Arke

Quick-Start

Configure your trading strategies the file config/strategies.yml

Install dependencies bash bundle install

Run Arke with this command

bundle exec ./bin/arke start

Example of Arke configuration

log_level: INFO
accounts:
- id: example-account1
  driver: rubykube
  debug: false
  host: "https://example.com"
  ws: "wss://example.com"
  key: ""
  secret: ""
  delay: 0.75

- id: example-account2
  driver: rubykube
  debug: false
  host: "https://example.com"
  ws: "wss://example.com"
  key: ""
  secret: ""
  delay: 1

- id: binance-account
  driver: binance
  key: ""
  secret: ""
  delay: 1

strategies:
- id: BTCUSDT-orderback
  type: orderback
  debug: false
  enabled: true
  period: 90
  params:
    spread_bids: 0.005
    spread_asks: 0.005
    limit_asks_base: 10
    limit_bids_base: 10
    levels_size: 0.5
    levels_count: 5
    side: both
    enable_orderback: false
    min_order_back_amount: 0.0002

  target:
    account_id: example-account1
    market_id: BTCUSDT

  sources:
  - account_id: binance-account
    market_id: BTCUSDT

- id: BTCUSDT-micro
  type: microtrades
  debug: false
  period: 30
  period_random_delay: 30
  enabled: false
  params:
    linked_strategy_id: BTCUSDT-orderback
    min_amount: 0.0001
    max_amount: 0.01
    min_price: 170
    max_price: 230

  target:
    account_id: example-account2
    market_id: BTCUSDT

Account config

Field Description
id ID identifying the account (must be unique)
driver Name of exchange driver (supported values are: opendax, finex, binance, bitfinex, kraken)
debug Flag to extend logs verbosity, valid values are: true or false
host Base URL of the exchange API
ws Websocket URL of exchange
key API key
secret Secret key
delay Minimum delay to respect between requests to this exchange (in second)
disable_balance_check Indicates to strategies to not limit the orders creation by the account balance

Strategies configuration

General configuration

Field Description
id ID of the strategy (arbitrary string, must be unique)
type Strategy type (valid: orderback, fixedprice, microtrades, copy)
debug Flag to extend logs verbosity, valid values are: true or false
enabled Flag to enable the strategy, could be: true or false
period Orderbook update period (in seconds), remember about delay in accounts and rate limit in peatio
period_random_delay Random delay which will be added to the static period
fx Forex conversion rate configuration to apply to price, read bellow the documentation of the section

Parameters for strategies

Simple Copy strategy

The simple-copy strategy uses the mid-price (the middle price between the best ask and best bid of the orderbook) of a source orderbook and generate an orderbook using a predefined or custom pattern. The depth of the created orderbook is defined by the number of orders in each side with the levels_count parameter and the price difference between orders with the levels_price_size parameter.

Orders amount are set according to the source orders volume of the same price level.

Field Description
spread_bids Spread for bids side (in percentage)
spread_asks Spread for asks side (in percentage)
balance_base_perc Percentage of the balance to use in Asks side
balance_quote_perc Percentage of the balance to use in Bids side
balance_perc Percentage of the balance to use in both side if previous parameters are not specified
levels_price_step Minimum price difference between levels
levels_price_func Function to use for levels price step from the level, possibles values are constant, linear, exp
levels_count Number of orders for each side
max_amount_per_order Maximum size for one order, if more liquidity is needed for one level several orders of this size will be created
shape Pattern to be used to generate the orderbook, possible values are v, w and custom
random Random factor to apply to every level, default is 0.3 for 30%
levels Levels pattern to use in case of custom shape. (ex: [0.1, 0.2, 1, 2, 0.1])
Copy strategy

The copy strategy uses a source exchange market to create an orderbook on a target market. The depth of the created orderbook is defined by the number of orders in each side with the levels_count parameter and the price difference between orders with the price_size parameter.

Orders amount are set according to the source orders volume of the same price level.

Field Description
spread_bids Spread for bids side (in percentage)
spread_asks Spread for asks side (in percentage)
limit_asks_base Sum of amounts of orders of ask side
limit_bids_base Sum of amounts of orders of bid side
balance_base_perc Ratio for sum of amounts of orders of ask side based on base currency balance
balance_quote_perc Ratio for sum of amounts of orders of bid side based on quote currency balance
levels_price_step Minimum price difference between levels
levels_price_func Function to use to calculate levels size: constant, linear, exp (default: constant)
levels_count Number of orders for each side
max_amount_per_order Maximum size for one order, if more liquidity is needed for one level several orders of this size will be created
side Side where orders will be created (valid: asks, bids, both)
Orderback strategy

This strategy behaves like the Copy strategy and have the ability to order back the liquidity from the source exchange market. An soon as an order is matched, the strategy creates an order on the source exchange with the matched amount and the same price without the spread. This way if the spread configured is higher than the exchanges fee the P&L will be positive.

Field Description
spread_bids Spread for bids side (in percentage)
spread_asks Spread for asks side (in percentage)
limit_asks_base Sum of amounts of orders of ask side
limit_bids_base Sum of amounts of orders of bid side
limit_by_source_balance Limit bids and asks amount according to the source account balances (default: false)
balance_base_perc Ratio for sum of amounts of orders of ask side based on base currency balance
balance_quote_perc Ratio for sum of amounts of orders of bid side based on quote currency balance
levels_size Minimum price difference between orders
levels_count Number of orders for each side
levels_price_step Minimum price difference between levels
levels_price_func Function to use to calculate levels size: constant, linear, exp (default: constant)
max_amount_per_order Maximum size for one order, if more liquidity is needed for one level several orders of this size will be created
side Side where orders will be created (valid: asks, bids, both)
enable_orderback Flag for enabling orderback, could be: true or false
min_order_back_amount The amount of the trade must be higher than this value for the order back to be created, otherwise the trade will be ignored.
orderback_grace_time The time to wait incoming trades before triggering the order back, default 1 sec
orderback_type The order back type it will be created, could be: limit or market, default is market
Fixedprice strategy

This strategy creates an orderbook on a market without using any source market. It creates an order around the reference price with a random value random_delta added or substracted to this price.

Field Description
spread_bids Spread for bids side (in percentage)
spread_asks Spread for asks side (in percentage)
limit_asks_base Sum of amounts of orders of ask side
limit_bids_base Sum of amounts of orders of bid side
levels_size Minimum price difference between orders
levels_count Number of orders for each side
side Side where orders will be created (valid: asks, bids, both)
max_amount_per_order Maximum size for one order, if more liquidity is needed for one level several orders of this size will be created
price Reference price for the strategy to create orderbook
random_delta Random value for deviation of the reference price (maximum deviation = random_delta / 2)
Candle-Sampling strategy

This strategy copies trades from sources every sampling_ratio trade events. It will trigger a market order with the same amount than the average trades amount being copied in the window. The parameter max_slippage protect against price slippage, it will considere the target orderbook and reduce the amount of the order accordingly to avoid price slippage. A random of 10% is applied on the sampling_ratio to make the strategy not deterministic. The period parameter doesn't affect this strategy since it only reacts on sources trade events.

Field Description
sampling_ratio Number of trades to wait before copying one, also used to divide the volume of trades
max_slippage Maximum price slippage allowed on a single trade triggered by the strategy
max_balance Maximum percentage of the balance allowed to be used for one trade
Microtrades-Copy strategy

This strategy creates random trades on a market with random amounts following the price of one or several sources. It is commonly used to create candles on a market with low activity.

Field Description
min_amount Minimum amount of order (defaults to market minimum order amount)
max_amount Maximum amount of order (defaults to 10 times the market minimum order amount)
maker_taker_orders_delay Time between maker and taker orders (defaults 0.02 sec)
matching_timeout Time in seconds to wait before canceling microtrades orders (defaults 1 sec)
Microtrades-Market strategy

This strategy creates random trades on a market with random amounts. It is commonly used to create candles on a market with low activity.

Field Description
linked_strategy_id OPTIONAL. ID of strategy which will be referred (using for calculating price)
price_difference OPTIONAL. Change of calculated price (using if linked_strategy_id exist)
min_amount Minimum amount of order
max_amount Maximum amount of order
min_price OPTIONAL. Price for ask orders (using if linked_strategy_id doesn't exist)
max_price OPTIONAL. Price for bid orders (using if linked_strategy_id doesn't exist)
Circuitbraker strategy

This strategy monitors orders on an account, compare prices with a source exchange and cancel those which are too far from current orderbook offers on the source.

It is a security in case the strategy which creates the market crash or have a defect.

Field Description
spread_bids Spread to apply on bids side (in percentage)
spread_asks Spread to apply on asks side (in percentage)

The spread applied on circuitbraker strategy should be lower than the spead used by the strategy creating the orderbook.

Target configuration
Field Description
account_id ID of account which will place order on target exchange
market_id ID of the market as it is on the target exchange
Sources configuration

List of following configuration statement:

Field Description
account_id ID of account which will place order on target exchange
market_id ID of the market as it is on the source exchange
Static forex conversion rate configuration

Detail of the fx section to configure for a strategy:

Field Value Description
type "static" The type of the forex class to use, which is "static" here
rate float Static value of the rate to apply to prices of the strategy
Fixer forex conversion rate configuration

Detail of the fx section to configure for a strategy:

Field Value Description
type "fixer"
api_key string Fixer api key
currency_from string Currency code
currency_to string Currency code
period seconds Refresh period in seconds, default: 3600
https boolean Enable https communication (default true)
Finex forex conversion rate configuration

Detail of the fx section to configure for a strategy:

Field Value Description
type "finex"
host "localhost:8080" Host and port of the finex forex microservice
pair "usdeur" Forex pair to subscribe to price feed.