Centralized maker only mode (#123)

api/exchange.go

@@ -75,13 +75,18 @@ type Constrainable interface {
 	GetOrderConstraints(pair *model.TradingPair) *model.OrderConstraints
 }
 
+// OrderbookFetcher extracts out the method that should go into ExchangeShim for now
+type OrderbookFetcher interface {
+	GetOrderBook(pair *model.TradingPair, maxCount int32) (*model.OrderBook, error)
+}
+
 // TradeAPI is the interface we use as a generic API for trading on any crypto exchange
 type TradeAPI interface {
 	GetAssetConverter() *model.AssetConverter
 
 	Constrainable
 
-	GetOrderBook(pair *model.TradingPair, maxCount int32) (*model.OrderBook, error)
+	OrderbookFetcher
 
 	GetTrades(pair *model.TradingPair, maybeCursor interface{}) (*TradesResult, error)
 
@@ -207,4 +212,5 @@ type ExchangeShim interface {
 	GetBalanceHack(asset horizon.Asset) (*Balance, error)
 	LoadOffersHack() ([]horizon.Offer, error)
 	Constrainable
+	OrderbookFetcher
 }

cmd/trade.go

@@ -242,12 +242,6 @@ func init() {
 			// we want to delete all the offers and exit here since there is something wrong with our setup
 			deleteAllOffersAndExit(l, botConfig, client, sdex, exchangeShim)
 		}
-		if !isTradingSdex && submitMode != api.SubmitModeBoth {
-			log.Println()
-			log.Println("cannot run on a non-SDEX exchange with SUBMIT_MODE set to something other than \"both\"")
-			// we want to delete all the offers and exit here since there is something wrong with our setup
-			deleteAllOffersAndExit(l, botConfig, client, sdex, exchangeShim)
-		}
 		if !isTradingSdex && botConfig.FillTrackerSleepMillis != 0 {
 			log.Println()
 			log.Println("cannot run on a non-SDEX exchange with FILL_TRACKER_SLEEP_MILLIS set to something other than 0")

plugins/batchedExchange.go

@@ -154,6 +154,11 @@ func (b BatchedExchange) GetOrderConstraints(pair *model.TradingPair) *model.Ord
 	return b.inner.GetOrderConstraints(pair)
 }
 
+// GetOrderBook impl
+func (b BatchedExchange) GetOrderBook(pair *model.TradingPair, maxCount int32) (*model.OrderBook, error) {
+	return b.inner.GetOrderBook(pair, maxCount)
+}
+
 // SubmitOps performs any finalization or submission step needed by the exchange
 func (b BatchedExchange) SubmitOps(ops []build.TransactionMutator, asyncCallback func(hash string, e error)) error {
 	var e error

plugins/sdexMakerFilter.go → plugins/makerModeFilter.go

@@ -12,28 +12,30 @@ import (
 	"github.com/stellar/kelp/support/utils"
 )
 
-// MakeSdexMakerModeFilter makes a submit filter based on the passed in submitMode
-func MakeSdexMakerModeFilter(submitMode api.SubmitMode, sdex *SDEX, tradingPair *model.TradingPair) SubmitFilter {
+type makerModeFilter struct {
+	tradingPair  *model.TradingPair
+	exchangeShim api.ExchangeShim
+	sdex         *SDEX
+}
+
+// MakeFilterMakerMode makes a submit filter based on the passed in submitMode
+func MakeFilterMakerMode(submitMode api.SubmitMode, exchangeShim api.ExchangeShim, sdex *SDEX, tradingPair *model.TradingPair) SubmitFilter {
 	if submitMode == api.SubmitModeMakerOnly {
-		return &sdexMakerFilter{
-			tradingPair: tradingPair,
-			sdex:        sdex,
+		return &makerModeFilter{
+			tradingPair:  tradingPair,
+			exchangeShim: exchangeShim,
+			sdex:         sdex,
 		}
 	}
 	return nil
 }
 
-type sdexMakerFilter struct {
-	tradingPair *model.TradingPair
-	sdex        *SDEX
-}
-
-var _ SubmitFilter = &sdexMakerFilter{}
+var _ SubmitFilter = &makerModeFilter{}
 
-func (f *sdexMakerFilter) Apply(ops []build.TransactionMutator, sellingOffers []horizon.Offer, buyingOffers []horizon.Offer) ([]build.TransactionMutator, error) {
-	ob, e := f.sdex.GetOrderBook(f.tradingPair, math.MaxInt32)
+func (f *makerModeFilter) Apply(ops []build.TransactionMutator, sellingOffers []horizon.Offer, buyingOffers []horizon.Offer) ([]build.TransactionMutator, error) {
+	ob, e := f.exchangeShim.GetOrderBook(f.tradingPair, 50)
 	if e != nil {
-		return nil, fmt.Errorf("could not fetch SDEX orderbook: %s", e)
+		return nil, fmt.Errorf("could not fetch orderbook: %s", e)
 	}
 
 	ops, e = f.filterOps(ops, ob, sellingOffers, buyingOffers)
@@ -54,8 +56,8 @@ func isNewLevel(lastPrice *model.Number, priceNumber *model.Number, isSell bool)
 	return false
 }
 
-func (f *sdexMakerFilter) collateOffers(traderOffers []horizon.Offer, isSell bool) ([]api.Level, error) {
-	oc := f.sdex.GetOrderConstraints(f.tradingPair)
+func (f *makerModeFilter) collateOffers(traderOffers []horizon.Offer, isSell bool) ([]api.Level, error) {
+	oc := f.exchangeShim.GetOrderConstraints(f.tradingPair)
 
 	levels := []api.Level{}
 	var lastPrice *model.Number
@@ -84,7 +86,7 @@ func (f *sdexMakerFilter) collateOffers(traderOffers []horizon.Offer, isSell boo
 	return levels, nil
 }
 
-func (f *sdexMakerFilter) topOrderPriceExcludingTrader(obSide []model.Order, traderOffers []horizon.Offer, isSell bool) (*model.Number, error) {
+func (f *makerModeFilter) topOrderPriceExcludingTrader(obSide []model.Order, traderOffers []horizon.Offer, isSell bool) (*model.Number, error) {
 	traderLevels, e := f.collateOffers(traderOffers, isSell)
 	if e != nil {
 		return nil, fmt.Errorf("unable to collate offers: %s", e)
@@ -107,15 +109,15 @@ func (f *sdexMakerFilter) topOrderPriceExcludingTrader(obSide []model.Order, tra
 	return nil, nil
 }
 
-func (f *sdexMakerFilter) filterOps(
+func (f *makerModeFilter) filterOps(
 	ops []build.TransactionMutator,
 	ob *model.OrderBook,
 	sellingOffers []horizon.Offer,
 	buyingOffers []horizon.Offer,
 ) ([]build.TransactionMutator, error) {
 	baseAsset, quoteAsset, e := f.sdex.Assets()
 	if e != nil {
-		return nil, fmt.Errorf("could not get sdex assets: %s", e)
+		return nil, fmt.Errorf("could not get assets: %s", e)
 	}
 
 	topBidPrice, e := f.topOrderPriceExcludingTrader(ob.Bids(), buyingOffers, false)
@@ -167,11 +169,11 @@ func (f *sdexMakerFilter) filterOps(
 			}
 		}
 	}
-	log.Printf("dropped %d, transformed %d, kept %d ops in sdexMakerFilter from original %d ops, len(filteredOps) = %d\n", numDropped, numTransformed, numKeep, len(ops), len(filteredOps))
+	log.Printf("makerModeFilter: dropped %d, transformed %d, kept %d ops from original %d ops, len(filteredOps) = %d\n", numDropped, numTransformed, numKeep, len(ops), len(filteredOps))
 	return filteredOps, nil
 }
 
-func (f *sdexMakerFilter) transformOfferMakerMode(
+func (f *makerModeFilter) transformOfferMakerMode(
 	baseAsset horizon.Asset,
 	quoteAsset horizon.Asset,
 	topBidPrice *model.Number,
@@ -193,10 +195,10 @@ func (f *sdexMakerFilter) transformOfferMakerMode(
 	if !isSell && topAskPrice != nil {
 		// invert price when buying
 		keep = 1/sellPrice < topAskPrice.AsFloat()
-		log.Printf("sdexMakerFilter:  buying, keep = (op price) %.7f < %.7f (topAskPrice): keep = %v", 1/sellPrice, topAskPrice.AsFloat(), keep)
+		log.Printf("makerModeFilter:  buying, keep = (op price) %.7f < %.7f (topAskPrice): keep = %v", 1/sellPrice, topAskPrice.AsFloat(), keep)
 	} else if isSell && topBidPrice != nil {
 		keep = sellPrice > topBidPrice.AsFloat()
-		log.Printf("sdexMakerFilter: selling, keep = (op price) %.7f > %.7f (topBidPrice): keep = %v", sellPrice, topBidPrice.AsFloat(), keep)
+		log.Printf("makerModeFilter: selling, keep = (op price) %.7f > %.7f (topBidPrice): keep = %v", sellPrice, topBidPrice.AsFloat(), keep)
 	} else {
 		price := sellPrice
 		action := "selling"
@@ -205,7 +207,7 @@ func (f *sdexMakerFilter) transformOfferMakerMode(
 			action = " buying"
 		}
 		keep = true
-		log.Printf("sdexMakerFilter: %s, no market (op price = %.7f): keep = %v", action, price, keep)
+		log.Printf("makerModeFilter: %s, no market (op price = %.7f): keep = %v", action, price, keep)
 	}
 
 	if keep {

plugins/orderConstraintsFilter.go

@@ -19,8 +19,8 @@ type orderConstraintsFilter struct {
 
 var _ SubmitFilter = &orderConstraintsFilter{}
 
-// MakeOrderConstraintsFilter makes a submit filter based on the passed in orderConstraints
-func MakeOrderConstraintsFilter(
+// MakeFilterOrderConstraints makes a submit filter based on the passed in orderConstraints
+func MakeFilterOrderConstraints(
 	oc *model.OrderConstraints,
 	baseAsset horizon.Asset,
 	quoteAsset horizon.Asset,
@@ -83,7 +83,7 @@ func (f *orderConstraintsFilter) Apply(
 		}
 	}
 
-	log.Printf("dropped %d, kept %d ops in orderConstraintsFilter from original %d ops, len(filteredOps) = %d\n", numDropped, numKeep, len(ops), len(filteredOps))
+	log.Printf("orderConstraintsFilter: dropped %d, kept %d ops from original %d ops, len(filteredOps) = %d\n", numDropped, numKeep, len(ops), len(filteredOps))
 	return filteredOps, nil
 }
 

trader/trader.go

@@ -70,10 +70,10 @@ func MakeBot(
 	submitFilters := []plugins.SubmitFilter{}
 
 	oc := exchangeShim.GetOrderConstraints(tradingPair)
-	orderConstraintsFilter := plugins.MakeOrderConstraintsFilter(oc, assetBase, assetQuote)
+	orderConstraintsFilter := plugins.MakeFilterOrderConstraints(oc, assetBase, assetQuote)
 	submitFilters = append(submitFilters, orderConstraintsFilter)
 
-	sdexSubmitFilter := plugins.MakeSdexMakerModeFilter(submitMode, sdex, tradingPair)
+	sdexSubmitFilter := plugins.MakeFilterMakerMode(submitMode, exchangeShim, sdex, tradingPair)
 	if sdexSubmitFilter != nil {
 		submitFilters = append(submitFilters, sdexSubmitFilter)
 	}