83 lines
2.2 KiB
Python
83 lines
2.2 KiB
Python
import asyncio
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class MM:
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def __init__(self, logger, pair, lot, epsilon):
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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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asyncio.create_task(self._main())
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async def _main(self):
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self._logger.info("started")
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while True:
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depth = self._pair.depth
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await depth.wait()
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if len(depth.bids) == 0 or len(depth.asks) == 0:
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continue
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spread = depth.asks[0][0] - depth.bids[0][0]
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if spread > self._epsilon*2:
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sell_price = depth.asks[0][0]-self._epsilon
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buy_price = depth.bids[0][0]+self._epsilon
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await self._make(sell_price, buy_price)
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async def _make(self, sell_price, buy_price):
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if self._remain < self._epsilon/buy_price:
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amount = self._lot/buy_price
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try:
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buy = await self._pair.buy_limit(amount, buy_price, True)
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except Exception:
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buy = None
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try:
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sell = await self._pair.sell_limit(amount, sell_price, True)
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except Exception:
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sell = None
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else:
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buy = None
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try:
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sell = await self._pair.sell_limit(self._remain, sell_price, True)
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except Exception:
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sell = None
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while (sell is not None) or (buy is not None):
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await asyncio.sleep(1)
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try:
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coro = []
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if buy is not None: coro.append(buy .update())
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if sell is not None: coro.append(sell.update())
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await asyncio.gather(*coro)
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except Exception as e:
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continue
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depth = self._pair.depth
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if sell is not None:
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if sell.done:
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self._remain -= sell.amount-sell.remain
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sell = None
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elif sell_price > depth.asks[0][0]:
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break
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if buy is not None:
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if buy.done:
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self._remain += buy.amount-buy.remain
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buy = None
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elif buy_price < depth.bids[0][0]:
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break
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async def cancel(self, order, flag):
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await asyncio.sleep(1)
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await order.cancel()
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await order.update()
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self._remain += flag*(order.amount-order.remain)
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coro = []
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if sell is not None:
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coro.append(cancel(self, sell, -1))
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if buy is not None:
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coro.append(cancel(self, buy, 1))
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await asyncio.gather(*coro)
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