Added QuoteSingleSideElement for marketmaker.
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@ -179,6 +179,17 @@ The default is to perform calculations based on the mid price. The `--minimumcha
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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.
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### `QuoteSingleSideElement`
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> Specified using: `--chain quotesingleside`
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> Accepts parameter: `--quotesingleside-side`
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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.
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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.
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### `RatiosElement`
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> Specified using: `--chain ratios`
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@ -22,11 +22,12 @@ from .chain import Chain
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from .confidenceintervalelement import ConfidenceIntervalElement
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from .element import Element
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from .fixedpositionsizeelement import FixedPositionSizeElement
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from .ratioselement import RatiosElement
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from .fixedspreadelement import FixedSpreadElement
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from .minimumchargeelement import MinimumChargeElement
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from .preventpostonlycrossingbookelement import PreventPostOnlyCrossingBookElement
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from .quotesinglesideelement import QuoteSingleSideElement
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from .roundtolotsizeelement import RoundToLotSizeElement
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from .ratioselement import RatiosElement
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_DEFAULT_CHAIN = [
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"confidenceinterval",
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@ -57,6 +58,7 @@ class ChainBuilder:
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FixedPositionSizeElement.add_command_line_parameters(parser)
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MinimumChargeElement.add_command_line_parameters(parser)
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PreventPostOnlyCrossingBookElement.add_command_line_parameters(parser)
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QuoteSingleSideElement.add_command_line_parameters(parser)
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RatiosElement.add_command_line_parameters(parser)
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RoundToLotSizeElement.add_command_line_parameters(parser)
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@ -96,6 +98,8 @@ class ChainBuilder:
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return MinimumChargeElement.from_command_line_parameters(args)
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elif proper_name == "PREVENTPOSTONLYCROSSINGBOOK":
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return PreventPostOnlyCrossingBookElement.from_command_line_parameters(args)
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elif proper_name == "QUOTESINGLESIDE":
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return QuoteSingleSideElement.from_command_line_parameters(args)
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elif proper_name == "RATIOS":
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return RatiosElement.from_command_line_parameters(args)
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elif proper_name == "ROUNDTOLOTSIZE":
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@ -0,0 +1,57 @@
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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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import argparse
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import mango
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import typing
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from .element import Element
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from ...modelstate import ModelState
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# # 🥭 QuoteSingleSideElement class
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#
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# Only allows orders from one side of the book to progress to the next element of the chain.
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#
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class QuoteSingleSideElement(Element):
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def __init__(self, side: mango.Side):
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super().__init__()
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self.allowed: mango.Side = side
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@staticmethod
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def add_command_line_parameters(parser: argparse.ArgumentParser) -> None:
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parser.add_argument("--quotesingleside-side", type=mango.Side,
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help="the single side to quote on - if BUY, all SELLs will be removed from desired orders, if SELL, all BUYs will be removed.")
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@staticmethod
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def from_command_line_parameters(args: argparse.Namespace) -> "QuoteSingleSideElement":
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side: mango.Side = args.quotesingleside_side
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return QuoteSingleSideElement(side)
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def process(self, context: mango.Context, model_state: ModelState, orders: typing.Sequence[mango.Order]) -> typing.Sequence[mango.Order]:
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new_orders: typing.List[mango.Order] = []
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for order in orders:
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if order.side == self.allowed:
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self.logger.debug(f"""Allowing {order.side} order [allowed: {self.allowed}]:
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Allowed: {order}""")
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new_orders += [order]
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else:
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self.logger.debug(f"""Removing {order.side} order [allowed: {self.allowed}]:
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Removed: {order}""")
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return new_orders
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def __str__(self) -> str:
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return "« 𝚀𝚞𝚘𝚝𝚎𝚂𝚒𝚗𝚐𝚕𝚎𝚂𝚒𝚍𝚎𝙴𝚕𝚎𝚖𝚎𝚗𝚝 »"
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@ -0,0 +1,93 @@
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import argparse
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from ...context import mango
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from ...fakes import fake_context, fake_model_state, fake_order
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from mango.marketmaking.orderchain.quotesinglesideelement import QuoteSingleSideElement
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def test_from_args():
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args: argparse.Namespace = argparse.Namespace(quotesingleside_side=mango.Side.BUY)
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actual: QuoteSingleSideElement = QuoteSingleSideElement.from_command_line_parameters(args)
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assert actual is not None
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assert isinstance(actual, QuoteSingleSideElement)
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def test_allow_single_buy():
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context = fake_context()
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model_state = fake_model_state()
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order: mango.Order = fake_order(side=mango.Side.BUY)
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actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.BUY)
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result = actual.process(context, model_state, [order])
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assert result == [order]
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def test_prevent_single_buy():
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context = fake_context()
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model_state = fake_model_state()
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order: mango.Order = fake_order(side=mango.Side.BUY)
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actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.SELL)
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result = actual.process(context, model_state, [order])
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assert result == []
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def test_allow_all_buys_and_no_sells():
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context = fake_context()
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model_state = fake_model_state()
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orders = [
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fake_order(side=mango.Side.BUY),
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fake_order(side=mango.Side.SELL),
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fake_order(side=mango.Side.BUY),
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fake_order(side=mango.Side.SELL),
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fake_order(side=mango.Side.BUY),
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fake_order(side=mango.Side.SELL)
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]
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actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.BUY)
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result = actual.process(context, model_state, orders)
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assert len(result) == 3
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assert result == [orders[0], orders[2], orders[4]]
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def test_allow_all_sells_and_no_buys():
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context = fake_context()
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model_state = fake_model_state()
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orders = [
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fake_order(side=mango.Side.BUY),
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fake_order(side=mango.Side.SELL),
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fake_order(side=mango.Side.BUY),
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fake_order(side=mango.Side.SELL),
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fake_order(side=mango.Side.BUY),
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fake_order(side=mango.Side.SELL)
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]
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actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.SELL)
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result = actual.process(context, model_state, orders)
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assert len(result) == 3
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assert result == [orders[1], orders[3], orders[5]]
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def test_allow_all_buys_and_no_sells_different_pattern():
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# This is just to check it isn't allowing every other order.
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context = fake_context()
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model_state = fake_model_state()
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orders = [
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fake_order(side=mango.Side.BUY),
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fake_order(side=mango.Side.BUY),
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fake_order(side=mango.Side.SELL),
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fake_order(side=mango.Side.SELL),
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fake_order(side=mango.Side.SELL),
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fake_order(side=mango.Side.BUY)
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]
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actual: QuoteSingleSideElement = QuoteSingleSideElement(mango.Side.BUY)
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result = actual.process(context, model_state, orders)
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assert len(result) == 3
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assert result == [orders[0], orders[1], orders[5]]
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