class TethfinexMarketMakerKeeper:
"""Keeper acting as a market maker on Trustless Ethfinex."""
logger = logging.getLogger()
def __init__(self, args: list, **kwargs):
parser = argparse.ArgumentParser(prog='tethfinex-market-maker-keeper')
parser.add_argument("--rpc-host",
type=str,
default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port",
type=int,
default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout",
type=int,
default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument(
"--eth-from",
type=str,
required=True,
help="Ethereum account from which to send transactions")
parser.add_argument(
"--eth-key",
type=str,
nargs='*',
help=
"Ethereum private key(s) to use (e.g. 'key_file=aaa.json,pass_file=aaa.pass')"
)
parser.add_argument(
"--exchange-address",
type=str,
required=True,
help="Ethereum address of the 0x Exchange contract")
parser.add_argument("--tub-address",
type=str,
required=False,
help="Ethereum address of the Tub contract")
parser.add_argument(
"--tethfinex-api-server",
type=str,
default='https://api.ethfinex.com',
help=
"Address of the Trustless Ethfinex API server (default: 'https://api.ethfinex.com')"
)
parser.add_argument(
"--tethfinex-timeout",
type=float,
default=9.5,
help="Timeout for accessing the IDEX 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("--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("--ethgasstation-api-key",
type=str,
default=None,
help="ethgasstation API key")
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.set_defaults(cancel_on_shutdown=False,
withdraw_on_shutdown=False)
self.arguments = parser.parse_args(args)
setup_logging(self.arguments)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(
HTTPProvider(
endpoint_uri=
f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
self.web3.eth.defaultAccount = self.arguments.eth_from
self.our_address = Address(self.arguments.eth_from)
register_keys(self.web3, self.arguments.eth_key)
tub = Tub(web3=self.web3, address=Address(self.arguments.tub_address)) \
if self.arguments.tub_address is not None else None
self.sai = ERC20Token(web3=self.web3, address=tub.sai())
self.price_feed = PriceFeedFactory().create_price_feed(
self.arguments, tub)
self.bands_config = ReloadableConfig(self.arguments.config)
self.gas_price = GasPriceFactory().create_gas_price(
self.web3, 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.tethfinex_exchange = ZrxExchange(
web3=self.web3, address=Address(self.arguments.exchange_address))
self.tethfinex_api = TEthfinexApi(
self.tethfinex_exchange,
self.arguments.tethfinex_api_server,
timeout=self.arguments.tethfinex_timeout)
config = self.tethfinex_api.get_config()['0x']
self.fee_address = Address(config['ethfinexAddress'])
token_registry = config['tokenRegistry']
token_sell = self.token_sell()
token_buy = self.token_buy()
self.token_sell_wrapper = TEthfinexToken(
self.web3, Address(token_registry[token_sell]['wrapperAddress']),
token_sell)
self.token_buy_wrapper = TEthfinexToken(
self.web3, Address(token_registry[token_buy]['wrapperAddress']),
token_buy)
pair = self.pair()
self.order_book_manager = OrderBookManager(
refresh_frequency=self.arguments.refresh_frequency, max_workers=1)
self.order_book_manager.get_orders_with(
lambda: self.tethfinex_api.get_orders(pair))
self.order_book_manager.cancel_orders_with(
lambda order: self.tethfinex_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_block(self.synchronize_orders)
lifecycle.on_shutdown(self.shutdown)
def pair(self):
# Trustless Ethfinex is inconsistent here. They call the pair `DAIETH`, but in reality all prices are
# calculated like it was an `ETH/DAI` pair.
return 'DAIETH'
def token_sell(self) -> str:
return self.arguments.pair[:3]
def token_buy(self) -> str:
return self.arguments.pair[3:]
@retry(delay=5, logger=logger)
def shutdown(self):
self.order_book_manager.cancel_all_orders()
def our_available_balance(self, token: TEthfinexToken) -> Wad:
return Wad.from_number(token.balance_of(self.our_address))
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.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
# Evaluate if we need to create new orders, and how much do we need to deposit
new_orders, missing_buy_amount, missing_sell_amount = bands.new_orders(
our_buy_orders=self.our_buy_orders(order_book.orders),
our_sell_orders=self.our_sell_orders(order_book.orders),
our_buy_balance=self.our_available_balance(self.token_buy_wrapper),
our_sell_balance=self.our_available_balance(
self.token_sell_wrapper),
target_price=target_price)
# If deposited amount too low for placing buy orders, try to deposit.
# If deposited amount too low for placing sell orders, try to deposit.
made_deposit = False
if missing_buy_amount > Wad(0):
if self.deposit_for_buy_order(missing_buy_amount):
made_deposit = True
if missing_sell_amount > Wad(0):
if missing_sell_amount > Wad(0):
if self.deposit_for_sell_order(missing_sell_amount):
made_deposit = True
# If we managed to deposit something, do not do anything so we can reevaluate new orders to be placed.
# Otherwise, place new orders.
if not made_deposit:
self.place_orders(new_orders)
def cancel_orders(self, orders: list):
for order in orders:
self.tethfinex_api.cancel_order(order.order_id)
def place_orders(self, new_orders):
for new_order in new_orders:
if new_order.is_sell:
self.logger.info(
f"Sell amount {float(new_order.pay_amount)} of ETH with {float(new_order.buy_amount)} DAI"
)
self.tethfinex_api.place_order(
True,
pay_token=self.token_sell_wrapper.address,
pay_amount=new_order.pay_amount,
buy_token=self.token_buy_wrapper.address,
buy_amount=new_order.buy_amount,
fee_address=self.fee_address,
pair=self.pair())
else:
self.logger.info(
f"Buy amount {float(new_order.buy_amount)} of ETH with {float(new_order.pay_amount)} DAI"
)
self.tethfinex_api.place_order(
False,
pay_token=self.token_buy_wrapper.address,
pay_amount=new_order.pay_amount,
buy_token=self.token_sell_wrapper.address,
buy_amount=new_order.buy_amount,
fee_address=self.fee_address,
pair=self.pair())
def deposit_for_sell_order(self, missing_sell_amount: Wad):
# We can never lock more than our available ETH balance.
depositable_eth = eth_balance(self.web3, self.our_address)
missing_sell_amount = Wad.min(missing_sell_amount, depositable_eth)
# If we still can deposit something, and it's at least `min_eth_deposit`, then we do deposit.
if missing_sell_amount > Wad(0):
receipt = self.token_sell_wrapper.deposit(
missing_sell_amount).transact(gas_price=self.gas_price)
return receipt is not None and receipt.successful
else:
return False
def deposit_for_buy_order(self, missing_buy_amount: Wad):
# We can never lock more than our available SAI balance.
depositable_sai = self.sai.balance_of(self.our_address)
missing_buy_amount = Wad.min(missing_buy_amount, depositable_sai)
# If we still can deposit something, and it's at least `min_sai_deposit`, then we do deposit.
if missing_buy_amount > Wad(0):
receipt = self.token_buy_wrapper.deposit(
missing_buy_amount).transact(gas_price=self.gas_price)
return receipt is not None and receipt.successful
else:
return False
ETH_WRAPPER_ADDRESS = Address(ethfinex_config['tokenRegistry']['ETH']['wrapperAddress']) MKR_WRAPPER_ADDRESS = Address(ethfinex_config['tokenRegistry']['MKR']['wrapperAddress']) MKR_TOKEN_ADDRESS = Address(ethfinex_config['tokenRegistry']['MKR']['tokenAddress']) OMG_WRAPPER_ADDRESS = Address(ethfinex_config['tokenRegistry']['OMG']['wrapperAddress']) # DAI dai_token = ERC20Token(web3, DAI_TOKEN_ADDRESS) # you have to approve each token if it is its first time use dai_approve = dai_token.approve(DAI_WRAPPER_ADDRESS) print(dai_approve.transact()) dai_wrapper = TEthfinexToken(web3, DAI_WRAPPER_ADDRESS, "DAI") # lock token amount on wrapper dai_transact = dai_wrapper.deposit(Wad.from_number(0.40), 1) print(dai_transact.transact()) print(dai_wrapper.balance_of(Address(web3.eth.defaultAccount))) # MKR mkr_token = ERC20Token(web3, MKR_TOKEN_ADDRESS) mkr_approve = mkr_token.approve(MKR_WRAPPER_ADDRESS) print(mkr_approve.transact()) mkr_wrapper = TEthfinexToken(web3, MKR_WRAPPER_ADDRESS, "MKR") # lock token mkr_transact = mkr_wrapper.deposit(Wad.from_number(0.001), 1) print(mkr_transact.transact()) print(mkr_wrapper.balance_of(Address(web3.eth.defaultAccount)))