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mango-explorer
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Changed the way SimpleMarketMaker calculates position sizes to be in line with what it has on each side instead of the total.

This commit is contained in:
Geoff Taylor 2021-07-14 18:22:36 +01:00
parent ec051037d4
commit bbcf3d35ce
1 changed files with 3 additions and 5 deletions
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8
mango/marketmaking/simplemarketmaker.py
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@ -82,6 +82,7 @@ class SimpleMarketMaker:
price = self.oracle.fetch_price(self.context)
self.logger.info(f"Price is: {price}")
inventory = self.fetch_inventory()
print(inventory)
# Calculate what we want the orders to be.
bid, ask = self.calculate_order_prices(price)
@ -163,11 +164,8 @@ class SimpleMarketMaker:
if quote_tokens is None:
raise Exception(f"Could not find market-maker quote token {price.market.quote.symbol} in inventory.")
total = (base_tokens.value * price.mid_price) + quote_tokens.value
position_size = total * self.position_size_ratio
buy_size = position_size / price.mid_price
sell_size = position_size / price.mid_price
buy_size = base_tokens.value * self.position_size_ratio
sell_size = (quote_tokens.value / price.mid_price) * self.position_size_ratio
return (buy_size, sell_size)
def orders_require_action(self, orders: typing.Sequence[mango.Order], price: Decimal, size: Decimal) -> bool: