Dashboard for DEX/CEX options trading highlighting market opportunities to ease strategies decision. To achieve this goal, Rainbow continuously scans CEX/DEX/DeFi market data. This project has been initiated by Teal.Finance and has already won two prices during the Ethereum's EthGlobal Hackathon. 🏆

Motivation

The crypto derivatives markets are expected to grow a lot more in the upcoming years. Specifically, the options markets will see the bigger growth.

In traditional finance, option market is much bigger than the underlying assets market. This is lagging in Crypto, when we look at Deribit's volume, the main (centralized) venue for Crypto Options, compared to Perpetuals future.

Rainbow profits from the following trends:

• Crypto-assets and DeFi becoming mainstream,

• DeFi composability & complexity abstraction for easy onboarding of users,

• Advent of the Internet of Blockchains’ world with more cross-chain applications and communications,

• Crypto options trading growing (hopefully) bigger than the spot market, like in tradFi.

Target

Rainbow is a first step in that direction: a place where users, traders and market makers can see the options, prices, expiries, liquidities across layers L1/L2.

Current status

The current version is a tool to compare market data across multiple venues, CEX and DEX.

Deribit is supported since the beginning, because Deribit is the main options trading place.

Opyn is also supported, because we are active users of this protocol. Opyn use the 0x Protocol for the exchange of their options. Rainbow uses both Opyn and 0x APIs to retrieve their trading data. TheGraph is also used to list the available options from Opyn.

Most recently, PsyOptions (from the Solana ecosystem) has also been integrated. PsyOptions is the main DeFi options protocol.

More Ethereum and Solana protocols are planed to also be supported in the near future: Thales, Lyra, Hegic...

Now, using Rainbow, you can compare to arbitrage options across these markets, or simply get the best prices.

In progress

Our target is to be the most helpful possible, thus offering the highest possible user experience.

Please open a GitHub issue or contact us at [email protected] to suggest ideas or to share your feeling.

To improve the decision-making, we are currently implementing more data retrieval and computing indicators to provide:

• fine asset information
• easy browsing and comparison within the expiration dates
• grouping by same strike
• filtering and aggregate data across markets and providers
• computing of indicators based on bid/ask orders
• Mark IV (quoted bid and ask volatilities)
• the Greeks
• strategy outcome:
  • buy an option at the lowest price
  • sell an option at the highest price
  • arbitrage between two markets (e.g. buy an option at a low price and sell the same size in another market)

We are open to your ideas for a better clear view of the options markets.

The rainbow dashboard will also display some graphs as the aggregated order books, and others ones to determine at-the-money option depending on spot price, to highlight volatilities according to strikes above/below the spot price, and to compare mark IV and delta buckets (smallest .10 increment).

We are also designing the sending of real-time buy/sell signals (e.g. mobile notifications).

To go further, we want to decrease the latency between to decision and the market transaction.

Please contact us to encourage us or for any other help. :-) You may want machine learning prediction, customized Buy/Sell buttons or sending your orders directly... we need your feedback. ;-)

Technology

The back-end is developed in Go.

Deribit API is well documented, and the data retrieval was pretty straightforward to implement. Deribit even have an API playground, which all projects should also provide.

To support Opyn, Rainbow retrieves the options list using the TheGraph API. This is our first GraphQL client implementation in Go. We spent two days to compare and test the different solutions. We are proud to have found the GraphQL state-of-the-art in Go, based on the library https://github.com/Khan/genqlient with type-safe code generation. We also got help from the Opyn team for the query examples.

Opyn support also requires to use the 0x protocol. We have battled to correctly get the bid/ask prices from 0x API. We got some help from the 0x team to identify which API call was the most suitable. This help advances our work a lot and enables us to add, in a near future, other protocols like Thales.

To support PsyOptions, we took our first plunge in the Solana ecosystem to understand and use the Serum Go library.

See also the Go documentation: https://pkg.go.dev/github.com/teal-finance/rainbow

Next step is to implement on a proper UI that enables users to trade, based on Typescript/Vue3.

Requirements

• Go v1.17 or later
• Node v14 or later
• Yarn

Snap provides a simple way to install these requirements on many Linux distributions:

snap install go   --classic
snap install node --classic  # also installs yarn

# check
go   version
yarn versions

On Debian/Ubuntu, the command sudo apt install golang may be for an older version. You can check that with apt list --all-versions golang. If this is your case, you may install Go v1.17 using a different package name:

sudo apt remove  golang
sudo apt install golang-1.17

Build

git clone https://github.com/teal-finance/rainbow
cd rainbow

CLI

You may just use the pretty nice table printed by the command ./cli.

go build ./cmd/cli && ./cli

Back-end

The front-end requires the server API.

go build ./cmd/server && ./server

Front-end

To run the Vue3 front-end in dev mode:

cd frontend
yarn
yarn dev

Else, in prod mode, the back-end serves the web static files from frontend/dist.

cd frontend
yarn
yarn build

Finally open http://localhost:8090

Container

See also the Dockerfile for a light all-in-one container image: 30 MB.

The image contains the hardened sever executable (with dynamic library) and the front-end static files.

The container enables by default the CORS, the export ports and a rate limiter. Some of these features can be customized using environments variables.

The Dockerfile has been successfully tested with Docker-20.10.8 and Podman-3.3.1.

Command line flags

Rainbow provides a complete HTTP server, including a rate limiter, an export port (Prometheus monitoring), and more. For more details see the underlying project Teal.Finance/Garcon.

$ go build ./cmd/server
$ ./server -help
Usage of ./server:
  -addr string
        Schema and DNS used for doc URL and CORS, has precedence over MAIN_ADDR (default "http://localhost")
  -burst int
        Max requests during a burst, has precedence over REQ_BURST (default 10)
  -dev
        Run rainbow in dev. mode
  -exp int
        Export port for Prometheus, has precedence over EXP_PORT
  -opa string
        Policy files (comma-separated filenames) for the Open Policy Agent using the Datalog/Rego format
  -port int
        API port, has precedence over MAIN_PORT (default 8090)
  -rate int
        Max requests per minute, has precedence over REQ_PER_MINUTE (default 30)
  -www string
        Folder of the web static files, has precedence over WWW_DIR (default "frontend/dist")

API

/v0/options

List all the options and their order books: http://localhost:8090/v0/options

{
  "Name": "ETH-2021-10-29 23:59:59-3200-PUT",
  "Expiry": "2021-10-29 23:59:59",
  "Type": "PUT",
  "Asset": "ETH",             // ETH, BTC, SOL
  "Strike": 3200,
  "ExchangeType": "DEX",      // CEX or DEX
  "Chain": "Solana",          // Ethereum, Solana...
  "Layer": "L1",
  "Provider": "PsyOptions",   // Opyn, Lyra, Thales, Deribit, Psyoptions
  "Bid": [
    {
      "Price": 13.3,
      "Quantity": 5,
      "QuoteCurrency": "USDC" // ETH, BTC...
    },
    {
      "Price": 13.1,
      "Quantity": 10,
      "QuoteCurrency": "USDC"
    }
  ],
  "Ask": [
    {
      "Price": 15.12,
      "Quantity": 5,
      "QuoteCurrency": "USDC"
    },
    {
      "Price": 15.25,
      "Quantity": 9,
      "QuoteCurrency": "USDC"
    }
  ]
}

/v0/options/cp

List the options in Call/Put format: http://localhost:8090/v0/options/cp

Rainbow API is currently only used by its web front-end and has been influenced by the BFF pattern (Backend for Frontend pattern). This endpoints aims simplifying the front-end processing.

{ "rows":[
    { "asset": "ETH",
      "expiry": "Dec 31 08:00",
      "provider": "Deribit",
      "call": { "bid": {"px": 0.1805, "size": 24},
                "ask":  {"px": 0.183,  "size": 459},
                "other_indicators_will_be_added_soon": 0},
      "strike": 4400,
      "put": { "bid": {"px": 0.1305, "size": 26},
               "ask": {"px": 0.133, "size": 37},
               "other_indicators_will_be_added_soon": 0}
    },
    { "asset": "ETH",
      "expiry": "Dec 31 08:00",
      "provider": "Deribit",
      "call": { "bid": {"px": 0.114, "size": 258},
                "ask": {"px": 0.116,"size": 33},
                "other_indicators_will_be_added_soon": 0},
      "strike": 5200,
      "put": { "bid": {"px": 0.1235, "size": 80},
               "ask": {"px": 0, "size": 0},
               "other_indicators_will_be_added_soon": 0}
    },

  // [...]

  { "asset": "BTC",
    "expiry": "Nov 26 08:00",
    "provider": "Deribit",
    "call": { "bid": {"px":0.2045, "size":7.5},
              "ask": {"px":0.2105, "size":5.3},
              "other_indicators_will_be_added_soon":0},
    "strike":50000,
    "put": { "bid": {"px":0.0125, "size":27.2},
             "ask": {"px":0.0135, "size":70.2},
             "other_indicators_will_be_added_soon":0}}
]}