Geoff Taylor
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d15e953ae7
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Refactor of code to work with mypy --strict
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2021-11-09 13:23:36 +00:00 |
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Geoff Taylor
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c2615218e3
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Made more marketmaker Elements work with order 'levels' and take multiple values for different levels.
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2021-10-24 16:09:07 +01:00 |
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Geoff Taylor
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c17d04152b
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FixedPositionSizeElement can now take multiple fixed position sizes and properly apply them.
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2021-10-23 13:44:30 +01:00 |
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Geoff Taylor
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ca1c114371
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Updated AfterAccumulatedDepthElement to take depth and adjustment parameters.
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2021-10-22 15:31:31 +01:00 |
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Geoff Taylor
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7f300f6ee0
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Added more debug information for MinimumChargeElement.
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2021-10-21 19:57:01 +01:00 |
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Geoff Taylor
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5200add28f
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Added BiasQuoteElement as possible marketmaker chain element.
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2021-10-15 14:21:54 +01:00 |
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Geoff Taylor
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b46d6bd0d2
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Added QuoteSingleSideElement for marketmaker.
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2021-10-14 09:42:09 +01:00 |
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Geoff Taylor
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defbfd8c89
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Cleaned up OrderChain Element construction.
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2021-10-08 19:55:38 +01:00 |
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Geoff Taylor
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19f6a79d52
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Added ability of ratios and minimumcharge elements to work with bid+ask instead of mid price.
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2021-10-05 20:43:56 +01:00 |
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Geoff Taylor
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26aabd23e9
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Simplified and improved marketmaker hedging.
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2021-10-02 12:28:16 +01:00 |
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Geoff Taylor
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66e137e726
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Fixed bug where PreventPostOnlyCrossingBookElement wouldn't change orders if there wasn't both a top bid and a top ask.
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2021-09-29 18:03:25 +01:00 |
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Geoff Taylor
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71ecc5faef
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Fixed minimumcharge to correctly handle bids/asks that cross the mid-price. Re-ordered default chain so that minimumcharge is enforced before biasing.
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2021-09-22 17:30:29 +01:00 |
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Geoff Taylor
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920ac364af
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Fixed incorrect error message in argument exception.
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2021-09-06 18:21:38 +01:00 |
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Geoff Taylor
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f4af4960d7
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Added new OrderChain elements. Removed Serum oracle and added Market oracle (which includes Serum oracle functionality plus more). Expanded chain documentation and added oracle documentation.
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2021-09-06 17:07:26 +01:00 |
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Geoff Taylor
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652296856b
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Added some logging to head elements of orderchain.
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2021-09-02 13:30:53 +01:00 |
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Geoff Taylor
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39c591fc6f
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Made order chain more configurable, added MarketmakingOrderChain to docs.
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2021-09-02 12:01:41 +01:00 |
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Geoff Taylor
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86f7933bcb
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Fixed problem calculating the proper tick under/over the top orderbook prices.
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2021-09-01 18:33:38 +01:00 |
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Geoff Taylor
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b57ef58d63
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Added a RoundToLotSizeElement element to marketmaker chain.
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2021-08-31 12:36:23 +01:00 |
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Geoff Taylor
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8bf6384076
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Added CollateralCalculator to calculate collateral in different market types.
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2021-08-31 00:30:22 +01:00 |
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Geoff Taylor
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b89a072cdd
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Moved not_quoting to model_state (where external components and orderchain elements can both access it). Added a state bag to model_state too.
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2021-08-26 09:19:51 +01:00 |
dd
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958dd87d1c
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fixed bug in preventpostonlycrossingbookelement.py where bid was being compared against best bid. Now compares against best ask
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2021-08-25 16:41:28 -04:00 |
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Geoff Taylor
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8c8ebdc7ae
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Merge branch 'v3' of https://github.com/blockworks-foundation/mango-explorer into v3
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2021-08-25 17:09:03 +01:00 |
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dd
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05d78ea0b0
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top_ask and top_bid now return None if book is empty.
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2021-08-25 10:20:53 -04:00 |
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Geoff Taylor
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fc1957d9b2
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Added bias tests.
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2021-08-23 17:35:09 +01:00 |
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Geoff Taylor
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a8dd489601
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Added a nicer log mess when biasing marketmaker orders.
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2021-08-23 15:55:10 +01:00 |
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Geoff Taylor
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3419c89033
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Moved marketmaker to an 'orderchain' model.
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2021-08-22 19:48:20 +01:00 |