add EMA strat

packages/bot/config/default.json

@@ -1,4 +1,5 @@
 {
+ "strats": { "COLLAR": true, "RANDOM": true, "EMA": true},
  "spot": {
  "strategy": "COLLAR",
  "symbol": "LEVETH",

packages/bot/src/config.js

@@ -7,7 +7,8 @@ module.exports = (function () {
  const app = config.app
  affirm(app === 'spot' || app === 'futures', `BOT_APP must be spot or futures. found ${app}`)
  const _config = config[app]
- affirm(_config.strategy === "COLLAR" || _config.strategy === "RANDOM", "INVALID strategy: " + _config.strategy)
+ console.log('strats', config['strats'])
+ affirm(config['strats'][_config.strategy], "INVALID strategy: " + _config.strategy)
  affirm(_config.startSide === "buy" || _config.startSide === "sell", "INVALID start side: " + _config.startSide)
  return {
  app: app,

packages/bot/src/mm.js

@@ -8,6 +8,7 @@ const logger = require("@leverj/logger")
 const BigNumber = require('bignumber.js')
 const adaptor = require('@leverj/adapter/src/OrderAdapter')
 const orderAdaptor = require('@leverj/adapter/src/DerivativesOrderAdaptor')
+const OrderAdapter = require("@leverj/adapter/src/OrderAdapter")
 let i = 1
 
 module.exports = (async function () {
@@ -16,11 +17,14 @@ module.exports = (async function () {
  let leverjConfig = {}
  let collarWorking, lastPrice, lastSide, indexPrice
  let orders = {}
+ let ema
 
+ const emaMultiplier = 2 / ( 10 + 1)
  const isSpot = config.app === 'spot'
  const strategy = {
  COLLAR: doCollarStrategy,
- RANDOM: doRandomStrategy
+ RANDOM: doRandomStrategy,
+ EMA: doEMAStrategy,
  }
 
  const toMakerSide = side => side === "buy" ? "sell" : "buy"
@@ -43,6 +47,7 @@ module.exports = (async function () {
  }
 
  function newOrder(side, price, quantity) {
+ console.log('Order:', side, quantity, price)
  return isSpot ? spotOrder(side, price, quantity) : futuresOrder(side, price, quantity)
  }
 
@@ -112,6 +117,13 @@ module.exports = (async function () {
  logger.log('last price and side', price, side)
  }
 
+ // EMA strategy
+ async function doEMAStrategy() {
+ const price = isSpot ? lastPrice : indexPrice
+ ema = ema ? (price * ema * emaMultiplier + ema * ( 1 - emaMultiplier)) : price
+ console.log('ema', ema)
+ }
+
 // collar strategy ##########################################################################################
 
 
@@ -169,6 +181,13 @@ module.exports = (async function () {
  collarWorking = false
  }
 
+ function sendOrders(patch) {
+ if (patch && patch.length) {
+ logger.log("sending patch", patch)
+ zka.socket.send({method: "PATCH", uri: "/order", body: patch})
+ }
+ }
+
  function getOrdersToBeAddedAndDeleted() {
  if (instrument().topic) {
  if (indexPrice) return collarStrategy.getOrdersToBeAddedAndDeleted(Object.values(orders), indexPrice)
@@ -198,13 +217,26 @@ module.exports = (async function () {
  order_execution: onExecution,
  trade: onTrade,
  index: onIndex,
+ difforderbook: onDiffOrderBook,
  }
  Object.keys(eventMap).forEach(function (event) {
  zka.socket.removeAllListeners(event)
  zka.socket.on(event, eventMap[event])
  })
  }
 
+ function onDiffOrderBook(difforderbook) {
+ const qty = config.quantity
+ console.log('ema', ema, 'bid', difforderbook.bid, 'ask', difforderbook.ask, 'qty', qty)
+ if(!ema || config.strategy != 'EMA') return console.log('Returning ema:', ema, 'strategy', config.strategy)
+ deltaFrac = (lastPrice - ema) / ema
+ // const qty = deltaFrac * config.quantity
+ let patch = []
+ if(difforderbook.bid > ema) patch.push({op: 'add', value: [newOrder('sell', difforderbook.bid, qty)]})
+ if(difforderbook.ask < ema) patch.push({op: 'add', value: [newOrder('buy', difforderbook.ask, qty)]})
+ sendOrders(patch)
+ }
+
  function onOrderAdd(response) {
  const resultOrders = response.result
  for (let i = 0; i < resultOrders.length; i++) {