Test

8 years ago · 1878d5759b
5 changed files with 138 additions and 16 deletions
--- a/.gitignore
+++ b/.gitignore
@ -137,3 +137,5 @@ iguana/iguana_tx.o-4b5de8fe
 iguana/confs/c6faccf6b625bbb826f47b77c3274e985db7b0a47d435f32bea2f7f3724cdd17

 iguana/confs/c6faccf6b625bbb826f47b77c3274e985db7b0a47d435f32bea2f7f3724cdd17.old
+
+iguana/marketmaker
--- a/crypto777/OS_portable.h
+++ b/crypto777/OS_portable.h
@ -404,7 +404,7 @@ int32_t revsort32(uint32_t *buf,uint32_t num,int32_t size);
 bits256 bits256_sha256(bits256 data);
 void bits256_rmd160(uint8_t rmd160[20],bits256 data);
 void bits256_rmd160_sha256(uint8_t rmd160[20],bits256 data);
-double get_theoretical(double *avebidp,double *aveaskp,double *highbidp,double *lowaskp,double *CMC_averagep,double changes[3],char *name,char *base,char *rel);
+double get_theoretical(double *avebidp,double *aveaskp,double *highbidp,double *lowaskp,double *CMC_averagep,double changes[3],char *name,char *base,char *rel,double *USD_averagep);

 extern char *Iguana_validcommands[];
 extern bits256 GENESIS_PUBKEY,GENESIS_PRIVKEY;
--- a/crypto777/iguana_utils.c
+++ b/crypto777/iguana_utils.c
@ -1259,7 +1259,7 @@ double weighted_orderbook(double *avebidp,double *aveaskp,double *highbidp,doubl
    return(weighted);
 }

-double get_theoretical(double *avebidp,double *aveaskp,double *highbidp,double *lowaskp,double *CMC_averagep,double changes[3],char *name,char *base,char *rel)
+double get_theoretical(double *avebidp,double *aveaskp,double *highbidp,double *lowaskp,double *CMC_averagep,double changes[3],char *name,char *base,char *rel,double *USD_averagep)
 {
    static int32_t counter;
    char *cmcstr; cJSON *cmcjson,*item; double weighted,theoretical = 0.;
@ -1272,6 +1272,7 @@ double get_theoretical(double *avebidp,double *aveaskp,double *highbidp,double *
                item = cmcjson;
            else item = jitem(cmcjson,0);
            *CMC_averagep = jdouble(item,"price_btc");
+            *USD_averagep = jdouble(item,"price_usd");
            changes[0] = jdouble(item,"percent_change_1h");
            changes[1] = jdouble(item,"percent_change_24h");
            changes[2] = jdouble(item,"percent_change_7d");
--- a/iguana/dpow/dpow_prices.c
+++ b/iguana/dpow/dpow_prices.c
@ -1154,6 +1154,7 @@ cJSON *url_json2(char *url)
 double PAX_yahoo(char *metal)
 {
    // http://finance.yahoo.com/webservice/v1/symbols/allcurrencies/quote?format=json
+    // http://finance.yahoo.com/webservice/v1/symbols/EUR=USD/quote?format=json
    // http://finance.yahoo.com/webservice/v1/symbols/XAU=X/quote?format=json
    // http://finance.yahoo.com/webservice/v1/symbols/XAG=X/quote?format=json
    // http://finance.yahoo.com/webservice/v1/symbols/XPT=X/quote?format=json
--- a/iguana/exchanges/mm.c
+++ b/iguana/exchanges/mm.c
@ -35,6 +35,11 @@ int32_t Num_Pending;

 #define IGUANA_URL "http://127.0.0.1:7778"

+char CURRENCIES[][8] = { "USD", "EUR", "JPY", "GBP", "AUD", "CAD", "CHF", "NZD", // major currencies
+    "CNY", "RUB", "MXN", "BRL", "INR", "HKD", "TRY", "ZAR", "PLN", "NOK", "SEK", "DKK", "CZK", "HUF", "ILS", "KRW", "MYR", "PHP", "RON", "SGD", "THB", "BGN", "IDR", "HRK", // end of currencies
+};
+double PAXPRICES[sizeof(CURRENCIES)/sizeof(*CURRENCIES)];
+
 char *DEX_amlp(char *blocktrail)
 {
    char url[512],postdata[1024];
@ -162,6 +167,78 @@ double dex_balance(char *base,char *coinaddr)
    return(balance);
 }

+int32_t komodo_baseid(char *base)
+{
+    int32_t i;
+    for (i=0; i<sizeof(CURRENCIES)/sizeof(*CURRENCIES); i++)
+        if ( strcmp(base,CURRENCIES[i]) == 0 )
+            return(i);
+    return(-1);
+}
+
+cJSON *yahoo_allcurrencies()
+{
+    char *retstr; cJSON *retjson = 0;
+    if ( (retstr= issue_curl("http://finance.yahoo.com/webservice/v1/symbols/allcurrencies/quote?format=json")) != 0 )
+    {
+        retjson = cJSON_Parse(retstr);
+        free(retstr);
+    }
+    return(retjson);
+}
+
+void _marketmaker_fiatupdate(int32_t baseid,double price)
+{
+    PAXPRICES[baseid] = price * PAXPRICES[0];
+    printf("%.6f %s per USD, %.8f %s per KMD\n",price,CURRENCIES[baseid],PAXPRICES[baseid],CURRENCIES[baseid]);
+}
+
+uint32_t marketmaker_fiatupdate(cJSON *fiatjson)
+{
+    int32_t i,n,baseid; cJSON *item,*array; double price; char *name; uint64_t mask = 0;
+    fiatjson = jobj(fiatjson,"list");
+    if ( fiatjson != 0 && (array= jarray(&n,fiatjson,"resources")) > 0 )
+    {
+        for (i=0; i<n; i++)
+        {
+            /*
+            "resource" : {
+                "classname" : "Quote",
+                "fields" : {
+                    "name" : "USD/BRX",
+                    "price" : "3.063200",
+                    "symbol" : "BRX=X",
+                    "ts" : "1487866204",
+                    "type" : "currency",
+                    "utctime" : "2017-02-23T16:10:04+0000",
+                    "volume" : "0"
+                }
+           */
+            item = jitem(array,i);
+            if ( (item= jobj(item,"resource")) != 0 )
+                item = jobj(item,"fields");
+            if ( item != 0 )
+            {
+                price = jdouble(item,"price");
+                if ( price > SMALLVAL && (name= jstr(item,"name")) != 0 && strncmp(name,"USD/",4) == 0 )
+                {
+                    if ( (baseid= komodo_baseid(name+4)) >= 0 && baseid < 32 )
+                    {
+                        if ( ((1LL << baseid) & mask) == 0 )
+                        {
+                            _marketmaker_fiatupdate(baseid,price);
+                            mask |= (1LL << baseid);
+                        } else if ( fabs(price*PAXPRICES[0] - PAXPRICES[baseid]) > SMALLVAL )
+                            printf("DUPLICATE PRICE? %s %.8f vs %.8f\n",name+4,price*PAXPRICES[0],PAXPRICES[baseid]);
+                    }
+                }
+            }
+        }
+    }
+    printf("pax mask.%x\n",(uint32_t)mask);
+    return((uint32_t)mask);
+}
+
 void marketmaker_cancel(struct mmpending_order *ptr)
 {
    char *retstr; cJSON *retjson;
@ -384,7 +461,7 @@ void marketmaker_volumeset(double *bidincrp,double *askincrp,double incr,double

 int32_t marketmaker_spread(char *exchange,char *base,char *rel,double bid,double bidvol,double ask,double askvol,double separation)
 {
-    int32_t nearflags[2],i,n = 0; struct mmpending_order *ptr; cJSON *retjson,*vals; char *retstr,postdata[1024],url[128];
+    int32_t nearflags[2],i,n = 0; struct mmpending_order *ptr; cJSON *retjson,*vals; char *retstr,postdata[1024],url[128]; double vol,spread_ratio;
    memset(nearflags,0,sizeof(nearflags));
    if ( strcmp("DEX",exchange) != 0 )
    {
@ -405,7 +482,7 @@ int32_t marketmaker_spread(char *exchange,char *base,char *rel,double bid,double
    //printf("spread.%s (%.8f %.6f) (%.8f %.6f)\n",exchange,bid,bidvol,ask,askvol);
    if ( bid > SMALLVAL && bidvol > SMALLVAL && nearflags[0] == 0 )
    {
-        if ( strcmp("DEX",exchange) == 0 )
+        if ( strcmp("DEX",exchange) == 0 && strcmp(base,"KMD") == 0 && strcmp(rel,"BTC") == 0 )
        {
            if ( ask > SMALLVAL && askvol > SMALLVAL )
            {
@ -422,16 +499,36 @@ int32_t marketmaker_spread(char *exchange,char *base,char *rel,double bid,double
                jaddstr(vals,"rel","BTC");
                jaddnum(vals,"bid",bid);
                jaddnum(vals,"ask",ask);
-                jaddnum(vals,"maxvol",bidvol > askvol ? askvol : bidvol);
-                jaddnum(vals,"minvol",(bidvol > askvol ? askvol : bidvol) * 0.1);
+                vol = bidvol > askvol ? askvol : bidvol;
+                jaddnum(vals,"maxvol",vol);
+                jaddnum(vals,"minvol",vol * 0.1);
                sprintf(url,"%s/?",IGUANA_URL);
                sprintf(postdata,"{\"agent\":\"tradebot\",\"method\":\"liquidity\",\"targetcoin\":\"%s\",\"vals\":%s}",base,jprint(vals,1));
-                printf("call liquidity\n");
                if ( (retstr= bitcoind_RPC(0,"tradebot",url,0,"liqudity",postdata)) != 0 )
                {
                    //printf("(%s) -> (%s)\n",postdata,retstr);
                    free(retstr);
                }
+                spread_ratio = (ask - bid) / (bid + ask);
+                for (i=0; i<sizeof(CURRENCIES)/sizeof(*CURRENCIES); i++)
+                {
+                    if ( PAXPRICES[i] > SMALLVAL )
+                    {
+                        vals = cJSON_CreateObject();
+                        jaddstr(vals,"rel",CURRENCIES[i]);
+                        jaddnum(vals,"bid",PAXPRICES[i] * (1. - spread_ratio));
+                        jaddnum(vals,"ask",PAXPRICES[i] * (1. + spread_ratio));
+                        jaddnum(vals,"maxvol",vol * PAXPRICES[i]);
+                        jaddnum(vals,"minvol",vol * 0.1 * PAXPRICES[i]);
+                        sprintf(url,"%s/?",IGUANA_URL);
+                        sprintf(postdata,"{\"agent\":\"tradebot\",\"method\":\"liquidity\",\"targetcoin\":\"%s\",\"vals\":%s}","KMD",jprint(vals,1));
+                        if ( (retstr= bitcoind_RPC(0,"tradebot",url,0,"liqudity",postdata)) != 0 )
+                        {
+                            //printf("(%s) -> (%s)\n",postdata,retstr);
+                            free(retstr);
+                        }
+                    }
+                }
            } else printf("unsupported ask only for DEX %s/%s\n",base,rel);
        }
        else if ( (retstr= DEX_trade(exchange,base,rel,1,bid,bidvol)) != 0 )
@ -461,18 +558,19 @@ int32_t marketmaker_spread(char *exchange,char *base,char *rel,double bid,double
    return(n);
 }

-void marketmaker(char *baseaddr,char *reladdr,double start_BASE,double start_REL,double profitmargin,double maxexposure,double ratioincr,char *exchange,char *name,char *base,char *rel)
+void marketmaker(double minask,double maxbid,char *baseaddr,char *reladdr,double start_BASE,double start_REL,double profitmargin,double maxexposure,double ratioincr,char *exchange,char *name,char *base,char *rel)
 {
-    double start_DEXbase,start_DEXrel,DEX_base = 0.,DEX_rel = 0.,balance_base=0.,balance_rel=0.,mmbid,mmask,CMC_average,aveprice,incr,pendingbids,pendingasks,buyvol,sellvol,bidincr,askincr,filledprice,avebid=0.,aveask=0.,val,changes[3],highbid=0.,lowask=0.,theoretical = 0.; uint32_t lasttime = 0;
+    static uint32_t counter;
+    cJSON *fiatjson; double start_DEXbase,start_DEXrel,USD_average=0.,DEX_base = 0.,DEX_rel = 0.,balance_base=0.,balance_rel=0.,mmbid,mmask,usdprice=0.,CMC_average=0.,aveprice,incr,pendingbids,pendingasks,buyvol,sellvol,bidincr,askincr,filledprice,avebid=0.,aveask=0.,val,changes[3],highbid=0.,lowask=0.,theoretical = 0.; uint32_t lasttime = 0;
    incr = maxexposure * ratioincr;
    buyvol = sellvol = 0.;
    start_DEXbase = dex_balance(base,baseaddr);
    start_DEXrel = dex_balance(rel,reladdr);
    while ( 1 )
    {
-        if ( time(NULL) > lasttime+60 )
+        if ( time(NULL) > lasttime+300 )
        {
-            if ( (val= get_theoretical(&avebid,&aveask,&highbid,&lowask,&CMC_average,changes,name,base,rel)) != 0. )
+            if ( (val= get_theoretical(&avebid,&aveask,&highbid,&lowask,&CMC_average,changes,name,base,rel,&USD_average)) != 0. )
            {
                if ( theoretical == 0. )
                {
@ -485,6 +583,20 @@ void marketmaker(char *baseaddr,char *reladdr,double start_BASE,double start_REL
                        incr += 0.777;
                    }
                } else theoretical = (theoretical + val) * 0.5;
+                if ( (counter++ % 12) == 0 )
+                {
+                    if ( USD_average > SMALLVAL && CMC_average > SMALLVAL && theoretical > SMALLVAL )
+                    {
+                        usdprice = USD_average * (theoretical / CMC_average);
+                        printf("USD %.4f <- (%.6f * (%.8f / %.8f))\n",usdprice,USD_average,theoretical,CMC_average);
+                        PAXPRICES[0] = usdprice;
+                        if ( (fiatjson= yahoo_allcurrencies()) != 0 )
+                        {
+                            marketmaker_fiatupdate(fiatjson);
+                            free_json(fiatjson);
+                        }
+                    }
+                }
            }
            if ( strcmp(exchange,"bittrex") == 0 )
            {
@ -518,9 +630,9 @@ void marketmaker(char *baseaddr,char *reladdr,double start_BASE,double start_REL
            printf("(%.8f %.8f) ",mmbid,mmask);
            if ( (1) )
            {
-                if ( mmbid >= lowask ) //mmbid < highbid ||
+                if ( mmbid >= lowask || (maxbid > SMALLVAL && mmbid > maxbid) ) //mmbid < highbid ||
                    mmbid = 0.;
-                if ( mmask <= highbid ) // mmask > lowask ||
+                if ( mmask <= highbid || (minask > SMALLVAL && mmask < minask) ) // mmask > lowask ||
                    mmask = 0.;
            }
            marketmaker_volumeset(&bidincr,&askincr,incr,buyvol,pendingbids,sellvol,pendingasks,maxexposure);
@ -529,15 +641,20 @@ void marketmaker(char *baseaddr,char *reladdr,double start_BASE,double start_REL
            if ( (pendingbids + buyvol) > (pendingasks + sellvol) )
            {
                bidincr *= (double)(pendingasks + sellvol) / ((pendingbids + buyvol) + (pendingasks + sellvol));
+                if ( bidincr < 0.1*incr )
+                    bidincr = 0.1*incr;
                if ( bidincr > 1. )
                    bidincr = (int32_t)bidincr + 0.777;
            }
            if ( (pendingbids + buyvol) < (pendingasks + sellvol) )
            {
                askincr *= (double)(pendingbids + buyvol) / ((pendingbids + buyvol) + (pendingasks + sellvol));
+                if ( askincr < 0.1*incr )
+                    askincr = 0.1*incr;
                if ( askincr > 1. )
                    askincr = (int32_t)askincr + 0.777;
            }
+            //printf("mmbid %.8f %.6f, mmask %.8f %.6f\n",mmbid,bidincr,mmask,askincr);
            marketmaker_spread(exchange,base,rel,mmbid,bidincr,mmask,askincr,profitmargin*aveprice*0.5);
            sleep(60);
        }
@ -547,11 +664,12 @@ void marketmaker(char *baseaddr,char *reladdr,double start_BASE,double start_REL
 int main(int argc, const char * argv[])
 {
    char *base,*rel,*name,*exchange,*apikey,*apisecret,*blocktrail;
-    double profitmargin,maxexposure,incrratio,start_rel,start_base;
+    double profitmargin,maxexposure,incrratio,start_rel,start_base,minask,maxbid;
    cJSON *retjson,*addrjson; char *retstr,*baseaddr,*reladdr,*passphrase;
    if ( argc > 1 && (retjson= cJSON_Parse(argv[1])) != 0 )
    {
-printf("argc.%d (%s)\n",argc,jprint(retjson,0));
+        minask = jdouble(retjson,"minask");
+        maxbid = jdouble(retjson,"maxbid");
        profitmargin = jdouble(retjson,"profitmargin");
        maxexposure = jdouble(retjson,"maxexposure");
        incrratio = jdouble(retjson,"lotratio");
@ -586,7 +704,7 @@ printf("argc.%d (%s)\n",argc,jprint(retjson,0));
                    printf("%s.%s %s\n",base,baseaddr,DEX_balance("DEX",base,baseaddr));
                    printf("%s.%s %s\n",rel,reladdr,DEX_balance("DEX",rel,reladdr));
                    // initialize state using DEX_pendingorders, etc.
-                    marketmaker(baseaddr,reladdr,start_base,start_rel,profitmargin,maxexposure,incrratio,exchange,name,base,rel);
+                    marketmaker(minask,maxbid,baseaddr,reladdr,start_base,start_rel,profitmargin,maxexposure,incrratio,exchange,name,base,rel);
                }
                free_json(addrjson);
            }