Added MaximumQuantityElement and MinimumQuantityElement.

.envrc

@@ -2,3 +2,36 @@ CURRENT_DIRECTORY="$( cd "$( dirname "${BASH_SOURCE[0]}" )" && pwd )"
 
 export PATH=$PATH:$CURRENT_DIRECTORY/bin:$CURRENT_DIRECTORY/scripts
 
+# Automatically set up our virtual environment in .venv (same as poetry is configured to use).
+# From: https://github.com/direnv/direnv/wiki/Python
+realpath() {
+    [[ $1 = /* ]] && echo "$1" || echo "$PWD/${1#./}"
+}
+layout_python-venv() {
+    local python=${1:-python3}
+    [[ $# -gt 0 ]] && shift
+    unset PYTHONHOME
+    if [[ -n $VIRTUAL_ENV ]]; then
+        VIRTUAL_ENV=$(realpath "${VIRTUAL_ENV}")
+    else
+        local python_version
+        python_version=$("$python" -c "import platform; print(platform.python_version())")
+        if [[ -z $python_version ]]; then
+            log_error "Could not detect Python version"
+            return 1
+        fi
+        VIRTUAL_ENV=$PWD/.direnv/python-venv-$python_version
+    fi
+    export VIRTUAL_ENV
+    if [[ ! -d $VIRTUAL_ENV ]]; then
+        log_status "no venv found; creating $VIRTUAL_ENV"
+        "$python" -m venv "$VIRTUAL_ENV"
+    fi
+
+    PATH="${VIRTUAL_ENV}/bin:${PATH}"
+    export PATH
+}
+
+export VIRTUAL_ENV=.venv
+
+layout python-venv

docs/MarketmakingOrderChain.md

@@ -237,6 +237,26 @@ The result is if you specify `--fixedspread-value 2 --fixedspread-value 4` the B
 Note that one consequence of this processing of `Order`s is that the orders returned from this `Element` may be in a different sort-order to the orders that were sent to it.
 
 
+### `MaximumQuantityElement`
+
+> Specified using: `--chain maximumquantity`
+
+> Accepts parameter: `--maximumquantity-size`
+
+> Accepts parameter: `--maximumquantity-remove`
+
+Ensures orders' quantities are always less than the maximum. Will either:
+* Remove the order if the position size is too high, or
+* Set the too-high position size to the permitted maximum
+
+This `Element` examines every order to make sure the order quantity is less than or equal to the `--maximumquantity-size`. If it is less, this `Element` takes no further action on it.
+
+If the order quantity is greater than `--maximumquantity-size`, then either:
+
+1. (default) the order quantity will be reduced to the value specified by `--maximumquantity-size`.
+2. (if `--maximumquantity-remove` is specified) the order will be removed from further processing and so will not be placed.
+
+
 ### `MinimumChargeElement`
 
 > Specified using: `--chain minimumcharge`
@@ -267,6 +287,26 @@ The result is if you specify `--minimumcharge-ratio 2 --minimumcharge-ratio 4` t
 Note that one consequence of this processing of `Order`s is that the orders returned from this `Element` may be in a different sort-order to the orders that were sent to it.
 
 
+### `MinimumQuantityElement`
+
+> Specified using: `--chain minimumquantity`
+
+> Accepts parameter: `--minimumquantity-size`
+
+> Accepts parameter: `--minimumquantity-remove`
+
+Ensures orders' quantities are always greater than the minimum. Will either:
+* Remove the order if the position size is too low, or
+* Set the too-low position size to the permitted minimum
+
+This `Element` examines every order to make sure the order quantity is greater than or equal to the `--minimumquantity-size`. If it is greater, this `Element` takes no further action on it.
+
+If the order quantity is less than `--minimumquantity-size`, then either:
+
+1. (default) the order quantity will be increased to the value specified by `--minimumquantity-size`.
+2. (if `--minimumquantity-remove` is specified) the order will be removed from further processing and so will not be placed.
+
+
 ### `PreventPostOnlyCrossingBookElement`
 
 > Specified using `--chain preventpostonlycrossingbook`

mango/marketmaking/orderchain/afteraccumulateddepthelement.py

@@ -14,7 +14,6 @@
 #   [Email](mailto:hello@blockworks.foundation)
 
 import argparse
-
 import mango
 import typing
 

mango/marketmaking/orderchain/chainbuilder.py

@@ -24,6 +24,8 @@ from .confidenceintervalelement import ConfidenceIntervalElement
 from .element import Element
 from .fixedpositionsizeelement import FixedPositionSizeElement
 from .fixedspreadelement import FixedSpreadElement
+from .maximumquantityelement import MaximumQuantityElement
+from .minimumquantityelement import MinimumQuantityElement
 from .minimumchargeelement import MinimumChargeElement
 from .preventpostonlycrossingbookelement import PreventPostOnlyCrossingBookElement
 from .quotesinglesideelement import QuoteSingleSideElement
@@ -59,6 +61,8 @@ class ChainBuilder:
         ConfidenceIntervalElement.add_command_line_parameters(parser)
         FixedSpreadElement.add_command_line_parameters(parser)
         FixedPositionSizeElement.add_command_line_parameters(parser)
+        MaximumQuantityElement.add_command_line_parameters(parser)
+        MinimumQuantityElement.add_command_line_parameters(parser)
         MinimumChargeElement.add_command_line_parameters(parser)
         PreventPostOnlyCrossingBookElement.add_command_line_parameters(parser)
         QuoteSingleSideElement.add_command_line_parameters(parser)
@@ -100,8 +104,12 @@ class ChainBuilder:
             return FixedSpreadElement.from_command_line_parameters(args)
         elif proper_name == "FIXEDPOSITIONSIZE":
             return FixedPositionSizeElement.from_command_line_parameters(args)
+        elif proper_name == "MAXIMUMQUANTITY":
+            return MaximumQuantityElement.from_command_line_parameters(args)
         elif proper_name == "MINIMUMCHARGE":
             return MinimumChargeElement.from_command_line_parameters(args)
+        elif proper_name == "MINIMUMQUANTITY":
+            return MinimumQuantityElement.from_command_line_parameters(args)
         elif proper_name == "PREVENTPOSTONLYCROSSINGBOOK":
             return PreventPostOnlyCrossingBookElement.from_command_line_parameters(args)
         elif proper_name == "QUOTESINGLESIDE":

mango/marketmaking/orderchain/maximumquantityelement.py

@@ -0,0 +1,69 @@
+# # ⚠ Warning
+#
+# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
+# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
+# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
+# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
+# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+#
+# [🥭 Mango Markets](https://mango.markets/) support is available at:
+#   [Docs](https://docs.mango.markets/)
+#   [Discord](https://discord.gg/67jySBhxrg)
+#   [Twitter](https://twitter.com/mangomarkets)
+#   [Github](https://github.com/blockworks-foundation)
+#   [Email](mailto:hello@blockworks.foundation)
+
+import argparse
+import mango
+import typing
+
+from decimal import Decimal
+
+from .element import Element
+from ...modelstate import ModelState
+
+
+# # 🥭 MaximumQuantityElement class
+#
+# Ensures orders' quantities are always less than the maximum. Will either:
+# * Remove the order if the position size is too high, or
+# * Set the too-high position size to the permitted maximum
+#
+class MaximumQuantityElement(Element):
+    def __init__(self, maximum_quantity: Decimal, remove: bool = False) -> None:
+        super().__init__()
+        self.maximum_quantity: Decimal = maximum_quantity
+        self.remove: bool = remove
+
+    @staticmethod
+    def add_command_line_parameters(parser: argparse.ArgumentParser) -> None:
+        parser.add_argument("--maximumquantity-size", type=Decimal, default=Decimal(1),
+                            help="the maximum permitted order quantity")
+        parser.add_argument("--maximumquantity-remove", action="store_true", default=False,
+                            help="remove an order that has too big a quantity (default is to reduce order quantity to maximum)")
+
+    @staticmethod
+    def from_command_line_parameters(args: argparse.Namespace) -> "MaximumQuantityElement":
+        return MaximumQuantityElement(args.maximumquantity_size, args.maximumquantity_remove)
+
+    def process(self, context: mango.Context, model_state: ModelState, orders: typing.Sequence[mango.Order]) -> typing.Sequence[mango.Order]:
+        new_orders: typing.List[mango.Order] = []
+        for order in orders:
+            if order.quantity < self.maximum_quantity:
+                new_orders += [order]
+            else:
+                if self.remove:
+                    self.logger.debug(f"""Order change - order quantity is greater than maximum of {self.maximum_quantity} so removing:
+    Old: {order}
+    New: None""")
+                else:
+                    new_order: mango.Order = order.with_quantity(self.maximum_quantity)
+                    self.logger.debug(f"""Order change - order quantity is greater than maximum of {self.maximum_quantity} so changing order quantity to {self.maximum_quantity}:
+    Old: {order}
+    New: {new_order}""")
+                    new_orders += [new_order]
+
+        return new_orders
+
+    def __str__(self) -> str:
+        return f"« 𝙼𝚊𝚡𝚒𝚖𝚞𝚖𝚀𝚞𝚊𝚗𝚝𝚒𝚝𝚢𝙴𝚕𝚎𝚖𝚎𝚗𝚝 [maximum quantity: {self.maximum_quantity}, remove: {self.remove}] »"

mango/marketmaking/orderchain/minimumquantityelement.py

@@ -0,0 +1,69 @@
+# # ⚠ Warning
+#
+# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
+# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
+# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
+# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
+# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+#
+# [🥭 Mango Markets](https://mango.markets/) support is available at:
+#   [Docs](https://docs.mango.markets/)
+#   [Discord](https://discord.gg/67jySBhxrg)
+#   [Twitter](https://twitter.com/mangomarkets)
+#   [Github](https://github.com/blockworks-foundation)
+#   [Email](mailto:hello@blockworks.foundation)
+
+import argparse
+import mango
+import typing
+
+from decimal import Decimal
+
+from .element import Element
+from ...modelstate import ModelState
+
+
+# # 🥭 MinimumQuantityElement class
+#
+# Ensures orders' quantities are always greater than the minimum. Will either:
+# * Remove the order if the position size is too low, or
+# * Set the too-low position size to the permitted minimum
+#
+class MinimumQuantityElement(Element):
+    def __init__(self, minimum_quantity: Decimal, remove: bool = False) -> None:
+        super().__init__()
+        self.minimum_quantity: Decimal = minimum_quantity
+        self.remove: bool = remove
+
+    @staticmethod
+    def add_command_line_parameters(parser: argparse.ArgumentParser) -> None:
+        parser.add_argument("--minimumquantity-size", type=Decimal, default=Decimal(1),
+                            help="the minimum permitted quantity")
+        parser.add_argument("--minimumquantity-remove", action="store_true", default=False,
+                            help="remove an order that has too small a quantity (default is to increase order quantity to minimum)")
+
+    @staticmethod
+    def from_command_line_parameters(args: argparse.Namespace) -> "MinimumQuantityElement":
+        return MinimumQuantityElement(args.minimumquantity_size, args.minimumquantity_remove)
+
+    def process(self, context: mango.Context, model_state: ModelState, orders: typing.Sequence[mango.Order]) -> typing.Sequence[mango.Order]:
+        new_orders: typing.List[mango.Order] = []
+        for order in orders:
+            if order.quantity > self.minimum_quantity:
+                new_orders += [order]
+            else:
+                if self.remove:
+                    self.logger.debug(f"""Order change - order quantity is less than minimum of {self.minimum_quantity} so removing:
+    Old: {order}
+    New: None""")
+                else:
+                    new_order: mango.Order = order.with_quantity(self.minimum_quantity)
+                    self.logger.debug(f"""Order change - order quantity is less than minimum of {self.minimum_quantity} so changing order quantity to {self.minimum_quantity}:
+    Old: {order}
+    New: {new_order}""")
+                    new_orders += [new_order]
+
+        return new_orders
+
+    def __str__(self) -> str:
+        return f"« 𝙼𝚒𝚗𝚒𝚖𝚞𝚖𝚀𝚞𝚊𝚗𝚝𝚒𝚝𝚢𝙴𝚕𝚎𝚖𝚎𝚗𝚝 [minimum quantity: {self.minimum_quantity}, remove: {self.remove}] »"

mango/marketmaking/orderchain/topofbookelement.py

@@ -14,7 +14,6 @@
 #   [Email](mailto:hello@blockworks.foundation)
 
 import argparse
-
 import mango
 import typing
 

tests/marketmaking/orderchain/test_maximumpositionsizeelement.py

@@ -0,0 +1,98 @@
+import argparse
+import typing
+
+from ...context import mango
+from ...fakes import fake_context, fake_model_state, fake_order
+
+from decimal import Decimal
+
+from mango.marketmaking.orderchain.maximumquantityelement import MaximumQuantityElement
+
+bids: typing.Sequence[mango.Order] = [
+    fake_order(price=Decimal(78), quantity=Decimal(1), side=mango.Side.BUY),
+    fake_order(price=Decimal(77), quantity=Decimal(2), side=mango.Side.BUY),
+    fake_order(price=Decimal(76), quantity=Decimal(1), side=mango.Side.BUY),
+    fake_order(price=Decimal(75), quantity=Decimal(5), side=mango.Side.BUY),
+    fake_order(price=Decimal(74), quantity=Decimal(3), side=mango.Side.BUY),
+    fake_order(price=Decimal(73), quantity=Decimal(7), side=mango.Side.BUY)
+]
+asks: typing.Sequence[mango.Order] = [
+    fake_order(price=Decimal(82), quantity=Decimal(3), side=mango.Side.SELL),
+    fake_order(price=Decimal(83), quantity=Decimal(1), side=mango.Side.SELL),
+    fake_order(price=Decimal(84), quantity=Decimal(1), side=mango.Side.SELL),
+    fake_order(price=Decimal(85), quantity=Decimal(3), side=mango.Side.SELL),
+    fake_order(price=Decimal(86), quantity=Decimal(3), side=mango.Side.SELL),
+    fake_order(price=Decimal(87), quantity=Decimal(7), side=mango.Side.SELL)
+]
+orderbook: mango.OrderBook = mango.OrderBook("TEST", bids, asks)
+model_state = fake_model_state(orderbook=orderbook)
+
+
+def test_from_args() -> None:
+    args: argparse.Namespace = argparse.Namespace(
+        maximumquantity_size=Decimal(7),
+        maximumquantity_remove=True)
+    actual: MaximumQuantityElement = MaximumQuantityElement.from_command_line_parameters(args)
+    assert actual is not None
+    assert actual.maximum_quantity == 7
+    assert actual.remove
+
+
+def test_low_buy_not_updated() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(75), quantity=Decimal(7), side=mango.Side.BUY)
+
+    actual: MaximumQuantityElement = MaximumQuantityElement(Decimal(10))
+    result = actual.process(context, model_state, [order])
+
+    assert result[0] == order
+
+
+def test_high_buy_updated() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(75), quantity=Decimal(17), side=mango.Side.BUY)
+
+    actual: MaximumQuantityElement = MaximumQuantityElement(Decimal(10))
+    result = actual.process(context, model_state, [order])
+
+    assert result[0].quantity == 10
+
+
+def test_high_buy_removed() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(75), quantity=Decimal(17), side=mango.Side.BUY)
+
+    actual: MaximumQuantityElement = MaximumQuantityElement(Decimal(10), True)
+    result = actual.process(context, model_state, [order])
+
+    assert len(result) == 0
+
+
+def test_low_sell_not_updated() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(85), quantity=Decimal(6), side=mango.Side.SELL)
+
+    actual: MaximumQuantityElement = MaximumQuantityElement(Decimal(10))
+    result = actual.process(context, model_state, [order])
+
+    assert result[0] == order
+
+
+def test_high_sell_updated() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(85), quantity=Decimal(16), side=mango.Side.SELL)
+
+    actual: MaximumQuantityElement = MaximumQuantityElement(Decimal(10))
+    result = actual.process(context, model_state, [order])
+
+    assert result[0].quantity == 10
+
+
+def test_high_sell_removed() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(85), quantity=Decimal(16), side=mango.Side.SELL)
+
+    actual: MaximumQuantityElement = MaximumQuantityElement(Decimal(10), True)
+    result = actual.process(context, model_state, [order])
+
+    assert len(result) == 0

tests/marketmaking/orderchain/test_minimumpositionsizeelement.py

@@ -0,0 +1,98 @@
+import argparse
+import typing
+
+from ...context import mango
+from ...fakes import fake_context, fake_model_state, fake_order
+
+from decimal import Decimal
+
+from mango.marketmaking.orderchain.minimumquantityelement import MinimumQuantityElement
+
+bids: typing.Sequence[mango.Order] = [
+    fake_order(price=Decimal(78), quantity=Decimal(1), side=mango.Side.BUY),
+    fake_order(price=Decimal(77), quantity=Decimal(2), side=mango.Side.BUY),
+    fake_order(price=Decimal(76), quantity=Decimal(1), side=mango.Side.BUY),
+    fake_order(price=Decimal(75), quantity=Decimal(5), side=mango.Side.BUY),
+    fake_order(price=Decimal(74), quantity=Decimal(3), side=mango.Side.BUY),
+    fake_order(price=Decimal(73), quantity=Decimal(7), side=mango.Side.BUY)
+]
+asks: typing.Sequence[mango.Order] = [
+    fake_order(price=Decimal(82), quantity=Decimal(3), side=mango.Side.SELL),
+    fake_order(price=Decimal(83), quantity=Decimal(1), side=mango.Side.SELL),
+    fake_order(price=Decimal(84), quantity=Decimal(1), side=mango.Side.SELL),
+    fake_order(price=Decimal(85), quantity=Decimal(3), side=mango.Side.SELL),
+    fake_order(price=Decimal(86), quantity=Decimal(3), side=mango.Side.SELL),
+    fake_order(price=Decimal(87), quantity=Decimal(7), side=mango.Side.SELL)
+]
+orderbook: mango.OrderBook = mango.OrderBook("TEST", bids, asks)
+model_state = fake_model_state(orderbook=orderbook)
+
+
+def test_from_args() -> None:
+    args: argparse.Namespace = argparse.Namespace(
+        minimumquantity_size=Decimal(7),
+        minimumquantity_remove=True)
+    actual: MinimumQuantityElement = MinimumQuantityElement.from_command_line_parameters(args)
+    assert actual is not None
+    assert actual.minimum_quantity == 7
+    assert actual.remove
+
+
+def test_high_buy_not_updated() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(75), quantity=Decimal(20), side=mango.Side.BUY)
+
+    actual: MinimumQuantityElement = MinimumQuantityElement(Decimal(10))
+    result = actual.process(context, model_state, [order])
+
+    assert result[0] == order
+
+
+def test_low_buy_updated() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(75), quantity=Decimal(7), side=mango.Side.BUY)
+
+    actual: MinimumQuantityElement = MinimumQuantityElement(Decimal(10))
+    result = actual.process(context, model_state, [order])
+
+    assert result[0].quantity == 10
+
+
+def test_low_buy_removed() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(75), quantity=Decimal(7), side=mango.Side.BUY)
+
+    actual: MinimumQuantityElement = MinimumQuantityElement(Decimal(10), True)
+    result = actual.process(context, model_state, [order])
+
+    assert len(result) == 0
+
+
+def test_high_sell_not_updated() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(85), quantity=Decimal(16), side=mango.Side.SELL)
+
+    actual: MinimumQuantityElement = MinimumQuantityElement(Decimal(10))
+    result = actual.process(context, model_state, [order])
+
+    assert result[0] == order
+
+
+def test_low_sell_updated() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(85), quantity=Decimal(6), side=mango.Side.SELL)
+
+    actual: MinimumQuantityElement = MinimumQuantityElement(Decimal(10))
+    result = actual.process(context, model_state, [order])
+
+    assert result[0].quantity == 10
+
+
+def test_low_sell_removed() -> None:
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(85), quantity=Decimal(6), side=mango.Side.SELL)
+
+    actual: MinimumQuantityElement = MinimumQuantityElement(Decimal(10), True)
+    result = actual.process(context, model_state, [order])
+
+    assert len(result) == 0

tests/marketmaking/orderchain/test_topofbookelement.py

@@ -55,7 +55,7 @@ def test_ask_price_updated() -> None:
     assert result[0].price == 81
 
 
-def test_accumulation_ignores_own_orders_updated() -> None:
+def test_top_check_ignores_own_orders_updated() -> None:
     order_owner: PublicKey = fake_seeded_public_key("order owner")
     bids: typing.Sequence[mango.Order] = [
         fake_order(price=Decimal(78), quantity=Decimal(1), side=mango.Side.BUY).with_owner(order_owner),