mango-explorer/mango/marketmaking/confidenceintervaldesiredordersbuilder.py

# # ⚠ Warning
#
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
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import logging
import mango
import typing

from decimal import Decimal

from .desiredordersbuilder import DesiredOrdersBuilder
from .modelstate import ModelState


# # 🥭 ConfidenceIntervalDesiredOrdersBuilder class
#
# Builds orders using a fixed position size ratio but with a spread based on the confidence in the oracle price.
#

class ConfidenceIntervalDesiredOrdersBuilder(DesiredOrdersBuilder):
    def __init__(self, position_size_ratio: Decimal, min_price_ratio: Decimal, confidence_weighting: Decimal = Decimal(2), order_type: mango.OrderType = mango.OrderType.POST_ONLY):
        self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
        self.position_size_ratio: Decimal = position_size_ratio
        self.min_price_ratio: Decimal = min_price_ratio
        self.confidence_weighting: Decimal = confidence_weighting
        self.order_type: mango.OrderType = order_type

    def build(self, context: mango.Context, model_state: ModelState) -> typing.Sequence[mango.Order]:
        price: mango.Price = model_state.price
        if price.source.supports & mango.SupportedOracleFeature.CONFIDENCE == 0:
            raise Exception(f"Price does not support confidence interval: {price}")

        base_tokens: mango.TokenValue = model_state.inventory.base
        quote_tokens: mango.TokenValue = model_state.inventory.quote

        total = (base_tokens.value * price.mid_price) + quote_tokens.value
        quote_value_to_risk = total * self.position_size_ratio
        base_position_size = quote_value_to_risk / price.mid_price

        # From Daffy on 26th July 2021: max(pyth_conf * 2, price * min_charge)
        # (Private chat link: https://discord.com/channels/@me/832570058861314048/869208592648134666)
        charge = max(price.confidence * self.confidence_weighting, price.mid_price * self.min_price_ratio)
        bid: Decimal = price.mid_price - charge
        ask: Decimal = price.mid_price + charge

        orders: typing.List[mango.Order] = [
            mango.Order.from_basic_info(mango.Side.BUY, price=bid,
                                        quantity=base_position_size, order_type=self.order_type),
            mango.Order.from_basic_info(mango.Side.SELL, price=ask,
                                        quantity=base_position_size, order_type=self.order_type)
        ]

        return orders

    def __str__(self) -> str:
        return f"« 𝙲𝚘𝚗𝚏𝚒𝚍𝚎𝚗𝚌𝚎𝙸𝚗𝚝𝚎𝚛𝚟𝚊𝚕𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛𝚜𝙱𝚞𝚒𝚕𝚍𝚎𝚛 {self.order_type} - position size: {self.position_size_ratio}, min charge: {self.min_price_ratio}, confidence weighting: {self.confidence_weighting} »"