class EthfinexMarketMakerKeeper:
logger = logging.getLogger()
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='ethfinex-market-maker-keeper')
parser.add_argument(
"--ethfinex-api-server",
type=str,
default="https://api.ethfinex.com",
help=
"Address of the Ethfinex API server (default: 'https://api.ethfinex.com')"
)
parser.add_argument("--ethfinex-api-key",
type=str,
required=True,
help="API key for the Ethfinex API")
parser.add_argument("--ethfinex-api-secret",
type=str,
required=True,
help="API secret for the Ethfinex API")
parser.add_argument(
"--ethfinex-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Ethfinex 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.history = History()
self.ethfinex_api = EthfinexApi(
api_server=self.arguments.ethfinex_api_server,
api_key=self.arguments.ethfinex_api_key,
api_secret=self.arguments.ethfinex_api_secret,
timeout=self.arguments.ethfinex_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=self.arguments.refresh_frequency, max_workers=1)
self.order_book_manager.get_orders_with(
lambda: self.ethfinex_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.ethfinex_api.get_balances())
self.order_book_manager.place_orders_with(self.place_order_function)
self.order_book_manager.cancel_orders_with(
lambda order: self.ethfinex_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 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: list, token: str) -> Wad:
try:
return Wad.from_number(
next(
filter(lambda coin: coin['currency'].upper() == token,
our_balances))['available'])
except:
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(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
self.order_book_manager.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_order_function(self, new_order):
pair = self.pair()
is_sell = new_order.is_sell
price = new_order.price
amount = new_order.pay_amount if new_order.is_sell else new_order.buy_amount
new_order_id = self.ethfinex_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)
def __init__(self, args: list):
parser = argparse.ArgumentParser(prog='ethfinex-market-maker-keeper')
parser.add_argument(
"--ethfinex-api-server",
type=str,
default="https://api.ethfinex.com",
help=
"Address of the Ethfinex API server (default: 'https://api.ethfinex.com')"
)
parser.add_argument("--ethfinex-api-key",
type=str,
required=True,
help="API key for the Ethfinex API")
parser.add_argument("--ethfinex-api-secret",
type=str,
required=True,
help="API secret for the Ethfinex API")
parser.add_argument(
"--ethfinex-timeout",
type=float,
default=9.5,
help=
"Timeout for accessing the Ethfinex 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.history = History()
self.ethfinex_api = EthfinexApi(
api_server=self.arguments.ethfinex_api_server,
api_key=self.arguments.ethfinex_api_key,
api_secret=self.arguments.ethfinex_api_secret,
timeout=self.arguments.ethfinex_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=self.arguments.refresh_frequency, max_workers=1)
self.order_book_manager.get_orders_with(
lambda: self.ethfinex_api.get_orders(self.pair()))
self.order_book_manager.get_balances_with(
lambda: self.ethfinex_api.get_balances())
self.order_book_manager.place_orders_with(self.place_order_function)
self.order_book_manager.cancel_orders_with(
lambda order: self.ethfinex_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()
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
#
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <http://www.gnu.org/licenses/>.
import logging
import sys
from pyexchange.ethfinex import EthfinexApi
from pymaker import Wad
logging.basicConfig(format='%(asctime)-15s %(levelname)-8s %(message)s',
level=logging.INFO)
ethfinex = EthfinexApi('https://api.ethfinex.com', sys.argv[1], sys.argv[2],
9.5)
# for order in ethfinex.get_orders('ZRXETH'):
# ethfinex.cancel_order(order.order_id)
# exit(-1)
# print(ethfinex.place_order("ZRXETH", False, Wad.from_number(0.0010), Wad.from_number(25)))
for _ in range(0, 1000):
print(ethfinex.get_orders('ZRXETH'))
exit(-1)
print(ethfinex.get_balances())
print(ethfinex.get_trades('ZRXETH'))
exit(-1)
print(ethfinex.get_orders('ZRXETH'))
# print(ethfinex.get_trades("BTCUSD"))
# print(ethfinex.get_all_trades('BTCUSD'))