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Test

etomic
jl777 8 years ago
parent
952f3c973f
commit
1878d5759b
5 changed files with 138 additions and 16 deletions
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  1. 2
      .gitignore
  2. 2
      crypto777/OS_portable.h
  3. 3
      crypto777/iguana_utils.c
  4. 1
      iguana/dpow/dpow_prices.c
  5. 146
      iguana/exchanges/mm.c

2
.gitignore
View File

@ -137,3 +137,5 @@ iguana/iguana_tx.o-4b5de8fe
iguana/confs/c6faccf6b625bbb826f47b77c3274e985db7b0a47d435f32bea2f7f3724cdd17 iguana/confs/c6faccf6b625bbb826f47b77c3274e985db7b0a47d435f32bea2f7f3724cdd17
iguana/confs/c6faccf6b625bbb826f47b77c3274e985db7b0a47d435f32bea2f7f3724cdd17.old iguana/confs/c6faccf6b625bbb826f47b77c3274e985db7b0a47d435f32bea2f7f3724cdd17.old
iguana/marketmaker

2
crypto777/OS_portable.h
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@ -404,7 +404,7 @@ int32_t revsort32(uint32_t *buf,uint32_t num,int32_t size);
bits256 bits256_sha256(bits256 data); bits256 bits256_sha256(bits256 data);
void bits256_rmd160(uint8_t rmd160[20],bits256 data); void bits256_rmd160(uint8_t rmd160[20],bits256 data);
void bits256_rmd160_sha256(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 char *Iguana_validcommands[];
extern bits256 GENESIS_PUBKEY,GENESIS_PRIVKEY; extern bits256 GENESIS_PUBKEY,GENESIS_PRIVKEY;

3
crypto777/iguana_utils.c
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@ -1259,7 +1259,7 @@ double weighted_orderbook(double *avebidp,double *aveaskp,double *highbidp,doubl
return(weighted); 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; static int32_t counter;
char *cmcstr; cJSON *cmcjson,*item; double weighted,theoretical = 0.; 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; item = cmcjson;
else item = jitem(cmcjson,0); else item = jitem(cmcjson,0);
*CMC_averagep = jdouble(item,"price_btc"); *CMC_averagep = jdouble(item,"price_btc");
*USD_averagep = jdouble(item,"price_usd");
changes[0] = jdouble(item,"percent_change_1h"); changes[0] = jdouble(item,"percent_change_1h");
changes[1] = jdouble(item,"percent_change_24h"); changes[1] = jdouble(item,"percent_change_24h");
changes[2] = jdouble(item,"percent_change_7d"); changes[2] = jdouble(item,"percent_change_7d");

1
iguana/dpow/dpow_prices.c
View File

@ -1154,6 +1154,7 @@ cJSON *url_json2(char *url)
double PAX_yahoo(char *metal) double PAX_yahoo(char *metal)
{ {
// http://finance.yahoo.com/webservice/v1/symbols/allcurrencies/quote?format=json // 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/XAU=X/quote?format=json
// http://finance.yahoo.com/webservice/v1/symbols/XAG=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 // http://finance.yahoo.com/webservice/v1/symbols/XPT=X/quote?format=json

146
iguana/exchanges/mm.c
View File

@ -35,6 +35,11 @@ int32_t Num_Pending;
#define IGUANA_URL "http://127.0.0.1:7778" #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 *DEX_amlp(char *blocktrail)
{ {
char url[512],postdata[1024]; char url[512],postdata[1024];
@ -162,6 +167,78 @@ double dex_balance(char *base,char *coinaddr)
return(balance); 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) void marketmaker_cancel(struct mmpending_order *ptr)
{ {
char *retstr; cJSON *retjson; 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 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)); memset(nearflags,0,sizeof(nearflags));
if ( strcmp("DEX",exchange) != 0 ) 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); //printf("spread.%s (%.8f %.6f) (%.8f %.6f)\n",exchange,bid,bidvol,ask,askvol);
if ( bid > SMALLVAL && bidvol > SMALLVAL && nearflags[0] == 0 ) 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 ) 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"); jaddstr(vals,"rel","BTC");
jaddnum(vals,"bid",bid); jaddnum(vals,"bid",bid);
jaddnum(vals,"ask",ask); jaddnum(vals,"ask",ask);
jaddnum(vals,"maxvol",bidvol > askvol ? askvol : bidvol); vol = bidvol > askvol ? askvol : bidvol;
jaddnum(vals,"minvol",(bidvol > askvol ? askvol : bidvol) * 0.1); jaddnum(vals,"maxvol",vol);
jaddnum(vals,"minvol",vol * 0.1);
sprintf(url,"%s/?",IGUANA_URL); sprintf(url,"%s/?",IGUANA_URL);
sprintf(postdata,"{\"agent\":\"tradebot\",\"method\":\"liquidity\",\"targetcoin\":\"%s\",\"vals\":%s}",base,jprint(vals,1)); 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 ) if ( (retstr= bitcoind_RPC(0,"tradebot",url,0,"liqudity",postdata)) != 0 )
{ {
//printf("(%s) -> (%s)\n",postdata,retstr); //printf("(%s) -> (%s)\n",postdata,retstr);
free(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 printf("unsupported ask only for DEX %s/%s\n",base,rel);
} }
else if ( (retstr= DEX_trade(exchange,base,rel,1,bid,bidvol)) != 0 ) 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); 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; incr = maxexposure * ratioincr;
buyvol = sellvol = 0.; buyvol = sellvol = 0.;
start_DEXbase = dex_balance(base,baseaddr); start_DEXbase = dex_balance(base,baseaddr);
start_DEXrel = dex_balance(rel,reladdr); start_DEXrel = dex_balance(rel,reladdr);
while ( 1 ) 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. ) if ( theoretical == 0. )
{ {
@ -485,6 +583,20 @@ void marketmaker(char *baseaddr,char *reladdr,double start_BASE,double start_REL
incr += 0.777; incr += 0.777;
} }
} else theoretical = (theoretical + val) * 0.5; } 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 ) 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); printf("(%.8f %.8f) ",mmbid,mmask);
if ( (1) ) if ( (1) )
{ {
if ( mmbid >= lowask ) //mmbid < highbid || if ( mmbid >= lowask || (maxbid > SMALLVAL && mmbid > maxbid) ) //mmbid < highbid ||
mmbid = 0.; mmbid = 0.;
if ( mmask <= highbid ) // mmask > lowask || if ( mmask <= highbid || (minask > SMALLVAL && mmask < minask) ) // mmask > lowask ||
mmask = 0.; mmask = 0.;
} }
marketmaker_volumeset(&bidincr,&askincr,incr,buyvol,pendingbids,sellvol,pendingasks,maxexposure); 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) ) if ( (pendingbids + buyvol) > (pendingasks + sellvol) )
{ {
bidincr *= (double)(pendingasks + sellvol) / ((pendingbids + buyvol) + (pendingasks + sellvol)); bidincr *= (double)(pendingasks + sellvol) / ((pendingbids + buyvol) + (pendingasks + sellvol));
if ( bidincr < 0.1*incr )
bidincr = 0.1*incr;
if ( bidincr > 1. ) if ( bidincr > 1. )
bidincr = (int32_t)bidincr + 0.777; bidincr = (int32_t)bidincr + 0.777;
} }
if ( (pendingbids + buyvol) < (pendingasks + sellvol) ) if ( (pendingbids + buyvol) < (pendingasks + sellvol) )
{ {
askincr *= (double)(pendingbids + buyvol) / ((pendingbids + buyvol) + (pendingasks + sellvol)); askincr *= (double)(pendingbids + buyvol) / ((pendingbids + buyvol) + (pendingasks + sellvol));
if ( askincr < 0.1*incr )
askincr = 0.1*incr;
if ( askincr > 1. ) if ( askincr > 1. )
askincr = (int32_t)askincr + 0.777; 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); marketmaker_spread(exchange,base,rel,mmbid,bidincr,mmask,askincr,profitmargin*aveprice*0.5);
sleep(60); 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[]) int main(int argc, const char * argv[])
{ {
char *base,*rel,*name,*exchange,*apikey,*apisecret,*blocktrail; 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; cJSON *retjson,*addrjson; char *retstr,*baseaddr,*reladdr,*passphrase;
if ( argc > 1 && (retjson= cJSON_Parse(argv[1])) != 0 ) 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"); profitmargin = jdouble(retjson,"profitmargin");
maxexposure = jdouble(retjson,"maxexposure"); maxexposure = jdouble(retjson,"maxexposure");
incrratio = jdouble(retjson,"lotratio"); 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",base,baseaddr,DEX_balance("DEX",base,baseaddr));
printf("%s.%s %s\n",rel,reladdr,DEX_balance("DEX",rel,reladdr)); printf("%s.%s %s\n",rel,reladdr,DEX_balance("DEX",rel,reladdr));
// initialize state using DEX_pendingorders, etc. // 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); free_json(addrjson);
} }

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