multi: Arbitrage Bot #2005

martonp · 2022-12-20T22:03:30Z

This PR adds a new Arbitrage Bot in addition to the existing market maker bot.

libxc: A new lilbxc package is created which contains a CEX interface which allows a user to interact with a centralized exchanges API. Binance is the first exchange implemented.

core:

The makerBot is refactored to take a botEngine as a field which contains the logic of when to place and cancel orders. The old maker bot logic is placed into the gapEngine type, and an arbitrage bot is added. The arbitrage bot compares the DEX and the CEX order books, and if there is an arbitrage opportunity, executes a trade on both. In order to easily test the botEngine, the constructors for the botEngines take an "inputs" interface, which is implemented by the makerBot.
Functionality to register API keys for a CEX and to later update those API keys are added through the RegisterCEXCreds and UpdateCEXCreds functions. The credentials are stored in the db.
Functionality to connect and disconnect from a CEX is added. There should never be any calls made to a CEX API unless the user explicitly connects to a CEX, or restarts a previously created bot that uses that CEX.

app: The maker maker screen is updated to allow both Gap Bots and Arbitrage Bots to be created. Screens to manage the CEX API keys, view CEX balances, and view the markets available on the CEX are also added.

chappjc · 2022-12-22T20:16:18Z

client/core/bot.go

-//     2 x L commitment. If low balance restricts the maintenance of L lots on
-//     one side, allow the difference in lots to be added to the opposite side.
-//  6. Place orders, cancels first, then buys and sells.
+// The strategy the makerBot follows depends on the engine.
 type makerBot struct {
 	*Core


Will you remind me why bot creation and management is part of Core if (as I would expect) the bot itself wraps/manages a Core instance as here? I'm not 100% against it, but I want to establish boundaries and guidelines for just how integrated with Core internals bots are supposed to get.

I guess the reason is that the makerBot calls many of Core's functions. @buck54321 can probably explain more. I think the two options are doing it this way or doing what I've done with the botEngine input types.

Ah, OK fair enough. I guess I need to audit that to see. Looks like it accesses unexported stuff like Core.db, Core.cancelOrder, Core.notify, Core.syncBook, Core.ctx, etc.
I do wonder what it would take to have a bot function with Core's exported API. It certainly saves a lot of effort to be in the client/core package and expand Core rather than consume it as a black box.

Thanks for refactoring the bot and adding arb. Good stuff!

chappjc · 2022-12-22T20:20:48Z

client/core/libxc/binance.go

+
+	bnc.markets.Store(make(map[string]symbol))
+
+	return (CEX)(bnc)


The mantra in Go that we flaunt often is "Accept Interfaces Return Structs".
I think this should return *binance and the driver-like helper NewCEX that you've defined in interface.go can coerce it into an interface. Although I'm not sure yet that it's the right place to force it into an interface.

Adds the ability to send raw byte strings over a websocket connection.

A new CEX interface is introduced which allows interaction with a CEX API. One implementation of this interface is added for Binance. A new field is added to the `Core` type to store connections to CEXes. The DB is extended to store API credentials for CEXes. New webserver routes are added to register and update CEX credentials, and to connect and disconnect from a CEX.

The `makerBot` is refactored to take a `botEngine` as a field which contains the logic of when to place and cancel orders. The old maker bot logic is placed into the `gapEngine` type, and an arbitrage bot is added. The arbitrage bot compares the DEX and the CEX order books, and if there is an arbitrage opportunity, executes a trade on both. The UI is also updated to be able to create both gap and arbitrage bots.

JoeGruffins · 2023-05-08T09:04:27Z

client/core/libxc/binance.go

+	var ok bool
+	assetID, ok := dex.BipSymbolID(symbol)
+	if !ok {
+		return nil, fmt.Errorf("not id found for %q", symbol)


JoeGruffins · 2023-05-08T09:49:08Z

client/core/botengine_arb.go

@@ -0,0 +1,527 @@
+package core


Some files missing the license, if necessary.

JoeGruffins · 2023-05-08T09:58:13Z

client/core/botengine_arb.go

+}
+
+func (cfg *ArbEngineCfg) validate() error {
+	if cfg.ProfitTrigger <= 0 || cfg.ProfitTrigger > 1 {


Could this not be above 1 and still function correctly?

It will function correctly, but expecting 100% on an arb trade is a bit unrealistic I think.

JoeGruffins · 2023-05-08T10:00:51Z

client/core/botengine_arb.go

+	startEpoch     uint64
+}
+
+// arbEngineInputs are the input functions required an ArbEngine to function.


required for

JoeGruffins · 2023-05-08T10:01:56Z

client/core/botengine_arb.go

+	cex               libxc.CEX
+	cexTradeUpdatesID int
+	inputs            arbEngineInputs
+	cfgV              atomic.Value


Maybe comment stored type?

JoeGruffins · 2023-05-10T06:49:08Z

client/core/libxc/binance.go

+					reconnect = time.After(time.Second * 30)
+				} else {
+					reconnect = time.After(time.Hour * 12)
+				}
+			case <-keepAlive.C:


Probably doesn't happen often, but could continue early in keepAlive ticks while reconnecting, if the reconnect failed and we are waiting the thirty seconds.

JoeGruffins · 2023-05-10T06:56:58Z

client/core/libxc/binance.go

+	}{
+		Method: method,
+		Params: []string{
+			slug + "@depth20",


depth20 is best 20 orders on both sides?

JoeGruffins · 2023-05-10T07:23:13Z

client/core/libxc/interface.go

+	// SubscribeTradeUpdates returns a channel that the caller can use to
+	// listen for updates to a trade's status. If integer returned from
+	// this function must be passed as the updaterID argument to Trade,
+	// updates to the trade will be sent on the channel.


If integer returned from this function must be passed as the updaterID argument to Trade If -> The?

JoeGruffins · 2023-05-10T07:34:22Z

client/core/libxc/binance.go

+	return weightedSum / qty, extrema, true, nil
+}
+
+type binanceNetworkInfo struct {


Can you comment a url where the api specifics exist in case something ever changes?

JoeGruffins · 2023-05-10T07:46:24Z

dex/calc/convert.go

+	return MessageRateAlt(conventionalRate, baseInfo.Conventional.ConversionFactor, quoteInfo.Conventional.ConversionFactor)
+}
+
+// MessageRate converts an exchange rate in conventional encoding to one


MessageRate -> MessageRateAlt

martonp · 2023-05-29T09:31:39Z

@JoeGruffins thanks for the review. I'm going to kind of redo this PR to fit with the new design of the market maker, but I'll take your comments into consideration in the other PR.

buck54321 · 2023-08-11T07:38:42Z

Might have a fun rebase now. I'd love to start reviewing this soon.

martonp · 2023-08-11T07:51:46Z

@buck54321 I have something on another branch already.. I'll have this updated soon.

martonp · 2023-08-16T15:55:08Z

Closing in favor of #2480.

martonp force-pushed the arbbot branch from af2d355 to 2e231e6 Compare December 20, 2022 22:06

chappjc reviewed Dec 22, 2022

View reviewed changes

chappjc added the bot label Dec 29, 2022

chappjc added this to the 1.0 milestone Jan 30, 2023

martonp added 2 commits April 13, 2023 16:11

client: Add raw handler to wsconn

47eb419

Adds the ability to send raw byte strings over a websocket connection.

martonp force-pushed the arbbot branch from 2e231e6 to 27a89c3 Compare April 13, 2023 20:14

martonp force-pushed the arbbot branch from 27a89c3 to a1a85d6 Compare April 13, 2023 20:17

martonp mentioned this pull request Apr 15, 2023

Market Maker Bittrex API #2305

Open

JoeGruffins reviewed May 10, 2023

View reviewed changes

martonp marked this pull request as draft May 31, 2023 07:44

martonp closed this Aug 16, 2023

martonp deleted the arbbot branch January 20, 2024 13:17

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multi: Arbitrage Bot #2005

multi: Arbitrage Bot #2005

martonp commented Dec 20, 2022

chappjc Dec 22, 2022

martonp Dec 22, 2022

chappjc Dec 22, 2022

chappjc Dec 22, 2022

JoeGruffins May 8, 2023

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martonp May 29, 2023

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martonp commented May 29, 2023

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martonp commented Aug 16, 2023

multi: Arbitrage Bot #2005

multi: Arbitrage Bot #2005

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martonp commented Dec 20, 2022

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martonp commented May 29, 2023

buck54321 commented Aug 11, 2023

martonp commented Aug 11, 2023

martonp commented Aug 16, 2023