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Merge pull request #146 from teal-finance/thalex
Thalex
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,186 @@ | ||
| // Copyright 2023 Teal.Finance/Rainbow contributors | ||
| // This file is part of Teal.Finance/Rainbow, | ||
| // a screener for DeFi options under the MIT License. | ||
| // SPDX-License-Identifier: MIT | ||
|
|
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| package thalex | ||
|
|
||
| import ( | ||
| "strings" | ||
| "time" | ||
|
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| "github.com/teal-finance/emo" | ||
| "github.com/teal-finance/garcon" | ||
| "github.com/teal-finance/rainbow/pkg/rainbow" | ||
| ) | ||
|
|
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| var log = emo.NewZone(name) | ||
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| const baseURL = "https://thalex.com/api/v2/public/" | ||
| const name = "Thalex" | ||
|
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| type Provider struct { | ||
| ar garcon.AdaptiveRate | ||
| } | ||
|
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| func (Provider) Name() string { | ||
| return name | ||
| } | ||
|
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| // adaptiveMinSleepTime to rate limit the Thalex API. | ||
| // https://thalex.com/docs/#section/API-description/Message-rates | ||
| // The maximum number of matching engine messages (buy, sell, amend, delete, etc.) per connection per second is 10. | ||
| // When the connection is set to non-persistent (private/set_cancel_on_disconnect), this limit is raised to 50. | ||
| const adaptiveMinSleepTime = 25 * time.Millisecond | ||
|
|
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| // Hour at which the options expires = 8:00 UTC. | ||
| const Hour = 8 | ||
|
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| // maxBytesToRead prevents wasting memory/CPU when receiving an abnormally huge response from Thalex API. | ||
| // we put the same param as Deribit | ||
| const maxBytesToRead = 2_000_000 | ||
|
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| func (p *Provider) Options() ([]rainbow.Option, error) { | ||
| if p.ar.Name == "" { | ||
| p.ar = garcon.NewAdaptiveRate(name, adaptiveMinSleepTime) | ||
| } | ||
|
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| instruments, err := p.query() | ||
| if err != nil { | ||
| return nil, err | ||
| } | ||
|
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| options, err := p.fillOptions(instruments) | ||
| if err != nil { | ||
| return nil, err | ||
| } | ||
| return options, nil | ||
| } | ||
|
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| func (p *Provider) query() ([]Instrument, error) { | ||
| const api = baseURL + "instruments" | ||
| url := api | ||
| log.Info(name + " " + url) | ||
|
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| var result instrumentsResult | ||
| err := p.ar.Get("", url, &result, maxBytesToRead) | ||
| if err != nil { | ||
| return nil, err | ||
| } | ||
|
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| return result.Result, nil | ||
| } | ||
|
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| func (p *Provider) fillOptions(instruments []Instrument) ([]rainbow.Option, error) { | ||
| options := make([]rainbow.Option, 0, len(instruments)) | ||
| var err error | ||
|
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| var result tickers | ||
|
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| for _, i := range instruments { | ||
| if i.Type != "option" { | ||
| continue | ||
| } | ||
| apiurl := baseURL + "ticker?instrument_name=" + i.InstrumentName | ||
| if err := p.ar.Get(i.InstrumentName, apiurl, &result); err != nil { | ||
| log.Warn(name + " book " + err.Error()) | ||
| } | ||
|
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| asset := getUnderlying(i.Underlying) | ||
|
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| o := rainbow.Option{ | ||
| Name: i.InstrumentName, | ||
| Type: strings.ToUpper(i.OptionType), | ||
| UnderlyingAsset: asset, | ||
| Asset: asset, | ||
| Strike: i.StrikePrice, | ||
| Expiry: i.ExpiryDate + " 08:00:00", | ||
| ExchangeType: "CEX", | ||
| Chain: "-", | ||
| Layer: "-", | ||
| LayerName: "-", | ||
| Provider: name, | ||
| UnderlyingQuote: i.BaseCurrency, | ||
| QuoteCurrency: "USD", | ||
| URL: "https://thalex.com/exchange/options?underlying=" + i.Product + "&expiration=" + i.ExpiryDate, | ||
| OpenInterest: result.Result.OpenInterest * result.Result.Index, | ||
| MarketIV: 100 * result.Result.Iv, | ||
| } | ||
| o.Bid = append(o.Bid, rainbow.Order{ | ||
| Price: result.Result.BestBidPrice, | ||
| Size: result.Result.BestBidAmount, | ||
| }) | ||
| o.Ask = append(o.Ask, rainbow.Order{ | ||
| Price: result.Result.BestAskPrice, | ||
| Size: result.Result.BestAskAmount, | ||
| }) | ||
|
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| options = append(options, o) | ||
| } | ||
|
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| return options, err | ||
|
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| } | ||
| func getUnderlying(u string) string { | ||
| coin := "" | ||
| switch u { | ||
| case "ETHUSD": | ||
| coin = "ETH" | ||
| case "BTCUSD": | ||
| coin = "BTC" | ||
| default: | ||
| log.Warn(name + " unknow underlying instrument " + u) | ||
| coin = "TTT" | ||
| } | ||
| return coin | ||
| } | ||
|
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| type tickers struct { | ||
| Result Ticker `json:"result"` | ||
| } | ||
|
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| type Ticker struct { | ||
| MarkPrice float64 `json:"mark_price"` | ||
| BestBidPrice float64 `json:"best_bid_price"` | ||
| BestBidAmount float64 `json:"best_bid_amount"` | ||
| BestAskPrice float64 `json:"best_ask_price"` | ||
| BestAskAmount float64 `json:"best_ask_amount"` | ||
| LastPrice int `json:"last_price"` | ||
| Iv float64 `json:"iv"` | ||
| Delta float64 `json:"delta"` | ||
| Volume24H float64 `json:"volume_24h"` | ||
| Value24H float64 `json:"value_24h"` | ||
| LowPrice24H float64 `json:"low_price_24h"` | ||
| HighPrice24H float64 `json:"high_price_24h"` | ||
| Change24H float64 `json:"change_24h"` | ||
| Index float64 `json:"index"` | ||
| Forward float64 `json:"forward"` | ||
| Funding_mark float64 `json:"funding_mark"` | ||
| Funding_rate float64 `json:"funding_rate"` | ||
| CollarLow float64 `json:"collar_low"` | ||
| CollarHigh float64 `json:"collar_high"` | ||
| OpenInterest float64 `json:"open_interest"` | ||
| } | ||
|
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| type instrumentsResult struct { | ||
| Result []Instrument `json:"result"` | ||
| } | ||
|
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| type Instrument struct { | ||
| InstrumentName string `json:"instrument_name"` | ||
| Product string `json:"product"` | ||
| TickSize float64 `json:"tick_size"` | ||
| VolumeTickSize float64 `json:"volume_tick_size"` | ||
| Underlying string `json:"underlying"` | ||
| Type string `json:"type"` | ||
| OptionType string `json:"option_type,omitempty"` | ||
| ExpiryDate string `json:"expiry_date"` | ||
| ExpirationTimestamp int `json:"expiration_timestamp"` | ||
| StrikePrice float64 `json:"strike_price,omitempty"` | ||
| BaseCurrency string `json:"base_currency"` | ||
| CreateTime float64 `json:"create_time"` | ||
| Legs []struct { | ||
| InstrumentName string `json:"instrument_name"` | ||
| Quantity int `json:"quantity"` | ||
| } `json:"legs,omitempty"` | ||
| } |
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