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mm bot shouldn't rely on Bison book being present (use oracle/fiat ra…
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…te only as reference point)
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norwnd committed Dec 28, 2024
1 parent 5342588 commit 2f6ad34
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Showing 2 changed files with 31 additions and 87 deletions.
4 changes: 3 additions & 1 deletion client/core/exchangeratefetcher.go
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Original file line number Diff line number Diff line change
Expand Up @@ -53,7 +53,9 @@ var (

// fiatRateFetchers is the list of all supported fiat rate fetchers.
var fiatRateFetchers = map[string]rateFetcher{
// TODO - testing
// disabling these for now because Binance is the only rate source that provides reasonably fresh
// prices (coinpaprika and messari for example have string rate limits, and dcrdataDotOrg probably
// has quite stale data)
//coinpaprika: FetchCoinpaprikaRates,
//dcrdataDotOrg: FetchDcrdataRates,
//messari: FetchMessariRates,
Expand Down
114 changes: 28 additions & 86 deletions client/mm/mm_basic.go
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Original file line number Diff line number Diff line change
Expand Up @@ -169,8 +169,8 @@ func (b *basicMMCalculatorImpl) basisPrice() (uint64, error) {
oracleRate := b.msgRate(b.oracle.getMarketPrice(b.baseID, b.quoteID))
b.log.Tracef("oracle rate = %s", b.fmtRate(oracleRate))

rateFromFiat := b.core.ExchangeRateFromFiatSources()
if rateFromFiat == 0 {
fiatRate := b.core.ExchangeRateFromFiatSources()
if fiatRate == 0 {
b.log.Meter("basisPrice_nofiat_"+b.market.name, time.Hour).Warn(
"No fiat-based rate estimate(s) available for sanity check for %s", b.market.name,
)
Expand All @@ -181,21 +181,23 @@ func (b *basicMMCalculatorImpl) basisPrice() (uint64, error) {
}
if oracleRate == 0 {
b.log.Meter("basisPrice_nooracle_"+b.market.name, time.Hour).Infof(
"No oracle rate available. Using fiat-derived basis rate = %s for %s", b.fmtRate(rateFromFiat), b.market.name,
"No oracle rate available. Using fiat-derived basis rate = %s for %s", b.fmtRate(fiatRate), b.market.name,
)
return steppedRate(rateFromFiat, b.rateStep), nil
return steppedRate(fiatRate, b.rateStep), nil
}
mismatch := math.Abs((float64(oracleRate) - float64(rateFromFiat)) / float64(oracleRate))
mismatch := math.Abs((float64(oracleRate) - float64(fiatRate)) / float64(oracleRate))
const maxOracleFiatMismatch = 0.05
if mismatch > maxOracleFiatMismatch {
b.log.Meter("basisPrice_sanity_fail+"+b.market.name, time.Minute*20).Warnf(
"Oracle rate sanity check failed for %s. oracle rate = %s, rate from fiat = %s",
b.market.name, b.market.fmtRate(oracleRate), b.market.fmtRate(rateFromFiat),
b.market.name, b.market.fmtRate(oracleRate), b.market.fmtRate(fiatRate),
)
return 0, errOracleFiatMismatch
}

return steppedRate(oracleRate, b.rateStep), nil
// if both fiat and oracle rates are present prefer fiat (mostly because it's currently Binance
// rate only, and it refreshes more frequently than oracle rates)
return steppedRate(fiatRate, b.rateStep), nil
}

// halfSpread calculates the distance from the mid-gap where if you sell a lot
Expand Down Expand Up @@ -281,11 +283,10 @@ type basicMarketMaker struct {
oracle oracle
rebalanceRunning atomic.Bool
calculator basicMMCalculator
// firstReliableBisonPrice is a reference Bison price calculated at the start
// of this MM bot, its value is the first reliable/confirmed Bison price we've

// firstReliableBasisPrice is a reference Basis price calculated at the start
// of this MM bot, its value is the first reliable/confirmed Basis price we've
// got.
firstReliableBisonPrice uint64
// firstReliableBasisPrice is same as firstReliableBisonPrice for Basis price.
firstReliableBasisPrice uint64
}

Expand Down Expand Up @@ -368,28 +369,11 @@ func (m *basicMarketMaker) ordersToPlace() (buyOrders, sellOrders []*TradePlacem
// maxAllowedRateDiffPercent is a safety threshold we don't want for MM bot to cross
const maxAllowedRateDiffPercent = 0.05 // 5%
var (
// bisonRateDiffPercent is a directional (with +/- sign) difference between bisonPrice
// and m.firstReliableBisonPrice
bisonRateDiffPercent float64
// basisRateDiffPercent is same as bisonRateDiffPercent, but for Basis price
// basisRateDiffPercent is a directional (with +/- sign) difference between basisPrice
// and m.firstReliableBasisPrice
basisRateDiffPercent float64
)

book, feed, err := m.core.SyncBook(m.host, m.baseID, m.quoteID)
if err != nil {
return nil, nil, fmt.Errorf("fetch Bison book: %v", err)
}
defer feed.Close() // have to release resources, otherwise feed isn't used here
bisonPrice, err := book.MidGap()
if err != nil {
return nil, nil, fmt.Errorf("calculate Bison rate: %v", err)
}
if m.firstReliableBisonPrice != 0 {
// below we'll want to check how delinquent Bison price is (compared to the reliable
// price we have from the time when MM bot started)
bisonRateDiffPercent = (float64(bisonPrice) - float64(m.firstReliableBisonPrice)) / float64(m.firstReliableBisonPrice)
}

basisPrice, err := m.calculator.basisPrice()
if err != nil {
return nil, nil, err
Expand All @@ -400,49 +384,27 @@ func (m *basicMarketMaker) ordersToPlace() (buyOrders, sellOrders []*TradePlacem
basisRateDiffPercent = (float64(basisPrice) - float64(m.firstReliableBasisPrice)) / float64(m.firstReliableBasisPrice)
}

m.log.Tracef("bisonPrice = %d", bisonPrice)
m.log.Tracef("basisPrice = %d", basisPrice)

{
// check the confluence of Bison and Basis price
rateConfluenceDiffPercent := math.Abs((float64(bisonPrice) - float64(basisPrice)) / float64(bisonPrice))
if rateConfluenceDiffPercent > maxAllowedRateDiffPercent {
return nil, nil, fmt.Errorf(
"(strategy - %s) unacceptable bisonPrice = %d and basisPrice = %d mismatch of %v percent",
m.cfg().GapStrategy,
bisonPrice,
basisPrice,
rateConfluenceDiffPercent,
)
}
}

if m.firstReliableBisonPrice == 0 {
// Bison price is reliable because it has confluence with Basis price, initializing
// reference (first) price
m.firstReliableBisonPrice = bisonPrice
}
if m.firstReliableBasisPrice == 0 {
// Basis price is reliable because it has confluence with Bison price, initializing reference (first) price
// Basis price is reliable only if MM bot starting basis price was manually verified
m.firstReliableBasisPrice = basisPrice
}

// find the best buy & sell orders in Bison books, these will help us determine
// how good of a price we should offer (compared to unattractive & safe default)

// bestBuy falls back to min(bisonPrice-4%, basisPrice-4%), this is a reasonably safe reference point
// even when the difference between bisonPrice and basisPrice is large (at the edge of what's allowed)
bestBuy := min(
steppedRate(uint64(float64(bisonPrice)-0.04*float64(bisonPrice)), m.rateStep),
steppedRate(uint64(float64(basisPrice)-0.04*float64(basisPrice)), m.rateStep),
)
// bestSell falls back to min(bisonPrice+4%, basisPrice+4%), this is reasonably safe reference point
// in case the difference between bisonPrice and basisPrice is large
bestSell := max(
steppedRate(uint64(float64(bisonPrice)+0.04*float64(bisonPrice)), m.rateStep),
steppedRate(uint64(float64(basisPrice)+0.04*float64(basisPrice)), m.rateStep),
)
m.log.Tracef("(default 4%%) bestBuy = %d, bestSell = %d", bestBuy, bestSell)
book, feed, err := m.core.SyncBook(m.host, m.baseID, m.quoteID)
if err != nil {
return nil, nil, fmt.Errorf("fetch Bison book: %v", err)
}
defer feed.Close() // have to release resources, otherwise feed isn't used here

// bestBuy falls back to basisPrice-4%, this is a reasonably safe reference point
bestBuy := steppedRate(uint64(float64(basisPrice)-0.04*float64(basisPrice)), m.rateStep)
// bestSell falls back to basisPrice+4%, this is reasonably safe reference point
bestSell := steppedRate(uint64(float64(basisPrice)+0.04*float64(basisPrice)), m.rateStep)
m.log.Tracef("(4%% gapped) bestBuy = %d, bestSell = %d", bestBuy, bestSell)
bisonOrders, found, err := book.BestNOrders(1, false)
if err != nil {
return nil, nil, fmt.Errorf("find best buy order in Bison book: %v", err)
Expand Down Expand Up @@ -477,17 +439,7 @@ func (m *basicMarketMaker) ordersToPlace() (buyOrders, sellOrders []*TradePlacem
// want to "resist it, but from a safe distance" (because this is the best time to
// buy/sell into - best liquidity, since people panic/FoMO in those moments)
if sell {
if bisonRateDiffPercent < 0 && math.Abs(bisonRateDiffPercent) > maxAllowedRateDiffPercent {
m.log.Tracef(
"(strategy - %s) won't place sell order since bisonPrice = %d has rapidly moved down compared to firstReliableBisonPrice = %d (mismatch of %v percent)",
m.cfg().GapStrategy,
bisonPrice,
m.firstReliableBisonPrice,
math.Abs(bisonRateDiffPercent),
)
continue
}
if bisonRateDiffPercent < 0 && math.Abs(basisRateDiffPercent) > maxAllowedRateDiffPercent {
if basisRateDiffPercent < 0 && math.Abs(basisRateDiffPercent) > maxAllowedRateDiffPercent {
m.log.Tracef(
"(strategy - %s) won't place sell order since basisPrice = %d has rapidly moved down compared to firstReliableBasisPrice = %d (mismatch of %v percent)",
m.cfg().GapStrategy,
Expand All @@ -499,17 +451,7 @@ func (m *basicMarketMaker) ordersToPlace() (buyOrders, sellOrders []*TradePlacem
}
}
if !sell {
if bisonRateDiffPercent > 0 && math.Abs(bisonRateDiffPercent) > maxAllowedRateDiffPercent {
m.log.Tracef(
"(strategy - %s) won't place buy order since bisonPrice = %d has rapidly moved up compared to firstReliableBisonPrice = %d (mismatch of %v percent)",
m.cfg().GapStrategy,
bisonPrice,
m.firstReliableBisonPrice,
math.Abs(bisonRateDiffPercent),
)
continue
}
if bisonRateDiffPercent > 0 && math.Abs(basisRateDiffPercent) > maxAllowedRateDiffPercent {
if basisRateDiffPercent > 0 && math.Abs(basisRateDiffPercent) > maxAllowedRateDiffPercent {
m.log.Tracef(
"(strategy - %s) won't place buy order since basisPrice = %d has rapidly moved up compared to firstReliableBasisPrice = %d (mismatch of %v percent)",
m.cfg().GapStrategy,
Expand Down

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