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README.md

Genesis Replicator

Genesis Replicator replicates a GDAX order book as a Parity order book.

Genesis Replicator subscribes to a product on GDAX WebSocket Feed and connects to the market data and order entry interfaces of a Parity instance. Then it starts translating market data messages from GDAX to order entry messages on Parity.

Genesis Replicator listens to Parity market data and maintains a reconstructed Parity order book. When a market data message indicating a trade is received from GDAX, it consults its reconstruction and adjusts the quantity of the translation to account not only for the replicated order but all non-replicated orders with better price or time priority as well.

Genesis Replicator requires Node 6 or newer.

Configuration

Genesis Replicator is configured using environment variables. The following environment variables are mandatory:

  • PARITY_MARKET_DATA_ADDRESS: The IP address of the market data gateway.

  • PARITY_MARKET_DATA_PORT: The TCP port of the market data gateway.

  • PARITY_MARKET_DATA_USERNAME: The username on the market data gateway.

  • PARITY_MARKET_DATA_PASSWORD: The password on the market data gateway.

  • PARITY_ORDER_ENTRY_ADDRESS: The IP address of the Parity instance.

  • PARITY_ORDER_ENTRY_PORT: The TCP port of the order entry interface on the Parity instance.

  • PARITY_ORDER_ENTRY_USERNAME: The username on the Parity instance.

  • PARITY_ORDER_ENTRY_PASSWORD: The password on the Parity instance.

The following environment variables are optional:

  • GDAX_API_URL: The GDAX REST API URL. Defaults to https://api.gdax.com.

  • GDAX_WEBSOCKET_FEED_URL: The GDAX WebSocket Feed URL. Defaults to wss://ws-feed.gdax.com.

  • GDAX_PRODUCT_ID: The product identifier on GDAX. Defaults to BTC-USD.

  • PARITY_INSTRUMENT: The instrument on Parity. Defaults to $GDAX_PRODUCT_ID.

  • PARITY_PRICE_FACTOR: The scaling factor for prices on Parity. Defaults to 100.

  • PARITY_SIZE_FACTOR: The scaling factor for sizes on Parity. Defaults to 100000000.

Development

Install the dependencies:

npm install

Launch Nassau and Parity applications with the configuration files in etc.

Run the application:

(. etc/example.sh; ./bin/genesis-replicator)

License

Released under the Apache License, Version 2.0.