add pricefeed inversion

accounting/pnl/pnl.go

@@ -110,5 +110,5 @@ func loadAccount(client *horizon.Client, address string) horizon.Account {
 
 func makeCmcFeed(cmcRef string) (api.PriceFeed, error) {
 	url := fmt.Sprintf("https://api.coinmarketcap.com/v1/ticker/%s/", cmcRef)
-	return plugins.MakePriceFeed("crypto", url)
+	return plugins.MakePriceFeed("crypto", url, false)
 }

examples/configs/trader/sample_buysell.cfg

@@ -15,6 +15,8 @@ DATA_TYPE_A="exchange"
 # use "kraken" or any of the ccxt-exchanges (run `kelp exchanges` for full list)
 # examples: "kraken", "ccxt-kraken", "ccxt-binance", "ccxt-poloniex", "ccxt-bittrex"
 DATA_FEED_A_URL="kraken/XXLM/ZUSD"
+# whether to invert the price received from the feed; this allows more complex price derivations
+DATA_FEED_A_INVERT=false
 # uncomment to use binance, poloniex, or bittrex as your price feed. You will need to set up CCXT to use this, see the "Using CCXT" section in the README for details.
 # be careful about using USD vs. USDT since some exchanges support only one, or both, or in some cases neither.
 #DATA_FEED_A_URL="ccxt-kraken/XLM/USD"
@@ -27,10 +29,12 @@ DATA_FEED_A_URL="kraken/XXLM/ZUSD"
 #DATA_TYPE_A="crypto"
 # this is the URL to a coinmarketcap feed which the bot understands.
 #DATA_FEED_A_URL="https://api.coinmarketcap.com/v1/ticker/stellar/"
+#DATA_FEED_A_INVERT=false
 
 # this is a fixed value of 1 here because the exchange and sdex priceFeeds provides a ratio of two assets.
 DATA_TYPE_B="fixed"
 DATA_FEED_B_URL="1.0"
+DATA_FEED_B_INVERT=false
 
 # sample priceFeed with the "fiat" type.
 #DATA_TYPE_B="fiat"
@@ -43,6 +47,8 @@ DATA_FEED_B_URL="1.0"
 # this is a string representing a SDEX pair; the format is CODE:ISSUER/CODE:ISSUER
 # for XLM leave the issuer string blank
 # DATA_FEED_A_URL="COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI/XLM:"
+# sdex feeds don't need to be inverted because the sdex can read the orderbook either direction, so you can just swap the assets above
+# DATA_FEED_A_INVERT=false
 
 # what value of a price change triggers re-creating an offer. Price change refers to the existing price of the offer vs. what price we want to set. value is a percentage specified as a decimal number (0 < value < 1.00)
 PRICE_TOLERANCE=0.001

examples/configs/trader/sample_sell.cfg

@@ -17,6 +17,8 @@ DATA_TYPE_A="exchange"
 # use "kraken" or any of the ccxt-exchanges (run `kelp exchanges` for full list)
 # examples: "kraken", "ccxt-kraken", "ccxt-binance", "ccxt-poloniex", "ccxt-bittrex"
 DATA_FEED_A_URL="kraken/XXLM/ZUSD"
+# whether to invert the price received from the feed; this allows more complex price derivations
+DATA_FEED_A_INVERT=false
 # uncomment to use binance, poloniex, or bittrex as your price feed. You will need to set up CCXT to use this, see the "Using CCXT" section in the README for details.
 # be careful about using USD vs. USDT since some exchanges support only one, or both, or in some cases neither.
 #DATA_FEED_A_URL="ccxt-kraken/XLM/USD"
@@ -29,22 +31,27 @@ DATA_FEED_A_URL="kraken/XXLM/ZUSD"
 #DATA_TYPE_A="crypto"
 # this is the URL to a coinmarketcap feed which the bot understands.
 #DATA_FEED_A_URL="https://api.coinmarketcap.com/v1/ticker/stellar/"
+#DATA_FEED_A_INVERT=false
 
 # this is a fixed value of 1 here because the exchange and sdex priceFeeds provides a ratio of two assets.
 DATA_TYPE_B="fixed"
 DATA_FEED_B_URL="1.0"
+DATA_FEED_B_INVERT=false
 
 # sample priceFeed with the "fiat" type.
 #DATA_TYPE_B="fiat"
 # you can use a service like apilayer.net to get prices for fiat if you want real-time updates. You will need to fill in the access_key in this url
 #DATA_FEED_B_URL="http://apilayer.net/api/live?access_key=&currencies=NGN"
+#DATA_FEED_B_INVERT=false
 
 # sample priceFeed with the "sdex" type
 # this feed pulls from the SDEX, you can use the asset you're trading or something else, like the same coin from another issuer
 # DATA_TYPE_A = "sdex"
 # this is a string representing a SDEX pair; the format is CODE:ISSUER/CODE:ISSUER
 # for XLM leave the issuer string blank
 # DATA_FEED_A_URL="COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI/XLM:"
+# sdex feeds don't need to be inverted because the sdex can read the orderbook either direction, so you can just swap the assets above
+# DATA_FEED_A_INVERT=false
 
 # what value of a price change triggers re-creating an offer. Price change refers to the existing price of the offer vs. what price we want to set. value is a percentage specified as a decimal number (0 < value < 1.00)
 PRICE_TOLERANCE=0.001

plugins/buysellStrategy.go

@@ -19,8 +19,10 @@ type buySellConfig struct {
 	AmountOfABase          float64       `valid:"-" toml:"AMOUNT_OF_A_BASE"` // the size of order to keep on either side
 	DataTypeA              string        `valid:"-" toml:"DATA_TYPE_A"`
 	DataFeedAURL           string        `valid:"-" toml:"DATA_FEED_A_URL"`
+	DataFeedAInvert        bool          `valid:"-" toml:"DATA_FEED_A_INVERT"`
 	DataTypeB              string        `valid:"-" toml:"DATA_TYPE_B"`
 	DataFeedBURL           string        `valid:"-" toml:"DATA_FEED_B_URL"`
+	DataFeedBInvert        bool          `valid:"-" toml:"DATA_FEED_B_INVERT"`
 	Levels                 []staticLevel `valid:"-" toml:"LEVELS"`
 }
 
@@ -46,8 +48,10 @@ func makeBuySellStrategy(
 	sellSideFeedPair, e := MakeFeedPair(
 		config.DataTypeA,
 		config.DataFeedAURL,
+		config.DataFeedAInvert,
 		config.DataTypeB,
 		config.DataFeedBURL,
+		config.DataFeedBInvert,
 	)
 	if e != nil {
 		return nil, fmt.Errorf("cannot make the buysell strategy because we could not make the sell side feed pair: %s", e)
@@ -80,8 +84,10 @@ func makeBuySellStrategy(
 	buySideFeedPair, e := MakeFeedPair(
 		config.DataTypeB,
 		config.DataFeedBURL,
+		config.DataFeedBInvert,
 		config.DataTypeA,
 		config.DataFeedAURL,
+		config.DataFeedAInvert,
 	)
 	if e != nil {
 		return nil, fmt.Errorf("cannot make the buysell strategy because we could not make the buy side feed pair: %s", e)

plugins/cmcFeed.go

@@ -40,16 +40,18 @@ type cmcAPIReturn struct {
 type cmcFeed struct {
 	url    string
 	client http.Client
+	invert bool
 }
 
 // ensure that it implements PriceFeed
 var _ api.PriceFeed = &cmcFeed{}
 
 // newCMCFeed creates a new CMC Feed from a URL
-func newCMCFeed(url string) *cmcFeed {
+func newCMCFeed(url string, invert bool) *cmcFeed {
 	m := new(cmcFeed)
 	m.url = url
 	m.client = http.Client{Timeout: 10 * time.Second}
+	m.invert = invert
 	return m
 }
 
@@ -66,5 +68,9 @@ func (c *cmcFeed) GetPrice() (float64, error) {
 		return 0, err
 	}
 
+	if c.invert {
+		pA = 1.0 / pA
+	}
+
 	return pA, nil
 }

plugins/exchangeFeed.go

@@ -13,16 +13,18 @@ type exchangeFeed struct {
 	name      string
 	tickerAPI *api.TickerAPI
 	pairs     []model.TradingPair
+	invert    bool
 }
 
 // ensure that it implements PriceFeed
 var _ api.PriceFeed = &exchangeFeed{}
 
-func newExchangeFeed(name string, tickerAPI *api.TickerAPI, pair *model.TradingPair) *exchangeFeed {
+func newExchangeFeed(name string, tickerAPI *api.TickerAPI, pair *model.TradingPair, invert bool) *exchangeFeed {
 	return &exchangeFeed{
 		name:      name,
 		tickerAPI: tickerAPI,
 		pairs:     []model.TradingPair{*pair},
+		invert:    invert,
 	}
 }
 
@@ -40,6 +42,11 @@ func (f *exchangeFeed) GetPrice() (float64, error) {
 	}
 
 	centerPrice := (p.BidPrice.AsFloat() + p.AskPrice.AsFloat()) / 2
+
+	if f.invert {
+		centerPrice = 1.0 / centerPrice
+	}
+
 	log.Printf("price from exchange feed (%s): bidPrice=%.7f, askPrice=%.7f, centerPrice=%.7f", f.name, p.BidPrice.AsFloat(), p.AskPrice.AsFloat(), centerPrice)
 	return centerPrice, nil
 }

plugins/fiatFeed.go

@@ -26,12 +26,13 @@ type fiatAPIReturn struct {
 type fiatFeed struct {
 	url    string
 	client http.Client
+	invert bool
 }
 
 // ensure that it implements PriceFeed
 var _ api.PriceFeed = &fiatFeed{}
 
-func newFiatFeed(url string) *fiatFeed {
+func newFiatFeed(url string, invert bool) *fiatFeed {
 	m := new(fiatFeed)
 	m.url = url
 	m.client = http.Client{Timeout: 10 * time.Second}
@@ -51,5 +52,9 @@ func (f *fiatFeed) GetPrice() (float64, error) {
 		pA = value
 	}
 
-	return (1.0 / pA), nil
+	if !f.invert {
+		pA = 1.0 / pA
+	}
+
+	return (pA), nil
 }

plugins/priceFeed.go

@@ -35,12 +35,12 @@ func SetPrivateSdexHack(api *horizon.Client, ieif *IEIF, network build.Network)
 }
 
 // MakePriceFeed makes a PriceFeed
-func MakePriceFeed(feedType string, url string) (api.PriceFeed, error) {
+func MakePriceFeed(feedType string, url string, invert bool) (api.PriceFeed, error) {
 	switch feedType {
 	case "crypto":
-		return newCMCFeed(url), nil
+		return newCMCFeed(url, invert), nil
 	case "fiat":
-		return newFiatFeed(url), nil
+		return newFiatFeed(url, invert), nil
 	case "fixed":
 		return newFixedFeed(url), nil
 	case "exchange":
@@ -63,7 +63,7 @@ func MakePriceFeed(feedType string, url string) (api.PriceFeed, error) {
 			Quote: quoteAsset,
 		}
 		tickerAPI := api.TickerAPI(exchange)
-		return newExchangeFeed(url, &tickerAPI, &tradingPair), nil
+		return newExchangeFeed(url, &tickerAPI, &tradingPair, invert), nil
 	case "sdex":
 		sdex, e := makeSDEXFeed(url)
 		if e != nil {
@@ -75,13 +75,13 @@ func MakePriceFeed(feedType string, url string) (api.PriceFeed, error) {
 }
 
 // MakeFeedPair is the factory method that we expose
-func MakeFeedPair(dataTypeA, dataFeedAUrl, dataTypeB, dataFeedBUrl string) (*api.FeedPair, error) {
-	feedA, e := MakePriceFeed(dataTypeA, dataFeedAUrl)
+func MakeFeedPair(dataTypeA string, dataFeedAUrl string, dataTypeAInvert bool, dataTypeB string, dataFeedBUrl string, dataFeedBInvert bool) (*api.FeedPair, error) {
+	feedA, e := MakePriceFeed(dataTypeA, dataFeedAUrl, dataTypeAInvert)
 	if e != nil {
 		return nil, fmt.Errorf("cannot make a feed pair because of an error when making priceFeed A: %s", e)
 	}
 
-	feedB, e := MakePriceFeed(dataTypeB, dataFeedBUrl)
+	feedB, e := MakePriceFeed(dataTypeB, dataFeedBUrl, dataFeedBInvert)
 	if e != nil {
 		return nil, fmt.Errorf("cannot make a feed pair because of an error when making priceFeed B: %s", e)
 	}

plugins/sellStrategy.go

@@ -14,8 +14,10 @@ import (
 type sellConfig struct {
 	DataTypeA              string        `valid:"-" toml:"DATA_TYPE_A"`
 	DataFeedAURL           string        `valid:"-" toml:"DATA_FEED_A_URL"`
+	DataFeedAInvert        bool          `valid:"-" toml:"DATA_FEED_A_INVERT"`
 	DataTypeB              string        `valid:"-" toml:"DATA_TYPE_B"`
 	DataFeedBURL           string        `valid:"-" toml:"DATA_FEED_B_URL"`
+	DataFeedBInvert        bool          `valid:"-" toml:"DATA_FEED_B_INVERT"`
 	PriceTolerance         float64       `valid:"-" toml:"PRICE_TOLERANCE"`
 	AmountTolerance        float64       `valid:"-" toml:"AMOUNT_TOLERANCE"`
 	AmountOfABase          float64       `valid:"-" toml:"AMOUNT_OF_A_BASE"` // the size of order
@@ -42,8 +44,10 @@ func makeSellStrategy(
 	pf, e := MakeFeedPair(
 		config.DataTypeA,
 		config.DataFeedAURL,
+		config.DataFeedAInvert,
 		config.DataTypeB,
 		config.DataFeedBURL,
+		config.DataFeedBInvert,
 	)
 	if e != nil {
 		return nil, fmt.Errorf("cannot make the sell strategy because we could not make the feed pair: %s", e)