59ba4894f1
Moved hedger to its own class, and re-used it as an option in marketmaker.
2021-08-23 15:36:55 +01:00
3419c89033
Moved marketmaker to an 'orderchain' model.
2021-08-22 19:48:20 +01:00
b56d114a4a
Added bids and asks to marketmaker ModelState, with watchers for latest state.
2021-08-21 22:06:58 +01:00
191d3e644c
Anything imported from pyserum should now be imported as a PySerumXYZ to avoid confusion with Mango Explorer classes.
2021-08-21 18:24:53 +01:00
8a83c73ea8
Now run websocket connections each in their own websocket rather than using a shared one. (Shared websocket is still an option though.)
2021-08-21 16:03:13 +01:00
153ebae2f4
Moved opening of websocket to be entirely within WebSocketSubscriptionManager.
2021-08-21 13:25:28 +01:00
1696ead1e3
Added --quote-position-bias parameter to marketmaker.
2021-08-21 00:00:34 +01:00
f0e8738b04
Removed SPL token lookups from SpotMarketInstructionBuilder.
2021-08-19 23:32:58 +01:00
46c768e11b
Fixed loading of some context parameters.
2021-08-19 22:59:36 +01:00
5a76874466
Updated for new group.
2021-08-19 22:23:19 +01:00
66ccdcf63e
Changed confidence_weighting in marketmaker to confidence_interval_levels. Multiple levels can now be specified, creating multiple levels of orders.
2021-08-19 17:31:17 +01:00
ec37c14d03
Added ensure-account and ensure-open-orders commands.
2021-08-19 11:00:39 +01:00
a96b67e729
Improved transaction exception reporting.
2021-08-19 09:46:54 +01:00
a51b38049b
Marketmaker no longer masks errors.
2021-08-18 14:49:54 +01:00
2bf4d07592
cancel-order can now take an --ok-if-missing parameter, and use it if the underlying market-type supports it.
2021-08-18 12:23:20 +01:00
4c544cb68c
Fixed TransactionException not properly interpreting error responses.
2021-08-17 20:45:26 +01:00
97a5c41a39
Updated to latest group structures and IDs.
2021-08-17 19:42:11 +01:00
847628dfd6
Fixed problem with TokenAccount commitments.
2021-08-17 19:17:09 +01:00
b408874a2a
Fixed TokenAccount to be able to find or create the associated token account, or use an old-style account if it exists and the associated token account doesn't.
2021-08-17 17:52:17 +01:00
6a61b55e93
Improved transaction exception handling.
2021-08-17 12:50:27 +01:00
d5eaa385da
Removed rx.core.typing for many classes - using the actual base classes now.
2021-08-17 12:39:55 +01:00
a4ca18e5ed
Added/centralised 'watchers'. Removed FileToucherObserver. Added HealthCheck.
2021-08-17 12:17:49 +01:00
64cdebaf8d
Reduced error threshold for stale prices.
2021-08-16 22:32:28 +01:00
98acb59789
Fixed bug in handling of referral rebate. Added 'info' property to margin accounts.
2021-08-16 22:12:51 +01:00
bd36dcf47b
Improved cranking and settling operations.
2021-08-16 14:43:44 +01:00
84b664b4fd
Fixed problem with instruction display.
2021-08-14 11:09:27 +01:00
255d3a70df
Added a mint command for devnet use.
2021-08-13 21:34:17 +01:00
140270b870
Fixed text output of liquidate event.
2021-08-13 20:20:03 +01:00
97bd857418
Updated to handle new event queue format.
2021-08-13 20:17:17 +01:00
3403555036
Added account name/info to output.
2021-08-13 12:15:17 +01:00
162f41e2d0
Added a redeem-mango command.
2021-08-11 19:14:26 +01:00
94c6fa149e
Sometimes Solana returns 'err' as a string instead of an array of strings.
2021-08-09 21:07:21 +01:00
9bd75dc8d2
Websocket now has a force_reconnect() method, plus subscribable disconnect event.
2021-08-09 13:24:33 +01:00
9b6f33d7e6
Added --name parameter to programs and context to allow better reporting of errors.
2021-08-09 10:27:47 +01:00
aa4406d68f
Fixed account output/reporting.
2021-08-07 18:42:39 +01:00
e890490557
Backported custom Client from V3 to make sure 'processed' commitment is used consistently, even by code that isn't ours.
2021-08-07 15:10:06 +01:00
f596d571f6
Big change - now uses our own 'Client' which handles some situations better from our point of view:
...
* Being able to specify commitment on the Client instead of every call.
* Better error handling (more exception details, and specific rate limiting exceptions)
* More obvious return values, instead of always having to dereference "result".
2021-08-07 15:07:19 +01:00
613d964051
Perp Accounts accrue benefits in MNGO so improved handling of it.
2021-08-05 15:35:08 +01:00
7033a080bf
Better logging of failing instructions.
2021-08-04 17:50:38 +01:00
cc6f62c312
Expanded use of Group and Account baskets.
2021-08-04 13:08:34 +01:00
f4af201d3e
Fixed cranking use of openorders accounts in marketmaker.
2021-08-03 19:51:25 +01:00
d5f8e1d7da
Turning off running marketmaking using individual transactions.
2021-08-03 18:44:05 +01:00
88fa2181d2
Change Group to use a more basket-orientated approach instead of multiple properties requiring indexes.
2021-08-03 18:32:12 +01:00
c90ff010d3
Improved how accounts handle their basket of tokens.
2021-08-03 12:40:00 +01:00
1b87591ae7
Improved context handling of skip_preflight.
2021-08-03 09:14:22 +01:00
0bcf5cfc5a
Improved market output.
2021-08-03 09:13:56 +01:00
2840f52fde
Fixed stub oracle price now the server stub oracle has been updated.
2021-08-03 09:08:47 +01:00
7e7c21c0aa
Marketmaker no longer tries to run instructions in parallel. (I hope this is a temporary fix.)
2021-08-02 17:48:20 +01:00
6f86e83160
Simplified watching. Added inventory watchers.
2021-08-02 17:14:00 +01:00
18935be67e
Fixed spot market crank.
2021-08-02 17:13:50 +01:00
ed3955cc1f
Fixed some type hints.
2021-08-01 18:03:46 +01:00
ba56bdd9f5
Improved event queue handling. Now split incoming events into processed and unprocessed, and changed 'seen' handling to use sequence_number.
2021-08-01 17:47:45 +01:00
ca3193e0b6
Added account indexing to commands that need it.
2021-07-31 14:43:39 +01:00
b734eeb6cc
Fixed linting problems in stub oracle.
2021-07-31 13:37:26 +01:00
2a03f60c3b
Fixed incorrect comment.
2021-07-30 22:41:39 +01:00
efd24060a8
Added stub oracle code and cache loading.
2021-07-30 20:31:17 +01:00
321dd2142a
Fixed comment in Serum oracle.
2021-07-30 18:09:54 +01:00
7cfc1b76ba
Added more logging to watch-minimum-balances.
2021-07-30 17:41:15 +01:00
d3b0c48528
Marketmaker now automatically creates required Spot OpenOrders if it doesn't exist.
2021-07-30 15:41:47 +01:00
45343e4470
Spot place order now auto-creates OpenOrders in same transaction, and updates loaded Account instance.
2021-07-30 09:35:05 +01:00
b75c59599f
Removed debug statements.
2021-07-29 16:22:27 +01:00
e721d6c8e8
Improved Group and Account output. Tied OpenOrders and PerpOpenOrders together with a PlacedOrdersContainer protocol.
2021-07-29 16:19:52 +01:00
5b6d5f2291
Upgraded to new, better devnet group.
2021-07-29 12:38:34 +01:00
8af5bbb05a
Fixed problem in quantity_lots_to_value() calculation.
2021-07-28 18:07:47 +01:00
ab3657958d
Added hedger command. Had to introduce a LotSizeConverter - may expand its use now it's available.
2021-07-28 17:43:58 +01:00
373392cf78
Updated place_order() method to take an Order instead of separate parameters.
2021-07-28 15:29:24 +01:00
d7f117175f
Changed RX subscribe_on to observe_on.
2021-07-28 12:52:29 +01:00
ac25b08668
Removed max charge from ConfidenceIntervalDesiredOrdersBuilder, added a confidence weight to allow tuning aggressiveness.
2021-07-28 11:05:52 +01:00
d739248ec6
Better handling of unseen events in PerpEventQueue.
2021-07-27 21:49:27 +01:00
c874b83221
Can now explicitly pick Pyth oracle on mainnet-beta or devnet.
2021-07-26 18:07:56 +01:00
2818fb46d2
Fixed problem with position size in ConfidenceIntervalDesiredOrdersBuilder.
2021-07-26 16:16:00 +01:00
f3546ee217
Added ConfidenceIntervalDesiredOrdersBuilder.
2021-07-26 15:47:57 +01:00
3b23f7e4e7
Added 'confidence' to oracles so marketmaker could access Pyth confidence intervals.
2021-07-26 13:42:03 +01:00
072252095a
Some work on streaming logs and account/program events.
2021-07-26 12:19:13 +01:00
eb244a2167
Renamed PerpMarket to PerpMarketDetails, and PerpsMarket to PerpMarket to be consistent with SerumMarket and SpotMarket. Improved market stub handling.
2021-07-23 14:18:26 +01:00
d22a09f208
Added market 'stubs' to allow for delayed loading of markets.
2021-07-23 11:42:22 +01:00
8fe48de527
Moved functionality into *Market objects.
2021-07-23 10:20:44 +01:00
3738ff820e
Better logging of Orders.
2021-07-22 18:44:23 +01:00
fb0151191f
Added some more logging to MarketMaker.
2021-07-22 18:03:17 +01:00
107177ee86
Added execute_and_continue_on_failures() to allow MarketMaker to more instructions even if some fail.
2021-07-22 17:54:48 +01:00
add1e4580d
Added better formatting for Order output.
2021-07-22 17:54:16 +01:00
7ddc61a3e3
Fixed linting problems.
2021-07-22 15:58:00 +01:00
c953ec07fc
Added Perp cranking code, plus program. Expanded watch-address, added complementary show-address command.
2021-07-22 15:18:37 +01:00
817b31f8ea
Added a streaming watcher for some account types.
2021-07-21 16:35:38 +01:00
f8e8480085
Trying a different approach with unknown orders in the marketmaker - now they should be cancelled.
2021-07-21 16:34:47 +01:00
c11aececd9
Fixed Serum cranking to be more complete.
2021-07-21 14:31:04 +01:00
56232c44cf
Better exception detail on failed liquidations.
2021-07-20 10:54:17 +01:00
0166b5e371
MarketMaker now takes an optional OrderType parameter.
2021-07-20 10:24:05 +01:00
be1ba45921
Fixed problem with marketmaker raising an exception when it didn't recognise an order. Now it should just log a warning and move on.
2021-07-19 18:38:55 +01:00
dfa9369f87
Trying to stop solanaweb from polluting error notifications.
2021-07-19 18:36:08 +01:00
f7aeafa3c5
Trying to stop solanaweb from polluting error notifications.
2021-07-19 18:29:55 +01:00
9c824f502f
Fixed linting problem.
2021-07-19 16:43:06 +01:00
605f3bd1e2
Perp market maker no longer tries to run Consume Events.
2021-07-19 16:40:47 +01:00
c5cd5ca095
MarketMaker now exits cleanly on Control-C (SIG_TERM).
2021-07-19 15:14:00 +01:00
94df52003b
Changes for devnet group v3.8.
...
* Some struct/layout changes
* Big changes to OpenOrders handling in MarketMaker
* Serum and Spot settlement should now work as expected
2021-07-19 15:04:53 +01:00
bbea9594d1
Fixed failing test.
2021-07-17 14:06:18 +01:00
5a4022b236
Wrapping SOL now creates a proper Associated Token Account if no Wrapped SOL accounts are available.
2021-07-16 18:59:19 +01:00
30d4b01a37
Moved SimpleMarketMaker to its own directory+package.
2021-07-16 17:29:48 +01:00
040eadcb90
Made marketmaker a bit more configurable, and it now publishes pulse completion and errors.
2021-07-16 14:26:42 +01:00
3ca1d7b706
Updated to new ids.json. Added deposit instruction+command.
2021-07-16 13:32:30 +01:00
436237a949
Fixed linting problems.
2021-07-16 11:54:13 +01:00
7db8326a7c
More realistic market-maker is now available.
2021-07-15 21:03:22 +01:00
9960713d7d
Fixed use of backslash in regular expressions.
2021-07-14 18:28:48 +01:00
bbcf3d35ce
Changed the way SimpleMarketMaker calculates position sizes to be in line with what it has on each side instead of the total.
2021-07-14 18:22:36 +01:00
ec051037d4
Fixed Serum oracle to work better with Serum prices when the code itself is not on mainnet.
2021-07-14 16:34:10 +01:00
9ae3e8a327
Fixed oracles for perp market symbols.
2021-07-14 15:51:32 +01:00
fd7c045d37
Updated health check pings to use the prefix /var/tmp/mango_healthcheck_
2021-07-14 14:17:14 +01:00
9f99ecf650
Updated SimpleMarketMaker so it could run well against pure Serum markets.
2021-07-14 14:03:51 +01:00
2f01d8adf0
Added crank and settle calls when cancelling Serum orders.
2021-07-13 20:47:37 +01:00
caf4947a5e
Removed extraneous print statements.
2021-07-13 20:27:35 +01:00
19e4d948d3
Updates to allow some market making on Serum.
2021-07-13 20:01:32 +01:00
33c2c421db
Fixed problem with simple market maker creating too many orders.
2021-07-13 15:16:39 +01:00
bcd56301c9
Brought changes to structs and instructions across for new group/code v3.4.
2021-07-13 12:43:50 +01:00
82405cfec1
Updated Serum and Spot instructions builders to properly crank and settle.
2021-07-12 20:29:41 +01:00
a00738a67c
Added DesiredOrdersBuilder and a couple of basic implementations.
2021-07-12 20:09:36 +01:00
80886c106c
All MarketOperations now properly use their equivalent MarketInstructionBuilder for building instructions.
2021-07-12 18:26:35 +01:00
6a15c81fa3
New approach to transactions allowing them to be split up.
...
* CombinableTransactions now separated out.
* CombinableTransactions are now size-aware when being executed, and will automatically split into batches for execution if they are too big.
* New MarketInstructionBuilder approach - each market type can now have its own way of building instructions for common operations.
2021-07-12 17:18:56 +01:00
faf514cde1
Brought up to date for new Group structures. New websocket approach.
2021-07-12 10:57:05 +01:00
fa28fe4209
Fixed problem fetching transactions for report. Reversed order of output of transactions so it appears better in notifications.
2021-07-07 19:59:27 +01:00
6977d632b0
Fixed problem fetching transactions for report. Reversed order of output of transactions so it appears better in notifications.
2021-07-07 19:58:28 +01:00
79a13f0e06
Report transactions now insists on a report.state file, and reads from it now instead of taking a separate parameter.
2021-07-07 15:06:24 +01:00
fb874dae94
Report transactions now insists on a report.state file, and reads from it now instead of taking a separate parameter.
2021-07-07 15:02:57 +01:00
12c07cab7e
Added target address to transaction report output.
2021-07-07 12:28:50 +01:00
d794326f14
Added target address to transaction report output.
2021-07-07 12:21:31 +01:00
9e706c1d91
(Temporarily?) removed Settle from Spot order placement because it stopped working.
2021-07-01 22:10:52 +01:00
bf675122ac
Updated ids.json for new group. Updated Group with new structure.
...
* Extended mechanism for combining instructions.
* Fixed Account's calculations of deposits and borrows.
* Added net_assets to Account.
* Groups now maintain loaded RootBanks, not just PublicKeys of them.
* Fixed simple market-maker's calculation of position sizes.
2021-07-01 21:24:08 +01:00
8860263346
Fixed problem placing spot orders.
2021-06-30 16:16:02 +01:00
b5c8f69ae1
Fixed Withdraw command.
2021-06-30 15:06:10 +01:00
3e4ba1052c
Initial work on placing/cancelling spot market orders.
2021-06-30 14:08:37 +01:00
e16ac9cdc2
Added proper group-name lookup when fetching groups.
2021-06-28 09:48:16 +01:00
888994424d
Improved reporting of TokenValue and BalanceSheet, in line with V2 changes.
2021-06-26 18:24:07 +01:00
bbd8cc487e
Added a --fetch-prices option to show-margin-account.
2021-06-26 18:11:16 +01:00
42181c10d5
Shifted error handling in SimpleMarketMaker.
2021-06-25 17:58:27 +01:00
857d033572
Added compound instruction builder for placing Serum orders, cranking and settling all in one go.
2021-06-25 17:52:22 +01:00
e61a3806ba
Removed all InstructionBuilders. Instead we'll use simpler functions that return an array of instructions (allowing for compound instructions etc.)
2021-06-25 17:21:53 +01:00
5b71ffbd18
Big Rename - removal of old Group and MarginAccount, deletion of a lot of code that is no longer relevant.
...
* Added some TODO comments where work needs to be done but pieces are currently missing.
2021-06-25 15:50:37 +01:00
b8dc12a3e6
Separated out token and market lookups.
2021-06-25 11:10:41 +01:00
cd46c1c98b
First cut at a lot of V3 code.
2021-06-25 10:33:40 +01:00
852abdff00
Made all send_transaction() calls consistent in use of preflight commitment.
2021-06-24 11:59:57 +01:00
f4e034a943
Added 'processed' commitment to client calls where it was missing.
2021-06-23 11:36:35 +01:00
206a95e39a
Added type annotation for token lookups.
2021-06-23 09:44:55 +01:00
9e5b54b6bd
Shift representation of max input amount.
2021-06-23 09:14:04 +01:00
3d3577023c
Continue liquidating accounts that are liquidatable even if they're above maint_coll_ratio.
2021-06-22 20:36:31 +01:00
72a64a322e
Updated failed liquidation message to include liquidator name.
2021-06-22 10:25:06 +01:00
f7bd67308e
Improved AccountInfo.load_multiple and made better use of it fetching updated prices.
2021-06-22 09:43:31 +01:00
5fc7aa7868
Added better health management of LiquidationProcessor.
2021-06-21 11:06:26 +01:00
858cee248b
Now uses ReportingAccountLiquidator even when using NullAccountLiquidator.
2021-06-19 19:55:23 +01:00
fab659c244
Improved access to market lookup data.
...
* Abstracted MarketLookup from SpotMarketLookup, because not all markets need be 'spot'.
* Made MarketLookup accessible from Context.
2021-06-18 13:50:33 +01:00
aac32ba716
Wallet can now be loaded from environment.
...
* Centralised configuration of Wallet from command-line
* Added loading Wallet from environment variables
* Improved command-line handling of many commands
2021-06-17 12:06:39 +01:00
7078ef4722
Removed default context objects - now have static method on Context object: Context.default().
2021-06-17 11:18:35 +01:00
198054ad09
Changed message that appears on liquidation filtering.
2021-06-16 20:54:11 +01:00
31a476cbb1
Fixed some lint problems.
2021-06-16 20:50:25 +01:00
90d6c54552
Fixed problem switching cluster on command line using just cluster name.
2021-06-16 20:38:00 +01:00
d0595b8673
Updated SimpleMarketMaker based on suggestions from Brian.
...
* Cleans up existing orders on startup, in case recovering from a previous crash.
* Can now leave existing orders in place (instead of cancelling and creating fresh) if price and size are within tolerance.
2021-06-16 12:06:12 +01:00
81f386f114
Introduced a SimpleMarketMaker.
2021-06-15 23:30:11 +01:00
c4c92f2851
Changed default group name from BTC_ETH_USDT to BTC_ETH_SOL_SRM_USDC.
2021-06-15 17:32:26 +01:00
0fae7679f7
Separated out logic to determine liquidatability of margin account into a more testable setup.
2021-06-15 17:30:25 +01:00
ceaae48ddf
Moved Pyth Network oracle code to V2 now that they're providing prices there.
2021-06-15 11:57:28 +01:00
23aed252d4
Fixed problem where margin account balances had index applied twice.
2021-06-13 22:54:21 +01:00
36446c2567
Fixed problem passing empty OpenOrders accounts in instructions.
2021-06-13 22:02:02 +01:00
5bbac07d0c
Updated LiquidationProcessor to take referrer_rebate_accrued into account.
...
* Added referrer_rebate_accrued to assets in calculations.
* Added some unit tests on liquidation calculations.
2021-06-13 20:34:17 +01:00
a491d1d851
Added to_streaming_observable() method to OracleProviders. Added polling observable to Pyth and Serum providers, and websocket observable to FTX provider.
2021-06-13 16:01:36 +01:00
6b4ea5925d
Added FTX price oracle.
2021-06-12 14:21:07 +01:00
c3ac807fce
Moved oracles to their own packages.
2021-06-11 16:51:41 +01:00
b47bd6f6f3
Added Serum oracle.
2021-06-11 12:43:47 +01:00
83d1702691
Added code to fetch prices from the Pyth Network.
2021-06-10 21:28:29 +01:00
8e470ad94e
Now applies serum fee discount address to Serum orders, if an SRM token account is available.
2021-06-09 15:20:13 +01:00
4294fbebe7
Fixed problem using Wrapped SOL with Serum.
...
* Fixes problems with liquidator re-balancing.
* Fixes problems with group-balance-wallet, group-settle, serum-buy and serum-sell commands.
* Greatly increases the speed of buying and selling on Serum - the IOC order is now placed, cranked and settled in one transaction.
* Associated token accounts and OpenOrders accounts are automatically created as-needed.
2021-06-09 00:47:15 +01:00
a637f79feb
Fixed problem switching context from 3-token group to 5-token group.
2021-06-08 16:27:04 +01:00
032c91c66e
Fixed bug in group-settle, where market metadata was provided instead of a spot market.
2021-06-08 15:12:43 +01:00
16cb68ad4c
Fixed bug in balancing wallet.
...
* Mixed use of 'symbol' in different contexts.
2021-06-08 14:38:28 +01:00
e3e44a14ef
Added documentation on Wrapped SOL, how to wrap/unwrap. Cleaned up those commands, centralised some Instructions.
2021-06-08 14:05:00 +01:00
616d929e90
Removed context from Group, added name. Price lookups must now pass the context they want to use.
2021-06-08 08:17:37 +01:00
d92a28f635
LiquidationProcessor now records timestamp of last price and margin accounts updates.
...
* Will log warning if margin accounts are over 5 minutes out of date
* Will log error if margin accounts are over 10 minutes out of date
2021-06-07 20:35:26 +01:00
c0d7621e53
Added show-group and show-margin-account commands.
...
* Improved string output
* Strongly typed Group TokenValues, e.g. total deposits/borrows, indexes.
2021-06-07 19:38:43 +01:00
5e59d8a7e3
Moved library code to .py files instead of notebooks.
...
* This is a big change that touched most files in the project.
* Library code is now an actual package, in /mango.
* Pure .py files used for shared code - easier to edit/debug, and should ease move to installable package later.
* Removed many notebooks. The remaining notebooks are useful 'display'/'show' notebooks for investigating Mango objects.
* More tests! The test story is now much improved, but more unit tests are still needed.
* There's now a Makefile for project operations.
2021-06-07 15:10:18 +01:00
Geoff Taylor