search

stellar-deprecated / kelp

Kelp is a free and open-source trading bot for the Stellar DEX and 100+ centralized exchanges
https://kelpbot.io
Other
1.1k stars 261 forks source link

Allow pricefeed inversions for more complex price derivations #148

Open Reidmcc opened 5 years ago

Reidmcc commented 5 years ago

Desired Behavior

I want to be able to derive the price for buysell using a wider variety of conversions. For example, if I want to derive the price of XLM/USD by checking XLM/BTC vs BTC/USD, neither pricefeed A vs B direction returns the correct price. When Kelp only worked on the sdex this was fine; you just swap your sdex assets and read the orderbook the other direction. If you're trading on centralized exchanges you can't do that.

Impact

This will allow me to trade more effectively on pairs that don't have good direct non-self-referential pricefeed options.

Feature Suggestion

We can enable this behavior by adding an INVERT option to the price feed config parameters. When set to true the pricefeed would return 1.0 / normally returned price.

Specification

Pull request incoming.

nikhilsaraf commented 5 years ago

@Reidmcc Do we need the ability to invert every single price feed? Or could we get away by having a single INVERT_PRICE_FEED config that takes the final center price and inverts it?

I'd prefer that we partially implement the "formula" price feed from point #2 from this issue comment instead of adding price inversions as a separate and standalone operation. This would allow us to specify your desired feed as such to give you BTC/XLM prices from an XLM/BTC feed:

FEED_A_TYPE="formula"
FEED_A_URL="(fixed:1.0)/(exchange:ccxt-kraken/XXLM/XXBT)"

the "formula" type price feed can explicitly only support the inversion operation first where it expects this specific form of a price feed URL to keep things simple. Thoughts?

Reidmcc commented 5 years ago

@nikhilsaraf I think the formula feed type is the right approach. It could be expanded to accommodate multiple inversions, or whatever else, as needed.

nikhilsaraf commented 5 years ago

@Reidmcc yeah that sounds good -- do you want to take a shot at it -- at first it should only support a feed division.

i.e. something like this should work:

FEED_A_TYPE="formula"
FEED_A_URL="(fixed:1.0)/(exchange:ccxt-kraken/XXLM/XXBT)"

You can assume that formula will explicitly fail if it is not set up to be like this: (fixed:1.0)/(Y). we can expand to more use cases later.

what do you think?