mango-explorer/mango/marketmaking/marketmaker.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 logging
import mango
import traceback
import typing

from datetime import datetime

from .modelstate import ModelState
from ..observables import EventSource
from .orderreconciler import OrderReconciler
from .ordertracker import OrderTracker
from .orderchain.chain import Chain


# # 🥭 MarketMaker class
#
# An event-driven market-maker.
#
class MarketMaker:
    def __init__(self, wallet: mango.Wallet, market: mango.Market,
                 market_instruction_builder: mango.MarketInstructionBuilder,
                 desired_orders_chain: Chain, order_reconciler: OrderReconciler):
        self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
        self.wallet: mango.Wallet = wallet
        self.market: mango.Market = market
        self.market_instruction_builder: mango.MarketInstructionBuilder = market_instruction_builder
        self.desired_orders_chain: Chain = desired_orders_chain
        self.order_reconciler: OrderReconciler = order_reconciler
        self.order_tracker: OrderTracker = OrderTracker()

        self.pulse_complete: EventSource[datetime] = EventSource[datetime]()
        self.pulse_error: EventSource[Exception] = EventSource[Exception]()

        self.buy_client_ids: typing.List[int] = []
        self.sell_client_ids: typing.List[int] = []

        self.not_quoting: bool = False

    def pulse(self, context: mango.Context, model_state: ModelState):
        if self.not_quoting:
            return True

        try:
            payer = mango.CombinableInstructions.from_wallet(self.wallet)

            desired_orders = self.desired_orders_chain.process(context, model_state)
            existing_orders = self.order_tracker.existing_orders(model_state)
            reconciled = self.order_reconciler.reconcile(model_state, existing_orders, desired_orders)

            cancellations = mango.CombinableInstructions.empty()
            for to_cancel in reconciled.to_cancel:
                self.logger.info(f"Cancelling {self.market.symbol} {to_cancel}")
                cancel = self.market_instruction_builder.build_cancel_order_instructions(to_cancel, ok_if_missing=True)
                cancellations += cancel

            place_orders = mango.CombinableInstructions.empty()
            for to_place in reconciled.to_place:
                desired_client_id: int = context.random_client_id()
                to_place_with_client_id = to_place.with_client_id(desired_client_id)
                self.order_tracker.track(to_place_with_client_id)

                self.logger.info(f"Placing {self.market.symbol} {to_place_with_client_id}")
                place_order = self.market_instruction_builder.build_place_order_instructions(to_place_with_client_id)
                place_orders += place_order

            crank = self.market_instruction_builder.build_crank_instructions([])
            settle = self.market_instruction_builder.build_settle_instructions()
            (payer + cancellations + place_orders + crank + settle).execute(context)

            self.pulse_complete.on_next(datetime.now())
        except Exception as exception:
            self.logger.error(f"[{context.name}] Market-maker error on pulse:\n{traceback.format_exc()}")
            self.pulse_error.on_next(exception)

    def __str__(self) -> str:
        return f"""« 𝙼𝚊𝚛𝚔𝚎𝚝𝙼𝚊𝚔𝚎𝚛 for market '{self.market.symbol}' »"""

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