From a96099511d6d1fef4241a3c1d6375dea3b95d041 Mon Sep 17 00:00:00 2001
From: Geoff Taylor <geoff@knife.opgeek.lan>
Date: Fri, 14 Jan 2022 17:44:07 +0000
Subject: [PATCH] Added an AlwaysReplaceOrderReconciler.

---
 bin/marketmaker                            |  8 ++++++--
 mango/marketmaking/__init__.py             |  1 +
 mango/marketmaking/orderreconciler.py      | 18 ++++++++++++++++
 tests/marketmaking/test_orderreconciler.py | 24 +++++++++++++++++++++-
 4 files changed, 48 insertions(+), 3 deletions(-)

diff --git a/bin/marketmaker b/bin/marketmaker
index bb6b0c6..bec152b 100755
--- a/bin/marketmaker
+++ b/bin/marketmaker
@@ -131,8 +131,12 @@ if args.hedging_market is not None:
                                             args.hedging_max_chunk_quantity, target_balance, args.hedging_action_threshold)
 
 
-order_reconciler = mango.marketmaking.ToleranceOrderReconciler(
-    args.existing_order_tolerance, args.existing_order_tolerance)
+order_reconciler: mango.marketmaking.OrderReconciler
+if args.existing_order_tolerance < 0:
+    order_reconciler = mango.marketmaking.AlwaysReplaceOrderReconciler()
+else:
+    order_reconciler = mango.marketmaking.ToleranceOrderReconciler(
+        args.existing_order_tolerance, args.existing_order_tolerance)
 
 desired_orders_chain: chain.Chain = chainbuilder.ChainBuilder.from_command_line_parameters(args)
 logging.info(f"Desired orders chain: {desired_orders_chain}")
diff --git a/mango/marketmaking/__init__.py b/mango/marketmaking/__init__.py
index c5084ab..038bd29 100644
--- a/mango/marketmaking/__init__.py
+++ b/mango/marketmaking/__init__.py
@@ -16,6 +16,7 @@ from .modelstatebuilder import SpotPollingModelStateBuilder as SpotPollingModelS
 from .modelstatebuilder import WebsocketModelStateBuilder as WebsocketModelStateBuilder
 from .modelstatebuilderfactory import ModelUpdateMode as ModelUpdateMode
 from .modelstatebuilderfactory import model_state_builder_factory as model_state_builder_factory
+from .orderreconciler import AlwaysReplaceOrderReconciler as AlwaysReplaceOrderReconciler
 from .orderreconciler import NullOrderReconciler as NullOrderReconciler
 from .orderreconciler import OrderReconciler as OrderReconciler
 from .reconciledorders import ReconciledOrders as ReconciledOrders
diff --git a/mango/marketmaking/orderreconciler.py b/mango/marketmaking/orderreconciler.py
index 802aea2..a05272e 100644
--- a/mango/marketmaking/orderreconciler.py
+++ b/mango/marketmaking/orderreconciler.py
@@ -58,3 +58,21 @@ class NullOrderReconciler(OrderReconciler):
 
     def __str__(self) -> str:
         return """« NullOrderReconciler »"""
+
+
+# # 🥭 AlwaysReplaceOrderReconciler class
+#
+# Implementation of OrderReconciler that never keeps orders, just always cancels and replaces.
+#
+class AlwaysReplaceOrderReconciler(OrderReconciler):
+    def __init__(self) -> None:
+        super().__init__()
+
+    def reconcile(self, _: ModelState, existing_orders: typing.Sequence[mango.Order], desired_orders: typing.Sequence[mango.Order]) -> ReconciledOrders:
+        outcomes: ReconciledOrders = ReconciledOrders()
+        outcomes.to_cancel = list(existing_orders)
+        outcomes.to_place = list(desired_orders)
+        return outcomes
+
+    def __str__(self) -> str:
+        return """« AlwaysReplaceOrderReconciler »"""
diff --git a/tests/marketmaking/test_orderreconciler.py b/tests/marketmaking/test_orderreconciler.py
index 3755653..3a92371 100644
--- a/tests/marketmaking/test_orderreconciler.py
+++ b/tests/marketmaking/test_orderreconciler.py
@@ -2,7 +2,7 @@ import mango
 
 from decimal import Decimal
 
-from mango.marketmaking.orderreconciler import NullOrderReconciler
+from mango.marketmaking.orderreconciler import NullOrderReconciler, AlwaysReplaceOrderReconciler
 
 from ..fakes import fake_model_state
 
@@ -23,3 +23,25 @@ def test_nulloperation() -> None:
 
     assert result.to_keep == existing
     assert result.to_ignore == desired
+    assert result.to_cancel == []
+    assert result.to_place == []
+
+
+def test_alwaysreplace() -> None:
+    existing = [
+        mango.Order.from_basic_info(mango.Side.BUY, price=Decimal(1), quantity=Decimal(10)),
+        mango.Order.from_basic_info(mango.Side.SELL, price=Decimal(2), quantity=Decimal(20))
+    ]
+    desired = [
+        mango.Order.from_basic_info(mango.Side.BUY, price=Decimal(3), quantity=Decimal(30)),
+        mango.Order.from_basic_info(mango.Side.SELL, price=Decimal(4), quantity=Decimal(40))
+    ]
+
+    model_state = fake_model_state()
+    actual = AlwaysReplaceOrderReconciler()
+    result = actual.reconcile(model_state, existing, desired)
+
+    assert result.to_keep == []
+    assert result.to_ignore == []
+    assert result.to_cancel == existing
+    assert result.to_place == desired