Crypto Liquidity Integrator

Origins

https://t.me/alkotrading

Features

• L3 Order Book persistence
• Realtime WebSocket Connections
• Stream Recording and Replaying
• BitMEX, OKCoin, GDAX and other venues
• Reconnecting on stream failures
• Fast ETS storage as matching engine
• 400 LOC

Launch

$ brew install erlang
$ git clone git://github.com/spawnproc/ticker && cd ticker
$ ./mad dep com pla && ./mad rep

Text Log

Orders:

10:40:60.871 +762 1207.95 0.01 — bid order
10:40:60.850 -184 0 cancel order
10:40:60.871 -762 1207.95 0.01 — ask order

Trades:

13:37:37.707 1188.48 -472.0 — ask trade happened at price level
13:37:38.611 1188.43 593.0 — bid trade happened at price level

$ tail priv/gdax/order/2017-2-28/BTC-USD
13:11:17.789 +5257 1182.03 1.05
13:11:17.825 -5258 1188.49 1.1
13:11:17.833 -5259 1188.49 1.05
13:11:17.842 -5260 1188.49 1.03
13:11:17.919 -5261 1191.99 0.39893221
13:11:18.549 -5270 1188.49 0.97
13:11:18.550 -5271 1188.39 0.87
13:11:18.562 -5272 1188.39 0.98
13:11:18.568 -5273 1188.39 1.05
13:11:18.581 -5274 1188.39 1.09

Commands

Obtain Supported Instruments

> book:instruments().
[bitmex_btc_usd,gdax_btc_usd,gdax_btc_eur,gdax_btc_gbp,
gdax_eth_btc,gdax_eth_usd]

Book Print

> book:print(gdax_eth_usd).
Price Size
----- -----------
 17.2 -63.525569
16.55 -773.89671
16.49 -193.229001
16.47 -596.371001
16.46 -1326.826
16.43 -388.725
 16.4 -542.978
16.39 -335.531483
16.38 121.982
16.36 122.26
16.31 105.91549
 16.3 556.308115
16.28 556.99154
Depth: 13
Total: -2757.625619
ok

Enable Console Log

> application:set_env(trade,log,show).
ok
>
bitmex:"XBTUSD":"Buy":10:55:23.433 -1130 0
bitmex:"XBTUSD":"Buy":10:55:23.438 +1045 1202.4 4000.0
gdax:"BTC-GBP":"buy":10:55:23.462 +291 960.71 0.09992562
bitmex:"XBTUSD":"Buy":10:55:23.470 -1045 0
bitmex:"XBTUSD":"Buy":10:55:23.474 +712 1201.9 1000.0

Orders Table

> kvs:all(order).
[{order,"4fb397c0-2e45-4d98-8f76-06399e9f9cf5",30,eth_btc},
 {order,"f8a81058-06bd-435c-b1cb-9ac8464af9ce",260,btc_eur},
 {order,"71ffcb78-f036-467c-b1ea-12c0e3d98a99",326,btc_eur},
 {order,"ad325868-23cd-4177-bfba-ed06a11ab707",216,btc_gpb},
 {order,"f991aa88-1278-4464-8992-b958eb1e977b",139,btc_gpb},
 {order,"830e9767-6182-42a6-b320-424f1e9211ca",312,btc_eur},
 {order,[...],...},
 {order,...},
 {...}|...]

TIC WebSocket Protocol

TIC protocol is using WAMP style of JSON messages, where we have only arrays, but not object structures. The message itself is an JSON array.

$ wscat -c ws://127.0.0.1:9000/gdax/BTC-USD
connected (press CTRL+C to quit)
< ['05:35:29.783', +5195, 1035.15, 0.24517252]
< ['05:35:29.785', +5349, 1094.27, 0.04]
< ['05:35:29.816', +5453, 1094.34, 0.1]
< ['05:35:29.857', +5564, 1094.37, 0.2479]
> book
< 10000000.0 -0.01
   9.99999 -317.078
       1.0 -5.010673
       0.5 -5.01
       0.3 -0.011
      0.25 -9.877214
       0.2 -0.011

Credits

• Maxim Sokhatsky
• Alexander Temerev

OM A HUM