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BitMEX / sample-market-maker

Sample BitMEX Market Making Bot
Apache License 2.0
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Potential problem with cancel_all_orders()? #8

Closed tanmaykumar closed 7 years ago

tanmaykumar commented 7 years ago

Going with default settings in settings.py, the script shows the following output.

This does not happen in a dry run. BitMEX Testnet also shows that no orders are placed by the API.

Any idea what I could be doing wrong?

2017-05-11 18:34:23,134 - INFO - market_maker - BitMEX Market Maker Version: v1.1-1-g0618543

2017-05-11 18:34:23,135 - INFO - ws_thread - Connecting to wss://testnet.bitmex.com/realtime?subscribe=quote:XBTUSD,trade:XBTUSD,instrument,order:XBTUSD,execution:XBTUSD,margin,position
2017-05-11 18:34:23,135 - INFO - ws_thread - Authenticating with API Key.
2017-05-11 18:34:23,136 - INFO - ws_thread - Started thread
2017-05-11 18:34:24,140 - INFO - ws_thread - Connected to WS. Waiting for data images, this may take a moment...
2017-05-11 18:34:25,295 - INFO - ws_thread - Got all market data. Starting.
2017-05-11 18:34:25,296 - INFO - market_maker - Using symbol XBTUSD.
2017-05-11 18:34:25,296 - INFO - market_maker - Order Manager initializing, connecting to BitMEX. Live run: executing real trades.
2017-05-11 18:34:25,298 - INFO - market_maker - XBTUSD Ticker: Buy: 1845.60, Sell: 1848.30
2017-05-11 18:34:25,298 - INFO - market_maker - Start Positions: Buy: 1836.47, Sell: 1857.44, Mid: 1846.90
2017-05-11 18:34:25,298 - INFO - market_maker - Current XBT Balance: 3.131991
2017-05-11 18:34:25,298 - INFO - market_maker - Current Contract Position: 0
2017-05-11 18:34:25,298 - INFO - market_maker - Contracts Traded This Run: 0
2017-05-11 18:34:25,299 - INFO - market_maker - Total Contract Delta: 0.0000 XBT
2017-05-11 18:34:25,299 - INFO - market_maker - Creating 12 orders:
2017-05-11 18:34:25,299 - INFO - market_maker - Sell 100 @ 1857.4
2017-05-11 18:34:25,299 - INFO - market_maker - Sell 200 @ 1866.7
2017-05-11 18:34:25,300 - INFO - market_maker - Sell 300 @ 1876.1
2017-05-11 18:34:25,300 - INFO - market_maker - Sell 400 @ 1885.4
2017-05-11 18:34:25,300 - INFO - market_maker - Sell 500 @ 1894.9
2017-05-11 18:34:25,300 - INFO - market_maker - Sell 600 @ 1904.3
2017-05-11 18:34:25,300 - INFO - market_maker -  Buy 100 @ 1836.5
2017-05-11 18:34:25,300 - INFO - market_maker -  Buy 200 @ 1827.3
2017-05-11 18:34:25,300 - INFO - market_maker -  Buy 300 @ 1818.2
2017-05-11 18:34:25,300 - INFO - market_maker -  Buy 400 @ 1809.2
2017-05-11 18:34:25,300 - INFO - market_maker -  Buy 500 @ 1800.2
2017-05-11 18:34:25,300 - INFO - market_maker -  Buy 600 @ 1791.2
Traceback (most recent call last):
  File "./marketmaker", line 4, in <module>
    market_maker.run()
  File "/Users/tanmayk/git/sample-market-maker/market_maker/market_maker.py", line 538, in run
    om.init()
  File "/Users/tanmayk/git/sample-market-maker/market_maker/market_maker.py", line 212, in init
    self.reset()
  File "/Users/tanmayk/git/sample-market-maker/market_maker/market_maker.py", line 220, in reset
    self.place_orders()
  File "/Users/tanmayk/git/sample-market-maker/market_maker/market_maker.py", line 317, in place_orders
    return self.converge_orders(buy_orders, sell_orders)
  File "/Users/tanmayk/git/sample-market-maker/market_maker/market_maker.py", line 403, in converge_orders
    self.exchange.create_bulk_orders(to_create)
  File "/Users/tanmayk/git/sample-market-maker/market_maker/market_maker.py", line 184, in create_bulk_orders
    return self.bitmex.create_bulk_orders(orders)
  File "/Users/tanmayk/git/sample-market-maker/market_maker/bitmex.py", line 92, in wrapped
    return function(self, *args, **kwargs)
  File "/Users/tanmayk/git/sample-market-maker/market_maker/bitmex.py", line 149, in create_bulk_orders
    return self._curl_bitmex(api='order/bulk', postdict={'orders': orders}, verb='POST')
  File "/Users/tanmayk/git/sample-market-maker/market_maker/bitmex.py", line 212, in _curl_bitmex
    response = self.session.send(prepped, timeout=timeout)
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages/requests/sessions.py", line 609, in send
    r = adapter.send(request, **kwargs)
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages/requests/adapters.py", line 423, in send
    timeout=timeout
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages/requests/packages/urllib3/connectionpool.py", line 600, in urlopen
    chunked=chunked)
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages/requests/packages/urllib3/connectionpool.py", line 356, in _make_request
    conn.request(method, url, **httplib_request_kw)
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/httplib.py", line 1042, in request
    self._send_request(method, url, body, headers)
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/httplib.py", line 1081, in _send_request
    self.putheader(hdr, value)
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/httplib.py", line 1020, in putheader
    raise ValueError('Invalid header value %r' % (one_value,))
ValueError: Invalid header value 'liquidbot-v1.1-1-g0618543\n'
2017-05-11 18:34:25,950 - INFO - market_maker - Shutting down. All open orders will be cancelled.
2017-05-11 18:34:25,951 - INFO - ws_thread - Websocket Closed
`
STRML commented 7 years ago

Hi - this is not your bug, it's ours, and sorry! It's fixed in #7 and 8f6c089399d26490224dc3131093daf531e175b8. Just pull and re-run.

tanmaykumar commented 7 years ago

Works well now, thank you!