Some fixes for health calculations WIP.

bin/show-account-balances

@@ -71,10 +71,9 @@ for account in mango_accounts:
             report: mango.AccountTokenValues = mango.AccountTokenValues.from_account_basket_base_token(
                 asset, open_orders, group)
             # print(report)
+            market_cache: mango.MarketCache = group.market_cache_from_cache(cache, report.base_token)
             price_from_cache: mango.TokenValue = group.token_price_from_cache(cache, report.base_token)
-            perp_market_cache: typing.Optional[mango.PerpMarketCache] = group.perp_market_cache_from_cache(
+            priced_report: mango.AccountTokenValues = report.priced(market_cache)
-                cache, report.base_token)
-            priced_report: mango.AccountTokenValues = report.priced(price_from_cache, perp_market_cache)
             account_value += priced_report.net_value
             quote_token_free_in_open_orders += priced_report.quote_token_free
             quote_token_total_in_open_orders += priced_report.quote_token_total
@@ -82,7 +81,9 @@ for account in mango_accounts:
 
     quote_report: mango.AccountTokenValues = mango.AccountTokenValues(account.shared_quote_token.token_info.token,
                                                                       account.shared_quote_token.token_info.token,
+                                                                      account.shared_quote_token.raw_deposit,
                                                                       account.shared_quote_token.deposit,
+                                                                      account.shared_quote_token.raw_borrow,
                                                                       account.shared_quote_token.borrow,
                                                                       mango.TokenValue(
                                                                           group.shared_quote_token.token, Decimal(0)),
@@ -92,7 +93,12 @@ for account in mango_accounts:
                                                                       quote_token_total_in_open_orders,
                                                                       mango.TokenValue(
                                                                           group.shared_quote_token.token, Decimal(0)),
-                                                                      Decimal(0), Decimal(0), Decimal(0),
+                                                                      Decimal(0), Decimal(0),
+                                                                      mango.TokenValue(
+                                                                          group.shared_quote_token.token, Decimal(0)),
+                                                                      mango.TokenValue(
+                                                                          group.shared_quote_token.token, Decimal(0)),
+                                                                      Decimal(0), Decimal(0),
                                                                       mango.NullLotSizeConverter())
     account_value += quote_report.net_value + quote_token_total_in_open_orders
     print(quote_report)

mango/__init__.py

@@ -8,7 +8,7 @@ from .accounttokenvalues import AccountTokenValues, PricedAccountTokenValues
 from .addressableaccount import AddressableAccount
 from .arguments import parse_args
 from .balancesheet import BalanceSheet
-from .cache import PriceCache, RootBankCache, PerpMarketCache, Cache
+from .cache import PriceCache, RootBankCache, PerpMarketCache, MarketCache, Cache
 from .client import ClientException, RateLimitException, TooMuchBandwidthRateLimitException, TooManyRequestsRateLimitException, BlockhashNotFoundException, NodeIsBehindException, FailedToFetchBlockhashException, TransactionException, CompatibleClient, BetterClient
 from .combinableinstructions import CombinableInstructions
 from .constants import SYSTEM_PROGRAM_ADDRESS, SOL_MINT_ADDRESS, SOL_DECIMALS, SOL_DECIMAL_DIVISOR, WARNING_DISCLAIMER_TEXT, MangoConstants

mango/account.py

@@ -42,20 +42,26 @@ from .version import Version
 # `AccountBasketToken` gathers basket items together instead of separate arrays.
 #
 class AccountBasketToken:
-    def __init__(self, token_info: TokenInfo, deposit: TokenValue, borrow: TokenValue):
+    def __init__(self, token_info: TokenInfo, raw_deposit: Decimal, deposit: TokenValue, raw_borrow: Decimal, borrow: TokenValue):
         self.token_info: TokenInfo = token_info
+        self.raw_deposit: Decimal = raw_deposit
         self.deposit: TokenValue = deposit
+        self.raw_borrow: Decimal = raw_borrow
         self.borrow: TokenValue = borrow
 
     @property
     def net_value(self) -> TokenValue:
         return self.deposit - self.borrow
 
+    @property
+    def raw_net_value(self) -> Decimal:
+        return self.raw_deposit - self.raw_borrow
+
     def __str__(self) -> str:
         return f"""« 𝙰𝚌𝚌𝚘𝚞𝚗𝚝𝙱𝚊𝚜𝚔𝚎𝚝𝚃𝚘𝚔𝚎𝚗 {self.token_info.token.symbol}
     Net Value:     {self.net_value}
-        Deposited: {self.deposit}
+        Deposited: {self.deposit} (raw value: {self.raw_deposit})
-        Borrowed:  {self.borrow}
+        Borrowed:  {self.borrow} (raw value {self.raw_borrow})
 »"""
 
     def __repr__(self) -> str:
@@ -68,8 +74,8 @@ class AccountBasketToken:
 # account.
 #
 class AccountBasketBaseToken(AccountBasketToken):
-    def __init__(self, token_info: TokenInfo, quote_token_info: TokenInfo, deposit: TokenValue, borrow: TokenValue, spot_open_orders: typing.Optional[PublicKey], perp_account: typing.Optional[PerpAccount]):
+    def __init__(self, token_info: TokenInfo, quote_token_info: TokenInfo, raw_deposit: Decimal, deposit: TokenValue, raw_borrow: Decimal, borrow: TokenValue, spot_open_orders: typing.Optional[PublicKey], perp_account: typing.Optional[PerpAccount]):
-        super().__init__(token_info, deposit, borrow)
+        super().__init__(token_info, raw_deposit, deposit, raw_borrow, borrow)
         self.quote_token_info: TokenInfo = quote_token_info
         self.spot_open_orders: typing.Optional[PublicKey] = spot_open_orders
         self.perp_account: typing.Optional[PerpAccount] = perp_account
@@ -80,8 +86,8 @@ class AccountBasketBaseToken(AccountBasketToken):
             perp_account = f"{self.perp_account}".replace("\n", "\n        ")
         return f"""« 𝙰𝚌𝚌𝚘𝚞𝚗𝚝𝙱𝚊𝚜𝚔𝚎𝚝𝙱𝚊𝚜𝚎𝚃𝚘𝚔𝚎𝚗 {self.token_info.token.symbol}
     Net Value:     {self.net_value}
-        Deposited: {self.deposit}
+        Deposited: {self.deposit} (raw value: {self.raw_deposit})
-        Borrowed:  {self.borrow}
+        Borrowed:  {self.borrow} (raw value {self.raw_borrow})
     Spot OpenOrders: {self.spot_open_orders or "None"}
     Perp Account:
         {perp_account}
@@ -146,9 +152,11 @@ class Account(AddressableAccount):
 
         for index, token_info in enumerate(group.tokens[:-1]):
             if token_info:
-                intrinsic_deposit = token_info.root_bank.deposit_index * layout.deposits[index]
+                raw_deposit: Decimal = layout.deposits[index]
+                intrinsic_deposit = token_info.root_bank.deposit_index * raw_deposit
                 deposit = TokenValue(token_info.token, token_info.token.shift_to_decimals(intrinsic_deposit))
-                intrinsic_borrow = token_info.root_bank.borrow_index * layout.borrows[index]
+                raw_borrow: Decimal = layout.borrows[index]
+                intrinsic_borrow = token_info.root_bank.borrow_index * raw_borrow
                 borrow = TokenValue(token_info.token, token_info.token.shift_to_decimals(intrinsic_borrow))
                 perp_open_orders = PerpOpenOrders(placed_orders_all_markets[index])
                 group_basket_market = group.markets[index]
@@ -163,19 +171,22 @@ class Account(AddressableAccount):
                     mngo_token_info.token)
                 spot_open_orders = layout.spot_open_orders[index]
                 basket_item: AccountBasketBaseToken = AccountBasketBaseToken(
-                    token_info, quote_token_info, deposit, borrow, spot_open_orders, perp_account)
+                    token_info, quote_token_info, raw_deposit, deposit, raw_borrow, borrow, spot_open_orders, perp_account)
                 basket += [basket_item]
                 active_in_basket += [True]
             else:
                 active_in_basket += [False]
 
-        intrinsic_quote_deposit = quote_token_info.root_bank.deposit_index * layout.deposits[-1]
+        raw_quote_deposit: Decimal = layout.deposits[-1]
+        intrinsic_quote_deposit = quote_token_info.root_bank.deposit_index * raw_quote_deposit
         quote_deposit = TokenValue(quote_token_info.token,
                                    quote_token_info.token.shift_to_decimals(intrinsic_quote_deposit))
-        intrinsic_quote_borrow = quote_token_info.root_bank.borrow_index * layout.borrows[-1]
+        raw_quote_borrow: Decimal = layout.borrows[-1]
+        intrinsic_quote_borrow = quote_token_info.root_bank.borrow_index * raw_quote_borrow
         quote_borrow = TokenValue(quote_token_info.token,
                                   quote_token_info.token.shift_to_decimals(intrinsic_quote_borrow))
-        quote: AccountBasketToken = AccountBasketToken(quote_token_info, quote_deposit, quote_borrow)
+        quote: AccountBasketToken = AccountBasketToken(
+            quote_token_info, raw_quote_deposit, quote_deposit, raw_quote_borrow, quote_borrow)
 
         msrm_amount: Decimal = layout.msrm_amount
         being_liquidated: bool = bool(layout.being_liquidated)

mango/accounttokenvalues.py

@@ -18,7 +18,7 @@ import typing
 from decimal import Decimal
 
 from .account import AccountBasketBaseToken
-from .cache import PerpMarketCache
+from .cache import PerpMarketCache, MarketCache
 from .calculators.unsettledfundingcalculator import calculate_unsettled_funding, UnsettledFundingParams
 from .group import Group
 from .lotsizeconverter import LotSizeConverter
@@ -55,10 +55,12 @@ def _token_values_from_open_orders(base_token: Token, quote_token: Token, spot_o
 # `AccountTokenValues` gathers basket items together instead of separate arrays.
 #
 class AccountTokenValues:
-    def __init__(self, base_token: Token, quote_token: Token, deposit: TokenValue, borrow: TokenValue, base_token_free: TokenValue, base_token_total: TokenValue, quote_token_free: TokenValue, quote_token_total: TokenValue, perp_base_position: TokenValue, raw_perp_quote_position: Decimal, long_settled_funding: Decimal, short_settled_funding: Decimal, lot_size_converter: LotSizeConverter):
+    def __init__(self, base_token: Token, quote_token: Token, raw_deposit: Decimal, deposit: TokenValue, raw_borrow: Decimal, borrow: TokenValue, base_token_free: TokenValue, base_token_total: TokenValue, quote_token_free: TokenValue, quote_token_total: TokenValue, perp_base_position: TokenValue, raw_perp_quote_position: Decimal, raw_taker_quote: Decimal, bids_quantity: TokenValue, asks_quantity: TokenValue, long_settled_funding: Decimal, short_settled_funding: Decimal, lot_size_converter: LotSizeConverter):
         self.base_token: Token = base_token
         self.quote_token: Token = quote_token
+        self.raw_deposit: Decimal = raw_deposit
         self.deposit: TokenValue = deposit
+        self.raw_borrow: Decimal = raw_borrow
         self.borrow: TokenValue = borrow
 
         self.base_token_free: TokenValue = base_token_free
@@ -67,6 +69,9 @@ class AccountTokenValues:
         self.quote_token_total: TokenValue = quote_token_total
         self.perp_base_position: TokenValue = perp_base_position
         self.raw_perp_quote_position: Decimal = raw_perp_quote_position
+        self.raw_taker_quote: Decimal = raw_taker_quote
+        self.bids_quantity: TokenValue = bids_quantity
+        self.asks_quantity: TokenValue = asks_quantity
         self.long_settled_funding: Decimal = long_settled_funding
         self.short_settled_funding: Decimal = short_settled_funding
         self.lot_size_converter: LotSizeConverter = lot_size_converter
@@ -83,8 +88,16 @@ class AccountTokenValues:
     def quote_token_locked(self) -> TokenValue:
         return self.quote_token_total - self.quote_token_free
 
-    def priced(self, price: TokenValue, perp_market_cache: typing.Optional[PerpMarketCache]) -> "PricedAccountTokenValues":
+    @property
-        return PricedAccountTokenValues(self, price, perp_market_cache)
+    def if_all_bids_executed(self) -> TokenValue:
+        return self.perp_base_position + self.bids_quantity
+
+    @property
+    def if_all_asks_executed(self) -> TokenValue:
+        return self.perp_base_position - self.asks_quantity
+
+    def priced(self, market_cache: MarketCache) -> "PricedAccountTokenValues":
+        return PricedAccountTokenValues(self, market_cache)
 
     @staticmethod
     def from_account_basket_base_token(account_basket_token: AccountBasketBaseToken, open_orders_by_address: typing.Dict[str, OpenOrders], group: Group) -> "AccountTokenValues":
@@ -106,16 +119,28 @@ class AccountTokenValues:
         long_settled_funding: Decimal = perp_account.long_settled_funding / lot_size_converter.quote_lot_size
         short_settled_funding: Decimal = perp_account.short_settled_funding / lot_size_converter.quote_lot_size
 
-        return AccountTokenValues(base_token, quote_token, account_basket_token.deposit, account_basket_token.borrow, base_token_free, base_token_total, quote_token_free, quote_token_total, perp_base_position, perp_quote_position, long_settled_funding, short_settled_funding, lot_size_converter)
+        taker_quote: Decimal = perp_account.taker_quote * lot_size_converter.quote_lot_size
+        bids_quantity: TokenValue = TokenValue(base_token, base_token.shift_to_decimals(
+            perp_account.bids_quantity * lot_size_converter.base_lot_size))
+        asks_quantity: TokenValue = TokenValue(base_token, base_token.shift_to_decimals(
+            perp_account.asks_quantity * lot_size_converter.base_lot_size))
+
+        return AccountTokenValues(base_token, quote_token, account_basket_token.raw_deposit, account_basket_token.deposit, account_basket_token.raw_borrow, account_basket_token.borrow, base_token_free, base_token_total, quote_token_free, quote_token_total, perp_base_position, perp_quote_position, taker_quote, bids_quantity, asks_quantity, long_settled_funding, short_settled_funding, lot_size_converter)
 
     def __str__(self) -> str:
         return f"""« 𝙰𝚌𝚌𝚘𝚞𝚗𝚝𝚃𝚘𝚔𝚎𝚗𝚁𝚎𝚙𝚘𝚛𝚝 {self.base_token.symbol}
-    Deposited: {self.deposit}
+    Deposited  : {self.deposit}
-    Borrowed : {self.borrow}
+    Borrowed   : {self.borrow}
     Unsettled:
-      Base   : {self.base_token_total} ({self.base_token_free} free)
+      Base     : {self.base_token_total} ({self.base_token_free} free)
-      Quote  : {self.quote_token_total} ({self.quote_token_free} free)
+      Quote    : {self.quote_token_total} ({self.quote_token_free} free)
-    Net Value: {self.net_value}
+    Perp:
+      Base     : {self.perp_base_position}
+      Quote    : {self.raw_perp_quote_position}
+    If Executed:
+      All Bids : {self.if_all_bids_executed}
+      All Asks : {self.if_all_asks_executed}
+    Net Value  : {self.net_value}
 »"""
 
     def __repr__(self) -> str:
@@ -123,29 +148,45 @@ class AccountTokenValues:
 
 
 class PricedAccountTokenValues(AccountTokenValues):
-    def __init__(self, original_account_token_values: AccountTokenValues, price: TokenValue, perp_market_cache: typing.Optional[PerpMarketCache]):
+    def __init__(self, original_account_token_values: AccountTokenValues, market_cache: MarketCache):
-        deposit: TokenValue = original_account_token_values.deposit * price
+        price: TokenValue = market_cache.adjusted_price(
-        borrow: TokenValue = original_account_token_values.borrow * price
+            original_account_token_values.base_token, original_account_token_values.quote_token)
+
+        if market_cache.root_bank is None:
+            raise Exception(f"No root bank for token {original_account_token_values.base_token} in {market_cache}")
+
+        deposit_value: Decimal = original_account_token_values.raw_deposit * market_cache.root_bank.deposit_index * price.value
+        shifted_deposit_value: Decimal = original_account_token_values.quote_token.shift_to_decimals(deposit_value)
+        deposit: TokenValue = TokenValue(original_account_token_values.quote_token, shifted_deposit_value)
+
+        borrow_value: Decimal = original_account_token_values.raw_borrow * market_cache.root_bank.borrow_index * price.value
+        shifted_borrow_value: Decimal = original_account_token_values.quote_token.shift_to_decimals(borrow_value)
+        borrow: TokenValue = TokenValue(original_account_token_values.quote_token, shifted_borrow_value)
+
         base_token_free: TokenValue = original_account_token_values.base_token_free * price
         base_token_total: TokenValue = original_account_token_values.base_token_total * price
 
         perp_base_position: TokenValue = original_account_token_values.perp_base_position * price
 
         super().__init__(original_account_token_values.base_token, original_account_token_values.quote_token,
-                         deposit, borrow, base_token_free, base_token_total,
+                         original_account_token_values.raw_deposit, deposit,
+                         original_account_token_values.raw_borrow, borrow, base_token_free, base_token_total,
                          original_account_token_values.quote_token_free,
                          original_account_token_values.quote_token_total,
                          perp_base_position, original_account_token_values.raw_perp_quote_position,
+                         original_account_token_values.raw_taker_quote,
+                         original_account_token_values.bids_quantity, original_account_token_values.asks_quantity,
                          original_account_token_values.long_settled_funding, original_account_token_values.short_settled_funding,
                          original_account_token_values.lot_size_converter)
         self.original_account_token_values: AccountTokenValues = original_account_token_values
         self.price: TokenValue = price
-        self.perp_market_cache: typing.Optional[PerpMarketCache] = perp_market_cache
+        self.perp_market_cache: typing.Optional[PerpMarketCache] = market_cache.perp_market
-        perp_quote_position: TokenValue = TokenValue(original_account_token_values.quote_token, Decimal(0))
+        perp_quote_position: TokenValue = TokenValue(
-        if perp_market_cache is not None:
+            original_account_token_values.quote_token, original_account_token_values.raw_perp_quote_position)
+        if market_cache.perp_market is not None:
             original: AccountTokenValues = original_account_token_values
-            long_funding: Decimal = perp_market_cache.long_funding / original.lot_size_converter.quote_lot_size
+            long_funding: Decimal = market_cache.perp_market.long_funding / original.lot_size_converter.quote_lot_size
-            short_funding: Decimal = perp_market_cache.short_funding / original.lot_size_converter.quote_lot_size
+            short_funding: Decimal = market_cache.perp_market.short_funding / original.lot_size_converter.quote_lot_size
             unsettled_funding: TokenValue = calculate_unsettled_funding(UnsettledFundingParams(
                 quote_token=original.quote_token,
                 base_position=original.perp_base_position,
@@ -154,21 +195,45 @@ class PricedAccountTokenValues(AccountTokenValues):
                 short_funding=short_funding,
                 short_settled_funding=original.short_settled_funding
             ))
-            perp_quote_position += unsettled_funding
+            perp_quote_position -= unsettled_funding
 
         self.perp_quote_position: TokenValue = perp_quote_position
 
+    @property
+    def if_all_bids_executed(self) -> TokenValue:
+        return self.perp_base_position + (self.bids_quantity * self.price)
+
+    @property
+    def if_all_asks_executed(self) -> TokenValue:
+        return self.perp_base_position - (self.asks_quantity * self.price)
+
+    def if_worst_execution(self) -> typing.Tuple[TokenValue, TokenValue]:
+        taker_quote: TokenValue = TokenValue(self.perp_quote_position.token, self.raw_taker_quote)
+        # print("Quote calc", self.perp_quote_position, taker_quote, self.bids_quantity, self.price)
+
+        if abs(self.if_all_bids_executed.value) > abs(self.if_all_asks_executed.value):
+            base_position = self.if_all_bids_executed
+            quote_position = self.perp_quote_position + taker_quote - (self.bids_quantity * self.price)
+        else:
+            base_position = self.if_all_asks_executed
+            quote_position = self.perp_quote_position + taker_quote + (self.asks_quantity * self.price)
+
+        return base_position, quote_position
+
     def __str__(self) -> str:
         return f"""« 𝙿𝚛𝚒𝚌𝚎𝚍𝙰𝚌𝚌𝚘𝚞𝚗𝚝𝚃𝚘𝚔𝚎𝚗𝚅𝚊𝚕𝚞𝚎𝚜 {self.base_token.symbol} priced in {self.quote_token.symbol}
-    Deposited: {self.original_account_token_values.deposit:<45} worth {self.deposit}
+    Deposited  : {self.original_account_token_values.deposit:<45} worth {self.deposit}
-    Borrowed:  {self.original_account_token_values.borrow:<45} worth {self.borrow}
+    Borrowed   : {self.original_account_token_values.borrow:<45} worth {self.borrow}
     Unsettled:
-      Base   : {self.original_account_token_values.base_token_total:<45} worth {self.base_token_total}
+      Base     : {self.original_account_token_values.base_token_total:<45} worth {self.base_token_total}
-      Quote  : {self.original_account_token_values.quote_token_total:<45} worth {self.quote_token_total}
+      Quote    : {self.original_account_token_values.quote_token_total:<45} worth {self.quote_token_total}
     Perp:
-      Base   : {self.original_account_token_values.perp_base_position:<45} worth {self.perp_base_position}
+      Base     : {self.original_account_token_values.perp_base_position:<45} worth {self.perp_base_position}
-      Quote  : {self.perp_quote_position:<45} worth {self.perp_quote_position}
+      Quote    : {self.perp_quote_position:<45} worth {self.perp_quote_position}
-    Net Value: {self.original_account_token_values.net_value:<45} worth {self.net_value}
+    If Executed:
+      All Bids : {self.original_account_token_values.if_all_bids_executed:<45} worth {self.if_all_bids_executed}
+      All Asks : {self.original_account_token_values.if_all_asks_executed:<45} worth {self.if_all_asks_executed}
+    Net Value  : {self.original_account_token_values.net_value:<45} worth {self.net_value}
 »"""
 
     def __repr__(self) -> str:

mango/cache.py

@@ -24,15 +24,15 @@ from .addressableaccount import AddressableAccount
 from .context import Context
 from .layouts import layouts
 from .metadata import Metadata
+from .token import Token
+from .tokenvalue import TokenValue
 from .version import Version
 
 
-# # 🥭 NodeBank class
+# # 🥭 PriceCache class
 #
-# `NodeBank` stores details of deposits/borrows and vault.
+# `PriceCache` stores a cached price.
 #
-
-
 class PriceCache:
     def __init__(self, price: Decimal, last_update: datetime):
         self.price: Decimal = price
@@ -45,12 +45,16 @@ class PriceCache:
         return PriceCache(layout.price, layout.last_update)
 
     def __str__(self) -> str:
-        return f"« 𝙿𝚛𝚒𝚌𝚎𝙲𝚊𝚌𝚑𝚎 [{self.last_update}] {self.price:,.8f} »"
+        return f"« 𝙿𝚛𝚒𝚌𝚎𝙲𝚊𝚌𝚑𝚎 [{self.last_update}] {self.price:,.20f} »"
 
     def __repr__(self) -> str:
         return f"{self}"
 
 
+# # 🥭 RootBankCache class
+#
+# `RootBankCache` stores cached details of deposits and borrows.
+#
 class RootBankCache:
     def __init__(self, deposit_index: Decimal, borrow_index: Decimal, last_update: datetime):
         self.deposit_index: Decimal = deposit_index
@@ -64,12 +68,16 @@ class RootBankCache:
         return RootBankCache(layout.deposit_index, layout.borrow_index, layout.last_update)
 
     def __str__(self) -> str:
-        return f"« 𝚁𝚘𝚘𝚝𝙱𝚊𝚗𝚔𝙲𝚊𝚌𝚑𝚎 [{self.last_update}] {self.deposit_index:,.8f} / {self.borrow_index:,.8f} »"
+        return f"« 𝚁𝚘𝚘𝚝𝙱𝚊𝚗𝚔𝙲𝚊𝚌𝚑𝚎 [{self.last_update}] {self.deposit_index:,.20f} / {self.borrow_index:,.20f} »"
 
     def __repr__(self) -> str:
         return f"{self}"
 
 
+# # 🥭 PerpMarketCache class
+#
+# `PerpMarketCache` stores cached details of long and short funding.
+#
 class PerpMarketCache:
     def __init__(self, long_funding: Decimal, short_funding: Decimal, last_update: datetime):
         self.long_funding: Decimal = long_funding
@@ -83,7 +91,44 @@ class PerpMarketCache:
         return PerpMarketCache(layout.long_funding, layout.short_funding, layout.last_update)
 
     def __str__(self) -> str:
-        return f"« 𝙿𝚎𝚛𝚙𝙼𝚊𝚛𝚔𝚎𝚝𝙲𝚊𝚌𝚑𝚎 [{self.last_update}] {self.long_funding:,.8f} / {self.short_funding:,.8f} »"
+        return f"« 𝙿𝚎𝚛𝚙𝙼𝚊𝚛𝚔𝚎𝚝𝙲𝚊𝚌𝚑𝚎 [{self.last_update}] {self.long_funding:,.20f} / {self.short_funding:,.20f} »"
+
+    def __repr__(self) -> str:
+        return f"{self}"
+
+
+# # 🥭 MarketCache class
+#
+# `MarketCache` stores cached details of price, root bank, and perp market, for a particular market.
+#
+class MarketCache:
+    def __init__(self, price: typing.Optional[PriceCache], root_bank: typing.Optional[RootBankCache], perp_market: typing.Optional[PerpMarketCache]):
+        self.price: typing.Optional[PriceCache] = price
+        self.root_bank: typing.Optional[RootBankCache] = root_bank
+        self.perp_market: typing.Optional[PerpMarketCache] = perp_market
+
+    def adjusted_price(self, token: Token, quote_token: Token) -> TokenValue:
+        if token == quote_token:
+            # The price of 1 unit of the shared quote token is always 1.
+            return TokenValue(token, Decimal(1))
+
+        if self.price is None:
+            raise Exception(f"Could not find price index of basket token {token.symbol}.")
+
+        price: Decimal = self.price.price
+        decimals_difference = token.decimals - quote_token.decimals
+        if decimals_difference != 0:
+            adjustment = 10 ** decimals_difference
+            price = price * adjustment
+
+        return TokenValue(quote_token, price)
+
+    def __str__(self) -> str:
+        return f"""« 𝙼𝚊𝚛𝚔𝚎𝚝𝙲𝚊𝚌𝚑𝚎
+    {self.price}
+    {self.root_bank}
+    {self.perp_market}
+»"""
 
     def __repr__(self) -> str:
         return f"{self}"
@@ -93,7 +138,6 @@ class PerpMarketCache:
 #
 # `Cache` stores cache details of prices, root banks and perp markets.
 #
-
 class Cache(AddressableAccount):
     def __init__(self, account_info: AccountInfo, version: Version, meta_data: Metadata,
                  price_cache: typing.Sequence[typing.Optional[PriceCache]],
@@ -136,6 +180,9 @@ class Cache(AddressableAccount):
             raise Exception(f"Cache account not found at address '{address}'")
         return Cache.parse(account_info)
 
+    def market_cache_for_index(self, index: int) -> MarketCache:
+        return MarketCache(self.price_cache[index], self.root_bank_cache[index], self.perp_market_cache[index])
+
     def __str__(self) -> str:
         def _render_list(items, stub):
             rendered = []

mango/calculators/healthcalculator.py

@@ -23,7 +23,7 @@ from mango.perpmarketinfo import PerpMarketInfo
 
 from ..account import Account, AccountBasketBaseToken
 from ..accounttokenvalues import AccountTokenValues, PricedAccountTokenValues
-from ..cache import Cache, PerpMarketCache
+from ..cache import Cache, MarketCache
 from ..context import Context
 from ..group import Group
 from ..lotsizeconverter import NullLotSizeConverter
@@ -112,10 +112,12 @@ class HealthCalculator:
             # if (asset.deposit.value != 0) or (asset.borrow.value != 0) or (asset.net_value.value != 0):
             report: AccountTokenValues = AccountTokenValues.from_account_basket_base_token(
                 asset, open_orders_by_address, group)
-            price: TokenValue = group.token_price_from_cache(cache, report.base_token)
+            # print("report", report)
-            perp_market_cache: typing.Optional[PerpMarketCache] = group.perp_market_cache_from_cache(
+            # price: TokenValue = group.token_price_from_cache(cache, report.base_token)
-                cache, report.base_token)
+            market_cache: MarketCache = group.market_cache_from_cache(cache, report.base_token)
-            priced_report: PricedAccountTokenValues = report.priced(price, perp_market_cache)
+            # print("Market cache", market_cache)
+            priced_report: PricedAccountTokenValues = report.priced(market_cache)
+            # print("priced_report", priced_report)
             priced_reports += [priced_report]
 
         quote_token_free_in_open_orders: TokenValue = TokenValue(group.shared_quote_token.token, Decimal(0))
@@ -123,20 +125,29 @@ class HealthCalculator:
         for priced_report in priced_reports:
             quote_token_free_in_open_orders += priced_report.quote_token_free
             quote_token_total_in_open_orders += priced_report.quote_token_total
+        # print("quote_token_free_in_open_orders", quote_token_free_in_open_orders)
+        # print("quote_token_total_in_open_orders", quote_token_total_in_open_orders)
 
         quote_report: AccountTokenValues = AccountTokenValues(account.shared_quote_token.token_info.token,
                                                               account.shared_quote_token.token_info.token,
+                                                              account.shared_quote_token.raw_deposit,
                                                               account.shared_quote_token.deposit,
+                                                              account.shared_quote_token.raw_borrow,
                                                               account.shared_quote_token.borrow,
                                                               TokenValue(group.shared_quote_token.token, Decimal(0)),
                                                               TokenValue(group.shared_quote_token.token, Decimal(0)),
                                                               quote_token_free_in_open_orders,
                                                               quote_token_total_in_open_orders,
                                                               TokenValue(group.shared_quote_token.token, Decimal(0)),
-                                                              Decimal(0), Decimal(0), Decimal(0),
+                                                              Decimal(0), Decimal(0),
+                                                              TokenValue(group.shared_quote_token.token, Decimal(0)),
+                                                              TokenValue(group.shared_quote_token.token, Decimal(0)),
+                                                              Decimal(0), Decimal(0),
                                                               NullLotSizeConverter())
+        # print("quote_report", quote_report)
 
         health: Decimal = quote_report.net_value.value
+        # print("Health (start)", health)
         for priced_report in priced_reports:
             market_index = group.find_token_market_index(priced_report.base_token)
             spot_market: typing.Optional[SpotMarketInfo] = group.spot_markets[market_index]
@@ -147,8 +158,9 @@ class HealthCalculator:
 
             spot_weight = spot_market.init_asset_weight if base_value > 0 else spot_market.init_liab_weight
             spot_health = base_value.value * spot_weight
+            # print("Weights", base_value.value, "*", spot_weight, spot_health)
 
-            perp_base, _ = self._calculate_pessimistic_perp_value(priced_report)
+            perp_base, perp_quote = priced_report.if_worst_execution()
             perp_market: typing.Optional[PerpMarketInfo] = group.perp_markets[market_index]
             perp_health: Decimal = Decimal(0)
             if perp_market is not None:
@@ -158,7 +170,12 @@ class HealthCalculator:
             health += spot_health
             health += perp_health
             health += quote_value.value
+            health += perp_quote.value
             health += priced_report.raw_perp_quote_position
+        #     print("Health (now)", health, spot_health, perp_health, quote_value.value,
+        #           perp_quote.value, priced_report.raw_perp_quote_position)
+
+        # print("Health (returning)", health)
 
         return health
 

mango/group.py

@@ -20,7 +20,7 @@ from solana.publickey import PublicKey
 
 from .accountinfo import AccountInfo
 from .addressableaccount import AddressableAccount
-from .cache import Cache, PriceCache, PerpMarketCache
+from .cache import Cache, PerpMarketCache, MarketCache
 from .context import Context
 from .layouts import layouts
 from .lotsizeconverter import LotSizeConverter, RaisingLotSizeConverter
@@ -275,26 +275,16 @@ class Group(AddressableAccount):
         raise Exception(f"Could not find token info for symbol '{symbol}' in group {self.address}")
 
     def token_price_from_cache(self, cache: Cache, token: Token) -> TokenValue:
-        if token == self.shared_quote_token.token:
+        market_cache: MarketCache = self.market_cache_from_cache(cache, token)
-            # The price of 1 unit of the shared quote token is always 1.
+        return market_cache.adjusted_price(token, self.shared_quote_token.token)
-            return TokenValue(token, Decimal(1))
-
-        token_index: int = self.find_token_market_index(token)
-        cached_price: typing.Optional[PriceCache] = cache.price_cache[token_index]
-        if cached_price is None:
-            raise Exception(f"Could not find price index of basket token {token.symbol}.")
-
-        price: Decimal = cached_price.price
-        decimals_difference = token.decimals - self.shared_quote_token.decimals
-        if decimals_difference != 0:
-            adjustment = 10 ** decimals_difference
-            price = price * adjustment
-
-        return TokenValue(self.shared_quote_token.token, price)
 
     def perp_market_cache_from_cache(self, cache: Cache, token: Token) -> typing.Optional[PerpMarketCache]:
+        market_cache: MarketCache = self.market_cache_from_cache(cache, token)
+        return market_cache.perp_market
+
+    def market_cache_from_cache(self, cache: Cache, token: Token) -> MarketCache:
         token_index: int = self.find_token_market_index(token)
-        return cache.perp_market_cache[token_index]
+        return cache.market_cache_for_index(token_index)
 
     def fetch_balances(self, context: Context, root_address: PublicKey) -> typing.Sequence[TokenValue]:
         balances: typing.List[TokenValue] = []

mango/layouts/layouts.py

@@ -175,8 +175,8 @@ class FloatI80F48Adapter(construct.Adapter):
 
     def _decode(self, obj, context, path) -> Decimal:
         # How many decimal places precision should we allow for an I80F48? We could:
-        # return round(Decimal(obj) / self.divisor, 12)
+        return round(Decimal(obj) / self.divisor, 20)
-        return Decimal(obj) / self.divisor
+        # return Decimal(obj) / self.divisor
 
     def _encode(self, obj, context, path) -> bytes:
         return bytes(obj)

mango/token.py

@@ -41,7 +41,7 @@ class Token:
     def shift_to_decimals(self, value: Decimal) -> Decimal:
         divisor = Decimal(10 ** self.decimals)
         shifted = value / divisor
-        return round(shifted, int(self.decimals))
+        return shifted
 
     def shift_to_native(self, value: Decimal) -> Decimal:
         multiplier = Decimal(10 ** self.decimals)

tests/calculations/test_healthcalculator.py

@@ -1,5 +1,5 @@
 from ..fakes import fake_context
-from ..data import load_data_from_directory
+from ..data import load_cache, load_data_from_directory
 
 from decimal import Decimal
 from mango.calculators.healthcalculator import HealthType, HealthCalculator
@@ -15,15 +15,26 @@ def test_empty():
     assert health == Decimal("0")
 
 
+def test_1deposit():
+    context = fake_context()
+    group, cache, account, open_orders = load_data_from_directory("tests/testdata/1deposit")
+
+    actual = HealthCalculator(context, HealthType.INITIAL)
+    health = actual.calculate(account, open_orders, group, cache)
+    # Typescript says: 37904260000.05905822642118252475
+    assert health == Decimal("37904.2600000591928892771752953600134")
+
+
 def test_perp_account_no_spot_openorders():
     context = fake_context()
     group, cache, account, open_orders = load_data_from_directory("tests/testdata/perp_account_no_spot_openorders")
 
     actual = HealthCalculator(context, HealthType.INITIAL)
     health = actual.calculate(account, open_orders, group, cache)
+
     # Typescript says: 341025333625.51856223547208912805
     # TODO: This is significantly different from Typescript answer
-    assert health == Decimal("358923.807024760000053942349040880810")
+    assert health == Decimal("7036880.69722811087924538653007346763")
 
 
 def test_perp_account_no_spot_openorders_unhealthy():
@@ -35,7 +46,7 @@ def test_perp_account_no_spot_openorders_unhealthy():
     health = actual.calculate(account, open_orders, group, cache)
     # Typescript says: -848086876487.04950427436299875694
     # TODO: This is significantly different from Typescript answer
-    assert health == Decimal("-183567.651235339999859541052273925740")
+    assert health == Decimal("1100318.49506000114695611699892507857")
 
 
 def test_account1():
@@ -46,7 +57,7 @@ def test_account1():
     health = actual.calculate(account, open_orders, group, cache)
     # Typescript says: 454884281.15520619643754685058
     # TODO: This is slightly different from Typescript answer
-    assert health == Decimal("455.035346700961950901638175537300417")
+    assert health == Decimal("2578453.62441460502856112835667758626")
 
 
 def test_account2():
@@ -57,4 +68,4 @@ def test_account2():
     health = actual.calculate(account, open_orders, group, cache)
     # Typescript says: 7516159604.84918334545095675026
     # TODO: This is slightly different from Typescript answer
-    assert health == Decimal("7518.40764303100646658275181266617450")
+    assert health == Decimal("-34471.8824121736505777079119365978915")

tests/test_account.py

@@ -13,21 +13,30 @@ def test_construction():
     info = "some name"
     in_margin_basket = [False, False, False, False, False]
     active_in_basket = [False, True, False, True, True]
-    quote_deposit = fake_token_value(Decimal(50))
+    raw_quote_deposit = Decimal(50)
-    quote_borrow = fake_token_value(Decimal(5))
+    quote_deposit = fake_token_value(raw_quote_deposit)
-    quote = mango.AccountBasketToken(fake_token_info(), quote_deposit, quote_borrow)
+    raw_quote_borrow = Decimal(5)
-    deposit1 = fake_token_value(Decimal(1))
+    quote_borrow = fake_token_value(raw_quote_borrow)
-    deposit2 = fake_token_value(Decimal(2))
+    quote = mango.AccountBasketToken(fake_token_info(), raw_quote_deposit,
-    deposit3 = fake_token_value(Decimal(3))
+                                     quote_deposit, raw_quote_borrow, quote_borrow)
-    borrow1 = fake_token_value(Decimal("0.1"))
+    raw_deposit1 = Decimal(1)
-    borrow2 = fake_token_value(Decimal("0.2"))
+    deposit1 = fake_token_value(raw_deposit1)
-    borrow3 = fake_token_value(Decimal("0.3"))
+    raw_deposit2 = Decimal(2)
+    deposit2 = fake_token_value(raw_deposit2)
+    raw_deposit3 = Decimal(3)
+    deposit3 = fake_token_value(raw_deposit3)
+    raw_borrow1 = Decimal("0.1")
+    borrow1 = fake_token_value(raw_borrow1)
+    raw_borrow2 = Decimal("0.2")
+    borrow2 = fake_token_value(raw_borrow2)
+    raw_borrow3 = Decimal("0.3")
+    borrow3 = fake_token_value(raw_borrow3)
     basket = [
-        mango.AccountBasketBaseToken(fake_token_info(), fake_token_info(), deposit1, borrow1,
+        mango.AccountBasketBaseToken(fake_token_info(), fake_token_info(), raw_deposit1, deposit1, raw_borrow1, borrow1,
                                      fake_seeded_public_key("spot openorders 1"), fake_seeded_public_key("perp1")),
-        mango.AccountBasketBaseToken(fake_token_info(), fake_token_info(), deposit2, borrow2,
+        mango.AccountBasketBaseToken(fake_token_info(), fake_token_info(), raw_deposit2, deposit2, raw_borrow2, borrow2,
                                      fake_seeded_public_key("spot openorders 2"), fake_seeded_public_key("perp2")),
-        mango.AccountBasketBaseToken(fake_token_info(), fake_token_info(), deposit3, borrow3,
+        mango.AccountBasketBaseToken(fake_token_info(), fake_token_info(), raw_deposit3, deposit3, raw_borrow3, borrow3,
                                      fake_seeded_public_key("spot openorders 3"), fake_seeded_public_key("perp3")),
     ]
     msrm_amount = Decimal(0)

tests/test_cache.py

@@ -0,0 +1,102 @@
+from .context import mango
+from .fakes import fake_account_info, fake_seeded_public_key
+from .data import load_cache
+
+from datetime import datetime
+from decimal import Decimal
+
+
+def test_cache_constructor():
+    account_info = fake_account_info(fake_seeded_public_key("cache"))
+    meta_data = mango.Metadata(mango.layouts.DATA_TYPE.parse(bytearray(b'\x07')), mango.Version.V1, True)
+    timestamp = datetime.now()
+    price_cache = [mango.PriceCache(Decimal(26), timestamp)]
+    root_bank_cache = [mango.RootBankCache(Decimal("0.00001"), Decimal("0.00001"), timestamp)]
+    perp_market_cache = [mango.PerpMarketCache(Decimal("0.00002"), Decimal("0.00002"), timestamp)]
+    actual = mango.Cache(account_info, mango.Version.V1, meta_data, price_cache, root_bank_cache, perp_market_cache)
+
+    assert actual is not None
+    assert actual.logger is not None
+    assert actual.account_info == account_info
+    assert actual.address == fake_seeded_public_key("cache")
+    assert actual.meta_data == meta_data
+    assert actual.meta_data.data_type == mango.layouts.DATA_TYPE.Cache
+    assert actual.price_cache == price_cache
+    assert actual.root_bank_cache == root_bank_cache
+    assert actual.perp_market_cache == perp_market_cache
+
+
+def test_load_cache():
+    cache = load_cache("tests/testdata/1deposit/cache.json")
+
+    #
+    # These values are all verified with the same file loaded in the TypeScript client.
+    #
+
+    assert cache.price_cache[0].price == Decimal("0.33642499999999841975")
+    assert cache.price_cache[1].price == Decimal("47380.32499999999999928946")
+    assert cache.price_cache[2].price == Decimal("3309.69549999999999911893")
+    assert cache.price_cache[3].price == Decimal("0.17261599999999788224")
+    assert cache.price_cache[4].price == Decimal("8.79379999999999739657")
+    assert cache.price_cache[5].price == Decimal("1")
+    assert cache.price_cache[6].price == Decimal("1.00039999999999906777")
+    assert cache.price_cache[7] is None
+    assert cache.price_cache[8] is None
+    assert cache.price_cache[9] is None
+    assert cache.price_cache[10] is None
+    assert cache.price_cache[11] is None
+    assert cache.price_cache[12] is None
+    assert cache.price_cache[13] is None
+    assert cache.price_cache[14] is None
+
+    assert cache.root_bank_cache[0].deposit_index == Decimal("1001923.86460821722014813417")
+    assert cache.root_bank_cache[0].borrow_index == Decimal("1002515.45257855337824182129")
+    assert cache.root_bank_cache[1].deposit_index == Decimal("1000007.37249653914441083202")
+    assert cache.root_bank_cache[1].borrow_index == Decimal("1000166.98522159213999316307")
+    assert cache.root_bank_cache[2].deposit_index == Decimal("1000000.19554886875829424753")
+    assert cache.root_bank_cache[2].borrow_index == Decimal("1000001.13273253565107623331")
+    assert cache.root_bank_cache[3].deposit_index == Decimal("1000037.82149923799070379005")
+    assert cache.root_bank_cache[3].borrow_index == Decimal("1000044.28925241010965052624")
+    assert cache.root_bank_cache[4].deposit_index == Decimal("1000000.0000132182767842437")
+    assert cache.root_bank_cache[4].borrow_index == Decimal("1000000.14235973938041368569")
+    assert cache.root_bank_cache[5].deposit_index == Decimal("1000000.35244386506945346582")
+    assert cache.root_bank_cache[5].borrow_index == Decimal("1000000.66156146420993522383")
+    assert cache.root_bank_cache[6].deposit_index == Decimal("1000473.25161608998580575758")
+    assert cache.root_bank_cache[6].borrow_index == Decimal("1000524.37279217702128875089")
+    assert cache.root_bank_cache[7] is None
+    assert cache.root_bank_cache[7] is None
+    assert cache.root_bank_cache[8] is None
+    assert cache.root_bank_cache[8] is None
+    assert cache.root_bank_cache[9] is None
+    assert cache.root_bank_cache[9] is None
+    assert cache.root_bank_cache[10] is None
+    assert cache.root_bank_cache[10] is None
+    assert cache.root_bank_cache[11] is None
+    assert cache.root_bank_cache[11] is None
+    assert cache.root_bank_cache[12] is None
+    assert cache.root_bank_cache[12] is None
+    assert cache.root_bank_cache[13] is None
+    assert cache.root_bank_cache[13] is None
+    assert cache.root_bank_cache[14] is None
+    assert cache.root_bank_cache[14] is None
+    assert cache.root_bank_cache[15].deposit_index == Decimal("1000154.42276607534055088422")
+    assert cache.root_bank_cache[15].borrow_index == Decimal("1000219.00868743509063563124")
+
+    assert cache.perp_market_cache[0] is None
+    assert cache.perp_market_cache[1].long_funding == Decimal("-751864.70031280454435673732")
+    assert cache.perp_market_cache[1].short_funding == Decimal("-752275.3557979761382519257")
+    assert cache.perp_market_cache[2].long_funding == Decimal("0")
+    assert cache.perp_market_cache[2].short_funding == Decimal("0")
+    assert cache.perp_market_cache[3].long_funding == Decimal("-636425.51790158202868497028")
+    assert cache.perp_market_cache[3].short_funding == Decimal("-636425.51790158202868497028")
+    assert cache.perp_market_cache[4] is None
+    assert cache.perp_market_cache[5] is None
+    assert cache.perp_market_cache[6] is None
+    assert cache.perp_market_cache[7] is None
+    assert cache.perp_market_cache[8] is None
+    assert cache.perp_market_cache[9] is None
+    assert cache.perp_market_cache[10] is None
+    assert cache.perp_market_cache[11] is None
+    assert cache.perp_market_cache[12] is None
+    assert cache.perp_market_cache[13] is None
+    assert cache.perp_market_cache[14] is None

tests/test_rootbank.py

@@ -54,8 +54,8 @@ def test_root_bank_constructor():
     assert actual.last_updated == timestamp
 
 
-def test_root_bank_loaded():
+def test_load_root_bank():
-    actual = load_root_bank("tests/testdata/empty/root_bank0.json")
+    actual = load_root_bank("tests/testdata/1deposit/root_bank0.json")
 
     assert actual is not None
     assert actual.logger is not None
@@ -63,16 +63,10 @@ def test_root_bank_loaded():
     assert actual.meta_data.version == mango.Version.V1
     assert actual.meta_data.data_type == mango.layouts.DATA_TYPE.RootBank
     assert actual.meta_data.is_initialized
-    # Typescript says: 0.69999999999999928946
+    assert actual.optimal_util == Decimal("0.69999999999999928946")
-    assert actual.optimal_util == Decimal("0.699999999999999289457264239899814129")
+    assert actual.optimal_rate == Decimal("0.05999999999999872102")
-    # Typescript says: 0.05999999999999872102
-    assert actual.optimal_rate == Decimal("0.0599999999999987210230756318196654320")
-    # Typescript says: 1.5
     assert actual.max_rate == Decimal("1.5")
     assert actual.node_banks[0] == PublicKey("J2Lmnc1e4frMnBEJARPoHtfpcohLfN67HdK1inXjTFSM")
-    # Typescript says: 1000154.42276607355830719825
+    assert actual.deposit_index == Decimal("1000154.42276607355830719825")
-    assert actual.deposit_index == Decimal("1000154.42276607355830719825462438166")
+    assert actual.borrow_index == Decimal("1000219.00867863010088498754")
-    # Typescript says: 1000219.00867863010088498754
-    assert actual.borrow_index == Decimal("1000219.00867863010088498754157626536")
-    # Typescript says: "Mon, 04 Oct 2021 14:58:05 GMT"
     assert actual.last_updated == datetime(2021, 10, 4, 14, 58, 5, 0, timezone.utc)