improve MM
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28c50d053b
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0d2b0e425d
38
bitbank.py
38
bitbank.py
@ -13,29 +13,38 @@ import util.ticker
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PUBLIC_API_ENTRYPOINT = "https://public.bitbank.cc"
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PRIVATE_API_ENTRYPOINT = "https://api.bitbank.cc/v1"
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ORDER_UNITS = {
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"btc_jpy": 0.0001,
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"eth_jpy": 0.0001,
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}
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PRICE_UNITS = {
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"btc_jpy": 1,
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"eth_jpy": 1,
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}
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logger = logging.getLogger(__name__)
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_k = asyncio.Lock()
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async def init(cli):
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pair = Pair(cli, "mona_jpy")
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logic.Hige(
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logging.getLogger("bitbank/mona/Hige"),
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pair, 4, 0.2)
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#pair = Pair(cli, "mona_jpy")
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#logic.Hige(
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# logging.getLogger("bitbank/mona/Hige"),
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# pair, 4, 0.2)
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pair = Pair(cli, "btc_jpy")
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logic.EMA_Chicken(
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logging.getLogger("bitbank/btc/EMA_Chicken"),
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pair, pair.candlestick_1m, 0.001, 0.007)
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pair, pair.candlestick_1m, 0.001, 0.005)
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pair = Pair(cli, "eth_jpy")
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logic.MM(
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logging.getLogger("bitbank/eth/MM"),
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pair, 0.01, 1)
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pair, 0.01, 1, 0.15)
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logic.EMA_Chicken(
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logging.getLogger("bitbank/eth/EMA_Chicken"),
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pair, pair.candlestick_1m, 0.01, 0.01)
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pair, pair.candlestick_1m, 0.01, 0.005)
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class Pair(util.pair.Pair):
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@ -46,14 +55,14 @@ class Pair(util.pair.Pair):
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self.ticker = Ticker(self._store, name)
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self.order_unit = 0.0001
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self.price_unit = 0.001 # TODO
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self.order_unit = ORDER_UNITS[name]
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self.price_unit = PRICE_UNITS[name]
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#self.candlestick_1s = Candlestick(cli, self.ticker, None, 1)
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self.candlestick_1m = Candlestick(cli, self.ticker, "1min", 60)
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#self.candlestick_1h = Candlestick(cli, self.ticker, "1hour", 60*60)
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self.depth = Depth(self._store)
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self.depth = Depth(self._store, self.order_unit)
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asyncio.create_task(cli.ws_connect(
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'wss://stream.bitbank.cc/socket.io/?EIO=3&transport=websocket',
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@ -80,7 +89,10 @@ class Pair(util.pair.Pair):
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res = await self._cli.post(PRIVATE_API_ENTRYPOINT+"/user/spot/order", data=data)
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res = await res.json()
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_check_response(res)
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return Order(self._cli, self, res["data"]["order_id"])
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order = Order(self._cli, self, res["data"]["order_id"])
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order.amount = amount
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order.price = price
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return order
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def buy_market(self, amount):
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return self._order(amount, "buy", "market")
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@ -244,8 +256,8 @@ class Candlestick(util.candlestick.Candlestick):
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class Depth(util.depth.Depth):
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def __init__(self, store):
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super().__init__()
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def __init__(self, store, order_unit):
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super().__init__(order_unit)
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self._store = store
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asyncio.create_task(self._main())
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76
logic/mm.py
76
logic/mm.py
@ -2,18 +2,20 @@ import asyncio
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class MM:
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def __init__(self, logger, pair, lot, epsilon):
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def __init__(self, logger, pair, lot, spread_amount, spread_band):
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self._logger = logger
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self._pair = pair
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self._lot = lot
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self._remain = 0
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self._epsilon = epsilon
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self._buy_price = None
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self._sell_price = None
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self._buy = None
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self._sell = None
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self._spread_amount = spread_amount
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self._spread_band = spread_band
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self._total = 0
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asyncio.create_task(self._main())
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@ -28,24 +30,62 @@ class MM:
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if len(depth.bids) == 0 or len(depth.asks) == 0:
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continue
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ask = depth.asks[0][0]
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bid = depth.bids[0][0]
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enough_spread = (ask-bid) > self._epsilon*2
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# calculate best amount to buy/sell
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pos = self._remain / self._lot - 2
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buy_amount = _quad( pos) * self._lot
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sell_amount = _quad(-pos) * self._lot
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# calculate ideal spread
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ask_delta_amount = self._spread_amount * (_quad( pos) + self._spread_band)
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bid_delta_amount = self._spread_amount * (_quad(-pos) + self._spread_band)
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# calculate best sell price
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if self._sell is not None and self._sell.done:
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ask_delta_amount += self._sell.amount
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ask = 0
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prev = -1e100
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for i in range(len(depth.asks)):
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if (depth.asks[i][0]-prev) > pair.price_unit*1.5:
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ask = depth.asks[i][0] - pair.price_unit
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my_order = \
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self._sell is not None and \
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not self._sell.done and \
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abs(self._sell_price-depth.asks[i][0]) < pair.price_unit
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if my_order:
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ask_delta_amount -= depth.asks[i][1] - self._sell.amount
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prev = -1e100
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else:
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ask_delta_amount -= depth.asks[i][1]
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prev = depth.asks[i][0]
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if ask_delta_amount < 0:
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break
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# calculate best buy price
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if self._buy is not None and self._buy.done:
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bid_delta_amount += self._buy.amount
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bid = 0
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prev = 1e100
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for i in range(len(depth.bids)):
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if (prev-depth.bids[i][0]) > pair.price_unit*1.5:
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bid = depth.bids[i][0] + pair.price_unit
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my_order = \
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self._buy is not None and \
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not self._buy.done and \
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abs(self._buy_price-depth.bids[i][0]) < pair.price_unit
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if my_order:
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bid_delta_amount -= depth.bids[i][1] - self._buy.amount
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prev = 1e100
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else:
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bid_delta_amount -= depth.bids[i][1]
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prev = depth.bids[i][0]
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if bid_delta_amount < 0:
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break
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if self._sell is not None:
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# check current SELL order
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await asyncio.sleep(0.5)
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await self._sell.update()
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# get highest ask
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if ask == self._sell_price and abs(depth.asks[0][1]-self._sell.remain) < pair.price_unit:
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ask = depth.asks[1][0]
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if self._sell.done:
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amount = self._sell.amount - self._sell.remain
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self._remain -= amount
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@ -54,21 +94,17 @@ class MM:
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self._total += income
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self._logger.info(f"<SELL> {amount} / {income} ({self._remain} / {self._total})")
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self._sell = None
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elif abs(self._sell_price-(ask-self._epsilon)) >= pair.price_unit:
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elif abs(self._sell_price-ask) >= pair.price_unit:
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await self._sell.cancel()
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elif enough_spread and sell_amount >= pair.order_unit:
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elif sell_amount >= pair.order_unit:
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# order SELL
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self._sell_price = ask-self._epsilon
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self._sell_price = ask
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self._sell = await self._order_sell(sell_amount)
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if self._buy is not None:
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# check current BUY order
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await self._buy.update()
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# get lowest bid
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if bid == self._buy_price and abs(depth.bids[0][1]-self._buy.remain) < pair.price_unit:
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bid = depth.bids[1][0]
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if self._buy.done:
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amount = self._buy.amount - self._buy.remain
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self._remain += amount
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@ -77,11 +113,11 @@ class MM:
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self._total -= outgo
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self._logger.info(f"<BUY> {amount} / {outgo} ({self._remain} / {self._total})")
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self._buy = None
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elif abs(self._buy_price-(bid+self._epsilon)) >= pair.price_unit:
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elif abs(self._buy_price-bid) >= pair.price_unit:
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await self._buy.cancel()
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elif enough_spread and buy_amount > pair.order_unit:
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elif buy_amount >= pair.order_unit:
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# order BUY
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self._buy_price = bid+self._epsilon
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self._buy_price = bid
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self._buy = await self._order_buy(buy_amount)
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async def _order_sell(self, amount):
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@ -4,18 +4,12 @@ import asyncio
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MAX_ITEMS = 10
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class Depth:
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def __init__(self):
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def __init__(self, order_unit):
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self.bids = []
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self.asks = []
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self._event = asyncio.Event()
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self._event = asyncio.Event()
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self._order_unit = order_unit
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async def wait(self):
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await self._event.wait()
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def askVolumeUntil(self, price):
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ret = 0
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for i in range(len(self.asks)):
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if self.asks[i][0] > price: break
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ret += self.asks[i][1]
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return ret
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