aardvark

High frequency trading program for cryptocurrencies on the Gemini.com digital asset exchange

Summary

Aardvark uses Gemini APIs to arbitrage a single cryptocurrency against the US dollar (USD). The algorithm simply buys low and sells high, using local maxima and minima as triggers.

Design Choices

Observer Pattern (pub/sub)

Price Polling

order Class

Instance Methods

order.place_order(symbol, amount, price, side)

• Parameter: symbol; the six character string of a cryptocurrency relative to the USD, eg; btcusd (Bitcoin)
• Parameter: amount; the string of the amount of cryptocurrency to trade, eight decimal digits for btcusd and bchusd, six otherwise
• Parameter: price; string representation of the desired limit price of the symbol
• Parameter: side; whether you want to place a "buy" or "sell" order
• Returns: JSON encoded string of the Gemini API response from placing an order Make an API call for a buy or sell order (limit orders only)

order.make_nonce()

• Parameter:
• Returns: Supporting method for place_order()

order.build_request()

• Parameter:
• Returns: Supporting method for place_order()

order.get_status(order_id)

• Parameter:
• Returns: Legacy method whose function was replaced by the order_listner class. I left it in the code because it's handy

order.get_price(symbol)

• Parameter: symbol; the six character string of a cryptocurrency relative to the USD, eg; btcusd (Bitcoin)
• Returns: price; String representation of the price Direct API call to get the last closing price of a cryptocurrency symbol (against the USD, eg; btcusd)

order.get_balance(currency)

• Parameter:
• Returns: Get the balance of a desired currency (crypto or USD) in your account

order.get_delta(symbol)

• Parameter:
• Returns: The key to the aardvark algorithm. get_delta() provides both the magnitude of a price change and the direction. For example, a negative delta means the price dropped from the last 0.5 second polling interval

order_listener Class

Limitations

Starting Aardvark

Trading Volume

Order Filling

Request Limits

https://gemini.com/api-agreement/#request-limits

Risks

Currency Stability Risk

Gemini Platform Risk

Exchange Rate Risk

Standard Deviation Risk

Suggested Enhancements