This is a toy, but we figured code could be usefull. Essentially, Btimex MM code relies on the weboscket library, which is all but intuitive. Instead, we leverage on Lomond which makes for much easier to read code.
We have made an honest effort to clean the code, but this is not production code, nor a current priority. I will try to accomodate issues and PR, but be patient (and compassionate)

This semi-functional (as in "it will trade, but should really NOT be used as is") market maker is the product of a sprint. We eventually ported some of our finding in production but this is not used, yet can illustrate a few (we believe) interesting ideas. For example:

• Dataplicity Lomond is a very nice alternative to websockets, especially for iterative development. The API exposes the websocket stream as a generator, which in turns allow for appropriate event-based rules to be put in place. It also has a persist method to deal with reconnections, hassle-free
• spawning an asyncio event_loop, then using it in a daemonized thread. We send executions into the asyncio loop because events flow through the websocket. This ia an excelent idea described in this medium article by Cristian Medina
• onboarding the logic of trading in a separate module agent.agent class MM. This would allow to replace a market making logic by a smart execution of external indicators, for example
• studies in classes for an orderbook, or for a "keep" of one's orders on market
• an original, but ultimately flawed, approach to the infamous issues with prices showing floating point approx (API's don't like to get a million decimals, which tends to happen A LOT for satoshi-level securities. Btw, I personally think the decimal package kinda sucks when it comes to float compatibility, or general API

Do create a virtual environment (python=3.6), and install:

• lomond: pip install lomond
• bitmex' provided API wrapper: pip install bitmex
• bravado: pip install --upgrade bravado
• edit the files config.py and config_prod.py
• change the current security in the main of trader/trader.py. Do adjust tick size accordingly in the agent parameters if you do (and yes, it's quirky)

Then, simply run with python trader.py

• Bitmex does NOT like machine-gun orders. Allow a relatively high size for each order, or get marked as spam (do not use on your main account with real money)
• the agent part is dodgy. A key issue we had was how to queue estimate (this is pretty critical unless you want to be holding the pags when price move), and especially at the best bid/ask. The agents tries to keep try of bid/asks that are "burnt", that is: for which we were on the ladder, but nobody came after so after a grace period, we canceled the order. At the end of the sprint, we ported parts of this experiment rather than use it as-is
• We did run it for a while on