Package: bitmex-market-maker
BitMEX Market MakerThis is a sample market making bot for use withBitMEX.It is free to use and modify for your own strategies. It provides the following:ABitMEXobject wrapping the REST and WebSocket APIs.All data is realtime and efficientlyfetched via the WebSocket. This is the fastest way to get market data.Orders may be created, queried, and cancelled viaBitMEX.buy(),BitMEX.sell(),BitMEX.open_orders()and the like.Withdrawals may be requested (but they still must be confirmed via email and 2FA).Connection errors and WebSocket reconnection is handled for you.Permanent API Keysupport is included.A scaffolding for building your own trading strategies.Out of the box, a simple market making strategy is implemented that blankets the bid and ask.More complicated strategies are up to the user. Try incorporatingindex data,
query other markets to catch moves early, or develop your own completely custom strategy.Develop onTestnetfirst!Testnet trading is completely free and is identical to the live market.BitMEX is not responsible for any losses incurred when using this code. This code is intended for sample purposes ONLY - do not
use this code for real trades unless you fully understand what it does and what its caveats are.This is not a sophisticated market making program. It is intended to show the basics of market making while abstracting some
of the rote work of interacting with the BitMEX API. It does not make smart decisions and will likely lose money.Getting StartedCreate aTestnet BitMEX Accountanddeposit some TBTC.Install:pip install bitmex-market-maker. It is strongly recommeded to use a virtualenv.Create a marketmaker project: runmarketmaker setupThis will createsettings.pyandmarket_maker/in the working directory.Modifysettings.pyto tune parameters.Edit settings.py to add yourBitMEX API Key and Secretand change bot parameters.Note that user/password authentication is not supported.Run withDRY_RUN=Trueto test cost and spread.Run it:marketmaker [symbol]Satisfied with your bot's performance? Create alive API Keyfor your
BitMEX account, set theBASE_URLand start trading!Operation OverviewThis market maker works on the following principles:The market maker tracks the lastbidPriceandaskPriceof the quoted instrument to determine where to start quoting.Based on parameters set by the user, the bot creates a descriptions of orders it would like to place.Ifsettings.MAINTAIN_SPREADSis set, the bot will start inside the current spread and work outwards.Otherwise, spread is determined by interval calculations.If the user specifies position limits, these are checked. If the current position is beyond a limit,
the bot stops quoting that side of the market.These order descriptors are compared with what the bot has currently placed in the market.If an existing order can be amended to the desired value, it is amended.Otherwise, a new order is created.Extra orders are canceled.The bot then prints details of contracts traded, tickers, and total delta.Simplified OutputThe following is some of what you can expect when running this bot:2016-01-28 17:29:31,054 - INFO - market_maker - BitMEX Market Maker Version: 1.0
2016-01-28 17:29:31,074 - INFO - ws_thread - Connecting to wss://testnet.bitmex.com/realtime?subscribe=quote:XBT7D,trade:XBT7D,instrument,order:XBT7D,execution:XBT7D,margin,position
2016-01-28 17:29:31,074 - INFO - ws_thread - Authenticating with API Key.
2016-01-28 17:29:31,075 - INFO - ws_thread - Started thread
2016-01-28 17:29:32,079 - INFO - ws_thread - Connected to WS. Waiting for data images, this may take a moment...
2016-01-28 17:29:32,079 - INFO - ws_thread - Got all market data. Starting.
2016-01-28 17:29:32,079 - INFO - market_maker - Using symbol XBT7D.
2016-01-28 17:29:32,079 - INFO - market_maker - Order Manager initializing, connecting to BitMEX. Live run: executing real trades.
2016-01-28 17:29:32,079 - INFO - market_maker - Resetting current position. Cancelling all existing orders.
2016-01-28 17:29:33,460 - INFO - market_maker - XBT7D Ticker: Buy: 388.61, Sell: 389.89
2016-01-28 17:29:33,461 - INFO - market_maker - Start Positions: Buy: 388.62, Sell: 389.88, Mid: 389.25
2016-01-28 17:29:33,461 - INFO - market_maker - Current XBT Balance: 3.443498
2016-01-28 17:29:33,461 - INFO - market_maker - Current Contract Position: -1
2016-01-28 17:29:33,461 - INFO - market_maker - Avg Cost Price: 389.75
2016-01-28 17:29:33,461 - INFO - market_maker - Avg Entry Price: 389.75
2016-01-28 17:29:33,462 - INFO - market_maker - Contracts Traded This Run: 0
2016-01-28 17:29:33,462 - INFO - market_maker - Total Contract Delta: -17.7510 XBT
2016-01-28 17:29:33,462 - INFO - market_maker - Creating 4 orders:
2016-01-28 17:29:33,462 - INFO - market_maker - Sell 100 @ 389.88
2016-01-28 17:29:33,462 - INFO - market_maker - Sell 200 @ 390.27
2016-01-28 17:29:33,463 - INFO - market_maker -  Buy 100 @ 388.62
2016-01-28 17:29:33,463 - INFO - market_maker -  Buy 200 @ 388.23
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2016-01-28 17:29:37,366 - INFO - ws_thread - Execution: Sell 1 Contracts of XBT7D at 389.88
2016-01-28 17:29:38,943 - INFO - market_maker - XBT7D Ticker: Buy: 388.62, Sell: 389.88
2016-01-28 17:29:38,943 - INFO - market_maker - Start Positions: Buy: 388.62, Sell: 389.88, Mid: 389.25
2016-01-28 17:29:38,944 - INFO - market_maker - Current XBT Balance: 3.443496
2016-01-28 17:29:38,944 - INFO - market_maker - Current Contract Position: -2
2016-01-28 17:29:38,944 - INFO - market_maker - Avg Cost Price: 389.75
2016-01-28 17:29:38,944 - INFO - market_maker - Avg Entry Price: 389.75
2016-01-28 17:29:38,944 - INFO - market_maker - Contracts Traded This Run: -1
2016-01-28 17:29:38,944 - INFO - market_maker - Total Contract Delta: -17.7510 XBT
2016-01-28 17:29:38,945 - INFO - market_maker - Amending Sell: 99 @ 389.88 to 100 @ 389.88 (+0.00)Advanced usageYou can implement custom trading strategies using the market maker.market_maker.OrderManagercontrols placing, updating, and monitoring orders on BitMEX. To implement your own custom
strategy, subclassmarket_maker.OrderManagerand overrideOrderManager.place_orders():from market_maker.market_maker import OrderManager

class CustomOrderManager(OrderManager):
    def place_orders(self) -> None:
        # implement your custom strategy hereYour strategy should provide a set of orders. An order is a dict containing price, quantity, and
whether the order is buy or sell. For example:buy_order = {
    'price': 1234.5, # float
    'orderQty': 100, # int
    'side': 'Buy'
}

sell_order = {
    'price': 9876.5, # float
    'orderQty': 100, # int
    'side': 'Sell'
}Callself.converge_orders()to submit your orders.converge_orders()will create, amend,
and delete orders on BitMEX as necessary to match what you pass in:def place_orders(self) -> None:
    buy_orders = []
    sell_orders = []

    # populate buy and sell orders, e.g.
    buy_orders.append({'price': 998.0, 'orderQty': 100, 'side': "Buy"})
    buy_orders.append({'price': 999.0, 'orderQty': 100, 'side': "Buy"})
    sell_orders.append({'price': 1000.0, 'orderQty': 100, 'side': "Sell"})
    sell_orders.append({'price': 1001.0, 'orderQty': 100, 'side': "Sell"})

    self.converge_orders(buy_orders, sell_orders)To run your strategy, callrun_loop():order_manager = CustomOrderManager()
order_manager.run_loop()Your custom strategy will run until you terminate the program with CTRL-C. There is an example
incustom_strategy.py.Notes on Rate LimitingBy default, the BitMEX API rate limit is 300 requests per 5 minute interval (avg 1/second).This bot uses the WebSocket to greatly reduce the number of calls sent to the BitMEX API.If you are quoting multiple contracts and your ratelimit is becoming an obstacle, pleaseemail supportwith details of your quoting. In the vast majority of cases,
we are able to raise a user's ratelimit without issue.TroubleshootingCommon errors we've seen:TypeError: __init__() got an unexpected keyword argument 'json'This is caused by an outdated version ofrequests. Runpip install -U requeststo update.CompatibilityThis module supports Python 3.5 and later.See alsoBitMEX has a PythonREST clientandwebsocket client.