# # ⚠ Warning # # THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT # LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN # NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, # WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE # SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. # # [🥭 Mango Markets](https://mango.markets/) support is available at: # [Docs](https://docs.mango.markets/) # [Discord](https://discord.gg/67jySBhxrg) # [Twitter](https://twitter.com/mangomarkets) # [Github](https://github.com/blockworks-foundation) # [Email](mailto:hello@blockworks.foundation) import logging import rx.operators import typing from datetime import datetime from decimal import Decimal from pyserum.market.market import Market as PySerumMarket from pyserum.market.orderbook import OrderBook as PySerumOrderBook from solana.publickey import PublicKey from .account import Account from .accountinfo import AccountInfo from .combinableinstructions import CombinableInstructions from .constants import SYSTEM_PROGRAM_ADDRESS from .context import Context from .datetimes import utc_now from .group import GroupSlot, Group from .instructions import ( build_serum_consume_events_instructions, build_spot_cancel_order_instructions, build_spot_place_order_instructions, build_spot_settle_instructions, build_spot_create_openorders_instructions, ) from .loadedmarket import LoadedMarket from .lotsizeconverter import LotSizeConverter, RaisingLotSizeConverter from .markets import InventorySource, MarketType, Market from .marketoperations import MarketInstructionBuilder, MarketOperations from .observables import Disposable from .orders import Order, OrderBook from .publickey import encode_public_key_for_sorting from .serumeventqueue import SerumEvent, SerumEventQueue, UnseenSerumEventChangesTracker from .tokens import Token from .wallet import Wallet from .websocketsubscription import ( IndividualWebSocketSubscriptionManager, WebSocketAccountSubscription, ) # # 🥭 SpotMarket class # # This class encapsulates our knowledge of a Serum spot market. # class SpotMarket(LoadedMarket): def __init__( self, serum_program_address: PublicKey, address: PublicKey, base: Token, quote: Token, group: Group, underlying_serum_market: PySerumMarket, ) -> None: super().__init__( MarketType.SPOT, serum_program_address, address, InventorySource.ACCOUNT, base, quote, RaisingLotSizeConverter(), ) self.base: Token = base self.quote: Token = quote self.group: Group = group self.underlying_serum_market: PySerumMarket = underlying_serum_market base_lot_size: Decimal = Decimal(underlying_serum_market.state.base_lot_size()) quote_lot_size: Decimal = Decimal( underlying_serum_market.state.quote_lot_size() ) self.lot_size_converter: LotSizeConverter = LotSizeConverter( base, base_lot_size, quote, quote_lot_size ) @staticmethod def isa(market: Market) -> bool: return market.type == MarketType.SPOT @staticmethod def ensure(market: Market) -> "SpotMarket": if not SpotMarket.isa(market): raise Exception( f"Market for {market.fully_qualified_symbol} is not a Spot market" ) return typing.cast(SpotMarket, market) @property def fully_qualified_symbol(self) -> str: return f"spot:{self.symbol}" @property def bids_address(self) -> PublicKey: return self.underlying_serum_market.state.bids() @property def asks_address(self) -> PublicKey: return self.underlying_serum_market.state.asks() @property def event_queue_address(self) -> PublicKey: return self.underlying_serum_market.state.event_queue() def parse_account_info_to_orders( self, account_info: AccountInfo ) -> typing.Sequence[Order]: orderbook: PySerumOrderBook = PySerumOrderBook.from_bytes( self.underlying_serum_market.state, account_info.data ) return list(map(Order.from_serum_order, orderbook.orders())) def unprocessed_events(self, context: Context) -> typing.Sequence[SerumEvent]: event_queue: SerumEventQueue = SerumEventQueue.load( context, self.event_queue_address ) return event_queue.unprocessed_events def derive_open_orders_address( self, context: Context, account: Account ) -> PublicKey: slot = account.slot_by_instrument(self.base) open_orders_address_and_nonce: typing.Tuple[ PublicKey, int ] = PublicKey.find_program_address( [ bytes(account.address), int(slot.index).to_bytes(8, "little"), b"OpenOrders", ], context.mango_program_address, ) open_orders_address: PublicKey = open_orders_address_and_nonce[0] return open_orders_address def on_fill( self, context: Context, handler: typing.Callable[[SerumEvent], None] ) -> Disposable: def _fill_filter(item: SerumEvent) -> None: if item.event_flags.fill: handler(item) return self.on_event(context, _fill_filter) def on_event( self, context: Context, handler: typing.Callable[[SerumEvent], None] ) -> Disposable: disposer = Disposable() event_queue_address = self.event_queue_address initial: SerumEventQueue = SerumEventQueue.load( context, self.event_queue_address ) splitter: UnseenSerumEventChangesTracker = UnseenSerumEventChangesTracker( initial ) event_queue_subscription = WebSocketAccountSubscription( context, event_queue_address, SerumEventQueue.parse ) disposer.add_disposable(event_queue_subscription) manager = IndividualWebSocketSubscriptionManager(context) disposer.add_disposable(manager) manager.add(event_queue_subscription) publisher = event_queue_subscription.publisher.pipe( rx.operators.flat_map(splitter.unseen) ) individual_event_subscription = publisher.subscribe(on_next=handler) disposer.add_disposable(individual_event_subscription) manager.open() return disposer def __str__(self) -> str: return f"""« SpotMarket {self.symbol} {self.address} [{self.program_address}] Event Queue: {self.underlying_serum_market.state.event_queue()} Request Queue: {self.underlying_serum_market.state.request_queue()} Bids: {self.underlying_serum_market.state.bids()} Asks: {self.underlying_serum_market.state.asks()} Base: [lot size: {self.underlying_serum_market.state.base_lot_size()}] {self.underlying_serum_market.state.base_mint()} Quote: [lot size: {self.underlying_serum_market.state.quote_lot_size()}] {self.underlying_serum_market.state.quote_mint()} »""" # # 🥭 SpotMarketInstructionBuilder # # This file deals with building instructions for Spot markets. # # As a matter of policy for all InstructionBuidlers, construction and build_* methods should all work with # existing data, requiring no fetches from Solana or other sources. All necessary data should all be loaded # on initial setup in the `load()` method. # class SpotMarketInstructionBuilder(MarketInstructionBuilder): def __init__( self, context: Context, wallet: Wallet, spot_market: SpotMarket, group: Group, account: Account, raw_market: PySerumMarket, market_index: int, fee_discount_token_address: PublicKey, ) -> None: super().__init__() self.context: Context = context self.wallet: Wallet = wallet self.spot_market: SpotMarket = spot_market self.group: Group = group self.account: Account = account self.raw_market: PySerumMarket = raw_market self.market_index: int = market_index self.fee_discount_token_address: PublicKey = fee_discount_token_address self.open_orders_address: typing.Optional[ PublicKey ] = self.account.spot_open_orders_by_index[self.market_index] @staticmethod def load( context: Context, wallet: Wallet, spot_market: SpotMarket, group: Group, account: Account, ) -> "SpotMarketInstructionBuilder": raw_market: PySerumMarket = PySerumMarket.load( context.client.compatible_client, spot_market.address, context.serum_program_address, ) msrm_balance = context.client.get_token_account_balance(group.msrm_vault) fee_discount_token_address: PublicKey if msrm_balance > 0: fee_discount_token_address = group.msrm_vault logging.debug( f"MSRM balance is: {msrm_balance} - using MSRM fee discount address {fee_discount_token_address}" ) else: fee_discount_token_address = group.srm_vault logging.debug( f"MSRM balance is: {msrm_balance} - using SRM fee discount address {fee_discount_token_address}" ) slot = group.slot_by_spot_market_address(spot_market.address) market_index = slot.index return SpotMarketInstructionBuilder( context, wallet, spot_market, group, account, raw_market, market_index, fee_discount_token_address, ) def build_cancel_order_instructions( self, order: Order, ok_if_missing: bool = False ) -> CombinableInstructions: if self.open_orders_address is None: return CombinableInstructions.empty() return build_spot_cancel_order_instructions( self.context, self.wallet, self.group, self.account, self.raw_market, order, self.open_orders_address, ) def build_place_order_instructions(self, order: Order) -> CombinableInstructions: if order.reduce_only: self._logger.warning("Ignoring reduce_only - not supported on Spot markets") if order.expiration != Order.NoExpiration: self._logger.warning("Ignoring expiration - not supported on Spot markets") if order.match_limit != Order.DefaultMatchLimit: self._logger.warning("Ignoring match_limit - not supported on Spot markets") slot = self.group.slot_by_spot_market_address(self.spot_market.address) market_index = slot.index open_orders_address: typing.Optional[ PublicKey ] = self.account.spot_open_orders_by_index[market_index] instructions = CombinableInstructions.empty() if open_orders_address is None: # Spot OpenOrders accounts use a PDA as of v3.3 open_orders_address = self.spot_market.derive_open_orders_address( self.context, self.account ) instructions += build_spot_create_openorders_instructions( self.context, self.wallet, self.group, self.account, self.spot_market, open_orders_address, ) # This line is a little nasty. Now that we know we have an OpenOrders account at # this address, update the IAccount so that future uses (like later in this # method) have access to it in the right place. # # This might cause problems if this instruction is never sent or the transaction # fails though. self.account.update_spot_open_orders_for_market( market_index, open_orders_address ) instructions += build_spot_place_order_instructions( self.context, self.wallet, self.group, self.account, self.spot_market, open_orders_address, order.order_type, order.side, order.price, order.quantity, order.client_id, self.fee_discount_token_address, ) return instructions def build_settle_instructions(self) -> CombinableInstructions: if self.open_orders_address is None: return CombinableInstructions.empty() base_slot: GroupSlot = self.group.slot_by_instrument(self.spot_market.base) if base_slot.base_token_bank is None: raise Exception( f"No token info for base instrument {self.spot_market.base.symbol} in group {self.group.address}" ) base_rootbank = base_slot.base_token_bank.ensure_root_bank(self.context) base_nodebank = base_rootbank.pick_node_bank(self.context) quote_rootbank = self.group.shared_quote.ensure_root_bank(self.context) quote_nodebank = quote_rootbank.pick_node_bank(self.context) return build_spot_settle_instructions( self.context, self.wallet, self.account, self.raw_market, self.group, self.open_orders_address, base_rootbank, base_nodebank, quote_rootbank, quote_nodebank, ) def build_crank_instructions( self, addresses: typing.Sequence[PublicKey], limit: Decimal = Decimal(32) ) -> CombinableInstructions: if self.open_orders_address is None: self._logger.debug( "Returning empty crank instructions - no spot OpenOrders address provided." ) return CombinableInstructions.empty() distinct_addresses: typing.List[PublicKey] = [self.open_orders_address] for oo in addresses: if oo not in distinct_addresses: distinct_addresses += [oo] if len(distinct_addresses) > limit: self._logger.warn( f"Cranking limited to {limit} of {len(distinct_addresses)} addresses waiting to be cranked." ) limited_addresses = distinct_addresses[ 0 : min(int(limit), len(distinct_addresses)) ] limited_addresses.sort(key=encode_public_key_for_sorting) self._logger.debug( f"About to crank {len(limited_addresses)} addresses: {limited_addresses}" ) return build_serum_consume_events_instructions( self.context, self.spot_market.address, self.raw_market.state.event_queue(), limited_addresses, int(limit), ) def build_redeem_instructions(self) -> CombinableInstructions: return CombinableInstructions.empty() def build_create_openorders_instructions(self) -> CombinableInstructions: # Spot OpenOrders accounts use a PDA as of v3.3 open_orders_address: PublicKey = self.spot_market.derive_open_orders_address( self.context, self.account ) return build_spot_create_openorders_instructions( self.context, self.wallet, self.group, self.account, self.spot_market, open_orders_address, ) def __str__(self) -> str: return f"« SpotMarketInstructionBuilder [{self.spot_market.fully_qualified_symbol}] »" # # 🥭 SpotMarketOperations class # # This class puts trades on the Serum orderbook. It doesn't do anything complicated. # class SpotMarketOperations(MarketOperations): def __init__( self, context: Context, wallet: Wallet, account: Account, market_instruction_builder: SpotMarketInstructionBuilder, ) -> None: super().__init__(market_instruction_builder.spot_market) self.context: Context = context self.wallet: Wallet = wallet self.account: Account = account self.market_instruction_builder: SpotMarketInstructionBuilder = ( market_instruction_builder ) self.market_index: int = self.group.slot_by_spot_market_address( self.spot_market.address ).index self.open_orders_address: typing.Optional[ PublicKey ] = self.account.spot_open_orders_by_index[self.market_index] @staticmethod def ensure(market_ops: MarketOperations) -> "SpotMarketOperations": if not isinstance(market_ops, SpotMarketOperations): raise Exception( f"MarketOperations for {market_ops.symbol} is not a SpotMarketOperations" ) return market_ops @property def spot_market(self) -> SpotMarket: return self.market_instruction_builder.spot_market @property def group(self) -> Group: return self.market_instruction_builder.group def cancel_order( self, order: Order, ok_if_missing: bool = False ) -> typing.Sequence[str]: self._logger.info( f"Cancelling {self.spot_market.fully_qualified_symbol} order {order}." ) signers: CombinableInstructions = CombinableInstructions.from_wallet( self.wallet ) cancel: CombinableInstructions = ( self.market_instruction_builder.build_cancel_order_instructions( order, ok_if_missing=ok_if_missing ) ) crank: CombinableInstructions = self._build_crank(add_self=True) settle: CombinableInstructions = ( self.market_instruction_builder.build_settle_instructions() ) return (signers + cancel + crank + settle).execute(self.context) def place_order( self, order: Order, crank_limit: Decimal = Decimal(5) ) -> typing.Sequence[str]: client_id: int = order.client_id or self.context.generate_client_id() signers: CombinableInstructions = CombinableInstructions.from_wallet( self.wallet ) order_with_client_id: Order = order.with_update( client_id=client_id ).with_update(owner=self.open_orders_address or SYSTEM_PROGRAM_ADDRESS) self._logger.info( f"Placing {self.spot_market.fully_qualified_symbol} order {order}." ) place: CombinableInstructions = ( self.market_instruction_builder.build_place_order_instructions( order_with_client_id ) ) crank: CombinableInstructions = self._build_crank( limit=crank_limit, add_self=True ) settle: CombinableInstructions = ( self.market_instruction_builder.build_settle_instructions() ) return (signers + place + crank + settle).execute(self.context) def settle(self) -> typing.Sequence[str]: signers: CombinableInstructions = CombinableInstructions.from_wallet( self.wallet ) settle = self.market_instruction_builder.build_settle_instructions() return (signers + settle).execute(self.context) def crank(self, limit: Decimal = Decimal(32)) -> typing.Sequence[str]: signers: CombinableInstructions = CombinableInstructions.from_wallet( self.wallet ) crank = self._build_crank(limit, add_self=False) return (signers + crank).execute(self.context) def create_openorders(self) -> PublicKey: signers: CombinableInstructions = CombinableInstructions.from_wallet( self.wallet ) create_open_orders: CombinableInstructions = ( self.market_instruction_builder.build_create_openorders_instructions() ) (signers + create_open_orders).execute(self.context) # These lines are a little nasty. Now that we know we have an OpenOrders account at this address, # update the Account so that future uses (like later in this method) have access to it in the right # place. open_orders_address: PublicKey = self.spot_market.derive_open_orders_address( self.context, self.account ) self.account.update_spot_open_orders_for_market( self.market_index, open_orders_address ) return open_orders_address def ensure_openorders(self) -> PublicKey: existing: typing.Optional[PublicKey] = self.account.spot_open_orders_by_index[ self.market_index ] if existing is not None: return existing return self.create_openorders() def load_orderbook(self) -> OrderBook: return self.spot_market.fetch_orderbook(self.context) def load_my_orders( self, cutoff: typing.Optional[datetime] = utc_now() ) -> typing.Sequence[Order]: if not self.open_orders_address: return [] orderbook: OrderBook = self.load_orderbook() return orderbook.all_orders_for_owner(self.open_orders_address, cutoff=cutoff) def _build_crank( self, limit: Decimal = Decimal(32), add_self: bool = False ) -> CombinableInstructions: open_orders_to_crank: typing.List[PublicKey] = [] for event in self.spot_market.unprocessed_events(self.context): open_orders_to_crank += [event.public_key] if add_self and self.open_orders_address is not None: open_orders_to_crank += [self.open_orders_address] if len(open_orders_to_crank) == 0: return CombinableInstructions.empty() self._logger.debug( f"Building crank instruction with {len(open_orders_to_crank)} public keys, throttled to {limit}" ) return self.market_instruction_builder.build_crank_instructions( open_orders_to_crank, limit ) def __str__(self) -> str: return f"« SpotMarketOperations [{self.spot_market.fully_qualified_symbol}] »" # # 🥭 SpotMarketStub class # # This class holds information to load a `SpotMarket` object but doesn't automatically load it. # class SpotMarketStub(Market): def __init__( self, serum_program_address: PublicKey, address: PublicKey, base: Token, quote: Token, group_address: PublicKey, ) -> None: super().__init__( MarketType.STUB, serum_program_address, address, InventorySource.ACCOUNT, base, quote, RaisingLotSizeConverter(), ) self.base: Token = base self.quote: Token = quote self.group_address: PublicKey = group_address @property def fully_qualified_symbol(self) -> str: return f"spot:{self.symbol}" def load(self, context: Context, group: typing.Optional[Group]) -> SpotMarket: actual_group: Group = group or Group.load(context, self.group_address) underlying_serum_market: PySerumMarket = PySerumMarket.load( context.client.compatible_client, self.address, context.serum_program_address, ) return SpotMarket( self.program_address, self.address, self.base, self.quote, actual_group, underlying_serum_market, ) def __str__(self) -> str: return ( f"« SpotMarketStub {self.symbol} {self.address} [{self.program_address}] »" )