83 lines
4.4 KiB
Python
83 lines
4.4 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://mango.markets/) support is available at:
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# [Docs](https://docs.mango.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 mango
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import typing
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from decimal import Decimal
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from .desiredordersbuilder import DesiredOrdersBuilder
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from .modelstate import ModelState
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# # 🥭 ConfidenceIntervalDesiredOrdersBuilder class
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#
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# Builds orders using a fixed position size ratio but with a spread based on the confidence in the oracle price.
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#
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class ConfidenceIntervalDesiredOrdersBuilder(DesiredOrdersBuilder):
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def __init__(self, position_size_ratio: Decimal, min_price_ratio: Decimal, confidence_interval_levels: typing.Sequence[Decimal] = [Decimal(2)], order_type: mango.OrderType = mango.OrderType.POST_ONLY, quote_position_bias: Decimal = Decimal(0)):
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super().__init__()
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self.position_size_ratio: Decimal = position_size_ratio
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self.min_price_ratio: Decimal = min_price_ratio
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self.confidence_interval_levels: typing.Sequence[Decimal] = confidence_interval_levels
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self.order_type: mango.OrderType = order_type
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self.quote_position_bias: Decimal = quote_position_bias
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def build(self, context: mango.Context, model_state: ModelState) -> typing.Sequence[mango.Order]:
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price: mango.Price = model_state.price
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if price.source.supports & mango.SupportedOracleFeature.CONFIDENCE == 0:
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raise Exception(f"Price does not support confidence interval: {price}")
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base_tokens: mango.TokenValue = model_state.inventory.base
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quote_tokens: mango.TokenValue = model_state.inventory.quote
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total = (base_tokens.value * price.mid_price) + quote_tokens.value
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quote_value_to_risk = total * self.position_size_ratio
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position_size = quote_value_to_risk / price.mid_price
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orders: typing.List[mango.Order] = []
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# From Daffy on 20th August 2021:
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# Formula to adjust price might look like this `pyth_price * (1 + (curr_pos / size) * pos_lean)`
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# where pos_lean is a negative number
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#
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# size is the standard size you're quoting which I believe comes from the position-size-ratio
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#
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# So if my standard size I'm quoting is 0.0002 BTC, my current position is +0.0010 BTC, and pos_lean
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# is -0.0001, you would move your quotes down by 0.0005 (or 5bps)
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# (Private chat link: https://discord.com/channels/@me/832570058861314048/878343278523723787)
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quote_position_bias = self.quote_position_bias * -1
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bias = (1 + (model_state.inventory.base.value / position_size) * quote_position_bias)
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for confidence_interval_level in self.confidence_interval_levels:
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# From Daffy on 26th July 2021: max(pyth_conf * 2, price * min_charge)
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# (Private chat link: https://discord.com/channels/@me/832570058861314048/869208592648134666)
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charge = max(price.confidence * confidence_interval_level, price.mid_price * self.min_price_ratio)
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bid: Decimal = (price.mid_price - charge) * bias
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ask: Decimal = (price.mid_price + charge) * bias
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orders += [
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mango.Order.from_basic_info(mango.Side.BUY, price=bid,
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quantity=position_size, order_type=self.order_type),
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mango.Order.from_basic_info(mango.Side.SELL, price=ask,
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quantity=position_size, order_type=self.order_type)
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]
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return orders
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def __str__(self) -> str:
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return f"« 𝙲𝚘𝚗𝚏𝚒𝚍𝚎𝚗𝚌𝚎𝙸𝚗𝚝𝚎𝚛𝚟𝚊𝚕𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛𝚜𝙱𝚞𝚒𝚕𝚍𝚎𝚛 {self.order_type} - position size: {self.position_size_ratio}, min charge: {self.min_price_ratio}, confidence interval levels: {self.confidence_interval_levels} »"
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