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mango-explorer
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Fixed problem with default for --confidence-interval-level.

This commit is contained in:
Geoff Taylor 2021-08-19 19:03:54 +01:00
parent 7a40ac6e25
commit ccd7e869c8
1 changed files with 5 additions and 2 deletions
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7
bin/marketmaker
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@ -27,7 +27,7 @@ parser.add_argument("--existing-order-tolerance", type=Decimal, default=Decimal(
help="tolerance in price and quantity when matching existing orders or cancelling/replacing")
parser.add_argument("--minimum-charge-ratio", type=Decimal, default=Decimal("0.0005"),
help="minimum fraction of the price to be accept as a spread")
parser.add_argument("--confidence-interval-level", type=Decimal, action="append", default=[Decimal(2)],
parser.add_argument("--confidence-interval-level", type=Decimal, action="append",
help="the levels of weighting to apply to the confidence interval from the oracle: e.g. 1 - use the oracle confidence interval as the spread, 2 (risk averse, default) - multiply the oracle confidence interval by 2 to get the spread, 0.5 (aggressive) halve the oracle confidence interval to get the spread (can be specified multiple times to give multiple levels)")
parser.add_argument("--order-type", type=mango.OrderType, default=mango.OrderType.POST_ONLY,
choices=list(mango.OrderType), help="Order type: LIMIT, IOC or POST_ONLY")
@ -117,8 +117,11 @@ ws.open()
order_reconciler = mango.marketmaking.ToleranceOrderReconciler(
args.existing_order_tolerance, args.existing_order_tolerance)
confidence_interval_levels = args.confidence_interval_level
if len(confidence_interval_levels) == 0:
confidence_interval_levels = [Decimal(2)]
desired_orders_builder = mango.marketmaking.ConfidenceIntervalDesiredOrdersBuilder(
args.position_size_ratio, args.minimum_charge_ratio, args.confidence_interval_level, args.order_type)
args.position_size_ratio, args.minimum_charge_ratio, confidence_interval_levels, args.order_type)
market_maker = mango.marketmaking.MarketMaker(
wallet, market, market_instruction_builder, desired_orders_builder, order_reconciler)
model_state = mango.marketmaking.ModelState(market, latest_account_observer,