mango-explorer/bin/marketmaker

#!/usr/bin/env pyston3

import argparse
import logging
import os
import os.path
import rx
import rx.operators
import sys
import threading

from decimal import Decimal
from solana.publickey import PublicKey

sys.path.insert(0, os.path.abspath(
    os.path.join(os.path.dirname(__file__), "..")))
import mango  # nopep8
import mango.marketmaking  # nopep8
from mango.marketmaking.orderchain import chain  # nopep8
from mango.marketmaking.orderchain import chainbuilder  # nopep8

parser = argparse.ArgumentParser(description="Runs a marketmaker against a particular market.")
mango.ContextBuilder.add_command_line_parameters(parser)
mango.Wallet.add_command_line_parameters(parser)
chainbuilder.ChainBuilder.add_command_line_parameters(parser)
parser.add_argument("--market", type=str, required=True, help="market symbol to make market upon (e.g. ETH/USDC)")
parser.add_argument("--update-mode", type=mango.marketmaking.ModelUpdateMode, default=mango.marketmaking.ModelUpdateMode.POLL,
                    choices=list(mango.marketmaking.ModelUpdateMode), help="Update mode for model data - can be POLL (default) or WEBSOCKET")
parser.add_argument("--oracle-provider", type=str, required=True, help="name of the price provider to use (e.g. pyth)")
parser.add_argument("--oracle-market", type=str,
                    help="market symbol for oracle to use for pricing (e.g. ETH/USDC) - defaults to market specified in --market")
parser.add_argument("--order-type", type=mango.OrderType, default=mango.OrderType.POST_ONLY,
                    choices=list(mango.OrderType), help="Order type: LIMIT, IOC or POST_ONLY")
parser.add_argument("--existing-order-tolerance", type=Decimal, default=Decimal("0.001"),
                    help="tolerance in price and quantity when matching existing orders or cancelling/replacing")
parser.add_argument("--redeem-threshold", type=Decimal,
                    help="threshold above which liquidity incentives will be automatically moved to the account (default: no moving)")
parser.add_argument("--pulse-interval", type=int, default=10,
                    help="number of seconds between each 'pulse' of the market maker")
parser.add_argument("--event-queue-poll-interval", type=int, default=10,
                    help="number of seconds between each 'poll' of the event queue (only used if --update-mode is POLL)")
parser.add_argument("--hedge-market", type=str, help="spot market symbol to use for hedging (e.g. ETH/USDC)")
parser.add_argument("--max-price-slippage-factor", type=Decimal, default=Decimal("0.05"),
                    help="the maximum value the IOC hedging order price can slip by when hedging (default is 0.05 for 5%%)")
parser.add_argument("--account-address", type=PublicKey,
                    help="address of the specific account to use, if more than one available")
parser.add_argument("--notify-errors", type=mango.parse_subscription_target, action="append", default=[],
                    help="The notification target for error events")
parser.add_argument("--dry-run", action="store_true", default=False,
                    help="runs as read-only and does not perform any transactions")
args: argparse.Namespace = mango.parse_args(parser)

for notify in args.notify_errors:
    handler = mango.NotificationHandler(notify)
    handler.setLevel(logging.ERROR)
    logging.getLogger().addHandler(handler)


def cleanup(context: mango.Context, wallet: mango.Wallet, account: mango.Account, market: mango.Market, dry_run: bool):
    market_operations: mango.MarketOperations = mango.create_market_operations(
        context, wallet, account, market, dry_run)
    market_instruction_builder: mango.MarketInstructionBuilder = mango.create_market_instruction_builder(
        context, wallet, account, market, dry_run)
    cancels: mango.CombinableInstructions = mango.CombinableInstructions.empty()
    orders = market_operations.load_my_orders()
    for order in orders:
        cancels += market_instruction_builder.build_cancel_order_instructions(order, ok_if_missing=True)

    if len(cancels.instructions) > 0:
        logging.info(f"Cleaning up {len(cancels.instructions)} order(s).")
        signer: mango.CombinableInstructions = mango.CombinableInstructions.from_wallet(wallet)
        (signer + cancels).execute(context)
        market_operations.crank()
        market_operations.settle()


context = mango.ContextBuilder.from_command_line_parameters(args)

disposer = mango.DisposePropagator()
manager = mango.IndividualWebSocketSubscriptionManager(context)
disposer.add_disposable(manager)
health_check = mango.HealthCheck()
disposer.add_disposable(health_check)

wallet = mango.Wallet.from_command_line_parameters_or_raise(args)
group = mango.Group.load(context, context.group_address)
account = mango.Account.load_for_owner_by_address(context, wallet.address, group, args.account_address)

market = mango.load_market_by_symbol(context, args.market)

# The market index is also the index of the base token in the group's token list.
if market.quote != group.shared_quote_token.token:
    raise Exception(
        f"Group {group.name} uses shared quote token {group.shared_quote_token.token.symbol}/{group.shared_quote_token.token.mint}, but market {market.symbol} uses quote token {market.quote.symbol}/{market.quote.mint}.")

cleanup(context, wallet, account, market, args.dry_run)


if args.hedge_market is not None:
    if not isinstance(market, mango.PerpMarket):
        raise Exception(f"Cannot hedge - market {market.symbol} is not a perp market.")
    watched_market: mango.PerpMarket = market

    hedging_market_symbol = args.hedge_market.upper()
    hedging_market_stub = context.market_lookup.find_by_symbol(hedging_market_symbol)
    if hedging_market_stub is None:
        raise Exception(f"Could not find market {hedging_market_symbol}")

    hedging_market = mango.ensure_market_loaded(context, hedging_market_stub)
    if not isinstance(hedging_market, mango.SpotMarket):
        raise Exception(f"Market {hedging_market_symbol} is not a spot market.")

    logging.info(f"Hedging on {hedging_market.symbol}")

    hedging_market_operations: mango.MarketOperations = mango.create_market_operations(
        context, wallet, account, hedging_market, args.dry_run)

    perp_event_queue: mango.PerpEventQueue = mango.PerpEventQueue.load(
        context, watched_market.underlying_perp_market.event_queue, watched_market.lot_size_converter)

    event_queue_source: mango.EventSource[mango.PerpEventQueue]
    if args.update_mode == mango.marketmaking.ModelUpdateMode.WEBSOCKET:
        event_subscription = mango.WebSocketAccountSubscription(
            context, watched_market.underlying_perp_market.event_queue,
            lambda account_info: mango.PerpEventQueue.parse(account_info, watched_market.lot_size_converter))
        manager.add(event_subscription)
        health_check.add("hedger_watched_events_pong_subscription", event_subscription.pong)
        event_queue_source = event_subscription.publisher
    else:
        event_queue_observable: rx.Observable = rx.interval(args.event_queue_poll_interval).pipe(
            rx.operators.observe_on(context.create_thread_pool_scheduler()),
            rx.operators.catch(mango.observable_pipeline_error_reporter),
            rx.operators.retry(),
            rx.operators.start_with(-1),
            rx.operators.map(lambda _: mango.PerpEventQueue.load(
                context, watched_market.underlying_perp_market.event_queue, watched_market.lot_size_converter))
        )
        event_queue_source = mango.EventSource[mango.PerpEventQueue]()
        event_queue_observable.subscribe(event_queue_source)
        health_check.add("hedger_watched_events_pong_subscription", event_queue_source)

    hedger: mango.marketmaking.Hedger = mango.marketmaking.Hedger(
        context, account, watched_market, hedging_market, perp_event_queue, event_queue_source,
        hedging_market_operations, args.max_price_slippage_factor)
    disposer.add_disposable(hedger)

order_reconciler = mango.marketmaking.ToleranceOrderReconciler(
    args.existing_order_tolerance, args.existing_order_tolerance)

desired_orders_chain: chain.Chain = chainbuilder.ChainBuilder.from_command_line_parameters(args)
logging.info(f"Desired orders chain: {desired_orders_chain}")

market_instruction_builder: mango.MarketInstructionBuilder = mango.create_market_instruction_builder(
    context, wallet, account, market, args.dry_run)
market_maker = mango.marketmaking.MarketMaker(
    wallet, market, market_instruction_builder, desired_orders_chain, order_reconciler, args.redeem_threshold)

oracle_provider: mango.OracleProvider = mango.create_oracle_provider(context, args.oracle_provider)
oracle_market: mango.LoadedMarket = market if args.oracle_market is None else mango.load_market_by_symbol(
    context, args.oracle_market)
oracle = oracle_provider.oracle_for_market(context, oracle_market)
if oracle is None:
    raise Exception(f"Could not find oracle for market {oracle_market.symbol} from provider {args.oracle_provider}.")

model_state_builder: mango.marketmaking.ModelStateBuilder = mango.marketmaking.model_state_builder_factory(
    args.update_mode, context, disposer, manager, health_check, wallet, group, account, market, oracle)

health_check.add("marketmaker_pulse", market_maker.pulse_complete)

logging.info(f"Current assets in account {account.address} (owner: {account.owner}):")
mango.TokenValue.report([asset for asset in account.net_assets if asset is not None], logging.info)

manager.open()

pulse_disposable = rx.interval(args.pulse_interval).pipe(
    rx.operators.observe_on(context.create_thread_pool_scheduler()),
    rx.operators.start_with(-1),
    rx.operators.catch(mango.observable_pipeline_error_reporter),
    rx.operators.retry()
).subscribe(
    on_next=lambda _: market_maker.pulse(context, model_state_builder.build(context)))
disposer.add_disposable(pulse_disposable)

# Wait - don't exit. Exiting will be handled by signals/interrupts.
waiter = threading.Event()
try:
    waiter.wait()
except:
    pass

logging.info("Shutting down...")
disposer.dispose()
cleanup(context, wallet, account, market, args.dry_run)
logging.info("Shutdown complete.")