futures rate generated every price change

leverj · Jan 18, 2021 · 2b5d28d · 2b5d28d
1 parent d7be4c3
commit 2b5d28d
Showing 1 changed file with 12 additions and 9 deletions.
diff --git a/packages/bot/src/mm.js b/packages/bot/src/mm.js
@@ -120,7 +120,7 @@ module.exports = (async function () {
 
  // EMA strategy
  async function doEMAStrategy() {
- setInterval(function() {
+ setInterval(function () {
  const price = isSpot ? lastPrice : indexPrice
  ema = ema && price ? (price * emaMultiplier + ema * (1 - emaMultiplier)) : price
  }, 10000)
@@ -137,12 +137,15 @@ module.exports = (async function () {
  function onTrade({instrument, price, side}) {
  if (instrument !== config.instrumentId) return
  setPriceAndSide(price, side)
- delayedRemoveAndAddOrders()
+ if (isSpot)
+ delayedRemoveAndAddOrders(500)
  }
 
  function onIndex({topic, price}) {
  if (!instrument().topic || topic !== instrument().topic) return console.log('Ignoring ', topic, price, instrument().topic)
  indexPrice = price
+ if (!isSpot)
+ delayedRemoveAndAddOrders(10)
  }
 
  function onExecution(accountExecution) {
@@ -152,11 +155,11 @@ module.exports = (async function () {
 
  let collarTimer
 
- function delayedRemoveAndAddOrders() {
+ function delayedRemoveAndAddOrders(delay = 500) {
  try {
  if (config.strategy !== "COLLAR") return
  clearTimeout(collarTimer)
- collarTimer = setTimeout(() => removeAndAddOrders().catch(logger.log), 500)
+ collarTimer = setTimeout(() => removeAndAddOrders().catch(logger.log), delay)
  } catch (e) {
  logger.log(e)
  }
@@ -228,18 +231,18 @@ module.exports = (async function () {
  }
 
  function onDiffOrderBook(difforderbook) {
- if(difforderbook.instrument !== instrument().id) return
- if(Date.now() < timestamp + 30000) return
+ if (difforderbook.instrument !== instrument().id) return
+ if (Date.now() < timestamp + 30000) return
  timestamp = Date.now()
  console.log('ema', ema, ', bid', difforderbook.bid, ', ask', difforderbook.ask, ', qty', config.quantity)
  if (!ema || config.strategy != 'EMA') return console.log('Returning ema:', ema, ', strategy:', config.strategy)
  setTimeout(() => sendEMAOrders(difforderbook), 100)
  }
 
  function sendEMAOrders(difforderbook) {
- const qty = config.quantity + ((Math.random()*config.quantity/10).toFixed(2) - 0)
+ const qty = config.quantity + ((Math.random() * config.quantity / 10).toFixed(2) - 0)
  let patch = []
- if(Object.keys(orders).length > 0) patch.push({op: 'remove', value: Object.keys(orders)})
+ if (Object.keys(orders).length > 0) patch.push({op: 'remove', value: Object.keys(orders)})
  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)
@@ -319,7 +322,7 @@ module.exports = (async function () {
  if (leverjConfig.maintenance || leverjConfig.tradingDisabled) return
  try {
  let bid = randomPrice(indexPrice || lastPrice, 1)
- let ask = randomPrice(indexPrice || lastPrice , -1)
+ let ask = randomPrice(indexPrice || lastPrice, -1)
  let buy = newOrder('buy', applyRange(bid, config.priceRange), randomQty(config.quantity))
  let sell = newOrder('sell', applyRange(ask, config.priceRange), randomQty(config.quantity))
  zka.rest.post('/order', {}, [buy, sell]).catch(logger.log)