economicnetwork / archon Goto Github PK

introduce order-route

orders can be routed, i.e. the exchange is selected based on any criteria. start with only limit-price order

APIError(code=-1013): Filter failure: LOT_SIZE

• submit to all exchanges
• cancel all

apikeys and conf files are now stored in $HOME/.archon

please add the following files in $HOME/.archon folder

• cd $HOME && mkdir .archon
• touch apikeys.toml, see https://github.com/economicnetwork/archon/blob/master/apikeys_example.toml
• touch conf.toml, see https://github.com/economicnetwork/archon/blob/master/exampe_conf.toml

https://stackoverflow.com/questions/25239650/python-requests-speed-up-using-keep-alive

Prepare HTTPS session
self.session = requests.Session()

broker submit should parse market

incorporate fees
maker/taker per exchange

• binance 0.10% maker and taker https://www.binance.com/en/fee/schedule
• bittrex 0.25% maker and taker https://bittrex.zendesk.com/hc/en-us/articles/115003684371-BITTREX-SERVICE-FEES-AND-WITHDRAWAL-LIMITATIONS
• kucoin 0.10% maker and taker https://news.kucoin.com/en/fee/
• cryptopia 0.20% maker and taker https://support.cryptopia.co.nz/csm/?id=kb_article&sys_id=b53f0f1ddb2d1f009990f6fcbf961920
• hitbtc 0.10% taker and +0.01% maker
  https://hitbtc.com/fees-and-limits

currently broker and arch are redundant. there should be only a single broker interface.

• rename broker to facade
• rename arch to broker

https://api.bequant.io

1. install python3

https://docs.python-guide.org/starting/install3/linux/

2. install python3-pip

sudo apt-get update -y
sudo apt-get -y install python3-pip

3. git clone [email protected]:economicnetwork/archon.git

4. inside archon directory

pip3 install -r requirements.txt

create file apikeys.toml, see apikeys_example.toml as an example

(create file conf.toml, see example_conf.toml as an example)

7. try running examples

export PYTHONPATH=/Users/someuser/archon
cd examples
python3 balance_example.py

8. install mongo

mongodb

currently archon broker is a single-user interface/gateway. the api keys are set only once and then the clients communication with exchange.

multi-user requires:

• some identifier for users. this will be handled by a service which users archon
• handling several connections to exchange

for realised PnL

get all transactions
for each symbol
if its sell
volume weight exit price - volume weighted entry price

for unrealised PnL

average entry
(value current balance)
(not considering deposits and withdraws)

• hitbtc
• binance

make sure client is connected before calling

INITIALIZING: 'INITIALIZING',
// Created and send to the exchange, but no acknowledgement received yet
SUBMITTED: 'SUBMITTED',
// Order is open on the exchange
OPEN: 'OPEN',
// Order is completely filled
FILLED: 'FILLED',
// Order was succesfully cancelled
CANCELLED: 'CANCELLED',
// Order was rejected by the exchange
REJECTED: 'REJECTED',
ERROR: 'ERROR'

add bitmex exchange

• account for ability to short
• account for margin

• hitbtc
• binance
• kraken

line 633

config with mlab. this will be in conf.toml

[MONGO]
uri = "mongodb://user:[email protected]:23312/MYDB"`

in broker for orders keep track of orders and their states

full support

facade understands data of and to exchange
broker understands abstract data model

for all exchanges

• market transactions
• trades
• candles
• orderbook
• openorders
• balances

• bitfinex
• bitmex
• bitstamp
  ...

throttle properly

• dont poll orderbooks through REST

• binance
• hitbtc

bitmex_test_public

Traceback (most recent call last):
  File "bitmex_test_public.py", line 30, in <module>
    run()
  File "bitmex_test_public.py", line 24, in run
    logger.info("Market Depth: %s" % ws.market_depth())
  File "/home/mm/.local/lib/python3.6/site-packages/bitmex_websocket.py", line 91, in market_depth
    return self.data['orderBookL2']
KeyError: 'orderBookL2'

currently the broker assumes that balances belong to an agent. in the future agent should be registered with broker and have it assign any balance

Exception in thread Thread-1:
Traceback (most recent call last):
File "/usr/lib/python3.6/threading.py", line 916, in _bootstrap_inner
self.run()
File "/root/trading/archon/archon/brokersrv/feeder.py", line 101, in run
self.publish_bitmex()
File "/root/trading/archon/archon/brokersrv/feeder.py", line 75, in publish_bitmex
book = self.abroker.afacade.orderbook(self.mex_sym, exc.BITMEX)
File "/root/trading/archon/archon/brokersrv/facader.py", line 87, in orderbook
self.logger.debug("get orderbook %s %i" %(str(market),exchange))
TypeError: %i format: a number is required, not str

[archon.exchange.bitmex.bitmex] Unhandled Error: 400 Client Error: Bad Request for url: https://www.bitmex.com/api/v1/order {"error":{"message":"Duplicate clOrdID","name":"HTTPError"}} - (2019-03-08 13:27:06,162) 457

How do you pronounce "archon"?

result none

0x is a Ethereum-DEX protocol. archon has a generic broker architecture which can allow to trade against CEX or DEX at the same time. archon's role is to make it easier to use exchange wrappers and any exchange communication by adding middleware i.e. a "trading broker" described here [1]. the middleware makes it easy to write strategy code by bridging polling or streaming protocols, track orders and execution. 0x can be integrated by adding a exchange gateway to the broker

the calls needed are:

• get open orders
• get balance
• get orderbook
• submit order
• cancel order
• get transaction history

the broker will poll the smart contracts/relayers. the frontend of archon can be used to display the relevant data i.e. orderbooks, balances, orders, executions

relevant libraries that can be used is the python backend from makerdao
https://github.com/makerdao/pymaker
https://github.com/makerdao/pyexchange
https://github.com/0xProject/0x-monorepo/

[1] https://gist.github.com/benjyz/d9faef0926b20473716cf28286df77ed

• install python3 https://docs.python-guide.org/starting/install3/win/

• install pip3, see https://stackoverflow.com/questions/41501636/how-to-install-pip3-on-windows, https://matthewhorne.me/how-to-install-python-and-pip-on-windows-10/

• install requirements.txt with pip

• add apikeys.toml file

• add conf.toml file

at startup and regularly hearbeat exchange and ensure connection is ok