mango-explorer/bin/hedger

135 lines
6.1 KiB
Plaintext
Executable File

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