mango-explorer/mango/tradeexecutor.py

# # ⚠ 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 abc
import logging
import typing

import spl.token.instructions as spl_token

from decimal import Decimal
from pyserum.enums import OrderType, Side
from pyserum.market import Market
from solana.publickey import PublicKey

from .combinableinstructions import CombinableInstructions
from .context import Context
from .instructions import build_compound_serum_place_order_instructions, build_create_serum_open_orders_instructions
from .retrier import retry_context
from .spotmarket import SpotMarket
from .tokenaccount import TokenAccount
from .wallet import Wallet


# # 🥭 TradeExecutor
#
# This file deals with executing trades. We want the interface to be as simple as:
# ```
# trade_executor.buy("ETH", 2.5)
# ```
# but this (necessarily) masks a great deal of complexity. The aim is to keep the complexity
# around trades within these `TradeExecutor` classes.
#

# # 🥭 TradeExecutor class
#
# This abstracts the process of placing trades, based on our typed objects.
#
# It's abstracted because we may want to have different approaches to executing these
# trades - do we want to run them against the Serum orderbook? Would it be faster if we
# ran them against Raydium?
#
# Whichever choice is made, the calling code shouldn't have to care. It should be able to
# use its `TradeExecutor` class as simply as:
# ```
# trade_executor.buy("ETH", 2.5)
# ```
#

class TradeExecutor(metaclass=abc.ABCMeta):
    def __init__(self):
        self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)

    @abc.abstractmethod
    def buy(self, symbol: str, quantity: Decimal) -> typing.Sequence[str]:
        raise NotImplementedError("TradeExecutor.buy() is not implemented on the base type.")

    @abc.abstractmethod
    def sell(self, symbol: str, quantity: Decimal) -> typing.Sequence[str]:
        raise NotImplementedError("TradeExecutor.sell() is not implemented on the base type.")


# # 🥭 NullTradeExecutor class
#
# A null, no-op, dry-run trade executor that can be plugged in anywhere a `TradeExecutor`
# is expected, but which will not actually trade.
#

class NullTradeExecutor(TradeExecutor):
    def __init__(self, reporter: typing.Callable[[str], None] = None):
        super().__init__()
        self.reporter = reporter or (lambda _: None)

    def buy(self, symbol: str, quantity: Decimal):
        self.logger.info(f"Skipping BUY trade of {quantity:,.8f} of '{symbol}'.")
        self.reporter(f"Skipping BUY trade of {quantity:,.8f} of '{symbol}'.")

    def sell(self, symbol: str, quantity: Decimal):
        self.logger.info(f"Skipping SELL trade of {quantity:,.8f} of '{symbol}'.")
        self.reporter(f"Skipping SELL trade of {quantity:,.8f} of '{symbol}'.")


# # 🥭 SerumImmediateTradeExecutor class
#
# This class puts an IOC trade on the Serum orderbook with the expectation it will be filled
# immediately. It uses the build_compound_serum_place_order_instructions function which follows
# the pattern described here:
#   https://solanadev.blogspot.com/2021/05/order-techniques-with-project-serum.html
#
# Basically, it tries to send to a 'market buy/sell' and settle all in one transaction.
#
# It also creates the Serum OpenOrders account for the transaction if it doesn't
# already exist.
#
# The SerumImmediateTradeExecutor constructor takes a `price_adjustment_factor` to allow
# moving the price it is willing to pay away from the mid-price. Testing shows the price is
# filled at the orderbook price if the price we specify is worse, so it looks like it's
# possible to be quite liberal with this adjustment. In a live test:
# * Original wallet USDT value was 342.8606.
# * `price_adjustment_factor` was 0.05.
# * ETH price was 2935.14 USDT (on 2021-05-02).
# * Adjusted price was 3081.897 USDT, adjusted by 1.05 from 2935.14
# * Buying 0.1 ETH specifying 3081.897 as the price resulted in:
#   * Buying 0.1 ETH
#   * Spending 294.1597 USDT
# * After settling, the wallet should hold 342.8606 USDT - 294.1597 USDT = 48.7009 USDT
# * The wallet did indeed hold 48.7009 USDT
#
# So: the specified BUY price of 3081.897 USDT was taken as a maximum, and orders were taken
# from the orderbook starting at the current cheapest, until the order was filled or (I'm
# assuming) the price exceeded the price specified.
#


class SerumImmediateTradeExecutor(TradeExecutor):
    def __init__(self, context: Context, wallet: Wallet, price_adjustment_factor: Decimal = Decimal(0), reporter: typing.Callable[[str], None] = None):
        super().__init__()
        self.context: Context = context
        self.wallet: Wallet = wallet
        self.price_adjustment_factor: Decimal = price_adjustment_factor
        self._serum_fee_discount_token_address: typing.Optional[PublicKey] = None
        self._serum_fee_discount_token_address_loaded: bool = False

        def report(text):
            self.logger.info(text)
            reporter(text)

        def just_log(text):
            self.logger.info(text)

        if reporter is not None:
            self.reporter = report
        else:
            self.reporter = just_log

    @property
    def serum_fee_discount_token_address(self) -> typing.Optional[PublicKey]:
        if self._serum_fee_discount_token_address_loaded:
            return self._serum_fee_discount_token_address

        # SRM is always the token Serum uses for fee discounts
        token = self.context.token_lookup.find_by_symbol("SRM")
        if token is None:
            raise Exception("Could not load token details for SRM")

        fee_discount_token_account = TokenAccount.fetch_largest_for_owner_and_token(
            self.context, self.wallet.address, token)
        if fee_discount_token_account is not None:
            self._serum_fee_discount_token_address = fee_discount_token_account.address

        self._serum_fee_discount_token_address_loaded = True
        return self._serum_fee_discount_token_address

    def buy(self, symbol: str, quantity: Decimal) -> typing.Sequence[str]:
        spot_market = self._lookup_spot_market(symbol)
        market = Market.load(self.context.client, spot_market.address)
        self.reporter(f"BUY order market: {spot_market.address} {market}")

        asks = market.load_asks()
        top_ask = next(asks.orders())
        top_price = Decimal(top_ask.info.price)
        increase_factor = Decimal(1) + self.price_adjustment_factor
        price = top_price * increase_factor
        self.reporter(f"Price {price} - adjusted by {self.price_adjustment_factor} from {top_price}")

        return self._execute(
            spot_market,
            market,
            Side.BUY,
            price,
            quantity
        )

    def sell(self, symbol: str, quantity: Decimal) -> typing.Sequence[str]:
        spot_market = self._lookup_spot_market(symbol)
        market = Market.load(self.context.client, spot_market.address)
        self.reporter(f"SELL order market: {spot_market.address} {market}")

        bids = market.load_bids()
        bid_orders = list(bids.orders())
        top_bid = bid_orders[len(bid_orders) - 1]
        top_price = Decimal(top_bid.info.price)
        decrease_factor = Decimal(1) - self.price_adjustment_factor
        price = top_price * decrease_factor
        self.reporter(f"Price {price} - adjusted by {self.price_adjustment_factor} from {top_price}")

        return self._execute(
            spot_market,
            market,
            Side.SELL,
            price,
            quantity
        )

    def _execute(self, spot_market: SpotMarket, market: Market, side: Side, price: Decimal, quantity: Decimal) -> typing.Sequence[str]:
        all_instructions: CombinableInstructions = CombinableInstructions.from_wallet(self.wallet)

        base_token_account = TokenAccount.fetch_largest_for_owner_and_token(
            self.context, self.wallet.address, spot_market.base)
        if base_token_account is None:
            create_base_token_account = spl_token.create_associated_token_account(
                payer=self.wallet.address, owner=self.wallet.address, mint=spot_market.base.mint
            )
            all_instructions += CombinableInstructions.from_instruction(create_base_token_account)
            base_token_account_address = create_base_token_account.keys[1].pubkey
        else:
            base_token_account_address = base_token_account.address

        quote_token_account = TokenAccount.fetch_largest_for_owner_and_token(
            self.context, self.wallet.address, spot_market.quote)
        if quote_token_account is None:
            create_quote_token_account = spl_token.create_associated_token_account(
                payer=self.wallet.address, owner=self.wallet.address, mint=spot_market.quote.mint
            )
            all_instructions += CombinableInstructions.from_instruction(create_quote_token_account)
            quote_token_account_address = create_quote_token_account.keys[1].pubkey
        else:
            quote_token_account_address = quote_token_account.address

        if side == Side.BUY:
            source_token_account_address = quote_token_account_address
        else:
            source_token_account_address = base_token_account_address

        open_order_accounts = market.find_open_orders_accounts_for_owner(self.wallet.address)
        if not open_order_accounts:
            create_open_orders = build_create_serum_open_orders_instructions(self.context, self.wallet, market)
            all_instructions += create_open_orders
            open_orders_address: PublicKey = create_open_orders.signers[0].public_key()
            open_orders_addresses: typing.List[PublicKey] = [open_orders_address]
        else:
            open_orders_address = open_order_accounts[0].address
            open_orders_addresses = list(oo.address for oo in open_order_accounts)

        client_id = self.context.random_client_id()
        place_order_instructions = build_compound_serum_place_order_instructions(self.context, self.wallet, market, source_token_account_address, open_orders_address,
                                                                                 open_orders_addresses, OrderType.IOC, side, price, quantity, client_id, base_token_account_address, quote_token_account_address, self.serum_fee_discount_token_address)
        all_instructions += place_order_instructions
        with retry_context("Place Serum Order And Settle", all_instructions.execute_and_unwrap_transaction_ids, self.context.retry_pauses) as retrier:
            return retrier.run(self.context)

    def _lookup_spot_market(self, symbol: str) -> SpotMarket:
        spot_market = self.context.market_lookup.find_by_symbol(symbol)
        if spot_market is None:
            raise Exception(f"Spot market '{symbol}' could not be found.")

        if not isinstance(spot_market, SpotMarket):
            raise Exception(f"Spot market '{symbol}' is not a Serum market.")

        self.logger.info(f"Base token: {spot_market.base}")
        self.logger.info(f"Quote token: {spot_market.quote}")

        return spot_market

    def __str__(self) -> str:
        return f"""« SerumImmediateTradeExecutor [{self.price_adjustment_factor}] »"""

    def __repr__(self) -> str:
        return f"{self}"