OrderBook can now provide expired orders, if requested.

README.md

@@ -60,7 +60,7 @@ market = mango.ensure_market_loaded(context, stub)
 market_operations = mango.create_market_operations(context, wallet, account, market, dry_run=False)
 
 print("Initial order book:\n\t", market_operations.load_orderbook())
-print("Your current orders:\n\t", market_operations.load_my_orders())
+print("Your current orders:\n\t", market_operations.load_my_orders(include_expired=True))
 
 # Go on - try to buy 1 SOL-PERP contract for $10.
 order = mango.Order.from_basic_info(side=mango.Side.BUY,
@@ -74,7 +74,7 @@ print("\n\nSleeping for 10 seconds...")
 time.sleep(10)
 
 print("\n\nOrder book (including our new order):\n", market_operations.load_orderbook())
-print("Your current orders:\n\t", market_operations.load_my_orders())
+print("Your current orders:\n\t", market_operations.load_my_orders(include_expired=True))
 
 cancellation_signatures = market_operations.cancel_order(placed_order)
 print("\n\nCancellation signature:\n\t", cancellation_signatures)
@@ -83,7 +83,7 @@ print("\n\nSleeping for 10 seconds...")
 time.sleep(10)
 
 print("\n\nOrder book (without our order):\n", market_operations.load_orderbook())
-print("Your current orders:\n\t", market_operations.load_my_orders())
+print("Your current orders:\n\t", market_operations.load_my_orders(include_expired=True))
 
 ```
 

bin/cancel-my-orders

@@ -48,7 +48,7 @@ if market is None:
 market_operations = mango.create_market_operations(
     context, wallet, account, market, args.dry_run
 )
-orders = market_operations.load_my_orders()
+orders = market_operations.load_my_orders(include_expired=True)
 if len(orders) == 0:
     mango.output(f"No open orders on {market.symbol}")
 else:

bin/download-trades

@@ -55,7 +55,7 @@ for account in accounts:
         filename = f"trade-history-{account.address}.csv"
     history: mango.TradeHistory = mango.TradeHistory()
     if args.most_recent_hours:
-        cutoff: datetime = datetime.utcnow() - timedelta(hours=args.most_recent_hours)
+        cutoff: datetime = mango.utc_now() - timedelta(hours=args.most_recent_hours)
         cutoff = cutoff.replace(tzinfo=timezone(offset=timedelta()))
         history.download_latest(context, account, cutoff)
     else:

bin/marketmaker

@@ -90,7 +90,7 @@ parser.add_argument(
 parser.add_argument(
     "--existing-order-time-in-force-tolerance",
     type=Decimal,
-    default=Decimal("0.001"),
+    default=Decimal(0),
     help="tolerance in time-in-force when matching existing orders or cancelling/replacing",
 )
 parser.add_argument(
@@ -187,7 +187,7 @@ def cleanup(
         )
     )
     cancels: mango.CombinableInstructions = mango.CombinableInstructions.empty()
-    orders = market_operations.load_my_orders()
+    orders = market_operations.load_my_orders(include_expired=True)
     for order in orders:
         cancels += market_instruction_builder.build_cancel_order_instructions(
             order, ok_if_missing=True

bin/show-my-orders

@@ -29,6 +29,12 @@ parser.add_argument(
     default=False,
     help="runs as read-only and does not perform any transactions",
 )
+parser.add_argument(
+    "--include-expired",
+    action="store_true",
+    default=False,
+    help="show all owned transactions, even those that have expired",
+)
 args: argparse.Namespace = mango.parse_args(parser)
 
 context = mango.ContextBuilder.from_command_line_parameters(args)
@@ -45,7 +51,7 @@ if market is None:
 market_operations = mango.create_market_operations(
     context, wallet, account, market, args.dry_run
 )
-orders = market_operations.load_my_orders()
+orders = market_operations.load_my_orders(include_expired=args.include_expired)
 mango.output(f"{len(orders)} order(s) to show.")
 for order in orders:
     mango.output(order)

docs/MarketmakingIntroduction.md

@@ -67,7 +67,7 @@ try:
     bid, ask = self.calculate_order_prices(price)
     buy_quantity, sell_quantity = self.calculate_order_quantities(price, inventory)
 
-    current_orders = self.market_operations.load_my_orders()
+    current_orders = self.market_operations.load_my_orders(include_expired=True)
     buy_orders = [order for order in current_orders if order.side == mango.Side.BUY]
     if self.orders_require_action(buy_orders, bid, buy_quantity):
         self._logger.info("Cancelling BUY orders.")

mango/__init__.py

@@ -64,6 +64,8 @@ from .createmarketoperations import (
     create_market_instruction_builder as create_market_instruction_builder,
 )
 from .createmarketoperations import create_market_operations as create_market_operations
+from .datetimes import local_now as local_now
+from .datetimes import utc_now as utc_now
 from .encoding import decode_binary as decode_binary
 from .encoding import encode_binary as encode_binary
 from .encoding import encode_key as encode_key

mango/client.py

@@ -45,6 +45,7 @@ from solana.rpc.types import (
 from solana.transaction import Transaction
 
 from .constants import SOL_DECIMAL_DIVISOR
+from .datetimes import local_now
 from .instructionreporter import InstructionReporter
 from .logmessages import expand_log_messages
 from .text import indent_collection_as_str
@@ -394,7 +395,7 @@ class TransactionWatcher:
         self.collector = collector
 
     def report_on_transaction(self) -> None:
-        started_at: datetime = datetime.now()
+        started_at: datetime = local_now()
         for pause in [
             0.1,
             0.2,
@@ -438,7 +439,7 @@ class TransactionWatcher:
             ):
                 [status] = transaction_response["result"]["value"]
                 if status is not None:
-                    delta: timedelta = datetime.now() - started_at
+                    delta: timedelta = local_now() - started_at
                     time_taken: float = delta.seconds + delta.microseconds / 1000000
 
                     # value should be a dict that looks like:
@@ -493,7 +494,7 @@ class TransactionWatcher:
                     return
             time.sleep(pause)
 
-        delta = datetime.now() - started_at
+        delta = local_now() - started_at
         time_wasted_looking: float = delta.seconds + delta.microseconds / 1000000
         self.collector.add_transaction(
             TransactionStatus(
@@ -1163,15 +1164,15 @@ class BetterClient:
             f"Waiting up to {max_wait_in_seconds} seconds for {transaction_ids}."
         )
         all_confirmed: typing.List[str] = []
-        start_time: datetime = datetime.now()
+        start_time: datetime = local_now()
         cutoff: datetime = start_time + timedelta(seconds=max_wait_in_seconds)
         for transaction_id in transaction_ids:
-            while datetime.now() < cutoff:
+            while local_now() < cutoff:
                 time.sleep(1)
                 confirmed = self.get_confirmed_transaction(transaction_id)
                 if confirmed is not None:
                     self._logger.info(
-                        f"Confirmed {transaction_id} after {datetime.now() - start_time} seconds."
+                        f"Confirmed {transaction_id} after {local_now() - start_time} seconds."
                     )
                     all_confirmed += [transaction_id]
                     break

mango/datetimes.py

@@ -0,0 +1,37 @@
+# # ⚠ 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)
+
+from datetime import datetime, timezone
+
+# # 🥭 Datetimes
+#
+# This file contains a few useful datetime functions.
+#
+# They exist solely to make clear what is being used when called. There are 2 general cases:
+# 1. Logging/time tracking/user output - local time is what should be used.
+# 2. Comparison with dates stored on-chain - UTC should be used.
+#
+# Getting a UTC time that is comparable with on-chain datetimes isn't intuitive, so putting
+# it in one place and using that consistently should make it clearer in the calling code
+# what is going on, without the unnecessary complications.
+#
+
+
+def local_now() -> datetime:
+    return datetime.now()
+
+
+def utc_now() -> datetime:
+    return datetime.utcnow().astimezone(timezone.utc)

mango/hedging/perptospothedger.py

@@ -18,7 +18,6 @@ import mango
 import traceback
 import typing
 
-from datetime import datetime
 from decimal import Decimal
 
 from .hedger import Hedger
@@ -163,7 +162,7 @@ class PerpToSpotHedger(Hedger):
                     )
                     raise
 
-            self.pulse_complete.on_next(datetime.now())
+            self.pulse_complete.on_next(mango.local_now())
         except (
             mango.RateLimitException,
             mango.NodeIsBehindException,

mango/liquidationprocessor.py

@@ -24,6 +24,7 @@ from decimal import Decimal
 from .account import Account
 from .accountliquidator import AccountLiquidator
 from .context import Context
+from .datetimes import local_now
 from .group import Group
 from .instrumentvalue import InstrumentValue
 from .liquidatablereport import LiquidatableReport, LiquidatableState
@@ -79,8 +80,8 @@ class LiquidationProcessor:
             LiquidationEvent
         ]()
         self.ripe_accounts: typing.Optional[typing.Sequence[Account]] = None
-        self.ripe_accounts_updated_at: datetime = datetime.now()
+        self.ripe_accounts_updated_at: datetime = local_now()
-        self.prices_updated_at: datetime = datetime.now()
+        self.prices_updated_at: datetime = local_now()
         self.state: LiquidationProcessorState = LiquidationProcessorState.STARTING
         self.state_change: EventSource[LiquidationProcessor] = EventSource[
             LiquidationProcessor
@@ -92,7 +93,7 @@ class LiquidationProcessor:
         )
         self._check_update_recency("prices", self.prices_updated_at)
         self.ripe_accounts = ripe_accounts
-        self.ripe_accounts_updated_at = datetime.now()
+        self.ripe_accounts_updated_at = local_now()
         # If this is the first time through, mark ourselves as Healthy.
         if self.state == LiquidationProcessorState.STARTING:
             self.state = LiquidationProcessorState.HEALTHY
@@ -160,7 +161,7 @@ class LiquidationProcessor:
 
         self._liquidate_all(group, prices, worthwhile)
 
-        self.prices_updated_at = datetime.now()
+        self.prices_updated_at = local_now()
         time_taken = time.time() - started_at
         self._logger.info(
             f"Check of all ripe 🥭 accounts complete. Time taken: {time_taken:.2f} seconds."
@@ -215,7 +216,7 @@ class LiquidationProcessor:
                 )
 
     def _check_update_recency(self, name: str, last_updated_at: datetime) -> None:
-        how_long_ago_was_last_update = datetime.now() - last_updated_at
+        how_long_ago_was_last_update = local_now() - last_updated_at
         if how_long_ago_was_last_update > LiquidationProcessor._AGE_ERROR_THRESHOLD:
             self.state = LiquidationProcessorState.UNHEALTHY
             self.state_change.on_next(self)

mango/marketmaking/marketmaker.py

@@ -155,7 +155,7 @@ Ignore:
                     payer + cancellations + place_orders + crank + settle + redeem
                 ).execute(context)
 
-            self.pulse_complete.on_next(datetime.now())
+            self.pulse_complete.on_next(mango.local_now())
         except (
             mango.RateLimitException,
             mango.NodeIsBehindException,

mango/marketoperations.py

@@ -139,7 +139,7 @@ class MarketOperations(metaclass=abc.ABCMeta):
         )
 
     @abc.abstractmethod
-    def load_my_orders(self) -> typing.Sequence[Order]:
+    def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
         raise NotImplementedError(
             "MarketOperations.load_my_orders() is not implemented on the base type."
         )
@@ -228,7 +228,7 @@ class NullMarketOperations(MarketOperations):
     def load_orderbook(self) -> OrderBook:
         return OrderBook(self.market_name, NullLotSizeConverter(), [], [])
 
-    def load_my_orders(self) -> typing.Sequence[Order]:
+    def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
         return []
 
     def settle(self) -> typing.Sequence[str]:

mango/modelstate.py

@@ -135,9 +135,9 @@ class ModelState:
         return self.event_queue_watcher.latest.accounts_to_crank
 
     def current_orders(self) -> typing.Sequence[Order]:
-        self.orderbook
+        return self.orderbook.all_orders_for_owner(
-        all_orders = [*self.bids, *self.asks]
+            self.order_owner, include_expired=True
-        return list([o for o in all_orders if o.owner == self.order_owner])
+        )
 
     def __str__(self) -> str:
         return f"""« ModelState for market '{self.market.symbol}'

mango/observables.py

@@ -23,6 +23,7 @@ from datetime import datetime
 from rx.core.typing import Disposable
 from rxpy_backpressure import BackPressure
 
+from .datetimes import local_now
 from .output import output
 
 
@@ -83,7 +84,7 @@ class TimestampedPrintingObserverSubscriber(PrintingObserverSubscriber):
         super().__init__(report_no_output)
 
     def on_next(self, item: typing.Any) -> None:
-        super().on_next(f"{datetime.now()}: {item}")
+        super().on_next(f"{local_now()}: {item}")
 
 
 # # 🥭 CollectingObserverSubscriber class
@@ -140,11 +141,11 @@ class LatestItemObserverSubscriber(
     def __init__(self, initial: TItem) -> None:
         super().__init__()
         self.latest: TItem = initial
-        self.update_timestamp: datetime = datetime.now()
+        self.update_timestamp: datetime = local_now()
 
     def on_next(self, item: TItem) -> None:
         self.latest = item
-        self.update_timestamp = datetime.now()
+        self.update_timestamp = local_now()
 
     def on_error(self, ex: Exception) -> None:
         pass

mango/oracles/ftx/ftx.py

@@ -25,6 +25,7 @@ from decimal import Decimal
 from rx.subject.subject import Subject
 
 from ...context import Context
+from ...datetimes import utc_now
 from ...market import Market
 from ...observables import DisposePropagator, DisposeWrapper
 from ...oracle import (
@@ -79,7 +80,7 @@ class FtxOracle(Oracle):
 
         return Price(
             self.source,
-            datetime.now(),
+            utc_now(),
             self.market,
             bid,
             price,

mango/oracles/market/market.py

@@ -18,10 +18,10 @@ import rx
 import rx.operators as ops
 import typing
 
-from datetime import datetime
 from decimal import Decimal
 
 from ...context import Context
+from ...datetimes import utc_now
 from ...ensuremarketloaded import ensure_market_loaded
 from ...loadedmarket import LoadedMarket
 from ...market import Market
@@ -86,7 +86,7 @@ class MarketOracle(Oracle):
 
         return Price(
             self.source,
-            datetime.now(),
+            utc_now(),
             self.market,
             top_bid,
             mid_price,

mango/oracles/pythnetwork/pythnetwork.py

@@ -19,12 +19,12 @@ import rx
 import rx.operators as ops
 import typing
 
-from datetime import datetime
 from decimal import Decimal
 from solana.publickey import PublicKey
 
 from ...accountinfo import AccountInfo
 from ...context import Context
+from ...datetimes import utc_now
 from ...market import Market
 from ...observables import observable_pipeline_error_reporter
 from ...oracle import (
@@ -110,7 +110,13 @@ class PythOracle(Oracle):
 
         # Pyth has no notion of bids, asks, or spreads so just provide the single price.
         return Price(
-            self.source, datetime.now(), self.market, price, price, price, confidence
+            self.source,
+            utc_now(),
+            self.market,
+            price,
+            price,
+            price,
+            confidence,
         )
 
     def to_streaming_observable(

mango/oracles/stub/stub.py

@@ -18,12 +18,12 @@ import rx
 import rx.operators as ops
 import typing
 
-from datetime import datetime
 from decimal import Decimal
 from solana.publickey import PublicKey
 
 from ...cache import Cache
 from ...context import Context
+from ...datetimes import utc_now
 from ...ensuremarketloaded import ensure_market_loaded
 from ...market import Market
 from ...observables import observable_pipeline_error_reporter
@@ -83,7 +83,7 @@ class StubOracle(Oracle):
         # will give you the consistent results, but you'll need to adjust your code"
         return Price(
             self.source,
-            datetime.now(),
+            utc_now(),
             self.market,
             raw_price.price,
             raw_price.price,

mango/orderbookside.py

@@ -16,7 +16,7 @@
 import enum
 import typing
 
-from datetime import datetime, timedelta, timezone
+from datetime import timedelta, timezone
 from decimal import Decimal
 from solana.publickey import PublicKey
 
@@ -141,51 +141,47 @@ class PerpOrderBookSide(AddressableAccount):
 
         stack = [self.root_node]
         orders: typing.List[Order] = []
-        now: datetime = datetime.utcnow().astimezone(timezone.utc)
         while len(stack) > 0:
             index = int(stack.pop())
             node = self.nodes[index]
             if node.type_name == "leaf":
-                expiration = (
+                expiration = Order.NoExpiration
-                    node.timestamp.astimezone(timezone.utc)
+                if node.time_in_force != 0:
-                    + timedelta(seconds=float(node.time_in_force))
+                    expiration = node.timestamp.astimezone(timezone.utc) + timedelta(
-                    if node.time_in_force == 0
+                        seconds=float(node.time_in_force)
-                    else Order.NoExpiration
+                    )
+
+                price = node.key["price"]
+                quantity = node.quantity
+
+                decimals_differential = (
+                    self.perp_market_details.base_instrument.decimals
+                    - self.perp_market_details.quote_token.token.decimals
                 )
-                if (node.time_in_force == 0) or (expiration > now):
+                native_to_ui = Decimal(10) ** decimals_differential
-                    price = node.key["price"]
+                quote_lot_size = self.perp_market_details.quote_lot_size
-                    quantity = node.quantity
+                base_lot_size = self.perp_market_details.base_lot_size
+                actual_price = price * (quote_lot_size / base_lot_size) * native_to_ui
 
-                    decimals_differential = (
+                base_factor = (
-                        self.perp_market_details.base_instrument.decimals
+                    Decimal(10) ** self.perp_market_details.base_instrument.decimals
-                        - self.perp_market_details.quote_token.token.decimals
+                )
-                    )
+                actual_quantity = (
-                    native_to_ui = Decimal(10) ** decimals_differential
+                    quantity * self.perp_market_details.base_lot_size
-                    quote_lot_size = self.perp_market_details.quote_lot_size
+                ) / base_factor
-                    base_lot_size = self.perp_market_details.base_lot_size
-                    actual_price = (
-                        price * (quote_lot_size / base_lot_size) * native_to_ui
-                    )
 
-                    base_factor = (
+                orders += [
-                        Decimal(10) ** self.perp_market_details.base_instrument.decimals
+                    Order(
+                        int(node.key["order_id"]),
+                        node.client_order_id,
+                        node.owner,
+                        order_side,
+                        actual_price,
+                        actual_quantity,
+                        OrderType.UNKNOWN,
+                        expiration=expiration,
                     )
-                    actual_quantity = (
+                ]
-                        quantity * self.perp_market_details.base_lot_size
-                    ) / base_factor
-
-                    orders += [
-                        Order(
-                            int(node.key["order_id"]),
-                            node.client_order_id,
-                            node.owner,
-                            order_side,
-                            actual_price,
-                            actual_quantity,
-                            OrderType.UNKNOWN,
-                            expiration=expiration,
-                        )
-                    ]
             elif node.type_name == "inner":
                 if order_side == Side.BUY:
                     stack = [*stack, node.children[0], node.children[1]]

mango/orders.py

@@ -26,6 +26,7 @@ from pyserum.market.types import Order as PySerumOrder
 from solana.publickey import PublicKey
 
 from .constants import SYSTEM_PROGRAM_ADDRESS
+from .datetimes import utc_now
 from .lotsizeconverter import LotSizeConverter
 
 
@@ -170,6 +171,12 @@ class Order:
         high_order = id_bytes[8:]
         return Decimal(int.from_bytes(high_order, "little", signed=False))
 
+    @property
+    def expired(self) -> bool:
+        if (self.expiration == Order.NoExpiration) or (self.expiration > utc_now()):
+            return False
+        return True
+
     # Returns an identical order with the ID changed.
     def with_id(self, id: int) -> "Order":
         return Order(
@@ -388,7 +395,7 @@ class Order:
         if expire_seconds is None or expire_seconds <= Decimal(0):
             return Order.NoExpiration
 
-        return datetime.now() + timedelta(seconds=float(expire_seconds))
+        return utc_now() + timedelta(seconds=float(expire_seconds))
 
     def __str__(self) -> str:
         owner: str = ""
@@ -397,7 +404,7 @@ class Order:
         order_type: str = ""
         if self.order_type != OrderType.UNKNOWN:
             order_type = f" {self.order_type}"
-        return f"« Order {owner}{self.side} for {self.quantity:,.8f} at {self.price:.8f} [ID: {self.id} / {self.client_id}]{order_type}{' reduceOnly' if self.reduce_only else ''}»"
+        return f"« Order {owner}{self.side} for {self.quantity:,.8f} at {self.price:.8f} [ID: {self.id} / {self.client_id}]{order_type}{' reduceOnly' if self.reduce_only else ''}{' EXPIRED' if self.expired else ''} »"
 
     def __repr__(self) -> str:
         return f"{self}"
@@ -420,7 +427,7 @@ class OrderBook:
 
     @property
     def bids(self) -> typing.Sequence[Order]:
-        return self.__bids
+        return list([o for o in self.__bids if not o.expired])
 
     @bids.setter
     def bids(self, bids: typing.Sequence[Order]) -> None:
@@ -431,7 +438,7 @@ class OrderBook:
 
     @property
     def asks(self) -> typing.Sequence[Order]:
-        return self.__asks
+        return list([o for o in self.__asks if not o.expired])
 
     @asks.setter
     def asks(self, asks: typing.Sequence[Order]) -> None:
@@ -443,28 +450,32 @@ class OrderBook:
     # The top bid is the highest price someone is willing to pay to BUY
     @property
     def top_bid(self) -> typing.Optional[Order]:
-        if self.bids and len(self.bids) > 0:
+        bids = self.bids
+        if bids and len(bids) > 0:
             # Top-of-book is always at index 0 for us.
-            return self.bids[0]
+            return bids[0]
         return None
 
     # The top ask is the lowest price someone is willing to pay to SELL
     @property
     def top_ask(self) -> typing.Optional[Order]:
-        if self.asks and len(self.asks) > 0:
+        asks = self.asks
+        if asks and len(asks) > 0:
             # Top-of-book is always at index 0 for us.
-            return self.asks[0]
+            return asks[0]
         return None
 
     # The mid price is halfway between the best bid and best ask.
     @property
     def mid_price(self) -> typing.Optional[Decimal]:
-        if self.top_bid is not None and self.top_ask is not None:
+        top_bid = self.top_bid
-            return (self.top_bid.price + self.top_ask.price) / 2
+        top_ask = self.top_ask
-        elif self.top_bid is not None:
+        if top_bid is not None and top_ask is not None:
-            return self.top_bid.price
+            return (top_bid.price + top_ask.price) / 2
-        elif self.top_ask is not None:
+        elif top_bid is not None:
-            return self.top_ask.price
+            return top_bid.price
+        elif top_ask is not None:
+            return top_ask.price
         return None
 
     @property
@@ -476,8 +487,17 @@ class OrderBook:
         else:
             return top_ask.price - top_bid.price
 
-    def all_orders_for_owner(self, owner_address: PublicKey) -> typing.Sequence[Order]:
+    def all_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
-        return list([o for o in [*self.bids, *self.asks] if o.owner == owner_address])
+        if include_expired:
+            return [*self.__bids, *self.__asks]
+        return [*self.bids, *self.asks]
+
+    def all_orders_for_owner(
+        self, owner_address: PublicKey, include_expired: bool = False
+    ) -> typing.Sequence[Order]:
+        return list(
+            [o for o in self.all_orders(include_expired) if o.owner == owner_address]
+        )
 
     def to_dataframe(self) -> pandas.DataFrame:
         column_mapper = {
@@ -487,6 +507,7 @@ class OrderBook:
             "side": "Side",
             "price": "Price",
             "quantity": "Quantity",
+            "expiration": "Expiration",
         }
 
         frame: pandas.DataFrame = pandas.DataFrame([*reversed(self.bids), *self.asks])

mango/perpmarketdetails.py

@@ -15,13 +15,14 @@
 
 import typing
 
-from datetime import datetime, timedelta, timezone
+from datetime import datetime, timedelta
 from decimal import Decimal
 from solana.publickey import PublicKey
 
 from .accountinfo import AccountInfo
 from .addressableaccount import AddressableAccount
 from .context import Context
+from .datetimes import utc_now
 from .group import GroupSlot, Group
 from .instrumentvalue import InstrumentValue
 from .layouts import layouts
@@ -87,7 +88,7 @@ class LiquidityMiningInfo:
         #   portion_given = 1 - mngoLeft / mngoPerPeriod
         #   elapsed = (<current_time> - periodStart) / targetPeriodLength
         #   est_next = elapsed / portion_given - elapsed
-        now: datetime = datetime.now().replace(microsecond=0).astimezone(timezone.utc)
+        now: datetime = utc_now().replace(microsecond=0)
         mngo_distributed: InstrumentValue = self.mngo_per_period - self.mngo_left
         proportion_distributed: Decimal = Decimal(0)
         elapsed: timedelta = now - self.period_start

mango/perpmarketoperations.py

@@ -264,9 +264,11 @@ class PerpMarketOperations(MarketOperations):
     def load_orderbook(self) -> OrderBook:
         return self.perp_market.fetch_orderbook(self.context)
 
-    def load_my_orders(self) -> typing.Sequence[Order]:
+    def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
         orderbook: OrderBook = self.load_orderbook()
-        return orderbook.all_orders_for_owner(self.account.address)
+        return orderbook.all_orders_for_owner(
+            self.account.address, include_expired=include_expired
+        )
 
     def _build_crank(
         self, limit: Decimal = Decimal(32), add_self: bool = False

mango/reconnectingwebsocket.py

@@ -21,9 +21,10 @@ import rx.subject
 import typing
 import websocket
 
-from datetime import datetime
 from threading import Thread
 
+from .datetimes import local_now
+
 
 # # 🥭 ReconnectingWebsocket class
 #
@@ -41,16 +42,16 @@ class ReconnectingWebsocket:
         self.reconnect_required: bool = True
         self.ping_interval: int = 0
         self.connecting: rx.subject.behaviorsubject.BehaviorSubject = (
-            rx.subject.behaviorsubject.BehaviorSubject(datetime.now())
+            rx.subject.behaviorsubject.BehaviorSubject(local_now())
         )
         self.disconnected: rx.subject.behaviorsubject.BehaviorSubject = (
-            rx.subject.behaviorsubject.BehaviorSubject(datetime.now())
+            rx.subject.behaviorsubject.BehaviorSubject(local_now())
         )
         self.ping: rx.subject.behaviorsubject.BehaviorSubject = (
-            rx.subject.behaviorsubject.BehaviorSubject(datetime.now())
+            rx.subject.behaviorsubject.BehaviorSubject(local_now())
         )
         self.pong: rx.subject.behaviorsubject.BehaviorSubject = (
-            rx.subject.behaviorsubject.BehaviorSubject(datetime.now())
+            rx.subject.behaviorsubject.BehaviorSubject(local_now())
         )
         self.item: rx.subject.subject.Subject = rx.subject.subject.Subject()
 
@@ -76,10 +77,10 @@ class ReconnectingWebsocket:
         self._logger.warning(f"WebSocket for {self.url} has error {args}")
 
     def _on_ping(self, *_: typing.Any) -> None:
-        self.ping.on_next(datetime.now())
+        self.ping.on_next(local_now())
 
     def _on_pong(self, *_: typing.Any) -> None:
-        self.pong.on_next(datetime.now())
+        self.pong.on_next(local_now())
 
     def open(self) -> None:
         thread = Thread(target=self._run)
@@ -91,7 +92,7 @@ class ReconnectingWebsocket:
     def _run(self) -> None:
         while self.reconnect_required:
             self._logger.info(f"WebSocket connecting to: {self.url}")
-            self.connecting.on_next(datetime.now())
+            self.connecting.on_next(local_now())
             self._ws = websocket.WebSocketApp(
                 self.url,
                 on_open=self._on_open,
@@ -101,4 +102,4 @@ class ReconnectingWebsocket:
                 on_pong=self._on_pong,
             )
             self._ws.run_forever(ping_interval=self.ping_interval)
-            self.disconnected.on_next(datetime.now())
+            self.disconnected.on_next(local_now())

mango/serummarketoperations.py

@@ -357,13 +357,15 @@ class SerumMarketOperations(MarketOperations):
     def load_orderbook(self) -> OrderBook:
         return self.serum_market.fetch_orderbook(self.context)
 
-    def load_my_orders(self) -> typing.Sequence[Order]:
+    def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
         open_orders_address = self.market_instruction_builder.open_orders_address
         if not open_orders_address:
             return []
 
         orderbook: OrderBook = self.load_orderbook()
-        return orderbook.all_orders_for_owner(open_orders_address)
+        return orderbook.all_orders_for_owner(
+            open_orders_address, include_expired=include_expired
+        )
 
     def _build_crank(
         self, limit: Decimal = Decimal(32), add_self: bool = False

mango/simplemarketmaking/simplemarketmaker.py

@@ -99,7 +99,9 @@ class SimpleMarketMaker:
                     price, inventory
                 )
 
-                current_orders = self.market_operations.load_my_orders()
+                current_orders = self.market_operations.load_my_orders(
+                    include_expired=True
+                )
                 buy_orders = [
                     order for order in current_orders if order.side == mango.Side.BUY
                 ]
@@ -145,7 +147,7 @@ class SimpleMarketMaker:
 
     def cleanup(self) -> None:
         self._logger.info("Cleaning up.")
-        orders = self.market_operations.load_my_orders()
+        orders = self.market_operations.load_my_orders(include_expired=True)
         for order in orders:
             self.market_operations.cancel_order(order)
 
@@ -228,9 +230,14 @@ class SimpleMarketMaker:
 
         return len(orders) == 0 or not all(
             [
-                (within_tolerance(price, order.price, self.existing_order_tolerance))
+                (
-                and within_tolerance(
+                    not order.expired
-                    quantity, order.quantity, self.existing_order_tolerance
+                    and within_tolerance(
+                        price, order.price, self.existing_order_tolerance
+                    )
+                    and within_tolerance(
+                        quantity, order.quantity, self.existing_order_tolerance
+                    )
                 )
                 for order in orders
             ]

mango/spotmarketoperations.py

@@ -355,12 +355,14 @@ class SpotMarketOperations(MarketOperations):
     def load_orderbook(self) -> OrderBook:
         return self.spot_market.fetch_orderbook(self.context)
 
-    def load_my_orders(self) -> typing.Sequence[Order]:
+    def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
         if not self.open_orders_address:
             return []
 
         orderbook: OrderBook = self.load_orderbook()
-        return orderbook.all_orders_for_owner(self.open_orders_address)
+        return orderbook.all_orders_for_owner(
+            self.open_orders_address, include_expired=include_expired
+        )
 
     def _build_crank(
         self, limit: Decimal = Decimal(32), add_self: bool = False

mango/websocketsubscription.py

@@ -18,7 +18,6 @@ import logging
 import typing
 import websocket
 
-from datetime import datetime
 from rx.subject.behaviorsubject import BehaviorSubject
 from rx.core.typing import Disposable
 from solana.publickey import PublicKey
@@ -26,6 +25,7 @@ from solana.rpc.types import RPCResponse
 
 from .accountinfo import AccountInfo
 from .context import Context
+from .datetimes import local_now
 from .observables import EventSource
 from .reconnectingwebsocket import ReconnectingWebsocket
 
@@ -61,7 +61,7 @@ class WebSocketSubscription(
             TSubscriptionInstance
         ]()
         self.ws: typing.Optional[ReconnectingWebsocket] = None
-        self.pong: BehaviorSubject = BehaviorSubject(datetime.now())
+        self.pong: BehaviorSubject = BehaviorSubject(local_now())
         self._pong_subscription: typing.Optional[Disposable] = None
 
     @abc.abstractmethod
@@ -309,7 +309,7 @@ class SharedWebSocketSubscriptionManager(WebSocketSubscriptionManager):
     def __init__(self, context: Context, ping_interval: int = 10) -> None:
         super().__init__(context, ping_interval)
         self.ws: typing.Optional[ReconnectingWebsocket] = None
-        self.pong: BehaviorSubject = BehaviorSubject(datetime.now())
+        self.pong: BehaviorSubject = BehaviorSubject(local_now())
         self._pong_subscription: typing.Optional[Disposable] = None
 
     def open(self) -> None:

tests/fakes.py

@@ -1,11 +1,9 @@
 import construct
-import datetime
 import mango
 import mango.marketmaking
 import typing
 
 from decimal import Decimal
-from mango.lotsizeconverter import NullLotSizeConverter
 from pyserum.market.market import Market as PySerumMarket
 from pyserum.market.state import MarketState as PySerumMarketState
 from solana.keypair import Keypair
@@ -250,7 +248,7 @@ def fake_price(
         mango.OracleSource(
             "test", "test", mango.SupportedOracleFeature.TOP_BID_AND_OFFER, market
         ),
-        datetime.datetime.now(),
+        mango.utc_now(),
         market,
         bid,
         price,
@@ -337,7 +335,7 @@ def fake_root_bank() -> mango.RootBank:
         [],
         Decimal(0),
         Decimal(0),
-        datetime.datetime.now(),
+        mango.utc_now(),
     )
 
 
@@ -347,7 +345,11 @@ def fake_cache() -> mango.Cache:
 
 
 def fake_root_bank_cache() -> mango.RootBankCache:
-    return mango.RootBankCache(Decimal(1), Decimal(2), datetime.datetime.now())
+    return mango.RootBankCache(
+        Decimal(1),
+        Decimal(2),
+        mango.utc_now(),
+    )
 
 
 def fake_group(address: typing.Optional[PublicKey] = None) -> mango.Group:
@@ -467,7 +469,7 @@ def fake_model_state(
     placed_orders_container = placed_orders_container or fake_placed_orders_container()
     inventory = inventory or fake_inventory()
     orderbook = orderbook or mango.OrderBook(
-        "FAKE", NullLotSizeConverter(), fake_bids(), fake_asks()
+        "FAKE", mango.NullLotSizeConverter(), fake_bids(), fake_asks()
     )
     event_queue = event_queue or mango.NullEventQueue()
     group_watcher: mango.ManualUpdateWatcher[mango.Group] = mango.ManualUpdateWatcher(

tests/marketmaking/orderchain/test_ratios.py

@@ -3,7 +3,7 @@ import argparse
 from ...context import mango
 from ...fakes import fake_context, fake_model_state, fake_price
 
-from datetime import datetime, timedelta
+from datetime import timedelta
 from decimal import Decimal
 
 from mango.marketmaking.orderchain.ratioselement import RatiosElement
@@ -45,8 +45,8 @@ def test_uses_specified_order_parameters() -> None:
     )
     result = actual.process(context, model_state, [])
 
-    assert result[0].expiration > datetime.now() - timedelta(seconds=1)
+    assert result[0].expiration > mango.utc_now() - timedelta(seconds=1)
-    assert result[0].expiration < datetime.now() + timedelta(seconds=5)
+    assert result[0].expiration < mango.utc_now() + timedelta(seconds=5)
     assert result[0].match_limit == 15
     assert result[0].order_type == mango.OrderType.POST_ONLY_SLIDE
 

tests/marketmaking/test_toleranceorderreconciler.py

@@ -1,6 +1,6 @@
 import mango
 
-from datetime import datetime, timedelta
+from datetime import timedelta
 from decimal import Decimal
 from mango.marketmaking.toleranceorderreconciler import ToleranceOrderReconciler
 
@@ -214,7 +214,7 @@ def test_price_outside_negative_tolerance_no_match() -> None:
 
 
 def test_time_in_force_early_match() -> None:
-    now = datetime.now()
+    now = mango.utc_now()
     actual = ToleranceOrderReconciler(
         Decimal("0.001"), Decimal(0), timedelta(seconds=5)
     )
@@ -232,7 +232,7 @@ def test_time_in_force_early_match() -> None:
 
 
 def test_time_in_force_too_early_no_match() -> None:
-    now = datetime.now()
+    now = mango.utc_now()
     actual = ToleranceOrderReconciler(
         Decimal("0.001"), Decimal(0), timedelta(seconds=5)
     )
@@ -250,7 +250,7 @@ def test_time_in_force_too_early_no_match() -> None:
 
 
 def test_time_in_force_late_match() -> None:
-    now = datetime.now()
+    now = mango.utc_now()
     actual = ToleranceOrderReconciler(
         Decimal("0.001"), Decimal(0), timedelta(seconds=5)
     )
@@ -268,7 +268,7 @@ def test_time_in_force_late_match() -> None:
 
 
 def test_time_in_force_too_late_no_match() -> None:
-    now = datetime.now()
+    now = mango.utc_now()
     actual = ToleranceOrderReconciler(
         Decimal("0.001"), Decimal(0), timedelta(seconds=5)
     )

tests/test_cache.py

@@ -4,7 +4,6 @@ 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
 
 
@@ -13,7 +12,7 @@ def test_cache_constructor() -> None:
     meta_data = mango.Metadata(
         mango.layouts.DATA_TYPE.parse(bytearray(b"\x07")), mango.Version.V1, True
     )
-    timestamp = datetime.now()
+    timestamp = mango.utc_now()
     price_cache = [mango.PriceCache(Decimal(26), timestamp)]
     root_bank_cache = [
         mango.RootBankCache(Decimal("0.00001"), Decimal("0.00001"), timestamp)

tests/test_order.py

@@ -0,0 +1,28 @@
+from .context import mango
+
+from datetime import timedelta
+from decimal import Decimal
+
+
+def test_order_expired() -> None:
+    actual = mango.Order.from_basic_info(
+        side=mango.Side.BUY,
+        price=Decimal(10),
+        quantity=Decimal(20),
+        order_type=mango.OrderType.LIMIT,
+        expiration=mango.utc_now() - timedelta(seconds=1),
+    )
+
+    assert actual.expired
+
+
+def test_order_not_expired() -> None:
+    actual = mango.Order.from_basic_info(
+        side=mango.Side.BUY,
+        price=Decimal(10),
+        quantity=Decimal(20),
+        order_type=mango.OrderType.LIMIT,
+        expiration=mango.utc_now() + timedelta(seconds=5),
+    )
+
+    assert not actual.expired

tests/test_perpeventqueue.py

@@ -5,7 +5,6 @@ from solana.publickey import PublicKey
 from .context import mango
 from .fakes import fake_account_info, fake_seeded_public_key
 
-from datetime import datetime
 from decimal import Decimal
 
 
@@ -85,7 +84,7 @@ class TstFillPE(mango.PerpFillEvent):
         super().__init__(
             0,
             Decimal(0),
-            datetime.now(),
+            mango.utc_now(),
             mango.Side.BUY,
             Decimal(1),
             Decimal(1),

tests/test_tokenbank.py

@@ -39,7 +39,7 @@ def test_root_bank_constructor() -> None:
     node_bank = fake_seeded_public_key("node bank")
     deposit_index = Decimal(98765)
     borrow_index = Decimal(12345)
-    timestamp = datetime.now()
+    timestamp = mango.utc_now()
 
     actual = mango.RootBank(
         account_info,

tests/test_transactionscout.py

@@ -26,7 +26,7 @@ def test_transaction_instruction_constructor() -> None:
 
 
 def test_transaction_scout_constructor() -> None:
-    timestamp: datetime = datetime.now()
+    timestamp: datetime = mango.utc_now()
     signatures: typing.Sequence[str] = ["Signature1", "Signature2"]
     succeeded: bool = True
     group_name: str = "BTC_ETH_USDT"