bitfinexcom / bfx-hf-algo

Bitfinex Honey Framework Algorithmic Order Library for Node.JS

For a description of the included algo orders, see our user docs

Installation

npm i --save bfx-hf-algo
npm i --save bfx-hf-models
npm i --save bfx-hf-ext-plugin-bitfinex
npm i --save bfx-hf-models-adapter-lowdb

Quickstart & Example

To get started, create an object wsSettings required for AOAdapter, then pass them to a new AOHost instance and call startAO(id, args):

const {
  AOHost, PingPong, Iceberg, TWAP, AccumulateDistribute, MACrossover
} = require('bfx-hf-algo')

const HFDB = require('bfx-hf-models')
const HFDBLowDBAdapter = require('bfx-hf-models-adapter-lowdb')
const {
  schema: HFDBBitfinexSchema
} = require('bfx-hf-ext-plugin-bitfinex')

const algoDB = new HFDB({
  schema: HFDBBitfinexSchema,
  adapter: HFDBLowDBAdapter({
    dbPath: path.join(__dirname, '..', 'db', 'example.json')
  })
})

const host = new AOHost({
  aos: [PingPong, Iceberg, TWAP, AccumulateDistribute, MACrossover],
  wsSettings: {
    apiKey: '...',
    apiSecret: '...',
    // Authentication with auth tokens is available as an alternative for API credentials
    // authToken,
    dms: 4
  }
})

host.on('ao:state:update', async (updateOpts) => {
  // send ui updates
})

host.on('auth:error', (packet) => {
  console.log('error authenticating: %j', packet)
})

host.on('error', (err) => {
  console.log('error: %s', err)
})

host.once('ready', async () => {
  // Start an Iceberg order instance
  const [serialized] = await host.startAO('bfx-iceberg', {
    symbol: 'tBTCUSD',
    price: 21000,
    amount: -0.5,
    sliceAmount: -0.1,
    excessAsHidden: true,
    orderType: 'LIMIT',
    _margin: false,
  })

  // later, host.stopAO(gid)
})

Docs

Refer to the docs/ folder for JSDoc-generated API documentation.

Benchmarking

Environment variables API_KEY and API_SECRET must be defined (in paper mode) Run npm run benchmark:mock and keep it running in a separate terminal Run TARGET=<benchmark name> npm run benchmark:run to generate the reports (destination folder is ./benchmarks_reports), where TARGET is name of JS file in the root of test/benchmarks folder

Contributing

1. Fork it
2. Create your feature branch (git checkout -b my-new-feature)
3. Commit your changes (git commit -am 'Add some feature')
4. Push to the branch (git push origin my-new-feature)
5. Create a new Pull Request

Note

This package will be maintained only via github, please use latest relases from github instead of npm.

Example on how to install specific version from github:

npm i --save-prod https://github.com/bitfinexcom/bfx-hf-algo.git#v4.3.4

Example on how to install it latest version from github:

npm i --save-prod https://github.com/bitfinexcom/bfx-hf-algo.git

bfx-hf-algo's Issues

Refactor: AO atomic cancellation delay removal

I see atomic cancellation delays were removed recently (79f857b & co); I suggest making the fields somehow optional in the UI, as with the current change no delay can be specified by calling the library directly.

Feature: Adaptive Front-of-Book AO

Issue type

• bug
• missing functionality
• performance
• feature request

Brief description

Create an AO that maintains a buy or sell order in 1st position on the book, respecting a certain spread.

Feature: Synthatic

Canceled algo orders from bfx UI, resubmitted after HF service restart

1. Submit accumulate/distribute order.
2. Wait to appear in bfx UI.
3. Cancel from bfx UI.
4. Wait to disappear from bfx UI.
5. See in logs, that order canceled.
6. Wait some arbitrary time.
7. Restart HF service server.
8. Wait to appear same accumulate/distribute order which was canceled on step 3.

Noce code change in bfx-api-node-util has broken order creation

This pulll request bitfinexcom/bfx-api-node-util@9e0d87f changed the way the nonce is generated.
THe problem is that all of the default order examples use this function to also generate cId when creating an order which is now invalid due to the * 1000 multiplier

NPM: Version 1.2.0 not pushed to package manager

After the last bump in version the new version 1.2.0 was apparently not pushed to npm.

https://www.npmjs.com/package/bfx-hf-algo

This creates a conflict in bfx-hf-algo-server, which now depends on version 1.2.0 upon install, which is not available on npm.

Feature: Iceberg w/ Price Variance

See Iceberg order description on Okex: https://support.okex.com/hc/en-us/articles/115003537571-Strategy-Order-Explanation

[bug] AO P/P: a failed Pong stops all processing

Ping-Ping AO fails to keep going after the first PONG gets fills.

Steps to reproduce

• setup P/P with multiple orders, e.g. Ping/Pong | -0.0002:-0.0002 @ [48360..48550] -> -10
• watch out for the first PONG to be filled

Problem

• the AO stops with bfx:hf:algo:ao-host:ws2:bind-bus error processing: TypeError: Cannot read property '1' of undefined
• (with endless : true) the filling of PONGs does not re-create any PINGs
• if the price returns into the original PING range, no more PONGS are generated (regardless of endless : true/false)

Log file

api-server.log
note: after the error and AO collapse, the remaining orphaned PONGs and original virgin PINGs are handled normally as separate atomics by the server. The log file is understandably silent on this.

Thank you for reviewing. It'd be a quite a shame if P/P remains not available in Honeyframework, also heaps of work done previously are laid too waste. :-/

Discard or reject invalid orders

For instance, submitted order:

Is accepted, and obviously causes:

bfx:api:ws:messages:notifications ERROR: Invalid order: minimum size for BTC/USD is 0.002

However, order continue to execute on HF side indefinitely:

2018-10-21T12:38:46.574Z bfx:hf:algo:bfx.accumulate_distribute:1111 emit self:interval_tick
2018-10-21T12:38:46.574Z bfx:hf:algo:ao-host triggering self:interval_tick for AO bfx.accumulate_distribute [gid 1111]
2018-10-21T12:38:46.575Z bfx:hf:algo:bfx.accumulate_distribute:1111 notify info: scheduled tick in ~120s
2018-10-21T12:38:46.575Z bfx:hf:algo:bfx.accumulate_distribute:1111 emit state:update
2018-10-21T12:38:46.575Z bfx:hf:algo:bfx.accumulate_distribute:1111 emit state:update
2018-10-21T12:38:46.575Z bfx:hf:algo:bfx.accumulate_distribute:1111 now behind with 1 orders
2018-10-21T12:38:46.575Z bfx:hf:algo:bfx.accumulate_distribute:1111 awaiting fill...