70 lines
3.2 KiB
Python
70 lines
3.2 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 logging
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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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# # 🥭 FixedRatiosDesiredOrdersBuilder class
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#
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# Builds orders using a fixed spread ratio and a fixed position size ratio.
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#
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class FixedRatiosDesiredOrdersBuilder(DesiredOrdersBuilder):
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def __init__(self, spread_ratios: typing.Sequence[Decimal], position_size_ratios: typing.Sequence[Decimal], order_type: mango.OrderType = mango.OrderType.POST_ONLY):
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self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
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if len(spread_ratios) != len(position_size_ratios):
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raise Exception("List of spread ratios and position size ratios must be the same length.")
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self.spread_ratios: typing.Sequence[Decimal] = spread_ratios
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self.position_size_ratios: typing.Sequence[Decimal] = position_size_ratios
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self.order_type: mango.OrderType = order_type
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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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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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orders: typing.List[mango.Order] = []
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for counter in range(len(self.spread_ratios)):
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position_size_ratio = self.position_size_ratios[counter]
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quote_value_to_risk = total * position_size_ratio
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base_position_size = quote_value_to_risk / price.mid_price
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spread_ratio = self.spread_ratios[counter]
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bid: Decimal = price.mid_price - (price.mid_price * spread_ratio)
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ask: Decimal = price.mid_price + (price.mid_price * spread_ratio)
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orders += [
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mango.Order.from_basic_info(mango.Side.BUY, price=bid,
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quantity=base_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=base_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"« 𝙵𝚒𝚡𝚎𝚍𝚁𝚊𝚝𝚒𝚘𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛𝚜𝙱𝚞𝚒𝚕𝚍𝚎𝚛 using ratios - spread: {self.spread_ratios}, position size: {self.position_size_ratios} »"
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