70 lines
3.4 KiB
Python
70 lines
3.4 KiB
Python
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# # ⚠ Warning
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
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# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
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# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
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# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
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#
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# [🥭 Mango Markets](https://mango.markets/) support is available at:
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# [Docs](https://docs.mango.markets/)
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# [Discord](https://discord.gg/67jySBhxrg)
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# [Twitter](https://twitter.com/mangomarkets)
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# [Github](https://github.com/blockworks-foundation)
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# [Email](mailto:hello@blockworks.foundation)
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import logging
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import traceback
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from decimal import Decimal
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from solana.publickey import PublicKey
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from .context import Context
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from .orders import Side, OrderType, Order
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from .marketoperations import MarketOperations
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from .perpeventqueue import PerpFillEvent
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# # 🥭 PerpHedger class
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#
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# A `PerpHedger` takes a `PerpFill` event and tries to hedge (apply the reverse trade) on the spot market.
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#
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class PerpHedger:
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def __init__(self, own_address: PublicKey, hedge_market_operations: MarketOperations, max_price_slippage_factor: Decimal):
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self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
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self.own_address: PublicKey = own_address
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self.hedge_market_operations: MarketOperations = hedge_market_operations
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self.buy_price_adjustment_factor: Decimal = Decimal("1") + max_price_slippage_factor
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self.sell_price_adjustment_factor: Decimal = Decimal("1") - max_price_slippage_factor
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self.hedging_on: str = self.hedge_market_operations.market.symbol
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def hedge(self, context: Context, fill_event: PerpFillEvent) -> Order:
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side: Side
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if fill_event.taker == self.own_address:
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opposite_side: Side = Side.BUY if fill_event.taker_side == Side.SELL else Side.SELL
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side = opposite_side
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else:
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# We were the opposite side in the filled trade, so to hedge we want to be the side the taker just took.
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side = fill_event.taker_side
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up_or_down: str = "up to" if side == Side.BUY else "down to"
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price_adjustment_factor: Decimal = self.sell_price_adjustment_factor if side == Side.SELL else self.buy_price_adjustment_factor
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adjusted_price: Decimal = fill_event.price * price_adjustment_factor
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quantity: Decimal = fill_event.quantity
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order: Order = Order.from_basic_info(side, adjusted_price, fill_event.quantity, OrderType.IOC)
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self.logger.info(
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f"Hedging perp {fill_event.taker_side} ({fill_event.maker_order_id}) of {fill_event.quantity:,.8f} at {fill_event.price:,.8f} with {side} of {quantity:,.8f} at {up_or_down} {adjusted_price:,.8f} on {self.hedging_on}\n\t{order}")
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try:
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self.hedge_market_operations.place_order(order)
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except Exception:
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self.logger.error(
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f"[{context.name}] Failed to hedge on {self.hedging_on} using order {order} - {traceback.format_exc()}")
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return order
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def __str__(self) -> str:
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return f"""« 𝙿𝚎𝚛𝚙𝙷𝚎𝚍𝚐𝚎𝚛 hedging on '{self.hedging_on}' [BUY * {self.buy_price_adjustment_factor} / SELL * {self.sell_price_adjustment_factor}] »"""
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def __repr__(self) -> str:
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return f"{self}"
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