order_start_size, order_step_size, number_of_orders)
else: # mode == "single"
pricing_delegate = ConstantSpreadPricingDelegate(
bid_place_threshold, ask_place_threshold)
if inventory_skew_enabled:
sizing_delegate = InventorySkewSingleSizeSizingDelegate(
order_size, inventory_target_base_percent)
else:
sizing_delegate = ConstantSizeSizingDelegate(order_size)
try:
trading_pair: str = self._convert_to_exchange_trading_pair(
maker_market, [raw_maker_trading_pair])[0]
maker_assets: Tuple[str, str] = self._initialize_market_assets(
maker_market, [trading_pair])[0]
except ValueError as e:
self._notify(str(e))
return
market_names: List[Tuple[str,
List[str]]] = [(maker_market, [trading_pair])]
self._initialize_wallet(token_trading_pairs=list(set(maker_assets)))
self._initialize_markets(market_names)
self.assets = set(maker_assets)
maker_data = [self.markets[maker_market], trading_pair
] + list(maker_assets)
self.market_trading_pair_tuples = [MarketTradingPairTuple(*maker_data)]
strategy_logging_options = PureMarketMakingStrategyV2.OPTION_LOG_ALL
self.strategy = PureMarketMakingStrategyV2(
market_infos=[MarketTradingPairTuple(*maker_data)],
pricing_delegate=pricing_delegate,
filter_delegate=filter_delegate,
sizing_delegate=sizing_delegate,
filled_order_replenish_wait_time=filled_order_replenish_wait_time,
enable_order_filled_stop_cancellation=
enable_order_filled_stop_cancellation,
cancel_order_wait_time=cancel_order_wait_time,
best_bid_ask_jump_mode=best_bid_ask_jump_mode,
best_bid_ask_jump_orders_depth=best_bid_ask_jump_orders_depth,
add_transaction_costs_to_orders=add_transaction_costs_to_orders,
logging_options=strategy_logging_options)
except Exception as e:
self._notify(str(e))
self.logger().error("Unknown error during initialization.",
exc_info=True)
def setUp(self):
self.clock_tick_size = 1
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size, self.start_timestamp, self.end_timestamp)
self.maker_market: BacktestMarket = BacktestMarket()
self.maker_data: MockOrderBookLoader = MockOrderBookLoader(*self.maker_symbols)
self.mid_price = 100
self.bid_threshold = 0.01
self.ask_threshold = 0.01
self.cancel_order_wait_time = 30
self.maker_data.set_balanced_order_book(mid_price=self.mid_price, min_price=1,
max_price=200, price_step_size=1, volume_step_size=10)
self.filter_delegate = PassThroughFilterDelegate()
self.constant_pricing_delegate = ConstantSpreadPricingDelegate(self.bid_threshold, self.ask_threshold)
self.multiple_order_strategy_pricing_delegate = ConstantMultipleSpreadPricingDelegate(
bid_spread=self.bid_threshold,
ask_spread=self.ask_threshold,
order_interval_size=0.01,
number_of_orders=5
)
self.inventory_skew_single_size_sizing_delegate = InventorySkewSingleSizeSizingDelegate(
order_size=1,
inventory_target_base_percent=0.5
)
self.inventory_skew_multiple_size_sizing_delegate = InventorySkewMultipleSizeSizingDelegate(
order_start_size=1.0,
order_step_size=0.5,
number_of_orders=5,
inventory_target_base_percent=0.5
)
self.maker_market.add_data(self.maker_data)
self.maker_market.set_balance("COINALPHA", 500)
self.maker_market.set_balance("WETH", 5000)
self.maker_market.set_balance("QETH", 500)
self.maker_market.set_quantization_param(
QuantizationParams(
self.maker_symbols[0], 6, 6, 6, 6
)
)
self.market_info: MarketSymbolPair = MarketSymbolPair(
*(
[self.maker_market] + self.maker_symbols
)
)
logging_options: int = (PureMarketMakingStrategyV2.OPTION_LOG_ALL &
(~PureMarketMakingStrategyV2.OPTION_LOG_NULL_ORDER_SIZE))
self.inventory_skew_single_order_strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
filter_delegate=self.filter_delegate,
sizing_delegate=self.inventory_skew_single_size_sizing_delegate,
pricing_delegate=self.constant_pricing_delegate,
cancel_order_wait_time=45,
logging_options=logging_options
)
self.inventory_skew_multiple_order_strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
filter_delegate=self.filter_delegate,
sizing_delegate=self.inventory_skew_multiple_size_sizing_delegate,
pricing_delegate=self.multiple_order_strategy_pricing_delegate,
cancel_order_wait_time=45,
logging_options=logging_options
)
self.logging_options = logging_options
self.clock.add_iterator(self.maker_market)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.maker_market.add_listener(MarketEvent.OrderFilled, self.maker_order_fill_logger)
self.maker_market.add_listener(MarketEvent.OrderCancelled, self.cancel_order_logger)
def start(self):
try:
order_amount = c_map.get("order_amount").value
order_refresh_time = c_map.get("order_refresh_time").value
bid_spread = c_map.get("bid_spread").value / Decimal('100')
ask_spread = c_map.get("ask_spread").value / Decimal('100')
order_expiration_time = c_map.get("order_expiration_time").value
order_levels = c_map.get("order_levels").value
order_level_amount = c_map.get("order_level_amount").value
order_level_spread = c_map.get("order_level_spread").value / Decimal(
'100')
exchange = c_map.get("exchange").value.lower()
raw_trading_pair = c_map.get("market").value
inventory_skew_enabled = c_map.get("inventory_skew_enabled").value
inventory_target_base_pct = 0 if c_map.get("inventory_target_base_pct").value is None else \
c_map.get("inventory_target_base_pct").value / Decimal('100')
inventory_range_multiplier = c_map.get(
"inventory_range_multiplier").value
filled_order_delay = c_map.get("filled_order_delay").value
hanging_orders_enabled = c_map.get("hanging_orders_enabled").value
hanging_orders_cancel_pct = c_map.get(
"hanging_orders_cancel_pct").value / Decimal('100')
order_optimization_enabled = c_map.get(
"order_optimization_enabled").value
order_optimization_depth = c_map.get("order_optimization_depth").value
add_transaction_costs_to_orders = c_map.get(
"add_transaction_costs").value
price_source_enabled = c_map.get("price_source_enabled").value
price_source_type = c_map.get("price_source_type").value
price_source_exchange = c_map.get("price_source_exchange").value
price_source_market = c_map.get("price_source_market").value
price_source_custom = c_map.get("price_source_custom").value
pricing_delegate = None
sizing_delegate = None
filter_delegate = PassThroughFilterDelegate()
if order_levels > 1:
pricing_delegate = ConstantMultipleSpreadPricingDelegate(
bid_spread, ask_spread, order_level_spread, order_levels)
if inventory_skew_enabled:
sizing_delegate = InventorySkewMultipleSizeSizingDelegate(
order_amount, order_level_amount, order_levels,
inventory_target_base_pct, inventory_range_multiplier)
else:
sizing_delegate = StaggeredMultipleSizeSizingDelegate(
order_amount, order_level_amount, order_levels)
else: # mode == "single"
pricing_delegate = ConstantSpreadPricingDelegate(
bid_spread, ask_spread)
if inventory_skew_enabled:
sizing_delegate = InventorySkewSingleSizeSizingDelegate(
order_amount, inventory_target_base_pct,
inventory_range_multiplier)
else:
sizing_delegate = ConstantSizeSizingDelegate(order_amount)
try:
trading_pair: str = self._convert_to_exchange_trading_pair(
exchange, [raw_trading_pair])[0]
maker_assets: Tuple[str, str] = self._initialize_market_assets(
exchange, [trading_pair])[0]
except ValueError as e:
self._notify(str(e))
return
market_names: List[Tuple[str,
List[str]]] = [(exchange, [trading_pair])]
self._initialize_wallet(token_trading_pairs=list(set(maker_assets)))
self._initialize_markets(market_names)
self.assets = set(maker_assets)
maker_data = [self.markets[exchange], trading_pair
] + list(maker_assets)
self.market_trading_pair_tuples = [MarketTradingPairTuple(*maker_data)]
asset_price_delegate = None
if price_source_enabled:
if price_source_type == "exchange":
asset_trading_pair: str = self._convert_to_exchange_trading_pair(
price_source_exchange, [price_source_market])[0]
ext_market = create_paper_trade_market(price_source_exchange,
[asset_trading_pair])
self.markets[price_source_exchange]: MarketBase = ext_market
asset_price_delegate = OrderBookAssetPriceDelegate(
ext_market, asset_trading_pair)
elif price_source_type == "custom_api":
asset_price_delegate = APIAssetPriceDelegate(
price_source_custom)
else:
asset_price_delegate = None
strategy_logging_options = PureMarketMakingStrategyV2.OPTION_LOG_ALL
self.strategy = PureMarketMakingStrategyV2(
market_infos=[MarketTradingPairTuple(*maker_data)],
pricing_delegate=pricing_delegate,
filter_delegate=filter_delegate,
sizing_delegate=sizing_delegate,
filled_order_delay=filled_order_delay,
hanging_orders_enabled=hanging_orders_enabled,
order_refresh_time=order_refresh_time,
order_optimization_enabled=order_optimization_enabled,
order_optimization_depth=order_optimization_depth,
add_transaction_costs_to_orders=add_transaction_costs_to_orders,
logging_options=strategy_logging_options,
asset_price_delegate=asset_price_delegate,
expiration_seconds=order_expiration_time,
hanging_orders_cancel_pct=hanging_orders_cancel_pct)
except Exception as e:
self._notify(str(e))
self.logger().error("Unknown error during initialization.",
exc_info=True)
def start(self):
try:
order_size = pure_market_making_config_map.get("order_amount").value
cancel_order_wait_time = pure_market_making_config_map.get(
"cancel_order_wait_time").value
bid_place_threshold = pure_market_making_config_map.get(
"bid_place_threshold").value
ask_place_threshold = pure_market_making_config_map.get(
"ask_place_threshold").value
mode = pure_market_making_config_map.get("mode").value
number_of_orders = pure_market_making_config_map.get(
"number_of_orders").value
order_start_size = pure_market_making_config_map.get(
"order_start_size").value
order_step_size = pure_market_making_config_map.get(
"order_step_size").value
order_interval_percent = pure_market_making_config_map.get(
"order_interval_percent").value
maker_market = pure_market_making_config_map.get(
"maker_market").value.lower()
raw_maker_symbol = pure_market_making_config_map.get(
"maker_market_symbol").value.upper()
inventory_skew_enabled = pure_market_making_config_map.get(
"inventory_skew_enabled").value
inventory_target_base_percent = pure_market_making_config_map.get(
"inventory_target_base_percent").value
filter_delegate = PassThroughFilterDelegate()
pricing_delegate = None
sizing_delegate = None
if mode == "multiple":
pricing_delegate = ConstantMultipleSpreadPricingDelegate(
bid_place_threshold, ask_place_threshold,
order_interval_percent, number_of_orders)
if inventory_skew_enabled:
sizing_delegate = InventorySkewMultipleSizeSizingDelegate(
order_start_size, order_step_size, number_of_orders,
inventory_target_base_percent)
else:
sizing_delegate = StaggeredMultipleSizeSizingDelegate(
order_start_size, order_step_size, number_of_orders)
else: # mode == "single"
pricing_delegate = ConstantSpreadPricingDelegate(
bid_place_threshold, ask_place_threshold)
if inventory_skew_enabled:
sizing_delegate = InventorySkewSingleSizeSizingDelegate(
order_size, inventory_target_base_percent)
else:
sizing_delegate = ConstantSizeSizingDelegate(order_size)
try:
maker_assets: Tuple[str, str] = self._initialize_market_assets(
maker_market, [raw_maker_symbol])[0]
except ValueError as e:
self._notify(str(e))
return
market_names: List[Tuple[str, List[str]]] = [(maker_market,
[raw_maker_symbol])]
self._initialize_wallet(token_symbols=list(set(maker_assets)))
self._initialize_markets(market_names)
self.assets = set(maker_assets)
maker_data = [self.markets[maker_market], raw_maker_symbol
] + list(maker_assets)
self.market_symbol_pairs = [MarketSymbolPair(*maker_data)]
strategy_logging_options = PureMarketMakingStrategyV2.OPTION_LOG_ALL
self.strategy = PureMarketMakingStrategyV2(
market_infos=[MarketSymbolPair(*maker_data)],
filter_delegate=filter_delegate,
pricing_delegate=pricing_delegate,
sizing_delegate=sizing_delegate,
cancel_order_wait_time=cancel_order_wait_time,
logging_options=strategy_logging_options)
except Exception as e:
self._notify(str(e))
self.logger().error("Unknown error during initialization.",
exc_info=True)
def start(self):
try:
order_size = c_map.get("order_amount").value
cancel_order_wait_time = c_map.get("cancel_order_wait_time").value
bid_place_threshold = c_map.get("bid_place_threshold").value
ask_place_threshold = c_map.get("ask_place_threshold").value
expiration_seconds = c_map.get("expiration_seconds").value
mode = c_map.get("mode").value
number_of_orders = c_map.get("number_of_orders").value
order_start_size = c_map.get("order_start_size").value
order_step_size = c_map.get("order_step_size").value
order_interval_percent = c_map.get("order_interval_percent").value
maker_market = c_map.get("maker_market").value.lower()
raw_maker_trading_pair = c_map.get("maker_market_trading_pair").value
inventory_skew_enabled = c_map.get("inventory_skew_enabled").value
inventory_target_base_percent = c_map.get(
"inventory_target_base_percent").value / Decimal('100')
inventory_range_multiplier = c_map.get(
"inventory_range_multiplier").value
filled_order_replenish_wait_time = c_map.get(
"filled_order_replenish_wait_time").value
enable_order_filled_stop_cancellation = c_map.get(
"enable_order_filled_stop_cancellation").value
cancel_hanging_order_pct = c_map.get("cancel_hanging_order_pct").value
best_bid_ask_jump_mode = c_map.get("best_bid_ask_jump_mode").value
best_bid_ask_jump_orders_depth = c_map.get(
"best_bid_ask_jump_orders_depth").value
add_transaction_costs_to_orders = c_map.get(
"add_transaction_costs").value
external_pricing_source = c_map.get("external_pricing_source").value
external_price_source_type = c_map.get(
"external_price_source_type").value
external_price_source_exchange = c_map.get(
"external_price_source_exchange").value
external_price_source_exchange_trading_pair = c_map.get(
"external_price_source_exchange_trading_pair").value
external_price_source_feed_base_asset = c_map.get(
"external_price_source_feed_base_asset").value
external_price_source_feed_quote_asset = c_map.get(
"external_price_source_feed_quote_asset").value
external_price_source_custom_api = c_map.get(
"external_price_source_custom_api").value
pricing_delegate = None
sizing_delegate = None
filter_delegate = PassThroughFilterDelegate()
if mode == "multiple":
pricing_delegate = ConstantMultipleSpreadPricingDelegate(
bid_place_threshold, ask_place_threshold,
order_interval_percent, number_of_orders)
if inventory_skew_enabled:
sizing_delegate = InventorySkewMultipleSizeSizingDelegate(
order_start_size, order_step_size, number_of_orders,
inventory_target_base_percent, inventory_range_multiplier)
else:
sizing_delegate = StaggeredMultipleSizeSizingDelegate(
order_start_size, order_step_size, number_of_orders)
else: # mode == "single"
pricing_delegate = ConstantSpreadPricingDelegate(
bid_place_threshold, ask_place_threshold)
if inventory_skew_enabled:
sizing_delegate = InventorySkewSingleSizeSizingDelegate(
order_size, inventory_target_base_percent,
inventory_range_multiplier)
else:
sizing_delegate = ConstantSizeSizingDelegate(order_size)
try:
trading_pair: str = self._convert_to_exchange_trading_pair(
maker_market, [raw_maker_trading_pair])[0]
maker_assets: Tuple[str, str] = self._initialize_market_assets(
maker_market, [trading_pair])[0]
except ValueError as e:
self._notify(str(e))
return
market_names: List[Tuple[str,
List[str]]] = [(maker_market, [trading_pair])]
self._initialize_wallet(token_trading_pairs=list(set(maker_assets)))
self._initialize_markets(market_names)
self.assets = set(maker_assets)
maker_data = [self.markets[maker_market], trading_pair
] + list(maker_assets)
self.market_trading_pair_tuples = [MarketTradingPairTuple(*maker_data)]
asset_price_delegate = None
if external_pricing_source:
if external_price_source_type == "exchange":
asset_trading_pair: str = self._convert_to_exchange_trading_pair(
external_price_source_exchange,
[external_price_source_exchange_trading_pair])[0]
ext_market = create_paper_trade_market(
external_price_source_exchange, [asset_trading_pair])
self.markets[
external_price_source_exchange]: MarketBase = ext_market
asset_price_delegate = OrderBookAssetPriceDelegate(
ext_market, asset_trading_pair)
elif external_price_source_type == "feed":
asset_price_delegate = DataFeedAssetPriceDelegate(
external_price_source_feed_base_asset,
external_price_source_feed_quote_asset)
elif external_price_source_type == "custom_api":
asset_price_delegate = APIAssetPriceDelegate(
external_price_source_custom_api)
else:
asset_price_delegate = None
strategy_logging_options = PureMarketMakingStrategyV2.OPTION_LOG_ALL
self.strategy = PureMarketMakingStrategyV2(
market_infos=[MarketTradingPairTuple(*maker_data)],
pricing_delegate=pricing_delegate,
filter_delegate=filter_delegate,
sizing_delegate=sizing_delegate,
filled_order_replenish_wait_time=filled_order_replenish_wait_time,
enable_order_filled_stop_cancellation=
enable_order_filled_stop_cancellation,
cancel_order_wait_time=cancel_order_wait_time,
best_bid_ask_jump_mode=best_bid_ask_jump_mode,
best_bid_ask_jump_orders_depth=best_bid_ask_jump_orders_depth,
add_transaction_costs_to_orders=add_transaction_costs_to_orders,
logging_options=strategy_logging_options,
asset_price_delegate=asset_price_delegate,
expiration_seconds=expiration_seconds,
cancel_hanging_order_pct=cancel_hanging_order_pct)
except Exception as e:
self._notify(str(e))
self.logger().error("Unknown error during initialization.",
exc_info=True)