Added bids and asks to marketmaker ModelState, with watchers for latest state.
This commit is contained in:
Geoff Taylor
parent
191d3e644c
commit
b56d114a4a
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@ -7,6 +7,7 @@ import os.path
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import rx
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import sys
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import threading
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import typing
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from decimal import Decimal
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@ -100,15 +101,28 @@ market_instruction_builder: mango.MarketInstructionBuilder = mango.create_market
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if isinstance(market, mango.SerumMarket):
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inventory_watcher: mango.Watcher[mango.Inventory] = mango.build_serum_inventory_watcher(
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context, manager, health_check, disposer, wallet, market)
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latest_open_orders_observer = mango.build_serum_open_orders_watcher(context, manager, health_check, market, wallet)
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latest_open_orders_observer: mango.Watcher[mango.PlacedOrdersContainer] = mango.build_serum_open_orders_watcher(
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context, manager, health_check, market, wallet)
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latest_bids_watcher: mango.Watcher[typing.Sequence[mango.Order]] = mango.build_serum_orderbook_side_watcher(
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context, manager, health_check, market.underlying_serum_market, mango.OrderBookSideType.BIDS)
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latest_asks_watcher: mango.Watcher[typing.Sequence[mango.Order]] = mango.build_serum_orderbook_side_watcher(
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context, manager, health_check, market.underlying_serum_market, mango.OrderBookSideType.ASKS)
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elif isinstance(market, mango.SpotMarket):
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inventory_watcher = mango.SpotInventoryAccountWatcher(market, latest_account_observer)
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latest_open_orders_observer = mango.build_spot_open_orders_watcher(
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context, manager, health_check, wallet, account, group, market)
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latest_bids_watcher = mango.build_serum_orderbook_side_watcher(
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context, manager, health_check, market.underlying_serum_market, mango.OrderBookSideType.BIDS)
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latest_asks_watcher = mango.build_serum_orderbook_side_watcher(
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context, manager, health_check, market.underlying_serum_market, mango.OrderBookSideType.ASKS)
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elif isinstance(market, mango.PerpMarket):
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inventory_watcher = mango.PerpInventoryAccountWatcher(market, latest_account_observer, group)
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latest_open_orders_observer = mango.build_perp_open_orders_watcher(
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context, manager, health_check, market, account, group, account_subscription)
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latest_bids_watcher = mango.build_perp_orderbook_side_watcher(
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context, manager, health_check, market, mango.OrderBookSideType.BIDS)
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latest_asks_watcher = mango.build_perp_orderbook_side_watcher(
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context, manager, health_check, market, mango.OrderBookSideType.ASKS)
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else:
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raise Exception(f"Could not determine type of market {market.symbol}")
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@ -125,8 +139,8 @@ market_maker = mango.marketmaking.MarketMaker(
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wallet, market, market_instruction_builder, desired_orders_builder, order_reconciler)
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model_state = mango.marketmaking.ModelState(market, latest_account_observer,
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latest_group_observer, latest_price_observer,
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latest_open_orders_observer,
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inventory_watcher)
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latest_open_orders_observer, inventory_watcher,
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latest_bids_watcher, latest_asks_watcher)
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health_check.add("marketmaker_pulse", market_maker.pulse_complete)
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@ -38,7 +38,7 @@ from .notification import NotificationTarget, TelegramNotificationTarget, Discor
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from .observables import DisposePropagator, DisposeWrapper, NullObserverSubscriber, PrintingObserverSubscriber, TimestampedPrintingObserverSubscriber, CollectingObserverSubscriber, LatestItemObserverSubscriber, CaptureFirstItem, FunctionObserver, create_backpressure_skipping_observer, debug_print_item, log_subscription_error, observable_pipeline_error_reporter, EventSource
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from .openorders import OpenOrders
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from .oracle import OracleSource, Price, Oracle, OracleProvider, SupportedOracleFeature
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from .orderbookside import OrderBookSide
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from .orderbookside import OrderBookSideType, PerpOrderBookSide
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from .orders import Order, OrderType, Side
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from .ownedtokenvalue import OwnedTokenValue
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from .oraclefactory import create_oracle_provider
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@ -76,7 +76,7 @@ from .version import Version
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from .wallet import Wallet
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from .walletbalancer import TargetBalance, FixedTargetBalance, PercentageTargetBalance, TargetBalanceParser, sort_changes_for_trades, calculate_required_balance_changes, FilterSmallChanges, WalletBalancer, NullWalletBalancer, LiveWalletBalancer
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from .watcher import Watcher, ManualUpdateWatcher, LamdaUpdateWatcher
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from .watchers import build_group_watcher, build_account_watcher, build_spot_open_orders_watcher, build_serum_open_orders_watcher, build_perp_open_orders_watcher, build_price_watcher, build_serum_inventory_watcher
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from .watchers import build_group_watcher, build_account_watcher, build_spot_open_orders_watcher, build_serum_open_orders_watcher, build_perp_open_orders_watcher, build_price_watcher, build_serum_inventory_watcher, build_perp_orderbook_side_watcher, build_serum_orderbook_side_watcher
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from .websocketsubscription import WebSocketSubscription, WebSocketProgramSubscription, WebSocketAccountSubscription, WebSocketLogSubscription, WebSocketSubscriptionManager, IndividualWebSocketSubscriptionManager, SharedWebSocketSubscriptionManager
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from .layouts import layouts
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@ -29,7 +29,9 @@ class ModelState:
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group_watcher: mango.Watcher[mango.Group],
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price_watcher: mango.Watcher[mango.Price],
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placed_orders_container_watcher: mango.Watcher[mango.PlacedOrdersContainer],
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inventory_watcher: mango.Watcher[mango.Inventory]
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inventory_watcher: mango.Watcher[mango.Inventory],
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bids: mango.Watcher[typing.Sequence[mango.Order]],
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asks: mango.Watcher[typing.Sequence[mango.Order]]
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):
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self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
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self.market: mango.Market = market
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@ -40,6 +42,8 @@ class ModelState:
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mango.PlacedOrdersContainer] = placed_orders_container_watcher
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self.inventory_watcher: mango.Watcher[
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mango.Inventory] = inventory_watcher
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self.bids_watcher: mango.Watcher[typing.Sequence[mango.Order]] = bids
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self.asks_watcher: mango.Watcher[typing.Sequence[mango.Order]] = asks
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@property
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def group(self) -> mango.Group:
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@ -61,6 +65,14 @@ class ModelState:
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def inventory(self) -> mango.Inventory:
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return self.inventory_watcher.latest
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@property
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def bids(self) -> typing.Sequence[mango.Order]:
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return self.bids_watcher.latest
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@property
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def asks(self) -> typing.Sequence[mango.Order]:
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return self.asks_watcher.latest
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@property
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def existing_orders(self) -> typing.Sequence[mango.PlacedOrder]:
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return self.placed_orders_container_watcher.latest.placed_orders
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@ -13,6 +13,7 @@
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# [Github](https://github.com/blockworks-foundation)
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# [Email](mailto:hello@blockworks.foundation)
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import enum
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import typing
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from decimal import Decimal
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@ -27,13 +28,29 @@ from .orders import Order, OrderType, Side
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from .perpmarketdetails import PerpMarketDetails
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from .version import Version
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# # 🥭 OrderBookSide class
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# # 🥭 OrderBookSideType enum
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#
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# `OrderBookSide` holds orders for one side of a market.
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# Does the orderbook side represent bids or asks?
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#
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class OrderBookSideType(enum.Enum):
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# We use strings here so that argparse can work with these as parameters.
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BIDS = "BIDS"
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ASKS = "ASKS"
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class OrderBookSide(AddressableAccount):
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def __str__(self) -> str:
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return self.value
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 PerpOrderBookSide class
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#
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# `PerpOrderBookSide` holds orders for one side of a market.
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#
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class PerpOrderBookSide(AddressableAccount):
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def __init__(self, account_info: AccountInfo, version: Version,
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meta_data: Metadata, perp_market_details: PerpMarketDetails, bump_index: Decimal,
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free_list_len: Decimal, free_list_head: Decimal, root_node: Decimal,
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@ -51,7 +68,7 @@ class OrderBookSide(AddressableAccount):
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self.nodes: typing.Any = nodes
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@staticmethod
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def from_layout(layout: layouts.ORDERBOOK_SIDE, account_info: AccountInfo, version: Version, perp_market_details: PerpMarketDetails) -> "OrderBookSide":
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def from_layout(layout: layouts.ORDERBOOK_SIDE, account_info: AccountInfo, version: Version, perp_market_details: PerpMarketDetails) -> "PerpOrderBookSide":
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meta_data = Metadata.from_layout(layout.meta_data)
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bump_index: Decimal = layout.bump_index
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free_list_len: Decimal = layout.free_list_len
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@ -60,28 +77,28 @@ class OrderBookSide(AddressableAccount):
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leaf_count: Decimal = layout.leaf_count
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nodes: typing.Any = layout.nodes
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return OrderBookSide(account_info, version, meta_data, perp_market_details, bump_index, free_list_len, free_list_head, root_node, leaf_count, nodes)
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return PerpOrderBookSide(account_info, version, meta_data, perp_market_details, bump_index, free_list_len, free_list_head, root_node, leaf_count, nodes)
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@staticmethod
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def parse(context: Context, account_info: AccountInfo, perp_market_details: PerpMarketDetails) -> "OrderBookSide":
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def parse(context: Context, account_info: AccountInfo, perp_market_details: PerpMarketDetails) -> "PerpOrderBookSide":
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data = account_info.data
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if len(data) != layouts.ORDERBOOK_SIDE.sizeof():
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raise Exception(
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f"OrderBookSide data length ({len(data)}) does not match expected size ({layouts.ORDERBOOK_SIDE.sizeof()})")
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f"PerpOrderBookSide data length ({len(data)}) does not match expected size ({layouts.ORDERBOOK_SIDE.sizeof()})")
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layout = layouts.ORDERBOOK_SIDE.parse(data)
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return OrderBookSide.from_layout(layout, account_info, Version.V1, perp_market_details)
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return PerpOrderBookSide.from_layout(layout, account_info, Version.V1, perp_market_details)
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@staticmethod
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def load(context: Context, address: PublicKey, perp_market_details: PerpMarketDetails) -> "OrderBookSide":
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def load(context: Context, address: PublicKey, perp_market_details: PerpMarketDetails) -> "PerpOrderBookSide":
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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"OrderBookSide account not found at address '{address}'")
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return OrderBookSide.parse(context, account_info, perp_market_details)
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raise Exception(f"PerpOrderBookSide account not found at address '{address}'")
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return PerpOrderBookSide.parse(context, account_info, perp_market_details)
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def orders(self) -> typing.Generator[Order, None, None]:
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def orders(self) -> typing.Sequence[Order]:
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if self.leaf_count == 0:
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return
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return []
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if self.meta_data.data_type == layouts.DATA_TYPE.Bids:
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order_side = Side.BUY
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@ -89,6 +106,7 @@ class OrderBookSide(AddressableAccount):
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order_side = Side.SELL
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stack = [self.root_node]
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orders: typing.List[Order] = []
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while len(stack) > 0:
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index = int(stack.pop())
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node = self.nodes[index]
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@ -105,22 +123,23 @@ class OrderBookSide(AddressableAccount):
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base_factor = Decimal(10) ** self.perp_market_details.base_token.decimals
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actual_quantity = (quantity * self.perp_market_details.base_lot_size) / base_factor
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yield Order(int(node.key["order_id"]),
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node.client_order_id,
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node.owner,
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order_side,
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actual_price,
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actual_quantity,
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OrderType.UNKNOWN)
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orders += [Order(int(node.key["order_id"]),
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node.client_order_id,
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node.owner,
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order_side,
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actual_price,
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actual_quantity,
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OrderType.UNKNOWN)]
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elif node.type_name == "inner":
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if order_side == Side.BUY:
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stack = [node.children[0], node.children[1], *stack]
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stack = [*stack, node.children[0], node.children[1]]
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else:
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stack = [node.children[1], node.children[0], *stack]
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stack = [*stack, node.children[1], node.children[0]]
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return orders
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def __str__(self) -> str:
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nodes = "\n ".join([str(node).replace("\n", "\n ") for node in self.orders()])
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return f"""« 𝙾𝚛𝚍𝚎𝚛𝙱𝚘𝚘𝚔𝚂𝚒𝚍𝚎 {self.version} [{self.address}]
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return f"""« 𝙿𝚎𝚛𝚙𝙾𝚛𝚍𝚎𝚛𝙱𝚘𝚘𝚔𝚂𝚒𝚍𝚎 {self.version} [{self.address}]
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{self.meta_data}
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Perp Market: {self.perp_market_details}
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Bump Index: {self.bump_index}
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@ -22,7 +22,7 @@ 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 .orderbookside import PerpOrderBookSide
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from .orders import Order
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from .perpeventqueue import PerpEvent, PerpEventQueue
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from .perpmarketdetails import PerpMarketDetails
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@ -75,8 +75,8 @@ class PerpMarket(Market):
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bids_address: PublicKey = self.underlying_perp_market.bids
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asks_address: PublicKey = self.underlying_perp_market.asks
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[bids, asks] = AccountInfo.load_multiple(context, [bids_address, asks_address])
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bid_side = OrderBookSide.parse(context, bids, self.underlying_perp_market)
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ask_side = OrderBookSide.parse(context, asks, self.underlying_perp_market)
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bid_side = PerpOrderBookSide.parse(context, bids, self.underlying_perp_market)
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ask_side = PerpOrderBookSide.parse(context, asks, self.underlying_perp_market)
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return [*bid_side.orders(), *ask_side.orders()]
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def __str__(self) -> str:
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@ -36,7 +36,7 @@ TWatched = typing.TypeVar("TWatched", covariant=True)
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class Watcher(typing.Protocol[TWatched]):
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@property
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def latest(self) -> TWatched:
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raise NotImplementedError("Watcher.latest is not implemented on the base type.")
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raise NotImplementedError("Watcher.latest is not implemented on the Protocol.")
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# # 🥭 ManualUpdateWatcher class
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@ -17,8 +17,11 @@ import logging
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import typing
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from pyserum.market import Market as PySerumMarket
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from pyserum.market.orderbook import OrderBook as PySerumOrderBook
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from solana.publickey import PublicKey
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from .account import Account
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from .accountinfo import AccountInfo
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from .combinableinstructions import CombinableInstructions
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from .context import Context
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from .group import Group
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@ -30,6 +33,8 @@ from .observables import DisposePropagator, LatestItemObserverSubscriber
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from .openorders import OpenOrders
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from .oracle import Price
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from .oraclefactory import OracleProvider, create_oracle_provider
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from .orderbookside import OrderBookSideType, PerpOrderBookSide
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from .orders import Order
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from .perpmarket import PerpMarket
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from .placedorder import PlacedOrdersContainer
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from .serummarket import SerumMarket
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@ -46,7 +51,7 @@ def build_group_watcher(context: Context, manager: WebSocketSubscriptionManager,
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group_subscription = WebSocketAccountSubscription[Group](
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context, group.address, lambda account_info: Group.parse(context, account_info))
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manager.add(group_subscription)
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latest_group_observer = LatestItemObserverSubscriber(group)
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latest_group_observer = LatestItemObserverSubscriber[Group](group)
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group_subscription.publisher.subscribe(latest_group_observer)
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health_check.add("group_subscription", group_subscription.publisher)
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return latest_group_observer
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@ -56,7 +61,7 @@ def build_account_watcher(context: Context, manager: WebSocketSubscriptionManage
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account_subscription = WebSocketAccountSubscription[Account](
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context, account.address, lambda account_info: Account.parse(account_info, group_observer.latest))
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manager.add(account_subscription)
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latest_account_observer = LatestItemObserverSubscriber(account)
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latest_account_observer = LatestItemObserverSubscriber[Account](account)
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account_subscription.publisher.subscribe(latest_account_observer)
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health_check.add("account_subscription", account_subscription.publisher)
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return account_subscription, latest_account_observer
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@ -154,7 +159,7 @@ def build_serum_inventory_watcher(context: Context, manager: WebSocketSubscripti
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base_token_subscription = WebSocketAccountSubscription[TokenAccount](
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context, base_account.address, lambda account_info: TokenAccount.parse(account_info, market.base))
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manager.add(base_token_subscription)
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latest_base_token_account_observer = LatestItemObserverSubscriber(base_account)
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latest_base_token_account_observer = LatestItemObserverSubscriber[TokenAccount](base_account)
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base_subscription_disposable = base_token_subscription.publisher.subscribe(latest_base_token_account_observer)
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disposer.add_disposable(base_subscription_disposable)
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@ -166,7 +171,7 @@ def build_serum_inventory_watcher(context: Context, manager: WebSocketSubscripti
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quote_token_subscription = WebSocketAccountSubscription[TokenAccount](
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context, quote_account.address, lambda account_info: TokenAccount.parse(account_info, market.quote))
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manager.add(quote_token_subscription)
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latest_quote_token_account_observer = LatestItemObserverSubscriber(quote_account)
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latest_quote_token_account_observer = LatestItemObserverSubscriber[TokenAccount](quote_account)
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quote_subscription_disposable = quote_token_subscription.publisher.subscribe(latest_quote_token_account_observer)
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disposer.add_disposable(quote_subscription_disposable)
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@ -176,3 +181,46 @@ def build_serum_inventory_watcher(context: Context, manager: WebSocketSubscripti
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latest_quote_token_account_observer.latest.value)
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return LamdaUpdateWatcher(serum_inventory_accessor)
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def build_perp_orderbook_side_watcher(context: Context, manager: WebSocketSubscriptionManager, health_check: HealthCheck, perp_market: PerpMarket, side: OrderBookSideType) -> Watcher[typing.Sequence[Order]]:
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orderbook_address: PublicKey = perp_market.underlying_perp_market.bids if side == OrderBookSideType.BIDS else perp_market.underlying_perp_market.asks
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orderbook_side_info = AccountInfo.load(context, orderbook_address)
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if orderbook_side_info is None:
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raise Exception(f"Could not find perp order book side at address {orderbook_address}.")
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initial_orderbook_side: PerpOrderBookSide = PerpOrderBookSide.parse(
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context, orderbook_side_info, perp_market.underlying_perp_market)
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orders_subscription = WebSocketAccountSubscription[typing.Sequence[Order]](
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context, orderbook_address, lambda account_info: PerpOrderBookSide.parse(context, account_info, perp_market.underlying_perp_market).orders())
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||||
manager.add(orders_subscription)
|
||||
|
||||
latest_orders_observer = LatestItemObserverSubscriber[typing.Sequence[Order]](initial_orderbook_side.orders())
|
||||
|
||||
orders_subscription.publisher.subscribe(latest_orders_observer)
|
||||
health_check.add("orderbook_side_subscription", orders_subscription.publisher)
|
||||
return latest_orders_observer
|
||||
|
||||
|
||||
def build_serum_orderbook_side_watcher(context: Context, manager: WebSocketSubscriptionManager, health_check: HealthCheck, underlying_serum_market: PySerumMarket, side: OrderBookSideType) -> Watcher[typing.Sequence[Order]]:
|
||||
orderbook_address: PublicKey = underlying_serum_market.state.bids if side == OrderBookSideType.BIDS else underlying_serum_market.state.asks
|
||||
orderbook_side_info = AccountInfo.load(context, orderbook_address)
|
||||
if orderbook_side_info is None:
|
||||
raise Exception(f"Could not find Serum order book side at address {orderbook_address}.")
|
||||
|
||||
def account_info_to_orderbook(account_info: AccountInfo) -> typing.Sequence[Order]:
|
||||
serum_orderbook_side = PySerumOrderBook.from_bytes(
|
||||
underlying_serum_market.state, account_info.data)
|
||||
return list(map(Order.from_serum_order, serum_orderbook_side.orders()))
|
||||
|
||||
initial_orderbook_side: typing.Sequence[Order] = account_info_to_orderbook(orderbook_side_info)
|
||||
|
||||
orders_subscription = WebSocketAccountSubscription[typing.Sequence[Order]](
|
||||
context, orderbook_address, account_info_to_orderbook)
|
||||
manager.add(orders_subscription)
|
||||
|
||||
latest_orders_observer = LatestItemObserverSubscriber[typing.Sequence[Order]](initial_orderbook_side)
|
||||
|
||||
orders_subscription.publisher.subscribe(latest_orders_observer)
|
||||
health_check.add("orderbook_side_subscription", orders_subscription.publisher)
|
||||
return latest_orders_observer
|
||||
|
|
|
|||
Loading…
Reference in New Issue