new price feed: last trade price (closes #333) (#334)

* 1 - add lastPrice to api.Ticker and to CCXT

* 2 - add last price to tickerAPI of krakenExchange.go

* 3 - log lastTradePrice in exchangeFeed.go

* 4 - add support for "last" price modifier in exchangeFeed and sample config files

* 5 - add note in LIST_OF_HACKS for backward compatibility in defaulting to "mid" price in exchangeFeed

* 6 - move validation check on modifier input to exchange factory method

* 7 - rename GetMidPrice() -> GetFeedPairPrice() in FeedPair

LIST_OF_HACKS.md

@@ -5,6 +5,7 @@
 Incomplete list of hacks in the codebase that should be fixed before upgrading to v2.0 which will change the API to Kelp in some way
 
 - LOH-1 - support backward-compatible case of not having any pre-specified function
+- LOH-2 - support backward-compatible case of defaulting to "mid" price when left unspecified
 
 ## Workarounds
 

api/exchange.go

@@ -36,8 +36,9 @@ type Account interface {
 
 // Ticker encapsulates all the data for a given Trading Pair
 type Ticker struct {
-	AskPrice *model.Number
-	BidPrice *model.Number
+	AskPrice  *model.Number
+	BidPrice  *model.Number
+	LastPrice *model.Number
 }
 
 // TradesResult is the result of a GetTrades call

api/priceFeed.go

@@ -7,14 +7,15 @@ type PriceFeed interface {
 	GetPrice() (float64, error)
 }
 
+// TODO this should be structured as a specific impl. of the PriceFeed interface
 // FeedPair is the struct representing a price feed for a trading pair
 type FeedPair struct {
 	FeedA PriceFeed
 	FeedB PriceFeed
 }
 
-// GetMidPrice fetches the mid price from this feed pair
-func (p *FeedPair) GetMidPrice() (float64, error) {
+// GetFeedPairPrice fetches the price by dividing FeedA by FeedB
+func (p *FeedPair) GetFeedPairPrice() (float64, error) {
 	pA, err := p.FeedA.GetPrice()
 	if err != nil {
 		return 0, err
@@ -26,7 +27,7 @@ func (p *FeedPair) GetMidPrice() (float64, error) {
 		return 0, err
 	}
 
-	midPrice := pA / pB
-	log.Printf("feedPair prices: feedA=%.7f, feedB=%.7f; midPrice=%.7f\n", pA, pB, midPrice)
-	return midPrice, nil
+	price := pA / pB
+	log.Printf("feedPair prices: feedA=%.8f, feedB=%.8f; price=%.8f\n", pA, pB, price)
+	return price, nil
 }

examples/configs/trader/sample_buysell.cfg

@@ -19,11 +19,11 @@ DATA_TYPE_A="exchange"
 #     this code can be retrieved from the exchange's website or from the ccxt manual for ccxt-based exchanges.
 # modifier:
 #     this is a modifier that can be included only for feed type "exchange".
-#     a modifier allows you to fetch the "mid" price, "ask" price, or "bid" price for now.
-#     if left unspecified then this is defaulted to "mid" for backwards compatibility (until v2.0 is released)
+#     a modifier allows you to fetch the "mid" price, "ask" price, "bid" price, or "last" price for now.
+#     if left unspecified then this is defaulted to "mid" for backwards compatibility (until v2.0 is released) (LOH-2)
 # uncomment below to use binance, poloniex, or bittrex as your price feed. You will need to set up CCXT to use this, see the "Using CCXT" section in the README for details.
 # be careful about using USD vs. USDT since some exchanges support only one, or both, or in some cases neither.
-#DATA_FEED_A_URL="ccxt-kraken/XLM/USD/mid"
+#DATA_FEED_A_URL="ccxt-kraken/XLM/USD/last"
 #DATA_FEED_A_URL="ccxt-binance/XLM/USDT/ask"
 #DATA_FEED_A_URL="ccxt-poloniex/XLM/USDT/bid"
 # bittrex does not have an XLM/USD market so this config lists XLM/BTC instead; you should NOT use this when trying to price an asset based on the XLM/USD price (unless you know what you are doing).

examples/configs/trader/sample_sell.cfg

@@ -21,11 +21,11 @@ DATA_TYPE_A="exchange"
 #     this code can be retrieved from the exchange's website or from the ccxt manual for ccxt-based exchanges.
 # modifier:
 #     this is a modifier that can be included only for feed type "exchange".
-#     a modifier allows you to fetch the "mid" price, "ask" price, or "bid" price for now.
-#     if left unspecified then this is defaulted to "mid" for backwards compatibility (until v2.0 is released)
+#     a modifier allows you to fetch the "mid" price, "ask" price, "bid" price, or "last" price for now.
+#     if left unspecified then this is defaulted to "mid" for backwards compatibility (until v2.0 is released) (LOH-2)
 # uncomment below to use binance, poloniex, or bittrex as your price feed. You will need to set up CCXT to use this, see the "Using CCXT" section in the README for details.
 # be careful about using USD vs. USDT since some exchanges support only one, or both, or in some cases neither.
-#DATA_FEED_A_URL="ccxt-kraken/XLM/USD/mid"
+#DATA_FEED_A_URL="ccxt-kraken/XLM/USD/last"
 #DATA_FEED_A_URL="ccxt-binance/XLM/USDT/ask"
 #DATA_FEED_A_URL="ccxt-poloniex/XLM/USDT/bid"
 # bittrex does not have an XLM/USD market so this config lists XLM/BTC instead; you should NOT use this when trying to price an asset based on the XLM/USD price (unless you know what you are doing).

plugins/ccxtExchange.go

@@ -80,16 +80,22 @@ func (c ccxtExchange) GetTickerPrice(pairs []model.TradingPair) (map[model.Tradi
 
 		askPrice, e := utils.CheckFetchFloat(tickerMap, "ask")
 		if e != nil {
-			return nil, fmt.Errorf("unable to correctly fetch value from tickerMap: %s", e)
+			return nil, fmt.Errorf("unable to correctly fetch 'ask' value from tickerMap: %s", e)
 		}
 		bidPrice, e := utils.CheckFetchFloat(tickerMap, "bid")
 		if e != nil {
-			return nil, fmt.Errorf("unable to correctly fetch value from tickerMap: %s", e)
+			return nil, fmt.Errorf("unable to correctly fetch 'bid' value from tickerMap: %s", e)
+		}
+		lastPrice, e := utils.CheckFetchFloat(tickerMap, "last")
+		if e != nil {
+			return nil, fmt.Errorf("unable to correctly fetch 'last' value from tickerMap: %s", e)
 		}
 
+		pricePrecision := c.GetOrderConstraints(&p).PricePrecision
 		priceResult[p] = api.Ticker{
-			AskPrice: model.NumberFromFloat(askPrice, c.GetOrderConstraints(&p).PricePrecision),
-			BidPrice: model.NumberFromFloat(bidPrice, c.GetOrderConstraints(&p).PricePrecision),
+			AskPrice:  model.NumberFromFloat(askPrice, pricePrecision),
+			BidPrice:  model.NumberFromFloat(bidPrice, pricePrecision),
+			LastPrice: model.NumberFromFloat(lastPrice, pricePrecision),
 		}
 	}
 
@@ -114,7 +120,11 @@ func (c ccxtExchange) GetOrderConstraints(pair *model.TradingPair) *model.OrderC
 	if ccxtMarket == nil {
 		panic(fmt.Errorf("CCXT does not have precision and limit data for the passed in market: %s", pairString))
 	}
-	oc := model.MakeOrderConstraintsWithCost(ccxtMarket.Precision.Price, ccxtMarket.Precision.Amount, ccxtMarket.Limits.Amount.Min, ccxtMarket.Limits.Cost.Min)
+	volumePrecision := ccxtMarket.Precision.Amount
+	if volumePrecision == 0 {
+		volumePrecision = ccxtMarket.Precision.Price
+	}
+	oc := model.MakeOrderConstraintsWithCost(ccxtMarket.Precision.Price, volumePrecision, ccxtMarket.Limits.Amount.Min, ccxtMarket.Limits.Cost.Min)
 
 	return c.ocOverridesHandler.Apply(pair, oc)
 }

plugins/ccxtExchange_test.go

@@ -3,6 +3,7 @@ package plugins
 import (
 	"fmt"
 	"log"
+	"math"
 	"strconv"
 	"testing"
 	"time"
@@ -12,16 +13,22 @@ import (
 	"github.com/stretchr/testify/assert"
 )
 
-var supportedExchanges = []string{"binance"}
+var supportedExchanges = []string{"binance", "kraken"}
 var emptyAPIKey = api.ExchangeAPIKey{}
 var emptyParams = api.ExchangeParam{}
 var supportedTradingExchanges = map[string]api.ExchangeAPIKey{
 	"binance": {},
 }
 
-var testOrderConstraints = map[model.TradingPair]model.OrderConstraints{
-	*model.MakeTradingPair(model.XLM, model.USDT): *model.MakeOrderConstraints(4, 5, 0.1),
-	*model.MakeTradingPair(model.XLM, model.BTC):  *model.MakeOrderConstraints(8, 4, 1.0),
+var testOrderConstraints = map[string]map[model.TradingPair]model.OrderConstraints{
+	"binance": map[model.TradingPair]model.OrderConstraints{
+		*model.MakeTradingPair(model.XLM, model.USDT): *model.MakeOrderConstraints(4, 5, 0.1),
+		*model.MakeTradingPair(model.XLM, model.BTC):  *model.MakeOrderConstraints(8, 4, 1.0),
+	},
+	"kraken": map[model.TradingPair]model.OrderConstraints{
+		*model.MakeTradingPair(model.XLM, model.USD): *model.MakeOrderConstraints(6, 8, 30.0),
+		*model.MakeTradingPair(model.XLM, model.BTC): *model.MakeOrderConstraints(8, 8, 30.0),
+	},
 }
 
 func TestGetTickerPrice_Ccxt(t *testing.T) {
@@ -31,7 +38,7 @@ func TestGetTickerPrice_Ccxt(t *testing.T) {
 
 	for _, exchangeName := range supportedExchanges {
 		t.Run(exchangeName, func(t *testing.T) {
-			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{emptyAPIKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
+			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{emptyAPIKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
 			if !assert.NoError(t, e) {
 				return
 			}
@@ -47,6 +54,9 @@ func TestGetTickerPrice_Ccxt(t *testing.T) {
 
 			ticker := m[pair]
 			assert.True(t, ticker.AskPrice.AsFloat() < 1, ticker.AskPrice.AsString())
+			assert.True(t, ticker.BidPrice.AsFloat() < 1, ticker.BidPrice.AsString())
+			assert.True(t, ticker.BidPrice.AsFloat() < ticker.AskPrice.AsFloat(), fmt.Sprintf("bid price (%s) should be less than ask price (%s)", ticker.BidPrice.AsString(), ticker.AskPrice.AsString()))
+			assert.True(t, ticker.LastPrice.AsFloat() < 1, ticker.LastPrice.AsString())
 		})
 	}
 }
@@ -58,7 +68,7 @@ func TestGetOrderBook_Ccxt(t *testing.T) {
 
 	for _, exchangeName := range supportedExchanges {
 		t.Run(exchangeName, func(t *testing.T) {
-			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{emptyAPIKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
+			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{emptyAPIKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
 			if !assert.NoError(t, e) {
 				return
 			}
@@ -91,7 +101,7 @@ func TestGetTrades_Ccxt(t *testing.T) {
 
 	for _, exchangeName := range supportedExchanges {
 		t.Run(exchangeName, func(t *testing.T) {
-			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{emptyAPIKey}, []api.ExchangeParam{}, []api.ExchangeHeader{}, false)
+			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{emptyAPIKey}, []api.ExchangeParam{}, []api.ExchangeHeader{}, false)
 			if !assert.NoError(t, e) {
 				return
 			}
@@ -117,7 +127,7 @@ func TestGetTradeHistory_Ccxt(t *testing.T) {
 
 	for exchangeName, apiKey := range supportedTradingExchanges {
 		t.Run(exchangeName, func(t *testing.T) {
-			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
+			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
 			if !assert.NoError(t, e) {
 				return
 			}
@@ -144,10 +154,10 @@ func validateTrades(t *testing.T, pair model.TradingPair, trades []model.Trade)
 		if !assert.Equal(t, &pair, trade.Pair) {
 			return
 		}
-		if !assert.True(t, trade.Price.AsFloat() > 0, fmt.Sprintf("%.7f", trade.Price.AsFloat())) {
+		if !assert.True(t, trade.Price.AsFloat() > 0, trade.Price.AsString()) {
 			return
 		}
-		if !assert.True(t, trade.Volume.AsFloat() > 0, fmt.Sprintf("%.7f", trade.Volume.AsFloat())) {
+		if !assert.True(t, trade.Volume.AsFloat() > 0, trade.Volume.AsString()) {
 			return
 		}
 		if !assert.Equal(t, trade.OrderType, model.OrderTypeLimit) {
@@ -169,7 +179,9 @@ func validateTrades(t *testing.T, pair model.TradingPair, trades []model.Trade)
 			assert.Fail(t, "trade.OrderAction should be either OrderActionBuy or OrderActionSell: %v", trade.OrderAction)
 			return
 		}
-		if !assert.True(t, trade.Cost.AsFloat() > 0, fmt.Sprintf("(price) %s x (volume) %s = (cost) %s", trade.Price.AsString(), trade.Volume.AsString(), trade.Cost.AsString())) {
+		minPrecision := math.Min(float64(trade.Price.Precision()), float64(trade.Volume.Precision()))
+		nonZeroCalculatedCost := trade.Price.AsFloat()*trade.Volume.AsFloat() > math.Pow(10, -minPrecision)
+		if nonZeroCalculatedCost && !assert.True(t, trade.Cost.AsFloat() > 0, fmt.Sprintf("(price) %s x (volume) %s = (cost) %s", trade.Price.AsString(), trade.Volume.AsString(), trade.Cost.AsString())) {
 			return
 		}
 	}
@@ -178,7 +190,7 @@ func validateTrades(t *testing.T, pair model.TradingPair, trades []model.Trade)
 func TestGetLatestTradeCursor_Ccxt(t *testing.T) {
 	for exchangeName, apiKey := range supportedTradingExchanges {
 		t.Run(exchangeName, func(t *testing.T) {
-			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
+			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
 			if !assert.NoError(t, e) {
 				return
 			}
@@ -217,7 +229,7 @@ func TestGetAccountBalances_Ccxt(t *testing.T) {
 
 	for exchangeName, apiKey := range supportedTradingExchanges {
 		t.Run(exchangeName, func(t *testing.T) {
-			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
+			testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
 			if !assert.NoError(t, e) {
 				return
 			}
@@ -262,7 +274,7 @@ func TestGetOpenOrders_Ccxt(t *testing.T) {
 	for exchangeName, apiKey := range supportedTradingExchanges {
 		for _, pair := range tradingPairs {
 			t.Run(exchangeName, func(t *testing.T) {
-				testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
+				testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
 				if !assert.NoError(t, e) {
 					return
 				}
@@ -377,7 +389,7 @@ func TestAddOrder_Ccxt(t *testing.T) {
 			},
 		} {
 			t.Run(exchangeName, func(t *testing.T) {
-				testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
+				testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
 				if !assert.NoError(t, e) {
 					return
 				}
@@ -427,7 +439,7 @@ func TestCancelOrder_Ccxt(t *testing.T) {
 			},
 		} {
 			t.Run(exchangeName, func(t *testing.T) {
-				testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints, []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
+				testCcxtExchange, e := makeCcxtExchange(exchangeName, testOrderConstraints[exchangeName], []api.ExchangeAPIKey{apiKey}, []api.ExchangeParam{emptyParams}, []api.ExchangeHeader{}, false)
 				if !assert.NoError(t, e) {
 					return
 				}
@@ -473,7 +485,7 @@ func TestGetOrderConstraints_Ccxt_Precision(t *testing.T) {
 			exchangeName:       "binance",
 			pair:               &model.TradingPair{Base: model.XLM, Quote: model.BTC},
 			wantPricePrecision: 8,
-			wantVolPrecision:   0,
+			wantVolPrecision:   8,
 		},
 	}
 

plugins/exchangeFeed.go

@@ -19,13 +19,17 @@ type exchangeFeed struct {
 // ensure that it implements PriceFeed
 var _ api.PriceFeed = &exchangeFeed{}
 
-func newExchangeFeed(name string, tickerAPI *api.TickerAPI, pair *model.TradingPair, modifier string) *exchangeFeed {
+func newExchangeFeed(name string, tickerAPI *api.TickerAPI, pair *model.TradingPair, modifier string) (*exchangeFeed, error) {
+	if modifier != "mid" && modifier != "ask" && modifier != "bid" && modifier != "last" {
+		return nil, fmt.Errorf("unsupported modifier '%s' on exchange type URL", modifier)
+	}
+
 	return &exchangeFeed{
 		name:      name,
 		tickerAPI: tickerAPI,
 		pairs:     []model.TradingPair{*pair},
 		modifier:  modifier,
-	}
+	}, nil
 }
 
 // GetPrice impl
@@ -41,15 +45,27 @@ func (f *exchangeFeed) GetPrice() (float64, error) {
 		return 0, fmt.Errorf("could not get price for trading pair: %s", f.pairs[0].String())
 	}
 
-	midPrice := (p.BidPrice.AsFloat() + p.AskPrice.AsFloat()) / 2
-	var price float64
+	midPrice := p.BidPrice.Add(*p.AskPrice).Scale(0.5)
+	var price *model.Number
 	if f.modifier == "ask" {
-		price = p.AskPrice.AsFloat()
+		price = p.AskPrice
 	} else if f.modifier == "bid" {
-		price = p.BidPrice.AsFloat()
+		price = p.BidPrice
+	} else if f.modifier == "last" {
+		price = p.LastPrice
 	} else {
+		// LOH-2 - support backward-compatible case of defaulting to "mid" price when left unspecified
 		price = midPrice
 	}
-	log.Printf("(modifier: %s) price from exchange feed (%s): bidPrice=%.7f, askPrice=%.7f, midPrice=%.7f; price=%.7f", f.modifier, f.name, p.BidPrice.AsFloat(), p.AskPrice.AsFloat(), midPrice, price)
-	return price, nil
+
+	log.Printf("(modifier: %s) price from exchange feed (%s): bidPrice=%s, askPrice=%s, midPrice=%s, lastTradePrice=%s; price=%s",
+		f.modifier,
+		f.name,
+		p.BidPrice.AsString(),
+		p.AskPrice.AsString(),
+		midPrice.AsString(),
+		p.LastPrice.AsString(),
+		price.AsString(),
+	)
+	return price.AsFloat(), nil
 }

plugins/krakenExchange.go

@@ -322,8 +322,9 @@ func (k *krakenExchange) GetTickerPrice(pairs []model.TradingPair) (map[model.Tr
 		orderConstraints := k.GetOrderConstraints(&p)
 		pairTickerInfo := resp.GetPairTickerInfo(pairsMap[p])
 		priceResult[p] = api.Ticker{
-			AskPrice: model.MustNumberFromString(pairTickerInfo.Ask[0], orderConstraints.PricePrecision),
-			BidPrice: model.MustNumberFromString(pairTickerInfo.Bid[0], orderConstraints.PricePrecision),
+			AskPrice:  model.MustNumberFromString(pairTickerInfo.Ask[0], orderConstraints.PricePrecision),
+			BidPrice:  model.MustNumberFromString(pairTickerInfo.Bid[0], orderConstraints.PricePrecision),
+			LastPrice: model.MustNumberFromString(pairTickerInfo.Close[0], orderConstraints.PricePrecision),
 		}
 	}
 

plugins/krakenExchange_test.go

@@ -35,14 +35,20 @@ func TestGetTickerPrice(t *testing.T) {
 	assert.Equal(t, 1, len(m))
 
 	ticker := m[pair]
-	fmt.Printf("ticker price: bid=%.8f, ask=%.8f\n", ticker.BidPrice.AsFloat(), ticker.AskPrice.AsFloat())
+	fmt.Printf("ticker price: bid=%s, ask=%s, last=%s\n", ticker.BidPrice.AsString(), ticker.AskPrice.AsString(), ticker.LastPrice.AsString())
 
 	if !assert.True(t, ticker.AskPrice.AsFloat() < 1, ticker.AskPrice.AsString()) {
 		return
 	}
 	if !assert.True(t, ticker.BidPrice.AsFloat() < 1, ticker.BidPrice.AsString()) {
 		return
 	}
+	if !assert.True(t, ticker.BidPrice.AsFloat() < ticker.AskPrice.AsFloat(), fmt.Sprintf("bid price (%s) should be less than ask price (%s)", ticker.BidPrice.AsString(), ticker.AskPrice.AsString())) {
+		return
+	}
+	if !assert.True(t, ticker.LastPrice.AsFloat() < 1, ticker.LastPrice.AsString()) {
+		return
+	}
 }
 
 func TestGetAccountBalances(t *testing.T) {

plugins/priceFeed.go

@@ -49,13 +49,10 @@ func MakePriceFeed(feedType string, url string) (api.PriceFeed, error) {
 			return nil, fmt.Errorf("invalid format of exchange type URL, needs either 3 or 4 parts after splitting URL by '/', has %d: %s", len(urlParts), url)
 		}
 
-		// default to "mid" for backwards compatibility
+		// LOH-2 - support backward-compatible case of defaulting to "mid" price when left unspecified
 		exchangeModifier := "mid"
 		if len(urlParts) == 4 {
 			exchangeModifier = urlParts[3]
-			if exchangeModifier != "mid" && exchangeModifier != "ask" && exchangeModifier != "bid" {
-				return nil, fmt.Errorf("unsupported exchange modifier '%s' on exchange type URL", exchangeModifier)
-			}
 		}
 
 		exchange, e := MakeExchange(urlParts[0], true)
@@ -75,7 +72,7 @@ func MakePriceFeed(feedType string, url string) (api.PriceFeed, error) {
 			Quote: quoteAsset,
 		}
 		tickerAPI := api.TickerAPI(exchange)
-		return newExchangeFeed(url, &tickerAPI, &tradingPair, exchangeModifier), nil
+		return newExchangeFeed(url, &tickerAPI, &tradingPair, exchangeModifier)
 	case "sdex":
 		sdex, e := makeSDEXFeed(url)
 		if e != nil {

plugins/staticSpreadLevelProvider.go

@@ -58,7 +58,7 @@ func makeStaticSpreadLevelProvider(staticLevels []StaticLevel, amountOfBase floa
 
 // GetLevels impl.
 func (p *staticSpreadLevelProvider) GetLevels(maxAssetBase float64, maxAssetQuote float64) ([]api.Level, error) {
-	midPrice, e := p.pf.GetMidPrice()
+	midPrice, e := p.pf.GetFeedPairPrice()
 	if e != nil {
 		return nil, fmt.Errorf("mid price couldn't be loaded: %s", e)
 	}