Skip to content

Commit

Permalink
submit use market depth and cancel use spread
Browse files Browse the repository at this point in the history
  • Loading branch information
@lehieuhust
lehieuhust committed Aug 7, 2023
1 parent c50ac03 commit fe0638f
Show file tree
Hide file tree
Showing 4 changed files with 80 additions and 43 deletions.
3 changes: 2 additions & 1 deletion packages/market-maker/.env.example
View file
Original file line number Diff line number Diff line change
@@ -1,7 +1,8 @@
CANCEL_PERCENTAGE = 1 # 100% cancel
ORDER_INTERVAL_RANGE = 50, 100
SPREAD_RANGE = 0.003, 0.006
VOLUME_RANGE = 100000, 150000
MARKET_DEPTH = 100000000 # 1000
SPREAD_CANCEL_PERCENTAGE = 0.1 # 10%
BUY_PERCENTAGE = 0.55
ORAI_THRESHOLD = 10000000
USDT_THRESHOLD = 10000000
Expand Down
18 changes: 10 additions & 8 deletions packages/market-maker/src/cli.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -16,27 +16,28 @@ import {
} from "./index";

const cancelPercentage = Number(process.env.CANCEL_PERCENTAGE || 1); // 100% cancel
const [volumeMin, volumeMax] = process.env.VOLUME_RANGE
? process.env.VOLUME_RANGE.split(",").map(Number)
: [100000, 150000];

const marketDepth = Number(process.env.MARKET_DEPTH);
const buyPercentage = Number(process.env.BUY_PERCENTAGE || 0.55);
const [spreadMin, spreadMax] = process.env.SPREAD_RANGE
? process.env.SPREAD_RANGE.split(",").map(Number)
: [0.003, 0.006];

const spread_cancel_percentage = Number(process.env.SPREAD_CANCEL_PERCENTAGE);
const maxRepeat = 5;
const totalOrders = 10;

const orderConfig: MakeOrderConfig = {
cancelPercentage,
volumeMin,
volumeMax,
buyPercentage,
spreadMax,
spreadMin
spreadMin,
marketDepth,
totalOrders
};
const [orderIntervalMin, orderIntervalMax] = process.env.ORDER_INTERVAL_RANGE
? process.env.ORDER_INTERVAL_RANGE.split(",").map(Number)
: [50, 100];
const maxRepeat = 5;
const totalOrders = 10;

(async () => {
let buyer: UserWallet, seller: UserWallet, usdtToken: OraiswapTokenClient, orderBook: OraiswapLimitOrderClient;
Expand Down Expand Up @@ -82,6 +83,7 @@ const totalOrders = 10;
orderBook.contractAddress,
oraiPrice,
totalOrders,
spread_cancel_percentage,
orderConfig
);

Expand Down
84 changes: 57 additions & 27 deletions packages/market-maker/src/common.ts
View file
Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
import { ExecuteInstruction, SigningCosmWasmClient } from "@cosmjs/cosmwasm-stargate";
import { stringToPath } from "@cosmjs/crypto";
import { DirectSecp256k1HdWallet } from "@cosmjs/proto-signing";
import { GasPrice } from "@cosmjs/stargate";
import { GasPrice, logs } from "@cosmjs/stargate";
import { deployContract } from "@oraichain/oraidex-contracts-build";
import {
Addr,
Expand Down Expand Up @@ -125,13 +125,13 @@ export const deployToken = async (
client,
senderAddress,
(
await deployContract(client, senderAddress, "oraiswap_token", {
await deployContract(client, senderAddress, {
decimals,
symbol,
name,
mint: { minter: senderAddress },
initial_balances: [{ address: senderAddress, amount: "1000000000" }, ...initial_balances]
})
}, "oraiswap_token", "oraiswap_token")
).contractAddress
);
};
Expand All @@ -144,11 +144,11 @@ export const deployOrderbook = async (
client,
senderAddress,
(
await deployContract(client, senderAddress, "oraiswap_limit_order", {
await deployContract(client, senderAddress, {
admin: senderAddress,
version: "0.0.1",
name: "Orderbook"
})
}, "oraiswap_limit_order", "oraiswap_limit_order")
).contractAddress
);
};
Expand All @@ -157,34 +157,64 @@ export const cancelOrder = async (
orderbookAddress: Addr,
sender: UserWallet,
assetInfos: AssetInfo[],
limit: number
direction: string,
spread_percentage: number,
oraiPrice: number,
limit: number,
) => {
const queryAll = await sender.client.queryContractSmart(orderbookAddress, {
orders: {
const upperPriceLimit = oraiPrice * (1 + spread_percentage);
const lowerPriceLimit = oraiPrice * (1 - spread_percentage);
console.log({upperPriceLimit});
console.log({lowerPriceLimit});
let queryTicks = await sender.client.queryContractSmart(orderbookAddress, {
ticks: {
asset_infos: assetInfos,
order_by: 1,
order_by: direction === "buy" ? 2 : 1,
direction,
limit,
filter: {
bidder: sender.address
}
}
} as OraiswapLimitOrderTypes.QueryMsg);

const multipleCancelMsg: ExecuteInstruction[] = [];
for (const order of queryAll.orders) {
const cancelMsg: ExecuteInstruction = {
contractAddress: orderbookAddress,
msg: {
cancel_order: {
asset_infos: assetInfos,
order_id: order.order_id

for (const ticks of Object.values(queryTicks)) {
for (const tick of ticks as any[]) {
let tick_price = Number(tick.price);
if (tick_price >= upperPriceLimit || tick_price <= lowerPriceLimit) {
console.log("cancel all orders with price", tick_price);
console.log({sender_addr: sender.address});
const queryorderswithPrice = await sender.client.queryContractSmart(orderbookAddress, {
orders: {
asset_infos: assetInfos,
order_by: 1,
limit,
filter: {
price: tick_price.toString()
}
}
} as OraiswapLimitOrderTypes.QueryMsg);
console.log({queryorderswithPrice: queryorderswithPrice});

const multipleCancelMsg: ExecuteInstruction[] = [];
for (const order of queryorderswithPrice.orders) {
const cancelMsg: ExecuteInstruction = {
contractAddress: orderbookAddress,
msg: {
cancel_order: {
asset_infos: assetInfos,
order_id: order.order_id
}
}
};
console.log({bidder_addr: order.bidder_addr});
// console.log({sender_addr: sender.address});
if (order.bidder_addr === sender.address) {
multipleCancelMsg.push(cancelMsg);
}
}
if (multipleCancelMsg.length > 0) {
const cancelResult = await sender.client.executeMultiple(sender.address, multipleCancelMsg, "auto");
console.log("cancel orders - txHash:", cancelResult.transactionHash);
}
}
};
multipleCancelMsg.push(cancelMsg);
}
if (multipleCancelMsg.length > 0) {
const cancelResult = await sender.client.executeMultiple(sender.address, multipleCancelMsg, "auto");
console.log("cancel orders - txHash:", cancelResult.transactionHash);
}
}
};
18 changes: 11 additions & 7 deletions packages/market-maker/src/index.ts
View file
Original file line number Diff line number Diff line change
@@ -1,5 +1,5 @@
import { toBinary } from '@cosmjs/cosmwasm-stargate';
import { Addr, OraiswapLimitOrderTypes, OraiswapTokenTypes, OrderDirection } from '@oraichain/oraidex-contracts-sdk';
import { Addr, AssetInfo, OraiswapLimitOrderTypes, OraiswapTokenTypes, OrderDirection } from '@oraichain/oraidex-contracts-sdk';
import { matchingOrders } from '@oraichain/orderbook-matching-relayer';
import { UserWallet, atomic, cancelOrder, getRandomPercentage, getRandomRange, getSpreadPrice } from './common';
import { ExecuteInstruction } from '@cosmjs/cosmwasm-stargate';
Expand All @@ -10,8 +10,8 @@ export type MakeOrderConfig = {
spreadMax: number;
buyPercentage: number;
cancelPercentage: number;
volumeMin: number;
volumeMax: number;
marketDepth: number;
totalOrders: number;
};

const oraiThreshold = process.env.ORAI_THRESHOLD;
Expand All @@ -21,15 +21,19 @@ const getRandomSpread = (min: number, max: number) => {
return getRandomRange(min * atomic, max * atomic) / atomic;
};

const generateOrderMsg = (oraiPrice: number, usdtContractAddress: Addr, { spreadMin, spreadMax, buyPercentage, volumeMin, volumeMax, makeProfit }: MakeOrderConfig): OraiswapLimitOrderTypes.ExecuteMsg => {
const generateOrderMsg = (oraiPrice: number, usdtContractAddress: Addr, { spreadMin, spreadMax, buyPercentage, totalOrders, marketDepth, makeProfit }: MakeOrderConfig): OraiswapLimitOrderTypes.ExecuteMsg => {
const spread = getRandomSpread(spreadMin, spreadMax);
// buy percentage is 55%
const direction: OrderDirection = getRandomPercentage() < buyPercentage * 100 ? 'buy' : 'sell';
// if make profit then buy lower, sell higher than market
const oraiPriceEntry = getSpreadPrice(oraiPrice, spread * (direction === 'buy' ? 1 : -1) * (makeProfit ? -1 : 1));
const volumeMax = marketDepth / totalOrders;
const volumeMin = (marketDepth / totalOrders)*0.7;

const oraiVolume = getRandomRange(volumeMin, volumeMax); // between 0.1 and 0.15 orai
console.log({oraiVolume})
const usdtVolume = (oraiPriceEntry * oraiVolume).toFixed(0);
console.log({usdtVolume})

return {
submit_order: {
Expand All @@ -52,7 +56,7 @@ const generateOrderMsg = (oraiPrice: number, usdtContractAddress: Addr, { spread
};
};

export async function makeOrders(buyer: UserWallet, seller: UserWallet, usdtTokenAddress: Addr, orderBookAddress: Addr, oraiPrice: number, totalOrders: number, config: MakeOrderConfig, limit = 30, denom = 'orai') {
export async function makeOrders(buyer: UserWallet, seller: UserWallet, usdtTokenAddress: Addr, orderBookAddress: Addr, oraiPrice: number, totalOrders: number, spread_percentage: number, config: MakeOrderConfig, limit = 10, denom = 'orai') {
const assetInfos = [{ native_token: { denom } }, { token: { contract_addr: usdtTokenAddress } }];
const multipleBuyMsg: ExecuteInstruction[] = [];
const multipleSellMsg: ExecuteInstruction[] = [];
Expand Down Expand Up @@ -143,15 +147,15 @@ export async function makeOrders(buyer: UserWallet, seller: UserWallet, usdtToke
// console.log(orderBookAddress, await client.getBalance(orderBookAddress, 'orai'));

try {
await cancelOrder(orderBookAddress, sellerWallet, assetInfos, cancelLimit);
await cancelOrder(orderBookAddress, sellerWallet, assetInfos, "sell", spread_percentage, oraiPrice, cancelLimit);
} catch (error) {
console.error(error);
}

// console.log(orderBookAddress, await client.getBalance(orderBookAddress, 'orai'));

try {
await cancelOrder(orderBookAddress, buyerWallet, assetInfos, cancelLimit);
await cancelOrder(orderBookAddress, buyerWallet, assetInfos, "buy", spread_percentage, oraiPrice, cancelLimit);
} catch (error) {
console.error(error);
}
Expand Down

0 comments on commit fe0638f

Please sign in to comment.