class HitBTCMarketMakerKeeper:
"""Keeper acting as a market maker on HitBTC."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='hitbtc-market-maker-keeper')
parser.add_argument(
"--hitbtc-api-server",
type=str,
default="https://api.hitbtc.com",
help=
"Address of the HitBTC API server (default: 'https://api.hitbtc.com')"
)
parser.add_argument("--hitbtc-api-key",
type=str,
required=True,
help="API key for the HitBTC API")
parser.add_argument("--hitbtc-secret-key",
type=str,
required=True,
help="Secret key for the HitBTC API")
parser.add_argument(
"--hitbtc-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the HitBTC API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.add_argument(
"--telegram-log-config-file",
type=str,
required=False,
help=
"config file for send logs to telegram chat (e.g. 'telegram_conf.json')",
default=None)
parser.add_argument(
"--keeper-name",
type=str,
required=False,
help="market maker keeper name (e.g. 'Uniswap_V2_MDTETH')",
default="hitbtc")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.hitbtc_api = HitBTCApi(
api_server=self.arguments.hitbtc_api_server,
api_key=self.arguments.hitbtc_api_key,
secret_key=self.arguments.hitbtc_secret_key,
timeout=self.arguments.hitbtc_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.hitbtc_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.hitbtc_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.hitbtc_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair
def pair_separator(self) -> int:
return 4 if self.arguments.pair.startswith('TUSD') else 3
def token_sell(self) -> str:
return self.arguments.pair[:self.pair_separator()]
def token_buy(self) -> str:
return self.arguments.pair[self.pair_separator():]
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
token_balances = list(
filter(lambda coin: coin['currency'].upper() == token,
our_balances))
if token_balances:
return Wad.from_number(token_balances[0]['available'])
else:
return Wad(0)
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# Place new orders
new_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(order_book.balances,
self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0]
self.place_orders(new_orders)
def place_orders(self, new_orders: List[NewOrder]):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
order_id = self.hitbtc_api.place_order(
self.pair(), new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount)
return Order(order_id=order_id,
status='new',
timestamp=0.0,
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=new_order_to_be_placed.price,
amount=amount,
filled_amount=Wad(0))
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class GOPAXMarketMakerKeeper:
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='gopax-market-maker-keeper')
parser.add_argument(
"--gopax-api-server",
type=str,
default="https://api.gopax.co.kr",
help=
"Address of the GOPAX API server (default: 'https://api.gopax.co.kr')"
)
parser.add_argument("--gopax-api-key",
type=str,
required=True,
help="API key for the GOPAX API")
parser.add_argument("--gopax-api-secret",
type=str,
required=True,
help="API secret for the GOPAX API")
parser.add_argument(
"--gopax-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the GOPAX API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.history = History()
self.gopax_api = GOPAXApi(api_server=self.arguments.gopax_api_server,
api_key=self.arguments.gopax_api_key,
api_secret=self.arguments.gopax_api_secret,
timeout=self.arguments.gopax_timeout)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_book_manager = OrderBookManager(refresh_frequency=10)
self.order_book_manager.get_orders_with(self.get_orders)
self.order_book_manager.get_balances_with(
lambda: self.gopax_api.get_balances())
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
#TODO I don't think this approach makes sure all orders will always get cancelled!!
while True:
try:
our_orders = self.gopax_api.get_orders(self.pair())
except:
continue
if len(our_orders) == 0:
break
self.cancel_orders(our_orders)
self.order_book_manager.wait_for_order_cancellation()
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('-')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('-')[1].upper()
def get_orders(self) -> list:
return list(
map(lambda order: self.gopax_api.get_order(order.order_id),
self.gopax_api.get_orders(self.pair())))
def our_available_balance(self, our_balances: list, token: str) -> Wad:
return Wad.from_number(
next(filter(lambda coin: coin['asset'] == token,
our_balances))['avail'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.place_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(
order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0])
def cancel_orders(self, orders):
for order in orders:
self.order_book_manager.cancel_order(
order.order_id,
lambda order=order: self.gopax_api.cancel_order(order.order_id
))
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
pair = self.pair()
is_sell = new_order_to_be_placed.is_sell
price = new_order_to_be_placed.price
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
new_order_id = self.gopax_api.place_order(pair=pair,
is_sell=is_sell,
price=price,
amount=amount)
return Order(order_id=new_order_id,
pair=pair,
is_sell=is_sell,
price=price,
amount=amount,
amount_remaining=amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class GateIOMarketMakerKeeper:
"""Keeper acting as a market maker on Gate.io."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='gateio-market-maker-keeper')
parser.add_argument(
"--gateio-api-server",
type=str,
default="https://data.gate.io",
help=
"Address of the Gate.io API server (default: 'https://data.gate.io')"
)
parser.add_argument("--gateio-api-key",
type=str,
required=True,
help="API key for the Gate.io API")
parser.add_argument("--gateio-secret-key",
type=str,
required=True,
help="Secret key for the Gate.io API")
parser.add_argument(
"--gateio-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Gate.io API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(
self.arguments)
self.history = History()
self.gateio_api = GateIOApi(
api_server=self.arguments.gateio_api_server,
api_key=self.arguments.gateio_api_key,
secret_key=self.arguments.gateio_secret_key,
timeout=self.arguments.gateio_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.gateio_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.gateio_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.gateio_api.cancel_order(self.pair(), order.
order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
self._last_order_creation = 0
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.lower()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].upper()
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
try:
return Wad.from_number(our_balances['available'][token])
except KeyError:
return Wad(0)
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# Place new orders
new_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(order_book.balances,
self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0]
if len(new_orders) > 0:
if self.can_create_orders():
self.place_orders(new_orders)
self.register_order_creation()
else:
self.logger.info(
"Too little time elapsed from last order creation, waiting..."
)
# Unfortunately the gate.io API does not immediately reflect the fact that our orders have
# been placed. In order to avoid placing orders twice we explicitly wait some time here.
def can_create_orders(self) -> bool:
return time.time() - self._last_order_creation > 15
def register_order_creation(self):
self._last_order_creation = time.time()
def place_orders(self, new_orders: List[NewOrder]):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
order_id = self.gateio_api.place_order(
self.pair(), new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount)
return Order(order_id=order_id,
timestamp=0,
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=new_order_to_be_placed.price,
amount=amount,
amount_symbol=self.token_sell(),
money=amount * new_order_to_be_placed.price,
money_symbol=self.token_buy(),
initial_amount=amount,
filled_amount=Wad(0))
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class EToroMarketMakerKeeper:
"""Keeper acting as a market maker on eToro."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='eToro-market-maker-keeper')
parser.add_argument("--etoro-api-server",
type=str,
required=True,
help="Address of the eToro API server")
parser.add_argument("--etoro-account",
type=str,
default="*****@*****.**",
help="Username for eToroX account")
parser.add_argument("--etoro-api-key",
type=str,
required=True,
help="API key for the eToro API")
parser.add_argument(
"--etoro-secret-key",
type=argparse.FileType('r'),
required=True,
help="RSA Private Key for signing requests to the eToroX API")
parser.add_argument(
"--etoro-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the eToro API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.add_argument(
"--telegram-log-config-file",
type=str,
required=False,
help=
"config file for send logs to telegram chat (e.g. 'telegram_conf.json')",
default=None)
parser.add_argument(
"--keeper-name",
type=str,
required=False,
help="market maker keeper name (e.g. 'Uniswap_V2_MDTETH')",
default="etoro")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.etoro_api = EToroApi(api_server=self.arguments.etoro_api_server,
account=self.arguments.etoro_account,
api_key=self.arguments.etoro_api_key,
secret_key=self.arguments.etoro_secret_key,
timeout=self.arguments.etoro_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.etoro_api.get_orders(self._join_string(self.pair()),
"open"))
self.order_book_manager.get_balances_with(
lambda: self.etoro_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.etoro_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.lower()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].lower()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].lower()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
balance = list(filter(lambda x: x['currency'] == token,
our_balances))[0]['balance']
return Wad.from_number(balance)
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# Place new orders
self.place_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(
order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
side = "sell" if new_order_to_be_placed.is_sell == True else "buy"
order_id = self.etoro_api.place_order(
pair=self._join_string(self.pair()),
side=side,
price=new_order_to_be_placed.price,
amount=amount)
timestamp = datetime.now(tz=timezone.utc).isoformat()
return Order(str(order_id), timestamp,
self._join_string(self.pair()),
new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
# Return lower case concatted string. Assumes inputted string is an _ delimited pair
def _join_string(self, string: str) -> str:
assert (isinstance(string, str))
return "".join(string.split('_')).lower()
class BiboxMarketSurfer:
"""Keeper acting as a market maker on Bibox."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='bibox-market-maker-keeper')
parser.add_argument("--config",
type=str,
required=True,
help="Bands configuration file")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the surfer will operate")
parser.add_argument(
"--output-path",
type=str,
required=True,
help="output file path of the completed order result")
# reserved for old program
# 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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.orderlog = Logger(self.arguments.output_path + "SurferResult_" +
self.arguments.pair,
level='info')
try:
f = open(self.arguments.config, 'r')
config = json.loads(f.read())
f.close()
self.bibox_api = BiboxApi(api_server=config["bibox_api_server"],
api_key=config["bibox_api_key"],
secret=config["bibox_secret"],
timeout=config["bibox_timeout"])
for pair in config['pairs']:
if pair['pair'] == self.arguments.pair:
self.total_amount = pair["total_amount"]
# percent of total amount of each transaction or each order
self.each_order_percent = pair["each_order_percent"]
self.arbitrage_percent = pair["arbitrage_percent"]
# the order count of sell or buy bands must less than limit
self.band_order_limit = pair["band_order_limit"]
except Exception as e:
logging.getLogger().warning(
f"Config file is invalid ({e}). Treating the config file as it has no bands."
)
self.history = History()
self.bands_config = ReloadableConfig(self.arguments.config)
# self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(
self.arguments)
self.local_orders = []
self.each_order_amount = self.total_amount * self.each_order_percent
# To implement abstract function with different exchanges API
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.bibox_api.get_orders(pair=self.pair(), retry=True))
self.order_book_manager.get_balances_with(
lambda: self.bibox_api.coin_list(retry=True))
self.order_book_manager.cancel_orders_with(
lambda order: self.bibox_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
# Place new orders while initialize the whole surfer system
self.initialize_orders(self.each_order_amount, self.arbitrage_percent,
self.band_order_limit)
time.sleep(
5
) # wait for order book manager to get placed orders 足够时间保证系统稳定返回，这个时间还是不一定够
self.local_orders = self.order_book_manager.get_order_book().orders
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(10, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def initialize_orders(self, each_order_amount, arbitrage_percent,
band_order_limit):
orders = []
i = 1
base_price = self.get_last_price(self.pair())
while band_order_limit + 1 > i:
# place sell order
price = float(base_price) * (1 + arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
pay_amount = each_order_amount * self.amount_disguise(
) #bix amount
pay_amount = pay_amount + self.suffix_amount_identify()
buy_amount = pay_amount * price #eth money
# print(pay_amount)
orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
# place buy order, pay attention to rotate bix - eth
price = float(base_price) * (1 - arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
tmp = each_order_amount * self.amount_disguise()
pay_amount = tmp * price #eth money 25
buy_amount = tmp #bix amount 0.05
buy_amount = buy_amount + self.suffix_amount_identify()
# print(buy_amount)
orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
i = i + 1
self.place_orders(orders)
# 偶尔有 bug，提交的完成慢，导致 local orders 比 下一次 获取回来少， initial_delay 加长时间到15秒,时间太长也麻烦，
# 会导致一开始提交就成交的那部分订单不会存到 local orders
# 需要换地方，order_book_manager更新不及时的情况下，会导致返回的订单数据不全，或者订单里的参数默认为0的情况
# self.local_orders = self.order_book_manager.get_order_book().orders
@staticmethod
def amount_disguise():
rand = [
0.8, 0.84, 0.88, 0.92, 0.95, 0.99, 1.03, 1.06, 1.09, 1.12, 1.16,
1.2
]
return rand[random.randint(0, 11)]
# suffix unique amount number to identify different buy/sell order pairs for result performance statics
@staticmethod
def suffix_amount_identify():
return round(random.random() / 10.0, 10)
def get_last_price(self, pair):
return self.bibox_api.ticker(pair)['last']
def shutdown(self):
self.order_book_manager.cancel_all_orders(final_wait_time=30)
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].upper()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
return Wad.from_number(
next(filter(lambda coin: coin['symbol'] == token,
our_balances))['balance'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def count_sell_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: order.is_sell, our_orders)))
def count_buy_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: not order.is_sell, our_orders)))
def synchronize_orders(self):
# bands = Bands.read(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
self.logger.info(
"---**----synchronize_orders: The length of local_orders " +
str(self.local_orders.__len__()))
self.logger.info(
"---**----synchronize_orders: The length of order_book.orders " +
str(len(order_book.orders)))
local_order_ids = set(order.order_id for order in self.local_orders)
order_book_ids = set(order.order_id for order in order_book.orders)
completed_order_ids = list(local_order_ids - order_book_ids)
# 如果没有后续的更新 local orders，只有这里的更新模块，肯定有问题的，因为一旦有成交，
# completed_order_ids 不为0，则永远更新不了local orders 了
# return if there none order be completed
# 下面这种情况，只有在order_book订单完全"包含"local_order订单时，但是两者并不相等时，才会让本地订单等于远程订单；
# 这种一般是远程订单比本地订单多，往往比如人工在系统提交了新的订单
# 这段是必须的，比如程序起步的时候，同时提交一批订单，导致速度慢，导致 local_orders 只有真正订单的一部分
if completed_order_ids.__len__() == 0:
if local_order_ids.__len__() != order_book_ids.__len__():
self.logger.info(
"---**---update local order with remote order while no completed order in past cycle"
)
self.local_orders = order_book.orders
return
# completed_orders = list(filter(lambda order: order.order_id in completed_order_ids, self.local_orders))
completed_orders = [
order for order in self.local_orders
if order.order_id in completed_order_ids
]
# completed_orders = list(filter(lambda order: order.order_id in local_order_ids, order_book.orders))
self.logger.info("---**---The number of completed orders is " +
str(len(completed_orders)))
self.logger.info("---**---Below is/are completed orders : ")
self.logger.info(completed_orders)
# completed_orders_new = list(set(self.local_orders) - set(order_book.orders))
# print("---**---The lenght of completed new orders " + str(len(completed_orders_new)))
# print(completed_orders_new)
# completed_orders = [{'amount': Wad(2220000000000000000),
# 'amount_symbol': 'BIX',
# 'created_at': 1528203670000,
# 'is_sell': True,
# 'money': Wad(52779250000000000),
# 'money_symbol': 'ETH',
# 'order_id': 606026215,
# 'price': Wad(2294750000000000)}, {'amount': Wad(2990000000000000000),
# 'amount_symbol': 'BIX',
# 'created_at': 1528203670000,
# 'is_sell': False,
# 'money': Wad(55779250000000000),
# 'money_symbol': 'ETH',
# 'order_id': 606026215,
# 'price': Wad(2394750000000000)}]
# our_buy_orders = self.our_buy_orders(order_book.orders)
# our_sell_orders = self.our_sell_orders(order_book.orders)
# print(our_buy_orders)
# print(our_sell_orders)
# 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
# order_book.orders 按照从低到高价格排序，获取价格最低（也就是最远）的1个订单作为要取消的订单；
sorted_buy_orders = sorted(self.our_buy_orders(order_book.orders),
key=lambda order: order.price)
# order_book.orders 按照从高到低价格排序，获取价格最高（也就是最远）的 1 个订单作为要取消的订单；
sorted_sell_orders = sorted(self.our_sell_orders(order_book.orders),
key=lambda order: order.price,
reverse=True)
# if (self.local_orders.__len__() - len(order_book.orders) > 0):
if len(completed_orders) > 0:
self.logger.info(
"---**---some orders have been completed, and new should be submitted"
)
new_orders = []
cancellable_orders = []
step = 1
buy_index = 0
sell_index = 0
count_sell_order = self.count_sell_orders(order_book.orders)
count_buy_order = self.count_buy_orders(order_book.orders)
for cod in completed_orders:
# print(type(cod))
# print(cod.is_sell)
# the completed order is sell order, buy order should be placed
cancel_order_count = 0
self.orderlog.logger.info(" - " + str(cod.is_sell) + " - " +
str(cod.price) + " - " +
str(cod.amount) + " - " +
str(cod.price * cod.amount))
if cod.is_sell:
#(1-1 buy) place buy order, pay attention to rotate bix - eth
price = float(cod.price) * (1 - self.arbitrage_percent)
self.logger.info("To submit a new buy order with price " +
str(price))
pay_amount = float(cod.amount) * price # eth money 25
buy_amount = float(cod.amount) # bix amount 0.05
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
#(1-2 buy) 取消超出订单数量上限的buy订单，价格最远的订单--就是最低价格的订单
buyo = count_buy_order + 1 - self.band_order_limit
self.logger.info(
"Number of exceed the upper limit of buy order: " +
str(buyo))
# 加上后面这个条件，防止buy订单也成交，当前的订单列表里实际已经没有那么多数量的 buy 订单供取消
# 比如同一周期，buy 订单被吃了1，sell 订单被吃了3个，那么剩下的buy订单就不会被取消3次了
if buyo > 0 and len(sorted_buy_orders) > buy_index:
# order_book.orders 按照从低到高价格排序，获取价格最低（也就是最远）的1个订单作为要取消的订单；
# sorted_buy_orders = sorted(self.our_buy_orders(order_book.orders),
# key=lambda order: order.price)
print(sorted_buy_orders)
self.logger.info(
"Cancel buy order which exceed band order limit ")
self.logger.info(
str(sorted_buy_orders[buy_index].order_id))
self.logger.info(str(sorted_buy_orders[buy_index]))
print(type(sorted_buy_orders[buy_index]))
cancellable_orders.append(sorted_buy_orders[buy_index])
# self.bibox_api.cancel_order(sorted_buy_orders[index].order_id)
buy_index = buy_index + 1
else: #如果没有对应取消订单，则 buy 订单数量增加
count_buy_order = count_buy_order + 1
#(2 sell) 以当前价格为基数，重新submit一个高价格的 sell 订单，补充 sell list
# place sell a new order with higher price
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_sell_order = self.count_sell_orders(order_book.orders)
band_sell_order_gap = self.band_order_limit - count_sell_order
self.logger.info(
"The number of sell order which need to submit " +
str(band_sell_order_gap))
# while band_sell_order_gap > 0: # 外部已经有循环了，不需要这个循环了,否则在多订单被吃时，会加倍补充
# 这里只需要判断，控制数量就够了
if band_sell_order_gap > 0:
current_price = self.get_last_price(self.pair())
self.logger.info("---**---current price is " +
str(current_price))
price = float(current_price) * (
1 + self.arbitrage_percent *
(step + count_sell_order))
self.logger.info(
"The higher price of new sell order is " +
str(price))
pay_amount = self.each_order_amount * self.amount_disguise(
) # bix amount
pay_amount = pay_amount + self.suffix_amount_identify(
) # add unique identify
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
count_sell_order = count_sell_order + 1
else: # buy order had been completed
#(1-1 sell) to place a corresponding sell order
price = float(cod.price) * (1 + self.arbitrage_percent)
self.logger.info(
"To submit new sell order with arbitrage price: " +
str(price))
pay_amount = float(cod.amount) # bix amount
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
#(1-2 sell) 取消超出band order limits数量的 sell 订单
self.logger.info(
"--------debug--------------Number of exceed the upper limit of sell order: "
+ str(count_sell_order + 1 - self.band_order_limit))
sello = count_sell_order + 1 - self.band_order_limit
if sello > 0 and len(sorted_sell_orders) > sell_index:
# order_book.orders 按照从高到低价格排序，获取价格最高（也就是最远）的 1 个订单作为要取消的订单；
# sorted_sell_orders = sorted(self.our_sell_orders(order_book.orders),
# key=lambda order: order.price,
# reverse=True)
print(sorted_sell_orders)
self.logger.info(
"Cancel sell order which exceed band order limit ")
self.logger.info(
str(sorted_sell_orders[sell_index].order_id))
self.logger.info(str(sorted_sell_orders[sell_index]))
cancellable_orders.append(
sorted_sell_orders[sell_index])
# self.bibox_api.cancel_order(sorted_sell_orders[index].order_id)
sell_index = sell_index + 1
else:
count_sell_order = count_sell_order + 1
#(2 buy) 以当前价格为基数，重新submit一个 buy 订单，补充 buy list
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_buy_order = self.count_buy_orders(order_book.orders)
band_buy_order_gap = self.band_order_limit - count_buy_order
self.logger.info(
"The number of buy order which need to submit " +
str(band_buy_order_gap))
if band_buy_order_gap > 0:
#基础价格放在循环里的话，能快速反映当前价格，特保是激烈波动的时候；但是增加了请求次数
current_price = self.get_last_price(self.pair())
price = float(current_price) * (
1 - self.arbitrage_percent *
(step + count_buy_order))
self.logger.info(
"The lower price order of new buy order is " +
str(price))
tmp = self.each_order_amount * self.amount_disguise()
pay_amount = tmp * price # eth money 25
buy_amount = tmp # bix amount 0.05
buy_amount = buy_amount + self.suffix_amount_identify(
) # add unique identify
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# band_buy_order_gap = band_buy_order_gap - 1
count_buy_order = count_buy_order + 1
step = step + 1
# Cancel orders
if len(cancellable_orders) > 0:
self.order_book_manager.cancel_orders(cancellable_orders)
time.sleep(1)
while order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.info(
"Sleep 1 s while order manager is in progress after cancelling exceed orders"
)
time.sleep(1)
# Submit new orders
self.place_orders(new_orders)
time.sleep(1)
while order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.info(
"Sleep 1 s while order manager is in progress after placing new orders"
)
time.sleep(1)
# update local orders, 前面有更新模块，与这边不完全相同，尤其是有成交的情况下，必须要更新
# 是这样吗？ 似乎也不是的，有成交的情况下，下一次订单也会让 set（local） - set（order book）=0的，集合相减的特殊之处
# 如果这样就没有必要了。
# 是这样简单的复制更新，还是本地自己维护一个 id list 好呢？ 也就是把（1）确定成交的从 local 删除；
# （2）确定提交的add 到本地；
# 缩进到循环： if len(completed_orders) > 0：，在出现两者不一致的时候，同步更新订单；
# 但是这个会导致一个问题，就是初始化的订单里，有price 为0，导致两者不一致的情况，怎么办？这里解决了，是通过 order id对比而不是
# 直接的 order 对比，所以应该是解决了才对
# 默认有3秒的刷新周期，导致被成功取消的订单，不会马上出现在order_book_manager
# 导致 local 比真实的多了，使得取消的订单在下一次被误认为是成交了
# 以上虽然 while 循环了，但是如果 while 循环的时候，有订单被成交了，这个订单就会丢掉，被误认为是撤销的订单了
self.logger.info(
"Update local order with latest remote order at the end of synchronize cycle"
)
self.local_orders = self.order_book_manager.get_order_book().orders
# Cancel orders
# 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.order_book_manager.cancel_orders(cancellable_orders)
# print("there is " + str(len(cancellable_orders)) + " orders should be cancelled")
# Place new orders
# self.place_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(order_book.balances, self.token_buy()),
# our_sell_balance=self.our_available_balance(order_book.balances, self.token_sell()),
# target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
amount_symbol = self.token_sell()
money = new_order_to_be_placed.buy_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.pay_amount
money_symbol = self.token_buy()
new_order_id = self.bibox_api.place_order(
is_sell=new_order_to_be_placed.is_sell,
amount=amount,
amount_symbol=amount_symbol,
money=money,
money_symbol=money_symbol)
return Order(new_order_id, 0, new_order_to_be_placed.is_sell,
Wad(money / amount), amount, amount_symbol, money,
money_symbol)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
def get_price(self, pair):
self.bibox_api.get_all_trades()
class LeverjMarketMakerKeeper:
"""Keeper acting as a market maker on leverj."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='leverj-market-maker-keeper')
parser.add_argument(
"--leverj-api-server",
type=str,
default="https://test.leverj.io",
help=
"Address of the leverj API server (default: 'https://test.leverj.io')"
)
parser.add_argument("--account-id",
type=str,
default="",
help="Address of leverj api account id")
parser.add_argument("--api-key",
type=str,
default="",
help="Address of leverj api key")
parser.add_argument("--api-secret",
type=str,
default="",
help="Address of leverj api secret")
parser.add_argument(
"--leverj-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Leverj API (in seconds, default: 9.5)")
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 watch our trades")
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("--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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
parser.add_argument("--leverage",
type=float,
default=1.0,
help="Leverage chosen for futures orders")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
self.web3 = 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)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.target_price_lean = Wad(0)
self.leverage = self.arguments.leverage
self.history = History()
self.leverj_api = LeverjFuturesAPI(
web3=self.web3,
api_server=self.arguments.leverj_api_server,
account_id=self.arguments.account_id,
api_key=self.arguments.api_key,
api_secret=self.arguments.api_secret,
timeout=self.arguments.leverj_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.leverj_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.leverj_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.leverj_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(1)
lifecycle.on_startup(self.startup)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
quote_increment = self.leverj_api.get_tickSize(self.pair())
self.precision = -(int(log10(float(quote_increment))) + 1)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
name_to_id_map = {'BTCDAI': '1', 'ETHDAI': '2'}
return name_to_id_map[self.arguments.pair.upper()]
def token_sell(self) -> str:
return self.arguments.pair.upper()[:3]
def token_buy(self) -> str:
return self.arguments.pair.upper()[3:]
def allocated_balance(self, token: str) -> Wad:
quote_asset_address = self.leverj_api.get_product(
self.pair())["quote"]["address"]
# for perpetual contracts, the quote balance is allocated across instruments and sides to enter into trades
total_available = self.leverj_api.get_plasma_balance(
quote_asset_address)
# adjust for leverage
total_available = Decimal(total_available) * Decimal(self.leverage)
self.logger.debug(f'total_available: {total_available}')
return self._allocate_to_pair(total_available).get(token)
def _allocate_to_pair(self, total_available):
# total number of instruments across which the total_available balance is distributed
# total_available is denominated in quote units
total_number_of_instruments = 1
# there are 2 partitions for allocation per instrument
# the dai amount is divided in 2, one for the buy side and another for the sell side
number_of_partitions_for_allocation = Wad.from_number(
total_number_of_instruments * 2)
# buffer_adjustment_factor is a small intentional buffer to avoid allocating the maximum possible.
# the allocated amount is a little smaller than the maximum possible allocation
# and that is determined by the buffer_adjustment_factor
buffer_adjustment_factor = Wad.from_number(1.05)
base = self.arguments.pair.upper()[:3]
quote = self.arguments.pair.upper()[3:]
target_price = self.price_feed.get_price()
product = self.leverj_api.get_product(self.pair())
minimum_order_quantity = self.leverj_api.get_minimum_order_quantity(
self.pair())
minimum_quantity_wad = Wad.from_number(minimum_order_quantity)
if ((base == product['baseSymbol'])
and (quote == product['quoteSymbol'])):
if ((target_price is None) or (target_price.buy_price is None)
or (target_price.sell_price is None)):
base_allocation = Wad(0)
quote_allocation = Wad(0)
self.logger.debug(
f'target_price not available to calculate allocations')
else:
average_price = (target_price.buy_price +
target_price.sell_price) / Wad.from_number(2)
# at 1x average_price * minimum_quantity_wad is the minimum_required_balance
# multiplying this minimum_required_balance by 2 to avoid sending very small orders to the exchange
minimum_required_balance = average_price * minimum_quantity_wad * Wad.from_number(
2)
# conversion_divisor is the divisor that determines how many chunks should Dai be distributed into.
# It considers the price of the base to convert into base denomination.
conversion_divisor = average_price * number_of_partitions_for_allocation * buffer_adjustment_factor
open_position_for_base = self.leverj_api.get_position_in_wad(
base)
total_available_wad = Wad.from_number(
Decimal(total_available) /
Decimal(Decimal(10)**Decimal(18)))
base_allocation = total_available_wad / conversion_divisor
quote_allocation = total_available_wad / number_of_partitions_for_allocation
self.logger.debug(
f'open_position_for_base: {open_position_for_base}')
# bids are made basis quote_allocation and asks basis base_allocation
# if open position is net long then quote_allocation is adjusted.
# if open position is net too long then target_price is adjusted to reduce price of the asks/offers
if (open_position_for_base.value > 0):
open_position_for_base_in_quote = open_position_for_base * average_price
net_adjusted_quote_value = quote_allocation.value - abs(
open_position_for_base_in_quote.value)
self.logger.debug(
f'net_adjusted_quote_value: {net_adjusted_quote_value}'
)
quote_allocation = Wad(
net_adjusted_quote_value
) if net_adjusted_quote_value > minimum_required_balance.value else Wad(
0)
# if open position is within 1 Wad range or more than quote allocations then target price is leaned down by 0.1 percent
if Wad(net_adjusted_quote_value) < Wad(1):
self.target_price_lean = Wad.from_number(0.999)
else:
self.target_price_lean = Wad(0)
elif (open_position_for_base.value < 0):
# if open position is net short then base_allocation is adjusted
# if open position is net too short then target_price is adjusted to increase price of the bids
net_adjusted_base_value = base_allocation.value - abs(
open_position_for_base.value)
minimum_required_balance_in_base = minimum_required_balance / average_price
self.logger.debug(
f'net_adjusted_base_value: {net_adjusted_base_value}')
base_allocation = Wad(
net_adjusted_base_value
) if net_adjusted_base_value > minimum_required_balance_in_base.value else Wad(
0)
# if open position is within 1 Wad range or more than base allocations then target price is leaned up by 0.1 percent
if Wad(net_adjusted_base_value) < Wad(1):
self.target_price_lean = Wad.from_number(1.001)
else:
self.target_price_lean = Wad(0)
else:
base_allocation = Wad(0)
quote_allocation = Wad(0)
allocation = {base: base_allocation, quote: quote_allocation}
self.logger.debug(f'allocation: {allocation}')
return allocation
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def adjust_target_price(self, target_price: Price) -> Price:
assert (isinstance(target_price, Price))
target_price_lean = self.target_price_lean
if ((target_price is None) or (target_price.buy_price is None)
or (target_price.sell_price is None)):
return target_price
if target_price_lean.value == 0:
return target_price
else:
self.logger.debug(f'target_price_lean: {target_price_lean}')
adjusted_target_price = target_price
adjusted_target_price.buy_price = (
target_price.buy_price) * target_price_lean
adjusted_target_price.sell_price = (
target_price.sell_price) * target_price_lean
return adjusted_target_price
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
target_price = self.adjust_target_price(target_price)
self.logger.debug(
f'target_price buy_price: {target_price.buy_price}, target_price sell_price: {target_price.sell_price}'
)
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.info(
"Order book is in progress, not placing new orders")
return
# Place new orders
new_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.allocated_balance(self.token_buy()),
our_sell_balance=self.allocated_balance(self.token_sell()),
target_price=target_price)[0]
self.place_orders(new_orders)
def place_orders(self, new_orders: List[NewOrder]):
def place_order_function(new_order_to_be_placed):
price = round(new_order_to_be_placed.price, self.precision + 2)
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
self.logger.debug(f'amount: {amount}')
leverage_in_wad = Wad.from_number(self.leverage)
order_id = str(
self.leverj_api.place_order(self.pair(), price, 'LMT',
new_order_to_be_placed.is_sell,
price, amount, leverage_in_wad,
False))
return Order(order_id=order_id,
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=price,
amount=amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class OkexMarketMakerKeeper:
"""Keeper acting as a market maker on OKEX."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='okex-market-maker-keeper')
parser.add_argument(
"--okex-api-server",
type=str,
default="https://www.okex.com",
help=
"Address of the OKEX API server (default: 'https://www.okex.com')")
parser.add_argument("--okex-api-key",
type=str,
required=True,
help="API key for the OKEX API")
parser.add_argument("--okex-secret-key",
type=str,
required=True,
help="Secret key for the OKEX API")
parser.add_argument("--okex-password",
type=str,
required=True,
help="Password for the OKEX API key")
parser.add_argument(
"--okex-timeout",
type=float,
default=9.5,
help="Timeout for accessing the OKEX API (in seconds, default: 9.5)"
)
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.okex_api = OKEXApi(api_server=self.arguments.okex_api_server,
api_key=self.arguments.okex_api_key,
secret_key=self.arguments.okex_secret_key,
password=self.arguments.okex_password,
timeout=self.arguments.okex_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.okex_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.okex_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.okex_api.cancel_order(self.pair(), order.
order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.lower()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].lower()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].lower()
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
return Wad.from_number(our_balances[token.upper()]['available'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# Place new orders
self.place_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(
order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
order_id = self.okex_api.place_order(
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=new_order_to_be_placed.price,
amount=amount)
return Order(str(order_id), 0, self.pair(),
new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount, Wad(0))
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class LeverjMarketMakerKeeper:
"""Keeper acting as a market maker on leverj."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='leverj-market-maker-keeper')
parser.add_argument(
"--leverj-api-server",
type=str,
default="https://test.leverj.io",
help=
"Address of the leverj API server (default: 'https://test.leverj.io')"
)
parser.add_argument("--account-id",
type=str,
default="",
help="Address of leverj api account id")
parser.add_argument("--api-key",
type=str,
default="",
help="Address of leverj api key")
parser.add_argument("--api-secret",
type=str,
default="",
help="Address of leverj api secret")
parser.add_argument(
"--leverj-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Leverj API (in seconds, default: 9.5)")
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 watch our trades")
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("--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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
if "infura" in self.arguments.rpc_host:
self.web3 = Web3(
HTTPProvider(
endpoint_uri=f"http://{self.arguments.rpc_host}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
else:
self.web3 = 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)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.leverj_api = LeverjAPI(
web3=self.web3,
api_server=self.arguments.leverj_api_server,
account_id=self.arguments.account_id,
api_key=self.arguments.api_key,
api_secret=self.arguments.api_secret,
timeout=self.arguments.leverj_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.leverj_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.leverj_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.leverj_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(1)
lifecycle.on_startup(self.startup)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
quote_increment = 1 / (self.leverj_api.get_product(
self.arguments.pair)["ticksperpoint"])
self.precision = -(int(log10(float(quote_increment))) + 1)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
if self.arguments.pair.startswith("USDC"):
return "USDC"
return self.arguments.pair[:3]
def token_buy(self) -> str:
if self.arguments.pair.startswith("USDC"):
return self.arguments.pair[4:]
return self.arguments.pair[3:]
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
for key in our_balances:
if our_balances[key]['symbol'] == token:
if (token == "LEV") or (token == "FEE"):
return Wad(int(our_balances[key]['available']) * 10**9)
elif (token == "USDC") or (token == "USDT"):
return Wad(int(our_balances[key]['available']) * 10**12)
elif (token == "WBTC"):
return Wad(int(our_balances[key]['available']) * 10**10)
elif (token == "GUSD"):
return Wad(int(our_balances[key]['available']) * 10**16)
else:
return Wad(int(our_balances[key]['available']))
return Wad(0)
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# Place new orders
new_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(order_book.balances,
self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0]
self.place_orders(new_orders)
def place_orders(self, new_orders: List[NewOrder]):
def place_order_function(new_order_to_be_placed):
price = round(new_order_to_be_placed.price, self.precision + 2)
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
order_id = str(
self.leverj_api.place_order(self.pair(),
new_order_to_be_placed.is_sell,
price, amount))
return Order(order_id=order_id,
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=price,
amount=amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class CoinoneMarketMakerKeeper(CEXKeeperAPI):
"""
Keeper acting as a market maker on Coinone.
"""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='coinone-market-maker-keeper')
parser.add_argument(
"--coinone-api-server",
type=str,
default="https://api.coinone.co.kr",
help=
"Address of the Coinone API server (default: 'https://api.coinone.co.kr')"
)
parser.add_argument("--coinone-access-token",
type=str,
required=True,
help="API access token for the Coinone API")
parser.add_argument("--coinone-secret-key",
type=str,
required=True,
help="API secret key for the Coinone API")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
self.coinone_api = CoinoneApi(
api_server=self.arguments.coinone_api_server,
access_token=self.arguments.coinone_access_token,
secret_key=self.arguments.coinone_secret_key)
super().__init__(self.arguments, self.coinone_api)
# override init as cancel_orders() has a non standard interface
def init_order_book_manager(self, arguments, coinone_api):
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.coinone_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.coinone_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.coinone_api.cancel_order(
order.order_id, self.pair(), order.price, order.amount, order.
is_sell))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.pair = self.pair()
self.order_book_manager.start()
def pair(self):
return self.arguments.pair
def token_sell(self) -> str:
return self.arguments.pair.split('-')[0].lower()
def token_buy(self) -> str:
return self.arguments.pair.split('-')[1].lower()
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
return Wad.from_number(float(our_balances[token.lower()]["avail"]))
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
order_id = self.coinone_api.place_order(
pair=self.pair().upper(),
is_sell=new_order_to_be_placed.is_sell,
price=new_order_to_be_placed.price,
amount=amount)
return Order(str(order_id), int(time.time()), self.pair(),
new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class KrakenMarketMakerKeeper:
"""Keeper acting as a market maker on Kraken."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='kraken-market-maker-keeper')
parser.add_argument(
"--kraken-api-server",
type=str,
default="https://api.kraken.com",
help=
"Address of the kraken API server (default: 'https://api.kraken.com')"
)
parser.add_argument("--kraken-api-key",
type=str,
required=True,
help="API key for the kraken API")
parser.add_argument("--kraken-secret-key",
type=str,
required=True,
help="Secret key for the kraken API")
parser.add_argument(
"--kraken-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the kraken API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.add_argument(
"--telegram-log-config-file",
type=str,
required=False,
help=
"config file for send logs to telegram chat (e.g. 'telegram_conf.json')",
default=None)
parser.add_argument(
"--keeper-name",
type=str,
required=False,
help="market maker keeper name (e.g. 'Uniswap_V2_MDTETH')",
default="kraken")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.kraken_api = KrakenApi(
api_server=self.arguments.kraken_api_server,
api_key=self.arguments.kraken_api_key,
secret_key=self.arguments.kraken_secret_key,
timeout=self.arguments.kraken_timeout)
self.assets = self.kraken_api.get_assets()
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.kraken_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.kraken_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.kraken_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
# Get decimals for pair.
self.pair_precision = self.kraken_api.get_markets()[
self.pair()]['pair_decimals']
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair[:3]
def token_buy(self) -> str:
return self.arguments.pair[3:]
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
for symbol in self.assets:
if self.assets[symbol][
'altname'] == token and symbol in our_balances:
return Wad.from_number(our_balances[symbol])
return Wad.from_number(0)
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# In case of Kraken, balances returned by `our_total_balance` still contain amounts "locked"
# by currently open orders, so we need to explicitly subtract these amounts.
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(
order_book.balances,
self.token_buy()) - Bands.total_amount(our_buy_orders)
our_sell_balance = self.our_available_balance(
order_book.balances,
self.token_sell()) - Bands.total_amount(our_sell_orders)
# Place new orders
new_orders = bands.new_orders(our_buy_orders=our_buy_orders,
our_sell_orders=our_sell_orders,
our_buy_balance=our_buy_balance,
our_sell_balance=our_sell_balance,
target_price=target_price)[0]
self.place_orders(new_orders)
def place_orders(self, new_orders: List[NewOrder]):
def place_order_function(new_order_to_be_placed):
price = round(new_order_to_be_placed.price, self.pair_precision)
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
order_id = self.kraken_api.place_order(
self.pair(), new_order_to_be_placed.is_sell, price, amount)
return Order(order_id=order_id,
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=price,
amount=amount,
filled_amount=Wad(0))
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class BiboxMarketMakerKeeper:
"""Keeper acting as a market maker on Bibox."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='bibox-market-maker-keeper')
parser.add_argument(
"--bibox-api-server",
type=str,
default="https://api.bibox.com",
help=
"Address of the Bibox API server (default: 'https://api.bibox.com')"
)
parser.add_argument("--bibox-api-key",
type=str,
required=True,
help="API key for the Bibox API")
parser.add_argument("--bibox-secret",
type=str,
required=True,
help="Secret for the Bibox API")
parser.add_argument(
"--bibox-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Bibox API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.history = History()
self.bibox_api = BiboxApi(api_server=self.arguments.bibox_api_server,
api_key=self.arguments.bibox_api_key,
secret=self.arguments.bibox_secret,
timeout=self.arguments.bibox_timeout)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(
self.arguments.price_feed, self.arguments.price_feed_expiry, None)
self.order_book_manager = OrderBookManager(refresh_frequency=3)
self.order_book_manager.get_orders_with(
lambda: self.bibox_api.get_orders(pair=self.pair(), retry=True))
self.order_book_manager.get_balances_with(
lambda: self.bibox_api.coin_list(retry=True))
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
while True:
try:
our_orders = self.bibox_api.get_orders(self.pair(), retry=True)
except:
continue
if len(our_orders) == 0:
break
self.cancel_orders(our_orders)
self.order_book_manager.wait_for_order_cancellation()
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].upper()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
return Wad.from_number(
next(filter(lambda coin: coin['symbol'] == token,
our_balances))['balance'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands(self.bands_config, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
if target_price is None:
self.logger.warning(
"Cancelling all orders as no price feed available.")
self.cancel_orders(order_book.orders)
return
# Cancel orders
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.place_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(
order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0])
def cancel_orders(self, orders):
for order in orders:
self.order_book_manager.cancel_order(
order.order_id,
lambda order=order: self.bibox_api.cancel_order(order.order_id
))
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
amount_symbol = self.token_sell()
money = new_order_to_be_placed.buy_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.pay_amount
money_symbol = self.token_buy()
new_order_id = self.bibox_api.place_order(
is_sell=new_order_to_be_placed.is_sell,
amount=amount,
amount_symbol=amount_symbol,
money=money,
money_symbol=money_symbol)
return Order(new_order_id, 0, new_order_to_be_placed.is_sell,
Wad(0), amount, amount_symbol, money, money_symbol)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class OkexMarketSurfer:
"""Keeper acting as a market maker on OKEX."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='okex-market-maker-keeper')
parser.add_argument("--config",
type=str,
required=True,
help="Bands configuration file")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the surfer will operate")
parser.add_argument(
"--output-path",
type=str,
required=True,
help="output file path of the completed order result")
# reserved for old program
# 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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.orderlog = Logger(self.arguments.output_path + "SurferResult_" +
self.arguments.pair,
level='info')
try:
f = open(self.arguments.config, 'r')
config = json.loads(f.read())
print(config)
f.close()
self.okex_api = OKEXApi(api_server=config["okex_api_server"],
api_key=config["okex_api_key"],
secret_key=config["okex_secret_key"],
timeout=config["okex_timeout"])
print("--------------")
print(config['pairs'])
for pair in config['pairs']:
print(pair)
if pair['pair'] == self.arguments.pair:
self.total_amount = pair["total_amount"]
# percent of total amount of each transaction or each order
self.each_order_percent = pair["each_order_percent"]
self.arbitrage_percent = pair["arbitrage_percent"]
# the order count of sell or buy bands must less than limit
self.band_order_limit = pair["band_order_limit"]
except Exception as e:
logging.getLogger().warning(
f"Config file is invalid ({e}). Treating the config file as it has no bands."
)
self.history = History()
self.bands_config = ReloadableConfig(self.arguments.config)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(
self.arguments)
self.local_orders = []
self.each_order_amount = self.total_amount * self.each_order_percent
# To implement abstract function with different exchanges API
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.okex_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.okex_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.okex_api.cancel_order(self.pair(), order.
order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
# Place new orders while initialize the whole surfer system
self.initialize_orders(self.each_order_amount, self.arbitrage_percent,
self.band_order_limit)
time.sleep(
5) # wait for order book manager to get placed orders 足够时间保证系统稳定返回
self.local_orders = self.order_book_manager.get_order_book().orders
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(10, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def initialize_orders(self, each_order_amount, arbitrage_percent,
band_order_limit):
orders = []
i = 1
base_price = self.get_last_price(self.pair())
while band_order_limit + 1 > i:
# place sell order
price = float(base_price) * (1 + arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
pay_amount = each_order_amount * self.amount_disguise(
) # bix amount
pay_amount = pay_amount + self.suffix_amount_identify()
buy_amount = pay_amount * price # eth money
# print(pay_amount)
orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
# place buy order, pay attention to rotate bix - eth
price = float(base_price) * (1 - arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
tmp = each_order_amount * self.amount_disguise()
pay_amount = tmp * price # eth money 25
buy_amount = tmp # bix amount 0.05
buy_amount = buy_amount + self.suffix_amount_identify()
# print(buy_amount)
orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
i = i + 1
self.place_orders(orders)
# 偶尔有 bug，提交的完成慢，导致 local orders 比 下一次 获取回来少， initial_delay 加长时间到15秒,时间太长也麻烦，
# 会导致一开始提交就成交的那部分订单不会存到 local orders
# 需要换地方，order_book_manager更新不及时的情况下，会导致返回的订单数据不全，或者订单里的参数默认为0的情况
# self.local_orders = self.order_book_manager.get_order_book().orders
@staticmethod
def amount_disguise():
rand = [
0.8, 0.84, 0.88, 0.92, 0.95, 0.99, 1.03, 1.06, 1.09, 1.12, 1.16,
1.2
]
return rand[random.randint(0, 11)]
# suffix unique amount number to identify different buy/sell order pairs for result performance statics
@staticmethod
def suffix_amount_identify():
return round(random.random() / 10.0, 10)
def get_last_price(self, pair):
return self.okex_api.ticker(pair)["ticker"]['last']
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.lower()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].lower()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].lower()
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
return Wad.from_number(our_balances['free'][token])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def count_sell_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: order.is_sell, our_orders)))
def count_buy_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: not order.is_sell, our_orders)))
def synchronize_orders(self):
# bands = Bands.read(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
self.logger.info("---**---The length of local_orders " +
str(self.local_orders.__len__()))
self.logger.info("---**---The length of order_book.orders " +
str(len(order_book.orders)))
local_order_ids = set(order.order_id for order in self.local_orders)
order_book_ids = set(order.order_id for order in order_book.orders)
self.order_book_manager.get_order_book()
completed_order_ids = list(local_order_ids - order_book_ids)
# 如果没有后续的更新 local orders，只有这里的更新模块，肯定有问题的，因为一旦有成交，
# completed_order_ids 不为0，则永远更新不了local orders 了
# return if there none order be completed
# 下面这种情况，只有在order_book订单完全"包含"local_order订单时，但是两者并不相等时，才会让本地订单等于远程订单；
# 这种一般是远程订单比本地订单多，往往比如人工在系统提交了新的订单
if completed_order_ids.__len__() == 0:
if local_order_ids.__len__() != order_book_ids.__len__():
self.logger.info("---**---update local order")
self.local_orders = order_book.orders
return
# completed_orders = list(filter(lambda order: order.order_id in completed_order_ids, self.local_orders))
completed_orders = [
order for order in self.local_orders
if order.order_id in completed_order_ids
]
# completed_orders = list(filter(lambda order: order.order_id in local_order_ids, order_book.orders))
self.logger.info("---**---The lenght of completed orders " +
str(len(completed_orders)))
self.logger.info(completed_orders)
# 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
# if (self.local_orders.__len__() - len(order_book.orders) > 0):
if len(completed_orders) > 0:
self.logger.info("--------- some orders have been done --------")
new_orders = []
step = 1
count_sell_order = self.count_sell_orders(order_book.orders)
count_buy_order = self.count_buy_orders(order_book.orders)
for cod in completed_orders:
# print(type(cod))
# print(cod.is_sell)
# the completed order is sell order, buy order should be placed
self.orderlog.logger.info(" - " + str(cod.is_sell) + " - " +
str(cod.price) + " - " +
str(cod.amount) + " - " +
str(cod.price * cod.amount))
if cod.is_sell:
# place buy order, pay attention to rotate bix - eth
price = float(cod.price) * (1 - self.arbitrage_percent)
self.logger.info(
"----to submit a new buy order with price " +
str(price))
pay_amount = float(cod.amount) * price # eth money 25
buy_amount = float(cod.amount) # bix amount 0.05
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# 以当前价格为基数，重新submit一个高价格的 sell 订单，补充 sell list
# place sell a new order with higher price
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_sell_order = self.count_sell_orders(order_book.orders)
band_sell_order_gap = self.band_order_limit - count_sell_order
self.logger.info("---sell band gap---- " +
str(band_sell_order_gap))
# while band_sell_order_gap > 0: # 外部已经有循环了，不需要这个循环了,否则在多订单被吃时，会加倍补充
# 这里只需要判断，控制数量就够了
if band_sell_order_gap > 0:
current_price = self.get_last_price(self.pair())
self.logger.info("------current price---- " +
str(current_price))
price = float(current_price) * (
1 + self.arbitrage_percent *
(step + count_sell_order))
self.logger.info("----higher price to sell--- " +
str(price))
pay_amount = self.each_order_amount * self.amount_disguise(
) # bix amount
pay_amount = pay_amount + self.suffix_amount_identify(
) # add unique identify
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# step = step + 1
# band_sell_order_gap = band_sell_order_gap - 1
count_sell_order = count_sell_order + 1
else: # buy order had been completed
# to place a sell order
price = float(cod.price) * (1 + self.arbitrage_percent)
self.logger.info("----price--- sell--- " + str(price))
pay_amount = float(cod.amount) # bix amount
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
amount=Wad.from_number(pay_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# 以当前价格为基数，重新submit一个 buy 订单，补充 buy list
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_buy_order = self.count_buy_orders(order_book.orders)
band_buy_order_gap = self.band_order_limit - count_buy_order
self.logger.info("---buy band gap----" +
str(band_buy_order_gap))
# while band_buy_order_gap > 0:
if band_buy_order_gap > 0:
# 基础价格放在循环里的话，能快速反映当前价格，特保是激烈波动的时候；但是增加了请求次数
current_price = self.get_last_price(self.pair())
price = float(current_price) * (
1 - self.arbitrage_percent *
(step + count_buy_order))
self.logger.info("----lower price order to buy--- " +
str(price))
tmp = self.each_order_amount * self.amount_disguise()
pay_amount = tmp * price # eth money 25
buy_amount = tmp # bix amount 0.05
buy_amount = buy_amount + self.suffix_amount_identify(
) # add unique identify
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
amount=Wad.from_number(buy_amount),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# band_buy_order_gap = band_buy_order_gap - 1
count_buy_order = count_buy_order + 1
step = step + 1
self.place_orders(new_orders)
# update local orders, 前面有更新模块，与这边不完全相同，尤其是有成交的情况下，必须要更新
# 是这样吗？ 似乎也不是的，有成交的情况下，下一次订单也会让 set（local） - set（order book）=0的，集合相减的特殊之处
# 如果这样就没有必要了。
# 是这样简单的复制更新，还是本地自己维护一个 id list 好呢？ 也就是把（1）确定成交的从 local 删除；
# （2）确定提交的add 到本地；
# 缩进到循环： if len(completed_orders) > 0：，在出现两者不一致的时候，同步更新订单；
# 但是这个会导致一个问题，就是初始化的订单里，有price 为0，导致两者不一致的情况，怎么办？这里解决了，是通过 order id对比而不是
# 直接的 order 对比，所以应该是解决了才对
self.logger.info("-----update local order------")
self.local_orders = self.order_book_manager.get_order_book().orders
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
money = new_order_to_be_placed.buy_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.pay_amount
order_id = self.okex_api.place_order(
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=new_order_to_be_placed.price,
amount=amount)
return Order(order_id, 0, self.pair(),
new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount, Wad(money))
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class OasisMarketMakerKeeper:
"""Keeper acting as a market maker on OasisDEX."""
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=False,
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("--buy-token-address", type=str, required=True,
help="Ethereum address of the buy token")
parser.add_argument("--sell-token-address", type=str, required=True,
help="Ethereum address of the sell token")
parser.add_argument("--config", type=str, required=True,
help="Bands configuration file")
parser.add_argument("--price-feed", type=str, required=True,
help="Source of price feed")
parser.add_argument("--price-feed-expiry", type=int, default=120,
help="Maximum age of the price feed (in seconds, default: 120)")
parser.add_argument("--spread-feed", type=str,
help="Source of spread feed")
parser.add_argument("--spread-feed-expiry", type=int, default=3600,
help="Maximum age of the spread feed (in seconds, default: 3600)")
parser.add_argument("--order-history", type=str,
help="Endpoint to report active orders to")
parser.add_argument("--order-history-every", type=int, default=30,
help="Frequency of reporting active orders (in seconds, default: 30)")
parser.add_argument("--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))
tub = Tub(web3=self.web3, address=Address(self.arguments.tub_address)) \
if self.arguments.tub_address is not None else None
self.token_buy = ERC20Token(web3=self.web3, address=Address(self.arguments.buy_token_address))
self.token_sell = ERC20Token(web3=self.web3, address=Address(self.arguments.sell_token_address))
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, tub)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(self.arguments)
self.history = History()
self.order_book_manager = OrderBookManager(refresh_frequency=3)
self.order_book_manager.get_orders_with(lambda: self.our_orders())
self.order_book_manager.enable_history_reporting(self.order_history_reporter, self.our_buy_orders, self.our_sell_orders)
self.order_book_manager.start()
def 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 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, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# 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.place_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 order=order: self.otc.kill(order.order_id).transact(gas_price=self.gas_price).successful)
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed: NewOrder):
assert(isinstance(new_order_to_be_placed, NewOrder))
if new_order_to_be_placed.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_to_be_placed.pay_amount,
buy_token=buy_token, buy_amount=new_order_to_be_placed.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_to_be_placed.pay_amount,
buy_token=buy_token,
buy_amount=new_order_to_be_placed.buy_amount,
timestamp=0)
else:
return None
for new_order in new_orders:
self.order_book_manager.place_order(lambda new_order=new_order: place_order_function(new_order))
class DyDxMarketMakerKeeper(CEXKeeperAPI):
"""
Keeper acting as a market maker on DyDx.
Although portions of DyDx are onchain,
full order book functionality requires offchain components.
"""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='dydx-market-maker-keeper')
parser.add_argument(
"--dydx-api-server",
type=str,
required=True,
help="Address of the Eth RPC node used for Dydx connection")
parser.add_argument("--dydx-private-key",
type=str,
required=True,
help="API key for the DyDx API")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
self.dydx_api = DydxApi(node=self.arguments.dydx_api_server,
private_key=self.arguments.dydx_private_key)
self.market_info = self.dydx_api.get_markets()
super().__init__(self.arguments, self.dydx_api)
def pair(self):
return self.arguments.pair
def init_order_book_manager(self, arguments, pyex_api):
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: pyex_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: pyex_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: pyex_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def token_sell(self) -> str:
return self.arguments.pair.split('-')[0].lower()
def token_buy(self) -> str:
return self.arguments.pair.split('-')[1].lower()
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
if token == 'weth':
token = 'eth'
return list(
filter(lambda x: x['currency'] == token.upper(),
our_balances))[0]['wad']
def _should_place_order(self, new_order: dict,
minimum_order_size: Wad) -> bool:
amount = new_order.pay_amount if new_order.is_sell else new_order.buy_amount
return amount > minimum_order_size
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
order_id = self.dydx_api.place_order(
pair=self.pair().upper(),
is_sell=new_order_to_be_placed.is_sell,
price=Wad.__float__(new_order_to_be_placed.price),
amount=Wad.__float__(amount))
return Order(str(order_id), int(time.time()), self.pair(),
new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount)
for new_order in new_orders:
amount = new_order.pay_amount if new_order.is_sell else new_order.buy_amount
side = 'Sell' if new_order.is_sell else 'Buy'
minimum_order_size = Wad(
int(self.market_info[self.pair().upper()]
['smallOrderThreshold']))
if self._should_place_order(new_order, minimum_order_size):
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order
))
else:
logging.info(
f"New {side} Order below size minimum of {minimum_order_size}. Order of amount {amount} ignored."
)
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# Place new orders
self.place_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(
order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0])
class ParadexMarketMakerKeeper:
"""Keeper acting as a market maker on Paradex."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='paradex-market-maker-keeper')
parser.add_argument("--rpc-host",
type=str,
default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port",
type=int,
default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout",
type=int,
default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument(
"--eth-from",
type=str,
required=True,
help="Ethereum account from which to send transactions")
parser.add_argument(
"--exchange-address",
type=str,
required=True,
help="Ethereum address of the 0x Exchange contract")
parser.add_argument(
"--paradex-api-server",
type=str,
default='https://api.paradex.io/consumer',
help=
"Address of the Paradex API (default: 'https://api.paradex.io/consumer')"
)
parser.add_argument("--paradex-api-key",
type=str,
required=True,
help="API key for the Paradex API")
parser.add_argument(
"--paradex-api-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Paradex API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
parser.add_argument("--buy-token-address",
type=str,
required=True,
help="Ethereum address of the buy token")
parser.add_argument("--sell-token-address",
type=str,
required=True,
help="Ethereum address of the sell token")
parser.add_argument("--config",
type=str,
required=True,
help="Bands configuration file")
parser.add_argument("--price-feed",
type=str,
required=True,
help="Source of price feed")
parser.add_argument(
"--price-feed-expiry",
type=int,
default=120,
help="Maximum age of the price feed (in seconds, default: 120)")
parser.add_argument("--spread-feed",
type=str,
help="Source of spread feed")
parser.add_argument(
"--spread-feed-expiry",
type=int,
default=3600,
help="Maximum age of the spread feed (in seconds, default: 3600)")
parser.add_argument("--order-history",
type=str,
help="Endpoint to report active orders to")
parser.add_argument(
"--order-history-every",
type=int,
default=30,
help=
"Frequency of reporting active orders (in seconds, default: 30)")
parser.add_argument(
"--order-expiry",
type=int,
required=True,
help="Expiration time of created orders (in seconds)")
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price (in Wei)")
parser.add_argument(
"--smart-gas-price",
dest='smart_gas_price',
action='store_true',
help=
"Use smart gas pricing strategy, based on the ethgasstation.info feed"
)
parser.add_argument(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(
HTTPProvider(
endpoint_uri=
f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
self.web3.eth.defaultAccount = self.arguments.eth_from
self.our_address = Address(self.arguments.eth_from)
self.pair = self.arguments.pair.upper()
self.token_buy = ERC20Token(web3=self.web3,
address=Address(
self.arguments.buy_token_address))
self.token_sell = ERC20Token(web3=self.web3,
address=Address(
self.arguments.sell_token_address))
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_max_decimals = None
self.amount_max_decimals = None
self.gas_price = GasPriceFactory().create_gas_price(self.arguments)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(
self.arguments)
self.history = History()
self.zrx_exchange = ZrxExchangeV2(web3=self.web3,
address=Address(
self.arguments.exchange_address))
self.paradex_api = ParadexApi(self.zrx_exchange,
self.arguments.paradex_api_server,
self.arguments.paradex_api_key,
self.arguments.paradex_api_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency, max_workers=1)
self.order_book_manager.get_orders_with(
lambda: self.paradex_api.get_orders(self.pair))
self.order_book_manager.get_balances_with(lambda: self.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.paradex_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle(self.web3) as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
self.approve()
# Get maximum number of decimals for prices and amounts.
# Paradex API enforces it.
markets = self.paradex_api.get_markets()
market = next(filter(lambda item: item['symbol'] == self.pair,
markets))
self.price_max_decimals = market['priceMaxDecimals']
self.amount_max_decimals = market['amountMaxDecimals']
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def approve(self):
self.zrx_exchange.approve([self.token_sell, self.token_buy],
directly(gas_price=self.gas_price))
def get_balances(self):
return self.token_sell.balance_of(
self.our_address), self.token_buy.balance_of(self.our_address)
def our_total_sell_balance(self, balances) -> Wad:
return balances[0]
def our_total_buy_balance(self, balances) -> Wad:
return balances[1]
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# In case of Paradex, 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_buy_balance(
order_book.balances) - Bands.total_amount(
self.our_buy_orders(order_book.orders))
our_sell_balance = self.our_total_sell_balance(
order_book.balances) - Bands.total_amount(
self.our_sell_orders(order_book.orders))
# Place new orders
self.place_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=our_buy_balance,
our_sell_balance=our_sell_balance,
target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
price = round(new_order_to_be_placed.price,
self.price_max_decimals)
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
amount = round(amount, self.amount_max_decimals)
order_id = self.paradex_api.place_order(
pair=self.pair,
is_sell=new_order_to_be_placed.is_sell,
price=price,
amount=amount,
expiry=self.arguments.order_expiry)
return Order(order_id, self.pair, new_order_to_be_placed.is_sell,
price, amount, amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class GOPAXMarketMakerKeeper:
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='gopax-market-maker-keeper')
parser.add_argument(
"--gopax-api-server",
type=str,
default="https://api.gopax.co.kr",
help=
"Address of the GOPAX API server (default: 'https://api.gopax.co.kr')"
)
parser.add_argument("--gopax-api-key",
type=str,
required=True,
help="API key for the GOPAX API")
parser.add_argument("--gopax-api-secret",
type=str,
required=True,
help="API secret for the GOPAX API")
parser.add_argument(
"--gopax-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the GOPAX API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.add_argument(
"--telegram-log-config-file",
type=str,
required=False,
help=
"config file for send logs to telegram chat (e.g. 'telegram_conf.json')",
default=None)
parser.add_argument(
"--keeper-name",
type=str,
required=False,
help="market maker keeper name (e.g. 'Uniswap_V2_MDTETH')",
default="gopax")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.history = History()
self.gopax_api = GOPAXApi(api_server=self.arguments.gopax_api_server,
api_key=self.arguments.gopax_api_key,
api_secret=self.arguments.gopax_api_secret,
timeout=self.arguments.gopax_timeout)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency, max_workers=1)
self.order_book_manager.get_orders_with(self.get_orders)
self.order_book_manager.get_balances_with(
lambda: self.gopax_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.gopax_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('-')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('-')[1].upper()
def get_orders(self) -> list:
return list(
map(lambda order: self.gopax_api.get_order(order.order_id),
self.gopax_api.get_orders(self.pair())))
def our_available_balance(self, our_balances: list, token: str) -> Wad:
return Wad.from_number(
next(filter(lambda coin: coin['asset'] == token,
our_balances))['avail'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# Place new orders
self.place_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(
order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
pair = self.pair()
is_sell = new_order_to_be_placed.is_sell
price = new_order_to_be_placed.price
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
if self.token_buy() == 'KRW':
price = round(
price / Wad.from_number(500)) * Wad.from_number(500)
if self.token_buy() == 'DAI':
price = round(price, 2)
new_order_id = self.gopax_api.place_order(pair=pair,
is_sell=is_sell,
price=price,
amount=amount)
return Order(order_id=new_order_id,
pair=pair,
is_sell=is_sell,
price=price,
amount=amount,
amount_remaining=amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class BitsoMarketMakerKeeper:
"""Keeper acting as a market maker on Bitso."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='bitso-market-maker-keeper')
parser.add_argument(
"--bitso-api-server",
type=str,
default="https://api.bitso.com",
help=
"Address of the bitso API server (default: 'https://api.bitso.com')"
)
parser.add_argument("--bitso-api-key",
type=str,
required=True,
help="API key for the Bitso API")
parser.add_argument(
"--bitso-secret-key",
type=str,
required=True,
help="RSA Private Key for signing requests to the BitsoX API")
parser.add_argument(
"--bitso-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Bitso API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.bitso_api = BitsoApi(api_server=self.arguments.bitso_api_server,
api_key=self.arguments.bitso_api_key,
secret_key=self.arguments.bitso_secret_key,
timeout=self.arguments.bitso_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.bitso_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.bitso_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.bitso_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.lower()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].lower()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].lower()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
balance = list(filter(lambda x: x['currency'] == token,
our_balances))[0]['total']
return Wad.from_number(balance)
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug(
"Order book is in progress, not placing new orders")
return
# Place new orders
self.place_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(
order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
# Convert wad to float as Bitso limits amount decimal places to 8, and price to 2
float_price = round(Wad.__float__(new_order_to_be_placed.price), 2)
float_amount = round(Wad.__float__(amount), 8)
side = "sell" if new_order_to_be_placed.is_sell == True else "buy"
order_id = self.bitso_api.place_order(book=self.pair(),
side=side,
price=float_price,
amount=float_amount)
timestamp = datetime.now(tz=timezone.utc).isoformat()
return Order(str(order_id), timestamp, self.pair(),
new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
class GOPAXMarketMakerKeeper:
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='gopax-market-maker-keeper')
parser.add_argument("--gopax-api-server", type=str, default="https://api.gopax.co.kr",
help="Address of the GOPAX API server (default: 'https://api.gopax.co.kr')")
parser.add_argument("--gopax-api-key", type=str, required=True,
help="API key for the GOPAX API")
parser.add_argument("--gopax-api-secret", type=str, required=True,
help="API secret for the GOPAX API")
parser.add_argument("--gopax-timeout", type=float, default=9.5,
help="Timeout for accessing the GOPAX API (in seconds, default: 9.5)")
parser.add_argument("--pair", type=str, required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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("--debug", dest='debug', action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.history = History()
self.gopax_api = GOPAXApi(api_server=self.arguments.gopax_api_server,
api_key=self.arguments.gopax_api_key,
api_secret=self.arguments.gopax_api_secret,
timeout=self.arguments.gopax_timeout)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(self.arguments)
self.order_book_manager = OrderBookManager(refresh_frequency=10)
self.order_book_manager.get_orders_with(self.get_orders)
self.order_book_manager.get_balances_with(lambda: self.gopax_api.get_balances())
self.order_book_manager.enable_history_reporting(self.order_history_reporter, self.our_buy_orders, self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
#TODO I don't think this approach makes sure all orders will always get cancelled!!
while True:
try:
our_orders = self.gopax_api.get_orders(self.pair())
except:
continue
if len(our_orders) == 0:
break
self.cancel_orders(our_orders)
self.order_book_manager.wait_for_order_cancellation()
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('-')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('-')[1].upper()
def get_orders(self) -> list:
return list(map(lambda order: self.gopax_api.get_order(order.order_id), self.gopax_api.get_orders(self.pair())))
def our_available_balance(self, our_balances: list, token: str) -> Wad:
return Wad.from_number(next(filter(lambda coin: coin['asset'] == token, our_balances))['avail'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.place_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(order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(order_book.balances, self.token_sell()),
target_price=target_price)[0])
def cancel_orders(self, orders):
for order in orders:
self.order_book_manager.cancel_order(order.order_id, lambda order=order: self.gopax_api.cancel_order(order.order_id))
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
pair = self.pair()
is_sell = new_order_to_be_placed.is_sell
price = new_order_to_be_placed.price
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
new_order_id = self.gopax_api.place_order(pair=pair,
is_sell=is_sell,
price=price,
amount=amount)
return Order(order_id=new_order_id,
pair=pair,
is_sell=is_sell,
price=price,
amount=amount,
amount_remaining=amount)
for new_order in new_orders:
self.order_book_manager.place_order(lambda new_order=new_order: place_order_function(new_order))
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 BiboxMarketSurfer:
"""Keeper acting as a market maker on Bibox."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='bibox-market-maker-keeper')
parser.add_argument(
"--bibox-api-server",
type=str,
default="https://api.bibox.com",
help=
"Address of the Bibox API server (default: 'https://api.bibox.com')"
)
parser.add_argument("--bibox-api-key",
type=str,
required=True,
help="API key for the Bibox API")
parser.add_argument("--bibox-secret",
type=str,
required=True,
help="Secret for the Bibox API")
parser.add_argument(
"--bibox-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Bibox API (in seconds, default: 9.5)")
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
parser.add_argument("--base_price",
type=str,
default=0.00205375,
help="base price while initial base price ")
parser.add_argument("--total_amount",
type=str,
default=5,
help="the total assets for investing ")
parser.add_argument(
"--transaction_percent",
type=str,
default=0.02,
help=
"percent of total amount of each transaction or each order, fix percent 2%"
)
parser.add_argument(
"--arbitrage_percent",
type=str,
default=0.005,
help=
"the percent of current pirce as margin between two adjacent price orders, 0.5%"
)
parser.add_argument(
"--order_num",
type=str,
default=3,
help="the number of orders in each sell and buy bands ")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.history = History()
self.bibox_api = BiboxApi(api_server=self.arguments.bibox_api_server,
api_key=self.arguments.bibox_api_key,
secret=self.arguments.bibox_secret,
timeout=self.arguments.bibox_timeout)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
self.spread_feed = create_spread_feed(self.arguments)
self.order_history_reporter = create_order_history_reporter(
self.arguments)
self.local_orders = []
self.base_price = 0.00243602
self.total_amount = 2000
self.each_order_percent = 0.1 # percent of total amount of each transaction or each order
self.arbitrage_percent = 0.01
self.band_order_limit = 3 # the order count of sell or buy bands must less than limit
self.each_order_amount = self.total_amount * self.each_order_percent
# To implement abstract function with different exchanges API
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.bibox_api.get_orders(pair=self.pair(), retry=True))
self.order_book_manager.get_balances_with(
lambda: self.bibox_api.coin_list(retry=True))
self.order_book_manager.cancel_orders_with(
lambda order: self.bibox_api.cancel_order(order.order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
# Place new orders while initialize the whole surfer system
self.initialize_orders(self.base_price, self.each_order_amount,
self.arbitrage_percent, self.band_order_limit)
time.sleep(
5) # wait for order book manager to get placed orders 足够时间保证系统稳定返回
self.local_orders = self.order_book_manager.get_order_book().orders
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(10, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def initialize_orders(self, base_price, each_order_amount,
arbitrage_percent, band_order_limit):
orders = []
i = 1
while band_order_limit + 1 > i:
# place sell order
price = base_price * (1 + arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
pay_amount = each_order_amount * self.amount_disguise(
) #bix amount
# add unique amount number to identify different order for result performance statics
pay_amount = pay_amount + self.amount_identify()
buy_amount = pay_amount * price #eth money
orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
# place buy order, pay attention to rotate bix - eth
price = base_price * (1 - arbitrage_percent * i)
# pay_amount = Wad.min(band.avg_amount - total_amount, our_sell_balance, limit_amount)
tmp = each_order_amount * self.amount_disguise(
) + self.amount_identify()
pay_amount = tmp * price #eth money 25
buy_amount = tmp #bix amount 0.05
orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.use_limit(
time.time(), pay_amount)))
i = i + 1
self.place_orders(orders)
# 偶尔有 bug，提交的完成慢，导致 local orders 比 下一次 获取回来少， initial_delay 加长时间到15秒,时间太长也麻烦，
# 会导致一开始提交就成交的那部分订单不会存到 local orders
# 需要换地方，order_book_manager更新不及时的情况下，会导致返回的订单数据不全，或者订单里的参数默认为0的情况
# self.local_orders = self.order_book_manager.get_order_book().orders
@staticmethod
def amount_disguise():
rand = [
0.8, 0.84, 0.88, 0.92, 0.95, 0.99, 1.03, 1.06, 1.09, 1.12, 1.16,
1.2
]
return rand[random.randint(0, 11)]
@staticmethod
def amount_identify():
return round(random.random() / 10000.0, 10)
def shutdown(self):
self.order_book_manager.cancel_all_orders(final_wait_time=30)
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('_')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('_')[1].upper()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
return Wad.from_number(
next(filter(lambda coin: coin['symbol'] == token,
our_balances))['balance'])
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def count_sell_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: order.is_sell, our_orders)))
def count_buy_orders(self, our_orders: list) -> int:
return len(list(filter(lambda order: not order.is_sell, our_orders)))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# print(type(self.local_orders))
# print(self.local_orders)
# print(type(order_book.orders))
# print(order_book.orders)
print("---**---The lenght of local_orders " +
str(self.local_orders.__len__()))
print("---**---The lenght of order_book.orders " +
str(len(order_book.orders)))
local_order_ids = set(order.order_id for order in self.local_orders)
order_book_ids = set(order.order_id for order in order_book.orders)
completed_order_ids = list(local_order_ids - order_book_ids)
# 如果没有后续的更新 local orders，只有这里的更新模块，肯定有问题的，因为一旦有成交，
# completed_order_ids 不为0，则永远更新不了local orders 了
# return if there none order be completed
# 下面这种情况，只有在order_book订单完全"包含"local_order订单时，但是两者并不相等时，才会让本地订单等于远程订单；
# 这种一般是远程订单比本地订单多，往往比如人工在系统提交了新的订单
if completed_order_ids.__len__() == 0:
if local_order_ids.__len__() != order_book_ids.__len__():
print("update local order")
self.local_orders = order_book.orders
return
# completed_orders = list(filter(lambda order: order.order_id in completed_order_ids, self.local_orders))
completed_orders = [
order for order in self.local_orders
if order.order_id in completed_order_ids
]
# completed_orders = list(filter(lambda order: order.order_id in local_order_ids, order_book.orders))
print("---**---The lenght of completed orders " +
str(len(completed_orders)))
print(completed_orders)
# completed_orders_new = list(set(self.local_orders) - set(order_book.orders))
# print("---**---The lenght of completed new orders " + str(len(completed_orders_new)))
# print(completed_orders_new)
# completed_orders = [{'amount': Wad(2220000000000000000),
# 'amount_symbol': 'BIX',
# 'created_at': 1528203670000,
# 'is_sell': True,
# 'money': Wad(52779250000000000),
# 'money_symbol': 'ETH',
# 'order_id': 606026215,
# 'price': Wad(2294750000000000)}, {'amount': Wad(2990000000000000000),
# 'amount_symbol': 'BIX',
# 'created_at': 1528203670000,
# 'is_sell': False,
# 'money': Wad(55779250000000000),
# 'money_symbol': 'ETH',
# 'order_id': 606026215,
# 'price': Wad(2394750000000000)}]
# our_buy_orders = self.our_buy_orders(order_book.orders)
# our_sell_orders = self.our_sell_orders(order_book.orders)
# print(our_buy_orders)
# print(our_sell_orders)
# 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
# if (self.local_orders.__len__() - len(order_book.orders) > 0):
if len(completed_orders) > 0:
print("--------- some orders have been done --------")
new_orders = []
step = 1
count_sell_order = self.count_sell_orders(order_book.orders)
count_buy_order = self.count_buy_orders(order_book.orders)
for cod in completed_orders:
# print(type(cod))
# print(cod.is_sell)
# the completed order is sell order, buy order should be placed
if cod.is_sell:
# place buy order, pay attention to rotate bix - eth
price = float(cod.price) * (1 - self.arbitrage_percent)
print("----to submit a new buy order with price " +
str(price))
pay_amount = float(cod.amount) * price # eth money 25
buy_amount = float(cod.amount) # bix amount 0.05
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# 以当前价格为基数，重新submit一个高价格的 sell 订单，补充 sell list
# place sell a new order with higher price
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_sell_order = self.count_sell_orders(order_book.orders)
print(count_sell_order)
band_sell_order_gap = self.band_order_limit - count_sell_order
print("---band gap---- " + str(band_sell_order_gap))
# while band_sell_order_gap > 0: # 外部已经有循环了，不需要这个循环了,否则在多订单被吃时，会加倍补充
# 这里只需要判断，控制数量就够了
if band_sell_order_gap > 0:
current_price = self.bibox_api.get_last_price(
self.pair())
print("------current price---- " + str(current_price))
price = float(current_price) * (
1 + self.arbitrage_percent *
(step + count_sell_order))
print("----higher price to sell--- " + str(price))
pay_amount = self.each_order_amount * self.amount_disguise(
) # bix amount
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# step = step + 1
# band_sell_order_gap = band_sell_order_gap - 1
count_sell_order = count_sell_order + 1
else: # buy order had been completed
# to place a sell order
price = float(cod.price) * (1 + self.arbitrage_percent)
print("----price--- sell--- ")
print(price)
pay_amount = float(cod.amount) # bix amount
buy_amount = pay_amount * price # eth money
new_orders.append(
NewOrder(is_sell=True,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# 以当前价格为基数，重新submit一个 buy 订单，补充 buy list
# 需要判断订单的数量是否小于band order limits，并且按照差异补充订单
# count_buy_order = self.count_buy_orders(order_book.orders)
band_buy_order_gap = self.band_order_limit - count_buy_order
print("---band gap----" + str(band_buy_order_gap))
# while band_buy_order_gap > 0:
if band_buy_order_gap > 0:
#基础价格放在循环里的话，能快速反映当前价格，特保是激烈波动的时候；但是增加了请求次数
current_price = self.bibox_api.get_last_price(
self.pair())
price = float(current_price) * (
1 - self.arbitrage_percent *
(step + count_buy_order))
print("----lower price order to buy--- " + str(price))
tmp = self.each_order_amount * self.amount_disguise()
pay_amount = tmp * price # eth money 25
buy_amount = tmp # bix amount 0.05
new_orders.append(
NewOrder(is_sell=False,
price=Wad.from_number(price),
pay_amount=Wad.from_number(pay_amount),
buy_amount=Wad.from_number(buy_amount),
confirm_function=lambda: self.sell_limits.
use_limit(time.time(), pay_amount)))
# band_buy_order_gap = band_buy_order_gap - 1
count_buy_order = count_buy_order + 1
step = step + 1
self.place_orders(new_orders)
# update local orders, 前面有更新模块，与这边不完全相同，尤其是有成交的情况下，必须要更新
# 是这样吗？ 似乎也不是的，有成交的情况下，下一次订单也会让 set（local） - set（order book）=0的，集合相减的特殊之处
# 如果这样就没有必要了。
# 是这样简单的复制更新，还是本地自己维护一个 id list 好呢？ 也就是把（1）确定成交的从 local 删除；
# （2）确定提交的add 到本地；
# 缩进到循环： if len(completed_orders) > 0：，在出现两者不一致的时候，同步更新订单；
# 但是这个会导致一个问题，就是初始化的订单里，有price 为0，导致两者不一致的情况，怎么办？这里解决了，是通过 order id对比而不是
# 直接的 order 对比，所以应该是解决了才对
print("-----update local order------")
self.local_orders = self.order_book_manager.get_order_book().orders
# Cancel orders
# 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.order_book_manager.cancel_orders(cancellable_orders)
# print("there is " + str(len(cancellable_orders)) + " orders should be cancelled")
# Place new orders
# self.place_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(order_book.balances, self.token_buy()),
# our_sell_balance=self.our_available_balance(order_book.balances, self.token_sell()),
# target_price=target_price)[0])
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
amount_symbol = self.token_sell()
money = new_order_to_be_placed.buy_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.pay_amount
money_symbol = self.token_buy()
new_order_id = self.bibox_api.place_order(
is_sell=new_order_to_be_placed.is_sell,
amount=amount,
amount_symbol=amount_symbol,
money=money,
money_symbol=money_symbol)
return Order(new_order_id, 0, new_order_to_be_placed.is_sell,
Wad(money / amount), amount, amount_symbol, money,
money_symbol)
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
def get_price(self, pair):
self.bibox_api.get_all_trades()
class KucoinMarketMakerKeeper:
"""Keeper acting as a market maker on kucoin."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='kucoin-market-maker-keeper')
parser.add_argument("--kucoin-api-server", type=str, default="https://api.kucoin.com",
help="Address of the kucoin API server (default: 'https://api.kucoin.com')")
parser.add_argument("--kucoin-api-key", type=str, required=True,
help="API key for the kucoin API")
parser.add_argument("--kucoin-secret-key", type=str, required=True,
help="Secret key for the kucoin API")
parser.add_argument("--kucoin-timeout", type=float, default=9.5,
help="Timeout for accessing the kucoin API (in seconds, default: 9.5)")
parser.add_argument("--pair", type=str, required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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("--refresh-frequency", type=int, default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug", dest='debug', action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
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)
self.history = History()
self.kucoin_api = KucoinApi(api_server=self.arguments.kucoin_api_server,
api_key=self.arguments.kucoin_api_key,
secret_key=self.arguments.kucoin_secret_key,
timeout=self.arguments.kucoin_timeout)
self.order_book_manager = OrderBookManager(refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(lambda: self.kucoin_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(lambda: self.kucoin_api.get_balances())
self.order_book_manager.cancel_orders_with(lambda order: self.kucoin_api.cancel_order(order.order_id,
order.is_sell,
self.pair()))
self.order_book_manager.enable_history_reporting(self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.on_startup(self.startup)
lifecycle.every(1, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def startup(self):
# Get maximum number of decimals for prices and amounts.
self.price_precision = self.kucoin_api.get_coin_info(self.token_buy())['tradePrecision']
self.amount_precision = self.kucoin_api.get_coin_info(self.token_sell())['tradePrecision']
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('-')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('-')[1].upper()
def our_available_balance(self, our_balances: dict, token: str) -> Wad:
token_balances = list(filter(lambda coin: coin['coinType'].upper() == token, our_balances))
if token_balances:
return Wad.from_number(self.round_down(token_balances[0]['balance'], self.amount_precision))
else:
return Wad(0)
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
def synchronize_orders(self):
bands = Bands.read(self.bands_config, self.spread_feed, self.control_feed, self.history)
order_book = self.order_book_manager.get_order_book()
target_price = self.price_feed.get_price()
# Cancel orders
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.order_book_manager.cancel_orders(cancellable_orders)
return
# Do not place new orders if order book state is not confirmed
if order_book.orders_being_placed or order_book.orders_being_cancelled:
self.logger.debug("Order book is in progress, not placing new orders")
return
# Place new orders
new_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(order_book.balances, self.token_buy()),
our_sell_balance=self.our_available_balance(order_book.balances, self.token_sell()),
target_price=target_price)[0]
self.place_orders(new_orders)
def place_orders(self, new_orders: List[NewOrder]):
def place_order_function(new_order_to_be_placed):
price = round(new_order_to_be_placed.price, self.price_precision)
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
amount = round(amount, self.amount_precision)
order_id = self.kucoin_api.place_order(self.pair(), new_order_to_be_placed.is_sell, price, amount)
return Order(order_id=order_id,
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=price,
amount=amount)
for new_order in new_orders:
self.order_book_manager.place_order(lambda new_order=new_order: place_order_function(new_order))
@staticmethod
def round_down(num, precision):
multiplier = pow(10, precision)
return floor(num * multiplier) / multiplier
class OkexMarketTrading:
"""Keeper acting as a market maker on OKEX."""
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='okex-market-trading')
parser.add_argument(
"--okex-api-server",
type=str,
default="https://www.okex.com",
help=
"Address of the OKEX API server (default: 'https://www.okex.com')")
parser.add_argument("--okex-api-key",
type=str,
required=True,
help="API key for the OKEX API")
parser.add_argument("--okex-secret-key",
type=str,
required=True,
help="Secret key for the OKEX API")
parser.add_argument("--okex-passphrase",
type=str,
required=True,
help="Passphrase for the OKEX API")
parser.add_argument(
"--okex-timeout",
type=float,
default=9.5,
help="Timeout for accessing the OKEX API (in seconds, default: 9.5)"
)
parser.add_argument(
"--pair",
type=str,
required=True,
help="Token pair (sell/buy) on which the keeper will operate")
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(
"--refresh-frequency",
type=int,
default=3,
help="Order book refresh frequency (in seconds, default: 3)")
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.bands_config = ReloadableConfig(self.arguments.config)
self.price_feed = PriceFeedFactory().create_price_feed(self.arguments)
# TODO://这两个参数干嘛的
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)
self.history = History()
self.okex_api = OKEXApi(api_server=self.arguments.okex_api_server,
api_key=self.arguments.okex_api_key,
secret_key=self.arguments.okex_secret_key,
passphrase=self.arguments.okex_passphrase,
timeout=self.arguments.okex_timeout)
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency)
self.order_book_manager.get_orders_with(
lambda: self.okex_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.okex_api.get_balances())
self.order_book_manager.cancel_orders_with(
lambda order: self.okex_api.cancel_order(self.pair(), order.
order_id))
self.order_book_manager.enable_history_reporting(
self.order_history_reporter, self.our_buy_orders,
self.our_sell_orders)
self.order_book_manager.start()
def main(self):
balances = self.okex_api.get_balances()
self.logger.info(f"balances:{balances}")
balances = self.okex_api.get_balances()
self.order_book_manager.cancel_all_orders()
self.logger.info(f"refresh balances:{balances}")
with Lifecycle() as lifecycle:
lifecycle.initial_delay(10)
lifecycle.every(5, self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def pair(self):
return self.arguments.pair.upper()
def token_sell(self) -> str:
return self.arguments.pair.split('-')[0].upper()
def token_buy(self) -> str:
return self.arguments.pair.split('-')[1].upper()
def our_available_balance(self, our_balances: list, token: str) -> Wad:
for item in our_balances:
if token == item['currency']:
return Wad.from_number(item['available'])
return Wad(0)
def our_sell_orders(self, our_orders: list) -> list:
return list(filter(lambda order: order.is_sell, our_orders))
def our_buy_orders(self, our_orders: list) -> list:
return list(filter(lambda order: not order.is_sell, our_orders))
# 在买一和卖一间隔中下单自动成交
def synchronize_orders(self):
# 交易触发规则：随机触发。产生一个随机数，若命中概率则交易
current_time = time.strftime("%H")
freq_dict = {
'00': np.random.randint(50, 200),
'01': np.random.randint(50, 100),
'02': np.random.randint(10, 100),
'03': np.random.randint(10, 50),
'04': np.random.randint(10, 50),
'05': np.random.randint(10, 50),
'06': np.random.randint(50, 100),
'07': np.random.randint(100, 200),
'08': np.random.randint(100, 200),
'09': np.random.randint(100, 300),
'10': np.random.randint(100, 300),
'11': np.random.randint(100, 300),
'12': np.random.randint(100, 300),
'13': np.random.randint(100, 300),
'14': np.random.randint(100, 300),
'15': np.random.randint(100, 300),
'16': np.random.randint(100, 300),
'17': np.random.randint(100, 300),
'18': np.random.randint(100, 300),
'19': np.random.randint(100, 300),
'20': np.random.randint(100, 300),
'21': np.random.randint(100, 200),
'22': np.random.randint(100, 200),
'23': np.random.randint(100, 200)
}
freq = freq_dict[current_time]
hit_number = np.random.random()
hit_range = freq / (12 * 60.0)
do_trade = True if hit_number < hit_range else False
if not do_trade:
total_freq = reduce(lambda x, y: x + y, list(freq_dict.values()))
logging.debug(
f"NOT HIT. total freq is {total_freq} per day. hit_number={hit_number}, hit_range={hit_range}"
)
return
logging.info(
f"[DO TRADING]hit_number={hit_number}, hit_range={hit_range}")
order_book = self.order_book_manager.get_order_book()
current_price = self.price_feed.get_price()
if current_price.buy_price is None or current_price.sell_price is None:
self.logger.warning(
"Current_price：buy_price or sell_price is None")
return
logging.info(f"Current_price: {current_price}")
# 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
# 只会使用到buy_bands的一个配置，同时应用于买和卖，买卖统一数量
bands = Bands.read(self.bands_config, self.spread_feed,
self.control_feed, self.history)
band = bands.buy_bands[0]
price_gap = current_price.sell_price - current_price.buy_price
# 确定交易的数量和价格
trade_price = current_price.buy_price + Wad.from_number(
np.random.uniform(0, float(price_gap)))
trade_amount = Wad.from_number(
np.random.uniform(float(band.min_amount), float(band.max_amount)))
# Place new orders
new_orders = self.create_new_orders(
trade_amount=trade_amount,
trade_price=trade_price,
our_buy_balance=self.our_available_balance(order_book.balances,
self.token_buy()),
our_sell_balance=self.our_available_balance(
order_book.balances, self.token_sell()),
band=band)
self.place_orders(new_orders)
def place_orders(self, new_orders):
def place_order_function(new_order_to_be_placed):
amount = new_order_to_be_placed.pay_amount if new_order_to_be_placed.is_sell else new_order_to_be_placed.buy_amount
order_id = self.okex_api.place_order(
pair=self.pair(),
is_sell=new_order_to_be_placed.is_sell,
price=new_order_to_be_placed.price,
amount=amount)
return Order(order_id, 0.0, self.pair(),
new_order_to_be_placed.is_sell,
new_order_to_be_placed.price, amount, Wad(0))
for new_order in new_orders:
self.order_book_manager.place_order(
lambda new_order=new_order: place_order_function(new_order))
def create_new_orders(self, trade_amount: Wad, trade_price: Wad,
our_buy_balance: Wad, our_sell_balance: Wad,
band: Band) -> list:
assert (isinstance(our_buy_balance, Wad))
assert (isinstance(our_sell_balance, Wad))
assert (isinstance(trade_price, Wad))
# 1、构建需要创建的订单
new_buy_orders = []
buy_amount = trade_amount
# pay_amount要付出的token数量, 买单时如usdt
pay_amount = Wad.min(buy_amount * trade_price, our_buy_balance)
if (trade_price > Wad(0)) and (pay_amount > Wad(0)) and (buy_amount >
Wad(0)):
new_buy_orders.append(
NewOrder(is_sell=False,
price=trade_price,
amount=buy_amount,
pay_amount=pay_amount,
buy_amount=buy_amount,
band=band,
confirm_function=lambda: self.buy_limits.use_limit(
time.time(), pay_amount)))
logging.info(
"Trading new_buy_order, price:%s, buy_amount:%s, pay_amount:%s"
% (trade_price, buy_amount, pay_amount))
# 2、构建等量的卖出订单
new_sell_orders = []
# pay_amount要付出的token数量，卖单时如tokenx
pay_amount = Wad.min(trade_amount, our_sell_balance)
buy_amount = pay_amount * trade_price
if (trade_price > Wad(0)) and (pay_amount > Wad(0)) and (buy_amount >
Wad(0)):
self.logger.info(
f"Trading creating new sell order amount {pay_amount} with price {trade_price}"
)
new_buy_orders.append(
NewOrder(is_sell=True,
price=trade_price,
amount=pay_amount,
pay_amount=pay_amount,
buy_amount=buy_amount,
band=band,
confirm_function=lambda: self.buy_limits.use_limit(
time.time(), pay_amount)))
logging.info(
"Trading new_sell_order, price:%s, buy_amount:%s, pay_amount:%s"
% (trade_price, buy_amount, pay_amount))
# 先放卖单，再放买单
return new_sell_orders + new_buy_orders
