Merge pull request #70 from ZigZagExchange/dev

update master to dev

README.md

@@ -32,6 +32,23 @@ node marketmaker.js
 
 ## Settings
 
+#### Fee Token
+
+With the defualt setting the bot will pay the zkSync fee wiht the same token as the user (buy currency for the bot). You can chose to override that by a fixed fee token. Check if your tokens is avalible to pay fees on zkSync [here](https://zkscan.io/explorer/tokens).
+
+```
+{
+    "cryptowatchApiKey": "aaaaxxx",
+    "ethPrivKeys": [
+        "",
+        ""
+    ],    
+    "zigzagChainId": 1,
+    "zigzagWsUrl": "wss://zigzag-exchange.herokuapp.com",
+    "feeToken": "ETH", <- add this line if you eg. want to pay the fees in Ethereum 
+    "pairs": {
+```
+
 #### Mainnet zkSync
 - "zigzagWsUrl": "wss://zigzag-exchange.herokuapp.com"
 - "zigzagChainId": 1
@@ -99,12 +116,14 @@ Example:
 ###### Chainlink
 With chainlink you have access to price oracles via blockchain. The requests are read-calls to a smart contract. The public ethers provider might be too slow for a higher number of pairs or at times of high demand. Therefore, it might be needed to have access to an Infura account (100000 Requests/Day for free). You can get an endpoint for your market maker (like https://mainnet.infura.io/v3/...), You can add this with the `infuraUrl` field in `config.json`, like this:
 ```
-"ETH-USDC": {
-    "infuraUrl": "https://mainnet.infura.io/v3/xxxxxxxx",
-    "zigzagChainId": 1,
-    "zigzagWsUrl": "wss://zigzag-exchange.herokuapp.com",
-    ....
-}
+
+"infuraUrl": "https://mainnet.infura.io/v3/xxxxxxxx",
+"pairs": {
+  "ETH-USDC": {
+      "zigzagChainId": 1,
+      "zigzagWsUrl": "wss://zigzag-exchange.herokuapp.com",
+      ....
+  }
 ```
 You can get the available market contracts [here.](https://docs.chain.link/docs/ethereum-addresses/)Add those to you pair config as "chainlink:<address>", like this:
 ```
@@ -119,12 +138,13 @@ You can get the available market contracts [here.](https://docs.chain.link/docs/
 ###### UniswapV3
 With uniswapV3 you have access to price feed's via blockchain. The requests are read-calls to a smart contract. The public ethers provider might be too slow for a higher number of pairs or at times of high demand. Therefore, it might be needed to have access to an Infura account (100000 Requests/Day for free). You can get an endpoint for your market maker (like https://mainnet.infura.io/v3/...), You can add this with the `infuraUrl` field in `config.json`, like this:
 ```
-"ETH-USDC": {
-    "infuraUrl": "https://mainnet.infura.io/v3/xxxxxxxx",
-    "zigzagChainId": 1,
-    "zigzagWsUrl": "wss://zigzag-exchange.herokuapp.com",
-    ....
-}
+"infuraUrl": "https://mainnet.infura.io/v3/xxxxxxxx",
+"pairs": {
+  "ETH-USDC": {
+      "zigzagChainId": 1,
+      "zigzagWsUrl": "wss://zigzag-exchange.herokuapp.com",
+      ....
+  }
 ```
 You can get the available market contracts [here.](https://info.uniswap.org) Select a token and then a pool matching the pair you plan to market make. Make sure base and quote tokens match (USDC-ETH don't work for ETH-USDC). After selecting a pool, you can see the adress in the browser URL. Add that to your pair config as "uniswapv3:<address>", like this:
 ```

marketmaker.js

@@ -16,6 +16,8 @@ const MARKETS = {};
 const CHAINLINK_PROVIDERS = {};
 const UNISWAP_V3_PROVIDERS = {};
 const PAST_ORDER_LIST = {};
+const FEE_TOKEN_LIST = [];
+let FEE_TOKEN = null;
 
 let uniswap_error_counter = 0;
 let chainlink_error_counter = 0;
@@ -29,6 +31,9 @@ else {
     const mmConfigFile = fs.readFileSync("config.json", "utf8");
     MM_CONFIG = JSON.parse(mmConfigFile);
 }
+if (MM_CONFIG.feeToken) {
+  FEE_TOKEN = MM_CONFIG.feeToken;
+}
 let activePairs = [];
 for (let marketId in MM_CONFIG.pairs) {
     const pair = MM_CONFIG.pairs[marketId];
@@ -152,8 +157,7 @@ async function handleMessage(json) {
                 console.log(fillable);
                 if (fillable.fillable) {
                     sendFillRequest(order, fillable.walletId);
-                }
-                else if ([
+                } else if ([
                   "sending order already",
                   "badprice"
                 ].includes(fillable.reason)) {
@@ -195,6 +199,19 @@ async function handleMessage(json) {
             const newBaseFee = MARKETS[marketId].baseFee;
             const newQuoteFee = MARKETS[marketId].quoteFee;
             console.log(`marketinfo ${marketId} - update baseFee ${oldBaseFee} -> ${newBaseFee}, quoteFee ${oldQuoteFee} -> ${newQuoteFee}`);
+            if (FEE_TOKEN) break
+            if(
+              marketInfo.baseAsset.enabledForFees &&
+              !FEE_TOKEN_LIST.includes(marketInfo.baseAsset.id)
+            ) {
+              FEE_TOKEN_LIST.push(marketInfo.baseAsset.id);
+            } 
+            if(
+              marketInfo.quoteAsset.enabledForFees &&
+              !FEE_TOKEN_LIST.includes(marketInfo.quoteAsset.id)
+            ) {
+              FEE_TOKEN_LIST.push(marketInfo.quoteAsset.id);
+            } 
             break
         default:
             break
@@ -269,7 +286,6 @@ function isOrderFillable(order) {
     else if (side == 'b' && price < quote.quotePrice) {
         return { fillable: false, reason: "badprice" };
     }
-
     return { fillable: true, reason: null, walletId: goodWalletIds[0]};
 }
 
@@ -352,6 +368,7 @@ async function sendFillRequest(orderreceipt, accountId) {
   if (side === "b") {
       tokenSell = market.baseAssetId;
       tokenBuy = market.quoteAssetId;
+
       sellSymbol = market.baseAsset.symbol;
       buySymbol = market.quoteAsset.symbol;
       // Add 1 bip to to protect against rounding errors
@@ -360,6 +377,7 @@ async function sendFillRequest(orderreceipt, accountId) {
   } else if (side === "s") {
       tokenSell = market.quoteAssetId;
       tokenBuy = market.baseAssetId;
+
       sellSymbol = market.quoteAsset.symbol;
       buySymbol = market.baseAsset.symbol;
       // Add 1 bip to to protect against rounding errors
@@ -414,11 +432,21 @@ async function broadcastFill(chainId, orderId, swapOffer, fillOrder, wallet) {
         zigzagws.send(JSON.stringify(orderCommitMsg));
         return;
     }
+    // select token to match user's fee token
+    let feeToken;
+    if (FEE_TOKEN) {
+      feeToken = FEE_TOKEN
+    } else {
+      feeToken = (FEE_TOKEN_LIST.includes(swapOffer.tokenSell))
+      ? swapOffer.tokenSell
+      : 'ETH'
+    }
+    
     const randInt = (Math.random()*1000).toFixed(0);
     console.time('syncswap' + randInt);
     const swap = await wallet['syncWallet'].syncSwap({
         orders: [swapOffer, fillOrder],
-        feeToken: "ETH",
+        feeToken: feeToken,
         nonce: fillOrder.nonce
     });
     const txHash = swap.txHash.split(":")[1];
@@ -486,6 +514,14 @@ async function setupPriceFeeds() {
         }
         const primaryPriceFeed = pairConfig.priceFeedPrimary;
         const secondaryPriceFeed = pairConfig.priceFeedSecondary;
+
+        // parse keys to lower case to match later PRICE_FEED keys
+        if (primaryPriceFeed) {
+          MM_CONFIG.pairs[market].priceFeedPrimary = primaryPriceFeed.toLowerCase();
+        }
+        if (secondaryPriceFeed) {
+          MM_CONFIG.pairs[market].priceFeedSecondary = secondaryPriceFeed.toLowerCase();
+        }
         [primaryPriceFeed, secondaryPriceFeed].forEach(priceFeed => {
             if(!priceFeed) { return; }
             const [provider, id] = priceFeed.split(':');
@@ -639,7 +675,7 @@ async function uniswapV3Setup(uniswapV3Address) {
               tokenProvier1.decimals()
             ]);
   
-            const key = 'uniswapV3:' + address;
+            const key = 'uniswapv3:' + address;
             const decimalsRatio = (10**decimals0 / 10**decimals1);  
             UNISWAP_V3_PROVIDERS[key] = [provider, decimalsRatio];
 
@@ -710,18 +746,30 @@ function indicateLiquidity (pairs = MM_CONFIG.pairs) {
         const maxSellSize = Math.min(baseBalance, mmConfig.maxSize);
         const maxBuySize = Math.min(quoteBalance / midPrice, mmConfig.maxSize);
 
-        const splits = mmConfig.numOrdersIndicated || 10;
+        // default splits
+        let buySplits = mmConfig.numOrdersIndicated || 10;
+        let sellSplits = mmConfig.numOrdersIndicated || 10; 
+
+        // check if balance passes the min liquidity size - 10 USD
+        const usdBaseBalance = baseBalance * marketInfo.baseAsset.usdPrice;
+        const usdQuoteBalance = quoteBalance * marketInfo.quoteAsset.usdPrice;
+        if (usdBaseBalance < (10 * buySplits)) buySplits = Math.floor(usdBaseBalance / 10)
+        if (usdQuoteBalance < (10 * sellSplits)) sellSplits = Math.floor(usdQuoteBalance / 10)
+        
         const liquidity = [];
-        for (let i=1; i <= splits; i++) {
-            const buyPrice = midPrice * (1 - mmConfig.minSpread - (mmConfig.slippageRate * maxBuySize * i/splits));
-            const sellPrice = midPrice * (1 + mmConfig.minSpread + (mmConfig.slippageRate * maxSellSize * i/splits));
+        for (let i=1; i <= buySplits; i++) {
+            const buyPrice = midPrice * (1 - mmConfig.minSpread - (mmConfig.slippageRate * maxBuySize * i/buySplits));
             if ((['b','d']).includes(side)) {
-                liquidity.push(["b", buyPrice, maxBuySize / splits, expires]);
-            }
-            if ((['s','d']).includes(side)) {
-                liquidity.push(["s", sellPrice, maxSellSize / splits, expires]);
+                liquidity.push(["b", buyPrice, maxBuySize / buySplits, expires]);
             }
         }
+        for (let i=1; i <= sellSplits; i++) {
+          const sellPrice = midPrice * (1 + mmConfig.minSpread + (mmConfig.slippageRate * maxSellSize * i/sellSplits));
+          if ((['s','d']).includes(side)) {
+              liquidity.push(["s", sellPrice, maxSellSize / sellSplits, expires]);
+          }
+      }
+
         const msg = { op: "indicateliq2", args: [CHAIN_ID, marketId, liquidity] };
         try {
             zigzagws.send(JSON.stringify(msg));
@@ -758,11 +806,13 @@ async function afterFill(chainId, orderId, wallet) {
     const sellTokenParsed = syncProvider.tokenSet.parseToken (
         order.sellSymbol,
         order.sellQuantity
-    );    
-    const oldbuyTokenParsed = ethers.BigNumber.from(account_state[order.buySymbol]);
-    const oldsellTokenParsed = ethers.BigNumber.from(account_state[order.sellSymbol]);
-    account_state[order.buySymbol] = (oldbuyTokenParsed.add(buyTokenParsed)).toString();
-    account_state[order.sellSymbol] = (oldsellTokenParsed.sub(sellTokenParsed)).toString();
+    );
+    const oldBuyBalance = account_state[order.buySymbol] ? account_state[order.buySymbol] : '0';
+    const oldSellBalance = account_state[order.sellSymbol] ? account_state[order.sellSymbol] : '0';
+    const oldBuyTokenParsed = ethers.BigNumber.from(oldBuyBalance);
+    const oldSellTokenParsed = ethers.BigNumber.from(oldSellBalance);
+    account_state[order.buySymbol] = (oldBuyTokenParsed.add(buyTokenParsed)).toString();
+    account_state[order.sellSymbol] = (oldSellTokenParsed.sub(sellTokenParsed)).toString();
     
     const indicateMarket = {};
     indicateMarket[marketId] = mmConfig;