Changed confidence_weighting in marketmaker to confidence_interval_levels. Multiple levels can now be specified, creating multiple levels of orders.
This commit is contained in:
Geoff Taylor
parent
e3cb7720db
commit
66ccdcf63e
|
|
@ -27,8 +27,8 @@ parser.add_argument("--existing-order-tolerance", type=Decimal, default=Decimal(
|
|||
help="tolerance in price and quantity when matching existing orders or cancelling/replacing")
|
||||
parser.add_argument("--minimum-charge-ratio", type=Decimal, default=Decimal("0.0005"),
|
||||
help="minimum fraction of the price to be accept as a spread")
|
||||
parser.add_argument("--confidence-weighting", type=Decimal, default=Decimal("2"),
|
||||
help="a weighting to apply to the confidence interval from the oracle: e.g. 1 - use the oracle confidence interval as the spread, 2 (risk averse, default) - multiply the oracle confidence interval by 2 to get the spread, 0.5 (aggressive) halve the oracle confidence interval to get the spread")
|
||||
parser.add_argument("--confidence-interval-level", type=Decimal, action="append",
|
||||
help="the levels of weighting to apply to the confidence interval from the oracle: e.g. 1 - use the oracle confidence interval as the spread, 2 (risk averse, default) - multiply the oracle confidence interval by 2 to get the spread, 0.5 (aggressive) halve the oracle confidence interval to get the spread (can be specified multiple times to give multiple levels)")
|
||||
parser.add_argument("--order-type", type=mango.OrderType, default=mango.OrderType.POST_ONLY,
|
||||
choices=list(mango.OrderType), help="Order type: LIMIT, IOC or POST_ONLY")
|
||||
parser.add_argument("--pulse-interval", type=int, default=10,
|
||||
|
|
@ -118,7 +118,7 @@ ws.open()
|
|||
order_reconciler = mango.marketmaking.ToleranceOrderReconciler(
|
||||
args.existing_order_tolerance, args.existing_order_tolerance)
|
||||
desired_orders_builder = mango.marketmaking.ConfidenceIntervalDesiredOrdersBuilder(
|
||||
args.position_size_ratio, args.minimum_charge_ratio, args.confidence_weighting, args.order_type)
|
||||
args.position_size_ratio, args.minimum_charge_ratio, args.confidence_interval_level, args.order_type)
|
||||
market_maker = mango.marketmaking.MarketMaker(
|
||||
wallet, market, market_instruction_builder, desired_orders_builder, order_reconciler)
|
||||
model_state = mango.marketmaking.ModelState(market, latest_account_observer,
|
||||
|
|
|
|||
|
|
@ -30,11 +30,14 @@ from .modelstate import ModelState
|
|||
#
|
||||
|
||||
class ConfidenceIntervalDesiredOrdersBuilder(DesiredOrdersBuilder):
|
||||
def __init__(self, position_size_ratio: Decimal, min_price_ratio: Decimal, confidence_weighting: Decimal = Decimal(2), order_type: mango.OrderType = mango.OrderType.POST_ONLY):
|
||||
def __init__(self, position_size_ratio: Decimal, min_price_ratio: Decimal, confidence_interval_levels: typing.Sequence[Decimal] = [Decimal(2)], order_type: mango.OrderType = mango.OrderType.POST_ONLY):
|
||||
print("---")
|
||||
print(confidence_interval_levels)
|
||||
print("---")
|
||||
self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
|
||||
self.position_size_ratio: Decimal = position_size_ratio
|
||||
self.min_price_ratio: Decimal = min_price_ratio
|
||||
self.confidence_weighting: Decimal = confidence_weighting
|
||||
self.confidence_interval_levels: typing.Sequence[Decimal] = confidence_interval_levels
|
||||
self.order_type: mango.OrderType = order_type
|
||||
|
||||
def build(self, context: mango.Context, model_state: ModelState) -> typing.Sequence[mango.Order]:
|
||||
|
|
@ -49,20 +52,23 @@ class ConfidenceIntervalDesiredOrdersBuilder(DesiredOrdersBuilder):
|
|||
quote_value_to_risk = total * self.position_size_ratio
|
||||
base_position_size = quote_value_to_risk / price.mid_price
|
||||
|
||||
# From Daffy on 26th July 2021: max(pyth_conf * 2, price * min_charge)
|
||||
# (Private chat link: https://discord.com/channels/@me/832570058861314048/869208592648134666)
|
||||
charge = max(price.confidence * self.confidence_weighting, price.mid_price * self.min_price_ratio)
|
||||
bid: Decimal = price.mid_price - charge
|
||||
ask: Decimal = price.mid_price + charge
|
||||
orders: typing.List[mango.Order] = []
|
||||
|
||||
orders: typing.List[mango.Order] = [
|
||||
mango.Order.from_basic_info(mango.Side.BUY, price=bid,
|
||||
quantity=base_position_size, order_type=self.order_type),
|
||||
mango.Order.from_basic_info(mango.Side.SELL, price=ask,
|
||||
quantity=base_position_size, order_type=self.order_type)
|
||||
]
|
||||
for confidence_interval_level in self.confidence_interval_levels:
|
||||
# From Daffy on 26th July 2021: max(pyth_conf * 2, price * min_charge)
|
||||
# (Private chat link: https://discord.com/channels/@me/832570058861314048/869208592648134666)
|
||||
charge = max(price.confidence * confidence_interval_level, price.mid_price * self.min_price_ratio)
|
||||
bid: Decimal = price.mid_price - charge
|
||||
ask: Decimal = price.mid_price + charge
|
||||
|
||||
orders += [
|
||||
mango.Order.from_basic_info(mango.Side.BUY, price=bid,
|
||||
quantity=base_position_size, order_type=self.order_type),
|
||||
mango.Order.from_basic_info(mango.Side.SELL, price=ask,
|
||||
quantity=base_position_size, order_type=self.order_type)
|
||||
]
|
||||
|
||||
return orders
|
||||
|
||||
def __str__(self) -> str:
|
||||
return f"« 𝙲𝚘𝚗𝚏𝚒𝚍𝚎𝚗𝚌𝚎𝙸𝚗𝚝𝚎𝚛𝚟𝚊𝚕𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛𝚜𝙱𝚞𝚒𝚕𝚍𝚎𝚛 {self.order_type} - position size: {self.position_size_ratio}, min charge: {self.min_price_ratio}, confidence weighting: {self.confidence_weighting} »"
|
||||
return f"« 𝙲𝚘𝚗𝚏𝚒𝚍𝚎𝚗𝚌𝚎𝙸𝚗𝚝𝚎𝚛𝚟𝚊𝚕𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛𝚜𝙱𝚞𝚒𝚕𝚍𝚎𝚛 {self.order_type} - position size: {self.position_size_ratio}, min charge: {self.min_price_ratio}, confidence interval levels: {self.confidence_interval_levels} »"
|
||||
|
|
|
|||
Loading…
Reference in New Issue