135 lines
6.1 KiB
Plaintext
Executable File
135 lines
6.1 KiB
Plaintext
Executable File
#!/usr/bin/env pyston3
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import argparse
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import logging
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import os
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import os.path
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import rx
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import rx.operators
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import sys
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import threading
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import traceback
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from decimal import Decimal
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sys.path.insert(0, os.path.abspath(
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os.path.join(os.path.dirname(__file__), "..")))
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import mango # nopep8
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import mango.layouts # nopep8
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parser = argparse.ArgumentParser(
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description="Hedges perp purchases by trading the underlying in the opposite direction.")
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mango.ContextBuilder.add_command_line_parameters(parser)
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mango.Wallet.add_command_line_parameters(parser)
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parser.add_argument("--market", type=str, required=True, help="perp market symbol to hedge (e.g. ETH-PERP)")
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parser.add_argument("--max-price-slippage-factor", type=Decimal, default=Decimal("0.05"),
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help="the maximum value the IOC hedging order price can slip by (default is 0.05 for 5%)")
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parser.add_argument("--notify-errors", type=mango.parse_subscription_target, action="append", default=[],
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help="The notification target for error events")
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parser.add_argument("--account-index", type=int, default=0,
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help="index of the account to use, if more than one available")
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parser.add_argument("--dry-run", action="store_true", default=False,
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help="runs as read-only and does not perform any transactions")
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args = parser.parse_args()
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logging.getLogger().setLevel(args.log_level)
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for notify in args.notify_errors:
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handler = mango.NotificationHandler(notify)
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handler.setLevel(logging.ERROR)
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logging.getLogger().addHandler(handler)
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logging.warning(mango.WARNING_DISCLAIMER_TEXT)
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logger: logging.Logger = logging.getLogger("Hedger")
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context = mango.ContextBuilder.from_command_line_parameters(args)
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wallet = mango.Wallet.from_command_line_parameters_or_raise(args)
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group = mango.Group.load(context, context.group_id)
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account = mango.Account.load_for_owner_by_index(context, wallet.address, group, args.account_index)
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disposer = mango.DisposePropagator()
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manager = mango.WebSocketSubscriptionManager(context.name)
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disposer.add_disposable(manager)
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buy_price_adjustment_factor: Decimal = Decimal("1") + args.max_price_slippage_factor
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sell_price_adjustment_factor: Decimal = Decimal("1") - args.max_price_slippage_factor
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watched_market_symbol = args.market.upper()
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watched_market_stub = context.market_lookup.find_by_symbol(watched_market_symbol)
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if watched_market_stub is None:
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raise Exception(f"Could not find market {watched_market_symbol}")
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ensured_watched_market = mango.ensure_market_loaded(context, watched_market_stub)
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if not isinstance(ensured_watched_market, mango.PerpMarket):
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raise Exception(f"Market {watched_market_symbol} is not a perp market.")
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watched_market: mango.PerpMarket = ensured_watched_market
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hedging_market_symbol = f"{watched_market.base.symbol}/USDC"
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hedging_market_stub = context.market_lookup.find_by_symbol(hedging_market_symbol)
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if hedging_market_stub is None:
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raise Exception(f"Could not find market {hedging_market_symbol}")
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hedging_market = mango.ensure_market_loaded(context, hedging_market_stub)
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if not isinstance(hedging_market, mango.SpotMarket):
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raise Exception(f"Market {hedging_market_symbol} is not a spot market.")
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hedging_market_operations: mango.MarketOperations = mango.create_market_operations(
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context, wallet, account, hedging_market, args.dry_run)
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initial: mango.PerpEventQueue = mango.PerpEventQueue.load(
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context, watched_market.underlying_perp_market.event_queue, watched_market.lot_size_converter)
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splitter: mango.UnseenPerpEventChangesTracker = mango.UnseenPerpEventChangesTracker(initial)
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event_splitting_subscription = mango.WebSocketAccountSubscription(
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context, watched_market.underlying_perp_market.event_queue, lambda account_info: mango.PerpEventQueue.parse(account_info, watched_market.lot_size_converter))
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manager.add(event_splitting_subscription)
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publisher = event_splitting_subscription.publisher.pipe(
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rx.operators.observe_on(context.pool_scheduler),
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rx.operators.flat_map(splitter.unseen),
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rx.operators.filter(lambda event: isinstance(event, mango.PerpFillEvent)),
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rx.operators.filter(lambda event: (event.maker == account.address) or (event.taker == account.address)),
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rx.operators.catch(mango.observable_pipeline_error_reporter),
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rx.operators.retry()
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)
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def hedge(event: mango.PerpFillEvent) -> None:
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if event.maker == event.taker:
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logger.info(f"Ignoring self-trade of {event.quantity:,.8f} at {event.price:,.8f} on {watched_market.symbol}.")
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return
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opposite_side: mango.Side = mango.Side.BUY if event.side == mango.Side.SELL else mango.Side.SELL
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price_adjustment_factor: Decimal = sell_price_adjustment_factor if opposite_side == mango.Side.SELL else buy_price_adjustment_factor
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adjusted_price: Decimal = event.price * price_adjustment_factor
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quantity: Decimal = event.quantity
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order: mango.Order = mango.Order.from_basic_info(opposite_side, adjusted_price, event.quantity, mango.OrderType.IOC)
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logger.info(f"Hedging {event.side} of {event.quantity:,.8f} at {event.price:,.8f} on {watched_market.symbol} with {opposite_side} of {quantity:,.8f} at {adjusted_price:,.8f} on {hedging_market.symbol}\n\t{order}")
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try:
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hedging_market_operations.place_order(order)
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except Exception as exception:
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logger.error(
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f"[{context.name}] Failed to hedge {watched_market.symbol} on {hedging_market.symbol} using order {order} - {exception} - {traceback.format_exc()}")
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publisher.subscribe(on_next=hedge)
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websocket_url = context.client.cluster_url.replace("https", "ws", 1)
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ws: mango.ReconnectingWebsocket = mango.ReconnectingWebsocket(websocket_url, manager.open_handler, manager.on_item)
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ws.ping_interval = 10
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ws_pong_disposable = ws.pong.subscribe(mango.FileToucherObserver("/var/tmp/mango_healthcheck_ws_pong"))
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ws.open()
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logging.info(f"Current assets in account {account.address} (owner: {account.owner}):")
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mango.TokenValue.report([asset for asset in account.net_assets if asset is not None], logging.info)
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# Wait - don't exit. Exiting will be handled by signals/interrupts.
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waiter = threading.Event()
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try:
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waiter.wait()
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except:
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pass
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logging.info("Shutting down...")
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ws.close()
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disposer.dispose()
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logging.info("Shutdown complete.")
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