Added bias tests.

mango/marketmaking/orderchain/biasquoteonpositionelement.py

@@ -38,28 +38,32 @@ class BiasQuoteOnPositionElement(Element):
             # Zero bias results in no changes to orders.
             return orders
 
-        # From Daffy on 20th August 2021:
-        #  Formula to adjust price might look like this `pyth_price * (1 + (curr_pos / size) * pos_lean)`
-        #  where pos_lean is a negative number
-        #
-        #  size is the standard size you're quoting which I believe comes from the position-size-ratio
-        #
-        #  So if my standard size I'm quoting is 0.0002 BTC, my current position is +0.0010 BTC, and pos_lean
-        #  is -0.0001, you would move your quotes down by 0.0005 (or 5bps)
-        # (Private chat link: https://discord.com/channels/@me/832570058861314048/878343278523723787)
-        quote_position_bias = self.quote_position_bias * -1
         new_orders: typing.List[mango.Order] = []
         for order in orders:
-            bias = (1 + (model_state.inventory.base.value / order.quantity) * quote_position_bias)
-            new_price: Decimal = order.price * bias
-            new_order: mango.Order = order.with_price(new_price)
-            bias_description = "BUY more" if bias > 0 else "SELL more"
-            self.logger.debug(f"""Order change - quote_position_bias {self.quote_position_bias} creates a ({bias_description}) bias factor of {bias}:
-    Old: {order}
-    New: {new_order}""")
+            new_order: mango.Order = self.bias_order(order, model_state.inventory.base.value)
             new_orders += [new_order]
 
         return new_orders
 
+    # From Daffy on 20th August 2021:
+    #  Formula to adjust price might look like this `pyth_price * (1 + (curr_pos / size) * pos_lean)`
+    #  where pos_lean is a negative number
+    #
+    #  size is the standard size you're quoting which I believe comes from the position-size-ratio
+    #
+    #  So if my standard size I'm quoting is 0.0002 BTC, my current position is +0.0010 BTC, and pos_lean
+    #  is -0.0001, you would move your quotes down by 0.0005 (or 5bps)
+    # (Private chat link: https://discord.com/channels/@me/832570058861314048/878343278523723787)
+    def bias_order(self, order: mango.Order, base_inventory_value: Decimal) -> mango.Order:
+        quote_position_bias = self.quote_position_bias * -1
+        bias = 1 + ((base_inventory_value / order.quantity) * quote_position_bias)
+        new_price: Decimal = order.price * bias
+        new_order: mango.Order = order.with_price(new_price)
+        bias_description = "BUY more" if bias > 1 else "SELL more"
+        self.logger.debug(f"""Order change - quote_position_bias {self.quote_position_bias} on inventory {base_inventory_value} / {order.quantity} creates a ({bias_description}) bias factor of {bias}:
+Old: {order}
+New: {new_order}""")
+        return new_order
+
     def __str__(self) -> str:
         return f"« 𝙱𝚒𝚊𝚜𝚀𝚞𝚘𝚝𝚎𝙾𝚗𝙿𝚘𝚜𝚒𝚝𝚒𝚘𝚗𝙴𝚕𝚎𝚖𝚎𝚗𝚝 - bias: {self.quote_position_bias} »"

tests/marketmaking/orderchain/test_biasquoteonpositionelement.py

@@ -0,0 +1,69 @@
+import mango
+
+from decimal import Decimal
+
+from mango.marketmaking.orderchain.biasquoteonpositionelement import BiasQuoteOnPositionElement
+
+
+def test_no_bias_results_in_no_change():
+    actual: BiasQuoteOnPositionElement = BiasQuoteOnPositionElement(Decimal(0))
+    order: mango.Order = mango.Order.from_basic_info(mango.Side.BUY, price=Decimal(1), quantity=Decimal(10))
+
+    result = actual.bias_order(order, Decimal(100))
+
+    assert result == order
+
+
+def test_bias_with_positive_inventory():
+    bias: Decimal = Decimal("0.001")
+    quantity: Decimal = Decimal(10)
+    inventory: Decimal = Decimal(100)
+    actual: BiasQuoteOnPositionElement = BiasQuoteOnPositionElement(bias)
+    order: mango.Order = mango.Order.from_basic_info(mango.Side.BUY, price=Decimal(1000), quantity=quantity)
+    result = actual.bias_order(order, inventory)
+
+    assert result != order
+
+    # From formula:
+    #   price * (1 + (curr_pos / size) * pos_lean)
+    # 1000 * (1 + (100 / 10) * -0.001) == 990
+    assert result.price == Decimal("990")
+
+
+def test_bias_with_negative_inventory():
+    bias: Decimal = Decimal("0.001")
+    quantity: Decimal = Decimal(10)
+    inventory: Decimal = Decimal(-100)
+    actual: BiasQuoteOnPositionElement = BiasQuoteOnPositionElement(bias)
+    order: mango.Order = mango.Order.from_basic_info(mango.Side.BUY, price=Decimal(1000), quantity=quantity)
+    result = actual.bias_order(order, inventory)
+
+    assert result != order
+
+    # From formula:
+    #   price * (1 + (curr_pos / size) * pos_lean)
+    # 1000 * (1 + (-100 / 10) * -0.001) == 1010
+    assert result.price == Decimal("1010")
+
+
+# From Daffy on 20th August 2021:
+#  Formula to adjust price might look like this `pyth_price * (1 + (curr_pos / size) * pos_lean)`
+#  where pos_lean is a negative number
+#
+#  size is the standard size you're quoting which I believe comes from the position-size-ratio
+#
+#  So if my standard size I'm quoting is 0.0002 BTC, my current position is +0.0010 BTC, and pos_lean
+#  is -0.0001, you would move your quotes down by 0.0005 (or 5bps)
+# (Private chat link: https://discord.com/channels/@me/832570058861314048/878343278523723787)
+def test_from_daffys_original_note():
+    bias: Decimal = Decimal("0.0001")
+    quantity: Decimal = Decimal("0.0002")
+    inventory: Decimal = Decimal("0.0010")
+    actual: BiasQuoteOnPositionElement = BiasQuoteOnPositionElement(bias)
+    order: mango.Order = mango.Order.from_basic_info(mango.Side.BUY, price=Decimal(50000), quantity=quantity)
+    result = actual.bias_order(order, inventory)
+
+    assert result != order
+
+    # 5bps of 50,000 is 25, so moved down by 25 gives:
+    assert result.price == Decimal(49975)