feat: dynamic minimum quantity

ExchangeUnion · Jan 6, 2021 · 0cf6ef5 · 0cf6ef5
1 parent 6f14f0a
commit 0cf6ef5
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Showing 14 changed files with 218 additions and 298 deletions.
diff --git a/src/arby.ts b/src/arby.ts
@@ -102,6 +102,7 @@ export const startArby = ({
           loggers.global.info('Starting. Hello, Arby.');
           logConfig(config, loggers.global);
           verifyMarkets(config, CEXmarkets);
+          store.setMarkets(CEXmarkets);
           const tradeComplete$ = trade$({
             config,
             loggers,

diff --git a/src/centralized/__snapshots__/minimum-order-quantity-filter.spec.ts.snap b/src/centralized/__snapshots__/minimum-order-quantity-filter.spec.ts.snap
diff --git a/src/centralized/ccxt/create-order.spec.ts b/src/centralized/ccxt/create-order.spec.ts
@@ -27,12 +27,12 @@ describe('CCXT', () => {
       },
     };
     const expectedSymbol = `${config.CEX_BASEASSET}/${config.CEX_QUOTEASSET}`;
-    const sellOrder$ = createOrder$({
+    const sellOrder$ = createOrder$(
       config,
       exchange,
-      side: OrderSide.SELL,
-      quantity: orderQuantity,
-    });
+      OrderSide.SELL,
+      orderQuantity
+    );
     sellOrder$.subscribe({
       next: actualOrderResponse => {
         expect(actualOrderResponse).toEqual(orderResponse);
@@ -68,12 +68,12 @@ describe('CCXT', () => {
     };
     orderQuantity = new BigNumber('0.12345678');
     const expectedSymbol = `${config.CEX_BASEASSET}/${config.CEX_QUOTEASSET}`;
-    const buyOrder$ = createOrder$({
+    const buyOrder$ = createOrder$(
       config,
       exchange,
-      side: OrderSide.BUY,
-      quantity: orderQuantity,
-    });
+      OrderSide.BUY,
+      orderQuantity
+    );
     buyOrder$.subscribe({
       next: actualOrderResponse => {
         expect(actualOrderResponse).toEqual(orderResponse);
@@ -108,12 +108,12 @@ describe('CCXT', () => {
       },
     };
     const expectedSymbol = `${config.CEX_BASEASSET}/${config.CEX_QUOTEASSET}`;
-    const buyOrder$ = createOrder$({
+    const buyOrder$ = createOrder$(
       config,
       exchange,
-      side: OrderSide.BUY,
-      quantity: orderQuantity,
-    });
+      OrderSide.BUY,
+      orderQuantity
+    );
     buyOrder$.subscribe({
       next: actualOrderResponse => {
         expect(actualOrderResponse).toEqual(orderResponse);
@@ -150,12 +150,12 @@ describe('CCXT', () => {
       },
     };
     const expectedSymbol = `${config.CEX_BASEASSET}/${config.CEX_QUOTEASSET}`;
-    const sellOrder$ = createOrder$({
+    const sellOrder$ = createOrder$(
       config,
       exchange,
-      side: OrderSide.SELL,
-      quantity: orderQuantity,
-    });
+      OrderSide.SELL,
+      orderQuantity
+    );
     sellOrder$.subscribe({
       next: actualOrderResponse => {
         expect(actualOrderResponse).toEqual(orderResponse);

diff --git a/src/centralized/ccxt/create-order.ts b/src/centralized/ccxt/create-order.ts
@@ -4,19 +4,12 @@ import BigNumber from 'bignumber.js';
 import { Observable, from, defer } from 'rxjs';
 import { Config } from '../../config';
 
-type CreateOrderParams = {
-  config: Config;
-  exchange: Exchange;
-  side: OrderSide;
-  quantity: BigNumber;
-};
-
-const createOrder$ = ({
-  config,
-  exchange,
-  side,
-  quantity,
-}: CreateOrderParams): Observable<Order> => {
+const createOrder$ = (
+  config: Config,
+  exchange: Exchange,
+  side: OrderSide,
+  quantity: BigNumber
+): Observable<Order> => {
   return defer(() => {
     const price = undefined;
     const params =
@@ -33,4 +26,6 @@ const createOrder$ = ({
   });
 };
 
+type CreateOrderParams = Parameters<typeof createOrder$>;
+
 export { createOrder$, CreateOrderParams };
diff --git a/src/centralized/execute-order.spec.ts b/src/centralized/execute-order.spec.ts
@@ -26,14 +26,14 @@ const assertExecuteCEXorder = (
       return (cold(inputEvents.createOrder$) as unknown) as Observable<Order>;
     };
     const CEX = (null as unknown) as Exchange;
-    const CEXorder$ = executeCEXorder$({
+    const CEXorder$ = executeCEXorder$(
       CEX,
-      config: inputEvents.config,
-      logger: getLoggers().centralized,
-      price: inputEvents.price,
-      order: inputEvents.order,
-      createOrder$,
-    });
+      inputEvents.config,
+      getLoggers().centralized,
+      inputEvents.price,
+      inputEvents.order,
+      createOrder$
+    );
     expectObservable(CEXorder$, inputEvents.unsubscribe).toBe(expected, {
       a: null,
     });

diff --git a/src/centralized/execute-order.ts b/src/centralized/execute-order.ts
@@ -14,38 +14,19 @@ import { Logger } from '../logger';
 import { CreateOrderParams } from './ccxt/create-order';
 import { CEXorder } from './order-builder';
 
-type ExecuteCEXorderParams = {
-  CEX: Exchange;
-  config: Config;
-  logger: Logger;
-  price: BigNumber;
-  order: CEXorder;
-  createOrder$: ({
-    config,
-    exchange,
-    side,
-    quantity,
-  }: CreateOrderParams) => Observable<Order>;
-};
-
-const executeCEXorder$ = ({
-  CEX,
-  config,
-  logger,
-  price,
-  order,
-  createOrder$,
-}: ExecuteCEXorderParams): Observable<null> => {
+const executeCEXorder$ = (
+  CEX: Exchange,
+  config: Config,
+  logger: Logger,
+  price: BigNumber,
+  order: CEXorder,
+  createOrder$: (...args: CreateOrderParams) => Observable<Order>
+): Observable<null> => {
   if (!config.TEST_MODE) {
     logger.info(
       `Starting centralized exchange ${config.CEX_BASEASSET}/${config.CEX_QUOTEASSET} market ${order.side} order (quantity: ${order.quantity})`
     );
-    return createOrder$({
-      exchange: CEX,
-      config,
-      side: order.side,
-      quantity: order.quantity,
-    }).pipe(
+    return createOrder$(config, CEX, order.side, order.quantity).pipe(
       tap(order =>
         logger.info(
           `Centralized exchange order finished: ${JSON.stringify(order)}`
@@ -77,4 +58,6 @@ const executeCEXorder$ = ({
   }
 };
 
+type ExecuteCEXorderParams = Parameters<typeof executeCEXorder$>;
+
 export { executeCEXorder$, ExecuteCEXorderParams };
diff --git a/src/centralized/minimum-order-quantity-filter.spec.ts b/src/centralized/minimum-order-quantity-filter.spec.ts
diff --git a/src/centralized/minimum-order-quantity-filter.ts b/src/centralized/minimum-order-quantity-filter.ts
@@ -1,29 +1,35 @@
-import BigNumber from 'bignumber.js';
-import { errors } from '../opendex/errors';
+import { BigNumber } from 'bignumber.js';
+import { curry } from 'ramda';
+import { EMPTY, Observable, of } from 'rxjs';
+import { mergeMap, take } from 'rxjs/operators';
+import { Logger } from '../logger';
+import { ArbyStore } from '../store';
 
-type MinimumCEXquantities = {
-  [key: string]: BigNumber;
-};
-
-const MINIMUM_ORDER_SIZE: MinimumCEXquantities = {
-  BTC: new BigNumber('0.001'),
-  ETH: new BigNumber('0.05'),
-  DAI: new BigNumber('15'),
-  USDT: new BigNumber('15'),
-};
-
-const getMinimumOrderSize = (asset: string): BigNumber => {
-  const minimumOrderSize = MINIMUM_ORDER_SIZE[asset];
-  if (!minimumOrderSize) {
-    throw errors.CEX_INVALID_MINIMUM_ORDER_QUANTITY(asset);
+const quantityAboveMinimum = curry(
+  (
+    store: ArbyStore,
+    logger: Logger,
+    assetToTradeOnCEX: string,
+    minimumQuantity$: Observable<BigNumber>,
+    quantity: BigNumber
+  ) => {
+    logger.info(
+      `Swap success. Accumulated ${assetToTradeOnCEX} quantity: ${quantity.toFixed()}`
+    );
+    store.resetLastOrderUpdatePrice();
+    return minimumQuantity$.pipe(
+      take(1),
+      mergeMap(minimumQuantity => {
+        if (quantity.isGreaterThanOrEqualTo(minimumQuantity)) {
+          return of(quantity);
+        }
+        logger.info(
+          `Will not execute CEX order because ${quantity.toFixed()} is below the minimum allowed CEX quantity ${minimumQuantity.toFixed()}`
+        );
+        return EMPTY;
+      })
+    );
   }
-  return minimumOrderSize;
-};
-
-const quantityAboveMinimum = (asset: string) => {
-  return (quantity: BigNumber): boolean => {
-    return quantity.isGreaterThanOrEqualTo(getMinimumOrderSize(asset));
-  };
-};
+);
 
-export { quantityAboveMinimum, MINIMUM_ORDER_SIZE };
+export { quantityAboveMinimum };