Added QuoteSingleSideElement for marketmaker.

docs/MarketmakingOrderChain.md

@@ -179,6 +179,17 @@ The default is to perform calculations based on the mid price. The `--minimumcha
 This ensures that POST_ONLY orders that would corss the orderbook (and so be cancelled instead of put on the book) are placed *just* inside the spread by 1 tick.
 
 
+### `QuoteSingleSideElement`
+
+> Specified using: `--chain quotesingleside`
+
+> Accepts parameter: `--quotesingleside-side`
+
+Sometimes you may only want your marketmaker to place SELL orders. Or only place BUY orders. The `QuoteSingleSideElement` allows you to specify a single side, and will filter out all desired orders that are not for that side.
+
+For example, you can set the 'order chain' to have a `RatiosElement` asking for orders with spreads at 0.5%, 0.7%, and 0.9% (which would produce 6 orders - 3 BUYs and 3 SELLs), and then use a `QuoteSingleSideElement` with a `side` of `SELL` which would remove the 3 BUYs from the desired orders leaving only the 3 SELLs.
+
+
 ### `RatiosElement`
 
 > Specified using: `--chain ratios`

mango/marketmaking/orderchain/chainbuilder.py

@@ -22,11 +22,12 @@ from .chain import Chain
 from .confidenceintervalelement import ConfidenceIntervalElement
 from .element import Element
 from .fixedpositionsizeelement import FixedPositionSizeElement
-from .ratioselement import RatiosElement
 from .fixedspreadelement import FixedSpreadElement
 from .minimumchargeelement import MinimumChargeElement
 from .preventpostonlycrossingbookelement import PreventPostOnlyCrossingBookElement
+from .quotesinglesideelement import QuoteSingleSideElement
 from .roundtolotsizeelement import RoundToLotSizeElement
+from .ratioselement import RatiosElement
 
 _DEFAULT_CHAIN = [
     "confidenceinterval",
@@ -57,6 +58,7 @@ class ChainBuilder:
         FixedPositionSizeElement.add_command_line_parameters(parser)
         MinimumChargeElement.add_command_line_parameters(parser)
         PreventPostOnlyCrossingBookElement.add_command_line_parameters(parser)
+        QuoteSingleSideElement.add_command_line_parameters(parser)
         RatiosElement.add_command_line_parameters(parser)
         RoundToLotSizeElement.add_command_line_parameters(parser)
 
@@ -96,6 +98,8 @@ class ChainBuilder:
             return MinimumChargeElement.from_command_line_parameters(args)
         elif proper_name == "PREVENTPOSTONLYCROSSINGBOOK":
             return PreventPostOnlyCrossingBookElement.from_command_line_parameters(args)
+        elif proper_name == "QUOTESINGLESIDE":
+            return QuoteSingleSideElement.from_command_line_parameters(args)
         elif proper_name == "RATIOS":
             return RatiosElement.from_command_line_parameters(args)
         elif proper_name == "ROUNDTOLOTSIZE":

mango/marketmaking/orderchain/quotesinglesideelement.py

@@ -0,0 +1,57 @@
+# # ⚠ 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 argparse
+import mango
+import typing
+
+from .element import Element
+from ...modelstate import ModelState
+
+
+# # 🥭 QuoteSingleSideElement class
+#
+# Only allows orders from one side of the book to progress to the next element of the chain.
+#
+class QuoteSingleSideElement(Element):
+    def __init__(self, side: mango.Side):
+        super().__init__()
+        self.allowed: mango.Side = side
+
+    @staticmethod
+    def add_command_line_parameters(parser: argparse.ArgumentParser) -> None:
+        parser.add_argument("--quotesingleside-side", type=mango.Side,
+                            help="the single side to quote on - if BUY, all SELLs will be removed from desired orders, if SELL, all BUYs will be removed.")
+
+    @staticmethod
+    def from_command_line_parameters(args: argparse.Namespace) -> "QuoteSingleSideElement":
+        side: mango.Side = args.quotesingleside_side
+        return QuoteSingleSideElement(side)
+
+    def process(self, context: mango.Context, model_state: ModelState, orders: typing.Sequence[mango.Order]) -> typing.Sequence[mango.Order]:
+        new_orders: typing.List[mango.Order] = []
+        for order in orders:
+            if order.side == self.allowed:
+                self.logger.debug(f"""Allowing {order.side} order [allowed: {self.allowed}]:
+    Allowed: {order}""")
+                new_orders += [order]
+            else:
+                self.logger.debug(f"""Removing {order.side} order [allowed: {self.allowed}]:
+    Removed: {order}""")
+
+        return new_orders
+
+    def __str__(self) -> str:
+        return "« 𝚀𝚞𝚘𝚝𝚎𝚂𝚒𝚗𝚐𝚕𝚎𝚂𝚒𝚍𝚎𝙴𝚕𝚎𝚖𝚎𝚗𝚝 »"

tests/marketmaking/orderchain/test_singlesidedelement.py

@@ -0,0 +1,93 @@
+import argparse
+
+from ...context import mango
+from ...fakes import fake_context, fake_model_state, fake_order
+
+from mango.marketmaking.orderchain.quotesinglesideelement import QuoteSingleSideElement
+
+
+def test_from_args():
+    args: argparse.Namespace = argparse.Namespace(quotesingleside_side=mango.Side.BUY)
+    actual: QuoteSingleSideElement = QuoteSingleSideElement.from_command_line_parameters(args)
+    assert actual is not None
+    assert isinstance(actual, QuoteSingleSideElement)
+
+
+def test_allow_single_buy():
+    context = fake_context()
+    model_state = fake_model_state()
+    order: mango.Order = fake_order(side=mango.Side.BUY)
+
+    actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.BUY)
+    result = actual.process(context, model_state, [order])
+
+    assert result == [order]
+
+
+def test_prevent_single_buy():
+    context = fake_context()
+    model_state = fake_model_state()
+    order: mango.Order = fake_order(side=mango.Side.BUY)
+
+    actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.SELL)
+    result = actual.process(context, model_state, [order])
+
+    assert result == []
+
+
+def test_allow_all_buys_and_no_sells():
+    context = fake_context()
+    model_state = fake_model_state()
+    orders = [
+        fake_order(side=mango.Side.BUY),
+        fake_order(side=mango.Side.SELL),
+        fake_order(side=mango.Side.BUY),
+        fake_order(side=mango.Side.SELL),
+        fake_order(side=mango.Side.BUY),
+        fake_order(side=mango.Side.SELL)
+    ]
+
+    actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.BUY)
+    result = actual.process(context, model_state, orders)
+
+    assert len(result) == 3
+    assert result == [orders[0], orders[2], orders[4]]
+
+
+def test_allow_all_sells_and_no_buys():
+    context = fake_context()
+    model_state = fake_model_state()
+    orders = [
+        fake_order(side=mango.Side.BUY),
+        fake_order(side=mango.Side.SELL),
+        fake_order(side=mango.Side.BUY),
+        fake_order(side=mango.Side.SELL),
+        fake_order(side=mango.Side.BUY),
+        fake_order(side=mango.Side.SELL)
+    ]
+
+    actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.SELL)
+    result = actual.process(context, model_state, orders)
+
+    assert len(result) == 3
+    assert result == [orders[1], orders[3], orders[5]]
+
+
+def test_allow_all_buys_and_no_sells_different_pattern():
+    # This is just to check it isn't allowing every other order.
+    context = fake_context()
+    model_state = fake_model_state()
+    orders = [
+        fake_order(side=mango.Side.BUY),
+        fake_order(side=mango.Side.BUY),
+        fake_order(side=mango.Side.SELL),
+        fake_order(side=mango.Side.SELL),
+        fake_order(side=mango.Side.SELL),
+        fake_order(side=mango.Side.BUY)
+    ]
+
+    actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.BUY)
+    result = actual.process(context, model_state, orders)
+
+    assert len(result) == 3
+    assert result == [orders[0], orders[1], orders[5]]