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876 lines
38 KiB
876 lines
38 KiB
/******************************************************************************
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* Copyright © 2014-2017 The SuperNET Developers. *
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* *
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* See the AUTHORS, DEVELOPER-AGREEMENT and LICENSE files at *
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* the top-level directory of this distribution for the individual copyright *
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* holder information and the developer policies on copyright and licensing. *
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* *
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* Unless otherwise agreed in a custom licensing agreement, no part of the *
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* SuperNET software, including this file may be copied, modified, propagated *
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* or distributed except according to the terms contained in the LICENSE file *
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* *
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* Removal or modification of this copyright notice is prohibited. *
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* *
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******************************************************************************/
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//
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// main.c
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// marketmaker
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//
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// Copyright © 2017 SuperNET. All rights reserved.
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//
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#define FROM_MARKETMAKER
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#include <stdio.h>
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#include <stdint.h>
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#include "OS_portable.h"
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#define MAX(a,b) ((a) > (b) ? (a) : (b))
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char *stats_JSON(void *ctx,char *myipaddr,int32_t pubsock,cJSON *argjson,char *remoteaddr,uint16_t port);
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#include "stats.c"
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void LP_priceupdate(char *base,char *rel,double price,double avebid,double aveask,double highbid,double lowask,double PAXPRICES[32]);
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//defined(__APPLE__) ||
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#if defined(WIN32) || defined(USE_STATIC_NANOMSG)
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#include "../../crypto777/nanosrc/nn.h"
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#include "../../crypto777/nanosrc/bus.h"
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#include "../../crypto777/nanosrc/pubsub.h"
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#include "../../crypto777/nanosrc/pipeline.h"
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#include "../../crypto777/nanosrc/reqrep.h"
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#include "../../crypto777/nanosrc/tcp.h"
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#include "../../crypto777/nanosrc/pair.h"
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#else
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#include "/usr/local/include/nanomsg/nn.h"
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#include "/usr/local/include/nanomsg/bus.h"
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#include "/usr/local/include/nanomsg/pubsub.h"
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#include "/usr/local/include/nanomsg/pipeline.h"
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#include "/usr/local/include/nanomsg/reqrep.h"
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#include "/usr/local/include/nanomsg/tcp.h"
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#include "/usr/local/include/nanomsg/pair.h"
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#endif
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char DEX_baseaddr[64],DEX_reladdr[64];
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struct mmpending_order
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{
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double price,volume;
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int32_t dir;
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uint32_t pending,completed,canceled,cancelstarted,reported;
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cJSON *errorjson;
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char exchange[16],base[16],rel[16],orderid[64];
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} *Pending_orders;
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int32_t Num_Pending;
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#define IGUANA_URL "http://127.0.0.1:7778"
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/*char CURRENCIES[][8] = { "USD", "EUR", "JPY", "GBP", "AUD", "CAD", "CHF", "NZD", // major currencies
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"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
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};*/
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double PAXPRICES[sizeof(CURRENCIES)/sizeof(*CURRENCIES)];
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uint32_t PAXACTIVE;
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char *DEX_swapstatus()
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"getswaplist\"}");
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return(bitcoind_RPC(0,"InstantDEX",url,0,"getswaplist",postdata,0));
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}
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char *DEX_amlp(char *blocktrail)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"tradebot\",\"method\":\"amlp\",\"blocktrail\":\"%s\"}",blocktrail);
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return(bitcoind_RPC(0,"tradebot",url,0,"amlp",postdata,0));
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}
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char *DEX_openorders(char *exchange)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"openorders\",\"exchange\":\"%s\"}",exchange);
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return(bitcoind_RPC(0,"InstantDEX",url,0,"openorders",postdata,0));
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}
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char *DEX_tradehistory(char *exchange)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"tradehistory\",\"exchange\":\"%s\"}",exchange);
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return(bitcoind_RPC(0,"InstantDEX",url,0,"tradehistory",postdata,0));
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}
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char *DEX_orderstatus(char *exchange,char *orderid)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"orderstatus\",\"exchange\":\"%s\",\"orderid\":\"%s\"}",exchange,orderid);
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return(bitcoind_RPC(0,"InstantDEX",url,0,"orderstatus",postdata,0));
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}
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char *DEX_cancelorder(char *exchange,char *orderid)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"cancelorder\",\"exchange\":\"%s\",\"orderid\":\"%s\"}",exchange,orderid);
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return(bitcoind_RPC(0,"InstantDEX",url,0,"cancelorder",postdata,0));
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}
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char *DEX_balance(char *exchange,char *base,char *coinaddr)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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if ( strcmp(exchange,"DEX") == 0 )
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{
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sprintf(postdata,"{\"agent\":\"dex\",\"method\":\"getbalance\",\"address\":\"%s\",\"symbol\":\"%s\"}",coinaddr,base);
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return(bitcoind_RPC(0,"dex",url,0,"getbalance",postdata,0));
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}
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else
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{
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"balance\",\"exchange\":\"%s\",\"base\":\"%s\"}",exchange,base);
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return(bitcoind_RPC(0,"InstantDEX",url,0,"balance",postdata,0));
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}
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}
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char *DEX_apikeypair(char *exchange,char *apikey,char *apisecret)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"apikeypair\",\"exchange\":\"%s\",\"apikey\":\"%s\",\"apisecret\":\"%s\"}",exchange,apikey,apisecret);
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return(bitcoind_RPC(0,"InstantDEX",url,0,"apikeypair",postdata,0));
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}
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char *DEX_setuserid(char *exchange,char *userid,char *tradepassword)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"setuserid\",\"exchange\":\"%s\",\"userid\":\"%s\",\"tradepassword\":\"%s\"}",exchange,userid,tradepassword);
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return(bitcoind_RPC(0,"InstantDEX",url,0,"setuserid",postdata,0));
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}
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char *DEX_trade(char *exchange,char *base,char *rel,int32_t dir,double price,double volume)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"%s\",\"exchange\":\"%s\",\"base\":\"%s\",\"rel\":\"%s\",\"price\":%.8f,\"volume\":%.8f,\"dotrade\":1}",dir>0?"buy":"sell",exchange,base,rel,price,volume);
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//printf("DEX_trade.(%s)\n",postdata);
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return(bitcoind_RPC(0,"InstantDEX",url,0,dir>0?"buy":"sell",postdata,0));
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}
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char *DEX_withdraw(char *exchange,char *base,char *destaddr,double amount)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"InstantDEX\",\"method\":\"withdraw\",\"exchange\":\"%s\",\"destaddr\":\"%s\",\"amount\":%.8f}",exchange,destaddr,amount);
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return(bitcoind_RPC(0,"InstantDEX",url,0,"withdraw",postdata,0));
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}
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char *iguana_walletpassphrase(char *passphrase,int32_t timeout)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/coin=KMD&agent=bitcoinrpc&method=walletpassphrase?",IGUANA_URL);
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sprintf(postdata,"[\"%s\", %d]",passphrase,timeout);
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return(bitcoind_RPC(0,"",url,0,"walletpassphrase",postdata,0));
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}
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/*char *iguana_listunspent(char *coin,char *coinaddr)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/coin=%s&agent=bitcoinrpc&method=listunspent?",IGUANA_URL,coin);
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sprintf(postdata,"[\"%s\"]",coinaddr);
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return(bitcoind_RPC(0,"",url,0,"listunspent",postdata));
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}*/
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/*char *issue_LP_intro(char *destip,uint16_t destport,char *ipaddr,uint16_t port,int32_t numpeers)
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{
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char url[512];
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sprintf(url,"http://%s:%u/api/stats/intro?ipaddr=%s&port=%u&numpeers=%d",destip,destport,ipaddr,port,numpeers);
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printf("(%s)\n",url);
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return(issue_curl(url));
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}*/
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//
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// http://127.0.0.1:7779/api/stats/getpeers
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char *DEX_listunspent(char *coin,char *coinaddr)
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{
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char url[512],postdata[1024];
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"dex\",\"method\":\"listunspent\",\"address\":\"%s\",\"symbol\":\"%s\",\"timeout\":60000}",coinaddr,coin);
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return(bitcoind_RPC(0,"dex",url,0,"listunspent",postdata,0));
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}
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bits256 iguana_wif2privkey(char *wifstr)
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{
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char url[512],postdata[1024],*retstr,*privstr; bits256 privkey; cJSON *retjson;
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memset(privkey.bytes,0,sizeof(privkey));
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sprintf(url,"%s/?",IGUANA_URL);
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sprintf(postdata,"{\"agent\":\"SuperNET\",\"method\":\"wif2priv\",\"wif\":\"%s\"}",wifstr);
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if ( (retstr= bitcoind_RPC(0,"SuperNET",url,0,"wif2priv",postdata,0)) != 0 )
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{
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if ( (retjson= cJSON_Parse(retstr)) != 0 )
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{
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if ( (privstr= jstr(retjson,"privkey")) != 0 )
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{
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if ( strlen(privstr) == 64 )
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decode_hex(privkey.bytes,32,privstr);
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}
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free_json(retjson);
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}
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free(retstr);
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}
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return(privkey);
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}
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double bittrex_balance(char *base,char *coinaddr)
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{
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char *retstr; cJSON *retjson; double balance = 0.;
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if ( (retstr= DEX_balance("bittrex",base,coinaddr)) != 0 )
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{
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if ( (retjson= cJSON_Parse(retstr)) != 0 )
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{
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balance = jdouble(retjson,"balance");
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free_json(retjson);
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}
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free(retstr);
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}
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return(balance);
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}
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double dex_balance(char *base,char *coinaddr)
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{
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char *retstr; cJSON *retjson; double balance = 0.;
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if ( (retstr= DEX_balance("DEX",base,coinaddr)) != 0 )
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{
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if ( (retjson= cJSON_Parse(retstr)) != 0 )
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{
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balance = jdouble(retjson,"balance");
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free_json(retjson);
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}
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free(retstr);
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}
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return(balance);
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}
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int32_t komodo_baseid(char *base)
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{
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int32_t i;
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for (i=0; i<sizeof(CURRENCIES)/sizeof(*CURRENCIES); i++)
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if ( strcmp(base,CURRENCIES[i]) == 0 )
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return(i);
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return(-1);
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}
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cJSON *yahoo_allcurrencies()
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{
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char *retstr; cJSON *retjson = 0;
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if ( (retstr= issue_curl("http://finance.yahoo.com/webservice/v1/symbols/allcurrencies/quote?format=json")) != 0 )
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{
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retjson = cJSON_Parse(retstr);
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free(retstr);
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}
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return(retjson);
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}
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void _marketmaker_fiatupdate(int32_t baseid,double price)
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{
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PAXPRICES[baseid] = price * PAXPRICES[0];
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printf("%.6f %s per USD, %.8f %s per KMD\n",price,CURRENCIES[baseid],PAXPRICES[baseid],CURRENCIES[baseid]);
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}
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uint32_t marketmaker_fiatupdate(cJSON *fiatjson)
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{
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int32_t i,n,baseid; cJSON *item,*array; double price; char *name; uint64_t mask = 0;
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fiatjson = jobj(fiatjson,"list");
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if ( fiatjson != 0 && (array= jarray(&n,fiatjson,"resources")) > 0 )
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{
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for (i=0; i<n; i++)
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{
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/*
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"resource" : {
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"classname" : "Quote",
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"fields" : {
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"name" : "USD/BRX",
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"price" : "3.063200",
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"symbol" : "BRX=X",
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"ts" : "1487866204",
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"type" : "currency",
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"utctime" : "2017-02-23T16:10:04+0000",
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"volume" : "0"
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}
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*/
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item = jitem(array,i);
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if ( (item= jobj(item,"resource")) != 0 )
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item = jobj(item,"fields");
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if ( item != 0 )
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{
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price = jdouble(item,"price");
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if ( price > SMALLVAL && (name= jstr(item,"name")) != 0 && strncmp(name,"USD/",4) == 0 )
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{
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if ( (baseid= komodo_baseid(name+4)) >= 0 && baseid < 32 )
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{
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if ( ((1LL << baseid) & mask) == 0 )
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{
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_marketmaker_fiatupdate(baseid,price);
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mask |= (1LL << baseid);
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} else if ( fabs(price*PAXPRICES[0] - PAXPRICES[baseid]) > SMALLVAL )
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printf("DUPLICATE PRICE? %s %.8f vs %.8f\n",name+4,price*PAXPRICES[0],PAXPRICES[baseid]);
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}
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}
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}
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}
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}
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printf("pax mask.%x\n",(uint32_t)mask);
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return((uint32_t)mask);
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}
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void marketmaker_cancel(struct mmpending_order *ptr)
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{
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char *retstr; cJSON *retjson;
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if ( ptr->pending != 0 && ptr->cancelstarted == 0 )
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{
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ptr->cancelstarted = (uint32_t)time(NULL);
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if ( (retstr= DEX_cancelorder(ptr->exchange,ptr->orderid)) != 0 )
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{
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if ( (retjson= cJSON_Parse(retstr)) != 0 )
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{
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printf("cancel %s (%s/%s) %.8f vol %.8f dir.%d -> (%s)\n",ptr->exchange,ptr->base,ptr->rel,ptr->price,ptr->volume,ptr->dir,jprint(retjson,0));
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free_json(retjson);
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ptr->pending = 0;
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ptr->canceled = (uint32_t)time(NULL);
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}
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free(retstr);
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}
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}
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}
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void marketmaker_queue(char *exchange,char *base,char *rel,int32_t dir,double price,double volume,cJSON *retjson)
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{
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struct mmpending_order *ptr; char *orderid;
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//DEX_trade.({"success":true,"message":"","result":{"uuid":"d5faa9e4-660d-436f-a257-2c6a40442d8c"},"tag":"11271578410079391025"}
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if ( is_cJSON_True(jobj(retjson,"success")) != 0 && jobj(retjson,"result") != 0 )
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retjson = jobj(retjson,"result");
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printf("QUEUE.%s %s/%s dir.%d %.8f %.6f (%s)\n",exchange,base,rel,dir,price,volume,jprint(retjson,0));
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Pending_orders = realloc(Pending_orders,(1 + Num_Pending) * sizeof(*Pending_orders));
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ptr = &Pending_orders[Num_Pending++];
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memset(ptr,0,sizeof(*ptr));
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ptr->price = price;
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ptr->volume = volume;
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ptr->dir = dir;
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ptr->pending = (uint32_t)time(NULL);
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strcpy(ptr->exchange,exchange);
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strcpy(ptr->base,base);
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strcpy(ptr->rel,rel);
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if ( (orderid= jstr(retjson,"OrderUuid")) != 0 || (orderid= jstr(retjson,"uuid")) != 0 )
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strcpy(ptr->orderid,orderid);
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else strcpy(ptr->orderid,"0");
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}
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void marketmaker_pendingupdate(char *exchange,char *base,char *rel)
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{
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char *retstr; cJSON *retjson,*obj; int32_t i; struct mmpending_order *ptr;
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for (i=0; i<Num_Pending; i++)
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{
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ptr = &Pending_orders[i];
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if ( strcmp(exchange,ptr->exchange) != 0 || strcmp(base,ptr->base) != 0 || strcmp(rel,ptr->rel) != 0 )
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continue;
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if ( ptr->completed == 0 && (retstr= DEX_orderstatus(exchange,ptr->orderid)) != 0 )
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{
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//printf("%s status.(%s)\n",ptr->orderid,retstr);
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if ( (retjson= cJSON_Parse(retstr)) != 0 )
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{
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obj = jobj(retjson,"result");
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if ( is_cJSON_Array(obj) != 0 )
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obj = jitem(retjson,0);
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if ( jdouble(obj,"QuantityRemaining") == 0. || is_cJSON_True(jobj(obj,"IsOpen")) == 0 )
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{
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//{"Uuid":null,"OrderUuid":"e7b0789c-0c4e-413b-a768-3d5734d9cbe5","Exchange":"BTC-KMD","OrderType":"LIMIT_SELL","Quantity":877.77700000,"QuantityRemaining":462.50512234,"Limit":0.00011770,"CommissionPaid":0.00012219,"Price":0.04887750,"PricePerUnit":0.00011769,"Opened":"2017-02-20T13:16:22.29","Closed":null,"CancelInitiated":false,"ImmediateOrCancel":false,"IsConditional":false,"Condition":"NONE","ConditionTarget":null} printf("uuid.(%s) finished.(%s)\n",ptr->orderid,jprint(retjson,0));
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ptr->completed = (uint32_t)time(NULL);
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ptr->pending = 0;
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}
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free_json(retjson);
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}
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free(retstr);
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}
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}
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}
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void marketmaker_pendinginit(char *exchange,char *base,char *rel)
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{
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char *retstr,*orderid,*pairstr,relbase[64]; cJSON *retjson,*array,*item; int32_t i,j,n,dir; struct mmpending_order *ptr;
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sprintf(relbase,"%s-%s",rel,base);
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if ( (retstr= DEX_openorders(exchange)) != 0 )
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{
|
|
if ( (retjson= cJSON_Parse(retstr)) != 0 )
|
|
{
|
|
//printf("%s\n",jprint(retjson,0));
|
|
if ( is_cJSON_True(jobj(retjson,"success")) != 0 && (array= jarray(&n,retjson,"result")) != 0 )
|
|
{
|
|
for (i=0; i<n; i++)
|
|
{
|
|
item = jitem(array,i);
|
|
if ( (pairstr= jstr(item,"Exchange")) == 0 )
|
|
continue;
|
|
if ( strcmp(pairstr,relbase) != 0 )
|
|
{
|
|
printf("skip %s when %s\n",pairstr,relbase);
|
|
continue;
|
|
}
|
|
//printf("(%s)\n",jprint(item,0));
|
|
//{"success":true,"message":"","result":[{"Uuid":null,"OrderUuid":"81ad3e37-65d4-4fee-9c29-03b050f5192b","Exchange":"BTC-KMD","OrderType":"LIMIT_BUY","Quantity":885.19934578,"QuantityRemaining":885.19934578,"Limit":0.00011184,"CommissionPaid":0,"Price":0,"PricePerUnit":null,"Opened":"2017-02-19T19:14:02.94","Closed":null,"CancelInitiated":false,"ImmediateOrCancel":false,"IsConditional":false,"Condition":"NONE","ConditionTarget":null}],"tag":"10056789044100011414"}
|
|
if ( (orderid= jstr(item,"OrderUuid")) != 0 && is_cJSON_Null(jobj(item,"Closed")) != 0 && is_cJSON_False(jobj(item,"CancelInitiated")) != 0 )
|
|
{
|
|
for (j=0; j<Num_Pending; j++)
|
|
{
|
|
ptr = &Pending_orders[j];
|
|
if ( strcmp(exchange,ptr->exchange) != 0 || strcmp(base,ptr->base) != 0 || strcmp(rel,ptr->rel) != 0 )
|
|
continue;
|
|
if ( strcmp(ptr->orderid,orderid) == 0 )
|
|
{
|
|
ptr->pending = (uint32_t)time(NULL);
|
|
ptr->completed = 0;
|
|
printf("%s pending\n",orderid);
|
|
break;
|
|
}
|
|
}
|
|
if ( j == Num_Pending )
|
|
{
|
|
if ( jstr(item,"OrderType") != 0 )
|
|
{
|
|
if ( strcmp(jstr(item,"OrderType"),"LIMIT_BUY") == 0 )
|
|
dir = 1;
|
|
else if ( strcmp(jstr(item,"OrderType"),"LIMIT_SELL") == 0 )
|
|
dir = -1;
|
|
else dir = 0;
|
|
if ( dir != 0 )
|
|
marketmaker_queue(exchange,base,rel,dir,jdouble(item,"Limit"),jdouble(item,"QuantityRemaining"),item);
|
|
else printf("no dir (%s) (%s)\n",jprint(item,0),jstr(item,"OrderType"));
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
free_json(retjson);
|
|
}
|
|
free(retstr);
|
|
}
|
|
}
|
|
|
|
double marketmaker_filled(char *exchange,char *base,char *rel,double *buyvolp,double *sellvolp,double *pendingbidsp,double *pendingasksp)
|
|
{
|
|
double pricesum = 0.,volsum = 0.; struct mmpending_order *ptr; int32_t i;
|
|
*pendingbidsp = *pendingasksp = 0.;
|
|
for (i=0; i<Num_Pending; i++)
|
|
{
|
|
ptr = &Pending_orders[i];
|
|
if ( strcmp(exchange,ptr->exchange) != 0 || strcmp(base,ptr->base) != 0 || strcmp(rel,ptr->rel) != 0 )
|
|
continue;
|
|
if ( ptr->completed != 0 )
|
|
{
|
|
if ( ptr->reported == 0 )
|
|
{
|
|
if ( ptr->dir > 0 )
|
|
(*buyvolp) += ptr->volume;
|
|
else if ( ptr->dir < 0 )
|
|
(*sellvolp) += ptr->volume;
|
|
pricesum += ptr->volume * ptr->price;
|
|
volsum += ptr->volume;
|
|
ptr->reported = (uint32_t)time(NULL);
|
|
printf("REPORT dir.%d vol %.8f\n",ptr->dir,ptr->volume);
|
|
}
|
|
}
|
|
else if ( ptr->pending != 0 ) // alternative is error or cancelled
|
|
{
|
|
if ( ptr->dir > 0 )
|
|
(*pendingbidsp) += ptr->volume;
|
|
else if ( ptr->dir < 0 )
|
|
(*pendingasksp) += ptr->volume;
|
|
}
|
|
}
|
|
if ( volsum != 0. )
|
|
pricesum /= volsum;
|
|
return(pricesum);
|
|
}
|
|
|
|
int32_t marketmaker_prune(char *exchange,char *base,char *rel,int32_t polarity,double bid,double ask,double separation)
|
|
{
|
|
int32_t i,n = 0; struct mmpending_order *ptr;
|
|
for (i=0; i<Num_Pending; i++)
|
|
{
|
|
ptr = &Pending_orders[i];
|
|
if ( strcmp(exchange,ptr->exchange) != 0 || strcmp(base,ptr->base) != 0 || strcmp(rel,ptr->rel) != 0 )
|
|
continue;
|
|
if ( ptr->pending != 0 && ptr->cancelstarted == 0 )
|
|
{
|
|
if ( polarity != 0 )
|
|
{
|
|
if ( ((ptr->dir*polarity > 0 && ptr->price < bid-separation) || (ptr->dir*polarity < 0 && ptr->price > ask+separation)) )
|
|
{
|
|
printf("polarity.%d dir.%d price.%f bid.%f ask.%f\n",polarity,ptr->dir,ptr->price,bid,ask);
|
|
marketmaker_cancel(ptr), n++;
|
|
}
|
|
}
|
|
/*else
|
|
{,*prunebid=0,*pruneask=0; double lowbid=0.,highask=0.
|
|
if ( ptr->dir > 0 && (lowbid == 0. || ptr->price < lowbid) )
|
|
{
|
|
lowbid = ptr->price;
|
|
prunebid = ptr;
|
|
}
|
|
else if ( ptr->dir < 0 && (highask == 0. || ptr->price > highask) )
|
|
{
|
|
highask = ptr->price;
|
|
pruneask = ptr;
|
|
}
|
|
}*/
|
|
}
|
|
}
|
|
/*if ( polarity == 0 )
|
|
{
|
|
if ( prunebid != 0 && fabs(prunebid->price - bid) > separation )
|
|
marketmaker_cancel(prunebid), n++;
|
|
if ( pruneask != 0 && fabs(pruneask->price - ask) > separation )
|
|
marketmaker_cancel(pruneask), n++;
|
|
}*/
|
|
return(n);
|
|
}
|
|
|
|
void marketmaker_volumeset(double *bidincrp,double *askincrp,double incr,double buyvol,double pendingbids,double sellvol,double pendingasks,double maxexposure)
|
|
{
|
|
*bidincrp = *askincrp = incr;
|
|
//if ( pendingbids >= pendingasks+maxexposure )
|
|
// *bidincrp = 0.;
|
|
//else if ( pendingasks >= pendingbids+maxexposure )
|
|
// *askincrp = 0.;
|
|
if ( *bidincrp > 0. && pendingbids + *bidincrp > maxexposure )
|
|
*bidincrp = (maxexposure - *bidincrp);
|
|
if ( *askincrp > 0. && pendingasks + *askincrp > maxexposure )
|
|
*askincrp = (maxexposure - *askincrp);
|
|
if ( *bidincrp < 0. )
|
|
*bidincrp = 0.;
|
|
if ( *askincrp < 0. )
|
|
*askincrp = 0.;
|
|
}
|
|
|
|
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]; double vol,spread_ratio;
|
|
memset(nearflags,0,sizeof(nearflags));
|
|
if ( strcmp("DEX",exchange) != 0 )
|
|
{
|
|
for (i=0; i<Num_Pending; i++)
|
|
{
|
|
ptr = &Pending_orders[i];
|
|
if ( strcmp(exchange,ptr->exchange) != 0 || strcmp(base,ptr->base) != 0 || strcmp(rel,ptr->rel) != 0 )
|
|
continue;
|
|
if ( ptr->pending != 0 && ptr->cancelstarted == 0 )
|
|
{
|
|
if ( bid > SMALLVAL && bidvol > SMALLVAL && ptr->dir > 0 && fabs(bid - ptr->price) < separation )
|
|
{
|
|
//printf("bid %.8f near %.8f\n",bid,ptr->price);
|
|
nearflags[0]++;
|
|
}
|
|
if ( ask > SMALLVAL && askvol > SMALLVAL && ptr->dir < 0 && fabs(ask - ptr->price) < separation )
|
|
{
|
|
//printf("%.8f near %.8f\n",ask,ptr->price);
|
|
nearflags[1]++;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
//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 && strcmp(base,"KMD") == 0 && strcmp(rel,"BTC") == 0 )
|
|
{
|
|
if ( ask > SMALLVAL && askvol > SMALLVAL )
|
|
{
|
|
/*li.profit = jdouble(vals,"profit");
|
|
li.refprice = jdouble(vals,"refprice");
|
|
li.bid = jdouble(vals,"bid");
|
|
li.ask = jdouble(vals,"ask");
|
|
if ( (li.minvol= jdouble(vals,"minvol")) <= 0. )
|
|
li.minvol = (strcmp("BTC",base) == 0) ? 0.0001 : 0.001;
|
|
if ( (li.maxvol= jdouble(vals,"maxvol")) < li.minvol )
|
|
li.maxvol = li.minvol;*/
|
|
//curl --url "http://127.0.0.1:7778" --data "{\"agent\":\"tradebot\",\"method\":\"liquidity\",\"targetcoin\":\"MVP\",\"vals\":{\"rel\":\"USD\",\"bid\":0.09,\"ask\":0.11,\"maxvol\":100}}"
|
|
vals = cJSON_CreateObject();
|
|
jaddstr(vals,"rel","BTC");
|
|
jaddnum(vals,"bid",bid);
|
|
jaddnum(vals,"ask",ask);
|
|
vol = bidvol > askvol ? askvol : bidvol;
|
|
jaddnum(vals,"maxvol",vol);
|
|
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);
|
|
if ( (retstr= bitcoind_RPC(0,"tradebot",url,0,"liqudity",postdata,0)) != 0 )
|
|
{
|
|
//printf("(%s) -> (%s)\n",postdata,retstr);
|
|
free(retstr);
|
|
}
|
|
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();
|
|
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",MAX(1,(int32_t)(vol * 0.01 * 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)) != 0 )
|
|
{
|
|
//printf("(%s) -> (%s)\n",postdata,retstr);
|
|
free(retstr);
|
|
}
|
|
}
|
|
//break;
|
|
}
|
|
} else printf("unsupported ask only for DEX %s/%s\n",base,rel);
|
|
}
|
|
else if ( (retstr= DEX_trade(exchange,base,rel,1,bid,bidvol)) != 0 )
|
|
{
|
|
//printf("DEX_trade.(%s)\n",retstr);
|
|
if ( (retjson= cJSON_Parse(retstr)) != 0 )
|
|
{
|
|
marketmaker_queue(exchange,base,rel,1,bid,bidvol,retjson);
|
|
free_json(retjson);
|
|
}
|
|
free(retstr);
|
|
} //else printf("skip bid %s %.8f vol %f\n",exchange,bid,bidvol);
|
|
}
|
|
if ( ask > SMALLVAL && askvol > SMALLVAL && nearflags[1] == 0 && strcmp("DEX",exchange) != 0 )
|
|
{
|
|
if ( (retstr= DEX_trade(exchange,base,rel,-1,ask,askvol)) != 0 )
|
|
{
|
|
//printf("DEX_trade.(%s)\n",retstr);
|
|
if ( (retjson= cJSON_Parse(retstr)) != 0 )
|
|
{
|
|
marketmaker_queue(exchange,base,rel,-1,ask,askvol,retjson);
|
|
free_json(retjson);
|
|
}
|
|
free(retstr);
|
|
}
|
|
} //else printf("skip ask %s %.8f vol %f\n",exchange,bid,bidvol);
|
|
return(n);
|
|
}
|
|
|
|
double marketmaker_updateprice(char *name,char *base,char *rel,double theoretical,double *incrp)
|
|
{
|
|
static uint32_t counter;
|
|
cJSON *fiatjson; double USD_average=0.,usdprice=0.,CMC_average=0.,avebid=0.,aveask=0.,val,changes[3],highbid=0.,lowask=0.;
|
|
if ( (val= get_theoretical(&avebid,&aveask,&highbid,&lowask,&CMC_average,changes,name,base,rel,&USD_average)) != 0. )
|
|
{
|
|
if ( theoretical == 0. )
|
|
{
|
|
theoretical = val;
|
|
if ( *incrp > 2 )
|
|
{
|
|
*incrp = (int32_t)*incrp;
|
|
*incrp += 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);
|
|
}
|
|
}
|
|
}
|
|
LP_priceupdate(base,rel,theoretical,avebid,aveask,highbid,lowask,PAXPRICES);
|
|
}
|
|
return(theoretical);
|
|
}
|
|
|
|
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)
|
|
{
|
|
char *retstr; double bid,ask,start_DEXbase,start_DEXrel,DEX_base = 0.,DEX_rel = 0.,balance_base=0.,balance_rel=0.,mmbid,mmask,aveprice,incr,pendingbids,pendingasks,buyvol,sellvol,bidincr,askincr,filledprice,avebid=0.,aveask=0.,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 ( (theoretical= marketmaker_updateprice(name,base,rel,theoretical,&incr)) != 0. )
|
|
{
|
|
if ( lasttime == 0 )
|
|
maxexposure /= theoretical;
|
|
}
|
|
if ( strcmp(exchange,"bittrex") == 0 )
|
|
{
|
|
balance_base = bittrex_balance(base,"");
|
|
balance_rel = bittrex_balance(rel,"");
|
|
DEX_base = dex_balance(base,baseaddr);
|
|
DEX_rel = dex_balance(rel,reladdr);
|
|
} else printf("add support for %s balance\n",exchange);
|
|
lasttime = (uint32_t)time(NULL);
|
|
}
|
|
marketmaker_pendingupdate(exchange,base,rel);
|
|
if ( theoretical > SMALLVAL && avebid > SMALLVAL && aveask > SMALLVAL )
|
|
{
|
|
aveprice = (avebid + aveask) * 0.5;
|
|
// if order is filled, theoretical <- filled (theoretical + price)/2
|
|
if ( (filledprice= marketmaker_filled(exchange,base,rel,&buyvol,&sellvol,&pendingbids,&pendingasks)) != 0. )
|
|
theoretical = (theoretical + filledprice) * 0.5;
|
|
buyvol = sellvol = 0;
|
|
if ( (balance_base + DEX_base) < (start_BASE + start_DEXbase) )
|
|
sellvol += ((start_BASE + start_DEXbase) - (balance_base + DEX_base));
|
|
else buyvol += ((balance_base + DEX_base) - (start_BASE + start_DEXbase));
|
|
if ( (balance_rel + DEX_rel) < (start_REL + start_DEXrel) )
|
|
buyvol += ((start_REL + start_DEXrel) - (balance_rel + DEX_rel)) / theoretical;
|
|
else sellvol += ((balance_rel + DEX_rel) - (start_REL + start_DEXrel)) / theoretical;
|
|
mmbid = theoretical - theoretical*profitmargin;
|
|
mmask = theoretical + theoretical*profitmargin;
|
|
// if any existing order exceeds double margin distance, cancel
|
|
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);
|
|
if ( (1) )
|
|
{
|
|
if ( mmbid >= lowask || (maxbid > SMALLVAL && mmbid > maxbid) ) //mmbid < highbid ||
|
|
{
|
|
printf("clear mmbid %.8f lowask %.8f maxbid %.8f\n",mmbid,lowask,maxbid);
|
|
mmbid = 0.;
|
|
}
|
|
if ( mmask <= highbid || (minask > SMALLVAL && mmask < minask) ) // mmask > lowask ||
|
|
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);
|
|
if ( (retstr= DEX_swapstatus()) != 0 )
|
|
printf("%s\n",retstr), free(retstr);
|
|
printf("%s %s %s, %s %s %s\n",base,DEX_baseaddr,DEX_balance("DEX",base,DEX_baseaddr),rel,DEX_reladdr,DEX_balance("DEX",rel,DEX_reladdr));
|
|
if ( (aveask - avebid)/aveprice > profitmargin )
|
|
bid = highbid * (1 - profitmargin), ask = lowask * (1 + profitmargin);
|
|
else bid = avebid - profitmargin*aveprice, ask = avebid + profitmargin*aveprice;
|
|
marketmaker_spread("DEX",base,rel,bid,incr,ask,incr,profitmargin*aveprice*0.5);
|
|
if ( (pendingbids + buyvol) > (pendingasks + sellvol) && (pendingbids + buyvol) > bidincr )
|
|
{
|
|
bidincr *= ((double)(pendingasks + sellvol) / ((pendingbids + buyvol) + (pendingasks + sellvol)));
|
|
printf("bidincr %f buy.(%f + %f) sell.(%f + %f)\n",bidincr,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) && (pendingasks + sellvol) > askincr )
|
|
{
|
|
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);
|
|
}
|
|
}
|
|
}
|
|
|
|
#include "LP_nativeDEX.c"
|
|
|
|
void LP_main(void *ptr)
|
|
{
|
|
char *passphrase; double profitmargin; cJSON *argjson = ptr;
|
|
if ( (passphrase= jstr(argjson,"passphrase")) != 0 )
|
|
{
|
|
profitmargin = jdouble(argjson,"profitmargin");
|
|
LP_profitratio += profitmargin;
|
|
LPinit(7779,7780,7781,7782,passphrase,jint(argjson,"client"),jstr(argjson,"userhome"),argjson);
|
|
}
|
|
}
|
|
|
|
int main(int argc, const char * argv[])
|
|
{
|
|
char *base,*rel,*name,*exchange,*apikey,*apisecret,*blocktrail,*retstr,*baseaddr,*reladdr,*passphrase;
|
|
double profitmargin,maxexposure,incrratio,start_rel,start_base,minask,maxbid,incr;
|
|
cJSON *retjson,*loginjson; int32_t i;
|
|
OS_init();
|
|
if ( argc > 1 && (retjson= cJSON_Parse(argv[1])) != 0 )
|
|
{
|
|
if ( (passphrase= jstr(retjson,"passphrase")) == 0 )
|
|
jaddstr(retjson,"passphrase","test");
|
|
if ( OS_thread_create(malloc(sizeof(pthread_t)),NULL,(void *)LP_main,(void *)retjson) != 0 )
|
|
{
|
|
printf("error launching LP_main (%s)\n",jprint(retjson,0));
|
|
exit(-1);
|
|
} else printf("(%s) launched.(%s)\n",argv[1],passphrase);
|
|
incr = 100.;
|
|
while ( 1 )
|
|
sleep(1);
|
|
profitmargin = jdouble(retjson,"profitmargin");
|
|
minask = jdouble(retjson,"minask");
|
|
maxbid = jdouble(retjson,"maxbid");
|
|
maxexposure = jdouble(retjson,"maxexposure");
|
|
incrratio = jdouble(retjson,"lotratio");
|
|
start_base = jdouble(retjson,"start_base");
|
|
start_rel = jdouble(retjson,"start_rel");
|
|
apikey = jstr(retjson,"apikey");
|
|
apisecret = jstr(retjson,"apisecret");
|
|
base = jstr(retjson,"base");
|
|
name = jstr(retjson,"name");
|
|
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);
|
|
}
|
|
if ( (retstr= iguana_walletpassphrase(passphrase,999999)) != 0 )
|
|
{
|
|
printf("(%s/%s) login.(%s)\n",base,rel,retstr);
|
|
if ( (loginjson= cJSON_Parse(retstr)) != 0 )
|
|
{
|
|
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\n",DEX_apikeypair(exchange,apikey,apisecret));
|
|
marketmaker_pendinginit(exchange,base,rel);
|
|
if ( baseaddr != 0 && reladdr != 0 )
|
|
{
|
|
printf("PAXACTIVE.%08x %s\n",PAXACTIVE,DEX_amlp(blocktrail));
|
|
strncpy(DEX_baseaddr,baseaddr,sizeof(DEX_baseaddr)-1);
|
|
strncpy(DEX_reladdr,reladdr,sizeof(DEX_reladdr)-1);
|
|
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(loginjson);
|
|
} else printf("ERROR parsing.(%s)\n",retstr);
|
|
free(retstr);
|
|
}
|
|
free_json(retjson);
|
|
}
|
|
return 0;
|
|
}
|
|
|