def main(self):
start_timestamp = get_block_timestamp(self.infura, self.web3.eth.blockNumber - self.arguments.past_blocks)
end_timestamp = int(time.time())
# If we only fetch log events from the last `past_blocks` blocks, the left hand side of the chart
# will have some bid and ask lines missing as these orders were very likely created some blocks
# earlier. So we also retrieve events from the blocks from the 24h before in order to minimize
# the chance of it happening.
block_lookback = 15*60*24
past_make = self.otc.past_make(self.arguments.past_blocks + block_lookback)
past_take = self.otc.past_take(self.arguments.past_blocks + block_lookback)
past_kill = self.otc.past_kill(self.arguments.past_blocks + block_lookback)
def reduce_func(states, timestamp):
if len(states) == 0:
order_book = []
else:
order_book = states[-1].order_book
# apply all LogMake events having this timestamp
for log_make in filter(lambda log_make: log_make.timestamp == timestamp, past_make):
order_book = self.apply_make(order_book, log_make)
order_book = list(filter(lambda order: order.maker == self.market_maker_address, order_book))
# apply all LogTake events having this timestamp
for log_take in filter(lambda log_take: log_take.timestamp == timestamp, past_take):
order_book = self.apply_take(order_book, log_take)
# apply all LogKill events having this timestamp
for log_kill in filter(lambda log_kill: log_kill.timestamp == timestamp, past_kill):
order_book = self.apply_kill(order_book, log_kill)
return states + [State(timestamp=timestamp,
order_book=order_book,
buy_token_address=self.buy_token_address,
sell_token_address=self.sell_token_address)]
event_timestamps = sorted(set(map(lambda event: event.timestamp, past_make + past_take + past_kill)))
states_timestamps = self.tighten_timestamps(event_timestamps) + [end_timestamp]
states = list(filter(lambda state: state.timestamp >= start_timestamp, reduce(reduce_func, states_timestamps, [])))
states = sorted(states, key=lambda state: state.timestamp)
prices = get_prices(self.arguments.gdax_price, self.arguments.price_feed, None, start_timestamp, end_timestamp)
alternative_prices = get_prices(None, self.arguments.alternative_price_feed, None, start_timestamp, end_timestamp)
takes = list(filter(lambda log_take: log_take.timestamp >= start_timestamp, past_take))
pair = self.arguments.sell_token + "-" + self.arguments.buy_token
our_trades = our_oasis_trades(self.market_maker_address, self.buy_token_address, self.sell_token_address, takes, pair)
all_trades = all_oasis_trades(self.buy_token_address, self.sell_token_address, takes, pair)
draw_chart(start_timestamp, end_timestamp, prices, alternative_prices, 180, states, our_trades, all_trades, self.arguments.output)
def main(self):
start_timestamp = int(time.time() - to_seconds(self.arguments.past))
end_timestamp = int(time.time())
our_trades = get_trades(self.arguments.our_trades, start_timestamp, end_timestamp)
all_trades = get_trades(self.arguments.all_trades, start_timestamp, end_timestamp)
prices = get_prices(self.arguments.gdax_price, self.arguments.price_feed, None, start_timestamp, end_timestamp)
alternative_prices = get_prices(None, self.arguments.alternative_price_feed, None, start_timestamp, end_timestamp)
order_history = get_order_history(self.arguments.order_history, start_timestamp, end_timestamp)
order_history = prepare_order_history_for_charting(order_history)
draw_chart(start_timestamp, end_timestamp, prices, alternative_prices, self.arguments.price_gap_size, order_history, our_trades, all_trades, self.arguments.output)
def main(self):
start_timestamp = get_block_timestamp(self.infura, self.web3.eth.blockNumber - self.arguments.past_blocks)
end_timestamp = int(time.time())
events = self.exchange.past_fill(self.arguments.past_blocks, {'maker': self.market_maker_address.address})
trades = zrx_trades(self.infura, self.market_maker_address, 'DAI', self.buy_token_address, self.arguments.buy_token_decimals, 'WETH', self.sell_token_addresses, self.arguments.sell_token_decimals, events, '-')
prices = get_prices(self.arguments.gdax_price, self.arguments.price_feed, None, start_timestamp, end_timestamp)
alternative_prices = get_prices(None, self.arguments.alternative_price_feed, None, start_timestamp, end_timestamp)
order_history = get_order_history(self.arguments.order_history, start_timestamp, end_timestamp)
order_history = prepare_order_history_for_charting(order_history)
draw_chart(start_timestamp, end_timestamp, prices, alternative_prices, 180, order_history, trades, [], self.arguments.output)
def main(self):
start_timestamp = get_block_timestamp(
self.infura,
self.web3.eth.blockNumber - self.arguments.past_blocks)
end_timestamp = int(time.time())
events = self.exchange.past_fill(
self.arguments.past_blocks,
{'maker': self.market_maker_address.address})
trades = zrx_trades(self.infura, self.market_maker_address,
self.arguments.buy_token, self.buy_token_address,
self.arguments.buy_token_decimals,
self.arguments.sell_token,
self.sell_token_addresses,
self.arguments.sell_token_decimals, events, '-')
trades = sort_trades_for_pnl(trades)
prices = get_prices(self.arguments.gdax_price,
self.arguments.price_feed,
self.arguments.price_history_file, start_timestamp,
end_timestamp)
vwaps = get_approx_vwaps(prices, self.arguments.vwap_minutes)
vwaps_start = prices[0].timestamp
if self.arguments.text:
pnl_text(trades, vwaps, vwaps_start, self.arguments.buy_token,
self.arguments.sell_token, self.arguments.vwap_minutes,
self.arguments.output)
if self.arguments.chart:
pnl_chart(start_timestamp, end_timestamp, prices, trades, vwaps,
vwaps_start, self.arguments.buy_token,
self.arguments.sell_token, self.arguments.output)
def main(self):
start_timestamp = int(time.time() - to_seconds(self.arguments.past))
end_timestamp = int(time.time())
trades = sort_trades_for_pnl(
get_trades(self.arguments.our_trades, start_timestamp,
end_timestamp))
prices = get_prices(self.arguments.gdax_price,
self.arguments.price_feed,
self.arguments.price_history_file, start_timestamp,
end_timestamp)
vwaps = get_approx_vwaps(prices, self.arguments.vwap_minutes)
vwaps_start = prices[0].timestamp
if self.arguments.text:
pnl_text(trades, vwaps, vwaps_start, self.arguments.buy_token,
self.arguments.sell_token, self.arguments.vwap_minutes,
self.arguments.output)
if self.arguments.chart:
pnl_chart(start_timestamp, end_timestamp, prices, trades, vwaps,
vwaps_start, self.arguments.buy_token,
self.arguments.sell_token, self.arguments.output)