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maker.py
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import json
import collections
import random
from grapheneexchange import GrapheneExchange
from datetime import datetime
import time
import select
import sys
def start():
i = 1
while True:
print(i)
time.sleep(1)
i += 1
if i % 5 != 0:
continue
try:
result = input_with_timeout("input an integer:", 5)
if result:
i = int(result)
print ("new input value {}".format(i))
except Exception:
print("error")
pass
def input_with_timeout(prompt, timeout):
sys.stdout.write(prompt)
sys.stdout.flush()
ready, _, _ = select.select([sys.stdin], [],[], timeout)
if ready:
return sys.stdin.readline().rstrip('\n') # expect stdin to be line-buffered
return None
class TradeClient(object):
def __init__(self,config):
class Config():
pass
for client in config:
if (client['client'] == 'bts') or (client['client'] =='trans.bot') or (client['client'] =='alpha-go'):
btsConfig = Config()
#btsConfig.witness_url = client['WITNESS_URL']
btsConfig.witness_url = 'wss://ws.gdex.top'
#btsConfig.witness_url = 'wss://bit.btsabc.org/ws'
#btsConfig.witness_url = 'wss://bts.transwiser.com/ws'
btsConfig.witnes_user = ""
btsConfig.witness_password = ""
#btsConfig.watch_markets = ["USD_OPEN.ETH", "OPEN.ETH_USD", "CNY_OPEN.ETH","OPEN.ETH_CNY","USD_OPEN.BTC","OPEN.BTC_USD", "CNY_OPEN.BTC","OPEN.BTC_CNY","CNY_BTS", "BTS_CNY","EUR_BTS", "BTS_EUR", "USD_BTS", "BTS_USD", "EUR_USD", "USD_EUR","EUR_CNY", "CNY_EUR","USD_CNY", "CNY_USD", "USD_OPEN.USDT", "OPEN.USDT_USD"]
btsConfig.watch_markets = ["GDEX.BTC_GDEX.HPB", "GDEX.HPB_GDEX.BTC","USD_GDEX.EOS", "GDEX.EOS_USD", "CNY_GDEX.EOS", "GDEX.EOS_CNY","USD_GDEX.ETH", "GDEX.ETH_USD", "CNY_GDEX.ETH", "GDEX.ETH_CNY","USD_GDEX.BTC", "GDEX.BTC_USD", "CNY_GDEX.BTC", "GDEX.BTC_CNY", "BTS_GDEX.BTC", "GDEX.BTC_BTS","USD_GDEX.EOS", "GDEX.EOS_USD", "CNY_GDEX.EOS", "GDEX.EOS_CNY","USD_GDEX.ETH", "GDEX.ETH_USD", "CNY_GDEX.ETH", "GDEX.ETH_CNY"]
btsConfig.market_separator = "_"
btsConfig.account = client['ACCOUNT']
btsConfig.wif = client['SECRET_KEY']
if client['client'] == 'bts':
self.btsConfig = btsConfig
self.btsClient = GrapheneExchange(self.btsConfig, safe_mode=False)
if client['client'] == 'trans.bot':
self.botConfig = btsConfig
self.botClient = GrapheneExchange(self.botConfig, safe_mode=False)
if client['client'] == 'alpha-go':
self.goConfig = btsConfig
self.goClient = GrapheneExchange(self.goConfig, safe_mode=False)
class Maker(object):
def __init__(self,globalconfig,price, ex,asset,base,priceuplimit,pricedownlimit,Gaprate=0.009, spreadrate=0.0042,size=15,amount=1):
self.client = TradeClient(globalconfig)
self.ex = ex
self.asset = asset
self.base = base
self.price = price
self.priceuplimit = priceuplimit
self.pricedownlimit = pricedownlimit
self.Gaprate=Gaprate
self.spreadrate=spreadrate
self.Gap = price*Gaprate
self.spread = price*spreadrate
self.size = size
self.amount=amount
self.orderamount = amount/price
self.BidQueue = collections.deque()
self.AskQueue = collections.deque()
self.random = Gaprate*2
self.auditdone = False
self.initialok = False
self.auditok = True
self.config = globalconfig
assert self.priceuplimit > self.price > self.pricedownlimit
if self.ex =='yunbi':
self.market = self.asset.lower()+self.base.lower()
if self.ex =='dex':
self.market =self.asset+'_'+self.base
if self.ex=='bittrex':
self.market = self.base+'-'+self.asset
if self.ex == 'poloniex':
self.market = self.base.upper()+'_'+self.asset.upper()
def ReconnectBTS(self,config):
newconfig = []
btsAPIServer = ['wss://ws.gdex.top','wss://bitshares.wancloud.io/ws','wss:/btsapi.topnewdata.com']
for client in config:
if client['client'] == 'bts':
previousServer = client['WITNESS_URL']
for item in btsAPIServer:
if item != previousServer:
newServer = item
break
for client in config:
if client['client'] == 'bts' or client['client'] == 'trans.bot' or client['client'] == 'alpha-go':
client['WITNESS_URL'] = newServer
newconfig.append(client)
self.config = newconfig
self.client = TradeClient(self.config)
def cancelAllOrders(self, ex):
if ex == "yunbi":
orders = self.client.yunbiClient.get('orders', {'market': self.market}, True)
for order in orders:
self.log("yunbi order canceled:")
params = {"id": order["id"]}
print(self.client.yunbiClient.post('delete_order', params))
if ex == "bittrex":
orders = self.client.bittrexClient.get_open_orders(self.market)
for order in orders:
self.log("bittrex order canceled: %s result: %s " % (order, self.client.bittrexClient.cancel(order['id'])))
if ex == "dex":
orders = self.client.btsClient.returnOpenOrders(self.market)[self.market]
for order in orders:
self.log("DEX order canceled:")
print(self.client.btsClient.cancel(order["orderNumber"]))
if ex == 'poloniex':
orders = self.client.poloniexClient.returnOpenOrders(self.market)
for order in orders:
self.log("poloniex order canceled: %s result: %s " % (order, self.client.poloniexClient.cancel(self.market,order['id'])))
return
def executeOrder(self, exchange, Order, returnID=True):
assert self.priceuplimit > Order['price'] > self.pricedownlimit
if exchange == "yunbi":
params = {'market': Order['market'], 'side': Order["type"], 'volume': Order["volume"], 'price': Order["price"]}
res = self.client.yunbiClient.post('orders', params)
if exchange == 'bittrex':
if Order['type'] == 'sell':
res = self.client.bittrexClient.sell_limit(Order['market'], Order['volume'], Order['price'])
if Order['type'] == 'buy':
res = self.client.bittrexClient.buy_limit(Order['market'], Order['volume'], Order['price'])
if exchange == 'dex':
if Order["type"] == "buy":
res = json.dumps(self.client.btsClient.buy(Order['market'], Order["price"], Order["volume"],expiration=30*24*60*60,returnID=returnID))
if Order["type"] == "sell":
res = json.dumps(self.client.btsClient.sell(Order['market'], Order["price"], Order["volume"],expiration=30*24*60*60,returnID=returnID))
if exchange == 'poloniex':
if Order['type'] == 'sell':
res = self.client.poloniexClient.sell(Order['market'], Order['price'], Order['volume'])
if Order['type'] == 'buy':
res = self.client.poloniexClient.buy(Order['market'], Order['price'], Order['volume'])
return res
def CancelOrder(self, ex, id):
if ex == 'dex':
return self.client.btsClient.cancel(id)
if ex == 'yunbi':
return self.client.yunbiClient.post('delete_order', {"id": id})
if ex == 'bittrex':
return self.client.bittrexClient.cancel(id)
if ex == 'poloniex':
return self.client.poloniexClient.cancel(self.market,id)
def GetResultOrderID(self, ex, result):
if ex == 'dex':
if result:
return result[1:-1]
else:
return 0
if ex == 'yunbi':
if result['id']:
return result['id']
else:
return 0
if ex == 'bittrex':
if result['success']:
return result['result']['uuid']
else:
return 0
if ex == 'poloniex':
return result['orderNumber']
def InitOrderPlace(self):
self.cancelAllOrders(ex=self.ex)
self.BidQueue.clear()
self.AskQueue.clear()
assert self.price > self.pricedownlimit and self.price < self.priceuplimit
self.Gap=self.price*self.Gaprate
self.spread=self.price*self.spreadrate
self.orderamount=self.amount/self.price
for x in range(self.size):
bid = {"market":self.market,"type":"buy", "price":self.price - self.Gap - (self.size-1-x)*self.spread, "volume":random.uniform(self.orderamount,self.orderamount*(1+self.random)),"id":"0"}
ask = {"market":self.market,"type":"sell","price":self.price + self.Gap + (self.size-1-x)*self.spread, "volume":random.uniform(self.orderamount*(1-self.random),self.orderamount),"id":"0"}
self.BidQueue.appendleft(bid)
self.AskQueue.appendleft(ask)
for y in self.BidQueue:
self.log("try to create %s bid order: %s" % (self.ex,y))
result=self.executeOrder(self.ex, y)
self.log("order creation result %s" % result)
y['id'] = self.GetResultOrderID(self.ex, result)
for z in self.AskQueue:
self.log("try to create %s ask order: %s" % (self.ex,z))
result = self.executeOrder(self.ex, z)
self.log("order creation result %s" % result)
z['id'] = self.GetResultOrderID(self.ex, result)
for y in self.BidQueue:
if y['id'] == '1.7.0':
return self.ImportOrderstoQueue()
self.log("initial succeeded.")
self.initialok = True
return True
# this is to check whether the BidQueue/AskQueue is consistent with real orders
def AuditOrderSyn(self):
self.log(datetime.strftime(datetime.now(), '%Y-%m-%d %H:%M:%S'))
self.log("begin to get open ordres for audit:")
OpenOrders = self.GetOrders()
bidlist=[]
asklist=[]
for order in OpenOrders:
if order['type'] == 'buy':
bidlist.append(order)
if order['type'] == 'sell':
asklist.append(order)
sortedbidlist = sorted(bidlist, key=lambda order: order['price'], reverse=True)
sortedasklist = sorted(asklist, key=lambda order: order['price'])
if len(self.BidQueue) == len(bidlist) == len(self.AskQueue) == len(asklist) == self.size:
self.auditok = True
self.log('the number of orders are exactly consistent')
for index in range(len(self.BidQueue)):
self.log('BidQueue%d: %s'%(index,self.BidQueue[index]))
self.log('real bid order%d: %s' % (index, sortedbidlist[index]))
self.log('AskQueue%d: %s' % (index, self.AskQueue[index]))
self.log('real ask order%d: %s' % (index, sortedasklist[index]))
if self.BidQueue[index]['id'] != sortedbidlist[index]['id']:
self.auditok = False
self.log('Bid order%d id different: %s in BidQueue and %s in real order.' % (index, self.BidQueue[index]['id'],sortedbidlist[index][id]))
if self.AskQueue[index]['id'] != sortedasklist[index]['id']:
self.auditok = False
self.log('Ask order%d id different: %s in AskQueue and %s in real order.' % (index, self.AskQueue[index]['id'], sortedasklist[index][id]))
else:
self.auditok = False
self.log('the number of orders are different, please check if there are any issue happened')
SendMail('[email protected]', self.ex+' '+self.market+'audit issues','the number of orders are different, please check if there are any issue happened')
for a in self.BidQueue:
self.log('BidQueue: %s'% a)
for b in sortedbidlist:
self.log('real bid order: %s' % b)
for c in self.AskQueue:
self.log('AskQueue: %s' % c)
for d in sortedasklist:
self.log('real ask order: %s' % d)
if not self.auditok:
self.log("something wrong in order audit, please check above for details immediatelly! ")
if self.ex == 'poloniex':
self.log("import data from real orders to queues")
self.ImportOrderstoQueue()
else:
self.log("audit done, all the orders are consistent.")
self.auditdone = True
return
def GetOrders(self):
OpenOrders = ['0']
while OpenOrders[0] == '0':
try:
if self.ex == 'yunbi':
OpenOrders = self.client.yunbiClient.getOpenOrders(market=self.market)
if self.ex == 'dex':
OpenOrders = self.client.btsClient.returnOpenOrders(self.market)[self.market]
for order in OpenOrders:
order['price'] = order['rate']
if self.ex == 'bittrex':
OpenOrders = self.client.bittrexClient.get_open_orders(market=self.market)
if self.ex == 'poloniex':
OpenOrders = self.client.poloniexClient.returnOpenOrders(self.market)
except Exception as e:
OpenOrders = ['0']
print("except while get orders, try to get again, error:", e)
return OpenOrders
def ImportOrderstoQueue(self):
self.BidQueue.clear()
self.AskQueue.clear()
orders = self.GetOrders()
if orders != []:
for order in sorted(orders, key=lambda order: order['price']):
if order['type'] == 'buy':
self.BidQueue.appendleft({'price':(order['price']),'type':order['type'],'amount':order['amount'],'id':order['id']})
if order['type'] == 'sell':
self.AskQueue.append({'price':(order['price']), 'type': order['type'], 'amount': order['amount'],'id': order['id']})
return
def ReviewOrders(self):
if min(len(self.BidQueue), len(self.AskQueue)) == 0:
self.InitOrderPlace()
return
#get open orders and get top bid and ask price
market = self.market
self.log("begin to get open orders for review " + market + " market:")
OpenOrders = self.GetOrders()
self.log('orderlist in order review ' + market + " market:")
for order in sorted(OpenOrders,key=lambda order:order['price']):
self.log('%s' % order)
topBidprice = 0
topAskprice = 2000000
for order in OpenOrders:
if order["type"] =="buy" and order["price"] > topBidprice:
topBidprice = order["price"]
if order["type"] =="sell" and order["price"] < topAskprice:
topAskprice = order["price"]
# if bid queue or ask queue is empty, then need to reinput the middle price
if topBidprice == 0 or topAskprice ==2000000:
#if len(self.BidQueue) == 0 or len(self.AskQueue) == 0:
if input_with_timeout('Do you want to restart' + self.market + 'market? Y/N: ', 5) == 'y':
self.log('pleae input the middle price:')
inputprice = float(input())
self.price = inputprice
assert self.priceuplimit > self.price > self.pricedownlimit
self.InitOrderPlace()
return
# if neither queue is empty, calculate the filled order number and pop the queues
else:
filledBidOrders = int((self.price - self.Gap - topBidprice) / self.spread + 0.22)
filledAskOrders = int((topAskprice - self.price - self.Gap) / self.spread + 0.22)
self.log("before review, middleprice: %11.9f, Gap: %11.9f spread: %11.9f" % (self.price, self.Gap, self.spread))
self.log("filled Bid orders %d with topbidprice=%f" % (filledBidOrders, topBidprice))
self.log("filled Ask orders %d with topaskprice=%f" % (filledAskOrders, topAskprice))
assert min(filledAskOrders,filledBidOrders) >= 0
netfilledbid = filledBidOrders - filledAskOrders
for a in range(filledBidOrders):
self.BidQueue.popleft()
for b in range(filledAskOrders):
self.AskQueue.popleft()
#self.price = (self.BidQueue[0]['price']+self.AskQueue[0]['price'])/2
#self.log("middle price is %f" % self.price)
if netfilledbid >= 0:
for c in range(filledAskOrders):
newBidOrder = {"id":'0',"market":self.market,"type": "buy","volume": random.uniform(self.orderamount, self.orderamount * (1 + self.random)),"price": self.BidQueue[0]["price"] + self.spread}
result = self.executeOrder(self.ex, newBidOrder)
self.log("try to create %s bid order: %s result %s" % (self.ex,newBidOrder, result))
newBidOrder['id'] = self.GetResultOrderID(self.ex,result)
if newBidOrder['id'] != 0:
self.BidQueue.appendleft(newBidOrder)
newAskOrder = {"id":'0',"market":self.market,"type": "sell","volume": random.uniform(self.orderamount* (1 - self.random), self.orderamount ),"price": self.AskQueue[0]["price"] - self.spread}
result = self.executeOrder(self.ex, newAskOrder)
self.log("try to create %s ask order: %s result %s" % (self.ex,newAskOrder, result))
newAskOrder['id'] = self.GetResultOrderID(self.ex, result)
if newAskOrder['id'] != 0:
self.AskQueue.appendleft(newAskOrder)
for d in range(netfilledbid):
self.log("%s order canceled: %s result: %s" % (self.ex,self.AskQueue[-1],self.CancelOrder(self.ex,self.AskQueue[-1]['id'])))
self.AskQueue.pop()
for e in range(netfilledbid):
newBidOrder = {"id": '0', "market": self.market, "type": "buy",
"volume": random.uniform(self.orderamount, self.orderamount * (1 + self.random)),
"price": self.BidQueue[-1]["price"] - self.spread}
result = self.executeOrder(self.ex, newBidOrder)
self.log("try to create %s bid order: %s result %s" % (self.ex,newBidOrder, result))
newBidOrder['id'] = self.GetResultOrderID(self.ex, result)
if newBidOrder['id'] != 0:
self.BidQueue.append(newBidOrder)
newAskOrder = {"id": '0', "market": self.market, "type": "sell",
"volume": random.uniform(self.orderamount * (1 - self.random), self.orderamount),
"price": self.AskQueue[0]["price"] - self.spread}
result = self.executeOrder(self.ex, newAskOrder)
self.log("try to create %s ask order: %s result %s" % (self.ex,newAskOrder, result))
newAskOrder['id'] = self.GetResultOrderID(self.ex, result)
if newAskOrder['id'] != 0:
self.AskQueue.appendleft(newAskOrder)
if netfilledbid < 0:
for f in range(filledBidOrders):
newBidOrder = {"id": '0', "market": self.market, "type": "buy",
"volume": random.uniform(self.orderamount, self.orderamount * (1 + self.random)),
"price": self.BidQueue[0]["price"] + self.spread}
result = self.executeOrder(self.ex, newBidOrder)
self.log("try to create %s bid order: %s result %s" % (self.ex,newBidOrder, result))
newBidOrder['id'] = self.GetResultOrderID(self.ex, result)
if newBidOrder['id'] != 0:
self.BidQueue.appendleft(newBidOrder)
newAskOrder = {"id": '0', "market": self.market, "type": "sell",
"volume": random.uniform(self.orderamount * (1 - self.random), self.orderamount),
"price": self.AskQueue[0]["price"] - self.spread}
result = self.executeOrder(self.ex, newAskOrder)
self.log("try to create %s ask order: %s result %s" % (self.ex,newAskOrder, result))
newAskOrder['id'] = self.GetResultOrderID(self.ex, result)
if newAskOrder['id'] != 0:
self.AskQueue.appendleft(newAskOrder)
for g in range(-netfilledbid):
self.log("%s order canceled: %s result: %s" % (self.ex, self.BidQueue[-1], self.CancelOrder(self.ex, self.BidQueue[-1]['id'])))
self.BidQueue.pop()
for h in range(-netfilledbid):
newBidOrder = {"id": '0', "market": self.market, "type": "buy",
"volume": random.uniform(self.orderamount, self.orderamount * (1 + self.random)),
"price": self.BidQueue[0]["price"] + self.spread}
result = self.executeOrder(self.ex, newBidOrder)
self.log("try to create %s bid order: %s result %s" % (self.ex, newBidOrder, result))
newBidOrder['id'] = self.GetResultOrderID(self.ex, result)
if newBidOrder['id'] != 0:
self.BidQueue.appendleft(newBidOrder)
newAskOrder = {"id": '0', "market": self.market, "type": "sell",
"volume": random.uniform(self.orderamount * (1 - self.random), self.orderamount),
"price": self.AskQueue[-1]["price"] + self.spread}
result = self.executeOrder(self.ex, newAskOrder)
self.log("try to create %s ask order: %s result %s" % (self.ex,newAskOrder, result))
newAskOrder['id'] = self.GetResultOrderID(self.ex, result)
if newAskOrder['id'] != 0:
self.AskQueue.append(newAskOrder)
#update middle price after updateing the order queues
self.price = (self.BidQueue[0]['price'] + self.AskQueue[0]['price']) / 2
self.log(datetime.strftime(datetime.now(), '%Y-%m-%d %H:%M:%S'))
self.log("after review, middleprice: %11.9f, Gap: %11.9f spread: %11.9f" % (self.price,self.Gap,self.spread))
self.log("Bid order numbers: %d, top Bid price：%11.9f" % (len(self.BidQueue), self.BidQueue[0]["price"]))
self.log("Ask order numbers: %d, top Ask price: %11.9f" % (len(self.AskQueue), self.AskQueue[0]["price"]))
return
def log(self, text, path='./log/'):
filename = path + self.ex + self.market + "maker" + datetime.strftime(datetime.now(), '%Y-%m-%d')
print(text)
with open(filename, 'a') as f:
f.write(text + '\n')
return
def getextradingbalance(self,startdate, enddate=datetime.strptime('3000-12-31', '%Y-%m-%d'), market = {'ex':'yunbi','asset':'ANS','base':'CNY'}):
with self.client.mysqlClient.cursor() as cursor:
sql = "(SELECT SUM(`netbuy`), SUM(`netpaid`) FROM dailyreport WHERE `exchange` = '%s' and `quote` = '%s' and `base` = '%s' and `date` >= '%s' and date < '%s')" % (
market['ex'], market['asset'], market['base'],datetime.strptime(startdate, '%Y-%m-%d') , enddate)
self.log(sql)
cursor.execute(sql)
result = cursor.fetchall()
self.client.mysqlClient.commit()
return result
"""
def log(self, text, path='./log/'):
filename = path + "DataProcesser" + datetime.strftime(datetime.now(), '%Y-%m-%d')
print(text)
with open(filename, 'a') as f:
f.write(text + '\n')
return
"""