spread.py

import httpx
import cytoolz as tz  # type: ignore
from cytoolz import curried as c  # type: ignore

black_list_crypto: list = ['FTT', 'SOL', 'CHZ', 'BNT', 'SUSHI']
COLLATERAL: int = 1500
BASE_SPREAD: float = 0.0025

gtrade_trading_vars: dict = httpx.get("https://gains-farm-v2-mainnet.herokuapp.com/trading-variables").json()
FROM_SYMBOLS_ALL: list = [x['from'] for x in gtrade_trading_vars['pairs']]
_from_symbols_crypto: list = [x['from'] for x in gtrade_trading_vars['pairs'] if x['groupIndex'] == '0']
FROM_SYMBOLS_CRYPTO: list = [x for x in _from_symbols_crypto if x not in black_list_crypto]

def get_price_spread_impact_above(symbol: str, trade_size: int, openinterest: dict, onePercentDepth: dict) -> float:
    # (int(openinterest_dict['ETH']['long'])+(1500*10**18)/2) / int(onePercentDepth_dict['ETH']['onePercentDepthAbove'])
    one_percent_depth = int(onePercentDepth[symbol]['onePercentDepthAbove'])
    # if for ZeroDivisionError
    if one_percent_depth:
        return ((int(openinterest[symbol]['long'])+(trade_size)/2)/one_percent_depth/10**18)+BASE_SPREAD
    else:
        return 0.0

def get_price_spread_impact_below(symbol: str, trade_size: int, openinterest: dict, onePercentDepth: dict) -> float:
    one_percent_depth = int(onePercentDepth[symbol]['onePercentDepthBelow'])
    if one_percent_depth:
        return ((int(openinterest[symbol]['short'])+(trade_size)/2)/one_percent_depth/10**18)+BASE_SPREAD
    else:
        return 0.0

_openinterest: list = gtrade_trading_vars['openInterests']
_onePercentDepth: list = gtrade_trading_vars['pairInfos']['params']

_openinterest_dict = dict(zip(FROM_SYMBOLS_ALL, _openinterest))
openinterest_mung: dict = tz.keyfilter(lambda x: x in FROM_SYMBOLS_CRYPTO, _openinterest_dict)

_onePercentDepth_dict = dict(zip(FROM_SYMBOLS_ALL, _onePercentDepth))
onePercentDepth_mung: dict = tz.keyfilter(lambda x: x in FROM_SYMBOLS_CRYPTO, _onePercentDepth_dict)

gtrade_spread: dict = {symbol: {
    'long': get_price_spread_impact_above(symbol, COLLATERAL, openinterest_mung, onePercentDepth_mung),
    'short': get_price_spread_impact_below(symbol, COLLATERAL, openinterest_mung, onePercentDepth_mung)
} for symbol in FROM_SYMBOLS_CRYPTO}

assert len(openinterest_mung) == len(onePercentDepth_mung), 'mung short data'
assert all([isinstance(x[0], str) for x in gtrade_spread.items()]), 'dud key'
assert all([isinstance(x[1]['long'], float) for x in gtrade_spread.items()]), 'dud long val'
assert all([isinstance(x[1]['short'], float) for x in gtrade_spread.items()]), 'dud short val'

print(f"symbols: {len(gtrade_spread)}")
print(f"gtrade_spread: {gtrade_spread}")
# {'BTC': {'long': 0.11081393562766044, 'short': 0.29230769292317266}, 'ETH': {'long': 0.08609053979076561, 'short': 0.15440454699146453}...}