diff --git a/bin/marketmaker b/bin/marketmaker index b1f71fd..8a02eb3 100755 --- a/bin/marketmaker +++ b/bin/marketmaker @@ -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, diff --git a/mango/marketmaking/confidenceintervaldesiredordersbuilder.py b/mango/marketmaking/confidenceintervaldesiredordersbuilder.py index b1ec467..db8b210 100644 --- a/mango/marketmaking/confidenceintervaldesiredordersbuilder.py +++ b/mango/marketmaking/confidenceintervaldesiredordersbuilder.py @@ -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"Β« π™²πš˜πš—πšπš’πšπšŽπš—πšŒπšŽπ™Έπš—πšπšŽπš›πšŸπšŠπš•π™³πšŽπšœπš’πš›πšŽπšπ™Ύπš›πšπšŽπš›πšœπ™±πšžπš’πš•πšπšŽπš› {self.order_type} - position size: {self.position_size_ratio}, min charge: {self.min_price_ratio}, confidence weighting: {self.confidence_weighting} Β»" + return f"Β« π™²πš˜πš—πšπš’πšπšŽπš—πšŒπšŽπ™Έπš—πšπšŽπš›πšŸπšŠπš•π™³πšŽπšœπš’πš›πšŽπšπ™Ύπš›πšπšŽπš›πšœπ™±πšžπš’πš•πšπšŽπš› {self.order_type} - position size: {self.position_size_ratio}, min charge: {self.min_price_ratio}, confidence interval levels: {self.confidence_interval_levels} Β»"