/vega-protocol-market-maker-python

Primary LanguagePythonMIT LicenseMIT

Vega Protocol - Python Market Maker Example

Example Python setup code running a simple market maker on a Vega Protocol network.

The Market-Maker has several components:

  • Websocket connections to Binance and a Vega Protocol data node
  • Local stores for each of the websocket connections to cache received updates
  • A wallet class to handle conversion of generated orders into signed bundles
  • A market maker themselves

The logic of the market maker is contained within market_maker/strategy/simple_market_maker.py and consists simply of listening to a Binance websocket stream for a reference price, then updating a number of quotes on either side of this price at a configurable frequency.

Setup

Configuration for running this example is as follows:

  • With a Python 3.10 environment manager of choice, configure an environment based on requirements.txt. (If you're currently lacking a manager, poetry is a good choice for a full-featured manager or venv for light virtual environments.)
  • Follow the instructions at create-wallet to download a CLI wallet for your system, import networks (fairground for the testnet) and ensure you are able to generate wallets
  • The Vega Wallet v2 API requires a token to be generated which the bot will later attach to transaction requests, so this must be set up next.
    • Make a copy of .env.sample to a file called .env
    • To do so, follow the instructions at get-started, specifically those under the 'connect with bots' section.
      • Make a note of the token you are given, and update WALLET_TOKEN in your .env file to the value.
      • Update PARTY_ID in .env to be the public key for your generated wallet
  • Once completed, run the wallet service with vegawallet service run --load-tokens --network fairground --automatic-consent. This connects the wallet to the fairground network and --automatic-consent means that the wallet will skip requesting manual approval when it receives a transaction and instead always propagates it.
  • Now that the wallet service is up and running, we can start the market maker itself.
    • Open the console and select a market of interest. Find the ID for the market either in the URL once that market is selected or the Key Details tab on the market page image
    • Set MARKET_ID in .env to this ID
    • Set BINANCE_MARKET in .env to the name of a market from which to draw reference prices. This should be a Binance Spot symbol
    • Enter your Python environment and run python -m main to start up the market maker. You should now be able to log in to the Fairground console and see the orders being placed.