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Start adding Delta Exchange venue adapter
- Add products - Add order book streaming - Add maker taker fees
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32 changes: 32 additions & 0 deletions
32
apps/tai/fixture/vcr_cassettes/venue_adapters/shared/products/delta_exchange/success.json
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,23 @@ | ||
| defmodule Tai.VenueAdapters.DeltaExchange do | ||
| alias Tai.VenueAdapters.DeltaExchange.{ | ||
| StreamSupervisor, | ||
| Products, | ||
| Accounts, | ||
| MakerTakerFees, | ||
| # Positions, | ||
| # CreateOrder, | ||
| # CancelOrder | ||
| } | ||
|
|
||
| @behaviour Tai.Venues.Adapter | ||
|
|
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| def stream_supervisor, do: StreamSupervisor | ||
| defdelegate products(venue_id), to: Products | ||
| defdelegate accounts(venue_id, credential_id, credentials), to: Accounts | ||
| defdelegate maker_taker_fees(venue_id, credential_id, credentials), to: MakerTakerFees | ||
| def positions(_venue_id, _credential_id, _credentials), do: {:error, :not_implemented} | ||
| def create_order(_order, _credentials), do: {:error, :not_implemented} | ||
| def amend_order(_order, _attrs, _credentials), do: {:error, :not_supported} | ||
| def amend_bulk_orders(_orders_with_attrs, _credentials), do: {:error, :not_supported} | ||
| def cancel_order(_order, _credentials), do: {:error, :not_implemented} | ||
| end |
12 changes: 12 additions & 0 deletions
12
apps/tai/lib/tai/venue_adapters/delta_exchange/accounts.ex
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,12 @@ | ||
| defmodule Tai.VenueAdapters.DeltaExchange.Accounts do | ||
| def accounts(_venue_id, _credential_id, _credentials) do | ||
| # venue_credentials = struct!(ExDeltaExchange.Credentials, credentials) | ||
|
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| # with {:ok, balances} <- ExDeltaExchange.Wallet.Balances.get(venue_credentials) do | ||
| # accounts = balances |> Enum.map(&build(&1, venue_id, credential_id)) | ||
| # {:ok, accounts} | ||
| # end | ||
|
|
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| {:ok, []} | ||
| end | ||
| end |
13 changes: 13 additions & 0 deletions
13
apps/tai/lib/tai/venue_adapters/delta_exchange/maker_taker_fees.ex
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,13 @@ | ||
| defmodule Tai.VenueAdapters.DeltaExchange.MakerTakerFees do | ||
| def maker_taker_fees(_venue_id, _credential_id, _credentials) do | ||
| # venue_credentials = struct!(ExDeltaExchange.Credentials, credentials) | ||
|
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| # with {:ok, account} <- ExDeltaExchange.Account.Show.get(venue_credentials) do | ||
| # maker = account.maker_fee |> Tai.Utils.Decimal.cast!() | ||
| # taker = account.taker_fee |> Tai.Utils.Decimal.cast!() | ||
| # {:ok, {maker, taker}} | ||
| # end | ||
|
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| {:ok, nil} | ||
| end | ||
| end |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,57 @@ | ||
| defmodule Tai.VenueAdapters.DeltaExchange.Product do | ||
| @type venue :: Tai.Venue.id() | ||
| @type product :: Tai.Venues.Product.t() | ||
| @type venue_product :: ExDeltaExchange.Product.t() | ||
|
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| @spec build(venue_product, venue) :: product | ||
| def build(%ExDeltaExchange.Product{} = venue_product, venue_id) do | ||
| %Tai.Venues.Product{ | ||
| venue_id: venue_id, | ||
| symbol: venue_product.symbol |> to_symbol, | ||
| venue_symbol: venue_product.symbol, | ||
| alias: nil, | ||
| base: venue_product.contract_unit_currency |> downcase_and_atom(), | ||
| quote: venue_product.quoting_asset.symbol |> downcase_and_atom(), | ||
| venue_base: venue_product.contract_unit_currency, | ||
| venue_quote: venue_product.quoting_asset.symbol, | ||
| status: venue_product |> status(), | ||
| type: venue_product |> type(), | ||
| collateral: false, | ||
| price_increment: venue_product.tick_size |> Decimal.new(), | ||
| size_increment: venue_product.tick_size |> Decimal.new(), | ||
| min_price: venue_product.tick_size |> Decimal.new(), | ||
| min_size: venue_product.tick_size |> Decimal.new(), | ||
| value: venue_product.contract_value |> Decimal.new(), | ||
| value_side: :base, | ||
| maker_fee: venue_product.maker_commission_rate |> Decimal.new(), | ||
| taker_fee: venue_product.taker_commission_rate |> Decimal.new(), | ||
| is_quanto: venue_product.is_quanto, | ||
| is_inverse: false | ||
| } | ||
| end | ||
|
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| def to_symbol(venue_product_name), do: venue_product_name |> downcase_and_atom() | ||
|
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| def status(venue_product) do | ||
| case venue_product.trading_status do | ||
| "operational" -> :trading | ||
| _ -> :unknown | ||
| end | ||
| end | ||
|
|
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| defp type(venue_product) do | ||
| cond do | ||
| venue_product.contract_type == "call_options" -> :option | ||
| venue_product.contract_type == "put_options" -> :option | ||
| venue_product.contract_type == "futures" -> :future | ||
| venue_product.contract_type == "perpetual_futures" -> :swap | ||
| venue_product.contract_type == "interest_rate_swaps" -> :swap | ||
| venue_product.contract_type == "spreads" -> :swap | ||
| venue_product.contract_type == "spot" -> :spot | ||
| String.starts_with?(venue_product.symbol, "MV-") -> :move | ||
| true -> :unknown | ||
| end | ||
| end | ||
|
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| defp downcase_and_atom(str), do: str |> String.downcase() |> String.to_atom() | ||
| end |
10 changes: 10 additions & 0 deletions
10
apps/tai/lib/tai/venue_adapters/delta_exchange/products.ex
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,10 @@ | ||
| defmodule Tai.VenueAdapters.DeltaExchange.Products do | ||
| alias Tai.VenueAdapters.DeltaExchange | ||
|
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| def products(venue_id) do | ||
| with {:ok, venue_products} <- ExDeltaExchange.Products.List.get() do | ||
| products = venue_products |> Enum.map(& DeltaExchange.Product.build(&1, venue_id)) | ||
| {:ok, products} | ||
| end | ||
| end | ||
| end |
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97
apps/tai/lib/tai/venue_adapters/delta_exchange/stream/connection.ex
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,97 @@ | ||
| defmodule Tai.VenueAdapters.DeltaExchange.Stream.Connection do | ||
| use Tai.Venues.Streams.ConnectionAdapter | ||
| require Logger | ||
| alias Tai.VenueAdapters.DeltaExchange.Stream | ||
|
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| @type stream :: Tai.Venues.Stream.t() | ||
| @type venue_id :: Tai.Venue.id() | ||
| @type credential_id :: Tai.Venue.credential_id() | ||
| @type credential :: Tai.Venue.credential() | ||
|
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| @spec start_link( | ||
| endpoint: String.t(), | ||
| stream: stream, | ||
| credential: {credential_id, credential} | nil | ||
| ) :: {:ok, pid} | {:error, term} | ||
| def start_link(endpoint: endpoint, stream: stream, credential: credential) do | ||
| routes = %{ | ||
| order_books: stream.venue.id |> Stream.RouteOrderBooks.to_name(), | ||
| } | ||
|
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| state = %Tai.Venues.Streams.ConnectionAdapter.State{ | ||
| venue: stream.venue.id, | ||
| routes: routes, | ||
| channels: stream.venue.channels, | ||
| credential: credential, | ||
| order_books: stream.order_books, | ||
| quote_depth: stream.venue.quote_depth, | ||
| heartbeat_interval: stream.venue.stream_heartbeat_interval, | ||
| heartbeat_timeout: stream.venue.stream_heartbeat_timeout, | ||
| opts: stream.venue.opts | ||
| } | ||
|
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| name = process_name(stream.venue.id) | ||
| WebSockex.start_link(endpoint, __MODULE__, state, name: name) | ||
| end | ||
|
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| @impl true | ||
| def subscribe(:init, state) do | ||
| send(self(), {:subscribe, :orderbook}) | ||
| {:ok, state} | ||
| end | ||
|
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| @subscribe_request %{ | ||
| "type" => "subscribe", | ||
| "payload" => %{} | ||
| } | ||
| @order_books_chunk_count 100 | ||
| @impl true | ||
| def subscribe(:orderbook, state) do | ||
| state.order_books | ||
| |> Enum.map(& &1.venue_symbol) | ||
| |> Enum.chunk_every(@order_books_chunk_count) | ||
| |> Enum.each(fn chunk_symbols -> | ||
| payload = %{ | ||
| "channels" => [%{ | ||
| "name" => "l2_orderbook", | ||
| "symbols" => chunk_symbols | ||
| }] | ||
| } | ||
| msg = @subscribe_request |> Map.put("payload", payload) | ||
| send(self(), {:send_msg, msg}) | ||
| end) | ||
|
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| {:ok, state} | ||
| end | ||
|
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| @impl true | ||
| def on_msg(%{"type" => "l2_orderbook"} = msg, received_at, state) do | ||
| msg |> forward(:order_books, received_at, state) | ||
| {:ok, state} | ||
| end | ||
|
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| @impl true | ||
| def on_msg(%{"type" => "subscriptions"}, _received_at, state) do | ||
| {:ok, state} | ||
| end | ||
|
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| @impl true | ||
| def on_msg(%{"error" => %{"code" => code, "context" => context}}, _received_at, state) do | ||
| case code do | ||
| 429 -> | ||
| %{"limit_reset_in" => limit_reset_in} = context | ||
| Logger.error "Too many requests limit_reset_in=#{limit_reset_in}" | ||
|
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| c -> | ||
| Logger.warn "Unhandled error code=#{c}, context=#{inspect(context)}" | ||
| end | ||
|
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| {:ok, state} | ||
| end | ||
|
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| defp forward(msg, to, received_at, state) do | ||
| state.routes | ||
| |> Map.fetch!(to) | ||
| |> GenServer.cast({msg, received_at}) | ||
| end | ||
| end |
69 changes: 69 additions & 0 deletions
69
apps/tai/lib/tai/venue_adapters/delta_exchange/stream/process_order_book.ex
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,69 @@ | ||
| defmodule Tai.VenueAdapters.DeltaExchange.Stream.ProcessOrderBook do | ||
| use GenServer | ||
| alias Tai.Markets.OrderBook | ||
|
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| defmodule State do | ||
| @type venue_id :: Tai.Venue.id() | ||
| @type product_symbol :: Tai.Venues.Product.symbol() | ||
| @type t :: %State{ | ||
| venue: venue_id, | ||
| symbol: product_symbol, | ||
| table: %{optional(String.t()) => number} | ||
| } | ||
|
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| @enforce_keys ~w[venue symbol table]a | ||
| defstruct ~w[venue symbol table]a | ||
| end | ||
|
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| @type venue_id :: Tai.Venue.id() | ||
| @type product :: Tai.Venues.Product.t() | ||
| @type venue_symbol :: Tai.Venues.Product.venue_symbol() | ||
| @type state :: State.t() | ||
|
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| @spec start_link(product) :: GenServer.on_start() | ||
| def start_link(product) do | ||
| state = %State{venue: product.venue_id, symbol: product.symbol, table: %{}} | ||
| name = to_name(product.venue_id, product.venue_symbol) | ||
|
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| GenServer.start_link(__MODULE__, state, name: name) | ||
| end | ||
|
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| @spec to_name(venue_id, venue_symbol) :: atom | ||
| def to_name(venue, symbol), do: :"#{__MODULE__}_#{venue}_#{symbol}" | ||
|
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| @impl true | ||
| def init(state), do: {:ok, state} | ||
|
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| @impl true | ||
| def handle_cast({:snapshot, data, received_at}, state) do | ||
| {data, received_at, state} | ||
| |> build_change_set() | ||
| |> OrderBook.replace() | ||
|
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| {:noreply, state} | ||
| end | ||
|
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| defp build_change_set({{bids, asks}, received_at, state}) do | ||
| normalized_bids = bids |> normalize_changes(:bid) | ||
| normalized_asks = asks |> normalize_changes(:ask) | ||
|
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| %OrderBook.ChangeSet{ | ||
| venue: state.venue, | ||
| symbol: state.symbol, | ||
| last_received_at: received_at, | ||
| changes: Enum.concat(normalized_bids, normalized_asks) | ||
| } | ||
| end | ||
|
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| defp normalize_changes(data, :bid), do: data |> normalize_side(:bid) | ||
| defp normalize_changes(data, :ask), do: data |> normalize_side(:ask) | ||
|
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| defp normalize_side(data, side) do | ||
| data | ||
| |> Enum.map(fn | ||
| %{"limit_price" => raw_price, "size" => size} -> | ||
| {price, _} = Float.parse(raw_price) | ||
| {:upsert, side, price, size} | ||
| end) | ||
| end | ||
| end |
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