livermore 0.0.0

checksums.yaml

@@ -0,0 +1,7 @@
+---
+SHA256:
+  metadata.gz: be3597babc7fa82bb8e3641ff6d71382b3418085a39c62bfe8a3ff70c46bf204
+  data.tar.gz: 79fdfc9626a3ac7584fc0544153bb56bd9e43004002a4002ea8c4fa94f89eea5
+SHA512:
+  metadata.gz: 2adad4dc8d59815204f15f0c5bf063ec1ed80a3bddacbd8839a4c3d6405a4fe677a7f0e0914e97c8791e26b1219bac8eea69d5bf204bb8fc3b880a1e26141ba7
+  data.tar.gz: 953f945e2018f0159e22c2e3a37a042ae0746d331f0083572b3dd733835786a6662defd6f354658cf0927f9a9a0b629b44c4075f33f2396906d1871def7b2005

data/.gitignore

@@ -0,0 +1,11 @@
+/.bundle/
+/.yardoc
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/
+
+# rspec failure tracking
+.rspec_status

data/.rspec

@@ -0,0 +1,3 @@
+--format documentation
+--color
+--require spec_helper

data/.travis.yml

@@ -0,0 +1,5 @@
+sudo: false
+language: ruby
+rvm:
+  - 2.4.1
+before_install: gem install bundler -v 1.16.1

data/Gemfile

@@ -0,0 +1,6 @@
+source "https://rubygems.org"
+
+git_source(:github) {|repo_name| "https://github.com/#{repo_name}" }
+
+# Specify your gem's dependencies in livermore.gemspec
+gemspec

data/Gemfile.lock

@@ -0,0 +1,49 @@
+PATH
+  remote: .
+  specs:
+    livermore (0.0.0)
+      coin_falcon (~> 0.0.1)
+      thor (~> 0.20.0)
+
+GEM
+  remote: https://rubygems.org/
+  specs:
+    byebug (10.0.0)
+    coderay (1.1.2)
+    coin_falcon (0.0.1)
+    diff-lcs (1.3)
+    method_source (0.9.0)
+    pry (0.11.3)
+      coderay (~> 1.1.0)
+      method_source (~> 0.9.0)
+    pry-byebug (3.6.0)
+      byebug (~> 10.0)
+      pry (~> 0.10)
+    rake (10.5.0)
+    rspec (3.7.0)
+      rspec-core (~> 3.7.0)
+      rspec-expectations (~> 3.7.0)
+      rspec-mocks (~> 3.7.0)
+    rspec-core (3.7.1)
+      rspec-support (~> 3.7.0)
+    rspec-expectations (3.7.0)
+      diff-lcs (>= 1.2.0, < 2.0)
+      rspec-support (~> 3.7.0)
+    rspec-mocks (3.7.0)
+      diff-lcs (>= 1.2.0, < 2.0)
+      rspec-support (~> 3.7.0)
+    rspec-support (3.7.1)
+    thor (0.20.0)
+
+PLATFORMS
+  ruby
+
+DEPENDENCIES
+  bundler (~> 1.16)
+  livermore!
+  pry-byebug
+  rake (~> 10.0)
+  rspec (~> 3.0)
+
+BUNDLED WITH
+   1.16.1

data/LICENSE.txt

@@ -0,0 +1,21 @@
+The MIT License (MIT)
+
+Copyright (c) 2018 Tony Rom
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

data/README.md

@@ -0,0 +1,51 @@
+# Livermore
+
+Trading Bot
+
+## Installation
+
+```ruby
+gem install livermore
+```
+
+## Usage
+
+Set up environment variables:
+
+```bash
+export CF_KEY='your-key-here'
+export CF_SECRET='your-secret-here'
+```
+
+Configure Livermore `/path/to/livermore/config.yml.erb`:
+
+```yml
+:exchange:
+  :name: :coin_falcon
+  :key: <%= ENV['CF_KEY'] %>
+  :secret: <%= ENV['CF_SECRET'] %>
+
+:market: ETH-BTC
+:base_fund: 1
+:quote_fund: 0.5
+
+:strategy:
+  :name: :simple
+  # :path: /path/to/strategy_config.yml
+```
+
+Configure strategy `/path/to/livermore/strategies/your_strategy.yml`:
+
+```yml
+:ask_amount: 0.01
+:bid_amount: 0.01
+:ask_delta: 0.5
+:bid_delta: 0.5
+:tact: 1
+```
+
+Run Livermore:
+
+```ruby
+livermore trade
+```

data/Rakefile

@@ -0,0 +1,6 @@
+require "bundler/gem_tasks"
+require "rspec/core/rake_task"
+
+RSpec::Core::RakeTask.new(:spec)
+
+task :default => :spec

data/bin/console

@@ -0,0 +1,14 @@
+#!/usr/bin/env ruby
+
+require "bundler/setup"
+require "livermore"
+
+# You can add fixtures and/or initialization code here to make experimenting
+# with your gem easier. You can also use a different console, if you like.
+
+# (If you use this, don't forget to add pry to your Gemfile!)
+# require "pry"
+# Pry.start
+
+require "irb"
+IRB.start(__FILE__)

data/bin/livermore

@@ -0,0 +1,7 @@
+#!/usr/bin/env ruby
+
+require 'livermore'
+
+trap('INT') { puts 'Shutting down.'; Livermore::Bot.new.cancel_all; exit 130 }
+
+Livermore::CLI.start

data/bin/setup

@@ -0,0 +1,8 @@
+#!/usr/bin/env bash
+set -euo pipefail
+IFS=$'\n\t'
+set -vx
+
+bundle install
+
+# Do any other automated setup that you need to do here

data/config.yml.erb

@@ -0,0 +1,12 @@
+:exchange:
+  :name: :coin_falcon
+  :key: <%= ENV['CF_KEY'] %>
+  :secret: <%= ENV['CF_SECRET'] %>
+
+:market: ETH-BTC
+:base_fund: 1
+:quote_fund: 0.5
+
+:strategy:
+  :name: :simple
+  # :path: /path/to/strategy_config.yml

data/lib/livermore.rb

@@ -0,0 +1,24 @@
+require 'erb'
+require 'yaml'
+require 'livermore/monkey_patch'
+
+require 'coin_falcon'
+require 'thor'
+
+require 'livermore/cf_response'
+require 'livermore/cf_order'
+require 'livermore/clients'
+
+require 'livermore/order'
+
+require 'livermore/strategies/abstract_strategy'
+require 'livermore/strategies/simple_strategy'
+require 'livermore/strategies'
+
+require 'livermore/bot'
+require 'livermore/cli'
+
+require 'livermore/version'
+
+module Livermore
+end

data/lib/livermore/bot.rb

@@ -0,0 +1,106 @@
+module Livermore
+  class Bot
+    CONFIG_PATH = 'config.yml.erb'.freeze
+
+    attr_reader :market, :best_ask, :best_bid, :base_fund, :quote_fund
+    attr_accessor :ask, :bid, :open_orders, :orders_to_create, :orders_to_cancel
+
+    def initialize(config_path = CONFIG_PATH)
+      config = load_config(config_path)
+
+      initialize_exchange_client(config)
+      initialize_instance_variables(config)
+      initialize_strategy(config)
+    end
+
+    def trade
+      @strategy.trade
+    end
+
+    def fetch_top_tier
+      response = orderbook(@market)
+
+      @best_ask = response.best_ask
+      @best_bid = response.best_bid
+    end
+
+    def fetch_orders
+      response = my_orders(market: @market)
+
+      @open_orders = response.open_orders
+    end
+
+    def cancel_orders
+      orders_to_cancel.each do |order|
+        response = cancel_order(order.id)
+
+        update_fund(:+, order) if response.code == 200
+      end
+    end
+
+    def create_orders
+      orders_to_create.each do |order|
+        response = create_order(@order_klass.new(order).as_json)
+
+        update_fund(:-, order) if response.code == 201
+      end
+
+      orders_to_create.clear
+    end
+
+    def cancel_all
+      fetch_orders
+      @orders_to_cancel = open_orders
+      cancel_orders
+    end
+
+    def update_fund(method, order)
+      case order.type
+      when Order::ASK
+        @base_fund = @base_fund.send(method, order.amount)
+      when Order::BID
+        @quote_fund = @quote_fund.send(method, order.amount * order.price)
+      end
+    end
+
+    def method_missing(method, *args)
+      if @client.respond_to?(method)
+        @response_klass.new(@client.send(method, *args))
+      else
+        super
+      end
+    end
+
+    private
+
+    def load_config(path)
+      template = ERB.new(File.read(path))
+
+      YAML.load(template.result)
+    end
+
+    def initialize_exchange_client(config)
+      name = config[:exchange][:name]
+      key = config[:exchange][:key]
+      secret = config[:exchange][:secret]
+
+      @client = CLIENTS[name][:client].new(key, secret)
+      @response_klass = CLIENTS[name][:response]
+      @order_klass = CLIENTS[name][:order]
+    end
+
+    def initialize_instance_variables(config)
+      @market = config[:market]
+      @base_fund = config[:base_fund]
+      @quote_fund = config[:quote_fund]
+      @orders_to_create = []
+    end
+
+    def initialize_strategy(config)
+      name = config[:strategy][:name]
+      path = config[:strategy][:path]
+
+      @strategy = STRATEGIES[name].new(self, path)
+    end
+  end
+end

data/lib/livermore/cf_order.rb

@@ -0,0 +1,26 @@
+module Livermore
+  class CFOrder
+    def initialize(order)
+      @order = order
+    end
+
+    def as_json
+      {
+        market: @order.market,
+        operation_type: @order.operation,
+        order_type: @order.type,
+        size: @order.amount,
+        price: round(@order.price)
+      }
+    end
+
+    private
+
+    def round(price)
+      case @order.type
+      when Order::ASK then price.ceil 5
+      when Order::BID then price.floor 5
+      end
+    end
+  end
+end

data/lib/livermore/cf_response.rb

@@ -0,0 +1,46 @@
+module Livermore
+  class CFResponse
+    def initialize(response)
+      @response = response
+    end
+
+    def best_ask
+      ask = @response.body['data']['asks'].first
+
+      Order.new(fetch_args(ask).merge(type: Order::ASK))
+    end
+
+    def best_bid
+      bid = @response.body['data']['bids'].first
+
+      Order.new(fetch_args(bid).merge(type: Order::BID))
+    end
+
+    def open_orders
+      open_orders = @response.body['data'].select do |order|
+        order['status'] =~ /\Aopen|partially_filled\z/
+      end
+
+      open_orders.map { |order| Order.new(fetch_args(order)) }
+    end
+
+    def code
+      @response.code
+    end
+
+    def body
+      @response.body
+    end
+
+    def fetch_args(order)
+      {
+        market: order['market_name'],
+        id: order['id'],
+        price: order['price'].to_f,
+        amount: order['size'].to_f,
+        type: order['order_type']&.to_sym,
+        operation: order['operation_type']&.to_sym
+      }
+    end
+  end
+end

data/lib/livermore/cli.rb

@@ -0,0 +1,14 @@
+module Livermore
+  class CLI < Thor
+    desc :trade, 'Trades using the Simple strategy by default'
+    def trade
+      bot.trade
+    end
+
+    private
+
+    def bot
+      @bot ||= Livermore::Bot.new
+    end
+  end
+end

data/lib/livermore/clients.rb

@@ -0,0 +1,9 @@
+module Livermore
+  CLIENTS = {
+    coin_falcon: {
+      client: ::CoinFalcon::Client,
+      response: CFResponse,
+      order: CFOrder
+    }
+  }.freeze
+end

data/lib/livermore/monkey_patch.rb

@@ -0,0 +1,17 @@
+class String
+  def red
+    "\e[31m#{self}\e[0m"
+  end
+
+  def green
+    "\e[32m#{self}\e[0m"
+  end
+
+  def yellow
+    "\e[33m#{self}\e[0m"
+  end
+
+  def colorize
+    self.yellow
+  end
+end

data/lib/livermore/order.rb

@@ -0,0 +1,33 @@
+module Livermore
+  class Order
+    ASK = :sell
+    BID = :buy
+    LIMIT_ORDER = :limit_order
+
+    attr_reader :market, :id, :price, :amount, :amount_filled, :status, :type, :operation, :created_at
+
+    def initialize(market:, id: nil, price:, amount: 0, type:, operation: nil)
+      @market = market
+      @id = id
+      @price = price
+      @amount = amount
+      @type = type
+      @operation = operation
+    end
+
+    def operation
+      @operation || LIMIT_ORDER
+    end
+
+    def to_s
+      format '{ price: %.7f, amount: %.7f }', price, amount
+    end
+
+    def colorize
+      case type
+      when ASK then to_s.red
+      when BID then to_s.green
+      end
+    end
+  end
+end

data/lib/livermore/strategies.rb

@@ -0,0 +1,5 @@
+module Livermore
+  STRATEGIES = {
+    simple: SimpleStrategy
+  }.freeze
+end

data/lib/livermore/strategies/abstract_strategy.rb

@@ -0,0 +1,46 @@
+module Livermore
+  class AbstractStrategy
+    TICK_TIME = 0.03
+
+    attr_reader :context, :config
+
+    def initialize(context, config_path)
+      @context = context
+      @config = YAML.load_file(config_path || default_config_path)
+    end
+
+    def trade
+      raise 'Abstract method called'
+    end
+
+    def method_missing(method, *args)
+      if @context.respond_to?(method)
+        @context.send(method, *args)
+      else
+        super
+      end
+    end
+
+    private
+
+    def default_config_path
+      "strategies/#{underscore}.yml"
+    end
+
+    def underscore
+      self.class.to_s.split('::').last.gsub(/([a-z])([A-Z])/, '\1_\2').downcase
+    end
+
+    def info
+      raise 'Abstract method called'
+    end
+
+    def tick
+      print "\033[2J"
+      sleep TICK_TIME
+
+      print info.map(&:colorize).join("\n") + "\r\033[#{info.count - 1}A"
+      $stdout.flush
+    end
+  end
+end

data/lib/livermore/strategies/simple_strategy.rb

@@ -0,0 +1,91 @@
+module Livermore
+  class SimpleStrategy < AbstractStrategy
+    def trade
+      loop do
+        fetch_top_tier
+        set_goals
+        adjust_orders
+
+        tick and sleep config[:tact]
+      end
+    end
+
+    private
+
+    def set_goals
+      set_ask
+      set_bid
+    end
+
+    def set_ask
+      price = best_ask.price + (best_ask.price * config[:ask_delta].to_f / 100)
+
+      context.ask = Order.new(
+        market: context.market,
+        price: price,
+        amount: config[:ask_amount],
+        type: Order::ASK,
+        operation: :limit_order
+      )
+    end
+
+    def set_bid
+      price = best_bid.price - (best_bid.price * config[:bid_delta].to_f / 100)
+
+      context.bid = Order.new(
+        market: context.market,
+        price: price,
+        amount: config[:bid_amount],
+        type: Order::BID,
+        operation: :limit_order
+      )
+    end
+
+    def adjust_orders
+      fetch_orders
+      mark_to_cancel
+      cancel_orders
+      populate_asks
+      populate_bids
+      create_orders
+    end
+
+    def mark_to_cancel
+      context.orders_to_cancel = open_orders.select do |order|
+        case order.type
+        when Order::ASK then order.price < ask.price
+        when Order::BID then order.price > bid.price
+        end
+      end
+    end
+
+    def populate_asks
+      prevent = open_orders.any? do |order|
+        break true if order.type == Order::ASK && order.price >= ask.price
+      end
+
+      context.orders_to_create << ask unless prevent
+    end
+
+    def populate_bids
+      prevent = open_orders.any? do |order|
+        break true if order.type == Order::BID && order.price <= bid.price
+      end
+
+      context.orders_to_create << bid unless prevent
+    end
+
+    def funds
+      base_name, quote_name = context.market.split('-')
+
+      [
+        "#{base_name}: #{context.base_fund}",
+        "#{quote_name}: #{context.quote_fund}"
+      ]
+    end
+
+    def info
+      funds + [best_ask, best_bid].concat(open_orders).sort_by(&:price).reverse
+    end
+  end
+end

data/lib/livermore/version.rb

@@ -0,0 +1,3 @@
+module Livermore
+  VERSION = '0.0.0'.freeze
+end

data/livermore.gemspec

@@ -0,0 +1,31 @@
+
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'livermore/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = 'livermore'
+  spec.version       = Livermore::VERSION
+  spec.authors       = ['Tony Rom']
+  spec.email         = ['thetonyrom@gmail.com']
+
+  spec.summary       = 'Trading Bot'
+  spec.homepage      = 'https://github.com/thetonyrom/livermore'
+  spec.license       = 'MIT'
+
+
+  spec.files         = `git ls-files -z`.split("\x0").reject do |f|
+    f.match(%r{^(test|spec|features)/})
+  end
+  spec.bindir        = 'bin'
+  spec.executables   = spec.files.grep(%r{^bin/}) { |f| File.basename(f) }
+  spec.require_paths = ['lib']
+
+  spec.add_development_dependency 'bundler', '~> 1.16'
+  spec.add_development_dependency 'rake', '~> 10.0'
+  spec.add_development_dependency 'rspec', '~> 3.0'
+  spec.add_development_dependency 'pry-byebug'
+
+  spec.add_dependency 'coin_falcon', '~> 0.0.1'
+  spec.add_dependency 'thor', '~> 0.20.0'
+end

data/strategies/simple_strategy.yml

@@ -0,0 +1,5 @@
+:ask_amount: 0.01
+:bid_amount: 0.01
+:ask_delta: 0.5
+:bid_delta: 0.5
+:tact: 1

metadata

@@ -0,0 +1,157 @@
+--- !ruby/object:Gem::Specification
+name: livermore
+version: !ruby/object:Gem::Version
+  version: 0.0.0
+platform: ruby
+authors:
+- Tony Rom
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2018-02-15 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.16'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.16'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+- !ruby/object:Gem::Dependency
+  name: pry-byebug
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: coin_falcon
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.0.1
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.0.1
+- !ruby/object:Gem::Dependency
+  name: thor
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.20.0
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.20.0
+description: 
+email:
+- thetonyrom@gmail.com
+executables:
+- console
+- livermore
+- setup
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- ".rspec"
+- ".travis.yml"
+- Gemfile
+- Gemfile.lock
+- LICENSE.txt
+- README.md
+- Rakefile
+- bin/console
+- bin/livermore
+- bin/setup
+- config.yml.erb
+- lib/livermore.rb
+- lib/livermore/bot.rb
+- lib/livermore/cf_order.rb
+- lib/livermore/cf_response.rb
+- lib/livermore/cli.rb
+- lib/livermore/clients.rb
+- lib/livermore/monkey_patch.rb
+- lib/livermore/order.rb
+- lib/livermore/strategies.rb
+- lib/livermore/strategies/abstract_strategy.rb
+- lib/livermore/strategies/simple_strategy.rb
+- lib/livermore/version.rb
+- livermore.gemspec
+- strategies/simple_strategy.yml
+homepage: https://github.com/thetonyrom/livermore
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.7.5
+signing_key: 
+specification_version: 4
+summary: Trading Bot
+test_files: []