Added DesiredOrdersBuilder and a couple of basic implementations.

mango/marketmaking/desiredorder.py

@@ -0,0 +1,38 @@
+# # ⚠ 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)
+
+
+import mango
+
+from decimal import Decimal
+
+
+# # 🥭 DesiredOrder class
+#
+# Encapsulates a single order we want to be present on the orderbook.
+#
+
+class DesiredOrder:
+    def __init__(self, side: mango.Side, order_type: mango.OrderType, price: Decimal, quantity: Decimal):
+        self.side: mango.Side = side
+        self.order_type: mango.OrderType = order_type
+        self.price: Decimal = price
+        self.quantity: Decimal = quantity
+
+    def __str__(self) -> str:
+        return f"""« 𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛: {self.order_type} - {self.side} {self.quantity} at {self.price} »"""
+
+    def __repr__(self) -> str:
+        return f"{self}"

mango/marketmaking/desiredordersbuilder.py

@@ -0,0 +1,58 @@
+# # ⚠ 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)
+
+
+import abc
+import logging
+import mango
+import typing
+
+from .desiredorder import DesiredOrder
+from .modelstate import ModelState
+
+
+# # 🥭 DesiredOrdersBuilder class
+#
+# A builder that builds a list of orders we'd like to be on the orderbook.
+#
+# The logic of what orders to create will be implemented in a derived class.
+#
+
+class DesiredOrdersBuilder(metaclass=abc.ABCMeta):
+    def __init__(self):
+        self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
+
+    @abc.abstractmethod
+    def build(self, context: mango.Context, model_state: ModelState) -> typing.Sequence[DesiredOrder]:
+        raise NotImplementedError("DesiredOrdersBuilder.build() is not implemented on the base type.")
+
+    def __repr__(self) -> str:
+        return f"{self}"
+
+
+# # 🥭 NullDesiredOrdersBuilder class
+#
+# A no-op implementation of the `DesiredOrdersBuilder` that will never ask to create orders.
+#
+
+class NullDesiredOrdersBuilder(DesiredOrdersBuilder):
+    def __init__(self):
+        super().__init__()
+
+    def build(self, context: mango.Context, model_state: ModelState) -> typing.Sequence[DesiredOrder]:
+        return []
+
+    def __str__(self) -> str:
+        return f"« 𝙽𝚞𝚕𝚕𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛𝚜𝙱𝚞𝚒𝚕𝚍𝚎𝚛 »"

mango/marketmaking/fixedratiodesiredordersbuilder.py

@@ -0,0 +1,65 @@
+# # ⚠ 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)
+
+
+import logging
+import mango
+import typing
+
+from decimal import Decimal
+
+from .desiredorder import DesiredOrder
+from .desiredordersbuilder import DesiredOrdersBuilder
+from .modelstate import ModelState
+
+
+# # 🥭 FixedRatioDesiredOrdersBuilder class
+#
+# Builds orders using a fixed spread ratio and a fixed position size ratio.
+#
+
+class FixedRatioDesiredOrdersBuilder(DesiredOrdersBuilder):
+    def __init__(self, spread_ratio: Decimal, position_size_ratio: Decimal):
+        self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
+        self.spread_ratio: Decimal = spread_ratio
+        self.position_size_ratio: Decimal = position_size_ratio
+
+    def build(self, context: mango.Context, model_state: ModelState) -> typing.Sequence[DesiredOrder]:
+        price: mango.Price = model_state.price
+        inventory: typing.Sequence[typing.Optional[mango.TokenValue]] = model_state.account.net_assets
+        base_tokens: typing.Optional[mango.TokenValue] = mango.TokenValue.find_by_token(inventory, price.market.base)
+        if base_tokens is None:
+            raise Exception(f"Could not find market-maker base token {price.market.base.symbol} in inventory.")
+
+        quote_tokens: typing.Optional[mango.TokenValue] = mango.TokenValue.find_by_token(inventory, price.market.quote)
+        if quote_tokens is None:
+            raise Exception(f"Could not find market-maker quote token {price.market.quote.symbol} in inventory.")
+
+        total = (base_tokens.value * price.mid_price) + quote_tokens.value
+        position_size = total * self.position_size_ratio
+
+        buy_size: Decimal = position_size / price.mid_price
+        sell_size: Decimal = position_size / price.mid_price
+
+        bid: Decimal = price.mid_price - (price.mid_price * self.spread_ratio)
+        ask: Decimal = price.mid_price + (price.mid_price * self.spread_ratio)
+
+        return [
+            DesiredOrder(mango.Side.BUY, mango.OrderType.POST_ONLY, bid, buy_size),
+            DesiredOrder(mango.Side.SELL, mango.OrderType.POST_ONLY, ask, sell_size)
+        ]
+
+    def __str__(self) -> str:
+        return f"« 𝙵𝚒𝚡𝚎𝚍𝚁𝚊𝚝𝚒𝚘𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛𝚜𝙱𝚞𝚒𝚕𝚍𝚎𝚛 using ratios - spread: {self.spread_ratio}, position size: {self.position_size_ratio} »"

mango/marketmaking/marketmaker.py

@@ -15,13 +15,14 @@
 
 
 import logging
-
 import mango
 import traceback
 import typing
 
 from decimal import Decimal
-from mango.marketmaking.modelstate import ModelState
+
+from .desiredordersbuilder import DesiredOrdersBuilder
+from .modelstate import ModelState
 
 
 # # 🥭 MarketMaker class
@@ -32,45 +33,20 @@ from mango.marketmaking.modelstate import ModelState
 class MarketMaker:
     def __init__(self, wallet: mango.Wallet, market: mango.Market,
                  market_instruction_builder: mango.MarketInstructionBuilder,
-                 spread_ratio: Decimal, position_size_ratio: Decimal):
+                 desired_orders_builder: DesiredOrdersBuilder):
         self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
         self.wallet: mango.Wallet = wallet
         self.market: mango.Market = market
         self.market_instruction_builder: mango.MarketInstructionBuilder = market_instruction_builder
-        self.spread_ratio: Decimal = spread_ratio
+        self.desired_orders_builder: DesiredOrdersBuilder = desired_orders_builder
-        self.position_size_ratio: Decimal = position_size_ratio
+
         self.buy_client_ids: typing.List[int] = []
         self.sell_client_ids: typing.List[int] = []
 
-    def calculate_order_prices(self, model_state: ModelState) -> typing.Tuple[Decimal, Decimal]:
-        price: mango.Price = model_state.price
-        bid: Decimal = price.mid_price - (price.mid_price * self.spread_ratio)
-        ask: Decimal = price.mid_price + (price.mid_price * self.spread_ratio)
-
-        return (bid, ask)
-
-    def calculate_order_sizes(self, model_state: ModelState) -> typing.Tuple[Decimal, Decimal]:
-        price: mango.Price = model_state.price
-        inventory: typing.Sequence[typing.Optional[mango.TokenValue]] = model_state.account.net_assets
-        base_tokens: typing.Optional[mango.TokenValue] = mango.TokenValue.find_by_token(inventory, price.market.base)
-        if base_tokens is None:
-            raise Exception(f"Could not find market-maker base token {price.market.base.symbol} in inventory.")
-
-        quote_tokens: typing.Optional[mango.TokenValue] = mango.TokenValue.find_by_token(inventory, price.market.quote)
-        if quote_tokens is None:
-            raise Exception(f"Could not find market-maker quote token {price.market.quote.symbol} in inventory.")
-
-        total = (base_tokens.value * price.mid_price) + quote_tokens.value
-        position_size = total * self.position_size_ratio
-
-        buy_size: Decimal = position_size / price.mid_price
-        sell_size: Decimal = position_size / price.mid_price
-        return (buy_size, sell_size)
-
     def pulse(self, context: mango.Context, model_state: ModelState):
         try:
-            bid, ask = self.calculate_order_prices(model_state)
+            desired_orders = self.desired_orders_builder.build(context, model_state)
-            buy_size, sell_size = self.calculate_order_sizes(model_state)
+
             payer = mango.CombinableInstructions.from_wallet(self.wallet)
 
             cancellations = mango.CombinableInstructions.empty()
@@ -83,22 +59,24 @@ class MarketMaker:
                     cancel = self.market_instruction_builder.build_cancel_order_instructions(order)
                     cancellations += cancel
 
-            buy_client_id = context.random_client_id()
+            place_orders = mango.CombinableInstructions.empty()
-            self.buy_client_ids += [buy_client_id]
+            for desired_order in desired_orders:
-            self.logger.info(f"Placing BUY order for {buy_size} at price {bid} with client ID: {buy_client_id}")
+                client_id = context.random_client_id()
-            buy = self.market_instruction_builder.build_place_order_instructions(
+                if desired_order.side == mango.Side.BUY:
-                mango.Side.BUY, mango.OrderType.POST_ONLY, bid, buy_size, buy_client_id)
+                    self.buy_client_ids += [client_id]
+                else:
+                    self.sell_client_ids += [client_id]
 
-            sell_client_id = context.random_client_id()
+                self.logger.info(
-            self.sell_client_ids += [sell_client_id]
+                    f"Placing {desired_order.side} order for {desired_order.quantity} at price {desired_order.price} with client ID: {client_id}")
-            self.logger.info(f"Placing SELL order for {sell_size} at price {ask} with client ID: {sell_client_id}")
+                place_order = self.market_instruction_builder.build_place_order_instructions(
-            sell = self.market_instruction_builder.build_place_order_instructions(
+                    desired_order.side, desired_order.order_type, desired_order.price, desired_order.quantity, client_id)
-                mango.Side.SELL, mango.OrderType.POST_ONLY, ask, sell_size, sell_client_id)
+                place_orders += place_order
 
             settle = self.market_instruction_builder.build_settle_instructions()
 
             crank = self.market_instruction_builder.build_crank_instructions()
-            (payer + cancellations + buy + sell + settle + crank).execute(context)
+            (payer + cancellations + place_orders + settle + crank).execute(context)
         except Exception as exception:
             self.logger.error(f"Market-maker error on pulse: {exception} - {traceback.format_exc()}")