251 lines
14 KiB
Python
251 lines
14 KiB
Python
# # ⚠ Warning
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
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# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
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# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
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# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
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#
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# [🥭 Mango Markets](https://markets/) support is available at:
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# [Docs](https://docs.markets/)
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# [Discord](https://discord.gg/67jySBhxrg)
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# [Twitter](https://twitter.com/mangomarkets)
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# [Github](https://github.com/blockworks-foundation)
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# [Email](mailto:hello@blockworks.foundation)
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import typing
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from datetime import datetime
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from decimal import Decimal
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from .account import AccountSlot
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from .cache import PerpMarketCache, MarketCache, RootBankCache
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from .calculators.unsettledfundingcalculator import calculate_unsettled_funding, UnsettledFundingParams
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from .group import Group
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from .instrumentvalue import InstrumentValue
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from .lotsizeconverter import LotSizeConverter
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from .openorders import OpenOrders
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from .perpaccount import PerpAccount
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from .token import Instrument, Token
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# # 🥭 _token_values_from_open_orders function
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#
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# `_token_values_from_open_orders()` builds InstrumentValue objects from an OpenOrders object.
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#
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def _token_values_from_open_orders(base_token: Token, quote_token: Token, spot_open_orders: typing.Sequence[OpenOrders]) -> typing.Tuple[InstrumentValue, InstrumentValue, InstrumentValue, InstrumentValue]:
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base_token_free: Decimal = Decimal(0)
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base_token_total: Decimal = Decimal(0)
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quote_token_free: Decimal = Decimal(0)
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quote_token_total: Decimal = Decimal(0)
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for open_orders in spot_open_orders:
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base_token_free += open_orders.base_token_free
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base_token_total += open_orders.base_token_total
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quote_token_free += open_orders.quote_token_free
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quote_token_total += open_orders.quote_token_total
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return (InstrumentValue(base_token, base_token_free),
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InstrumentValue(base_token, base_token_total),
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InstrumentValue(quote_token, quote_token_free),
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InstrumentValue(quote_token, quote_token_total))
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# # 🥭 AccountInstrumentValues class
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#
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# `AccountInstrumentValues` gathers basket items together instead of separate arrays.
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#
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class AccountInstrumentValues:
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def __init__(self, base_token: Instrument, quote_token: Token, raw_deposit: Decimal, deposit: InstrumentValue, raw_borrow: Decimal, borrow: InstrumentValue, base_token_free: InstrumentValue, base_token_total: InstrumentValue, quote_token_free: InstrumentValue, quote_token_total: InstrumentValue, perp_base_position: InstrumentValue, raw_perp_quote_position: Decimal, raw_taker_quote: Decimal, bids_quantity: InstrumentValue, asks_quantity: InstrumentValue, long_settled_funding: Decimal, short_settled_funding: Decimal, lot_size_converter: LotSizeConverter):
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self.base_token: Instrument = base_token
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self.quote_token: Token = quote_token
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self.raw_deposit: Decimal = raw_deposit
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self.deposit: InstrumentValue = deposit
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self.raw_borrow: Decimal = raw_borrow
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self.borrow: InstrumentValue = borrow
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self.base_token_free: InstrumentValue = base_token_free
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self.base_token_total: InstrumentValue = base_token_total
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self.quote_token_free: InstrumentValue = quote_token_free
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self.quote_token_total: InstrumentValue = quote_token_total
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self.perp_base_position: InstrumentValue = perp_base_position
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self.raw_perp_quote_position: Decimal = raw_perp_quote_position
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self.raw_taker_quote: Decimal = raw_taker_quote
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self.bids_quantity: InstrumentValue = bids_quantity
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self.asks_quantity: InstrumentValue = asks_quantity
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self.long_settled_funding: Decimal = long_settled_funding
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self.short_settled_funding: Decimal = short_settled_funding
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self.lot_size_converter: LotSizeConverter = lot_size_converter
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@property
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def net_value(self) -> InstrumentValue:
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return self.deposit - self.borrow + self.base_token_total
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@property
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def base_token_locked(self) -> InstrumentValue:
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return self.base_token_total - self.base_token_free
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@property
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def quote_token_locked(self) -> InstrumentValue:
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return self.quote_token_total - self.quote_token_free
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@property
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def if_all_bids_executed(self) -> InstrumentValue:
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return self.perp_base_position + self.bids_quantity
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@property
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def if_all_asks_executed(self) -> InstrumentValue:
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return self.perp_base_position - self.asks_quantity
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def priced(self, market_cache: MarketCache) -> "PricedAccountInstrumentValues":
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# We can only price actual SPL tokens
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if isinstance(self.base_token, Token):
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return PricedAccountInstrumentValues(self, market_cache)
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null_root_bank = RootBankCache(Decimal(1), Decimal(1), datetime.now())
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market_cache_with_null_root_bank = MarketCache(market_cache.price, null_root_bank, market_cache.perp_market)
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return PricedAccountInstrumentValues(self, market_cache_with_null_root_bank)
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@staticmethod
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def from_account_basket_base_token(account_basket_token: AccountSlot, open_orders_by_address: typing.Dict[str, OpenOrders], group: Group) -> "AccountInstrumentValues":
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base_token: Instrument = account_basket_token.token_info.token
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quote_token: Token = Token.ensure(account_basket_token.quote_token_info.token)
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perp_account: typing.Optional[PerpAccount] = account_basket_token.perp_account
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if perp_account is None:
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raise Exception(f"No perp account for basket token {account_basket_token.token_info.token.symbol}")
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base_token_free: InstrumentValue = InstrumentValue(base_token, Decimal(0))
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base_token_total: InstrumentValue = InstrumentValue(base_token, Decimal(0))
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quote_token_free: InstrumentValue = InstrumentValue(quote_token, Decimal(0))
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quote_token_total: InstrumentValue = InstrumentValue(quote_token, Decimal(0))
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if account_basket_token.spot_open_orders is not None:
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open_orders: typing.Sequence[OpenOrders] = [
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open_orders_by_address[str(account_basket_token.spot_open_orders)]]
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base_token_free, base_token_total, quote_token_free, quote_token_total = _token_values_from_open_orders(
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Token.ensure(base_token), Token.ensure(quote_token), open_orders)
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lot_size_converter: LotSizeConverter = perp_account.lot_size_converter
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perp_base_position: InstrumentValue = perp_account.base_token_value
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perp_quote_position: Decimal = perp_account.quote_position_raw
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long_settled_funding: Decimal = perp_account.long_settled_funding / lot_size_converter.quote_lot_size
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short_settled_funding: Decimal = perp_account.short_settled_funding / lot_size_converter.quote_lot_size
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taker_quote: Decimal = perp_account.taker_quote * lot_size_converter.quote_lot_size
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bids_quantity: InstrumentValue = InstrumentValue(base_token, base_token.shift_to_decimals(
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perp_account.bids_quantity * lot_size_converter.base_lot_size))
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asks_quantity: InstrumentValue = InstrumentValue(base_token, base_token.shift_to_decimals(
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perp_account.asks_quantity * lot_size_converter.base_lot_size))
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return AccountInstrumentValues(base_token, quote_token, account_basket_token.raw_deposit, account_basket_token.deposit, account_basket_token.raw_borrow, account_basket_token.borrow, base_token_free, base_token_total, quote_token_free, quote_token_total, perp_base_position, perp_quote_position, taker_quote, bids_quantity, asks_quantity, long_settled_funding, short_settled_funding, lot_size_converter)
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def __str__(self) -> str:
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return f"""« 𝙰𝚌𝚌𝚘𝚞𝚗𝚝𝙸𝚗𝚜𝚝𝚛𝚞𝚖𝚎𝚗𝚝𝚅𝚊𝚕𝚞𝚎𝚜 {self.base_token.symbol}
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Deposited : {self.deposit}
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Borrowed : {self.borrow}
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Unsettled:
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Base : {self.base_token_total} ({self.base_token_free} free)
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Quote : {self.quote_token_total} ({self.quote_token_free} free)
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Perp:
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Base : {self.perp_base_position}
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Quote : {self.raw_perp_quote_position}
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If Executed:
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All Bids : {self.if_all_bids_executed}
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All Asks : {self.if_all_asks_executed}
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Net Value : {self.net_value}
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»"""
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def __repr__(self) -> str:
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return f"{self}"
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class PricedAccountInstrumentValues(AccountInstrumentValues):
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def __init__(self, original_account_token_values: AccountInstrumentValues, market_cache: MarketCache):
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price: InstrumentValue = market_cache.adjusted_price(
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original_account_token_values.base_token, original_account_token_values.quote_token)
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if market_cache.root_bank is None:
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raise Exception(f"No root bank for token {original_account_token_values.base_token} in {market_cache}")
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deposit_value: Decimal = original_account_token_values.raw_deposit * market_cache.root_bank.deposit_index * price.value
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shifted_deposit_value: Decimal = original_account_token_values.quote_token.shift_to_decimals(deposit_value)
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deposit: InstrumentValue = InstrumentValue(original_account_token_values.quote_token, shifted_deposit_value)
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borrow_value: Decimal = original_account_token_values.raw_borrow * market_cache.root_bank.borrow_index * price.value
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shifted_borrow_value: Decimal = original_account_token_values.quote_token.shift_to_decimals(borrow_value)
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borrow: InstrumentValue = InstrumentValue(original_account_token_values.quote_token, shifted_borrow_value)
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base_token_free: InstrumentValue = original_account_token_values.base_token_free * price
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base_token_total: InstrumentValue = original_account_token_values.base_token_total * price
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perp_base_position: InstrumentValue = original_account_token_values.perp_base_position * price
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super().__init__(original_account_token_values.base_token, original_account_token_values.quote_token,
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original_account_token_values.raw_deposit, deposit,
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original_account_token_values.raw_borrow, borrow, base_token_free, base_token_total,
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original_account_token_values.quote_token_free,
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original_account_token_values.quote_token_total,
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perp_base_position, original_account_token_values.raw_perp_quote_position,
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original_account_token_values.raw_taker_quote,
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original_account_token_values.bids_quantity, original_account_token_values.asks_quantity,
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original_account_token_values.long_settled_funding, original_account_token_values.short_settled_funding,
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original_account_token_values.lot_size_converter)
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self.original_account_token_values: AccountInstrumentValues = original_account_token_values
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self.price: InstrumentValue = price
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self.perp_market_cache: typing.Optional[PerpMarketCache] = market_cache.perp_market
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perp_quote_position: InstrumentValue = InstrumentValue(
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original_account_token_values.quote_token, original_account_token_values.raw_perp_quote_position)
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if market_cache.perp_market is not None:
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original: AccountInstrumentValues = original_account_token_values
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long_funding: Decimal = market_cache.perp_market.long_funding / original.lot_size_converter.quote_lot_size
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short_funding: Decimal = market_cache.perp_market.short_funding / original.lot_size_converter.quote_lot_size
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unsettled_funding: InstrumentValue = calculate_unsettled_funding(UnsettledFundingParams(
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quote_token=original.quote_token,
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base_position=original.perp_base_position,
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long_funding=long_funding,
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long_settled_funding=original.long_settled_funding,
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short_funding=short_funding,
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short_settled_funding=original.short_settled_funding
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))
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perp_quote_position -= unsettled_funding
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self.perp_quote_position: InstrumentValue = perp_quote_position
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@property
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def if_all_bids_executed(self) -> InstrumentValue:
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return self.perp_base_position + (self.bids_quantity * self.price)
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@property
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def if_all_asks_executed(self) -> InstrumentValue:
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return self.perp_base_position - (self.asks_quantity * self.price)
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def if_worst_execution(self) -> typing.Tuple[InstrumentValue, InstrumentValue]:
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taker_quote: InstrumentValue = InstrumentValue(self.perp_quote_position.token, self.raw_taker_quote)
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# print("Quote calc", self.perp_quote_position, taker_quote, self.bids_quantity, self.price)
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if abs(self.if_all_bids_executed.value) > abs(self.if_all_asks_executed.value):
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base_position = self.if_all_bids_executed
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quote_position = self.perp_quote_position + taker_quote - (self.bids_quantity * self.price)
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else:
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base_position = self.if_all_asks_executed
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quote_position = self.perp_quote_position + taker_quote + (self.asks_quantity * self.price)
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return base_position, quote_position
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def __str__(self) -> str:
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return f"""« 𝙿𝚛𝚒𝚌𝚎𝚍𝙰𝚌𝚌𝚘𝚞𝚗𝚝𝙸𝚗𝚜𝚝𝚛𝚞𝚖𝚎𝚗𝚝𝚅𝚊𝚕𝚞𝚎𝚜 {self.base_token.symbol} priced in {self.quote_token.symbol}
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Deposited : {self.original_account_token_values.deposit:<45} worth {self.deposit}
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Borrowed : {self.original_account_token_values.borrow:<45} worth {self.borrow}
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Unsettled:
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Base : {self.original_account_token_values.base_token_total:<45} worth {self.base_token_total}
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Quote : {self.original_account_token_values.quote_token_total:<45} worth {self.quote_token_total}
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Perp:
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Base : {self.original_account_token_values.perp_base_position:<45} worth {self.perp_base_position}
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Quote : {self.perp_quote_position:<45} worth {self.perp_quote_position}
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If Executed:
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All Bids : {self.original_account_token_values.if_all_bids_executed:<45} worth {self.if_all_bids_executed}
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All Asks : {self.original_account_token_values.if_all_asks_executed:<45} worth {self.if_all_asks_executed}
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Net Value : {self.original_account_token_values.net_value:<45} worth {self.net_value}
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»"""
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def __repr__(self) -> str:
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return f"{self}"
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