fully functioning general pair marketmaker

2025-12-17 07:04:23 +01:00 · 2022-01-06 19:39:35 +05:30
parent 3a40c16d82
commit bdfeb1101e
4 changed files with 134 additions and 39 deletions
--- a/.env.EXAMPLE
+++ b/.env.EXAMPLE
@@ -1,14 +0,0 @@
-ZIGZAG_WS_URL=wss://zigzag-exchange.herokuapp.com
-ETH_PRIVKEY=myprivkey
-
-# mainnet or rinkeby
-ETH_NETWORK=mainnet
-
-# See https://github.com/ZigZagExchange/backend/README.md for up to date Chain IDs
-# 1 = zksync-mainnet, 1000 = zksync-rinkeby
-CHAIN_ID=1
-MIN_DOLLAR_SIZE=0
-MAX_DOLLAR_SIZE=1000000
-
-# Comma separated list of supported pairs you want to market make for
-PAIR_WHITELIST=ETH-USDT,ETH-USDC
--- a/README.md
+++ b/README.md
@@ -14,4 +14,6 @@ If your hosting service requires you to pass in configs via environment variable
 cat config.json | tr -d ' ' | tr -d '\n'
 ```

-and set it to the value of the `MM_CONFIG` environment variable to override the config file
+and set it to the value of the `MM_CONFIG` environment variable to override the config file.
+
+You can also override the private key in the config file with the `ETH_PRIVKEY` environment variable.
--- a/config.json.EXAMPLE
+++ b/config.json.EXAMPLE
@@ -1,16 +1,107 @@
 {
-    "eth_privkey": "aaaaaaaaaa.......",
-    "zigzag_chain_id": 1000,
-    "zigzag_ws_url": "wss://zigzag-exchange.herokuapp.com",
+    "ethPrivKey": "aaaa....",
+    "zigzagChainId": 1000,
+    "zigzagWsUrl": "wss://zigzag-exchange.herokuapp.com",
    "pairs": {
        "ETH-USDC": {
            "priceFeedPrimary": "cryptowatch:6631",
            "priceFeedSecondary": null,
-            "slippageRate": 1e-9,
+            "slippageRate": 1e-5,
            "active": true,
            "maxSize": 100,
            "minSize": 0.0003,
-            "minSpread": 0.0005
+            "minSpread": 0.0005,
+            "active": true
+        },
+        "ETH-USDT": {
+            "priceFeedPrimary": "cryptowatch:588",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-5,
+            "active": true,
+            "maxSize": 100,
+            "minSize": 0.0003,
+            "minSpread": 0.0005,
+            "active": true
+        },
+        "ETH-DAI": {
+            "priceFeedPrimary": "cryptowatch:63533",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-5,
+            "active": true,
+            "maxSize": 100,
+            "minSize": 0.0003,
+            "minSpread": 0.0005,
+            "active": true
+        },
+        "ETH-FRAX": {
+            "priceFeedPrimary": "cryptowatch:6631",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-5,
+            "active": true,
+            "maxSize": 100,
+            "minSize": 0.0003,
+            "minSpread": 0.0005,
+            "active": false
+        },
+        "WBTC-USDT": {
+            "priceFeedPrimary": "cryptowatch:579",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-4,
+            "active": true,
+            "maxSize": 10,
+            "minSize": 0.00003,
+            "minSpread": 0.0005,
+            "active": false
+        },
+        "WBTC-USDC": {
+            "priceFeedPrimary": "cryptowatch:6630",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-4,
+            "active": true,
+            "maxSize": 10,
+            "minSize": 0.00003,
+            "minSpread": 0.0005,
+            "active": false
+        },
+        "WBTC-DAI": {
+            "priceFeedPrimary": "cryptowatch:63532",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-4,
+            "active": true,
+            "maxSize": 10,
+            "minSize": 0.00003,
+            "minSpread": 0.0005,
+            "active": false
+        },
+        "USDC-USDT": {
+            "priceFeedPrimary": "cryptowatch:6636",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-9,
+            "active": true,
+            "maxSize": 100000,
+            "minSize": 1,
+            "minSpread": 0.0003,
+            "active": true
+        },
+        "DAI-USDT": {
+            "priceFeedPrimary": "cryptowatch:63349",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-9,
+            "active": true,
+            "maxSize": 100000,
+            "minSize": 1,
+            "minSpread": 0.0003,
+            "active": true
+        },
+        "DAI-USDC": {
+            "priceFeedPrimary": "cryptowatch:61485",
+            "priceFeedSecondary": null,
+            "slippageRate": 1e-9,
+            "active": true,
+            "maxSize": 100000,
+            "minSize": 1,
+            "minSpread": 0.0003,
+            "active": true
        }
    }
 }
--- a/marketmaker.js
+++ b/marketmaker.js
@@ -16,8 +16,14 @@ else {
    const mmConfigFile = fs.readFileSync("config.json", "utf8");
    MM_CONFIG = JSON.parse(mmConfigFile);
 }
-console.log(MM_CONFIG);
-const activePairs = Object.keys(MM_CONFIG.pairs).join(',');
+let activePairs = [];
+for (let marketId in MM_CONFIG.pairs) {
+    const pair = MM_CONFIG.pairs[marketId];
+    if (pair.active) {
+        activePairs.push(marketId);
+    }
+}
+console.log("ACTIVE PAIRS", activePairs);

 // Initiate fill loop
 let ORDER_BROADCASTING = false;
@@ -32,7 +38,7 @@ let syncWallet, ethersProvider, syncProvider, ethWallet,
 ethersProvider = ethers.getDefaultProvider(ETH_NETWORK);
 try {
    syncProvider = await zksync.getDefaultProvider(ETH_NETWORK);
-    ethWallet = new ethers.Wallet(MM_CONFIG.ethPrivKey);
+    ethWallet = new ethers.Wallet(process.env.ETH_PRIVKEY || MM_CONFIG.ethPrivKey);
    syncWallet = await zksync.Wallet.fromEthSigner(ethWallet, syncProvider);
    if (!(await syncWallet.isSigningKeySet())) {
        console.log("setting sign key");
@@ -52,9 +58,13 @@ const SPOT_PRICES = {};
 const OPEN_ORDERS = {};

 // Get markets info
-const markets_url = `https://zigzag-markets.herokuapp.com/markets?chainid=${CHAIN_ID}&id=${activePairs}`
+const activePairsText = activePairs.join(',');
+const markets_url = `https://zigzag-markets.herokuapp.com/markets?chainid=${CHAIN_ID}&id=${activePairsText}`
 const markets = await fetch(markets_url).then(r => r.json());
-console.log(markets);
+if (markets.error) {
+    console.error(markets);
+    throw new Error(markets.error);
+}
 const MARKETS = {};
 for (let i in markets) {
    const market = markets[i];
@@ -72,8 +82,10 @@ function onWsOpen() {
    zigzagws.on('close', onWsClose);
    fillOrdersInterval = setInterval(fillOpenOrders, 5000);
    for (let market in MM_CONFIG.pairs) {
-        const msg = {op:"subscribemarket", args:[CHAIN_ID, market]};
-        zigzagws.send(JSON.stringify(msg));
+        if (MM_CONFIG.pairs[market].active) {
+            const msg = {op:"subscribemarket", args:[CHAIN_ID, market]};
+            zigzagws.send(JSON.stringify(msg));
+        }
    }
 }
    
@@ -139,6 +151,7 @@ function isOrderFillable(order) {
    const mmConfig = MM_CONFIG.pairs[market_id];
    if (chainid != CHAIN_ID) return { fillable: false, reason: "badchain" }
    if (!market) return { fillable: false, reason: "badmarket" }
+    if (!mmConfig.active) return { fillable: false, reason: "inactivemarket" }

    const baseQuantity = order[5];
    const quoteQuantity = order[6];
@@ -164,10 +177,10 @@ function isOrderFillable(order) {
        return { fillable: false, reason: e.message }
    }

-    if (side == 's' && price > quote.hardPrice) {
+    if (side == 's' && price > quote.quotePrice) {
        return { fillable: false, reason: "badprice" };
    }
-    else if (side == 'b' && price < quote.hardPrice) {
+    else if (side == 'b' && price < quote.quotePrice) {
        return { fillable: false, reason: "badprice" };
    }

@@ -205,34 +218,37 @@ async function sendfillrequest(orderreceipt) {
  const baseCurrency = market.baseAssetId;
  const quoteCurrency = market.quoteAssetId;
  const side = orderreceipt[3];
-  let price = orderreceipt[4];
  const baseQuantity = orderreceipt[5];
  const quoteQuantity = orderreceipt[6];
-  let tokenSell, tokenBuy, sellQuantity;
+  const quote = genquote(chainId, market_id, side, baseQuantity);
+  let tokenSell, tokenBuy, sellQuantity, buyQuantity;
  if (side === "b") {
    tokenSell = market.baseAssetId;
    tokenBuy = market.quoteAssetId;
-    sellQuantity = baseQuantity.toFixed(market.baseAsset.decimals);
+    // Add 1 bip to to protect against rounding errors
+    sellQuantity = (baseQuantity * 1.0001).toFixed(market.baseAsset.decimals);
+    buyQuantity = quote.quoteQuantity.toFixed(market.quoteAsset.decimals);
  } else if (side === "s") {
    tokenSell = market.quoteAssetId;
    tokenBuy = market.baseAssetId;
-    sellQuantity = quoteQuantity.toFixed(market.quoteAsset.decimals);
+    // Add 1 bip to to protect against rounding errors
+    sellQuantity = (quote.quoteQuantity * 1.0001).toFixed(market.quoteAsset.decimals);
+    buyQuantity = baseQuantity.toFixed(market.baseAsset.decimals);
  }
-  sellQuantity = syncProvider.tokenSet.parseToken(
+  const sellQuantityParsed = syncProvider.tokenSet.parseToken(
    tokenSell,
    sellQuantity
  );
-  sellQuantity = zksync.utils.closestPackableTransactionAmount(sellQuantity);
+  const sellQuantityPacked = zksync.utils.closestPackableTransactionAmount(sellQuantityParsed);
  const tokenRatio = {};
-  tokenRatio[baseCurrency] = baseQuantity.toFixed(market.baseAsset.decimals);
-  tokenRatio[quoteCurrency] = quoteQuantity.toFixed(market.quoteAsset.decimals);
+  tokenRatio[tokenBuy] = buyQuantity;
+  tokenRatio[tokenSell] = sellQuantity;
  console.log(tokenRatio);
-  console.log(sellQuantity.toString());
  const one_min_expiry = (Date.now() / 1000 | 0) + 60;
  const orderDetails = {
    tokenSell,
    tokenBuy,
-    amount: sellQuantity,
+    amount: sellQuantityPacked,
    ratio: zksync.utils.tokenRatio(tokenRatio),
    validUntil: one_min_expiry
  }