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mango-explorer
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Added --hedging-pulse-pause-count parameter to marketmaker to making the hedger pause after placing a trade.

This commit is contained in:
Geoff Taylor 2022-01-24 16:31:01 +00:00
parent 5d36d186ee
commit 672542697b
2 changed files with 15 additions and 18 deletions
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5
bin/marketmaker
View File

@ -51,6 +51,8 @@ parser.add_argument("--hedging-target-balance", type=mango.parse_fixed_target_ba
help="hedged balance to maintain - format is a token symbol plus target value, separated by a colon (e.g. 'ETH:2.5')")
parser.add_argument("--hedging-action-threshold", type=Decimal, default=Decimal(0),
help="minimum difference between spot and perp positions before action will be taken")
parser.add_argument("--hedging-pulse-pause-count", type=int, default=0,
help="number of pulses to pause after sending an order (to stop overtrading - a pause will prevent checking hedge delta and placing orders)")
parser.add_argument("--account-address", type=PublicKey,
help="address of the specific account to use, if more than one available")
parser.add_argument("--notify-errors", type=mango.parse_notification_target, action="append", default=[],
@ -130,7 +132,8 @@ if args.hedging_market is not None:
target_balance = mango.FixedTargetBalance(hedging_market.base.symbol, Decimal(0))
hedger = mango.hedging.PerpToSpotHedger(group, underlying_market, hedging_market,
hedging_market_operations, args.hedging_max_price_slippage_factor,
args.hedging_max_chunk_quantity, target_balance, args.hedging_action_threshold)
args.hedging_max_chunk_quantity, target_balance,
args.hedging_action_threshold, args.hedging_pulse_pause_count)
order_reconciler: mango.marketmaking.OrderReconciler

28
mango/hedging/perptospothedger.py
View File

@ -32,7 +32,8 @@ class PerpToSpotHedger(Hedger):
def __init__(self, group: mango.Group, underlying_market: mango.PerpMarket,
hedging_market: mango.SpotMarket, market_operations: mango.MarketOperations,
max_price_slippage_factor: Decimal, max_hedge_chunk_quantity: Decimal,
target_balance: mango.TargetBalance, action_threshold: Decimal) -> None:
target_balance: mango.TargetBalance, action_threshold: Decimal,
pause_threshold: int = 0) -> None:
super().__init__()
if (underlying_market.base != hedging_market.base) or (underlying_market.quote != hedging_market.quote):
raise Exception(
@ -54,7 +55,15 @@ class PerpToSpotHedger(Hedger):
self.market_index: int = group.slot_by_perp_market_address(underlying_market.address).index
self.pause_threshold: int = pause_threshold
self.pause_counter: int = self.pause_threshold
def pulse(self, context: mango.Context, model_state: mango.ModelState) -> None:
if self.pause_counter < self.pause_threshold:
self.pause_counter += 1
self._logger.debug(f"Pausing trades for {self.pause_threshold} pulses - this is pulse {self.pause_counter}")
return
try:
perp_account: typing.Optional[mango.PerpAccount] = model_state.account.perp_accounts_by_index[self.market_index]
if perp_account is None:
@ -66,22 +75,6 @@ class PerpToSpotHedger(Hedger):
raise Exception(
f"Could not find basket token at index {self.market_index} in account {model_state.account.address}.")
# # Latency can be important here so fetch fresh Account data in one gulp.
# fresh_data: typing.Sequence[mango.AccountInfo] = mango.AccountInfo.load_multiple(
# context, [model_state.group.address, model_state.group.cache, model_state.account.address])
# fresh_group: mango.Group = mango.Group.parse_with_context(context, fresh_data[0])
# fresh_cache: mango.Cache = mango.Cache.parse(fresh_data[1])
# fresh_account: mango.Account = mango.Account.parse(fresh_data[2], fresh_group, fresh_cache)
# perp_account: typing.Optional[mango.PerpAccount] = fresh_account.perp_accounts_by_index[self.market_index]
# if perp_account is None:
# raise Exception(
# f"Could not find perp account at index {self.market_index} in account {fresh_account.address}.")
# basket_token: typing.Optional[mango.AccountSlot] = fresh_account.slots_by_index[self.market_index]
# if basket_token is None:
# raise Exception(
# f"Could not find basket token at index {self.market_index} in account {fresh_account.address}.")
token_balance: mango.InstrumentValue = basket_token.net_value
perp_position: mango.InstrumentValue = perp_account.base_token_value
@ -112,6 +105,7 @@ class PerpToSpotHedger(Hedger):
f"Hedging perp position {perp_position} and token balance {token_balance} with {side} of {quantity:,.8f} at {up_or_down} ({model_state.price}) {adjusted_price:,.8f} on {self.hedging_market.symbol}\n\t{order}")
try:
self.market_operations.place_order(order)
self.pause_counter = 0
except Exception:
self._logger.error(
f"[{context.name}] Failed to hedge on {self.hedging_market.symbol} using order {order} - {traceback.format_exc()}")