A set of tools for visualizing market making data:
oasis-market-maker-chart(trade chart tool for OasisDEX),oasis-market-maker-pnl(profitability calculation tool for OasisDEX),oasis-market-maker-trades(trade history dumping tool for OasisDEX),etherdelta-market-maker-chart(trade chart tool for EtherDelta),etherdelta-market-maker-pnl(profitability calculation tool for EtherDelta),etherdelta-market-maker-trades(trade history dumping tool for EtherDelta),0x-market-maker-chart(trade chart tool for 0x v1 exchanges),0x-market-maker-pnl(profitability calculation tool for 0x v1 exchanges),0x-market-maker-trades(trade history dumping tool for 0x v1 exchanges).
https://chat.makerdao.com/channel/keeper
This project uses Python 3.6.2.
In order to clone the project and install required third-party packages please execute:
git clone https://github.com/makerdao/market-maker-stats.git
cd market-maker-stats
git submodule update --init --recursive
pip3 install -r requirements.txt
For some known Ubuntu and macOS issues see the pymaker README.
These tools draw a chart with either the historical GDAX ETH/USD price, the historical GDAX BTC/USD price,
or any other price which history has been archived in streamer, recent trades which took place with the keeper
(represented as blue or green dots) and all recent trades which took place on this specific market (represented
as pink dots). The size of the dots depends on the trade volume. This way we can clearly
spot if the keeper is not creating dangerous arbitrage opportunities.
In case of OasisDEX (the oasis-market-maker-chart tool), closest bids and asks will also be shown
in the chart (represented as lines).
Sample result for OasisDEX:
Sample result for some other exchange:
These tools perform profitability calculation of ETH/DAI or BTC/DAI keepers.
Sample text output:
PnL report for DAI market-making:
Day # transactions Bought Sold Net bought Cumulative net Profit
bought
=============================================================================================================================================================
2017-12-29 16 19,785.70 DAI 20,230.31 DAI -444.61 DAI 326,188.03 DAI 337.93 USD
2017-12-30 43 74,652.49 DAI 58,584.57 DAI 16,067.92 DAI 342,255.95 DAI 2,292.57 USD
2017-12-31 23 41,964.14 DAI 14.50 DAI 41,949.64 DAI 384,205.59 DAI 429.15 USD
The first and the last day of the report may not contain all trades.
As a rolling VWAP window is used, last window of trades is excluded from profit calculation.
Number of trades: 82
Total profit: 2,771.40 USD
Generated at: 2018.01.01 11:32:00 UTC
These tools export the list of recent trades which took place with the keeper, either as a text table
(if invoked with --text) or as a JSON document (if invoked with --json).
Taker address is only present for OasisDEX.
Example text output:
Date/time Type Price Amount in ETH Value in DAI Taker
===========================================================================================================================
2018-01-01 10:00:00 UTC Buy 990.57615003 5.85517832 5800.00000000 0x8eb07c216cc1a46f135eb67d9ce9c7465893ccf9
2018-01-02 11:30:00 UTC Sell 990.57615003 6.14822530 6090.28534500 0x78e134c3da7fb2b1b0e04e1bb3cdeb67d14e7a6d
Number of trades: 2
Generated at: 2018.01.02 11:36:18 UTC
Example JSON output:
[
{
"datetime": "2018-01-01 10:00:00 UTC",
"timestamp": 1516712345,
"type": "Buy",
"price": 990.57615003,
"amount": 5.85517832,
"money": 5800.00000000,
"taker": "0x8eb07c216cc1a46f135eb67d9ce9c7465893ccf9"
},
{
"datetime": "2018-01-01 11:30:00 UTC",
"timestamp": 1516812345,
"type": "Sell",
"price": 990.57615003,
"amount": 6.14822530,
"money": 6090.28534500,
"taker": "0x78e134c3da7fb2b1b0e04e1bb3cdeb67d14e7a6d"
}
]
See COPYING file.