class EtherDeltaMarketMakerKeeper:
"""Keeper acting as a market maker on EtherDelta, on the ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='etherdelta-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("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--etherdelta-address",
type=str,
required=True,
help="Ethereum address of the EtherDelta contract")
parser.add_argument(
"--etherdelta-socket",
type=str,
required=True,
help="Ethereum address of the EtherDelta API socket")
parser.add_argument(
"--etherdelta-number-of-attempts",
type=int,
default=3,
help=
"Number of attempts of running the tool to talk to the EtherDelta API socket"
)
parser.add_argument(
"--etherdelta-retry-interval",
type=int,
default=10,
help=
"Retry interval for sending orders over the EtherDelta API socket")
parser.add_argument(
"--etherdelta-timeout",
type=int,
default=120,
help="Timeout for sending orders over the EtherDelta API socket")
parser.add_argument("--config",
type=str,
required=True,
help="Buy/sell bands configuration file")
parser.add_argument(
"--price-feed",
type=str,
help=
"Source of price feed. Tub price feed will be used if not specified"
)
parser.add_argument(
"--price-feed-expiry",
type=int,
default=120,
help="Maximum age of non-Tub price feed (in seconds, default: 120)"
)
parser.add_argument("--order-age",
type=int,
required=True,
help="Age of created orders (in blocks)")
parser.add_argument(
"--order-expiry-threshold",
type=int,
default=0,
help=
"Remaining order age (in blocks) at which order is considered already expired, which"
" means the keeper will send a new replacement order slightly ahead"
)
parser.add_argument(
"--order-no-cancel-threshold",
type=int,
default=0,
help=
"Remaining order age (in blocks) below which keeper does not try to cancel orders,"
" assuming that they will probably expire before the cancel transaction gets mined"
)
parser.add_argument(
"--eth-reserve",
type=float,
required=True,
help=
"Amount of ETH which will never be deposited so the keeper can cover gas"
)
parser.add_argument(
"--min-eth-balance",
type=float,
default=0,
help=
"Minimum ETH balance below which keeper with either terminate or not start at all"
)
parser.add_argument(
"--min-eth-deposit",
type=float,
required=True,
help=
"Minimum amount of ETH that can be deposited in one transaction")
parser.add_argument(
"--min-sai-deposit",
type=float,
required=True,
help=
"Minimum amount of SAI that can be deposited in one transaction")
parser.add_argument(
'--cancel-on-shutdown',
dest='cancel_on_shutdown',
action='store_true',
help=
"Whether should cancel all open orders on EtherDelta on keeper shutdown"
)
parser.add_argument(
'--withdraw-on-shutdown',
dest='withdraw_on_shutdown',
action='store_true',
help=
"Whether should withdraw all tokens from EtherDelta on keeper shutdown"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price (in Wei)")
parser.add_argument(
"--gas-price-increase",
type=int,
help="Gas price increase (in Wei) if no confirmation within"
" `--gas-price-increase-every` seconds")
parser.add_argument(
"--gas-price-increase-every",
type=int,
default=120,
help="Gas price increase frequency (in seconds, default: 120)")
parser.add_argument("--gas-price-max",
type=int,
help="Maximum gas price (in Wei)")
parser.add_argument("--gas-price-file",
type=str,
help="Gas price configuration file")
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("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.set_defaults(cancel_on_shutdown=False,
withdraw_on_shutdown=False)
self.arguments = parser.parse_args(args)
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.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.vox = Vox(web3=self.web3, address=self.tub.vox())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
logging.basicConfig(
format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))
logging.getLogger('urllib3.connectionpool').setLevel(logging.INFO)
logging.getLogger('requests.packages.urllib3.connectionpool').setLevel(
logging.INFO)
self.bands_config = ReloadableConfig(self.arguments.config)
self.eth_reserve = Wad.from_number(self.arguments.eth_reserve)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.min_eth_deposit = Wad.from_number(self.arguments.min_eth_deposit)
self.min_sai_deposit = Wad.from_number(self.arguments.min_sai_deposit)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(
self.arguments.price_feed, self.arguments.price_feed_expiry,
self.tub, self.vox)
if self.eth_reserve <= self.min_eth_balance:
raise Exception(
"--eth-reserve must be higher than --min-eth-balance")
assert (self.arguments.order_expiry_threshold >= 0)
assert (self.arguments.order_no_cancel_threshold >=
self.arguments.order_expiry_threshold)
self.etherdelta = EtherDelta(web3=self.web3,
address=Address(
self.arguments.etherdelta_address))
self.etherdelta_api = EtherDeltaApi(
client_tool_directory="lib/pymaker/utils/etherdelta-client",
client_tool_command="node main.js",
api_server=self.arguments.etherdelta_socket,
number_of_attempts=self.arguments.etherdelta_number_of_attempts,
retry_interval=self.arguments.etherdelta_retry_interval,
timeout=self.arguments.etherdelta_timeout)
self.our_orders = list()
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
if self.arguments.cancel_on_shutdown:
self.cancel_all_orders()
if self.arguments.withdraw_on_shutdown:
self.withdraw_everything()
def approve(self):
"""Approve EtherDelta to access our tokens, so we can deposit them with the exchange"""
token_addresses = filter(
lambda address: address != EtherDelta.ETH_TOKEN,
[self.token_sell(), self.token_buy()])
tokens = list(
map(lambda address: ERC20Token(web3=self.web3, address=address),
token_addresses))
self.etherdelta.approve(tokens, directly(gas_price=self.gas_price))
def place_order(self, order: Order):
self.our_orders.append(order)
self.etherdelta_api.publish_order(order)
def price(self) -> Wad:
return self.price_feed.get_price()
def token_sell(self) -> Address:
return EtherDelta.ETH_TOKEN
def token_buy(self) -> Address:
return self.sai.address
def our_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return self.etherdelta.balance_of(self.our_address)
else:
return self.etherdelta.balance_of_token(token, self.our_address)
def our_sell_orders(self):
return list(
filter(
lambda order: order.buy_token == self.token_buy() and order.
pay_token == self.token_sell(), self.our_orders))
def our_buy_orders(self):
return list(
filter(
lambda order: order.buy_token == self.token_sell() and order.
pay_token == self.token_buy(), self.our_orders))
def synchronize_orders(self):
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
self.logger.warning(
"Keeper ETH balance below minimum. Cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config)
block_number = self.web3.eth.blockNumber
target_price = self.price()
# If the is no target price feed, cancel all orders but do not terminate the keeper.
# The moment the price feed comes back, the keeper will resume placing orders.
if target_price is None:
self.logger.warning(
"Cancelling all orders as no price feed available.")
self.cancel_all_orders()
return
# Remove expired orders from the local order list
self.remove_expired_orders(block_number)
# Cancel orders
cancellable_orders = bands.cancellable_orders(self.our_buy_orders(),
self.our_sell_orders(),
target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders, block_number)
return
# Place new orders
self.top_up_bands(bands.buy_bands, bands.sell_bands, target_price)
@staticmethod
def is_order_age_above_threshold(order: Order, block_number: int,
threshold: int):
return block_number >= order.expires - threshold # we do >= 0, which makes us effectively detect an order
# as expired one block earlier than the contract, but
# this is desirable from the keeper point of view
def is_expired(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(
order, block_number, self.arguments.order_expiry_threshold)
def is_non_cancellable(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(
order, block_number, self.arguments.order_no_cancel_threshold)
def remove_expired_orders(self, block_number: int):
self.our_orders = list(
filter(lambda order: not self.is_expired(order, block_number),
self.our_orders))
def cancel_orders(self, orders: Iterable, block_number: int):
"""Cancel orders asynchronously."""
cancellable_orders = list(
filter(
lambda order: not self.is_non_cancellable(order, block_number),
orders))
synchronize([
self.etherdelta.cancel_order(order).transact_async(
gas_price=self.gas_price) for order in cancellable_orders
])
self.our_orders = list(set(self.our_orders) - set(cancellable_orders))
def cancel_all_orders(self):
"""Cancel all our orders."""
self.cancel_orders(self.our_orders, self.web3.eth.blockNumber)
def withdraw_everything(self):
eth_balance = self.etherdelta.balance_of(self.our_address)
if eth_balance > Wad(0):
self.etherdelta.withdraw(eth_balance).transact(
gas_price=self.gas_price)
sai_balance = self.etherdelta.balance_of_token(self.sai.address,
self.our_address)
if sai_balance > Wad(0):
self.etherdelta.withdraw_token(self.sai.address,
sai_balance).transact()
def top_up_bands(self, buy_bands: list, sell_bands: list,
target_price: Wad):
"""Create new buy and sell orders in all send and buy bands if necessary."""
self.top_up_buy_bands(buy_bands, target_price)
self.top_up_sell_bands(sell_bands, target_price)
def top_up_sell_bands(self, sell_bands: list, target_price: Wad):
"""Ensure our sell engagement is not below minimum in all sell bands. Place new orders if necessary."""
our_balance = self.our_balance(self.token_sell())
for band in sell_bands:
orders = [
order for order in self.our_sell_orders()
if band.includes(order, target_price)
]
total_amount = self.total_amount(orders)
if total_amount < band.min_amount:
if self.deposit_for_sell_order_if_needed(band.avg_amount -
total_amount):
return
price = band.avg_price(target_price)
pay_amount = self.fix_amount(
Wad.min(
band.avg_amount - total_amount, our_balance -
self.total_amount(self.our_sell_orders())))
buy_amount = self.fix_amount(pay_amount * price)
if (pay_amount >= band.dust_cutoff) and (
pay_amount > Wad(0)) and (buy_amount > Wad(0)):
self.logger.debug(
f"Using price {price} for new sell order")
order = self.etherdelta.create_order(
pay_token=self.token_sell(),
pay_amount=pay_amount,
buy_token=self.token_buy(),
buy_amount=buy_amount,
expires=self.web3.eth.blockNumber +
self.arguments.order_age)
self.place_order(order)
def top_up_buy_bands(self, buy_bands: list, target_price: Wad):
"""Ensure our buy engagement is not below minimum in all buy bands. Place new orders if necessary."""
our_balance = self.our_balance(self.token_buy())
for band in buy_bands:
orders = [
order for order in self.our_buy_orders()
if band.includes(order, target_price)
]
total_amount = self.total_amount(orders)
if total_amount < band.min_amount:
if self.deposit_for_buy_order_if_needed(band.avg_amount -
total_amount):
return
price = band.avg_price(target_price)
pay_amount = self.fix_amount(
Wad.min(
band.avg_amount - total_amount, our_balance -
self.total_amount(self.our_buy_orders())))
buy_amount = self.fix_amount(pay_amount / price)
if (pay_amount >= band.dust_cutoff) and (
pay_amount > Wad(0)) and (buy_amount > Wad(0)):
self.logger.debug(f"Using price {price} for new buy order")
order = self.etherdelta.create_order(
pay_token=self.token_buy(),
pay_amount=pay_amount,
buy_token=self.token_sell(),
buy_amount=buy_amount,
expires=self.web3.eth.blockNumber +
self.arguments.order_age)
self.place_order(order)
def depositable_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return Wad.max(
eth_balance(self.web3, self.our_address) - self.eth_reserve,
Wad(0))
else:
return ERC20Token(web3=self.web3,
address=token).balance_of(self.our_address)
def deposit_for_sell_order_if_needed(self, desired_order_pay_amount: Wad):
if self.our_balance(self.token_sell()) < desired_order_pay_amount:
return self.deposit_for_sell_order()
else:
return False
def deposit_for_sell_order(self):
depositable_eth = self.depositable_balance(self.token_sell())
if depositable_eth > self.min_eth_deposit:
return self.etherdelta.deposit(depositable_eth).transact(
gas_price=self.gas_price).successful
else:
return False
def deposit_for_buy_order_if_needed(self, desired_order_pay_amount: Wad):
if self.our_balance(self.token_buy()) < desired_order_pay_amount:
return self.deposit_for_buy_order()
else:
return False
def deposit_for_buy_order(self):
depositable_sai = self.depositable_balance(self.token_buy())
if depositable_sai > self.min_sai_deposit:
return self.etherdelta.deposit_token(
self.sai.address,
depositable_sai).transact(gas_price=self.gas_price).successful
else:
return False
def total_amount(self, orders):
return reduce(operator.add,
map(lambda order: order.remaining_sell_amount, orders),
Wad(0))
@staticmethod
def fix_amount(amount: Wad) -> Wad:
# for some reason, the EtherDelta backend rejects offchain orders with some amounts
# for example, the following order:
# self.etherdelta.place_order_offchain(self.sai.address, Wad(93033469375510291122),
# EtherDelta.ETH_TOKEN, Wad(400000000000000000),
# self.web3.eth.blockNumber + 50)
# will get placed correctly, but if we substitute 93033469375510291122 for 93033469375510237227
# the backend will not accept it. this is 100% reproductible with above amounts,
# although I wasn't able to figure out the actual reason
#
# what I have noticed is that rounding the amount seems to help,
# so this is what this particular method does
return Wad(int(amount.value / 10**9) * 10**9)
class OasisMarketMakerKeeper:
"""Keeper acting as a market maker on OasisDEX, on the W-ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='oasis-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("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--oasis-address",
type=str,
required=True,
help="Ethereum address of the OasisDEX contract")
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(
"--round-places",
type=int,
default=2,
help="Number of decimal places to round order prices to (default=2)"
)
parser.add_argument(
"--min-eth-balance",
type=float,
default=0,
help="Minimum ETH balance below which keeper will cease operation")
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("--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.otc = MatchingMarket(web3=self.web3,
address=Address(
self.arguments.oasis_address))
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
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.price_feed, self.arguments.price_feed_expiry,
self.tub)
self.order_book_manager = OrderBookManager(refresh_frequency=3)
self.order_book_manager.get_orders_with(lambda: self.our_orders())
self.order_book_manager.start()
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.on_block)
lifecycle.every(3, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
self.cancel_all_orders()
def on_block(self):
# This method is present only so the lifecycle binds the new block listener, which makes
# it then terminate the keeper if no new blocks have been arriving for 300 seconds.
pass
def approve(self):
"""Approve OasisDEX to access our balances, so we can place orders."""
self.otc.approve(
[self.token_sell(), self.token_buy()],
directly(gas_price=self.gas_price))
def price(self) -> Wad:
return self.price_feed.get_price()
def token_sell(self) -> ERC20Token:
return self.gem
def token_buy(self) -> ERC20Token:
return self.sai
def our_available_balance(self, token: ERC20Token) -> Wad:
return token.balance_of(self.our_address)
def our_orders(self):
return list(
filter(
lambda order: order.maker == self.our_address,
self.otc.get_orders(self.token_sell().address,
self.token_buy().address) +
self.otc.get_orders(self.token_buy().address,
self.token_sell().address)))
def our_sell_orders(self, our_orders: list):
return list(
filter(
lambda order: order.buy_token == self.token_buy().address and
order.pay_token == self.token_sell().address, our_orders))
def our_buy_orders(self, our_orders: list):
return list(
filter(
lambda order: order.buy_token == self.token_sell().address and
order.pay_token == self.token_buy().address, our_orders))
def synchronize_orders(self):
# If market is closed, cancel all orders but do not terminate the keeper.
if self.otc.is_closed():
self.logger.warning("Market is closed. Cancelling all orders.")
self.cancel_all_orders()
return
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
self.logger.warning(
"Keeper ETH balance below minimum. Cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config)
order_book = self.order_book_manager.get_order_book()
target_price = self.price()
# If the is no target price feed, cancel all orders but do not terminate the keeper.
# The moment the price feed comes back, the keeper will resume placing orders.
if target_price is None:
self.logger.warning(
"No price feed available. Cancelling all orders.")
self.cancel_all_orders()
return
# If there are any orders to be cancelled, cancel them. It is deliberate that we wait with topping-up
# bands until the next block. This way we would create new orders based on the most recent price and
# order book state. We could theoretically retrieve both (`target_price` and `our_orders`) again here,
# but it just seems cleaner to do it in one place instead of in two.
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.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.create_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(self.token_buy()),
our_sell_balance=self.our_available_balance(self.token_sell()),
target_price=target_price)[0])
def cancel_all_orders(self):
# Wait for the order book to stabilize
while True:
order_book = self.order_book_manager.get_order_book()
if not order_book.orders_being_cancelled and not order_book.orders_being_placed:
break
# Cancel all open orders
self.cancel_orders(self.order_book_manager.get_order_book().orders)
self.order_book_manager.wait_for_order_cancellation()
def cancel_orders(self, orders):
for order in orders:
self.order_book_manager.cancel_order(
order.order_id, lambda: self.otc.kill(order.order_id).transact(
gas_price=self.gas_price).successful)
def create_orders(self, new_orders):
def place_order_function(new_order: NewOrder):
assert (isinstance(new_order, NewOrder))
if new_order.is_sell:
pay_token = self.token_sell().address
buy_token = self.token_buy().address
else:
pay_token = self.token_buy().address
buy_token = self.token_sell().address
transact = self.otc.make(pay_token=pay_token,
pay_amount=new_order.pay_amount,
buy_token=buy_token,
buy_amount=new_order.buy_amount).transact(
gas_price=self.gas_price)
if transact is not None and transact.successful and transact.result is not None:
return Order(market=self.otc,
order_id=transact.result,
maker=self.our_address,
pay_token=pay_token,
pay_amount=new_order.pay_amount,
buy_token=buy_token,
buy_amount=new_order.buy_amount,
timestamp=0)
else:
return None
for new_order in new_orders:
self.order_book_manager.place_order(
lambda: place_order_function(new_order))
class ArbitrageKeeper:
"""Keeper to arbitrage on OasisDEX, `join`, `exit`, `boom` and `bust`."""
logger = logging.getLogger('arbitrage-keeper')
def __init__(self, args, **kwargs):
parser = argparse.ArgumentParser("arbitrage-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(
"--eth-key",
type=str,
nargs='*',
help=
"Ethereum private key(s) to use (e.g. 'key_file=aaa.json,pass_file=aaa.pass')"
)
parser.add_argument("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--tap-address",
type=str,
required=True,
help="Ethereum address of the Tap contract")
parser.add_argument(
"--exchange-address",
type=str,
help="Ethereum address of the 0x Exchange contract")
parser.add_argument("--oasis-address",
type=str,
required=True,
help="Ethereum address of the OasisDEX contract")
parser.add_argument(
"--oasis-support-address",
type=str,
required=False,
help="Ethereum address of the OasisDEX support contract")
parser.add_argument("--relayer-api-server",
type=str,
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(
"--tx-manager",
type=str,
help=
"Ethereum address of the TxManager contract to use for multi-step arbitrage"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price in Wei (default: node default)")
parser.add_argument(
"--base-token",
type=str,
required=True,
help="The token all arbitrage sequences will start and end with")
parser.add_argument(
"--min-profit",
type=float,
required=True,
help="Minimum profit (in base token) from one arbitrage operation")
parser.add_argument(
"--max-engagement",
type=float,
required=True,
help="Maximum engagement (in base token) in one arbitrage operation"
)
parser.add_argument(
"--max-errors",
type=int,
default=100,
help=
"Maximum number of allowed errors before the keeper terminates (default: 100)"
)
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
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
register_keys(self.web3, self.arguments.eth_key)
self.our_address = Address(self.arguments.eth_from)
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.tap = Tap(web3=self.web3,
address=Address(self.arguments.tap_address))
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.skr = ERC20Token(web3=self.web3, address=self.tub.skr())
self.zrx_exchange = ZrxExchange(web3=self.web3, address=Address(self.arguments.exchange_address)) \
if self.arguments.exchange_address is not None else None
self.zrx_relayer_api = ZrxRelayerApi(exchange=self.zrx_exchange, api_server=self.arguments.relayer_api_server) \
if self.arguments.relayer_api_server is not None else None
self.otc = MatchingMarket(
web3=self.web3,
address=Address(self.arguments.oasis_address),
support_address=Address(self.arguments.oasis_support_address)
if self.arguments.oasis_support_address is not None else None)
self.base_token = ERC20Token(web3=self.web3,
address=Address(
self.arguments.base_token))
self.min_profit = Wad.from_number(self.arguments.min_profit)
self.max_engagement = Wad.from_number(self.arguments.max_engagement)
self.max_errors = self.arguments.max_errors
self.errors = 0
if self.arguments.tx_manager:
self.tx_manager = TxManager(web3=self.web3,
address=Address(
self.arguments.tx_manager))
if self.tx_manager.owner() != self.our_address:
raise Exception(
f"The TxManager has to be owned by the address the keeper is operating from."
)
else:
self.tx_manager = None
logging.basicConfig(
format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))
def main(self):
with Lifecycle(self.web3) as lifecycle:
self.lifecycle = lifecycle
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.process_block)
def startup(self):
self.approve()
def approve(self):
"""Approve all components that need to access our balances"""
approval_method = via_tx_manager(self.tx_manager, gas_price=self.gas_price()) if self.tx_manager \
else directly(gas_price=self.gas_price())
self.tub.approve(approval_method)
self.tap.approve(approval_method)
self.otc.approve([self.gem, self.sai, self.skr], approval_method)
if self.zrx_exchange:
self.zrx_exchange.approve([self.gem, self.sai], approval_method)
if self.tx_manager:
self.tx_manager.approve([self.gem, self.sai, self.skr],
directly(gas_price=self.gas_price()))
def token_name(self, address: Address) -> str:
if address == self.sai.address:
return "DAI"
elif address == self.gem.address:
return "WETH"
elif address == self.skr.address:
return "PETH"
else:
return str(address)
def tub_conversions(self) -> List[Conversion]:
return [
TubJoinConversion(self.tub),
TubExitConversion(self.tub),
TubBoomConversion(self.tub, self.tap),
TubBustConversion(self.tub, self.tap)
]
def otc_orders(self, tokens):
orders = []
for token1 in tokens:
for token2 in tokens:
if token1 != token2:
orders = orders + self.otc.get_orders(token1, token2)
return orders
def otc_conversions(self, tokens) -> List[Conversion]:
return list(
map(lambda order: OasisTakeConversion(self.otc, order),
self.otc_orders(tokens)))
def zrx_orders(self, tokens):
if self.zrx_exchange is None or self.zrx_relayer_api is None:
return []
orders = []
for token1 in tokens:
for token2 in tokens:
if token1 != token2:
orders = orders + self.zrx_relayer_api.get_orders(
token1, token2)
return list(
filter(lambda order: order.expiration <= time.time(), orders))
def zrx_conversions(self, tokens) -> List[Conversion]:
return list(
map(lambda order: ZrxFillOrderConversion(self.zrx_exchange, order),
self.zrx_orders(tokens)))
def all_conversions(self):
return self.tub_conversions() + \
self.otc_conversions([self.sai.address, self.skr.address, self.gem.address]) + \
self.zrx_conversions([self.sai.address, self.gem.address])
def process_block(self):
"""Callback called on each new block.
If too many errors, terminate the keeper to minimize potential damage."""
if self.errors >= self.max_errors:
self.lifecycle.terminate()
else:
self.execute_best_opportunity_available()
def execute_best_opportunity_available(self):
"""Find the best arbitrage opportunity present and execute it."""
opportunity = self.best_opportunity(self.profitable_opportunities())
if opportunity:
self.print_opportunity(opportunity)
self.execute_opportunity(opportunity)
def profitable_opportunities(self):
"""Identify all profitable arbitrage opportunities within given limits."""
entry_amount = Wad.min(self.base_token.balance_of(self.our_address),
self.max_engagement)
opportunity_finder = OpportunityFinder(
conversions=self.all_conversions())
opportunities = opportunity_finder.find_opportunities(
self.base_token.address, entry_amount)
opportunities = filter(
lambda op: op.total_rate() > Ray.from_number(1.000001),
opportunities)
opportunities = filter(
lambda op: op.profit(self.base_token.address) > self.min_profit,
opportunities)
opportunities = sorted(
opportunities,
key=lambda op: op.profit(self.base_token.address),
reverse=True)
return opportunities
def best_opportunity(self, opportunities: List[Sequence]):
"""Pick the best opportunity, or return None if no profitable opportunities."""
return opportunities[0] if len(opportunities) > 0 else None
def print_opportunity(self, opportunity: Sequence):
"""Print the details of the opportunity."""
self.logger.info(
f"Opportunity with id={opportunity.id()},"
f" profit={opportunity.profit(self.base_token.address)} {self.token_name(self.base_token.address)}"
)
for index, conversion in enumerate(opportunity.steps, start=1):
self.logger.info(
f"Step {index}/{len(opportunity.steps)}: {conversion.name()}"
f" (from {conversion.source_amount} {self.token_name(conversion.source_token)}"
f" to {conversion.target_amount} {self.token_name(conversion.target_token)})"
)
def execute_opportunity(self, opportunity: Sequence):
"""Execute the opportunity either in one Ethereum transaction or step-by-step.
Depending on whether `tx_manager` is available."""
if self.tx_manager:
self.execute_opportunity_in_one_transaction(opportunity)
else:
self.execute_opportunity_step_by_step(opportunity)
def execute_opportunity_step_by_step(self, opportunity: Sequence):
"""Execute the opportunity step-by-step."""
def incoming_transfer(our_address: Address):
return lambda transfer: transfer.to_address == our_address
def outgoing_transfer(our_address: Address):
return lambda transfer: transfer.from_address == our_address
all_transfers = []
for step in opportunity.steps:
receipt = step.transact().transact(gas_price=self.gas_price())
if receipt:
all_transfers += receipt.transfers
outgoing = TransferFormatter().format(
filter(outgoing_transfer(self.our_address),
receipt.transfers), self.token_name)
incoming = TransferFormatter().format(
filter(incoming_transfer(self.our_address),
receipt.transfers), self.token_name)
self.logger.info(f"Exchanged {outgoing} to {incoming}")
else:
self.errors += 1
return
self.logger.info(
f"The profit we made is {TransferFormatter().format_net(all_transfers, self.our_address, self.token_name)}"
)
def execute_opportunity_in_one_transaction(self, opportunity: Sequence):
"""Execute the opportunity in one transaction, using the `tx_manager`."""
tokens = [self.sai.address, self.skr.address, self.gem.address]
invocations = list(
map(lambda step: step.transact().invocation(), opportunity.steps))
receipt = self.tx_manager.execute(
tokens, invocations).transact(gas_price=self.gas_price())
if receipt:
self.logger.info(
f"The profit we made is {TransferFormatter().format_net(receipt.transfers, self.our_address, self.token_name)}"
)
else:
self.errors += 1
def gas_price(self):
if self.arguments.gas_price > 0:
return FixedGasPrice(self.arguments.gas_price)
else:
return DefaultGasPrice()
class IdexMarketMakerKeeper:
"""Keeper acting as a market maker on IDEX, on the ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='idex-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("--tub-address", type=str, required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--idex-address", type=str, required=True,
help="Ethereum address of the IDEX contract")
parser.add_argument("--idex-api-server", type=str, default='https://api.idex.market',
help="Address of the IDEX API server (default: 'https://api.idex.market')")
parser.add_argument("--idex-timeout", type=float, default=9.5,
help="Timeout for accessing the IDEX API (in seconds, default: 9.5)")
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("--eth-reserve", type=float, required=True,
help="Amount of ETH which will never be deposited so the keeper can cover gas")
parser.add_argument("--min-eth-balance", type=float, default=0,
help="Minimum ETH balance below which keeper will cease operation")
parser.add_argument("--min-eth-deposit", type=float, required=True,
help="Minimum amount of ETH that can be deposited in one transaction")
parser.add_argument("--min-sai-deposit", type=float, required=True,
help="Minimum amount of SAI that can be deposited in one transaction")
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("--debug", dest='debug', action='store_true',
help="Enable debug output")
parser.set_defaults(cancel_on_shutdown=False, withdraw_on_shutdown=False)
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.tub = Tub(web3=self.web3, address=Address(self.arguments.tub_address))
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.bands_config = ReloadableConfig(self.arguments.config)
self.eth_reserve = Wad.from_number(self.arguments.eth_reserve)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.min_eth_deposit = Wad.from_number(self.arguments.min_eth_deposit)
self.min_sai_deposit = Wad.from_number(self.arguments.min_sai_deposit)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments.price_feed,
self.arguments.price_feed_expiry, self.tub)
if self.eth_reserve <= self.min_eth_balance:
raise Exception("--eth-reserve must be higher than --min-eth-balance")
self.history = History()
self.idex = IDEX(self.web3, Address(self.arguments.idex_address))
self.idex_api = IDEXApi(self.idex, self.arguments.idex_api_server, self.arguments.idex_timeout)
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
self.cancel_all_orders()
def approve(self):
"""Approve IEEX to access our tokens, so we can deposit them with the exchange"""
token_addresses = filter(lambda address: address != IDEX.ETH_TOKEN, [self.token_sell(), self.token_buy()])
tokens = list(map(lambda address: ERC20Token(web3=self.web3, address=address), token_addresses))
self.idex.approve(tokens, directly(gas_price=self.gas_price))
def pair(self):
# IDEX is inconsistent here. They call the pair `DAI_ETH`, but in reality all prices are
# calculated like it was an `ETH/DAI` pair.
return 'DAI_ETH'
def token_sell(self) -> Address:
return IDEX.ETH_TOKEN
def token_buy(self) -> Address:
return self.sai.address
def our_balances(self):
return self.idex_api.get_balances()
def our_available_balance(self, our_balances, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
try:
return Wad.from_number(our_balances['ETH']['available'])
except KeyError:
return Wad(0)
elif token == self.sai.address:
try:
return Wad.from_number(our_balances['DAI']['available'])
except KeyError:
return Wad(0)
else:
raise Exception("Unknown token")
def our_orders(self) -> list:
return self.idex_api.get_orders(self.pair())
def our_sell_orders(self, our_orders: list):
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list):
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
self.logger.warning(f"Keeper ETH balance below minimum, cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config, self.history)
our_balances = self.our_balances()
our_orders = self.our_orders()
target_price = self.price_feed.get_price()
# If the is no target price feed, cancel all orders but do not terminate the keeper.
# The moment the price feed comes back, the keeper will resume placing orders.
if target_price is None:
self.logger.warning("Cancelling all orders as no price feed available.")
self.cancel_all_orders()
return
# Cancel orders
cancellable_orders = bands.cancellable_orders(our_buy_orders=self.our_buy_orders(our_orders),
our_sell_orders=self.our_sell_orders(our_orders),
target_price=target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders)
return
# If we detect that our total balance reported by the API is not equal to the
# total balance reported by the Ethereum contract, it probably means that some
# deposits are still pending being credited to our account. In this case
# we also do not create any new orders, but at the same time existing orders
# can still be cancelled.
if not self.balances_match(our_balances):
self.logger.info("Balances do not match, probably deposits are in progress, waiting.")
return
# Evaluate if we need to create new orders, and how much do we need to deposit
new_orders, missing_buy_amount, missing_sell_amount = bands.new_orders(our_buy_orders=self.our_buy_orders(our_orders),
our_sell_orders=self.our_sell_orders(our_orders),
our_buy_balance=self.our_available_balance(our_balances, self.token_buy()),
our_sell_balance=self.our_available_balance(our_balances, self.token_sell()),
target_price=target_price)
# If deposited amount too low for placing buy orders, try to deposit.
# If deposited amount too low for placing sell orders, try to deposit.
made_deposit = False
if missing_buy_amount > Wad(0):
if self.deposit_for_buy_order(missing_buy_amount):
made_deposit = True
if missing_sell_amount > Wad(0):
if missing_sell_amount > Wad(0):
if self.deposit_for_sell_order(missing_sell_amount):
made_deposit = True
# If we managed to deposit something, do not do anything so we can reevaluate new orders to be placed.
# Otherwise, place new orders.
if not made_deposit:
self.place_orders(new_orders)
def cancel_orders(self, orders: list):
for order in orders:
self.idex_api.cancel_order(order)
def cancel_all_orders(self):
self.cancel_orders(self.our_orders())
def place_orders(self, new_orders):
for new_order in new_orders:
if new_order.is_sell:
self.idex_api.place_order(pay_token=self.token_sell(),
pay_amount=new_order.pay_amount,
buy_token=self.token_buy(),
buy_amount=new_order.buy_amount)
else:
self.idex_api.place_order(pay_token=self.token_buy(),
pay_amount=new_order.pay_amount,
buy_token=self.token_sell(),
buy_amount=new_order.buy_amount)
def deposit_for_sell_order(self, missing_sell_amount: Wad):
# We always want to deposit at least `min_eth_deposit`. If `missing_sell_amount` is less
# than that, we deposit `min_eth_deposit` anyway.
if Wad(0) < missing_sell_amount < self.min_eth_deposit:
missing_sell_amount = self.min_eth_deposit
# We can never deposit more than our available ETH balance minus `eth_reserve` (reserve for gas).
depositable_eth = Wad.max(eth_balance(self.web3, self.our_address) - self.eth_reserve, Wad(0))
missing_sell_amount = Wad.min(missing_sell_amount, depositable_eth)
# If we still can deposit something, and it's at least `min_eth_deposit`, then we do deposit.
if missing_sell_amount > Wad(0) and missing_sell_amount >= self.min_eth_deposit:
receipt = self.idex.deposit(missing_sell_amount).transact(gas_price=self.gas_price)
return receipt is not None and receipt.successful
else:
return False
def deposit_for_buy_order(self, missing_buy_amount: Wad):
# We always want to deposit at least `min_sai_deposit`. If `missing_buy_amount` is less
# than that, we deposit `min_sai_deposit` anyway.
if Wad(0) < missing_buy_amount < self.min_sai_deposit:
missing_buy_amount = self.min_sai_deposit
# We can never deposit more than our available SAI balance.
depositable_sai = self.sai.balance_of(self.our_address)
missing_buy_amount = Wad.min(missing_buy_amount, depositable_sai)
# If we still can deposit something, and it's at least `min_sai_deposit`, then we do deposit.
if missing_buy_amount > Wad(0) and missing_buy_amount >= self.min_sai_deposit:
receipt = self.idex.deposit_token(self.sai.address, missing_buy_amount).transact(gas_price=self.gas_price)
return receipt is not None and receipt.successful
else:
return False
def balances_match(self, our_balances) -> bool:
try:
eth_available = Wad.from_number(our_balances['ETH']['available'])
except KeyError:
eth_available = Wad(0)
try:
eth_on_orders = Wad.from_number(our_balances['ETH']['onOrders'])
except KeyError:
eth_on_orders = Wad(0)
try:
dai_available = Wad.from_number(our_balances['DAI']['available'])
except KeyError:
dai_available = Wad(0)
try:
dai_on_orders = Wad.from_number(our_balances['DAI']['onOrders'])
except KeyError:
dai_on_orders = Wad(0)
return self.idex.balance_of(self.our_address) == eth_available + eth_on_orders and \
self.idex.balance_of_token(self.sai.address, self.our_address) == dai_available + dai_on_orders
class RadarRelayMarketMakerKeeper:
"""Keeper acting as a market maker on RadarRelay, on the WETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='radarrelay-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("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
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("--config",
type=str,
required=True,
help="Buy/sell bands configuration file")
parser.add_argument(
"--price-feed",
type=str,
help=
"Source of price feed. Tub price feed will be used if not specified"
)
parser.add_argument(
"--price-feed-expiry",
type=int,
default=120,
help="Maximum age of non-Tub price feed (in seconds, default: 120)"
)
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=
"Order expiration time at which order is considered already expired (in seconds)"
)
parser.add_argument(
"--min-eth-balance",
type=float,
default=0,
help=
"Minimum ETH balance below which keeper with either terminate or not start at all"
)
parser.add_argument(
'--cancel-on-shutdown',
dest='cancel_on_shutdown',
action='store_true',
help=
"Whether should cancel all open orders on RadarRelay on keeper shutdown"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price (in Wei)")
parser.add_argument(
"--gas-price-increase",
type=int,
help="Gas price increase (in Wei) if no confirmation within"
" `--gas-price-increase-every` seconds")
parser.add_argument(
"--gas-price-increase-every",
type=int,
default=120,
help="Gas price increase frequency (in seconds, default: 120)")
parser.add_argument("--gas-price-max",
type=int,
help="Maximum gas price (in Wei)")
parser.add_argument("--gas-price-file",
type=str,
help="Gas price configuration file")
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("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
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.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.vox = Vox(web3=self.web3, address=self.tub.vox())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
logging.basicConfig(
format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))
logging.getLogger('urllib3.connectionpool').setLevel(logging.INFO)
logging.getLogger('requests.packages.urllib3.connectionpool').setLevel(
logging.INFO)
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.price_feed, self.arguments.price_feed_expiry,
self.tub, self.vox)
self.radar_relay = ZrxExchange(web3=self.web3,
address=Address(
self.arguments.exchange_address))
self.radar_relay_api = ZrxRelayerApi(
exchange=self.radar_relay,
api_server=self.arguments.relayer_api_server)
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.every(15, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
if self.arguments.cancel_on_shutdown:
self.cancel_orders(self.our_orders())
def approve(self):
"""Approve 0x to access our tokens, so we can sell it on the exchange."""
self.radar_relay.approve(
[self.token_sell(), self.token_buy()],
directly(gas_price=self.gas_price))
def price(self) -> Wad:
return self.price_feed.get_price()
def token_sell(self) -> ERC20Token:
return self.gem
def token_buy(self) -> ERC20Token:
return self.sai
def our_balance(self, token: ERC20Token) -> Wad:
return token.balance_of(self.our_address)
def our_orders(self) -> list:
our_orders = self.radar_relay_api.get_orders_by_maker(self.our_address)
current_timestamp = int(time.time())
our_orders = list(
filter(
lambda order: order.expiration > current_timestamp - self.
arguments.order_expiry_threshold, our_orders))
our_orders = list(
filter(
lambda order: self.radar_relay.get_unavailable_buy_amount(
order) < order.buy_amount, our_orders))
return our_orders
def our_sell_orders(self, our_orders: list) -> list:
return list(
filter(
lambda order: order.buy_token == self.token_buy().address and
order.pay_token == self.token_sell().address, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(
filter(
lambda order: order.buy_token == self.token_sell().address and
order.pay_token == self.token_buy().address, our_orders))
def synchronize_orders(self):
"""Update our positions in the order book to reflect keeper parameters."""
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
self.logger.warning(
"Keeper ETH balance below minimum. Cancelling all orders.")
self.cancel_orders(self.our_orders())
return
bands = Bands(self.bands_config)
our_orders = self.our_orders()
target_price = self.price()
if target_price is None:
self.logger.warning(
"Cancelling all orders as no price feed available.")
self.cancel_orders(our_orders)
return
# Cancel orders
cancellable_orders = bands.cancellable_orders(
our_buy_orders=self.our_buy_orders(our_orders),
our_sell_orders=self.our_sell_orders(our_orders),
target_price=target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders)
return
# Place new orders
self.create_orders(
bands.new_orders(
our_buy_orders=self.our_buy_orders(our_orders),
our_sell_orders=self.our_sell_orders(our_orders),
our_buy_balance=self.our_balance(self.token_buy()),
our_sell_balance=self.our_balance(self.token_sell()),
target_price=target_price))
def cancel_orders(self, orders):
"""Cancel orders asynchronously."""
synchronize([
self.radar_relay.cancel_order(order).transact_async(
gas_price=self.gas_price) for order in orders
])
def create_orders(self, orders):
"""Create and submit orders synchronously."""
for order in orders:
pay_token = self.token_sell() if order.is_sell else self.token_buy(
)
buy_token = self.token_buy() if order.is_sell else self.token_sell(
)
order = self.radar_relay.create_order(pay_token=pay_token.address,
pay_amount=order.pay_amount,
buy_token=buy_token.address,
buy_amount=order.buy_amount,
expiration=int(time.time()) +
self.arguments.order_expiry)
order = self.radar_relay_api.calculate_fees(order)
order = self.radar_relay.sign_order(order)
self.radar_relay_api.submit_order(order)
class EtherDeltaMarketMakerKeeper:
"""Keeper acting as a market maker on EtherDelta, on the ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='etherdelta-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(
"--eth-key",
type=str,
nargs='*',
help=
"Ethereum private key(s) to use (e.g. 'key_file=aaa.json,pass_file=aaa.pass')"
)
parser.add_argument("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--etherdelta-address",
type=str,
required=True,
help="Ethereum address of the EtherDelta contract")
parser.add_argument(
"--etherdelta-socket",
type=str,
required=True,
help="Ethereum address of the EtherDelta API socket")
parser.add_argument(
"--etherdelta-number-of-attempts",
type=int,
default=3,
help=
"Number of attempts of running the tool to talk to the EtherDelta API socket"
)
parser.add_argument(
"--etherdelta-retry-interval",
type=int,
default=10,
help=
"Retry interval for sending orders over the EtherDelta API socket")
parser.add_argument(
"--etherdelta-timeout",
type=int,
default=120,
help="Timeout for sending orders over the EtherDelta API socket")
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("--order-age",
type=int,
required=True,
help="Age of created orders (in blocks)")
parser.add_argument(
"--order-expiry-threshold",
type=int,
default=0,
help=
"Remaining order age (in blocks) at which order is considered already expired, which"
" means the keeper will send a new replacement order slightly ahead"
)
parser.add_argument(
"--order-no-cancel-threshold",
type=int,
default=0,
help=
"Remaining order age (in blocks) below which keeper does not try to cancel orders,"
" assuming that they will probably expire before the cancel transaction gets mined"
)
parser.add_argument(
"--eth-reserve",
type=float,
required=True,
help=
"Amount of ETH which will never be deposited so the keeper can cover gas"
)
parser.add_argument(
"--min-eth-balance",
type=float,
default=0,
help="Minimum ETH balance below which keeper will cease operation")
parser.add_argument(
"--min-eth-deposit",
type=float,
required=True,
help=
"Minimum amount of ETH that can be deposited in one transaction")
parser.add_argument(
"--min-sai-deposit",
type=float,
required=True,
help=
"Minimum amount of SAI that can be deposited in one transaction")
parser.add_argument(
'--cancel-on-shutdown',
dest='cancel_on_shutdown',
action='store_true',
help=
"Whether should cancel all open orders on EtherDelta on keeper shutdown"
)
parser.add_argument(
'--withdraw-on-shutdown',
dest='withdraw_on_shutdown',
action='store_true',
help=
"Whether should withdraw all tokens from EtherDelta on keeper shutdown"
)
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("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.set_defaults(cancel_on_shutdown=False,
withdraw_on_shutdown=False)
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)
register_keys(self.web3, self.arguments.eth_key)
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.bands_config = ReloadableConfig(self.arguments.config)
self.eth_reserve = Wad.from_number(self.arguments.eth_reserve)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.min_eth_deposit = Wad.from_number(self.arguments.min_eth_deposit)
self.min_sai_deposit = Wad.from_number(self.arguments.min_sai_deposit)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(
self.arguments, self.tub)
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)
if self.eth_reserve <= self.min_eth_balance:
raise Exception(
"--eth-reserve must be higher than --min-eth-balance")
assert (self.arguments.order_expiry_threshold >= 0)
assert (self.arguments.order_no_cancel_threshold >=
self.arguments.order_expiry_threshold)
self.history = History()
self.etherdelta = EtherDelta(web3=self.web3,
address=Address(
self.arguments.etherdelta_address))
self.etherdelta_api = EtherDeltaApi(
client_tool_directory="lib/pymaker/utils/etherdelta-client",
client_tool_command="node main.js",
api_server=self.arguments.etherdelta_socket,
number_of_attempts=self.arguments.etherdelta_number_of_attempts,
retry_interval=self.arguments.etherdelta_retry_interval,
timeout=self.arguments.etherdelta_timeout)
self.our_orders = list()
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
if self.arguments.cancel_on_shutdown:
self.cancel_all_orders()
if self.arguments.withdraw_on_shutdown:
self.withdraw_everything()
def approve(self):
token_addresses = filter(
lambda address: address != EtherDelta.ETH_TOKEN,
[self.token_sell(), self.token_buy()])
tokens = list(
map(lambda address: ERC20Token(web3=self.web3, address=address),
token_addresses))
self.etherdelta.approve(tokens, directly(gas_price=self.gas_price))
def place_order(self, order: Order):
self.our_orders.append(order)
self.etherdelta_api.publish_order(order)
def token_sell(self) -> Address:
return EtherDelta.ETH_TOKEN
def token_buy(self) -> Address:
return self.sai.address
def our_total_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return self.etherdelta.balance_of(self.our_address)
else:
return self.etherdelta.balance_of_token(token, self.our_address)
def our_sell_orders(self):
return list(
filter(
lambda order: order.buy_token == self.token_buy() and order.
pay_token == self.token_sell(), self.our_orders))
def our_buy_orders(self):
return list(
filter(
lambda order: order.buy_token == self.token_sell() and order.
pay_token == self.token_buy(), self.our_orders))
def synchronize_orders(self):
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
#
# The exception is when we can withdraw some ETH from EtherDelta. Then we do it and carry on.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
if self.etherdelta.balance_of(self.our_address) > self.eth_reserve:
self.logger.warning(
f"Keeper ETH balance below minimum, withdrawing {self.eth_reserve}."
)
self.etherdelta.withdraw(self.eth_reserve).transact()
else:
self.logger.warning(
f"Keeper ETH balance below minimum, cannot withdraw. Cancelling all orders."
)
self.cancel_all_orders()
return
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
block_number = self.web3.eth.blockNumber
target_price = self.price_feed.get_price()
# Remove expired orders from the local order list
self.remove_expired_orders(block_number)
# Cancel orders
cancellable_orders = bands.cancellable_orders(self.our_buy_orders(),
self.our_sell_orders(),
target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders, block_number)
return
# In case of EtherDelta, balances returned by `our_total_balance` still contain amounts "locked"
# by currently open orders, so we need to explicitly subtract these amounts.
our_buy_balance = self.our_total_balance(
self.token_buy()) - Bands.total_amount(self.our_buy_orders())
our_sell_balance = self.our_total_balance(
self.token_sell()) - Bands.total_amount(self.our_sell_orders())
# Evaluate if we need to create new orders, and how much do we need to deposit
new_orders, missing_buy_amount, missing_sell_amount = bands.new_orders(
our_buy_orders=self.our_buy_orders(),
our_sell_orders=self.our_sell_orders(),
our_buy_balance=our_buy_balance,
our_sell_balance=our_sell_balance,
target_price=target_price)
# If deposited amount too low for placing buy orders, try to deposit.
# If deposited amount too low for placing sell orders, try to deposit.
made_deposit = False
if missing_buy_amount > Wad(0):
if self.deposit_for_buy_order():
made_deposit = True
if missing_sell_amount > Wad(0):
if self.deposit_for_sell_order():
made_deposit = True
# If we managed to deposit something, do not do anything so we can reevaluate new orders to be created.
# Otherwise, create new orders.
if not made_deposit:
self.place_orders(new_orders)
@staticmethod
def is_order_age_above_threshold(order: Order, block_number: int,
threshold: int):
return block_number >= order.expires - threshold # we do >= 0, which makes us effectively detect an order
# as expired one block earlier than the contract, but
# this is desirable from the keeper point of view
def is_expired(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(
order, block_number, self.arguments.order_expiry_threshold)
def is_non_cancellable(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(
order, block_number, self.arguments.order_no_cancel_threshold)
def remove_expired_orders(self, block_number: int):
self.our_orders = list(
filter(lambda order: not self.is_expired(order, block_number),
self.our_orders))
def cancel_orders(self, orders: Iterable, block_number: int):
cancellable_orders = list(
filter(
lambda order: not self.is_non_cancellable(order, block_number),
orders))
synchronize([
self.etherdelta.cancel_order(order).transact_async(
gas_price=self.gas_price) for order in cancellable_orders
])
self.our_orders = list(set(self.our_orders) - set(cancellable_orders))
def cancel_all_orders(self):
self.cancel_orders(self.our_orders, self.web3.eth.blockNumber)
def place_orders(self, new_orders):
# EtherDelta sometimes rejects orders when the amounts are not rounded. Choice of choosing
# rounding to 9 decimal digits is completely arbitrary as it's not documented anywhere.
for new_order in new_orders:
if new_order.is_sell:
order = self.etherdelta.create_order(
pay_token=self.token_sell(),
pay_amount=round(new_order.pay_amount, 9),
buy_token=self.token_buy(),
buy_amount=round(new_order.buy_amount, 9),
expires=self.web3.eth.blockNumber +
self.arguments.order_age)
else:
order = self.etherdelta.create_order(
pay_token=self.token_buy(),
pay_amount=round(new_order.pay_amount, 9),
buy_token=self.token_sell(),
buy_amount=round(new_order.buy_amount, 9),
expires=self.web3.eth.blockNumber +
self.arguments.order_age)
self.place_order(order)
new_order.confirm()
def withdraw_everything(self):
eth_balance = self.etherdelta.balance_of(self.our_address)
if eth_balance > Wad(0):
self.etherdelta.withdraw(eth_balance).transact(
gas_price=self.gas_price)
sai_balance = self.etherdelta.balance_of_token(self.sai.address,
self.our_address)
if sai_balance > Wad(0):
self.etherdelta.withdraw_token(self.sai.address,
sai_balance).transact()
def depositable_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return Wad.max(
eth_balance(self.web3, self.our_address) - self.eth_reserve,
Wad(0))
else:
return ERC20Token(web3=self.web3,
address=token).balance_of(self.our_address)
def deposit_for_sell_order(self):
depositable_eth = self.depositable_balance(self.token_sell())
if depositable_eth > self.min_eth_deposit:
return self.etherdelta.deposit(depositable_eth).transact(
gas_price=self.gas_price).successful
else:
return False
def deposit_for_buy_order(self):
depositable_sai = self.depositable_balance(self.token_buy())
if depositable_sai > self.min_sai_deposit:
return self.etherdelta.deposit_token(
self.token_buy(),
depositable_sai).transact(gas_price=self.gas_price).successful
else:
return False
class DAIv1(Market):
def __init__(self, web3, dai_tub = '0x448a5065aeBB8E423F0896E6c5D525C040f59af3'):
self.web3 = web3
self.tub = Tub(web3=web3, address=Address(dai_tub))
self.tap = Tap(web3=web3, address=self.tub.tap())
self.tokens = {
'MKR': ERC20Token(web3, self.tub.gov()),
'PETH': ERC20Token(web3, self.tub.skr()),
'WETH': ERC20Token(web3, self.tub.gem()),
'DAI': ERC20Token(web3, self.tub.sai()),
}
def get_cup(self, cup_id):
cup = self.tub.cups(cup_id)
return { 'id': cup.cup_id,
'lad': cup.lad.address,
'art': float(cup.art),
'ink': float(cup.ink),
'safe': self.tub.safe(cup_id)
}
def get_cups(self):
last_cup_id = self.tub.cupi()
cups = map(self.get_cup, range(1, last_cup_id+1))
not_empty_cups = filter(lambda cup: cup['lad'] != "0x0000000000000000000000000000000000000000", cups)
return list(not_empty_cups)
def get_pairs(self):
pairs = ['PETH/DAI', 'PETH/WETH']
return pairs
def get_orders(self, base, quote):
depth = {'bids': [], 'asks': []}
# PETH/DAI order book
if base == 'PETH' and quote == 'DAI':
# boom is a taker using a bid side from maker tap
# a taker convert PETH to DAI using tap.bid(1) as price
# maker side offer DAI in exchange for PETH (flap)
# DAI qty offered by is min(joy - woe, 0)
order = { 'price': float(self.tap.bid(Wad.from_number(1))),
'amount': float(min(self.tap.joy() - self.tap.woe(), Wad.from_number(0))),
'id': 'take:tap.boom()',
}
if order['amount'] > 0:
depth['bids'].append(order)
# bust is a taker using ask side from maker tap
# a taker convert DAI to PETH using tap.ask(1) as price
# maker side offer PETH from fog (flip) and PETH minted to cover woe (flop)
# PETH qty offered by maker is fog+min(woe-joy, 0)/ask
order = { 'price': float(self.tap.ask(Wad.from_number(1))),
'amount': float(self.tap.fog() + min(self.tap.woe() - self.tap.joy(), Wad.from_number(0)) / self.tap.ask(Wad.from_number(1))),
'id': 'take:tap.bust()',
}
if order['amount'] > 0:
depth['asks'].append(order)
# PETH/WETH order book
if base == 'PETH' and quote == 'WETH':
# exit is a taker using a bid side from maker tub
# a taker PETH to WETH using tub.bid(1) as price
# maker side offer WETH in exchange for PETH
# WETH qty offered by maker is infinity (2**32 as a large number for infinity ...)
order = { 'price': float(self.tub.bid(Wad.from_number(1))),
'amount': float(2**32),
'id': 'take:tub.exit()',
}
depth['bids'].append(order)
# join is a taker using ask side from maker tub
# a taker convert WETH to PETH usgin tub.ask(1) as price
# maker side offer PETH in exchange for WETH
# PETH qty offered by maker is infinity (2**32 as a large number for infinity ...)
order = { 'price': float(self.tub.ask(Wad.from_number(1))),
'amount': float(2**32),
'id': 'take:tub.join()',
}
depth['asks'].append(order)
return depth
def get_accounts(self, manager_url):
accounts = {}
for addr in requests.get(manager_url).json():
accounts[addr] = {
'balance' : self.web3.eth.getBalance(addr),
}
accounts[addr]['tokens'] = {}
for name, token in self.tokens.items():
balance = token.balance_of(Address(addr))
allowance = token.allowance_of(Address(addr), self.tub.address)
#TODO check tap allowance ...
if float(allowance) or float(balance):
accounts[addr]['tokens'][name] = {
'allowance': float(allowance),
'balance': float(balance),
}
return accounts
class IdexMarketMakerKeeper:
"""Keeper acting as a market maker on IDEX, on the ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='idex-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("--tub-address", type=str, required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--idex-address", type=str, required=True,
help="Ethereum address of the IDEX contract")
parser.add_argument("--idex-api-server", type=str, default='https://api.idex.market',
help="Address of the IDEX API server (default: 'https://api.idex.market')")
parser.add_argument("--idex-timeout", type=float, default=9.5,
help="Timeout for accessing the IDEX API (in seconds, default: 9.5)")
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("--eth-reserve", type=float, required=True,
help="Amount of ETH which will never be deposited so the keeper can cover gas")
parser.add_argument("--min-eth-balance", type=float, default=0,
help="Minimum ETH balance below which keeper will cease operation")
parser.add_argument("--min-eth-deposit", type=float, required=True,
help="Minimum amount of ETH that can be deposited in one transaction")
parser.add_argument("--min-sai-deposit", type=float, required=True,
help="Minimum amount of SAI that can be deposited in one transaction")
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("--debug", dest='debug', action='store_true',
help="Enable debug output")
parser.set_defaults(cancel_on_shutdown=False, withdraw_on_shutdown=False)
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.tub = Tub(web3=self.web3, address=Address(self.arguments.tub_address))
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.bands_config = ReloadableConfig(self.arguments.config)
self.eth_reserve = Wad.from_number(self.arguments.eth_reserve)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.min_eth_deposit = Wad.from_number(self.arguments.min_eth_deposit)
self.min_sai_deposit = Wad.from_number(self.arguments.min_sai_deposit)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments, self.tub)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(self.arguments)
if self.eth_reserve <= self.min_eth_balance:
raise Exception("--eth-reserve must be higher than --min-eth-balance")
self.history = History()
self.idex = IDEX(self.web3, Address(self.arguments.idex_address))
self.idex_api = IDEXApi(self.idex, self.arguments.idex_api_server, self.arguments.idex_timeout)
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
self.cancel_all_orders()
def approve(self):
token_addresses = filter(lambda address: address != IDEX.ETH_TOKEN, [self.token_sell(), self.token_buy()])
tokens = list(map(lambda address: ERC20Token(web3=self.web3, address=address), token_addresses))
self.idex.approve(tokens, directly(gas_price=self.gas_price))
def pair(self):
# IDEX is inconsistent here. They call the pair `DAI_ETH`, but in reality all prices are
# calculated like it was an `ETH/DAI` pair.
return 'DAI_ETH'
def token_sell(self) -> Address:
return IDEX.ETH_TOKEN
def token_buy(self) -> Address:
return self.sai.address
def our_balances(self):
return self.idex_api.get_balances()
def our_available_balance(self, our_balances, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
try:
return Wad.from_number(our_balances['ETH']['available'])
except KeyError:
return Wad(0)
elif token == self.sai.address:
try:
return Wad.from_number(our_balances['DAI']['available'])
except KeyError:
return Wad(0)
else:
raise Exception("Unknown token")
def our_orders(self) -> list:
return self.idex_api.get_orders(self.pair())
def our_sell_orders(self, our_orders: list):
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list):
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
self.logger.warning(f"Keeper ETH balance below minimum, cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config, self.spread_feed, self.history)
our_balances = self.our_balances()
our_orders = self.our_orders()
target_price = self.price_feed.get_price()
# Cancel orders
cancellable_orders = bands.cancellable_orders(our_buy_orders=self.our_buy_orders(our_orders),
our_sell_orders=self.our_sell_orders(our_orders),
target_price=target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders)
return
# If we detect that our total balance reported by the API is not equal to the
# total balance reported by the Ethereum contract, it probably means that some
# deposits are still pending being credited to our account. In this case
# we also do not create any new orders, but at the same time existing orders
# can still be cancelled.
if not self.balances_match(our_balances):
self.logger.info("Balances do not match, probably deposits are in progress, waiting.")
return
# Evaluate if we need to create new orders, and how much do we need to deposit
new_orders, missing_buy_amount, missing_sell_amount = bands.new_orders(our_buy_orders=self.our_buy_orders(our_orders),
our_sell_orders=self.our_sell_orders(our_orders),
our_buy_balance=self.our_available_balance(our_balances, self.token_buy()),
our_sell_balance=self.our_available_balance(our_balances, self.token_sell()),
target_price=target_price)
# If deposited amount too low for placing buy orders, try to deposit.
# If deposited amount too low for placing sell orders, try to deposit.
made_deposit = False
if missing_buy_amount > Wad(0):
if self.deposit_for_buy_order(missing_buy_amount):
made_deposit = True
if missing_sell_amount > Wad(0):
if missing_sell_amount > Wad(0):
if self.deposit_for_sell_order(missing_sell_amount):
made_deposit = True
# If we managed to deposit something, do not do anything so we can reevaluate new orders to be placed.
# Otherwise, place new orders.
if not made_deposit:
self.place_orders(new_orders)
def cancel_orders(self, orders: list):
for order in orders:
self.idex_api.cancel_order(order)
def cancel_all_orders(self):
self.cancel_orders(self.our_orders())
def place_orders(self, new_orders):
for new_order in new_orders:
if new_order.is_sell:
self.idex_api.place_order(pay_token=self.token_sell(),
pay_amount=new_order.pay_amount,
buy_token=self.token_buy(),
buy_amount=new_order.buy_amount)
else:
self.idex_api.place_order(pay_token=self.token_buy(),
pay_amount=new_order.pay_amount,
buy_token=self.token_sell(),
buy_amount=new_order.buy_amount)
def deposit_for_sell_order(self, missing_sell_amount: Wad):
# We always want to deposit at least `min_eth_deposit`. If `missing_sell_amount` is less
# than that, we deposit `min_eth_deposit` anyway.
if Wad(0) < missing_sell_amount < self.min_eth_deposit:
missing_sell_amount = self.min_eth_deposit
# We can never deposit more than our available ETH balance minus `eth_reserve` (reserve for gas).
depositable_eth = Wad.max(eth_balance(self.web3, self.our_address) - self.eth_reserve, Wad(0))
missing_sell_amount = Wad.min(missing_sell_amount, depositable_eth)
# If we still can deposit something, and it's at least `min_eth_deposit`, then we do deposit.
if missing_sell_amount > Wad(0) and missing_sell_amount >= self.min_eth_deposit:
receipt = self.idex.deposit(missing_sell_amount).transact(gas_price=self.gas_price)
return receipt is not None and receipt.successful
else:
return False
def deposit_for_buy_order(self, missing_buy_amount: Wad):
# We always want to deposit at least `min_sai_deposit`. If `missing_buy_amount` is less
# than that, we deposit `min_sai_deposit` anyway.
if Wad(0) < missing_buy_amount < self.min_sai_deposit:
missing_buy_amount = self.min_sai_deposit
# We can never deposit more than our available SAI balance.
depositable_sai = self.sai.balance_of(self.our_address)
missing_buy_amount = Wad.min(missing_buy_amount, depositable_sai)
# If we still can deposit something, and it's at least `min_sai_deposit`, then we do deposit.
if missing_buy_amount > Wad(0) and missing_buy_amount >= self.min_sai_deposit:
receipt = self.idex.deposit_token(self.sai.address, missing_buy_amount).transact(gas_price=self.gas_price)
return receipt is not None and receipt.successful
else:
return False
def balances_match(self, our_balances) -> bool:
try:
eth_available = Wad.from_number(our_balances['ETH']['available'])
except KeyError:
eth_available = Wad(0)
try:
eth_on_orders = Wad.from_number(our_balances['ETH']['onOrders'])
except KeyError:
eth_on_orders = Wad(0)
try:
dai_available = Wad.from_number(our_balances['DAI']['available'])
except KeyError:
dai_available = Wad(0)
try:
dai_on_orders = Wad.from_number(our_balances['DAI']['onOrders'])
except KeyError:
dai_on_orders = Wad(0)
return self.idex.balance_of(self.our_address) == eth_available + eth_on_orders and \
self.idex.balance_of_token(self.sai.address, self.our_address) == dai_available + dai_on_orders
class OasisMarketMakerKeeper:
"""Keeper acting as a market maker on OasisDEX, on the W-ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='oasis-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("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--oasis-address",
type=str,
required=True,
help="Ethereum address of the OasisDEX contract")
parser.add_argument("--config",
type=str,
required=True,
help="Buy/sell bands configuration file")
parser.add_argument(
"--price-feed",
type=str,
help=
"Source of price feed. Tub price feed will be used if not specified"
)
parser.add_argument(
"--price-feed-expiry",
type=int,
default=120,
help="Maximum age of non-Tub price feed (in seconds, default: 120)"
)
parser.add_argument(
"--round-places",
type=int,
default=2,
help="Number of decimal places to round order prices to (default=2)"
)
parser.add_argument(
"--min-eth-balance",
type=float,
default=0,
help=
"Minimum ETH balance below which keeper with either terminate or not start at all"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price (in Wei)")
parser.add_argument(
"--gas-price-increase",
type=int,
help="Gas price increase (in Wei) if no confirmation within"
" `--gas-price-increase-every` seconds")
parser.add_argument(
"--gas-price-increase-every",
type=int,
default=120,
help="Gas price increase frequency (in seconds, default: 120)")
parser.add_argument("--gas-price-max",
type=int,
help="Maximum gas price (in Wei)")
parser.add_argument("--gas-price-file",
type=str,
help="Gas price configuration file")
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("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
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.otc = MatchingMarket(web3=self.web3,
address=Address(
self.arguments.oasis_address))
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.vox = Vox(web3=self.web3, address=self.tub.vox())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
logging.basicConfig(
format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))
logging.getLogger('urllib3.connectionpool').setLevel(logging.INFO)
logging.getLogger('requests.packages.urllib3.connectionpool').setLevel(
logging.INFO)
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.price_feed, self.arguments.price_feed_expiry,
self.tub, self.vox)
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.on_block)
lifecycle.every(3, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
self.cancel_all_orders()
def on_block(self):
# This method is present only so the lifecycle binds the new block listener, which makes
# it then terminate the keeper if no new blocks have been arriving for 300 seconds.
pass
def approve(self):
"""Approve OasisDEX to access our balances, so we can place orders."""
self.otc.approve(
[self.token_sell(), self.token_buy()],
directly(gas_price=self.gas_price))
def price(self) -> Wad:
return self.price_feed.get_price()
def token_sell(self) -> ERC20Token:
return self.gem
def token_buy(self) -> ERC20Token:
return self.sai
def our_balance(self, token: ERC20Token) -> Wad:
return token.balance_of(self.our_address)
def our_orders(self):
return self.otc.get_orders_by_maker(self.our_address)
def our_sell_orders(self, our_orders: list):
return list(
filter(
lambda order: order.buy_token == self.token_buy().address and
order.pay_token == self.token_sell().address, our_orders))
def our_buy_orders(self, our_orders: list):
return list(
filter(
lambda order: order.buy_token == self.token_sell().address and
order.pay_token == self.token_buy().address, our_orders))
def synchronize_orders(self):
# If market is closed, cancel all orders but do not terminate the keeper.
if self.otc.is_closed():
self.logger.warning("Market is closed. Cancelling all orders.")
self.cancel_all_orders()
return
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
self.logger.warning(
"Keeper ETH balance below minimum. Cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config)
our_orders = self.our_orders()
target_price = self.price()
# If the is no target price feed, cancel all orders but do not terminate the keeper.
# The moment the price feed comes back, the keeper will resume placing orders.
if target_price is None:
self.logger.warning(
"No price feed available. Cancelling all orders.")
self.cancel_all_orders()
return
# If there are any orders to be cancelled, cancel them. It is deliberate that we wait with topping-up
# bands until the next block. This way we would create new orders based on the most recent price and
# order book state. We could theoretically retrieve both (`target_price` and `our_orders`) again here,
# but it just seems cleaner to do it in one place instead of in two.
cancellable_orders = bands.cancellable_orders(
our_buy_orders=self.our_buy_orders(our_orders),
our_sell_orders=self.our_sell_orders(our_orders),
target_price=target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders)
return
# If there are any new orders to be created, create them.
new_orders = bands.new_orders(
our_buy_orders=self.our_buy_orders(our_orders),
our_sell_orders=self.our_sell_orders(our_orders),
our_buy_balance=self.our_balance(self.token_buy()),
our_sell_balance=self.our_balance(self.token_sell()),
target_price=target_price)
if len(new_orders) > 0:
self.create_orders(new_orders)
# We do wait some time after the orders have been created. The reason for that is sometimes
# orders that have been just placed were not picked up by the next `our_orders()` call
# (one can presume the block hasn't been fully imported into the node yet), which made
# the keeper try to place same order(s) again. Of course the second transaction did fail, but it
# resulted in wasted gas and significant delay in keeper operation.
#
# There is no specific reason behind choosing to wait exactly 3s.
time.sleep(3)
def cancel_all_orders(self):
"""Cancel all orders owned by the keeper."""
self.cancel_orders(self.our_orders())
def cancel_orders(self, orders):
"""Cancel orders asynchronously."""
synchronize([
self.otc.kill(
order.order_id).transact_async(gas_price=self.gas_price)
for order in orders
])
def create_orders(self, new_orders):
"""Create orders asynchronously."""
def to_transaction(new_order: NewOrder):
assert (isinstance(new_order, NewOrder))
if new_order.is_sell:
return self.otc.make(pay_token=self.token_sell().address,
pay_amount=new_order.pay_amount,
buy_token=self.token_buy().address,
buy_amount=new_order.buy_amount)
else:
return self.otc.make(pay_token=self.token_buy().address,
pay_amount=new_order.pay_amount,
buy_token=self.token_sell().address,
buy_amount=new_order.buy_amount)
synchronize([
transaction.transact_async(gas_price=self.gas_price)
for transaction in map(to_transaction, new_orders)
])
class EtherDeltaMarketMakerKeeper:
"""Keeper acting as a market maker on EtherDelta, on the ETH/SAI pair."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='etherdelta-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("--tub-address", type=str, required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--etherdelta-address", type=str, required=True,
help="Ethereum address of the EtherDelta contract")
parser.add_argument("--etherdelta-socket", type=str, required=True,
help="Ethereum address of the EtherDelta API socket")
parser.add_argument("--etherdelta-number-of-attempts", type=int, default=3,
help="Number of attempts of running the tool to talk to the EtherDelta API socket")
parser.add_argument("--etherdelta-retry-interval", type=int, default=10,
help="Retry interval for sending orders over the EtherDelta API socket")
parser.add_argument("--etherdelta-timeout", type=int, default=120,
help="Timeout for sending orders over the EtherDelta API socket")
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-age", type=int, required=True,
help="Age of created orders (in blocks)")
parser.add_argument("--order-expiry-threshold", type=int, default=0,
help="Remaining order age (in blocks) at which order is considered already expired, which"
" means the keeper will send a new replacement order slightly ahead")
parser.add_argument("--order-no-cancel-threshold", type=int, default=0,
help="Remaining order age (in blocks) below which keeper does not try to cancel orders,"
" assuming that they will probably expire before the cancel transaction gets mined")
parser.add_argument("--eth-reserve", type=float, required=True,
help="Amount of ETH which will never be deposited so the keeper can cover gas")
parser.add_argument("--min-eth-balance", type=float, default=0,
help="Minimum ETH balance below which keeper will cease operation")
parser.add_argument("--min-eth-deposit", type=float, required=True,
help="Minimum amount of ETH that can be deposited in one transaction")
parser.add_argument("--min-sai-deposit", type=float, required=True,
help="Minimum amount of SAI that can be deposited in one transaction")
parser.add_argument('--cancel-on-shutdown', dest='cancel_on_shutdown', action='store_true',
help="Whether should cancel all open orders on EtherDelta on keeper shutdown")
parser.add_argument('--withdraw-on-shutdown', dest='withdraw_on_shutdown', action='store_true',
help="Whether should withdraw all tokens from EtherDelta on keeper shutdown")
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("--debug", dest='debug', action='store_true',
help="Enable debug output")
parser.set_defaults(cancel_on_shutdown=False, withdraw_on_shutdown=False)
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.tub = Tub(web3=self.web3, address=Address(self.arguments.tub_address))
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.bands_config = ReloadableConfig(self.arguments.config)
self.eth_reserve = Wad.from_number(self.arguments.eth_reserve)
self.min_eth_balance = Wad.from_number(self.arguments.min_eth_balance)
self.min_eth_deposit = Wad.from_number(self.arguments.min_eth_deposit)
self.min_sai_deposit = Wad.from_number(self.arguments.min_sai_deposit)
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments, self.tub)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(self.arguments)
if self.eth_reserve <= self.min_eth_balance:
raise Exception("--eth-reserve must be higher than --min-eth-balance")
assert(self.arguments.order_expiry_threshold >= 0)
assert(self.arguments.order_no_cancel_threshold >= self.arguments.order_expiry_threshold)
self.history = History()
self.etherdelta = EtherDelta(web3=self.web3, address=Address(self.arguments.etherdelta_address))
self.etherdelta_api = EtherDeltaApi(client_tool_directory="lib/pymaker/utils/etherdelta-client",
client_tool_command="node main.js",
api_server=self.arguments.etherdelta_socket,
number_of_attempts=self.arguments.etherdelta_number_of_attempts,
retry_interval=self.arguments.etherdelta_retry_interval,
timeout=self.arguments.etherdelta_timeout)
self.our_orders = list()
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
@retry(delay=5, logger=logger)
def shutdown(self):
if self.arguments.cancel_on_shutdown:
self.cancel_all_orders()
if self.arguments.withdraw_on_shutdown:
self.withdraw_everything()
def approve(self):
token_addresses = filter(lambda address: address != EtherDelta.ETH_TOKEN, [self.token_sell(), self.token_buy()])
tokens = list(map(lambda address: ERC20Token(web3=self.web3, address=address), token_addresses))
self.etherdelta.approve(tokens, directly(gas_price=self.gas_price))
def place_order(self, order: Order):
self.our_orders.append(order)
self.etherdelta_api.publish_order(order)
def token_sell(self) -> Address:
return EtherDelta.ETH_TOKEN
def token_buy(self) -> Address:
return self.sai.address
def our_total_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return self.etherdelta.balance_of(self.our_address)
else:
return self.etherdelta.balance_of_token(token, self.our_address)
def our_sell_orders(self):
return list(filter(lambda order: order.buy_token == self.token_buy() and
order.pay_token == self.token_sell(), self.our_orders))
def our_buy_orders(self):
return list(filter(lambda order: order.buy_token == self.token_sell() and
order.pay_token == self.token_buy(), self.our_orders))
def synchronize_orders(self):
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
#
# The exception is when we can withdraw some ETH from EtherDelta. Then we do it and carry on.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
if self.etherdelta.balance_of(self.our_address) > self.eth_reserve:
self.logger.warning(f"Keeper ETH balance below minimum, withdrawing {self.eth_reserve}.")
self.etherdelta.withdraw(self.eth_reserve).transact()
else:
self.logger.warning(f"Keeper ETH balance below minimum, cannot withdraw. Cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config, self.spread_feed, self.history)
block_number = self.web3.eth.blockNumber
target_price = self.price_feed.get_price()
# Remove expired orders from the local order list
self.remove_expired_orders(block_number)
# Cancel orders
cancellable_orders = bands.cancellable_orders(self.our_buy_orders(), self.our_sell_orders(), target_price)
if len(cancellable_orders) > 0:
self.cancel_orders(cancellable_orders, block_number)
return
# In case of EtherDelta, balances returned by `our_total_balance` still contain amounts "locked"
# by currently open orders, so we need to explicitly subtract these amounts.
our_buy_balance = self.our_total_balance(self.token_buy()) - Bands.total_amount(self.our_buy_orders())
our_sell_balance = self.our_total_balance(self.token_sell()) - Bands.total_amount(self.our_sell_orders())
# Evaluate if we need to create new orders, and how much do we need to deposit
new_orders, missing_buy_amount, missing_sell_amount = bands.new_orders(our_buy_orders=self.our_buy_orders(),
our_sell_orders=self.our_sell_orders(),
our_buy_balance=our_buy_balance,
our_sell_balance=our_sell_balance,
target_price=target_price)
# If deposited amount too low for placing buy orders, try to deposit.
# If deposited amount too low for placing sell orders, try to deposit.
made_deposit = False
if missing_buy_amount > Wad(0):
if self.deposit_for_buy_order():
made_deposit = True
if missing_sell_amount > Wad(0):
if self.deposit_for_sell_order():
made_deposit = True
# If we managed to deposit something, do not do anything so we can reevaluate new orders to be created.
# Otherwise, create new orders.
if not made_deposit:
self.place_orders(new_orders)
@staticmethod
def is_order_age_above_threshold(order: Order, block_number: int, threshold: int):
return block_number >= order.expires-threshold # we do >= 0, which makes us effectively detect an order
# as expired one block earlier than the contract, but
# this is desirable from the keeper point of view
def is_expired(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(order, block_number, self.arguments.order_expiry_threshold)
def is_non_cancellable(self, order: Order, block_number: int):
return self.is_order_age_above_threshold(order, block_number, self.arguments.order_no_cancel_threshold)
def remove_expired_orders(self, block_number: int):
self.our_orders = list(filter(lambda order: not self.is_expired(order, block_number), self.our_orders))
def cancel_orders(self, orders: Iterable, block_number: int):
cancellable_orders = list(filter(lambda order: not self.is_non_cancellable(order, block_number), orders))
synchronize([self.etherdelta.cancel_order(order).transact_async(gas_price=self.gas_price) for order in cancellable_orders])
self.our_orders = list(set(self.our_orders) - set(cancellable_orders))
def cancel_all_orders(self):
self.cancel_orders(self.our_orders, self.web3.eth.blockNumber)
def place_orders(self, new_orders):
# EtherDelta sometimes rejects orders when the amounts are not rounded. Choice of choosing
# rounding to 9 decimal digits is completely arbitrary as it's not documented anywhere.
for new_order in new_orders:
if new_order.is_sell:
order = self.etherdelta.create_order(pay_token=self.token_sell(),
pay_amount=round(new_order.pay_amount, 9),
buy_token=self.token_buy(),
buy_amount=round(new_order.buy_amount, 9),
expires=self.web3.eth.blockNumber + self.arguments.order_age)
else:
order = self.etherdelta.create_order(pay_token=self.token_buy(),
pay_amount=round(new_order.pay_amount, 9),
buy_token=self.token_sell(),
buy_amount=round(new_order.buy_amount, 9),
expires=self.web3.eth.blockNumber + self.arguments.order_age)
self.place_order(order)
new_order.confirm()
def withdraw_everything(self):
eth_balance = self.etherdelta.balance_of(self.our_address)
if eth_balance > Wad(0):
self.etherdelta.withdraw(eth_balance).transact(gas_price=self.gas_price)
sai_balance = self.etherdelta.balance_of_token(self.sai.address, self.our_address)
if sai_balance > Wad(0):
self.etherdelta.withdraw_token(self.sai.address, sai_balance).transact()
def depositable_balance(self, token: Address) -> Wad:
if token == EtherDelta.ETH_TOKEN:
return Wad.max(eth_balance(self.web3, self.our_address) - self.eth_reserve, Wad(0))
else:
return ERC20Token(web3=self.web3, address=token).balance_of(self.our_address)
def deposit_for_sell_order(self):
depositable_eth = self.depositable_balance(self.token_sell())
if depositable_eth > self.min_eth_deposit:
return self.etherdelta.deposit(depositable_eth).transact(gas_price=self.gas_price).successful
else:
return False
def deposit_for_buy_order(self):
depositable_sai = self.depositable_balance(self.token_buy())
if depositable_sai > self.min_sai_deposit:
return self.etherdelta.deposit_token(self.token_buy(), depositable_sai).transact(gas_price=self.gas_price).successful
else:
return False
class OasisMarketMakerKeeper:
"""Keeper acting as a market maker on OasisDEX, on the W-ETH/SAI pair."""
logger = logging.getLogger('oasis-market-maker-keeper')
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='oasis-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(
"--eth-from",
type=str,
required=True,
help="Ethereum account from which to send transactions")
parser.add_argument("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--oasis-address",
type=str,
required=True,
help="Ethereum address of the OasisDEX contract")
parser.add_argument("--config",
type=str,
required=True,
help="Buy/sell bands configuration file")
parser.add_argument(
"--price-feed",
type=str,
help=
"Source of price feed. Tub price feed will be used if not specified"
)
parser.add_argument(
"--round-places",
type=int,
default=2,
help="Number of decimal places to round order prices to (default=2)"
)
parser.add_argument(
"--min-eth-balance",
type=float,
default=0,
help=
"Minimum ETH balance below which keeper with either terminate or not start at all"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price (in Wei)")
parser.add_argument(
"--gas-price-increase",
type=int,
help="Gas price increase (in Wei) if no confirmation within"
" `--gas-price-increase-every` seconds")
parser.add_argument(
"--gas-price-increase-every",
type=int,
default=120,
help="Gas price increase frequency (in seconds, default: 120)")
parser.add_argument("--gas-price-max",
type=int,
help="Maximum gas price (in Wei)")
parser.add_argument("--gas-price-file",
type=str,
help="Gas price configuration file")
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("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(
HTTPProvider(
endpoint_uri=
f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}"))
self.web3.eth.defaultAccount = self.arguments.eth_from
self.our_address = Address(self.arguments.eth_from)
self.otc = MatchingMarket(web3=self.web3,
address=Address(
self.arguments.oasis_address))
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.vox = Vox(web3=self.web3, address=self.tub.vox())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
logging.basicConfig(
format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))
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.price_feed, self.tub, self.vox)
def main(self):
with Web3Lifecycle(self.web3) as lifecycle:
self.lifecycle = lifecycle
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
def shutdown(self):
self.cancel_all_orders()
def approve(self):
"""Approve OasisDEX to access our balances, so we can place orders."""
self.otc.approve([self.gem, self.sai],
directly(gas_price=self.gas_price))
def our_orders(self):
return list(
filter(lambda order: order.maker == self.our_address,
self.otc.get_orders()))
def our_sell_orders(self, our_orders: list):
return list(
filter(
lambda order: order.buy_token == self.sai.address and order.
pay_token == self.gem.address, our_orders))
def our_buy_orders(self, our_orders: list):
return list(
filter(
lambda order: order.buy_token == self.gem.address and order.
pay_token == self.sai.address, our_orders))
def synchronize_orders(self):
# If market is closed, cancel all orders but do not terminate the keeper.
if self.otc.is_closed():
self.logger.warning("Marked is closed. Cancelling all orders.")
self.cancel_all_orders()
return
# If keeper balance is below `--min-eth-balance`, cancel all orders but do not terminate
# the keeper, keep processing blocks as the moment the keeper gets a top-up it should
# resume activity straight away, without the need to restart it.
if eth_balance(self.web3, self.our_address) < self.min_eth_balance:
self.logger.warning(
"Keeper ETH balance below minimum. Cancelling all orders.")
self.cancel_all_orders()
return
bands = Bands(self.bands_config)
our_orders = self.our_orders()
target_price = self.price_feed.get_price()
# If the is no target price feed, cancel all orders but do not terminate the keeper.
# The moment the price feed comes back, the keeper will resume placing orders.
if target_price is None:
self.logger.warning(
"No price feed available. Cancelling all orders.")
self.cancel_all_orders()
return
# If there are any orders to be cancelled, cancel them. It is deliberate that we wait with topping-up
# bands until the next block. This way we would create new orders based on the most recent price and
# order book state. We could theoretically retrieve both (`target_price` and `our_orders`) again here,
# but it just seems cleaner to do it in one place instead of in two.
orders_to_cancel = list(
itertools.chain(
bands.excessive_buy_orders(self.our_buy_orders(our_orders),
target_price),
bands.excessive_sell_orders(self.our_sell_orders(our_orders),
target_price),
bands.outside_orders(self.our_buy_orders(our_orders),
self.our_sell_orders(our_orders),
target_price)))
if len(orders_to_cancel) > 0:
self.cancel_orders(orders_to_cancel)
else:
self.top_up_bands(our_orders, bands.buy_bands, bands.sell_bands,
target_price)
# We do wait some time after the orders have been created. The reason for that is sometimes
# orders that have been just placed were not picked up by the next `our_orders()` call
# (one can presume the block hasn't been fully imported into the node yet), which made
# the keeper try to place same order(s) again. Of course the second transaction did fail, but it
# resulted in wasted gas and significant delay in keeper operation.
#
# There is no specific reason behind choosing to wait exactly 7s.
time.sleep(7)
def cancel_all_orders(self):
"""Cancel all orders owned by the keeper."""
self.cancel_orders(self.our_orders())
def cancel_orders(self, orders):
"""Cancel orders asynchronously."""
synchronize([
self.otc.kill(
order.order_id).transact_async(gas_price=self.gas_price)
for order in orders
])
def top_up_bands(self, our_orders: list, buy_bands: list, sell_bands: list,
target_price: Wad):
"""Asynchronously create new buy and sell orders in all send and buy bands if necessary."""
synchronize([
transact.transact_async(gas_price=self.gas_price)
for transact in itertools.chain(
self.top_up_buy_bands(our_orders, buy_bands, target_price),
self.top_up_sell_bands(our_orders, sell_bands, target_price))
])
def top_up_sell_bands(self, our_orders: list, sell_bands: list,
target_price: Wad):
"""Ensure our WETH engagement is not below minimum in all sell bands. Yield new orders if necessary."""
our_balance = self.gem.balance_of(self.our_address)
for band in sell_bands:
orders = [
order for order in self.our_sell_orders(our_orders)
if band.includes(order, target_price)
]
total_amount = self.total_amount(orders)
if total_amount < band.min_amount:
have_amount = Wad.min(band.avg_amount - total_amount,
our_balance)
want_amount = have_amount * round(band.avg_price(target_price),
self.arguments.round_places)
if (have_amount >= band.dust_cutoff) and (
have_amount > Wad(0)) and (want_amount > Wad(0)):
our_balance = our_balance - have_amount
yield self.otc.make(pay_token=self.gem.address,
pay_amount=have_amount,
buy_token=self.sai.address,
buy_amount=want_amount)
def top_up_buy_bands(self, our_orders: list, buy_bands: list,
target_price: Wad):
"""Ensure our SAI engagement is not below minimum in all buy bands. Yield new orders if necessary."""
our_balance = self.sai.balance_of(self.our_address)
for band in buy_bands:
orders = [
order for order in self.our_buy_orders(our_orders)
if band.includes(order, target_price)
]
total_amount = self.total_amount(orders)
if total_amount < band.min_amount:
have_amount = Wad.min(band.avg_amount - total_amount,
our_balance)
want_amount = have_amount / round(band.avg_price(target_price),
self.arguments.round_places)
if (have_amount >= band.dust_cutoff) and (
have_amount > Wad(0)) and (want_amount > Wad(0)):
our_balance = our_balance - have_amount
yield self.otc.make(pay_token=self.sai.address,
pay_amount=have_amount,
buy_token=self.gem.address,
buy_amount=want_amount)
@staticmethod
def total_amount(orders: List[Order]):
return reduce(operator.add, map(lambda order: order.pay_amount,
orders), Wad(0))