Use FRR on bitfinex as min_daily_rate (#554)

* Return a dict of all currencies even if balance is 0

* Sleep and reduce requests per min if we get ERR_RATE_LIMIT

* Reduce request window to 1 sec

* Move the timers to millisecond resolution in the coach, MA changes times now when it catches 429

* Comments, logs, fix exception

* Don't change api request times unless using bitfinex

* Update polo coach to milliseconds

* Catch 429 at top level and more sensible api_req_period calc

* Use FRR for min_daily_rate

* Missing from last commit

* PEP-8

* Config and docs for frr as min

* Use config for frr and use configured min if higher

* Unrelated bug I found from ERR_RATE_LIMIT_fix

* Unrelated bug I found from ERR_RATE_LIMIT_fix

* Sync Bitfinex API requests completely

* Update test

* Update test

* Messed up the merge from bitfinex_sync_fix

* Messed up the merge from bitfinex_sync_fix

* Move timer change methods to base class and catch 429 at API level

* Add poloniex timer changes

* Make sure to re-raise the error, sleep in the MA module not the API.

* Converted a tab to spaces

* Added FRR Delta for Bitfinex

* Added FRR Delta for Bitfinex

* PEP-8

* Log when using FRR as min daily rate

* Allow config to be picked up from 'BOT' section rather than just coin_cfg

* Declare variables to allow global access

* This is why we should use classes!

* exchangeMax needs defined

default.cfg.example

@@ -91,6 +91,13 @@ hideCoins = True
 #If set to 0 or commented: the bot will use the maxtolend or maxpercenttolend all the time. (0.0031-5)
 #maxtolendrate = 0
 
+#FRR as min, tells the bot whether or not to use the flash return rate (https://support.bitfinex.com/hc/en-us/articles/213919009-What-is-the-Flash-Return-Rate-)
+#instead of mindailyrate. This only works on bitfinex.
+#frrasmin = False
+
+# The Flash Return Rate Delta (frrdelta) is a dynamic funding rate option that allows you to specify an offset from the Flash Return Rate. This only works on bitfinex and ffrasmin = TRUE
+frrdelta = 0.0000
+
 #Syntax: ["COIN:mindailyrate:maxactiveamount:maxtolend:maxpercenttolend:maxtolendrate",...]
 #If maxactive amount is 0: stop lending this coin. in the future you'll be able to limit amount to be lent.
 #If maxtolend is 0: check for maxpercenttolend.
@@ -143,6 +150,11 @@ hideCoins = True
 #maxtolend = 0
 #maxpercenttolend = 0
 #maxtolendrate = 0
+#gapmode = RawBTC
+#gapbottom = 20
+#gaptop = 400
+#frrasmin = False
+#frrdelta = 0.0000
 
 #[CLAM]
 #minloansize = 1
@@ -151,6 +163,11 @@ hideCoins = True
 #maxtolend = 0
 #maxpercenttolend = 0
 #maxtolendrate = 0
+#gapmode = raw
+#gapbottom = 10
+#gaptop = 20
+#frrasmin = False
+#frrdelta = 0.0000
 
 [notifications]
 notify_new_loans = False

docs/configuration.rst

@@ -98,6 +98,19 @@ Min and Max Rates
     - Allowed range: 0.0031 to 5 percent
     - 2% is the default value offered by the exchange, but there is little reason not to set it higher if you feel optimistic.
 
+- ``frrasmin`` tells the bot whether or not to use the `flash return rate <https://support.bitfinex.com/hc/en-us/articles/213919009-What-is-the-Flash-Return-Rate->`_ for ``mindailyrate``.
+    - Default value: False
+    - Allowed range: True or False
+    - This will only be used if the frr is above your ``mindailyrate``. So which ever is highest at the time of the loan will be used.
+    - This options only works on Bitfinex.
+
+- ``frrdelta`` tells the bot whether or not to use the `flash return rate <https://support.bitfinex.com/hc/en-us/articles/115003284729-What-is-the-FRR-Delta->`
+    - Default value: 0.0000
+    - Allowed range: 0.0000 -/+ 7   
+    - This will only be used if the frr is above your ``mindailyrate``. So which ever is highest at the time of the loan will be used.
+    - This options only works on Bitfinex.
+
+
 Spreading your Lends
 --------------------
 
@@ -216,7 +229,7 @@ Very few situations require you to change these settings.
     - Allowed values: True or False. Commented defaults to True
     - This hides your coins from appearing in walls.
     - Allows you to catch a higher rate if it spikes past your ``mindailyrate``.
-    - Not necessarily recommended if used with ``analyseCurrencies`` with an aggressive ``lendingStyle``, as the bot may miss short-lived rate spikes.
+    - Not necessarily recommended if used with ``analyseCurrencies`` with an aggressive ``lendingStyle``, as the bot may miss short-lived rate spikes. This is not the case if using ``MACD`` with ``daily_min_method``. In that case it is recommended to set ``hideCoins`` to True.
     - If you are using the ``analyseCurrencies`` option, you will likely see a lot of ``Not lending BTC due to rate below 0.9631%`` type messages in the logs. This is normal.
 
 - ``endDate`` Bot will try to make sure all your loans are done by this date so you can withdraw or do whatever you need.
@@ -296,6 +309,8 @@ Configuration should look like this::
     gapmode = raw
     gapbottom = 10
     gaptop = 20
+    frrasmin = true
+    frrdelta = 0.000000
 
 
 Advanced logging and Web Display

modules/Bitfinex.py

@@ -110,11 +110,13 @@ def _post(self, command, payload=None, verify=True):
         return self._request('post', payload['request'], signed_payload, verify)
 
     @ExchangeApi.synchronized
-    def _get(self, command):
+    def _get(self, command, apiVersion=None):
         # keep the request per minute limit
         self.limit_request_rate()
 
-        request = '/{}/{}'.format(self.apiVersion, command)
+        if apiVersion is None:
+            apiVersion = self.apiVersion
+        request = '/{}/{}'.format(apiVersion, command)
         return self._request('get', request)
 
     def _get_symbols(self):
@@ -354,3 +356,12 @@ def return_lending_history(self, start, stop, limit=500):
                     })
 
         return history
+
+    def get_frr(self, currency):
+        """
+        Retrieves the flash return rate for the given currency
+        https://bitfinex.readme.io/v2/reference#rest-public-platform-status
+        """
+        command = 'tickers?symbols=f' + currency
+        resp = self._get(command, 'v2')
+        return float(resp[0][1])

modules/Configuration.py

@@ -113,6 +113,8 @@ def get_coin_cfg():
                     coin_cfg[cur]['gapmode'] = get_gap_mode(cur, 'gapmode')
                     coin_cfg[cur]['gapbottom'] = Decimal(get(cur, 'gapbottom', False, 0))
                     coin_cfg[cur]['gaptop'] = Decimal(get(cur, 'gaptop', False, coin_cfg[cur]['gapbottom']))
+                    coin_cfg[cur]['frrasmin'] = getboolean(cur, 'frrasmin', getboolean('BOT', 'frrasmin'))
+                    coin_cfg[cur]['frrdelta'] = Decimal(get(cur, 'frrdelta', 0.0000))
 
                 except Exception as ex:
                     ex.message = ex.message if ex.message else str(ex)

modules/Lending.py

@@ -39,6 +39,8 @@
 gap_mode_default = ""
 scheduler = None
 exchange = None
+frrasmin = False
+frrdelta = 0.0
 
 # limit of orders to request
 loanOrdersRequestLimit = {}
@@ -58,7 +60,7 @@ def init(cfg, api1, log1, data, maxtolend, dry_run1, analysis, notify_conf1):
     global sleep_time, sleep_time_active, sleep_time_inactive, min_daily_rate, max_daily_rate, spread_lend, \
         gap_bottom_default, gap_top_default, xday_threshold, xday_spread, xdays, min_loan_size, end_date, coin_cfg, \
         min_loan_sizes, dry_run, transferable_currencies, keep_stuck_orders, hide_coins, scheduler, gap_mode_default, \
-        exchange, analysis_method, currencies_to_analyse, all_currencies
+        exchange, analysis_method, currencies_to_analyse, all_currencies, frrasmin, frrdelta
 
     exchange = Config.get_exchange()
 
@@ -85,6 +87,8 @@ def init(cfg, api1, log1, data, maxtolend, dry_run1, analysis, notify_conf1):
     currencies_to_analyse = Config.get_currencies_list('analyseCurrencies', 'MarketAnalysis')
     keep_stuck_orders = Config.getboolean('BOT', "keepstuckorders", True)
     hide_coins = Config.getboolean('BOT', 'hideCoins', True)
+    frrasmin = Config.getboolean('BOT', 'frrasmin', False)
+    frrdelta = Decimal(Config.get('BOT', 'frrdelta', 0.0000))
     analysis_method = Config.get('Daily_min', 'method', 'percentile')
     if analysis_method not in ['percentile', 'MACD']:
         raise ValueError("analysis_method: \"{0}\" is not valid, must be percentile or MACD".format(analysis_method))
@@ -131,13 +135,14 @@ def notify_new_loans(sleep_time):
         if loans_provided:
             # function to return a set of ids from the api result
             # get_id_set = lambda loans: set([x['id'] for x in loans])
-            def get_id_set(loans): return set([x['id'] for x in loans])
+            def get_id_set(loans):
+                return set([x['id'] for x in loans])
             loans_amount = {}
             loans_info = {}
             for loan_id in get_id_set(new_provided) - get_id_set(loans_provided):
                 loan = [x for x in new_provided if x['id'] == loan_id][0]
                 # combine loans with the same rate
-                k = 'c'+loan['currency']+'r'+loan['rate']+'d'+str(loan['duration'])
+                k = 'c' + loan['currency'] + 'r' + loan['rate'] + 'd' + str(loan['duration'])
                 loans_amount[k] = float(loan['amount']) + (loans_amount[k] if k in loans_amount else 0)
                 loans_info[k] = loan
             # send notifications with the grouped info
@@ -250,21 +255,47 @@ def lend_all():
     set_sleep_time(usable_currencies)
 
 
+def get_frr_or_min_daily_rate(cur):
+    """
+    Checks the Flash Return Rate of cur against the min daily rate and returns the better of the two. If not using
+    bitfinex then it will always return the min daily rate for the currency.
+
+    :param cur: The currency which to check
+    :return: The better of the two rates (FRR and min daily rate)
+    """
+    if cur in coin_cfg:
+        min_daily_rate = Decimal(coin_cfg[cur]['minrate'])
+        frrasmin = coin_cfg[cur]['frrasmin']
+        frrdelta = Decimal(coin_cfg[cur]['frrdelta']) / 100
+    else:
+        min_daily_rate = Decimal(Config.get("BOT", "mindailyrate", None, 0.003, 5)) / 100
+        frrasmin = Config.getboolean('BOT', 'frrasmin', False)
+        frrdelta = Decimal(Config.get('BOT', 'frrdelta', 0.0000))
+
+    if exchange == 'BITFINEX' and frrasmin:
+        frr_rate = Decimal(api.get_frr(cur)) + frrdelta
+        if frr_rate > min_daily_rate:
+            log.log("Using FRR as mindailyrate {0}% for {1}".format(frr_rate * 100, cur))
+            return frr_rate
+
+    return min_daily_rate
+
+
 def get_min_daily_rate(cur):
-    cur_min_daily_rate = min_daily_rate
+    cur_min_daily_rate = get_frr_or_min_daily_rate(cur)
     if cur in coin_cfg:
         if coin_cfg[cur]['maxactive'] == 0:
             if cur not in max_active_alerted:  # Only alert once per coin.
                 max_active_alerted[cur] = True
                 log.log('maxactive amount for ' + cur + ' set to 0, won\'t lend.')
             return False
-        cur_min_daily_rate = Decimal(coin_cfg[cur]['minrate'])
         if cur not in coin_cfg_alerted:  # Only alert once per coin.
             coin_cfg_alerted[cur] = True
-            log.log('Using custom mindailyrate ' + str(coin_cfg[cur]['minrate'] * 100) + '% for ' + cur)
+            log.log('Using custom mindailyrate ' + str(cur_min_daily_rate * 100) + '% for ' + cur)
     if Analysis and cur in currencies_to_analyse:
         recommended_min = Analysis.get_rate_suggestion(cur, method=analysis_method)
         if cur_min_daily_rate < recommended_min:
+            log.log("Using {0} as mindailyrate {1}% for {2}".format(analysis_method, recommended_min * 100, cur))
             cur_min_daily_rate = recommended_min
     return Decimal(cur_min_daily_rate)