Added an AlwaysReplaceOrderReconciler.

bin/marketmaker

@@ -131,6 +131,10 @@ if args.hedging_market is not None:
                                             args.hedging_max_chunk_quantity, target_balance, args.hedging_action_threshold)
 
 
+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)
 

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

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 »"""

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