def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST,
start_time=self.start_time,
end_time=self.end_time)
self.order_book_loader: HuobiOrderBookLoader = HuobiOrderBookLoader(
"btcusdt", "btc", "usdt")
self.order_book: OrderBook = self.order_book_loader.order_book
self.clock.add_iterator(self.order_book_loader)
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST,
start_time=self.start_time,
end_time=self.end_time)
self.order_book_loader: BinanceOrderBookLoaderV2 = BinanceOrderBookLoaderV2(
"BTCUSDT", "BTC", "USDT")
self.order_book: OrderBook = self.order_book_loader.order_book
self.clock.add_iterator(self.order_book_loader)
def setUp(self):
self.weth_dai_data = DDEXOrderBookLoader("WETH-DAI", "WETH", "DAI")
self.clock = Clock(ClockMode.BACKTEST, 1.0, self.start.timestamp(), self.end.timestamp())
self.market = BacktestMarket()
self.market.add_data(self.weth_dai_data)
self.market.set_balance("WETH", 200.0)
self.market.set_balance("DAI", 20000.0)
self.clock.add_iterator(self.market)
async def main():
cmd_args = CmdlineParser().parse_args()
with open(cmd_args.key_file, "r") as fd:
encrypted_json: Dict[str, any] = json.load(fd)
wallet: Web3Wallet = Web3Wallet(
Account.decrypt(encrypted_json, getpass.getpass("Wallet password: "******"createdAt"], o["id"], o["marketId"]) for o in orders],
columns=["Created", "OrderID", "Symbol"])
order_data.Created = order_data.Created.astype(
"datetime64[ms]").astype("datetime64[ns, UTC]")
order_data = order_data.set_index("Created")
while True:
try:
sample_ids: List[str] = list(order_data.sample(10).OrderID)
tasks: List[asyncio.Future] = [
market.get_order(order_id) for order_id in sample_ids
]
response_data: List[Dict[str,
any]] = await asyncio.gather(*tasks)
mismatches: int = 0
for expected_id, response in zip(sample_ids, response_data):
returned_order_id = response["id"]
if returned_order_id != expected_id:
print(
f" - Error: requested for {expected_id} but got {returned_order_id} back."
)
mismatches += 1
if mismatches < 1:
print(
f"[{str(pd.Timestamp.utcnow())}] All fetches passed.")
else:
print(
f"[{str(pd.Timestamp.utcnow())}] {mismatches} out of 10 requests failed."
)
now: float = time.time()
next_tick: float = now // 1 + 1
await asyncio.sleep(next_tick - now)
except asyncio.CancelledError:
raise
def setUp(self):
#self.weth_dai_data = DDEXOrderBookLoader("WETH-DAI", "WETH", "DAI")
self.pair_data = BinanceOrderBookLoaderV2(self.market_name, "ETH",
"USDT")
#self.pair_data = HuobiOrderBookLoader(self.market_name, "", "")
self.clock = Clock(ClockMode.BACKTEST, 1.0, self.start.timestamp(),
self.end.timestamp())
self.market = BacktestMarket()
#self.market.add_data(self.weth_dai_data)
self.market.add_data(self.pair_data)
self.market.set_balance(self.quote, 200.0)
self.market.set_balance(self.base, 20000.0)
self.clock.add_iterator(self.market)
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, 1.0, self.start_timestamp, self.end_timestamp)
self.maker_market: BacktestMarket = BacktestMarket()
self.taker_market: BacktestMarket = BacktestMarket()
self.maker_data: MockOrderBookLoader = MockOrderBookLoader(*self.maker_symbols)
self.taker_data: MockOrderBookLoader = MockOrderBookLoader(*self.taker_symbols)
self.maker_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.01, 10)
self.taker_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.001, 3)
self.maker_market.add_data(self.maker_data)
self.taker_market.add_data(self.taker_data)
self.maker_market.set_balance("COINALPHA", 5)
self.maker_market.set_balance("WETH", 5)
self.taker_market.set_balance("COINALPHA", 5)
self.taker_market.set_balance("ETH", 5)
self.maker_market.set_quantization_param(
QuantizationParams(
self.maker_symbols[0], 5, 5, 5, 5
)
)
self.taker_market.set_quantization_param(
QuantizationParams(
self.taker_symbols[0], 5, 5, 5, 5
)
)
self.market_pair: CrossExchangeMarketPair = CrossExchangeMarketPair(
*(
[self.maker_market] + self.maker_symbols +
[self.taker_market] + self.taker_symbols +
[2]
)
)
logging_options: int = (CrossExchangeMarketMakingStrategy.OPTION_LOG_ALL &
(~CrossExchangeMarketMakingStrategy.OPTION_LOG_NULL_ORDER_SIZE))
self.strategy: CrossExchangeMarketMakingStrategy = CrossExchangeMarketMakingStrategy(
[self.market_pair],
0.003,
order_size_portfolio_ratio_limit=0.3,
logging_options=logging_options
)
self.clock.add_iterator(self.maker_market)
self.clock.add_iterator(self.taker_market)
self.clock.add_iterator(self.strategy)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.taker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.maker_market.add_listener(MarketEvent.OrderFilled, self.maker_order_fill_logger)
self.taker_market.add_listener(MarketEvent.OrderFilled, self.taker_order_fill_logger)
self.maker_market.add_listener(MarketEvent.OrderCancelled, self.cancel_order_logger)
def main():
# Define the data cache path.
hummingsim.set_data_path(os.path.join(os.environ["PWD"], "data"))
# Define the parameters for the backtest.
start = pd.Timestamp("2018-12-12", tz="UTC")
end = pd.Timestamp("2019-01-12", tz="UTC")
binance_symbol = ("ETHUSDT", "ETH", "USDT")
ddex_symbol = ("WETH-DAI", "WETH", "DAI")
binance_market = BacktestMarket()
ddex_market = BacktestMarket()
binance_market.config = MarketConfig(AssetType.BASE_CURRENCY, 0.001,
AssetType.QUOTE_CURRENCY, 0.001, {})
ddex_market.config = MarketConfig(AssetType.BASE_CURRENCY, 0.001,
AssetType.QUOTE_CURRENCY, 0.001, {})
binance_loader = BinanceOrderBookLoaderV2(*binance_symbol)
ddex_loader = DDEXOrderBookLoader(*ddex_symbol)
binance_market.add_data(binance_loader)
ddex_market.add_data(ddex_loader)
binance_market.set_quantization_param(
QuantizationParams("ETHUSDT", 5, 3, 5, 3))
ddex_market.set_quantization_param(
QuantizationParams("WETH-DAI", 5, 3, 5, 3))
market_pair = CrossExchangeMarketPair(*([ddex_market] + list(ddex_symbol) +
[binance_market] +
list(binance_symbol)))
strategy = CrossExchangeMarketMakingStrategy(
[market_pair],
0.003,
logging_options=CrossExchangeMarketMakingStrategy.
OPTION_LOG_MAKER_ORDER_FILLED)
clock = Clock(ClockMode.BACKTEST,
start_time=start.timestamp(),
end_time=end.timestamp())
clock.add_iterator(binance_market)
clock.add_iterator(ddex_market)
clock.add_iterator(strategy)
binance_market.set_balance("ETH", 10.0)
binance_market.set_balance("USDT", 1000.0)
ddex_market.set_balance("WETH", 10.0)
ddex_market.set_balance("DAI", 1000.0)
clock.backtest()
binance_loader.close()
ddex_loader.close()
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, 1.0, self.start_timestamp, self.end_timestamp)
self.market_1: BacktestMarket = BacktestMarket()
self.market_2: BacktestMarket = BacktestMarket()
self.market_1_data: MockOrderBookLoader = MockOrderBookLoader(*self.market_1_symbols)
self.market_2_data: MockOrderBookLoader = MockOrderBookLoader(*self.market_2_symbols)
self.market_1_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.01, 10)
self.market_2_data.set_balanced_order_book(1.3, 0.5, 1.5, 0.001, 4)
self.market_1.add_data(self.market_1_data)
self.market_2.add_data(self.market_2_data)
self.market_1.set_balance("COINALPHA", 5)
self.market_1.set_balance("ETH", 5)
self.market_2.set_balance("COINALPHA", 5)
self.market_2.set_balance("WETH", 5)
self.market_1.set_quantization_param(
QuantizationParams(
self.market_1_symbols[0], 5, 5, 5, 5
)
)
self.market_2.set_quantization_param(
QuantizationParams(
self.market_2_symbols[0], 5, 5, 5, 5
)
)
self.market_pair: ArbitrageMarketPair = ArbitrageMarketPair(
*(
[self.market_1] + self.market_1_symbols + [self.market_2] + self.market_2_symbols
)
)
logging_options: int = ArbitrageStrategy.OPTION_LOG_ALL
self.strategy: ArbitrageStrategy = ArbitrageStrategy(
[self.market_pair],
min_profitability=0.01
)
self.logging_options = logging_options
self.clock.add_iterator(self.market_1)
self.clock.add_iterator(self.market_2)
self.clock.add_iterator(self.strategy)
self.market_1_order_fill_logger: EventLogger = EventLogger()
self.market_2_order_fill_logger: EventLogger = EventLogger()
self.market_1.add_listener(MarketEvent.OrderFilled, self.market_1_order_fill_logger)
self.market_2.add_listener(MarketEvent.OrderFilled, self.market_2_order_fill_logger)
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.wallet = Web3Wallet(private_key=conf.web3_private_key_radar,
backend_urls=conf.test_web3_provider_list,
erc20_token_addresses=[conf.mn_zerox_token_address, conf.mn_weth_token_address],
chain=EthereumChain.MAIN_NET)
cls.market: RadarRelayMarket = RadarRelayMarket(wallet=cls.wallet,
web3_url=conf.test_web3_provider_list[0],
order_book_tracker_data_source_type=
OrderBookTrackerDataSourceType.EXCHANGE_API,
symbols=["ZRX-WETH"])
print("Initializing Radar Relay market... ")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.wallet)
cls.clock.add_iterator(cls.market)
cls.ev_loop.run_until_complete(cls.clock.run_til(time.time() + 1))
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
def setUpClass(cls):
global MAINNET_RPC_URL
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: BinanceMarket = BinanceMarket(
MAINNET_RPC_URL,
conf.binance_api_key,
conf.binance_api_secret,
order_book_tracker_data_source_type=OrderBookTrackerDataSourceType.
EXCHANGE_API,
user_stream_tracker_data_source_type=UserStreamTrackerDataSourceType
.EXCHANGE_API,
symbols=["ZRXETH", "LOOMETH"])
print("Initializing Binance market... this will take about a minute.")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.market)
cls.ev_loop.run_until_complete(cls.clock.run_til(time.time() + 1))
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.erc20_token_address = conf.test_erc20_token_address
cls.w3 = Web3(Web3.HTTPProvider(conf.test_web3_provider_list[0]))
cls.wallet_a = Web3Wallet(conf.web3_test_private_key_a,
conf.test_web3_provider_list,
[cls.erc20_token_address])
cls.wallet_b = Web3Wallet(conf.web3_test_private_key_b,
conf.test_web3_provider_list,
[cls.erc20_token_address])
cls.erc20_token: ERC20Token = list(
cls.wallet_a.current_backend.erc20_tokens.values())[0]
cls.clock.add_iterator(cls.wallet_a)
cls.clock.add_iterator(cls.wallet_b)
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
next_iteration = (time.time() // 5.0 + 1) * 5
cls.ev_loop.run_until_complete(cls.clock.run_til(next_iteration))
def ddex_printout():
wethdai_data: DDEXOrderBookLoader = DDEXOrderBookLoader("WETH-DAI", "WETH", "DAI")
market: Market = BacktestMarket()
market.add_data(wethdai_data)
market.set_balance("ETH", 20.0)
print("Beginning Balance:", market.get_all_balances())
start: pd.Timestamp = pd.Timestamp("2018-12-01", tz="UTC")
end: pd.Timestamp = pd.Timestamp("2018-12-02", tz="UTC")
clock: Clock = Clock(ClockMode.BACKTEST, 600.0, start.timestamp(), end.timestamp())
print_out_strategy: PrintOutStrategy2 = PrintOutStrategy2(market)
clock.add_iterator(market)
clock.add_iterator(print_out_strategy)
clock.backtest()
print("End Balance:", market.get_all_balances())
wethdai_data.close()
def bittrex_printout():
ethusdt_data: BittrexOrderBookLoader = BittrexOrderBookLoader("USDT-ETH", "ETH", "USDT")
trxeth_data: BittrexOrderBookLoader = BittrexOrderBookLoader("ETH-TRX", "TRX", "ETH")
market: Market = BacktestMarket()
market.add_data(trxeth_data)
market.add_data(ethusdt_data)
market.set_balance("ETH", 20.0)
market.set_balance("TRX", 0.0)
print("Beginning Balance:", market.get_all_balances())
start: pd.Timestamp = pd.Timestamp("2018-12-11", tz="UTC")
end: pd.Timestamp = pd.Timestamp("2018-12-12", tz="UTC")
clock: Clock = Clock(ClockMode.BACKTEST, 600.0, start.timestamp(), end.timestamp())
print_out_strategy: PrintOutStrategy2 = PrintOutStrategy2(market)
clock.add_iterator(market)
clock.add_iterator(print_out_strategy)
clock.backtest()
print("End Balance:", market.get_all_balances())
ethusdt_data.close()
trxeth_data.close()
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: CoinbaseProMarket = CoinbaseProMarket(
web3_url=conf.test_web3_provider_list[0],
coinbase_pro_api_key=conf.coinbase_pro_api_key,
coinbase_pro_secret_key=conf.coinbase_pro_secret_key,
coinbase_pro_passphrase=conf.coinbase_pro_passphrase,
symbols=["ETH-USDC", "ETH-USD"])
cls.wallet: Web3Wallet = Web3Wallet(
private_key=conf.web3_private_key_coinbase_pro,
backend_urls=conf.test_web3_provider_list,
erc20_token_addresses=[
conf.mn_weth_token_address, conf.mn_zerox_token_address
],
chain=EthereumChain.MAIN_NET)
print(
"Initializing Coinbase Pro market... this will take about a minute."
)
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.market)
cls.clock.add_iterator(cls.wallet)
cls.ev_loop.run_until_complete(cls.clock.run_til(time.time() + 1))
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
async def start_market_making(self, strategy_name: str):
strategy_cm = get_strategy_config_map(strategy_name)
if strategy_name == "cross_exchange_market_making":
maker_market = strategy_cm.get("maker_market").value.lower()
taker_market = strategy_cm.get("taker_market").value.lower()
raw_maker_symbol = strategy_cm.get(
"maker_market_symbol").value.upper()
raw_taker_symbol = strategy_cm.get(
"taker_market_symbol").value.upper()
min_profitability = strategy_cm.get("min_profitability").value
trade_size_override = strategy_cm.get("trade_size_override").value
strategy_report_interval = global_config_map.get(
"strategy_report_interval").value
limit_order_min_expiration = strategy_cm.get(
"limit_order_min_expiration").value
cancel_order_threshold = strategy_cm.get(
"cancel_order_threshold").value
active_order_canceling = strategy_cm.get(
"active_order_canceling").value
top_depth_tolerance_rules = [(re.compile(re_str), value)
for re_str, value in strategy_cm.get(
"top_depth_tolerance").value]
top_depth_tolerance = 0.0
for regex, tolerance_value in top_depth_tolerance_rules:
if regex.match(raw_maker_symbol) is not None:
top_depth_tolerance = tolerance_value
try:
maker_assets: Tuple[str, str] = SymbolSplitter.split(
maker_market, raw_maker_symbol)
taker_assets: Tuple[str, str] = SymbolSplitter.split(
taker_market, raw_taker_symbol)
except ValueError as e:
self.app.log(str(e))
return
market_names: List[Tuple[str,
str]] = [(maker_market, raw_maker_symbol),
(taker_market, raw_taker_symbol)]
self._initialize_wallet(
token_symbols=list(set(maker_assets + taker_assets)))
self._initialize_markets(market_names)
self.market_pair = CrossExchangeMarketPair(
*([self.markets[maker_market], raw_maker_symbol] +
list(maker_assets) +
[self.markets[taker_market], raw_taker_symbol] +
list(taker_assets) + [top_depth_tolerance]))
strategy_logging_options = (
CrossExchangeMarketMakingStrategy.OPTION_LOG_CREATE_ORDER
| CrossExchangeMarketMakingStrategy.OPTION_LOG_ADJUST_ORDER |
CrossExchangeMarketMakingStrategy.OPTION_LOG_MAKER_ORDER_FILLED
| CrossExchangeMarketMakingStrategy.OPTION_LOG_REMOVING_ORDER
| CrossExchangeMarketMakingStrategy.OPTION_LOG_STATUS_REPORT |
CrossExchangeMarketMakingStrategy.OPTION_LOG_MAKER_ORDER_HEDGED
)
self.strategy = CrossExchangeMarketMakingStrategy(
market_pairs=[self.market_pair],
min_profitability=min_profitability,
status_report_interval=strategy_report_interval,
logging_options=strategy_logging_options,
trade_size_override=trade_size_override,
limit_order_min_expiration=limit_order_min_expiration,
cancel_order_threshold=cancel_order_threshold,
active_order_canceling=active_order_canceling)
elif strategy_name == "arbitrage":
primary_market = strategy_cm.get("primary_market").value.lower()
secondary_market = strategy_cm.get(
"secondary_market").value.lower()
raw_primary_symbol = strategy_cm.get(
"primary_market_symbol").value.upper()
raw_secondary_symbol = strategy_cm.get(
"secondary_market_symbol").value.upper()
min_profitability = strategy_cm.get("min_profitability").value
try:
primary_assets: Tuple[str, str] = SymbolSplitter.split(
primary_market, raw_primary_symbol)
secondary_assets: Tuple[str, str] = SymbolSplitter.split(
secondary_market, raw_secondary_symbol)
except ValueError as e:
self.app.log(str(e))
return
market_names: List[Tuple[str, str]] = [
(primary_market, raw_primary_symbol),
(secondary_market, raw_secondary_symbol)
]
self._initialize_wallet(
token_symbols=list(set(primary_assets + secondary_assets)))
self._initialize_markets(market_names)
self.market_pair = ArbitrageMarketPair(
*([self.markets[primary_market], raw_primary_symbol] +
list(primary_assets) +
[self.markets[secondary_market], raw_secondary_symbol] +
list(secondary_assets)))
strategy_logging_options = ArbitrageStrategy.OPTION_LOG_ALL
self.strategy = ArbitrageStrategy(
market_pairs=[self.market_pair],
min_profitability=min_profitability,
logging_options=strategy_logging_options)
else:
raise NotImplementedError
try:
self.clock = Clock(ClockMode.REALTIME)
if self.wallet is not None:
self.clock.add_iterator(self.wallet)
for market in self.markets.values():
if market is not None:
self.clock.add_iterator(market)
self.clock.add_iterator(self.strategy)
self.strategy_task: asyncio.Task = asyncio.ensure_future(
self.clock.run())
self.app.log(
f"\n'{strategy_name}' strategy started.\n"
f"You can use the `status` command to query the progress.")
except Exception as e:
self.logger().error(str(e), exc_info=True)
ddex_market.add_data(ddex_loader)
binance_market.set_quantization_param(QuantizationParams(
"ETHUSDT", 5, 3, 5, 3))
ddex_market.set_quantization_param(QuantizationParams("WETH-DAI", 5, 3, 5, 3))
market_pair1 = ArbitrageMarketPair(*([ddex_market] + list(ddex_symbol) +
[binance_market] + list(binance_symbol)))
strategy = ArbitrageStrategy(
[market_pair1],
0.025,
logging_options=ArbitrageStrategy.OPTION_LOG_CREATE_ORDER)
clock = Clock(ClockMode.BACKTEST,
start_time=start.timestamp(),
end_time=end.timestamp())
clock.add_iterator(binance_market)
clock.add_iterator(ddex_market)
clock.add_iterator(strategy)
binance_market.set_balance("ETH", 100.0)
binance_market.set_balance("USDT", 10000.0)
ddex_market.set_balance("WETH", 100.0)
ddex_market.set_balance("DAI", 10000.0)
clock.backtest_til(start.timestamp() + 1)
ddex_weth_price = ddex_market.get_price("WETH-DAI", False)
binance_eth_price = binance_market.get_price("ETHUSDT", False)
start_ddex_portfolio_value = ddex_market.get_balance(
import asyncio
import time
from hummingbot.cli.settings import get_erc20_token_addresses
from wings.web3_wallet import Web3Wallet
from wings.clock import Clock, ClockMode
from wings.ddex_market import DDEXMarket
from wings.ethereum_chain import EthereumChain
from wings.order_book_tracker import OrderBookTrackerDataSourceType
token_addresses = get_erc20_token_addresses(["WETH", "DAI"])
zrx_addr = "0x74622073a4821dbfd046E9AA2ccF691341A076e1"
pkey = "7BB21B1C4C9C0A474BCD08C1BA3C31ACEA8B6840AC72A67EDD38CB32899CBF87"
server = "http://aws-mainnet-1.mainnet-rpc-headless.mainnet:8545"
clock = Clock(ClockMode.REALTIME)
wallet = Web3Wallet(pkey, [server],
token_addresses,
chain=EthereumChain.MAIN_NET)
market = DDEXMarket(
wallet,
server,
order_book_tracker_data_source_type=OrderBookTrackerDataSourceType.
EXCHANGE_API,
symbols=["WETH-DAI"])
clock.add_iterator(wallet)
clock.add_iterator(market)
async def main():
begin = time.time() // 1
async def start_market_making(self, strategy_name: str):
strategy_cm = get_strategy_config_map(strategy_name)
if strategy_name == "cross_exchange_market_making":
maker_market = strategy_cm.get("maker_market").value.lower()
taker_market = strategy_cm.get("taker_market").value.lower()
raw_maker_symbol = strategy_cm.get(
"maker_market_symbol").value.upper()
raw_taker_symbol = strategy_cm.get(
"taker_market_symbol").value.upper()
min_profitability = strategy_cm.get("min_profitability").value
trade_size_override = strategy_cm.get("trade_size_override").value
strategy_report_interval = global_config_map.get(
"strategy_report_interval").value
limit_order_min_expiration = strategy_cm.get(
"limit_order_min_expiration").value
cancel_order_threshold = strategy_cm.get(
"cancel_order_threshold").value
active_order_canceling = strategy_cm.get(
"active_order_canceling").value
top_depth_tolerance_rules = [(re.compile(re_str), value)
for re_str, value in strategy_cm.get(
"top_depth_tolerance").value]
top_depth_tolerance = 0.0
for regex, tolerance_value in top_depth_tolerance_rules:
if regex.match(raw_maker_symbol) is not None:
top_depth_tolerance = tolerance_value
try:
maker_assets: Tuple[str, str] = SymbolSplitter.split(
maker_market, raw_maker_symbol)
taker_assets: Tuple[str, str] = SymbolSplitter.split(
taker_market, raw_taker_symbol)
except ValueError as e:
self.app.log(str(e))
return
market_names: List[Tuple[str, List[str]]] = [
(maker_market, [raw_maker_symbol]),
(taker_market, [raw_taker_symbol])
]
self._initialize_wallet(
token_symbols=list(set(maker_assets + taker_assets)))
self._initialize_markets(market_names)
self.assets = set(maker_assets + taker_assets)
self.market_pair = CrossExchangeMarketPair(
*([self.markets[maker_market], raw_maker_symbol] +
list(maker_assets) +
[self.markets[taker_market], raw_taker_symbol] +
list(taker_assets) + [top_depth_tolerance]))
strategy_logging_options = (
CrossExchangeMarketMakingStrategy.OPTION_LOG_CREATE_ORDER
| CrossExchangeMarketMakingStrategy.OPTION_LOG_ADJUST_ORDER |
CrossExchangeMarketMakingStrategy.OPTION_LOG_MAKER_ORDER_FILLED
| CrossExchangeMarketMakingStrategy.OPTION_LOG_REMOVING_ORDER
| CrossExchangeMarketMakingStrategy.OPTION_LOG_STATUS_REPORT |
CrossExchangeMarketMakingStrategy.OPTION_LOG_MAKER_ORDER_HEDGED
)
self.strategy = CrossExchangeMarketMakingStrategy(
market_pairs=[self.market_pair],
min_profitability=min_profitability,
status_report_interval=strategy_report_interval,
logging_options=strategy_logging_options,
trade_size_override=trade_size_override,
limit_order_min_expiration=limit_order_min_expiration,
cancel_order_threshold=cancel_order_threshold,
active_order_canceling=active_order_canceling)
elif strategy_name == "arbitrage":
primary_market = strategy_cm.get("primary_market").value.lower()
secondary_market = strategy_cm.get(
"secondary_market").value.lower()
raw_primary_symbol = strategy_cm.get(
"primary_market_symbol").value.upper()
raw_secondary_symbol = strategy_cm.get(
"secondary_market_symbol").value.upper()
min_profitability = strategy_cm.get("min_profitability").value
try:
primary_assets: Tuple[str, str] = SymbolSplitter.split(
primary_market, raw_primary_symbol)
secondary_assets: Tuple[str, str] = SymbolSplitter.split(
secondary_market, raw_secondary_symbol)
except ValueError as e:
self.app.log(str(e))
return
market_names: List[Tuple[str, List[str]]] = [
(primary_market, [raw_primary_symbol]),
(secondary_market, [raw_secondary_symbol])
]
self._initialize_wallet(
token_symbols=list(set(primary_assets + secondary_assets)))
self._initialize_markets(market_names)
self.assets = set(primary_assets + secondary_assets)
self.market_pair = ArbitrageMarketPair(
*([self.markets[primary_market], raw_primary_symbol] +
list(primary_assets) +
[self.markets[secondary_market], raw_secondary_symbol] +
list(secondary_assets)))
strategy_logging_options = ArbitrageStrategy.OPTION_LOG_ALL
self.strategy = ArbitrageStrategy(
market_pairs=[self.market_pair],
min_profitability=min_profitability,
logging_options=strategy_logging_options)
elif strategy_name == "discovery":
try:
market_1 = strategy_cm.get("primary_market").value.lower()
market_2 = strategy_cm.get("secondary_market").value.lower()
target_symbol_1 = list(
strategy_cm.get("target_symbol_1").value)
target_symbol_2 = list(
strategy_cm.get("target_symbol_2").value)
target_profitability = float(
strategy_cm.get("target_profitability").value)
target_amount = float(strategy_cm.get("target_amount").value)
equivalent_token: List[List[str]] = list(
strategy_cm.get("equivalent_tokens").value)
market_names: List[Tuple[str, List[str]]] = [
(market_1, target_symbol_1), (market_2, target_symbol_2)
]
target_base_quote_1: List[Tuple[str, str]] = [
SymbolSplitter.split(market_1, symbol)
for symbol in target_symbol_1
]
target_base_quote_2: List[Tuple[str, str]] = [
SymbolSplitter.split(market_2, symbol)
for symbol in target_symbol_2
]
for asset_tuple in (target_base_quote_1 + target_base_quote_2):
self.assets.add(asset_tuple[0])
self.assets.add(asset_tuple[1])
self._initialize_wallet(token_symbols=list(self.assets))
self._initialize_markets(market_names)
self.market_pair = DiscoveryMarketPair(*([
self.markets[market_1],
self.markets[market_1].get_active_exchange_markets
] + [
self.markets[market_2],
self.markets[market_2].get_active_exchange_markets
]))
self.strategy = DiscoveryStrategy(
market_pairs=[self.market_pair],
target_symbols=target_base_quote_1 + target_base_quote_2,
equivalent_token=equivalent_token,
target_profitability=target_profitability,
target_amount=target_amount)
except Exception as e:
self.app.log(str(e))
self.logger().error("Error initializing strategy.",
exc_info=True)
else:
raise NotImplementedError
try:
self.clock = Clock(ClockMode.REALTIME)
if self.wallet is not None:
self.clock.add_iterator(self.wallet)
for market in self.markets.values():
if market is not None:
self.clock.add_iterator(market)
self.clock.add_iterator(self.strategy)
self.strategy_task: asyncio.Task = asyncio.ensure_future(
self._run_clock())
self.app.log(
f"\n '{strategy_name}' strategy started.\n"
f" You can use the `status` command to query the progress.")
self.starting_balances = await self.wait_till_ready(
self.balance_snapshot)
self.stop_loss_tracker = StopLossTracker(
self.data_feed, list(self.assets), list(self.markets.values()),
lambda *args, **kwargs: asyncio.ensure_future(
self.stop(*args, **kwargs)))
await self.wait_till_ready(self.stop_loss_tracker.start)
except Exception as e:
self.logger().error(str(e), exc_info=True)
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, start_time=self.start_time, end_time=self.end_time)
self.order_book_loader: DDEXOrderBookLoader = DDEXOrderBookLoader("WETH-DAI", "WETH", "DAI")
self.order_book: OrderBook = self.order_book_loader.order_book
self.clock.add_iterator(self.order_book_loader)
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, start_time=self.start_time, end_time=self.end_time)
self.order_book_loader: RadarRelayOrderBookLoader = RadarRelayOrderBookLoader("WETH-DAI", "WETH", "DAI")
self.order_book: RadarRelayOrderBook = self.order_book_loader.order_book
self.active_order_tracker: RadarRelayActiveOrderTracker = self.order_book_loader.active_order_tracker
self.clock.add_iterator(self.order_book_loader)