def test_airswap_read_no_adjacent_bands(tmpdir):
sell_bands_file = BandConfig.two_adjacent_sell_bands_config(tmpdir)
sell_bands_config = ReloadableConfig(str(sell_bands_file))
airswap_sell_bands = AirswapBands.read(sell_bands_config, EmptyFeed(), FixedFeed({'canBuy': True, 'canSell': True}), History())
assert len(airswap_sell_bands.sell_bands) == 0
buy_bands_file = BandConfig.two_adjacent_buy_bands_config(tmpdir)
buy_bands_config = ReloadableConfig(str(buy_bands_file))
airswap_buy_bands = AirswapBands.read(buy_bands_config, EmptyFeed(), FixedFeed({'canBuy': True, 'canSell': True}), History())
assert len(airswap_buy_bands.buy_bands) == 0
def create_spread_feed(arguments) -> Feed:
try:
if arguments.spread_feed:
web_socket_feed = WebSocketFeed(arguments.spread_feed, 5)
expiring_web_socket_feed = ExpiringFeed(web_socket_feed, arguments.spread_feed_expiry)
return expiring_web_socket_feed
else:
return EmptyFeed()
except AttributeError:
return EmptyFeed()
def create_bands(config_file):
config = ReloadableConfig(str(config_file))
return Bands.read(config, EmptyFeed(),
FixedFeed({
'canBuy': True,
'canSell': True
}), History())
def test_new_buy_orders_taker_amount_exceed_buy_balance_fail_case(tmpdir):
bands_file = BandConfig.sample_config(tmpdir)
bands_config = ReloadableConfig(str(bands_file))
airswap_bands = AirswapBands.read(bands_config, EmptyFeed(), FixedFeed({'canBuy': True, 'canSell': True}), History())
# maker_amount -> denominated in DAI
maker_amount = Wad(0)
taker_amount = Wad(11360000000000000000)
our_buy_balance = Wad(50000000000000000)
buy_limit = Wad(1562000000000000000000)
target_price = WebSocketPriceFeed(FakeFeed({"buyPrice": "120", "sellPrice": "130"})).get_price()
new_order = airswap_bands._new_side_orders('buy',
maker_amount,
taker_amount,
our_buy_balance,
buy_limit,
airswap_bands.buy_bands[0],
target_price.buy_price)
# -- pricing logic --
# buyPrice = 120 * minMargin = 0.02 = 117.6
# maker_amount = 11.36000 / 117.6 = 0.09659863945
# our_buy_balance = 0.050000000000000000 !!BREAK!!
assert new_order == {}
def test_new_buy_orders_taker_amount_success_case(tmpdir):
bands_file = BandConfig.sample_config(tmpdir)
bands_config = ReloadableConfig(str(bands_file))
airswap_bands = AirswapBands.read(bands_config, EmptyFeed(), FixedFeed({'canBuy': True, 'canSell': True}), History())
# maker_amount -> denominated in DAI
maker_amount = Wad(0)
taker_amount = Wad(11360000000000000000)
our_buy_balance = Wad(1562000000000000000000)
buy_limit = Wad(1562000000000000000000)
target_price = WebSocketPriceFeed(FakeFeed({"buyPrice": "120", "sellPrice": "130"})).get_price()
new_order = airswap_bands._new_side_orders('buy',
maker_amount,
taker_amount,
our_buy_balance,
buy_limit,
airswap_bands.buy_bands[0],
target_price.buy_price)
# -- pricing logic --
# buyPrice = 120 * minMargin = 0.04 = 4.8
# 120 - 4.8 = 115.2
# maker_amount = 11.36000 / 115.2 = 0.09861111111111111111111
assert new_order['taker_amount'].__float__() == 11.36000
assert new_order['maker_amount'].__float__() == 0.09861111111111111111111
def test_new_sell_orders_taker_amount_success_case(tmpdir):
bands_file = BandConfig.sample_config_dif_margins(tmpdir)
bands_config = ReloadableConfig(str(bands_file))
airswap_bands = AirswapBands.read(bands_config, EmptyFeed(), FixedFeed({'canBuy': True, 'canSell': True}), History())
# maker_amount -> denominated in WETH
maker_amount = Wad(0)
taker_amount = Wad(1770600000000000000)
our_sell_balance = Wad(1562000000000000000000)
sell_limit = Wad(1562000000000000000000)
target_price = WebSocketPriceFeed(FakeFeed({"buyPrice": "120", "sellPrice": "130"})).get_price()
new_order = airswap_bands._new_side_orders('sell',
maker_amount,
taker_amount,
our_sell_balance,
sell_limit,
airswap_bands.sell_bands[0],
target_price.sell_price)
# -- pricing logic --
# sellPrice = 130 * avgMargin = 0.05 = 6.5
# 130 + 6.5 = 136.5
# taker_amount = 1.7706 / 136.5 = 0.01297142857142857142857
assert new_order['maker_amount'].__float__() == 0.01297142857142857142857
assert new_order['taker_amount'].__float__() == 1.7706
def create_bands(config_file, rules=None):
if rules is None:
rules = BinanceUsRules(pair="ETH-USDC",
min_price=Wad.from_number(0.01),
max_price=Wad.from_number(100000.0),
tick_size=Wad.from_number(0.01),
min_quantity=Wad.from_number(0.00001),
max_quantity=Wad.from_number(9000.0),
step_size=Wad.from_number(0.00001))
config = ReloadableConfig(str(config_file))
return BinanceBands.read(config, EmptyFeed(), FixedFeed({'canBuy': True, 'canSell': True}), History(), rules)
def test_new_sell_orders_maker_amount_fail_case(tmpdir):
bands_file = BandConfig.sample_config_dif_margins(tmpdir)
bands_config = ReloadableConfig(str(bands_file))
airswap_bands = AirswapBands.read(bands_config, EmptyFeed(), FixedFeed({'canBuy': True, 'canSell': True}), History())
maker_amount = Wad(106200000000000000000)
taker_amount = Wad(0)
our_sell_balance = Wad(1562000000000000000)
sell_limit = Wad(1562000000000000000000)
target_price = WebSocketPriceFeed(FakeFeed({"buyPrice": "120", "sellPrice": "130"})).get_price()
new_order = airswap_bands._new_side_orders('sell',
maker_amount,
taker_amount,
our_sell_balance,
sell_limit,
airswap_bands.sell_bands[0],
target_price.sell_price)
assert new_order == {}
def create_bands(config_file):
config = ReloadableConfig(str(config_file))
return Bands(config, EmptyFeed(), History())
def test_is_always_empty(self):
# expect
assert EmptyFeed().get() == ({}, 0.0)
def test_airswap_read_bands(tmpdir):
bands_file = BandConfig.sample_config(tmpdir)
bands_config = ReloadableConfig(str(bands_file))
airswap_bands = AirswapBands.read(bands_config, EmptyFeed(), FixedFeed({'canBuy': True, 'canSell': True}), History())
assert isinstance(airswap_bands, AirswapBands)