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Test

etomic
jl777 8 years ago
parent
df06e9c979
commit
99fc60025a
1 changed files with 37 additions and 18 deletions
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  1. 55
      iguana/exchanges/mm.c

55
iguana/exchanges/mm.c
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@ -40,6 +40,7 @@ char CURRENCIES[][8] = { "USD", "EUR", "JPY", "GBP", "AUD", "CAD", "CHF", "NZD",
"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)];
uint32_t PAXACTIVE;
char *DEX_amlp(char *blocktrail)
{
@ -505,7 +506,7 @@ int32_t marketmaker_spread(char *exchange,char *base,char *rel,double bid,double
jaddnum(vals,"minvol",vol*0.1 > 100 ? 100 : vol * 0.1);
sprintf(url,"%s/?",IGUANA_URL);
sprintf(postdata,"{\"agent\":\"tradebot\",\"method\":\"liquidity\",\"targetcoin\":\"%s\",\"vals\":%s}",base,jprint(vals,1));
printf("(%s)\n",postdata);
//printf("(%s)\n",postdata);
if ( (retstr= bitcoind_RPC(0,"tradebot",url,0,"liqudity",postdata)) != 0 )
{
//printf("(%s) -> (%s)\n",postdata,retstr);
@ -514,6 +515,8 @@ int32_t marketmaker_spread(char *exchange,char *base,char *rel,double bid,double
spread_ratio = .5 * ((ask - bid) / (bid + ask));
for (i=0; i<sizeof(CURRENCIES)/sizeof(*CURRENCIES); i++)
{
if ( (PAXACTIVE & (1<<i)) == 0 )
continue;
if ( PAXPRICES[i] > SMALLVAL )
{
vals = cJSON_CreateObject();
@ -530,7 +533,7 @@ int32_t marketmaker_spread(char *exchange,char *base,char *rel,double bid,double
free(retstr);
}
}
break;
//break;
}
} else printf("unsupported ask only for DEX %s/%s\n",base,rel);
}
@ -571,7 +574,7 @@ void marketmaker(double minask,double maxbid,char *baseaddr,char *reladdr,double
start_DEXrel = dex_balance(rel,reladdr);
while ( 1 )
{
if ( time(NULL) > lasttime+10 )
if ( time(NULL) > lasttime+60 )
{
if ( (val= get_theoretical(&avebid,&aveask,&highbid,&lowask,&CMC_average,changes,name,base,rel,&USD_average)) != 0. )
{
@ -630,7 +633,7 @@ void marketmaker(double minask,double maxbid,char *baseaddr,char *reladdr,double
marketmaker_prune(exchange,base,rel,1,mmbid - theoretical*profitmargin,mmask + theoretical*profitmargin,0.);
// if new prices crosses existing order, cancel old order first
marketmaker_prune(exchange,base,rel,-1,mmbid,mmask,0.);
printf("(%.8f %.8f) ",mmbid,mmask);
//printf("(%.8f %.8f) ",mmbid,mmask);
if ( (1) )
{
if ( mmbid >= lowask || (maxbid > SMALLVAL && mmbid > maxbid) ) //mmbid < highbid ||
@ -642,7 +645,7 @@ void marketmaker(double minask,double maxbid,char *baseaddr,char *reladdr,double
mmask = 0.;
}
marketmaker_volumeset(&bidincr,&askincr,incr,buyvol,pendingbids,sellvol,pendingasks,maxexposure);
printf("AVE.(%.8f %.8f) hbla %.8f %.8f bid %.8f ask %.8f theory %.8f buys.(%.6f %.6f) sells.(%.6f %.6f) incr.(%.6f %.6f) balances.(%.8f + %.8f, %.8f + %.8f) test %f\n",avebid,aveask,highbid,lowask,mmbid,mmask,theoretical,buyvol,pendingbids,sellvol,pendingasks,bidincr,askincr,balance_base,DEX_base,balance_rel,DEX_rel,(aveask - avebid)/aveprice);
//printf("AVE.(%.8f %.8f) hbla %.8f %.8f bid %.8f ask %.8f theory %.8f buys.(%.6f %.6f) sells.(%.6f %.6f) incr.(%.6f %.6f) balances.(%.8f + %.8f, %.8f + %.8f) test %f\n",avebid,aveask,highbid,lowask,mmbid,mmask,theoretical,buyvol,pendingbids,sellvol,pendingasks,bidincr,askincr,balance_base,DEX_base,balance_rel,DEX_rel,(aveask - avebid)/aveprice);
if ( (aveask - avebid)/aveprice > profitmargin )
bid = highbid * (1 - profitmargin), ask = lowask * (1 + profitmargin);
else bid = avebid - profitmargin*aveprice, ask = avebid + profitmargin*aveprice;
@ -664,7 +667,7 @@ void marketmaker(double minask,double maxbid,char *baseaddr,char *reladdr,double
if ( askincr > 1. )
askincr = (int32_t)askincr + 0.777;
}
printf("mmbid %.8f %.6f, mmask %.8f %.6f\n",mmbid,bidincr,mmask,askincr);
//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);
}
@ -673,9 +676,9 @@ void marketmaker(double minask,double maxbid,char *baseaddr,char *reladdr,double
int main(int argc, const char * argv[])
{
char *base,*rel,*name,*exchange,*apikey,*apisecret,*blocktrail;
char *base,*rel,*name,*exchange,*apikey,*apisecret,*blocktrail,*retstr,*baseaddr,*reladdr,*passphrase;
double profitmargin,maxexposure,incrratio,start_rel,start_base,minask,maxbid;
cJSON *retjson,*addrjson; char *retstr,*baseaddr,*reladdr,*passphrase;
cJSON *retjson,*loginjson; int32_t i;
if ( argc > 1 && (retjson= cJSON_Parse(argv[1])) != 0 )
{
minask = jdouble(retjson,"minask");
@ -693,34 +696,50 @@ int main(int argc, const char * argv[])
rel = jstr(retjson,"rel");
blocktrail = jstr(retjson,"blocktrail");
exchange = jstr(retjson,"exchange");
PAXACTIVE = juint(retjson,"paxactive");
if ( profitmargin < 0. || maxexposure <= 0. || incrratio <= 0. || apikey == 0 || apisecret == 0 || base == 0 || name == 0 || rel == 0 || exchange == 0 || blocktrail == 0 )
{
printf("illegal parameter (%s)\n",jprint(retjson,0));
exit(-1);
}
free_json(retjson);
if ( (retstr= iguana_walletpassphrase(passphrase,999999)) != 0 )
{
printf("%s\n",DEX_apikeypair(exchange,apikey,apisecret));
printf("%s %s\n",base,DEX_balance(exchange,base,""));
printf("%s %s\n",rel,DEX_balance(exchange,rel,""));
marketmaker_pendinginit(exchange,base,rel);
if ( (addrjson= cJSON_Parse(retstr)) != 0 )
//printf("login.(%s)\n",retstr);
if ( (loginjson= cJSON_Parse(retstr)) != 0 )
{
baseaddr = jstr(addrjson,base);
reladdr = jstr(addrjson,rel);
if ( PAXACTIVE != 0 )
{
for (i=0; i<32; i++)
{
if ( ((1<<i) & PAXACTIVE) != 0 )
{
if ( jstr(loginjson,CURRENCIES[i]) == 0 )
PAXACTIVE &= ~(1 << i);
}
}
}
if ( (baseaddr= jstr(loginjson,base)) == 0 || (reladdr= jstr(loginjson,rel)) == 0 )
{
printf("Need to activate both %s and %s before marketmaker\n",base,rel);
exit(1);
}
printf("%s %s\n",base,DEX_balance(exchange,base,""));
printf("%s %s\n",rel,DEX_balance(exchange,rel,""));
marketmaker_pendinginit(exchange,base,rel);
if ( baseaddr != 0 && reladdr != 0 )
{
printf("%s\n",DEX_amlp(blocktrail));
printf("PAXACTIVE.%08x %s\n",PAXACTIVE,DEX_amlp(blocktrail));
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(minask,maxbid,baseaddr,reladdr,start_base,start_rel,profitmargin,maxexposure,incrratio,exchange,name,base,rel);
}
free_json(addrjson);
free_json(loginjson);
//printf("%s\n",DEX_apikeypair(exchange,apikey,apisecret));
} else printf("ERROR parsing.(%s)\n",retstr);
free(retstr);
}
free_json(retjson);
}
return 0;
}

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