Added a RoundToLotSizeElement element to marketmaker chain.

mango/lotsizeconverter.py

@@ -13,7 +13,6 @@
 #   [Github](https://github.com/blockworks-foundation)
 #   [Email](mailto:hello@blockworks.foundation)
 
-
 from decimal import Decimal
 
 from .token import Token
@@ -46,6 +45,18 @@ class LotSizeConverter():
     def quantity_lots_to_value(self, quantity_lots: Decimal) -> Decimal:
         return (quantity_lots * self.base_lot_size) / (10 ** self.base.decimals)
 
+    def round_base(self, quantity: Decimal) -> Decimal:
+        base_factor: Decimal = 10 ** self.base.decimals
+        rounded: int = round(quantity * base_factor)
+        return Decimal(rounded) / base_factor
+
+    def round_quote(self, price: Decimal) -> Decimal:
+        quote_factor: Decimal = 10 ** self.base.decimals
+        base_factor: Decimal = 10 ** self.base.decimals
+        lots: Decimal = (price * quote_factor * self.base_lot_size) / (base_factor * self.quote_lot_size)
+        rounded: int = round(lots)
+        return Decimal(rounded) / self.quote_lot_size
+
     def __str__(self) -> str:
         return f"« 𝙻𝚘𝚝𝚂𝚒𝚣𝚎𝙲𝚘𝚗𝚟𝚎𝚛𝚝𝚎𝚛 [base lot size: {self.base_lot_size}, quote lot size: {self.quote_lot_size}] »"
 

mango/marketmaking/orderchain/chainbuilder.py

@@ -25,6 +25,7 @@ from .confidenceintervalspreadelement import ConfidenceIntervalSpreadElement
 from .element import Element
 from .minimumchargeelement import MinimumChargeElement
 from .preventpostonlycrossingbookelement import PreventPostOnlyCrossingBookElement
+from .roundtolotsizeelement import RoundToLotSizeElement
 
 
 # # 🥭 ChainBuilder class
@@ -61,7 +62,8 @@ class ChainBuilder:
             ConfidenceIntervalSpreadElement(args.position_size_ratio, confidence_interval_levels, args.order_type),
             BiasQuoteOnPositionElement(args.quote_position_bias),
             MinimumChargeElement(args.minimum_charge_ratio),
-            PreventPostOnlyCrossingBookElement()
+            PreventPostOnlyCrossingBookElement(),
+            RoundToLotSizeElement()
         ]
 
         return Chain(elements)

mango/marketmaking/orderchain/preventpostonlycrossingbookelement.py

@@ -40,16 +40,16 @@ class PreventPostOnlyCrossingBookElement(Element):
                     new_buy: mango.Order = order.with_price(new_buy_price)
                     self.logger.debug(
                         f"""Order change - would cross the orderbook {top_bid.price if top_bid else None} / {top_ask.price}:
-                    Old: {order}
-                    New: {new_buy}""")
+    Old: {order}
+    New: {new_buy}""")
                     new_orders += [new_buy]
                 elif order.side == mango.Side.SELL and top_bid is not None and top_ask is not None and order.price <= top_bid.price:
                     new_sell_price: Decimal = top_ask.price + model_state.market.lot_size_converter.tick_size
                     new_sell: mango.Order = order.with_price(new_sell_price)
                     self.logger.debug(
                         f"""Order change - would cross the orderbook {top_bid.price} / {top_ask.price if top_ask else None}:
-                    Old: {order}
-                    New: {new_sell}""")
+    Old: {order}
+    New: {new_sell}""")
 
                     new_orders += [new_sell]
                 else:

mango/marketmaking/orderchain/roundtolotsizeelement.py

@@ -0,0 +1,51 @@
+# # ⚠ 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 mango
+import typing
+
+from decimal import Decimal
+
+from .element import Element
+from ..modelstate import ModelState
+
+
+# # 🥭 RoundToLotSizeElement class
+#
+# May modifiy an `Order`s price or quantity to ensure it's exactly aligned to the market's lot sizes.
+#
+class RoundToLotSizeElement(Element):
+    def __init__(self):
+        super().__init__()
+
+    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:
+            new_price: Decimal = model_state.market.lot_size_converter.round_quote(order.price)
+            new_quantity: Decimal = model_state.market.lot_size_converter.round_base(order.quantity)
+            new_order: mango.Order = order
+            if (new_order.price != new_price) or (new_order.quantity != new_quantity):
+                new_order = new_order.with_price(new_price).with_quantity(new_quantity)
+                self.logger.debug(f"""Order change - price is now aligned to lot size:
+    Old: {order}
+    New: {new_order}""")
+
+            new_orders += [new_order]
+
+        return new_orders
+
+    def __str__(self) -> str:
+        return "« 𝚁𝚘𝚞𝚗𝚍𝚃𝚘𝙻𝚘𝚝𝚂𝚒𝚣𝚎𝙴𝚕𝚎𝚖𝚎𝚗𝚝 »"

mango/orders.py

@@ -121,6 +121,11 @@ class Order(typing.NamedTuple):
         return Order(id=self.id, side=self.side, price=price, quantity=self.quantity,
                      client_id=self.client_id, owner=self.owner, order_type=self.order_type)
 
+    # Returns an identical order with the quantity changed.
+    def with_quantity(self, quantity: Decimal) -> "Order":
+        return Order(id=self.id, side=self.side, price=self.price, quantity=quantity,
+                     client_id=self.client_id, owner=self.owner, order_type=self.order_type)
+
     @staticmethod
     def from_serum_order(serum_order: PySerumOrder) -> "Order":
         price = Decimal(serum_order.info.price)