69 lines
3.4 KiB
Python
69 lines
3.4 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 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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# # 🥭 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_weighting: Decimal = Decimal(2), 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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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_weighting: Decimal = confidence_weighting
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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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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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base_position_size = quote_value_to_risk / price.mid_price
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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 * self.confidence_weighting, price.mid_price * self.min_price_ratio)
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bid: Decimal = price.mid_price - charge
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ask: Decimal = price.mid_price + charge
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orders: typing.List[mango.Order] = [
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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"« 𝙲𝚘𝚗𝚏𝚒𝚍𝚎𝚗𝚌𝚎𝙸𝚗𝚝𝚎𝚛𝚟𝚊𝚕𝙳𝚎𝚜𝚒𝚛𝚎𝚍𝙾𝚛𝚍𝚎𝚛𝚜𝙱𝚞𝚒𝚕𝚍𝚎𝚛 {self.order_type} - position size: {self.position_size_ratio}, min charge: {self.min_price_ratio}, confidence weighting: {self.confidence_weighting} »"
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