# # ⚠ 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 rx.operators import typing 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 .accountinfo import AccountInfo from .combinableinstructions import CombinableInstructions from .constants import SYSTEM_PROGRAM_ADDRESS from .context import Context from .instructions import ( build_serum_consume_events_instructions, build_serum_create_openorders_instructions, build_serum_settle_instructions, build_serum_place_order_instructions, ) from .loadedmarket import LoadedMarket from .lotsizeconverter import LotSizeConverter, RaisingLotSizeConverter from .markets import InventorySource, Market, MarketType from .marketoperations import MarketInstructionBuilder, MarketOperations from .openorders import OpenOrders from .observables import Disposable from .orders import Order, OrderBook, Side from .publickey import encode_public_key_for_sorting from .serumeventqueue import SerumEvent, SerumEventQueue, UnseenSerumEventChangesTracker from .tokens import Instrument, Token from .tokenaccount import TokenAccount from .wallet import Wallet from .websocketsubscription import ( IndividualWebSocketSubscriptionManager, WebSocketAccountSubscription, ) # # 🥭 SerumMarket class # # This class encapsulates our knowledge of a Serum spot market. # class SerumMarket(LoadedMarket): def __init__( self, serum_program_address: PublicKey, address: PublicKey, base: Token, quote: Token, underlying_serum_market: PySerumMarket, ) -> None: super().__init__( MarketType.SERUM, serum_program_address, address, InventorySource.SPL_TOKENS, base, quote, RaisingLotSizeConverter(), ) self.base: Token = base self.quote: Token = quote 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.SERUM @staticmethod def ensure(market: Market) -> "SerumMarket": if not SerumMarket.isa(market): raise Exception(f"Market for {market.symbol} is not a Serum market") return typing.cast(SerumMarket, market) @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 find_openorders_address_for_owner( self, context: Context, owner: PublicKey ) -> typing.Optional[PublicKey]: all_open_orders = OpenOrders.load_for_market_and_owner( context, self.address, owner, context.serum_program_address, self.base.decimals, self.quote.decimals, ) if len(all_open_orders) == 0: return None return all_open_orders[0].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"""« SerumMarket {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()} »""" # # 🥭 SerumMarketInstructionBuilder # # This file deals with building instructions for Serum 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 SerumMarketInstructionBuilder(MarketInstructionBuilder): def __init__( self, context: Context, wallet: Wallet, serum_market: SerumMarket, raw_market: PySerumMarket, base_token_account: TokenAccount, quote_token_account: TokenAccount, open_orders_address: typing.Optional[PublicKey], fee_discount_token_address: PublicKey, ) -> None: super().__init__() self.context: Context = context self.wallet: Wallet = wallet self.serum_market: SerumMarket = serum_market self.raw_market: PySerumMarket = raw_market self.base_token_account: TokenAccount = base_token_account self.quote_token_account: TokenAccount = quote_token_account self.open_orders_address: typing.Optional[PublicKey] = open_orders_address self.fee_discount_token_address: PublicKey = fee_discount_token_address @staticmethod def load( context: Context, wallet: Wallet, serum_market: SerumMarket ) -> "SerumMarketInstructionBuilder": raw_market: PySerumMarket = PySerumMarket.load( context.client.compatible_client, serum_market.address, context.serum_program_address, ) fee_discount_token_address: PublicKey = SYSTEM_PROGRAM_ADDRESS srm_instrument: typing.Optional[ Instrument ] = context.instrument_lookup.find_by_symbol("SRM") if srm_instrument is not None: srm_token: Token = Token.ensure(srm_instrument) fee_discount_token_account = TokenAccount.fetch_largest_for_owner_and_token( context, wallet.address, srm_token ) if fee_discount_token_account is not None: fee_discount_token_address = fee_discount_token_account.address open_orders_address: typing.Optional[PublicKey] = None all_open_orders = OpenOrders.load_for_market_and_owner( context, serum_market.address, wallet.address, context.serum_program_address, serum_market.base.decimals, serum_market.quote.decimals, ) if len(all_open_orders) > 0: open_orders_address = all_open_orders[0].address base_token_account = TokenAccount.fetch_largest_for_owner_and_token( context, wallet.address, serum_market.base ) if base_token_account is None: raise Exception( f"Could not find source token account for base token {serum_market.base.symbol}." ) quote_token_account = TokenAccount.fetch_largest_for_owner_and_token( context, wallet.address, serum_market.quote ) if quote_token_account is None: raise Exception( f"Could not find source token account for quote token {serum_market.quote.symbol}." ) return SerumMarketInstructionBuilder( context, wallet, serum_market, raw_market, base_token_account, quote_token_account, open_orders_address, fee_discount_token_address, ) def build_cancel_order_instructions( self, order: Order, ok_if_missing: bool = False ) -> CombinableInstructions: # For us to cancel an order, an open_orders account must already exist (or have existed). if self.open_orders_address is None: raise Exception( f"Cannot cancel order with client ID {order.client_id} - no OpenOrders account." ) raw_instruction = self.raw_market.make_cancel_order_by_client_id_instruction( self.wallet.keypair, self.open_orders_address, order.client_id ) return CombinableInstructions.from_instruction(raw_instruction) def build_place_order_instructions(self, order: Order) -> CombinableInstructions: if order.reduce_only: self._logger.warning( "Ignoring reduce_only - not supported on Serum markets" ) if order.expiration != Order.NoExpiration: self._logger.warning("Ignoring expiration - not supported on Serum markets") if order.match_limit != Order.DefaultMatchLimit: self._logger.warning( "Ignoring match_limit - not supported on Serum markets" ) ensure_open_orders = CombinableInstructions.empty() if self.open_orders_address is None: ensure_open_orders = self.build_create_openorders_instructions() if self.open_orders_address is None: raise Exception("Failed to find or create OpenOrders address") payer_token_account = ( self.quote_token_account if order.side == Side.BUY else self.base_token_account ) place = build_serum_place_order_instructions( self.context, self.wallet, self.raw_market, payer_token_account.address, self.open_orders_address, order.order_type, order.side, order.price, order.quantity, order.client_id, self.fee_discount_token_address, ) return ensure_open_orders + place def build_settle_instructions(self) -> CombinableInstructions: if self.open_orders_address is None: return CombinableInstructions.empty() return build_serum_settle_instructions( self.context, self.wallet, self.raw_market, self.open_orders_address, self.base_token_account.address, self.quote_token_account.address, ) 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 serum OpenOrders address provided." ) return CombinableInstructions.empty() distinct_addresses: typing.List[PublicKey] = [] 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.serum_market.address, self.raw_market.state.event_queue(), limited_addresses, int(limit), ) def build_create_openorders_instructions(self) -> CombinableInstructions: create_open_orders = build_serum_create_openorders_instructions( self.context, self.wallet, self.raw_market ) self.open_orders_address = create_open_orders.signers[0].public_key return create_open_orders def build_redeem_instructions(self) -> CombinableInstructions: return CombinableInstructions.empty() def __str__(self) -> str: return """« SerumMarketInstructionBuilder »""" # # 🥭 SerumMarketOperations class # # This class performs standard operations on the Serum orderbook. # class SerumMarketOperations(MarketOperations): def __init__( self, context: Context, wallet: Wallet, market_instruction_builder: SerumMarketInstructionBuilder, ) -> None: super().__init__(market_instruction_builder.serum_market) self.context: Context = context self.wallet: Wallet = wallet self.market_instruction_builder: SerumMarketInstructionBuilder = ( market_instruction_builder ) @staticmethod def ensure(market_ops: MarketOperations) -> "SerumMarketOperations": if not isinstance(market_ops, SerumMarketOperations): raise Exception( f"MarketOperations for {market_ops.symbol} is not a SerumMarketOperations" ) return market_ops @property def serum_market(self) -> SerumMarket: return self.market_instruction_builder.serum_market def cancel_order( self, order: Order, ok_if_missing: bool = False ) -> typing.Sequence[str]: self._logger.info(f"Cancelling {self.serum_market.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() 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 = self.context.generate_client_id() signers: CombinableInstructions = CombinableInstructions.from_wallet( self.wallet ) open_orders_address = ( self.market_instruction_builder.open_orders_address or SYSTEM_PROGRAM_ADDRESS ) order_with_client_id: Order = Order( id=0, client_id=client_id, side=order.side, price=order.price, quantity=order.quantity, owner=open_orders_address, order_type=order.order_type, ) self._logger.info( f"Placing {self.serum_market.symbol} order {order_with_client_id}." ) place: CombinableInstructions = ( self.market_instruction_builder.build_place_order_instructions( order_with_client_id ) ) crank: CombinableInstructions = self._build_crank(crank_limit) 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) return (signers + crank).execute(self.context) def create_openorders(self) -> PublicKey: signers: CombinableInstructions = CombinableInstructions.from_wallet( self.wallet ) create_open_orders = ( self.market_instruction_builder.build_create_openorders_instructions() ) open_orders_address = create_open_orders.signers[0].public_key (signers + create_open_orders).execute(self.context) return open_orders_address def ensure_openorders(self) -> PublicKey: if self.market_instruction_builder.open_orders_address is not None: return self.market_instruction_builder.open_orders_address return self.create_openorders() def load_orderbook(self) -> OrderBook: return self.serum_market.fetch_orderbook(self.context) def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]: open_orders_address = self.market_instruction_builder.open_orders_address if not open_orders_address: return [] orderbook: OrderBook = self.load_orderbook() return orderbook.all_orders_for_owner( open_orders_address, include_expired=include_expired ) def _build_crank( self, limit: Decimal = Decimal(32), add_self: bool = False ) -> CombinableInstructions: open_orders_to_crank: typing.List[PublicKey] = [] for event in self.serum_market.unprocessed_events(self.context): open_orders_to_crank += [event.public_key] self._logger.debug(f"open_orders_to_crank: {len(open_orders_to_crank)}") if add_self and self.market_instruction_builder.open_orders_address is not None: open_orders_to_crank += [ self.market_instruction_builder.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"""« SerumMarketOperations [{self.serum_market.symbol}] »""" # # 🥭 SerumMarketStub class # # This class holds information to load a `SerumMarket` object but doesn't automatically load it. # class SerumMarketStub(Market): def __init__( self, serum_program_address: PublicKey, address: PublicKey, base: Token, quote: Token, ) -> None: super().__init__( MarketType.STUB, serum_program_address, address, InventorySource.SPL_TOKENS, base, quote, RaisingLotSizeConverter(), ) self.base: Token = base self.quote: Token = quote def load(self, context: Context) -> SerumMarket: underlying_serum_market: PySerumMarket = PySerumMarket.load( context.client.compatible_client, self.address, context.serum_program_address, ) return SerumMarket( self.program_address, self.address, self.base, self.quote, underlying_serum_market, ) def __str__(self) -> str: return ( f"« SerumMarketStub {self.symbol} {self.address} [{self.program_address}] »" )