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
+

main.py

@@ -1,6 +1,50 @@
+# No copyright
+
+import asyncio
 import json
+import logging
+import pybotters
+import signal
+
+from util.pair   import Pair
+from util.player import Player
+from algo.mm     import MM
 
 with open("config.json", "r") as file:
   config = json.load(file)
   
-print(config)
+async def main():
+  alive = True
+  logging.basicConfig(level=logging.DEBUG)
+
+  def teardown():
+    nonlocal alive
+    alive = False
+    for t in asyncio.all_tasks():
+      t.cancel()
+
+  loop = asyncio.get_event_loop()
+  loop.add_signal_handler(signal.SIGTERM, teardown)
+  loop.add_signal_handler(signal.SIGINT,  teardown)
+
+  async with pybotters.Client(apis={"bitbank":config["auth"]}) as pb:
+    player = Player(pb)
+    pair   = Pair(pb, config["pair"])
+    algo   = MM(player, pair, config["algorithm"]["mm"])
+    while alive:
+      try:
+        await asyncio.gather(
+          player.update(),
+          pair.update())
+        await algo.update()
+      except Exception as e:
+        print(e)
+        logging.error(e)
+      await asyncio.sleep(int(config["interval"]))
+
+if __name__ == "__main__":
+  try:
+    loop = asyncio.new_event_loop()
+    loop.run_until_complete(main())
+  finally:
+    loop.close()

util/pair.py

@@ -0,0 +1,23 @@
+# No copyright
+import logging
+
+class Pair:
+  def __init__(self, pb, names):
+    self.names = names
+    self._pb   = pb
+
+  async def update(self):
+    ticker = (await self._get("ticker"))["data"]
+    self.ticker = Ticker(ticker)
+
+  async def _get(self, suffix):
+    res = await self._pb.get(f"https://public.bitbank.cc/{self.names[0]}_{self.names[1]}/{suffix}")
+    json = await res.json()
+    if "success" not in json or 1 != json["success"]:
+      code = json["data"]["code"]
+      raise Exception(f"API error: {code}")
+    return json
+
+class Ticker:
+  def __init__(self, json):
+    self.price = float(json["last"])

util/player.py

@@ -0,0 +1,77 @@
+# No copyright
+import logging
+
+class Player:
+  def __init__(self, pb):
+    self._pb    = pb
+    self.assets = {}
+    self.orders = {}
+
+  async def cancel(self, pair, orders):
+    res = await self._post("user/spot/cancel_orders", data={
+      "pair": f"{pair[0]}_{pair[1]}",
+      "order_ids": orders
+    })
+    self._check(res)
+
+  async def orderLimitSell(self, pair, amount, price):
+    res = await self._post("user/spot/order", data={
+      "pair": f"{pair[0]}_{pair[1]}",
+      "amount": str(amount),
+      "price": str(price),
+      "side": "sell",
+      "type": "limit",
+    })
+    return self._check(res)["data"]["order_id"]
+
+  async def orderLimitBuy(self, pair, amount, price):
+    res = await self._post("user/spot/order", data={
+      "pair": f"{pair[0]}_{pair[1]}",
+      "amount": str(amount),
+      "price": str(price),
+      "side": "buy",
+      "type": "limit",
+    })
+    return self._check(res)["data"]["order_id"]
+
+  async def update(self):
+    self.assets = {}
+    self.orders = {}
+
+    assets = (await self._get("user/assets"))["data"]["assets"]
+    for asset in assets:
+      self.assets[asset["asset"]] = Asset(asset)
+
+    orders = (await self._get("user/spot/active_orders"))["data"]["orders"]
+    for order in orders:
+      self.orders[order["order_id"]] = Order(order)
+
+  async def _post(self, suffix, data):
+    res = await self._pb.post(f"https://api.bitbank.cc/v1/{suffix}", data=data)
+    return self._check(await res.json())
+
+  async def _get(self, suffix):
+    res = await self._pb.get(f"https://api.bitbank.cc/v1/{suffix}")
+    return self._check(await res.json())
+
+  def _check(self, json):
+    if "success" not in json or 1 != json["success"]:
+      code = json["data"]["code"]
+      raise Exception(f"API error: {code}")
+    return json
+
+
+class Asset:
+  def __init__(self, json):
+    self.name      = json["asset"]
+    self.amount    = float(json["onhand_amount"])
+    self.locked    = float(json["locked_amount"])
+    self.precision = int(json["amount_precision"])
+
+class Order:
+  def __init__(self, json):
+    self.id     = json["order_id"]
+    self.pair   = json["pair"]
+    self.amount = float(json["start_amount"])
+    self.remain = float(json["remaining_amount"])
+    self.price  = float(json["average_price"])