add MM algorithm for bitbank

algo/mm.py

@@ -0,0 +1,70 @@
+# No copyright
+import asyncio
+import logging
+
+class MM:
+  def __init__(self, player, pair, config):
+    self._player = player
+    self._pair   = pair
+
+    self._lastBuy  = ""
+    self._lastSell = ""
+
+    self._delta = float(config["delta"])
+
+  async def update(self):
+    lastBuyAgreed  = (self._lastBuy is not None and
+                      self._lastBuy not in self._player.orders)
+    lastSellAgreed = (self._lastSell is not None and
+                      self._lastSell not in self._player.orders)
+
+    if not lastBuyAgreed and not lastSellAgreed:
+      return
+
+    cancel_orders = []
+    if not lastBuyAgreed and self._lastBuy is not None:
+      cancel_orders.append(self._lastBuy)
+      self._lastBuy = None
+    if not lastSellAgreed and self._lastSell is not None:
+      cancel_orders.append(self._lastSell)
+      self._lastSell = None
+    if len(cancel_orders) != 0:
+      await self._player.cancel(self._pair.names, cancel_orders)
+
+    sales = self._player.assets[self._pair.names[0]]
+    crncy = self._player.assets[self._pair.names[1]]
+    price = self._pair.ticker.price
+
+    lot = (sales.amount + crncy.amount / price) / 4
+    pos = sales.amount / lot - 2
+
+    buy_amount  = _quad( pos) * lot
+    sell_amount = _quad(-pos) * lot
+
+    buy_price  = price * (1 - self._delta);
+    sell_price = price * (1 + self._delta);
+
+    order_unit = pow(10, -sales.precision)
+
+    async def buy():
+      return (None if order_unit > buy_amount else
+          await self._player.orderLimitBuy(
+              self._pair.names, amount = buy_amount, price = buy_price))
+
+    async def sell():
+      return (None if order_unit > sell_amount else
+          await self._player.orderLimitSell(
+              self._pair.names, amount = sell_amount, price = sell_price))
+
+    orders = await asyncio.gather(buy(), sell())
+    self._lastBuy  = orders[0]
+    self._lastSell = orders[1]
+
+# https://kijitora-2018.hatenablog.com/entry/2018/12/23/102913
+def _quad(x):
+  if x < -1:
+    return 1
+  if x <= 1:
+    return -1/4 * (x+1)**2 + 1
+  return 0
+