71 lines
3.5 KiB
Python
71 lines
3.5 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 mango
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import typing
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from decimal import Decimal
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from .element import Element
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from ..modelstate import ModelState
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# # 🥭 ConfidenceIntervalSpreadElement class
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#
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# Ignores any input `Order`s (so probably best at the head of the chain). Builds orders using a fixed position
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# size ratio but with a spread based on the confidence in the oracle price.
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#
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class ConfidenceIntervalSpreadElement(Element):
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def __init__(self, position_size_ratio: Decimal, confidence_interval_levels: typing.Sequence[Decimal] = [Decimal(2)], order_type: mango.OrderType = mango.OrderType.POST_ONLY):
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super().__init__()
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self.position_size_ratio: Decimal = position_size_ratio
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self.confidence_interval_levels: typing.Sequence[Decimal] = confidence_interval_levels
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self.order_type: mango.OrderType = order_type
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def process(self, context: mango.Context, model_state: ModelState, orders: typing.Sequence[mango.Order]) -> typing.Sequence[mango.Order]:
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price: mango.Price = model_state.price
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if price.source.supports & mango.SupportedOracleFeature.CONFIDENCE == 0:
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raise Exception(f"Price does not support confidence interval: {price}")
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base_tokens: mango.TokenValue = model_state.inventory.base
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quote_tokens: mango.TokenValue = model_state.inventory.quote
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total = (base_tokens.value * price.mid_price) + quote_tokens.value
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quote_value_to_risk = total * self.position_size_ratio
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position_size = quote_value_to_risk / price.mid_price
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new_orders: typing.List[mango.Order] = []
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for confidence_interval_level in self.confidence_interval_levels:
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charge = price.confidence * confidence_interval_level
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bid: Decimal = price.mid_price - charge
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ask: Decimal = price.mid_price + charge
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new_orders += [
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mango.Order.from_basic_info(mango.Side.BUY, price=bid,
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quantity=position_size, order_type=self.order_type),
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mango.Order.from_basic_info(mango.Side.SELL, price=ask,
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quantity=position_size, order_type=self.order_type)
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]
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new_orders.sort(key=lambda ord: ord.price, reverse=True)
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order_text = "\n ".join([f"{order}" for order in new_orders])
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self.logger.debug(f"""Initial desired orders - spread {model_state.spread} ({model_state.top_bid.price} / {model_state.top_ask.price}):
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{order_text}""")
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return new_orders
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def __str__(self) -> str:
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return f"« 𝙲𝚘𝚗𝚏𝚒𝚍𝚎𝚗𝚌𝚎𝙸𝚗𝚝𝚎𝚛𝚟𝚊𝚕𝚂𝚙𝚛𝚎𝚊𝚍𝙴𝚕𝚎𝚖𝚎𝚗𝚝 {self.order_type} - position size: {self.position_size_ratio}, confidence interval levels: {self.confidence_interval_levels} »"
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