76 lines
3.4 KiB
Python
76 lines
3.4 KiB
Python
# # ⚠ 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 argparse
|
|
import mango
|
|
import typing
|
|
|
|
from decimal import Decimal
|
|
|
|
from .element import Element
|
|
from ...modelstate import ModelState
|
|
|
|
|
|
# # 🥭 PreventPostOnlyCrossingBookElement class
|
|
#
|
|
# May modifiy an `Order`s price if it would result in too small a difference from the mid-price, meaning less
|
|
# of a charge if that `Order` is filled.
|
|
#
|
|
class PreventPostOnlyCrossingBookElement(Element):
|
|
def __init__(self):
|
|
super().__init__()
|
|
|
|
@staticmethod
|
|
def add_command_line_parameters(parser: argparse.ArgumentParser) -> None:
|
|
pass
|
|
|
|
@staticmethod
|
|
def from_command_line_parameters(args: argparse.Namespace) -> "PreventPostOnlyCrossingBookElement":
|
|
return PreventPostOnlyCrossingBookElement()
|
|
|
|
def process(self, context: mango.Context, model_state: ModelState, orders: typing.Sequence[mango.Order]) -> typing.Sequence[mango.Order]:
|
|
new_orders: typing.List[mango.Order] = []
|
|
for order in orders:
|
|
if order.order_type == mango.OrderType.POST_ONLY:
|
|
top_bid: typing.Optional[Decimal] = model_state.top_bid.price if model_state.top_bid is not None else None
|
|
top_ask: typing.Optional[Decimal] = model_state.top_ask.price if model_state.top_ask is not None else None
|
|
if order.side == mango.Side.BUY and top_ask is not None and order.price >= top_ask:
|
|
new_buy_price: Decimal = top_ask - model_state.market.lot_size_converter.tick_size
|
|
new_buy: mango.Order = order.with_price(new_buy_price)
|
|
self.logger.debug(f"""Order change - would cross the orderbook {top_bid} / {top_ask}:
|
|
Old: {order}
|
|
New: {new_buy}""")
|
|
new_orders += [new_buy]
|
|
elif order.side == mango.Side.SELL and top_bid is not None and order.price <= top_bid:
|
|
new_sell_price: Decimal = top_bid + model_state.market.lot_size_converter.tick_size
|
|
new_sell: mango.Order = order.with_price(new_sell_price)
|
|
self.logger.debug(
|
|
f"""Order change - would cross the orderbook {top_bid} / {top_ask}:
|
|
Old: {order}
|
|
New: {new_sell}""")
|
|
|
|
new_orders += [new_sell]
|
|
else:
|
|
# All OK with current order
|
|
new_orders += [order]
|
|
else:
|
|
# Only change POST_ONLY orders.
|
|
new_orders += [order]
|
|
|
|
return new_orders
|
|
|
|
def __str__(self) -> str:
|
|
return "« 𝙿𝚛𝚎𝚟𝚎𝚗𝚝𝙿𝚘𝚜𝚝𝙾𝚗𝚕𝚢𝙲𝚛𝚘𝚜𝚜𝚒𝚗𝚐𝙱𝚘𝚘𝚔𝙴𝚕𝚎𝚖𝚎𝚗𝚝 »"
|