Add sdex price feed (#90), closes #97

cmd/trade.go

@@ -163,6 +163,15 @@ func init() {
 			sdexAssetMap,
 		)
 
+		// setting the temp hack variables for the sdex price feeds
+		e = plugins.SetPrivateSdexHack(client, utils.ParseNetwork(botConfig.HorizonURL))
+		if e != nil {
+			l.Info("")
+			l.Errorf("%s", e)
+			// we want to delete all the offers and exit here since there is something wrong with our setup
+			deleteAllOffersAndExit(l, botConfig, client, sdex)
+		}
+
 		dataKey := model.MakeSortedBotKey(assetBase, assetQuote)
 		strat, e := plugins.MakeStrategy(sdex, tradingPair, &assetBase, &assetQuote, *strategy, *stratConfigPath, *simMode)
 		if e != nil {

examples/configs/trader/sample_buysell.cfg

@@ -6,6 +6,7 @@
 #   fiat
 #   fixed
 #   exchange
+#   sdex
 #
 # We take the values from both feeds and divide them to get the center price.
 
@@ -25,7 +26,7 @@ DATA_FEED_A_URL="kraken/XXLM/ZUSD"
 # this is the URL to a coinmarketcap feed which the bot understands.
 #DATA_FEED_A_URL="https://api.coinmarketcap.com/v1/ticker/stellar/"
 
-# this is a fixed value of 1 here because the exchange priceFeed provides a ratio of two assets.
+# this is a fixed value of 1 here because the exchange and sdex priceFeeds provides a ratio of two assets.
 DATA_TYPE_B="fixed"
 DATA_FEED_B_URL="1.0"
 
@@ -34,6 +35,13 @@ DATA_FEED_B_URL="1.0"
 # you can use a service like apilayer.net to get prices for fiat if you want real-time updates. You will need to fill in the access_key in this url
 #DATA_FEED_B_URL="http://apilayer.net/api/live?access_key=&currencies=NGN"
 
+# sample priceFeed with the "sdex" type
+# this feed pulls from the SDEX, you can use the asset you're trading or something else, like the same coin from another issuer
+# DATA_TYPE_A = "sdex"
+# this is a string representing a SDEX pair; the format is CODE:ISSUER/CODE:ISSUER
+# for XLM leave the issuer string blank
+# DATA_FEED_A_URL="COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI/XLM:"
+
 # what value of a price change triggers re-creating an offer. Price change refers to the existing price of the offer vs. what price we want to set. value is a percentage specified as a decimal number (0 < value < 1.00)
 PRICE_TOLERANCE=0.001
 

examples/configs/trader/sample_sell.cfg

@@ -8,6 +8,7 @@
 #   fiat
 #   fixed
 #   exchange
+#   sdex
 #
 # We take the values from both feeds and divide them to get the center price.
 
@@ -27,7 +28,7 @@ DATA_FEED_A_URL="kraken/XXLM/ZUSD"
 # this is the URL to a coinmarketcap feed which the bot understands.
 #DATA_FEED_A_URL="https://api.coinmarketcap.com/v1/ticker/stellar/"
 
-# this is a fixed value of 1 here because the exchange priceFeed provides a ratio of two assets.
+# this is a fixed value of 1 here because the exchange and sdex priceFeeds provides a ratio of two assets.
 DATA_TYPE_B="fixed"
 DATA_FEED_B_URL="1.0"
 
@@ -36,6 +37,13 @@ DATA_FEED_B_URL="1.0"
 # you can use a service like apilayer.net to get prices for fiat if you want real-time updates. You will need to fill in the access_key in this url
 #DATA_FEED_B_URL="http://apilayer.net/api/live?access_key=&currencies=NGN"
 
+# sample priceFeed with the "sdex" type
+# this feed pulls from the SDEX, you can use the asset you're trading or something else, like the same coin from another issuer
+# DATA_TYPE_A = "sdex"
+# this is a string representing a SDEX pair; the format is CODE:ISSUER/CODE:ISSUER
+# for XLM leave the issuer string blank
+# DATA_FEED_A_URL="COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI/XLM:"
+
 # what value of a price change triggers re-creating an offer. Price change refers to the existing price of the offer vs. what price we want to set. value is a percentage specified as a decimal number (0 < value < 1.00)
 PRICE_TOLERANCE=0.001
 

plugins/priceFeed.go

@@ -6,8 +6,32 @@ import (
 
 	"github.com/interstellar/kelp/api"
 	"github.com/interstellar/kelp/model"
+	"github.com/stellar/go/build"
+	"github.com/stellar/go/clients/horizon"
 )
 
+// privateSdexHack is a temporary hack struct for SDEX price feeds pending refactor
+type privateSdexHack struct {
+	API     *horizon.Client
+	Network build.Network
+}
+
+// privateSdexHackVar is a temporary hack variable for SDEX price feeds pending refactor
+var privateSdexHackVar *privateSdexHack
+
+// SetPrivateSdexHack sets the privateSdexHack variable which is temporary until the pending SDEX price feed refactor
+func SetPrivateSdexHack(api *horizon.Client, network build.Network) error {
+	if privateSdexHackVar != nil {
+		return fmt.Errorf("privateSdexHack is already set: %+v", privateSdexHackVar)
+	}
+
+	privateSdexHackVar = &privateSdexHack{
+		API:     api,
+		Network: network,
+	}
+	return nil
+}
+
 // MakePriceFeed makes a PriceFeed
 func MakePriceFeed(feedType string, url string) (api.PriceFeed, error) {
 	switch feedType {
@@ -38,6 +62,12 @@ func MakePriceFeed(feedType string, url string) (api.PriceFeed, error) {
 		}
 		tickerAPI := api.TickerAPI(exchange)
 		return newExchangeFeed(url, &tickerAPI, &tradingPair), nil
+	case "sdex":
+		sdex, e := makeSDEXFeed(url)
+		if e != nil {
+			return nil, fmt.Errorf("error occured while making the SDEX price feed: %s", e)
+		}
+		return sdex, nil
 	}
 	return nil, nil
 }

plugins/sdex.go

@@ -7,6 +7,7 @@ import (
 	"reflect"
 	"strconv"
 	"strings"
+	"time"
 
 	"github.com/interstellar/kelp/api"
 	"github.com/interstellar/kelp/model"
@@ -813,3 +814,75 @@ func (sdex *SDEX) GetLatestTradeCursor() (interface{}, error) {
 
 	return records[0].PT, nil
 }
+
+// GetOrderBook gets the SDEX orderbook
+func (sdex *SDEX) GetOrderBook(pair *model.TradingPair, maxCount int32) (*model.OrderBook, error) {
+	if pair != sdex.pair {
+		return nil, fmt.Errorf("unregistered trading pair (%s) cannot be converted to horizon.Assets, instance's pair: %s", pair.String(), sdex.pair.String())
+	}
+
+	baseAsset, quoteAsset, e := sdex.pair2Assets()
+	if e != nil {
+		return nil, fmt.Errorf("cannot get SDEX orderbook: %s", e)
+	}
+
+	ob, e := sdex.API.LoadOrderBook(baseAsset, quoteAsset)
+	if e != nil {
+		return nil, fmt.Errorf("cannot get SDEX orderbook: %s", e)
+	}
+
+	ts := model.MakeTimestamp(time.Now().UnixNano() / int64(time.Millisecond))
+	transformedBids, e := sdex.transformHorizonOrders(pair, ob.Bids, model.OrderActionBuy, ts, maxCount)
+	if e != nil {
+		return nil, fmt.Errorf("could not transform bid side of SDEX orderbook: %s", e)
+	}
+
+	transformedAsks, e := sdex.transformHorizonOrders(pair, ob.Asks, model.OrderActionSell, ts, maxCount)
+	if e != nil {
+		return nil, fmt.Errorf("could not transform ask side of SDEX orderbook: %s", e)
+	}
+
+	return model.MakeOrderBook(
+		pair,
+		transformedAsks,
+		transformedBids,
+	), nil
+}
+
+func (sdex *SDEX) transformHorizonOrders(
+	pair *model.TradingPair,
+	side []horizon.PriceLevel,
+	orderAction model.OrderAction,
+	ts *model.Timestamp,
+	maxCount int32,
+) ([]model.Order, error) {
+	transformed := []model.Order{}
+	for i, o := range side {
+		if i >= int(maxCount) {
+			break
+		}
+
+		floatPrice := float64(o.PriceR.N) / float64(o.PriceR.D)
+		price := model.NumberFromFloat(floatPrice, sdexOrderConstraints.PricePrecision)
+
+		volume, e := model.NumberFromString(o.Amount, sdexOrderConstraints.VolumePrecision)
+		if e != nil {
+			return nil, fmt.Errorf("could not parse amount for horizon order: %s", e)
+		}
+		// special handling of amount for bids
+		if orderAction.IsBuy() {
+			// use floatPrice here for more accuracy since floatPrice is what will be used in stellar-core
+			volume = volume.Scale(1.0 / floatPrice)
+		}
+
+		transformed = append(transformed, model.Order{
+			Pair:        pair,
+			OrderAction: orderAction,
+			OrderType:   model.OrderTypeLimit,
+			Price:       price,
+			Volume:      volume,
+			Timestamp:   ts,
+		})
+	}
+	return transformed, nil
+}

plugins/sdexFeed.go

@@ -0,0 +1,91 @@
+package plugins
+
+import (
+	"fmt"
+	"strings"
+
+	"github.com/interstellar/kelp/api"
+	"github.com/interstellar/kelp/model"
+	"github.com/interstellar/kelp/support/utils"
+	"github.com/stellar/go/clients/horizon"
+)
+
+// sdexFeed represents a pricefeed from the SDEX
+type sdexFeed struct {
+	sdex       *SDEX
+	assetBase  *horizon.Asset
+	assetQuote *horizon.Asset
+}
+
+// ensure that it implements PriceFeed
+var _ api.PriceFeed = &sdexFeed{}
+
+// makeSDEXFeed creates a price feed from buysell's url fields
+func makeSDEXFeed(url string) (*sdexFeed, error) {
+	urlParts := strings.Split(url, "/")
+
+	baseAsset, e := parseHorizonAsset(urlParts[0])
+	if e != nil {
+		return nil, fmt.Errorf("unable to convert base asset url to sdex asset: %s", e)
+	}
+	quoteAsset, e := parseHorizonAsset(urlParts[1])
+	if e != nil {
+		return nil, fmt.Errorf("unable to convert quote asset url to sdex asset: %s", e)
+	}
+
+	tradingPair := &model.TradingPair{
+		Base:  model.Asset(utils.Asset2CodeString(*baseAsset)),
+		Quote: model.Asset(utils.Asset2CodeString(*quoteAsset)),
+	}
+	sdexAssetMap := map[model.Asset]horizon.Asset{
+		tradingPair.Base:  *baseAsset,
+		tradingPair.Quote: *quoteAsset,
+	}
+	sdex := MakeSDEX(
+		privateSdexHackVar.API,
+		"",
+		"",
+		"",
+		"",
+		privateSdexHackVar.Network,
+		nil,
+		0,
+		0,
+		true,
+		tradingPair,
+		sdexAssetMap,
+	)
+
+	return &sdexFeed{
+		sdex:       sdex,
+		assetBase:  baseAsset,
+		assetQuote: quoteAsset,
+	}, nil
+}
+
+func parseHorizonAsset(assetString string) (*horizon.Asset, error) {
+	parts := strings.Split(assetString, ":")
+	code := parts[0]
+	issuer := parts[1]
+
+	asset, e := utils.ParseAsset(code, issuer)
+	if e != nil {
+		return nil, fmt.Errorf("could not read horizon asset from string (%s): %s", assetString, e)
+	}
+
+	return asset, e
+}
+
+// GetPrice returns the SDEX mid price for the trading pair
+func (s *sdexFeed) GetPrice() (float64, error) {
+	orderBook, e := s.sdex.GetOrderBook(s.sdex.pair, 1)
+	if e != nil {
+		return 0, fmt.Errorf("unable to get sdex price: %s", e)
+	}
+
+	topBidPrice := orderBook.Bids()[0].Price
+	topAskPrice := orderBook.Asks()[0].Price
+
+	centerPrice := topBidPrice.Add(*topAskPrice).Scale(0.5).AsFloat()
+	return centerPrice, nil
+}

support/utils/functions.go

@@ -235,3 +235,22 @@ func CheckedString(v interface{}) string {
 	}
 	return fmt.Sprintf("%v", v)
 }
+
+// ParseAsset returns a horizon asset a string
+func ParseAsset(code string, issuer string) (*horizon.Asset, error) {
+	if code != "XLM" && issuer == "" {
+		return nil, fmt.Errorf("error: issuer can only be empty if asset is XLM")
+	}
+
+	if code == "XLM" && issuer != "" {
+		return nil, fmt.Errorf("error: issuer needs to be empty if asset is XLM")
+	}
+
+	if code == "XLM" {
+		asset := Asset2Asset2(build.NativeAsset())
+		return &asset, nil
+	}
+
+	asset := Asset2Asset2(build.CreditAsset(code, issuer))
+	return &asset, nil
+}

trader/config.go

@@ -4,7 +4,6 @@ import (
 	"fmt"
 
 	"github.com/interstellar/kelp/support/utils"
-	"github.com/stellar/go/build"
 	"github.com/stellar/go/clients/horizon"
 )
 
@@ -76,15 +75,15 @@ func (b *BotConfig) Init() error {
 		return fmt.Errorf("error: both assets cannot be the same '%s:%s'", b.AssetCodeA, b.IssuerA)
 	}
 
-	asset, e := parseAsset(b.AssetCodeA, b.IssuerA, "A")
+	asset, e := utils.ParseAsset(b.AssetCodeA, b.IssuerA)
 	if e != nil {
-		return e
+		return fmt.Errorf("Error while parsing Asset A: %s", e)
 	}
 	b.assetBase = *asset
 
-	asset, e = parseAsset(b.AssetCodeB, b.IssuerB, "B")
+	asset, e = utils.ParseAsset(b.AssetCodeB, b.IssuerB)
 	if e != nil {
-		return e
+		return fmt.Errorf("Error while parsing Asset B: %s", e)
 	}
 	b.assetQuote = *asset
 
@@ -99,21 +98,3 @@ func (b *BotConfig) Init() error {
 	b.sourceAccount, e = utils.ParseSecret(b.SourceSecretSeed)
 	return e
 }
-
-func parseAsset(code string, issuer string, letter string) (*horizon.Asset, error) {
-	if code != XLM && issuer == "" {
-		return nil, fmt.Errorf("error: ISSUER_%s can only be empty if ASSET_CODE_%s is '%s'", letter, letter, XLM)
-	}
-
-	if code == XLM && issuer != "" {
-		return nil, fmt.Errorf("error: ISSUER_%s needs to be empty if ASSET_CODE_%s is '%s'", letter, letter, XLM)
-	}
-
-	if code == XLM {
-		asset := utils.Asset2Asset2(build.NativeAsset())
-		return &asset, nil
-	}
-
-	asset := utils.Asset2Asset2(build.CreditAsset(code, issuer))
-	return &asset, nil
-}