function newRandomOrder(side, price, distance) {
var size = getRandomInt(2, 12)
var buyStep = mangler.fixed(getRandomInt(1, 4) / 10)
var delta = mangler.fixed((side === 'buy' ? -1 : 1) * (SPREAD + distance))
var orderPrice = mangler.fixed(price + delta)
return newOrder(side, orderPrice, size)
}
bot.random = function (price) {
var buys = {}, sells = {}
var bid = mangler.fixed(price - SPREAD), ask = mangler.fixed(price + SPREAD)
for (var i = 0; i < DEPTH;) {
var buyOrder = newRandomOrder('buy', price, Math.floor(i / 10))
buys[buyOrder.price] = buyOrder
var sellOrder = newRandomOrder('sell', price, Math.floor(i / 10))
sells[sellOrder.price] = sellOrder
i += buyOrder.quantity + sellOrder.quantity
}
return { buys: buys, sells: sells }
}
function* init() {
bot.strategies = { 'collar': bot.collar, 'random': bot.random }
if (CROSS) {
STP = instrument(SYMBOL).crossMarginInitialStop
}
var spread = getSpread()
var tick = mangler.fixed(1 / instrument(SYMBOL).ticksperpoint)
affirm(spread >= tick, 'SPREAD ' + spread + ' is less than tick ' + tick)
affirm(STEP >= tick, 'STEP ' + STEP + ' is less than tick ' + tick)
debug('botParams', JSON.stringify({
'baseurl' : baseurl,
'SYMBOL' : SYMBOL,
'MARGINPERCENT': marginPercent,
'DEPTH' : DEPTH,
'SPREAD' : spread,
'STEP' : STEP,
'STP' : STP,
'TGT' : TGT,
'STRAT' : STRAT,
'QTY' : QTY,
CROSS : CROSS,
PREMIUM : PREMIUM
}, null, 2))
var info = yield account.loginless.rest.get('/all/info')
// debug('current price', info)
var price = info[SYMBOL].indexPrice
currentBand = { price: price }
yield moveAndMerge()
}
function newOrder(side, price, quantity) {
var inst = instrument(SYMBOL)
return {
clientid : account.newUUID(),
userid : account.userid,
side : side,
quantity : quantity || 1,
price : mangler.fixed(price),
orderType : 'LMT',
stopPrice : STP,
targetPrice: 'NONE',//mangler.fixed(SPREAD * 2 - 0.1, inst.ticksize),
crossMargin: CROSS,
instrument : SYMBOL
}
}
bot.collar = function (price) {
affirm(price && typeof price === 'number', 'Numeric price required for collar')
var buys = {}, sells = {}
var availableMargin = calculateAvailableMargin()
debug('availableMargin', availableMargin)
if (availableMargin <= 0) return { buys: buys, sells: sells }
var inst = instrument(SYMBOL)
var satoshiPerQuantity = getSatoshiPerQuantity[inst.type]()
var max = Math.floor(availableMargin / (satoshiPerQuantity * QTY * 2))
var depth = Math.min(DEPTH, max * STEP)
var spread = getSpread()
var buySpread = spread, sellSpread = spread
var position = account.getPositions()[inst.symbol]
if (position) {
var adjustedSpread = mangler.fixed(Math.floor(Math.abs(position.quantity) / 100) / 5)
buySpread = position.quantity > 0 ? mangler.fixed(buySpread + adjustedSpread) : buySpread
sellSpread = position.quantity < 0 ? mangler.fixed(sellSpread + adjustedSpread) : sellSpread
}
var maxBuyCount = bot.getMaxOrderCounts(position, 'buy')
var maxSellCount = bot.getMaxOrderCounts(position, 'sell')
var premium = bot.getPremium(inst.expiry - Date.now())
var buyCount = 0
for (var i = mangler.fixed(price - buySpread); i > mangler.fixed(price - buySpread - depth); i = mangler.fixed(i - STEP)) {
if (buyCount >= maxBuyCount) break;
var buy = newOrder('buy', bot.getPremiumPrice(i, premium, inst.ticksize), QTY)
buys[buy.price] = buy
buyCount += QTY
}
var sellCount = 0
for (var j = mangler.fixed(price + sellSpread); j < mangler.fixed(price + sellSpread + depth); j = mangler.fixed(j + STEP)) {
if (sellCount >= maxSellCount) break;
var sell = newOrder('sell', bot.getPremiumPrice(j, premium, inst.ticksize), QTY)
sells[sell.price] = sell
sellCount += QTY
}
return { buys: buys, sells: sells }
}
bot.getPremiumPrice = function (price, premium, ticksize) {
var multiplier = Math.pow(10, ticksize)
return mangler.fixed(Math.round(multiplier * price * (1 + premium)) / multiplier)
}