@icgio/icg-exchanges-wrapper 1.9.99 → 1.9.100

package/middleware/orders.js

@@ -61,7 +61,7 @@ module.exports = class Orders {
     this.no_cancel_range_exchanges = settings.no_cancel_range_exchanges || []
     this.no_trades_function_exchanges = settings.no_trades_function_exchanges || []
     this.no_trades_function_f_filled_timeout = 30 * 1000
-    this.bad_trades_no_arb_function_exchanges = settings.bad_trades_no_arb_function_exchanges || []
+    this.no_arb_exchanges = settings.no_arb_exchanges || []
     this.buy_sell_limits_threshold = 0.95
     this.p_filled_threshold = 0
     this.f_filled_threshold = 0.99
@@ -69,7 +69,8 @@ module.exports = class Orders {
     this.previous_orders_canceled_exchange_pair = {}
     this.account_init = false
     this.cmc_curs = settings.cmc_curs || []
-    this.balance_benchmarks = settings.balance_benchmarks || {}
+    this.balance_benchmark = settings.balance_benchmark || {}
+    this.min_reserve_balance = settings.min_reserve_balance || {}
     for (let exchange in exchange_pairs) {
       let api_key_temp = cd[exchange]['api_keys'] || cd[exchange]['api_key'],
         secret_key_temp = cd[exchange]['secret_keys'] || cd[exchange]['secret_key'],
@@ -103,8 +104,11 @@ module.exports = class Orders {
       }
     }
     ;(this.balances = {}), (this.open_orders = {}), (this.trades = {}), (this.rates = {}), (this.market_history = {}), (this.cmc_rates = {})
-    ;(this.rates_combined_all = {}), (this.rates_combined_all_with_buy_sell_limits = {}), (this.rates_combined_major = {}), (this.rates_combined_good_with_buy_sell_limits = {})
-    this.buy_sell_limits = {}
+    ;(this.rates_combined_all = {}),
+      (this.rates_combined_all_with_buy_sell_limits_against_reserve_balance = {}),
+      (this.rates_combined_major = {}),
+      (this.rates_combined_good_with_buy_sell_limits_against_reserve_balance = {})
+    this.buy_sell_limits_against_reserve_balance = {}
     this.order_info = {}
     this.order_info_status = {}
     this.enabled = settings.enabled || {
@@ -584,6 +588,12 @@ module.exports = class Orders {
       _.setWith(this.order_info, `${exchange}.${pair}.${type}.${order_id}.${key}`, dict[key], Object)
     }
     this.info_log('UPDATE %s: %s %s %s %s %j', note, exchange, pair, type, order_id, dict)
+    // start: log every f-filled trade for future analysis
+    if (dict.status === 'F-FILLED') {
+      let { price, amount, close_time } = _.get(this.order_info, [exchange, pair, type, order_id])
+      console.log(`f_filled_orders_info:${exchange},${pair},${type},${order_id},${price},${amount},${close_time},${note}`)
+    }
+    // end: log every f-filled trade for future analysis
   }
   delete_order_info(exchange, pair, type, order_id, note) {
     this.order_info[exchange][pair][type] = _.omit(this.order_info[exchange][pair][type], [order_id])
@@ -599,21 +609,33 @@ module.exports = class Orders {
               let cur_balance = _.get(this.balances, [exchange, 'available', cur], 0)
               let base_cur_balance = _.get(this.balances, [exchange, 'available', base_cur], 0)
               let pair = cur + base_cur
-              _.set(this.buy_sell_limits, [exchange, pair], {
-                sell: cur_balance * this.buy_sell_limits_threshold,
-                buy: base_cur_balance * this.buy_sell_limits_threshold,
+              let max_cur_amount = cur_balance - this.min_reserve_balance[exchange][cur]
+              let max_base_cur_amount = base_cur_balance - this.min_reserve_balance[exchange][base_cur]
+              if (max_cur_amount > 0) {
+              } else {
+                console.error('balance low', exchange, cur, cur_balance, this.min_reserve_balance[exchange][cur])
+                max_cur_amount = 0
+              }
+              if (max_base_cur_amount > 0) {
+              } else {
+                console.error('balance low', exchange, cur, base_cur_balance, this.min_reserve_balance[exchange][base_cur])
+                max_base_cur_amount = 0
+              }
+              _.set(this.buy_sell_limits_against_reserve_balance, [exchange, pair], {
+                sell: max_cur_amount,
+                buy: max_base_cur_amount,
               })
             })
           }
         }
         if (!this.account_init && _.keys(this.balances).length === _.keys(this.exchange_pairs).length) {
           this.account_init = true
-          this.init_account(this.balances, this.balance_benchmarks)
+          this.init_account(this.balances, this.balance_benchmark)
         }
       } else if (_.get(this.balances, [exchange, 'update_time']) < new Date().getTime() - this.interval_dict[exchange].balances) {
         this.info_log('%s balances expired: %j', exchange, res)
         this.balances = _.omit(this.balances, [exchange])
-        this.buy_sell_limits = _.omit(this.buy_sell_limits, [exchange])
+        this.buy_sell_limits_against_reserve_balance = _.omit(this.buy_sell_limits_against_reserve_balance, [exchange])
       }
     }
     function get_balances(Exchanges, interval_dict) {
@@ -641,18 +663,9 @@ module.exports = class Orders {
     let position_all_handler = (exchange, res) => {
       if (res.success) {
         _.set(this.positions, [exchange], Object.assign(res.body, { update_time: new Date() }))
-        for (let exchange in this.exchange_pairs) {
-          this.exchange_pairs[exchange].map((pair) => {
-            _.set(this.buy_sell_limits, [exchange, pair], {
-              sell: 1000 + _.get(res.body, ['total', pair], 0),
-              buy: 1000 - _.get(res.body, ['total', pair], 0),
-            })
-          })
-        }
       } else if (_.get(this.positions, [exchange, 'update_time']) < new Date().getTime() - this.interval_dict[exchange].positions) {
         this.info_log('%s positions expired: %j', exchange, res)
         this.positions = _.omit(this.positions, [exchange])
-        this.buy_sell_limits = _.omit(this.buy_sell_limits, [exchange])
       }
     }
     function get_positions(Exchanges, interval_dict) {
@@ -965,10 +978,10 @@ module.exports = class Orders {
         _.set(this.rates, [exchange, pair], Object.assign(res.body, { update_time: new Date() }))
         for (let pair in this.pair_exchanges) {
           let orderbook_all = {},
-            orderbook_all_with_buy_sell_limits = {},
+            orderbook_all_with_buy_sell_limits_against_reserve_balance = {},
             orderbook_major = {},
             orderbook_major_temp = {},
-            orderbook_good_with_buy_sell_limits = {},
+            orderbook_good_with_buy_sell_limits_against_reserve_balance = {},
             orderbook_good_temp = {}
           for (let exchange of this.pair_exchanges[pair]) {
             if (_.get(this.rates, [exchange, pair, 'asks'], []).length > 0 && _.get(this.rates, [exchange, pair, 'bids'], []).length > 0) {
@@ -980,32 +993,32 @@ module.exports = class Orders {
             if (
               _.get(this.rates, [exchange, pair, 'asks'], []).length > 0 &&
               _.get(this.rates, [exchange, pair, 'bids'], []).length > 0 &&
-              _.get(this.buy_sell_limits, [exchange, pair, 'buy']) &&
-              _.get(this.buy_sell_limits, [exchange, pair, 'sell'])
+              _.get(this.buy_sell_limits_against_reserve_balance, [exchange, pair, 'buy']) &&
+              _.get(this.buy_sell_limits_against_reserve_balance, [exchange, pair, 'sell'])
             ) {
               let rates = JSON.parse(JSON.stringify(this.rates[exchange][pair]))
-              let rates_with_buy_sell_limits = {
-                asks: utils.sum_position_orderbook(rates.asks, this.buy_sell_limits[exchange][pair].buy),
-                bids: utils.vol_position_orderbook(rates.bids, this.buy_sell_limits[exchange][pair].sell),
+              let rates_with_buy_sell_limits_against_reserve_balance = {
+                asks: utils.sum_position_orderbook(rates.asks, this.buy_sell_limits_against_reserve_balance[exchange][pair].buy),
+                bids: utils.vol_position_orderbook(rates.bids, this.buy_sell_limits_against_reserve_balance[exchange][pair].sell),
               }
-              orderbook_all_with_buy_sell_limits[exchange] = rates_with_buy_sell_limits
+              orderbook_all_with_buy_sell_limits_against_reserve_balance[exchange] = rates_with_buy_sell_limits_against_reserve_balance
               if (this.major_exchanges[pair] && _.includes(this.major_exchanges[pair], exchange)) {
                 orderbook_major_temp[exchange] = rates
                 if (_.keys(orderbook_major_temp).length === this.major_exchanges[pair].length) {
                   orderbook_major = orderbook_major_temp
                 }
               }
-              if (this.bad_trades_no_arb_function_exchanges && !_.includes(this.bad_trades_no_arb_function_exchanges, exchange)) {
-                orderbook_good_temp[exchange] = rates_with_buy_sell_limits
-                if (_.keys(orderbook_good_temp).length === this.pair_exchanges[pair].length - this.bad_trades_no_arb_function_exchanges.length) {
-                  orderbook_good_with_buy_sell_limits = orderbook_good_temp
+              if (!_.includes(this.no_arb_exchanges, exchange)) {
+                orderbook_good_temp[exchange] = rates_with_buy_sell_limits_against_reserve_balance
+                if (_.keys(orderbook_good_temp).length === this.pair_exchanges[pair].length - this.no_arb_exchanges.length) {
+                  orderbook_good_with_buy_sell_limits_against_reserve_balance = orderbook_good_temp
                 }
               }
             } else {
-              orderbook_all_with_buy_sell_limits = _.omit(orderbook_all_with_buy_sell_limits, [exchange])
+              orderbook_all_with_buy_sell_limits_against_reserve_balance = _.omit(orderbook_all_with_buy_sell_limits_against_reserve_balance, [exchange])
               orderbook_major = _.omit(orderbook_major, [exchange])
               orderbook_major_temp = _.omit(orderbook_major_temp, [exchange])
-              orderbook_good_with_buy_sell_limits = _.omit(orderbook_good_with_buy_sell_limits, [exchange])
+              orderbook_good_with_buy_sell_limits_against_reserve_balance = _.omit(orderbook_good_with_buy_sell_limits_against_reserve_balance, [exchange])
               orderbook_good_temp = _.omit(orderbook_good_temp, [exchange])
             }
           }
@@ -1017,12 +1030,12 @@ module.exports = class Orders {
               this.rates_combined_all = _.omit(this.rates_combined_all, [pair])
             }
           }
-          if (_.keys(orderbook_all_with_buy_sell_limits).length > 0) {
-            let o = utils.combine_orderbooks(orderbook_all_with_buy_sell_limits, 100)
+          if (_.keys(orderbook_all_with_buy_sell_limits_against_reserve_balance).length > 0) {
+            let o = utils.combine_orderbooks(orderbook_all_with_buy_sell_limits_against_reserve_balance, 100)
             if (o.asks.length > 0 && o.bids.length > 0) {
-              _.set(this.rates_combined_all_with_buy_sell_limits, [pair], o)
+              _.set(this.rates_combined_all_with_buy_sell_limits_against_reserve_balance, [pair], o)
             } else {
-              this.rates_combined_all_with_buy_sell_limits = _.omit(this.rates_combined_all_with_buy_sell_limits, [pair])
+              this.rates_combined_all_with_buy_sell_limits_against_reserve_balance = _.omit(this.rates_combined_all_with_buy_sell_limits_against_reserve_balance, [pair])
             }
           }
           if (_.keys(orderbook_major).length > 0) {
@@ -1033,12 +1046,12 @@ module.exports = class Orders {
               this.rates_combined_major = _.omit(this.rates_combined_major, [pair])
             }
           }
-          if (_.keys(orderbook_good_with_buy_sell_limits).length > 0) {
-            let o = utils.combine_orderbooks(orderbook_good_with_buy_sell_limits, 100)
+          if (_.keys(orderbook_good_with_buy_sell_limits_against_reserve_balance).length > 0) {
+            let o = utils.combine_orderbooks(orderbook_good_with_buy_sell_limits_against_reserve_balance, 100)
             if (o.asks.length > 0 && o.bids.length > 0) {
-              _.set(this.rates_combined_good_with_buy_sell_limits, [pair], o)
+              _.set(this.rates_combined_good_with_buy_sell_limits_against_reserve_balance, [pair], o)
             } else {
-              this.rates_combined_good_with_buy_sell_limits = _.omit(this.rates_combined_good_with_buy_sell_limits, [pair])
+              this.rates_combined_good_with_buy_sell_limits_against_reserve_balance = _.omit(this.rates_combined_good_with_buy_sell_limits_against_reserve_balance, [pair])
             }
           }
         }

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@icgio/icg-exchanges-wrapper",
-  "version": "1.9.99",
+  "version": "1.9.100",
   "description": "",
   "main": "index.js",
   "scripts": {
@@ -17,7 +17,7 @@
   },
   "homepage": "https://github.com/icgio/icg-exchanges-wrapper#readme",
   "dependencies": {
-    "@icgio/icg-exchanges": "^1.27.85",
+    "@icgio/icg-exchanges": "^1.27.86",
     "@icgio/icg-exchanges-data": "^1.6.39",
     "@icgio/icg-utils": "^1.7.18",
     "influx": "^5.7.0",