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tbenrtbenr
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refactoring, typing, tests
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9 files changed

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‎package-lock.json‎

Lines changed: 1843 additions & 12 deletions
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‎package.json‎

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@@ -1,11 +1,11 @@
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{
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"name": "loopringmm",
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"name": "loopring-mm-bot",
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"version": "1.0.0",
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"description": "",
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"description": "simple loopring market maker bot",
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"main": "build/server.js",
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"scripts": {
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"starts": "tsc && node build/server.js",
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"test": "echo \"Error: no test specified\" && exit 1"
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"start": "tsc && node build/server.js",
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"test": "mocha -r ts-node/register src/tests/**/*.test.ts"
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},
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"author": "",
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"license": "ISC",
@@ -19,12 +19,18 @@
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"moment": "^2.29.1",
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"restify-clients": "^3.1.0",
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"snarkjs": "0.1.20",
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"typescript": "^4.1.3",
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"ws": "^7.4.2"
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},
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"devDependencies": {
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"@types/bn.js": "^5.1.0",
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"@types/chai": "^4.2.14",
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"@types/ethereumjs-util": "^6.1.0",
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"@types/ws": "^7.4.0"
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"@types/mocha": "^8.2.0",
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"@types/ws": "^7.4.0",
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"chai": "^4.3.0",
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"mocha": "^8.2.1",
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"nyc": "^15.1.0",
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"ts-node": "^9.1.1",
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"typescript": "^4.1.3"
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}
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}

‎src/marketState.ts‎

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import BigNumber from "bignumber.js";
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import { EventEmitter } from 'events';
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import moment from "moment";
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import { RestClient } from "./restClient";
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import { Config, LoadableValue, Market, Notification, Order, OrderBook, Side, Token } from "./types";
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const exchange = require('./sign/exchange.js')
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export declare interface MarketState {
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on(event: 'maxBidChanged', listener: (maxBid: BigNumber | undefined) => void): this;
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on(event: 'minAskChanged', listener: (minAsk: BigNumber | undefined) => void): this;
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on(event: 'baseTokenUnallocatedChanged', listener: (unallocated: BigNumber) => void): this;
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on(event: 'quoteTokenUnallocatedChanged', listener: (unallocated: BigNumber) => void): this;
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on(event: string, listener: Function): this;
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}
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export class MarketState extends EventEmitter {
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private _restClient: RestClient;
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private _market: Market;
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private _orderBook: OrderBook | undefined;
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private _lastOrderBookVersion: number | undefined;
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private _maxBid: BigNumber | undefined;
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private _minAsk: BigNumber | undefined;
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private _openOrders: any;
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private _config: Config;
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private baseTokenUnit: BigNumber;
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private quoteTokenUnit: BigNumber;
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private _initialized: boolean;
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public baseTokenUnallocated: LoadableValue<BigNumber>;
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public quoteTokenUnallocated: LoadableValue<BigNumber>;
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public nextStorageIdbaseToken: LoadableValue<number>;
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public nextStorageIdquoteToken: LoadableValue<number>;
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readonly maxBuyPrice: BigNumber;
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readonly minSellPrice: BigNumber;
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readonly baseToken: Token;
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readonly quoteToken: Token;
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constructor(market: Market, baseToken: Token, quoteToken: Token, config: Config, restClient: RestClient) {
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super();
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this._config = config;
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this._restClient = restClient;
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this._market = market;
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this.maxBuyPrice = new BigNumber(config.maxBuyPrice);
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this.minSellPrice = new BigNumber(config.minSellPrice);
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this.baseTokenUnallocated = new LoadableValue<BigNumber>();
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this.quoteTokenUnallocated = new LoadableValue<BigNumber>();
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this.nextStorageIdbaseToken = new LoadableValue<number>();
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this.nextStorageIdquoteToken = new LoadableValue<number>();
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this.baseToken = baseToken;
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this.quoteToken = quoteToken;
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this.baseTokenUnit = new BigNumber(10).exponentiatedBy(baseToken.decimals)
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this.quoteTokenUnit = new BigNumber(10).exponentiatedBy(quoteToken.decimals)
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this._initialized = false;
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if (this.maxBuyPrice.isNaN() || this.minSellPrice.isNaN()) {
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console.error('maxBuyPrice and minSellPrice MUST be configured.')
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process.exit()
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}
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}
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get market(): Market {
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return this._market
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}
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get orderBook(): OrderBook | undefined {
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return this._orderBook;
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}
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get minAsk(): BigNumber | undefined {
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return this._minAsk;
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}
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get maxBid(): BigNumber | undefined {
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return this._maxBid;
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}
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updateOrderBook(version: number, orderbook: OrderBook | undefined) {
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if (orderbook && (!this._lastOrderBookVersion || version > this._lastOrderBookVersion)) {
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this._orderBook = orderbook;
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let __maxBid: string | undefined = undefined;
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let __minAsk: string | undefined = undefined;
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if (orderbook.bids.length > 0) __maxBid = orderbook.bids[0][0]
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if (orderbook.asks.length > 0) __minAsk = orderbook.asks[0][0]
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if ((__maxBid && this._maxBid && !this._maxBid.isEqualTo(__maxBid)) ||
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(!__maxBid && this._maxBid) ||
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(__maxBid && !this._maxBid)) {
97+
this._maxBid = __maxBid !== undefined ? new BigNumber(__maxBid) : undefined
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this.emit('maxBidChanged', __maxBid);
99+
}
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if ((__minAsk && this._minAsk && !this._minAsk.isEqualTo(__minAsk)) ||
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(!__minAsk && this._minAsk) ||
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(__minAsk && !this._minAsk)) {
104+
this._minAsk = __minAsk !== undefined ? new BigNumber(__minAsk) : undefined
105+
this.emit('minAskChanged', __minAsk);
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}
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}
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}
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get openOrders(): any {
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return this._openOrders;
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}
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set openOrders(oo: any) {
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this._openOrders = oo;
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}
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updateUnallocatedBalance(tokenId: number, total: BigNumber.Value, locked: BigNumber.Value) {
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const unallocated = new BigNumber(total).minus(locked);
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if (tokenId === this.baseToken.tokenId) {
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this.baseTokenUnallocated.set(unallocated)
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this.emit('baseTokenUnallocatedChanged', unallocated);
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} else if (tokenId === this.quoteToken.tokenId) {
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this.quoteTokenUnallocated.set(unallocated)
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this.emit('quoteTokenUnallocatedChanged', unallocated);
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}
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}
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updateStorageId(tokenId: number, storageData: any) {
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if (storageData?.orderId) {
131+
if (tokenId === this.baseToken.tokenId)
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this.nextStorageIdbaseToken.set(storageData.orderId)
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else if (tokenId === this.quoteToken.tokenId)
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this.nextStorageIdquoteToken.set(storageData.orderId)
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console.log(`nextStorageId for ${tokenId} updated (${storageData.orderId})`)
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} else {
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if (tokenId === this.baseToken.tokenId) {
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this.nextStorageIdbaseToken.unset()
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} else if (tokenId === this.quoteToken.tokenId) {
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this.nextStorageIdquoteToken.unset()
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}
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}
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}
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getCounterpartAmount(amount: BigNumber, price: BigNumber, type: Side): string {
146+
if (type === Side.Buy) {
147+
let p = amount.dividedBy(this.quoteTokenUnit);
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let t = p.dividedBy(price);
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let r = t.multipliedBy(this.baseTokenUnit).toFixed(0);
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return r;
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} else {
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let p = amount.dividedBy(this.baseTokenUnit);
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let t = p.multipliedBy(price);
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let r = t.multipliedBy(this.quoteTokenUnit).toFixed(0);
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return r;
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}
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}
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initialize() {
160+
this._initialized = false;
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this.updateBaseTokenStorageId()
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this.updateQuoteTokenStorageId()
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this.updateBalances()
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this.updateOpenOrders()
165+
}
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updateBaseTokenStorageId() {
168+
this.nextStorageIdbaseToken.update(async () => {
169+
return this._restClient.getStorageId(this.baseToken.tokenId)
170+
}).then(s => { console.log(`baseToken StorageId updated (${s})`) })
171+
}
172+
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updateQuoteTokenStorageId() {
174+
this.nextStorageIdquoteToken.update(async () => {
175+
return this._restClient.getStorageId(this.quoteToken.tokenId)
176+
}).then(s => { console.log(`quoteToken StorageId updated (${s})`) })
177+
}
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updateBalances() {
180+
this._restClient.getBalances([this.baseToken.tokenId, this.quoteToken.tokenId])
181+
.then((obj: any) => {
182+
obj.forEach((bal: { tokenId: any; total: any; locked: any }) => {
183+
this.updateUnallocatedBalance(bal.tokenId, bal.total, bal.locked)
184+
});
185+
})
186+
.catch(err => {
187+
console.error('error updating balances', err);
188+
this.quoteTokenUnallocated.unset();
189+
this.baseTokenUnallocated.unset();
190+
})
191+
}
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updateOpenOrders() {
194+
this._restClient.getOpenOrders(this.market)
195+
.then((obj: any) => {
196+
this.openOrders = obj.orders;
197+
console.log(`openOrders loaded (${this.openOrders.length})`);
198+
})
199+
.catch(err => {
200+
console.error('error getting open orders', err);
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this.openOrders = undefined;
202+
})
203+
}
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consumeNotification(notification: Notification) {
206+
var topic = notification.topic.topic;
207+
var data = notification.data;
208+
209+
switch (topic) {
210+
case 'account':
211+
this.updateUnallocatedBalance(data.tokenId, data.totalAmount, data.amountLocked)
212+
break;
213+
case 'orderbook':
214+
if(this.market.market === notification.topic.market)
215+
this.updateOrderBook(notification.endVersion,data);
216+
217+
break;
218+
}
219+
}
220+
221+
prepareNewOrder(amount: BigNumber, price: BigNumber, type: Side) {
222+
let storageId: number;
223+
224+
storageId = type === Side.Buy ? this.nextStorageIdquoteToken.value : this.nextStorageIdbaseToken.value;
225+
226+
return this.prepareOrder(storageId,amount,price,type);
227+
}
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prepareUpdateOrder(storageId: number, amount: BigNumber, price: BigNumber, type: Side) {
230+
// TODO
231+
return this.prepareOrder(storageId,amount,price,type);
232+
}
233+
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private prepareOrder(storageId: number, amount: BigNumber, price: BigNumber, type: Side): Order | undefined {
235+
let sellTokenId: string;
236+
let sellTokenVolume: string;
237+
let buyTokenId: string;
238+
let buyTokenVolume: string;
239+
240+
if (type === Side.Buy) {
241+
buyTokenId = String(this.baseToken.tokenId);
242+
sellTokenId = String(this.quoteToken.tokenId);
243+
if(amount.isGreaterThan(this.quoteTokenUnallocated.value)) {
244+
console.error('trying to use more than avaibable amount')
245+
return undefined;
246+
}
247+
sellTokenVolume = this.quoteTokenUnallocated.value.toFixed();
248+
buyTokenVolume = this.getCounterpartAmount(amount,price, type)
249+
} else {
250+
buyTokenId = String(this.quoteToken.tokenId);
251+
sellTokenId = String(this.baseToken.tokenId);
252+
if(amount.isGreaterThan(this.baseTokenUnallocated.value)) {
253+
console.error('trying to use more than avaibable amount')
254+
return undefined;
255+
}
256+
sellTokenVolume = this.baseTokenUnallocated.value.toFixed();
257+
buyTokenVolume = this.getCounterpartAmount(amount, price, type)
258+
}
259+
260+
let order: Order = {
261+
"exchange": this._config.account.exchangeAddress,
262+
"accountId": this._config.account.accountId,
263+
"storageId": storageId,
264+
"sellToken": {
265+
"tokenId": sellTokenId,
266+
"volume": sellTokenVolume
267+
},
268+
"buyToken": {
269+
"tokenId": buyTokenId,
270+
"volume": buyTokenVolume
271+
},
272+
"allOrNone": false,
273+
"fillAmountBOrS": type === Side.Buy,
274+
"validUntil": moment().add(2, 'month').utc().unix(),
275+
"maxFeeBips": 50,
276+
"orderType": "MAKER_ONLY"
277+
}
278+
279+
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return exchange.signOrder(order,
281+
{
282+
secretKey: this._config.account.privateKey,
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publicKeyX: this._config.account.publicKeyX,
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publicKeyY: this._config.account.publicKeyY
285+
}, this.baseToken, this.quoteToken);
286+
}
287+
288+
get initialized(): boolean {
289+
if (this._initialized) return true;
290+
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if (this.nextStorageIdbaseToken.isAvailable &&
292+
this.nextStorageIdbaseToken.isAvailable &&
293+
this.baseTokenUnallocated.isAvailable &&
294+
this.quoteTokenUnallocated.isAvailable) {
295+
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this._initialized = true
297+
return true
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}
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return false;
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}
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}

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