Added hedger command. Had to introduce a LotSizeConverter - may expand its use now it's available.
This commit is contained in:
Geoff Taylor
parent
373392cf78
commit
ab3657958d
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@ -0,0 +1,133 @@
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#!/usr/bin/env pyston3
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import argparse
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import logging
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import os
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import os.path
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import rx
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import rx.operators
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import sys
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import threading
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import traceback
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from decimal import Decimal
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sys.path.insert(0, os.path.abspath(
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os.path.join(os.path.dirname(__file__), "..")))
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import mango # nopep8
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import mango.layouts # nopep8
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parser = argparse.ArgumentParser(
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description="Hedges perp purchases by trading the underlying in the opposite direction.")
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mango.ContextBuilder.add_command_line_parameters(parser)
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mango.Wallet.add_command_line_parameters(parser)
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parser.add_argument("--market", type=str, required=True, help="perp market symbol to hedge (e.g. ETH-PERP)")
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parser.add_argument("--account-index", type=int, default=0,
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help="index of the account to use, if more than one available")
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parser.add_argument("--max-price-slippage-factor", type=Decimal, default=Decimal("0.05"),
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help="the maximum value the IOC hedging order price can slip by (default is 0.05 for 5%)")
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parser.add_argument("--notify-errors", type=mango.parse_subscription_target, action="append", default=[],
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help="The notification target for error events")
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parser.add_argument("--dry-run", action="store_true", default=False,
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help="runs as read-only and does not perform any transactions")
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args = parser.parse_args()
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logging.getLogger().setLevel(args.log_level)
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for notify in args.notify_errors:
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handler = mango.NotificationHandler(notify)
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handler.setLevel(logging.ERROR)
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logging.getLogger().addHandler(handler)
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logging.warning(mango.WARNING_DISCLAIMER_TEXT)
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logger: logging.Logger = logging.getLogger("Hedger")
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context = mango.ContextBuilder.from_command_line_parameters(args)
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wallet = mango.Wallet.from_command_line_parameters_or_raise(args)
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group = mango.Group.load(context, context.group_id)
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accounts = mango.Account.load_all_for_owner(context, wallet.address, group)
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if len(accounts) == 0:
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raise Exception(f"No mango account found for root address '{wallet.address}'.")
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account = accounts[args.account_index]
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disposer = mango.DisposePropagator()
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manager = mango.WebSocketSubscriptionManager()
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disposer.add_disposable(manager)
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buy_price_adjustment_factor: Decimal = Decimal("1") + args.max_price_slippage_factor
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sell_price_adjustment_factor: Decimal = Decimal("1") - args.max_price_slippage_factor
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watched_market_symbol = args.market.upper()
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watched_market_stub = context.market_lookup.find_by_symbol(watched_market_symbol)
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if watched_market_stub is None:
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raise Exception(f"Could not find market {watched_market_symbol}")
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ensured_watched_market = mango.ensure_market_loaded(context, watched_market_stub)
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if not isinstance(ensured_watched_market, mango.PerpMarket):
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raise Exception(f"Market {watched_market_symbol} is not a perp market.")
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watched_market: mango.PerpMarket = ensured_watched_market
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hedging_market_symbol = f"{watched_market.base.symbol}/USDC"
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hedging_market_stub = context.market_lookup.find_by_symbol(hedging_market_symbol)
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if hedging_market_stub is None:
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raise Exception(f"Could not find market {hedging_market_symbol}")
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hedging_market = mango.ensure_market_loaded(context, hedging_market_stub)
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if not isinstance(hedging_market, mango.SpotMarket):
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raise Exception(f"Market {hedging_market_symbol} is not a spot market.")
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hedging_market_operations: mango.MarketOperations = mango.create_market_operations(
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context, wallet, args.dry_run, hedging_market)
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initial: mango.PerpEventQueue = mango.PerpEventQueue.load(
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context, watched_market.underlying_perp_market.event_queue, watched_market.lot_size_converter)
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splitter: mango.UnseenPerpEventChangesTracker = mango.UnseenPerpEventChangesTracker(initial)
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event_splitting_subscription = mango.WebSocketAccountSubscription(
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context, watched_market.underlying_perp_market.event_queue, lambda account_info: mango.PerpEventQueue.parse(account_info, watched_market.lot_size_converter))
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manager.add(event_splitting_subscription)
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publisher = event_splitting_subscription.publisher.pipe(
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rx.operators.observe_on(context.pool_scheduler),
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rx.operators.flat_map(splitter.unseen),
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rx.operators.filter(lambda event: isinstance(event, mango.PerpFillEvent)),
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rx.operators.filter(lambda event: (event.maker == account.address) or (event.taker == account.address)),
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rx.operators.catch(mango.observable_pipeline_error_reporter),
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rx.operators.retry()
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)
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def hedge(event: mango.PerpFillEvent) -> None:
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if event.maker == event.taker:
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logger.info(f"Ignoring self-trade of {event.quantity:,.8f} at {event.price:,.8f} on {watched_market.symbol}.")
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return
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opposite_side: mango.Side = mango.Side.BUY if event.side == mango.Side.SELL else mango.Side.SELL
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price_adjustment_factor: Decimal = sell_price_adjustment_factor if opposite_side == mango.Side.SELL else buy_price_adjustment_factor
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adjusted_price: Decimal = event.price * price_adjustment_factor
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quantity: Decimal = event.quantity
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order: mango.Order = mango.Order.from_basic_info(opposite_side, adjusted_price, event.quantity, mango.OrderType.IOC)
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logger.info(f"Hedging {event.side} of {event.quantity:,.8f} at {event.price:,.8f} on {watched_market.symbol} with {opposite_side} of {quantity:,.8f} at {adjusted_price:,.8f} on {hedging_market.symbol}\n\t{order}")
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try:
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hedging_market_operations.place_order(order)
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except Exception as exception:
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logger.error(f"Failed to hedge using order {order} - {exception} - {traceback.format_exc()}")
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publisher.subscribe(on_next=hedge)
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websocket_url = context.cluster_url.replace("https", "ws", 1)
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ws: mango.ReconnectingWebsocket = mango.ReconnectingWebsocket(websocket_url, manager.open_handler, manager.on_item)
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ws.ping_interval = 10
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ws_pong_disposable = ws.pong.subscribe(mango.FileToucherObserver("/var/tmp/mango_healthcheck_ws_pong"))
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ws.open()
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# Wait - don't exit. Exiting will be handled by signals/interrupts.
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waiter = threading.Event()
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try:
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waiter.wait()
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except:
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pass
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logging.info("Shutting down...")
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ws.close()
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disposer.dispose()
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logging.info("Shutdown complete.")
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@ -0,0 +1,28 @@
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#!/usr/bin/env pyston3
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import argparse
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import logging
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import os
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import os.path
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import sys
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sys.path.insert(0, os.path.abspath(
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os.path.join(os.path.dirname(__file__), "..")))
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import mango # nopep8
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parser = argparse.ArgumentParser(description="Shows all properties of a given market.")
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mango.ContextBuilder.add_command_line_parameters(parser)
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parser.add_argument("--market", type=str, required=True, help="market symbol to buy (e.g. ETH/USDC)")
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args = parser.parse_args()
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logging.getLogger().setLevel(args.log_level)
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logging.warning(mango.WARNING_DISCLAIMER_TEXT)
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context = mango.ContextBuilder.from_command_line_parameters(args)
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market_symbol = args.market.upper()
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market = context.market_lookup.find_by_symbol(market_symbol)
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if market is None:
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raise Exception(f"Could not find market {market_symbol}")
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actual_market = mango.ensure_market_loaded(context, market)
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print(actual_market)
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@ -43,10 +43,12 @@ if args.account_type.upper() == "ACCOUNTINFO":
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manager.add(raw_subscription)
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publisher: rx.Observable = raw_subscription.publisher
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elif args.account_type.upper() == "PERPEVENTS":
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initial: mango.PerpEventQueue = mango.PerpEventQueue.load(context, args.address)
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# It'd be nice to get the market's lot size converter, but we don't have its address yet.
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lot_size_converter: mango.LotSizeConverter = mango.NullLotSizeConverter()
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initial: mango.PerpEventQueue = mango.PerpEventQueue.load(context, args.address, lot_size_converter)
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splitter: mango.UnseenPerpEventChangesTracker = mango.UnseenPerpEventChangesTracker(initial)
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event_splitting_subscription = mango.WebSocketAccountSubscription(
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context, args.address, mango.PerpEventQueue.parse)
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context, args.address, lambda account_info: mango.PerpEventQueue.parse(account_info, lot_size_converter))
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manager.add(event_splitting_subscription)
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publisher = event_splitting_subscription.publisher.pipe(rx.operators.flat_map(splitter.unseen))
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else:
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@ -22,6 +22,7 @@ from .instructiontype import InstructionType
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from .liquidatablereport import LiquidatableState, LiquidatableReport
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from .liquidationevent import LiquidationEvent
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from .liquidationprocessor import LiquidationProcessor, LiquidationProcessorState
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from .lotsizeconverter import LotSizeConverter, NullLotSizeConverter
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from .market import InventorySource, Market
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from .marketinstructionbuilder import MarketInstructionBuilder, NullMarketInstructionBuilder
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from .marketlookup import MarketLookup, NullMarketLookup, CompoundMarketLookup
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@ -24,6 +24,7 @@ from .addressableaccount import AddressableAccount
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from .context import Context
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from .group import Group
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from .layouts import layouts
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from .lotsizeconverter import NullLotSizeConverter
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from .openorders import OpenOrders
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from .perpeventqueue import PerpEventQueue
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from .perpmarketdetails import PerpMarketDetails
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@ -50,7 +51,7 @@ def build_account_info_converter(context: Context, account_type: str) -> typing.
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elif account_type_upper == "OPENORDERS":
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return lambda account_info: OpenOrders.parse(account_info, Decimal(6), Decimal(6))
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elif account_type_upper == "PERPEVENTQUEUE":
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return lambda account_info: PerpEventQueue.parse(account_info)
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return lambda account_info: PerpEventQueue.parse(account_info, NullLotSizeConverter())
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elif account_type_upper == "SERUMEVENTQUEUE":
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return lambda account_info: SerumEventQueue.parse(account_info)
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elif account_type_upper == "PERPMARKETDETAILS":
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@ -0,0 +1,74 @@
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# # ⚠ Warning
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
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# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
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# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
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# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
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#
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# [🥭 Mango Markets](https://mango.markets/) support is available at:
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# [Docs](https://docs.mango.markets/)
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# [Discord](https://discord.gg/67jySBhxrg)
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# [Twitter](https://twitter.com/mangomarkets)
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# [Github](https://github.com/blockworks-foundation)
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# [Email](mailto:hello@blockworks.foundation)
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from decimal import Decimal
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from .token import Token
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# # 🥭 LotSizeConverter class
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#
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class LotSizeConverter():
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def __init__(self, base: Token, base_lot_size: Decimal, quote: Token, quote_lot_size: Decimal):
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self.base: Token = base
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self.base_lot_size: Decimal = base_lot_size
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self.quote: Token = quote
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self.quote_lot_size: Decimal = quote_lot_size
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def price_lots_to_native(self, price_lots: Decimal) -> Decimal:
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return (self.quote_lot_size * price_lots) / self.base_lot_size
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def quantity_lots_to_native(self, quantity_lots: Decimal) -> Decimal:
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return self.base_lot_size * quantity_lots
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def price_lots_to_value(self, price_lots: Decimal) -> Decimal:
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native_to_ui: Decimal = 10 ** (self.base.decimals - self.quote.decimals)
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lots_to_native: Decimal = self.quote_lot_size / self.base_lot_size
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return (price_lots * lots_to_native) * native_to_ui
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def quantity_lots_to_value(self, quantity_lots: Decimal) -> Decimal:
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return self.base.shift_to_native(quantity_lots * self.base_lot_size)
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def __str__(self):
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return f"« 𝙻𝚘𝚝𝚂𝚒𝚣𝚎𝙲𝚘𝚗𝚟𝚎𝚛𝚝𝚎𝚛 [base lot size: {self.base_lot_size}, quote lot size: {self.quote_lot_size}] »"
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 NullLotSizeConverter class
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#
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class NullLotSizeConverter(LotSizeConverter):
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def __init__(self):
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super().__init__(Decimal(1), Decimal(1))
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def price_lots_to_native(self, price_lots: Decimal) -> Decimal:
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return price_lots
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def quantity_lots_to_native(self, quantity_lots: Decimal) -> Decimal:
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return quantity_lots
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def price_lots_to_value(self, price_lots: Decimal) -> Decimal:
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return price_lots
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def quantity_lots_to_value(self, quantity_lots: Decimal) -> Decimal:
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return quantity_lots
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def __str__(self):
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return "« 𝙽𝚞𝚕𝚕𝙻𝚘𝚝𝚂𝚒𝚣𝚎𝙲𝚘𝚗𝚟𝚎𝚛𝚝𝚎𝚛 »"
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@ -25,6 +25,7 @@ from .accountinfo import AccountInfo
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from .addressableaccount import AddressableAccount
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from .context import Context
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from .layouts import layouts
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from .lotsizeconverter import LotSizeConverter
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from .metadata import Metadata
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from .orders import Side
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from .version import Version
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@ -130,13 +131,15 @@ class PerpUnknownEvent(PerpEvent):
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#
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# `event_builder()` takes an event layout and returns a typed `PerpEvent`.
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#
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def event_builder(event_layout) -> typing.Optional[PerpEvent]:
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def event_builder(lot_size_converter: LotSizeConverter, event_layout) -> typing.Optional[PerpEvent]:
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if event_layout.event_type == b'\x00':
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if event_layout.maker is None and event_layout.taker is None:
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return None
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side: Side = Side.BUY if event_layout.side == pyserum.enums.Side.BUY else Side.SELL
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quantity: Decimal = lot_size_converter.quantity_lots_to_value(event_layout.quantity)
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price: Decimal = lot_size_converter.price_lots_to_value(event_layout.price)
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return PerpFillEvent(event_layout.event_type, event_layout.timestamp, side,
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event_layout.price, event_layout.quantity, event_layout.best_initial,
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price, quantity, event_layout.best_initial,
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event_layout.maker_slot, event_layout.maker_out, event_layout.maker,
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event_layout.maker_order_id, event_layout.maker_client_order_id,
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event_layout.taker, event_layout.taker_order_id,
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@ -166,27 +169,30 @@ class PerpEventQueue(AddressableAccount):
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self.events: typing.Sequence[typing.Optional[PerpEvent]] = events
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@staticmethod
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def from_layout(layout: layouts.PERP_EVENT_QUEUE, account_info: AccountInfo, version: Version) -> "PerpEventQueue":
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def from_layout(layout: layouts.PERP_EVENT_QUEUE, account_info: AccountInfo, version: Version, lot_size_converter: LotSizeConverter) -> "PerpEventQueue":
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meta_data: Metadata = Metadata.from_layout(layout.meta_data)
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head: Decimal = layout.head
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count: Decimal = layout.count
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seq_num: Decimal = layout.seq_num
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events: typing.Sequence[typing.Optional[PerpEvent]] = list(map(event_builder, layout.events))
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events: typing.List[typing.Optional[PerpEvent]] = []
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for raw_event in layout.events:
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built_event = event_builder(lot_size_converter, raw_event)
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events += [built_event]
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return PerpEventQueue(account_info, version, meta_data, head, count, seq_num, events)
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@ staticmethod
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def parse(account_info: AccountInfo) -> "PerpEventQueue":
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def parse(account_info: AccountInfo, lot_size_converter: LotSizeConverter) -> "PerpEventQueue":
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# Data length isn't fixed so can't check we get the right value the way we normally do.
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layout = layouts.PERP_EVENT_QUEUE.parse(account_info.data)
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return PerpEventQueue.from_layout(layout, account_info, Version.V1)
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return PerpEventQueue.from_layout(layout, account_info, Version.V1, lot_size_converter)
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@ staticmethod
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def load(context: Context, address: PublicKey) -> "PerpEventQueue":
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def load(context: Context, address: PublicKey, lot_size_converter: LotSizeConverter) -> "PerpEventQueue":
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account_info = AccountInfo.load(context, address)
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if account_info is None:
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raise Exception(f"PerpEventQueue account not found at address '{address}'")
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return PerpEventQueue.parse(account_info)
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return PerpEventQueue.parse(account_info, lot_size_converter)
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@property
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def capacity(self) -> int:
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@ -20,6 +20,7 @@ from solana.publickey import PublicKey
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from .accountinfo import AccountInfo
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from .context import Context
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from .group import Group
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from .lotsizeconverter import LotSizeConverter
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from .market import Market, InventorySource
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from .orderbookside import OrderBookSide
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from .orders import Order
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@ -37,6 +38,8 @@ class PerpMarket(Market):
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def __init__(self, address: PublicKey, base: Token, quote: Token, underlying_perp_market: PerpMarketDetails):
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super().__init__(address, InventorySource.ACCOUNT, base, quote)
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self.underlying_perp_market: PerpMarketDetails = underlying_perp_market
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self.lot_size_converter: LotSizeConverter = LotSizeConverter(
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base, underlying_perp_market.base_lot_size, quote, underlying_perp_market.quote_lot_size)
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@property
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def symbol(self) -> str:
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@ -47,7 +50,8 @@ class PerpMarket(Market):
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return self.underlying_perp_market.group
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def unprocessed_events(self, context: Context) -> typing.Sequence[PerpEvent]:
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event_queue: PerpEventQueue = PerpEventQueue.load(context, self.underlying_perp_market.event_queue)
|
||||
event_queue: PerpEventQueue = PerpEventQueue.load(
|
||||
context, self.underlying_perp_market.event_queue, self.lot_size_converter)
|
||||
return event_queue.unprocessed_events()
|
||||
|
||||
def accounts_to_crank(self, context: Context, additional_account_to_crank: typing.Optional[PublicKey]) -> typing.Sequence[PublicKey]:
|
||||
|
|
@ -77,7 +81,10 @@ class PerpMarket(Market):
|
|||
return [*bid_side.orders(), *ask_side.orders()]
|
||||
|
||||
def __str__(self) -> str:
|
||||
return f"« 𝙿𝚎𝚛𝚙𝚜𝙼𝚊𝚛𝚔𝚎𝚝 {self.symbol} [{self.address}] »"
|
||||
underlying: str = f"{self.underlying_perp_market}".replace("\n", "\n ")
|
||||
return f"""« 𝙿𝚎𝚛𝚙𝙼𝚊𝚛𝚔𝚎𝚝 {self.symbol} [{self.address}]
|
||||
{underlying}
|
||||
»"""
|
||||
|
||||
|
||||
# # 🥭 PerpMarketStub class
|
||||
|
|
|
|||
|
|
@ -44,8 +44,8 @@ class Token:
|
|||
return round(shifted, int(self.decimals))
|
||||
|
||||
def shift_to_native(self, value: Decimal) -> Decimal:
|
||||
divisor = Decimal(10 ** self.decimals)
|
||||
shifted = value * divisor
|
||||
multiplier = Decimal(10 ** self.decimals)
|
||||
shifted = value * multiplier
|
||||
return round(shifted, 0)
|
||||
|
||||
def symbol_matches(self, symbol: str) -> bool:
|
||||
|
|
|
|||
Loading…
Reference in New Issue