613 lines
22 KiB
Python
613 lines
22 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 rx.operators
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import typing
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from datetime import datetime
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from decimal import Decimal
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from pyserum.market.market import Market as PySerumMarket
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from pyserum.market.orderbook import OrderBook as PySerumOrderBook
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from solana.publickey import PublicKey
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from mango.datetimes import utc_now
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from .accountinfo import AccountInfo
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from .combinableinstructions import CombinableInstructions
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from .constants import SYSTEM_PROGRAM_ADDRESS
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from .context import Context
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from .instructions import (
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build_serum_consume_events_instructions,
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build_serum_create_openorders_instructions,
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build_serum_settle_instructions,
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build_serum_place_order_instructions,
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)
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from .loadedmarket import LoadedMarket
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from .lotsizeconverter import LotSizeConverter, RaisingLotSizeConverter
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from .markets import InventorySource, Market, MarketType
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from .marketoperations import MarketInstructionBuilder, MarketOperations
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from .openorders import OpenOrders
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from .observables import Disposable
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from .orders import Order, OrderBook, Side
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from .publickey import encode_public_key_for_sorting
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from .serumeventqueue import SerumEvent, SerumEventQueue, UnseenSerumEventChangesTracker
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from .tokens import Instrument, Token
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from .tokenaccount import TokenAccount
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from .wallet import Wallet
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from .websocketsubscription import (
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IndividualWebSocketSubscriptionManager,
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WebSocketAccountSubscription,
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)
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# # 🥭 SerumMarket class
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#
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# This class encapsulates our knowledge of a Serum spot market.
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#
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class SerumMarket(LoadedMarket):
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def __init__(
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self,
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serum_program_address: PublicKey,
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address: PublicKey,
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base: Token,
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quote: Token,
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underlying_serum_market: PySerumMarket,
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) -> None:
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super().__init__(
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MarketType.SERUM,
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serum_program_address,
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address,
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InventorySource.SPL_TOKENS,
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base,
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quote,
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RaisingLotSizeConverter(),
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)
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self.base: Token = base
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self.quote: Token = quote
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self.underlying_serum_market: PySerumMarket = underlying_serum_market
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base_lot_size: Decimal = Decimal(underlying_serum_market.state.base_lot_size())
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quote_lot_size: Decimal = Decimal(
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underlying_serum_market.state.quote_lot_size()
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)
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self.lot_size_converter: LotSizeConverter = LotSizeConverter(
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base, base_lot_size, quote, quote_lot_size
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)
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@staticmethod
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def isa(market: Market) -> bool:
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return market.type == MarketType.SERUM
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@staticmethod
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def ensure(market: Market) -> "SerumMarket":
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if not SerumMarket.isa(market):
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raise Exception(
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f"Market for {market.fully_qualified_symbol} is not a Serum market"
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)
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return typing.cast(SerumMarket, market)
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@property
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def fully_qualified_symbol(self) -> str:
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return f"serum:{self.symbol}"
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@property
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def bids_address(self) -> PublicKey:
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return self.underlying_serum_market.state.bids()
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@property
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def asks_address(self) -> PublicKey:
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return self.underlying_serum_market.state.asks()
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@property
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def event_queue_address(self) -> PublicKey:
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return self.underlying_serum_market.state.event_queue()
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def parse_account_info_to_orders(
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self, account_info: AccountInfo
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) -> typing.Sequence[Order]:
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orderbook: PySerumOrderBook = PySerumOrderBook.from_bytes(
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self.underlying_serum_market.state, account_info.data
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)
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return list(map(Order.from_serum_order, orderbook.orders()))
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def unprocessed_events(self, context: Context) -> typing.Sequence[SerumEvent]:
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event_queue: SerumEventQueue = SerumEventQueue.load(
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context, self.event_queue_address, self.base, self.quote
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)
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return event_queue.unprocessed_events
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def find_openorders_address_for_owner(
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self, context: Context, owner: PublicKey
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) -> typing.Optional[PublicKey]:
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all_open_orders = OpenOrders.load_for_market_and_owner(
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context,
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self.address,
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owner,
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context.serum_program_address,
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self.base,
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self.quote,
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)
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if len(all_open_orders) == 0:
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return None
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return all_open_orders[0].address
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def on_fill(
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self, context: Context, handler: typing.Callable[[SerumEvent], None]
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) -> Disposable:
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def _fill_filter(item: SerumEvent) -> None:
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if item.event_flags.fill:
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handler(item)
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return self.on_event(context, _fill_filter)
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def on_event(
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self, context: Context, handler: typing.Callable[[SerumEvent], None]
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) -> Disposable:
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disposer = Disposable()
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event_queue_address = self.event_queue_address
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initial: SerumEventQueue = SerumEventQueue.load(
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context, self.event_queue_address, self.base, self.quote
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)
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splitter: UnseenSerumEventChangesTracker = UnseenSerumEventChangesTracker(
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initial
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)
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event_queue_subscription = WebSocketAccountSubscription(
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context,
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event_queue_address,
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lambda account_info: SerumEventQueue.parse(
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account_info, self.base, self.quote
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),
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)
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disposer.add_disposable(event_queue_subscription)
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manager = IndividualWebSocketSubscriptionManager(context)
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disposer.add_disposable(manager)
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manager.add(event_queue_subscription)
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publisher = event_queue_subscription.publisher.pipe(
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rx.operators.flat_map(splitter.unseen)
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)
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individual_event_subscription = publisher.subscribe(on_next=handler)
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disposer.add_disposable(individual_event_subscription)
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manager.open()
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return disposer
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def __str__(self) -> str:
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return f"""« SerumMarket {self.symbol} {self.address} [{self.program_address}]
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Event Queue: {self.underlying_serum_market.state.event_queue()}
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Request Queue: {self.underlying_serum_market.state.request_queue()}
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Bids: {self.underlying_serum_market.state.bids()}
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Asks: {self.underlying_serum_market.state.asks()}
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Base: [lot size: {self.underlying_serum_market.state.base_lot_size()}] {self.underlying_serum_market.state.base_mint()}
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Quote: [lot size: {self.underlying_serum_market.state.quote_lot_size()}] {self.underlying_serum_market.state.quote_mint()}
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»"""
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# # 🥭 SerumMarketInstructionBuilder
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#
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# This file deals with building instructions for Serum markets.
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#
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# As a matter of policy for all InstructionBuidlers, construction and build_* methods should all work with
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# existing data, requiring no fetches from Solana or other sources. All necessary data should all be loaded
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# on initial setup in the `load()` method.
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#
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class SerumMarketInstructionBuilder(MarketInstructionBuilder):
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def __init__(
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self,
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context: Context,
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wallet: Wallet,
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serum_market: SerumMarket,
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raw_market: PySerumMarket,
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base_token_account: TokenAccount,
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quote_token_account: TokenAccount,
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open_orders_address: typing.Optional[PublicKey],
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fee_discount_token_address: PublicKey,
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) -> None:
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super().__init__()
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self.context: Context = context
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self.wallet: Wallet = wallet
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self.serum_market: SerumMarket = serum_market
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self.raw_market: PySerumMarket = raw_market
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self.base_token_account: TokenAccount = base_token_account
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self.quote_token_account: TokenAccount = quote_token_account
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self.open_orders_address: typing.Optional[PublicKey] = open_orders_address
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self.fee_discount_token_address: PublicKey = fee_discount_token_address
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@staticmethod
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def load(
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context: Context, wallet: Wallet, serum_market: SerumMarket
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) -> "SerumMarketInstructionBuilder":
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raw_market: PySerumMarket = PySerumMarket.load(
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context.client.compatible_client,
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serum_market.address,
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context.serum_program_address,
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)
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fee_discount_token_address: PublicKey = SYSTEM_PROGRAM_ADDRESS
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srm_instrument: typing.Optional[
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Instrument
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] = context.instrument_lookup.find_by_symbol("SRM")
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if srm_instrument is not None:
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srm_token: Token = Token.ensure(srm_instrument)
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fee_discount_token_account = TokenAccount.fetch_largest_for_owner_and_token(
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context, wallet.address, srm_token
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)
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if fee_discount_token_account is not None:
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fee_discount_token_address = fee_discount_token_account.address
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open_orders_address: typing.Optional[PublicKey] = None
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all_open_orders = OpenOrders.load_for_market_and_owner(
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context,
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serum_market.address,
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wallet.address,
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context.serum_program_address,
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serum_market.base,
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serum_market.quote,
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)
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if len(all_open_orders) > 0:
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open_orders_address = all_open_orders[0].address
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base_token_account = TokenAccount.fetch_largest_for_owner_and_token(
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context, wallet.address, serum_market.base
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)
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if base_token_account is None:
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raise Exception(
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f"Could not find source token account for base token {serum_market.base.symbol}."
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)
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quote_token_account = TokenAccount.fetch_largest_for_owner_and_token(
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context, wallet.address, serum_market.quote
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)
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if quote_token_account is None:
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raise Exception(
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f"Could not find source token account for quote token {serum_market.quote.symbol}."
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)
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return SerumMarketInstructionBuilder(
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context,
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wallet,
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serum_market,
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raw_market,
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base_token_account,
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quote_token_account,
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open_orders_address,
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fee_discount_token_address,
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)
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def build_cancel_order_instructions(
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self, order: Order, ok_if_missing: bool = False
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) -> CombinableInstructions:
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# For us to cancel an order, an open_orders account must already exist (or have existed).
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if self.open_orders_address is None:
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raise Exception(
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f"Cannot cancel order with client ID {order.client_id} - no OpenOrders account."
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)
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raw_instruction = self.raw_market.make_cancel_order_by_client_id_instruction(
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self.wallet.keypair, self.open_orders_address, order.client_id
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)
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return CombinableInstructions.from_instruction(raw_instruction)
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def build_place_order_instructions(self, order: Order) -> CombinableInstructions:
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if order.reduce_only:
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self._logger.warning(
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"Ignoring reduce_only - not supported on Serum markets"
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)
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if order.expiration != Order.NoExpiration:
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self._logger.warning("Ignoring expiration - not supported on Serum markets")
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if order.match_limit != Order.DefaultMatchLimit:
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self._logger.warning(
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"Ignoring match_limit - not supported on Serum markets"
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)
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ensure_open_orders = CombinableInstructions.empty()
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if self.open_orders_address is None:
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ensure_open_orders = self.build_create_openorders_instructions()
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if self.open_orders_address is None:
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raise Exception("Failed to find or create OpenOrders address")
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payer_token_account = (
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self.quote_token_account
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if order.side == Side.BUY
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else self.base_token_account
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)
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place = build_serum_place_order_instructions(
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self.context,
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self.wallet,
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self.raw_market,
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payer_token_account.address,
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self.open_orders_address,
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order.order_type,
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order.side,
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order.price,
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order.quantity,
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order.client_id,
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self.fee_discount_token_address,
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)
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return ensure_open_orders + place
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def build_settle_instructions(self) -> CombinableInstructions:
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if self.open_orders_address is None:
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return CombinableInstructions.empty()
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return build_serum_settle_instructions(
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self.context,
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self.wallet,
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self.raw_market,
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self.open_orders_address,
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self.base_token_account.address,
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self.quote_token_account.address,
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)
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def build_crank_instructions(
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self, addresses: typing.Sequence[PublicKey], limit: Decimal = Decimal(32)
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) -> CombinableInstructions:
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if self.open_orders_address is None:
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self._logger.debug(
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"Returning empty crank instructions - no serum OpenOrders address provided."
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)
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return CombinableInstructions.empty()
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distinct_addresses: typing.List[PublicKey] = []
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for oo in addresses:
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if oo not in distinct_addresses:
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distinct_addresses += [oo]
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if len(distinct_addresses) > limit:
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self._logger.warn(
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f"Cranking limited to {limit} of {len(distinct_addresses)} addresses waiting to be cranked."
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)
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limited_addresses = distinct_addresses[
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0 : min(int(limit), len(distinct_addresses))
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]
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limited_addresses.sort(key=encode_public_key_for_sorting)
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self._logger.debug(
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f"About to crank {len(limited_addresses)} addresses: {limited_addresses}"
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)
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return build_serum_consume_events_instructions(
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self.context,
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self.serum_market.address,
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self.raw_market.state.event_queue(),
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limited_addresses,
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int(limit),
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)
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def build_create_openorders_instructions(self) -> CombinableInstructions:
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create_open_orders = build_serum_create_openorders_instructions(
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self.context, self.wallet, self.raw_market
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)
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self.open_orders_address = create_open_orders.signers[0].public_key
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return create_open_orders
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def build_redeem_instructions(self) -> CombinableInstructions:
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return CombinableInstructions.empty()
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def __str__(self) -> str:
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return """« SerumMarketInstructionBuilder »"""
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# # 🥭 SerumMarketOperations class
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#
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# This class performs standard operations on the Serum orderbook.
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#
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class SerumMarketOperations(MarketOperations):
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def __init__(
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self,
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context: Context,
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wallet: Wallet,
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market_instruction_builder: SerumMarketInstructionBuilder,
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) -> None:
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super().__init__(market_instruction_builder.serum_market)
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self.context: Context = context
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self.wallet: Wallet = wallet
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self.market_instruction_builder: SerumMarketInstructionBuilder = (
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market_instruction_builder
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)
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@staticmethod
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def ensure(market_ops: MarketOperations) -> "SerumMarketOperations":
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if not isinstance(market_ops, SerumMarketOperations):
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raise Exception(
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f"MarketOperations for {market_ops.symbol} is not a SerumMarketOperations"
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)
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return market_ops
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@property
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def serum_market(self) -> SerumMarket:
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return self.market_instruction_builder.serum_market
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def cancel_order(
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self, order: Order, ok_if_missing: bool = False
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) -> typing.Sequence[str]:
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self._logger.info(
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f"Cancelling {self.serum_market.fully_qualified_symbol} order {order}."
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)
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signers: CombinableInstructions = CombinableInstructions.from_wallet(
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self.wallet
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)
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cancel: CombinableInstructions = (
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self.market_instruction_builder.build_cancel_order_instructions(
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order, ok_if_missing=ok_if_missing
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)
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)
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crank: CombinableInstructions = self._build_crank()
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settle: CombinableInstructions = (
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self.market_instruction_builder.build_settle_instructions()
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)
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return (signers + cancel + crank + settle).execute(self.context)
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def place_order(
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self, order: Order, crank_limit: Decimal = Decimal(5)
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) -> typing.Sequence[str]:
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client_id: int = order.client_id or self.context.generate_client_id()
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signers: CombinableInstructions = CombinableInstructions.from_wallet(
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self.wallet
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)
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open_orders_address = (
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self.market_instruction_builder.open_orders_address
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or SYSTEM_PROGRAM_ADDRESS
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)
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order_with_client_id: Order = Order(
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id=0,
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client_id=client_id,
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side=order.side,
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price=order.price,
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quantity=order.quantity,
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owner=open_orders_address,
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order_type=order.order_type,
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)
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self._logger.info(
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f"Placing {self.serum_market.fully_qualified_symbol} order {order_with_client_id}."
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)
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place: CombinableInstructions = (
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self.market_instruction_builder.build_place_order_instructions(
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order_with_client_id
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)
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)
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crank: CombinableInstructions = self._build_crank(crank_limit)
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settle: CombinableInstructions = (
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self.market_instruction_builder.build_settle_instructions()
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)
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return (signers + place + crank + settle).execute(self.context)
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def settle(self) -> typing.Sequence[str]:
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signers: CombinableInstructions = CombinableInstructions.from_wallet(
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self.wallet
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)
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settle = self.market_instruction_builder.build_settle_instructions()
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return (signers + settle).execute(self.context)
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|
|
|
def crank(self, limit: Decimal = Decimal(32)) -> typing.Sequence[str]:
|
|
signers: CombinableInstructions = CombinableInstructions.from_wallet(
|
|
self.wallet
|
|
)
|
|
crank = self._build_crank(limit)
|
|
return (signers + crank).execute(self.context)
|
|
|
|
def create_openorders(self) -> PublicKey:
|
|
signers: CombinableInstructions = CombinableInstructions.from_wallet(
|
|
self.wallet
|
|
)
|
|
create_open_orders = (
|
|
self.market_instruction_builder.build_create_openorders_instructions()
|
|
)
|
|
open_orders_address = create_open_orders.signers[0].public_key
|
|
(signers + create_open_orders).execute(self.context)
|
|
|
|
return open_orders_address
|
|
|
|
def ensure_openorders(self) -> PublicKey:
|
|
if self.market_instruction_builder.open_orders_address is not None:
|
|
return self.market_instruction_builder.open_orders_address
|
|
return self.create_openorders()
|
|
|
|
def load_orderbook(self) -> OrderBook:
|
|
return self.serum_market.fetch_orderbook(self.context)
|
|
|
|
def load_my_orders(
|
|
self, cutoff: typing.Optional[datetime] = utc_now()
|
|
) -> typing.Sequence[Order]:
|
|
open_orders_address = self.market_instruction_builder.open_orders_address
|
|
if not open_orders_address:
|
|
return []
|
|
|
|
orderbook: OrderBook = self.load_orderbook()
|
|
return orderbook.all_orders_for_owner(open_orders_address, cutoff=cutoff)
|
|
|
|
def _build_crank(
|
|
self, limit: Decimal = Decimal(32), add_self: bool = False
|
|
) -> CombinableInstructions:
|
|
open_orders_to_crank: typing.List[PublicKey] = []
|
|
for event in self.serum_market.unprocessed_events(self.context):
|
|
open_orders_to_crank += [event.public_key]
|
|
self._logger.debug(f"open_orders_to_crank: {len(open_orders_to_crank)}")
|
|
|
|
if add_self and self.market_instruction_builder.open_orders_address is not None:
|
|
open_orders_to_crank += [
|
|
self.market_instruction_builder.open_orders_address
|
|
]
|
|
|
|
if len(open_orders_to_crank) == 0:
|
|
return CombinableInstructions.empty()
|
|
|
|
self._logger.debug(
|
|
f"Building crank instruction with {len(open_orders_to_crank)} public keys, throttled to {limit}"
|
|
)
|
|
return self.market_instruction_builder.build_crank_instructions(
|
|
open_orders_to_crank, limit
|
|
)
|
|
|
|
def __str__(self) -> str:
|
|
return f"""« SerumMarketOperations [{self.serum_market.fully_qualified_symbol}] »"""
|
|
|
|
|
|
# # 🥭 SerumMarketStub class
|
|
#
|
|
# This class holds information to load a `SerumMarket` object but doesn't automatically load it.
|
|
#
|
|
class SerumMarketStub(Market):
|
|
def __init__(
|
|
self,
|
|
serum_program_address: PublicKey,
|
|
address: PublicKey,
|
|
base: Token,
|
|
quote: Token,
|
|
) -> None:
|
|
super().__init__(
|
|
MarketType.STUB,
|
|
serum_program_address,
|
|
address,
|
|
InventorySource.SPL_TOKENS,
|
|
base,
|
|
quote,
|
|
RaisingLotSizeConverter(),
|
|
)
|
|
self.base: Token = base
|
|
self.quote: Token = quote
|
|
|
|
@property
|
|
def fully_qualified_symbol(self) -> str:
|
|
return f"serum:{self.symbol}"
|
|
|
|
def load(self, context: Context) -> SerumMarket:
|
|
underlying_serum_market: PySerumMarket = PySerumMarket.load(
|
|
context.client.compatible_client,
|
|
self.address,
|
|
context.serum_program_address,
|
|
)
|
|
return SerumMarket(
|
|
self.program_address,
|
|
self.address,
|
|
self.base,
|
|
self.quote,
|
|
underlying_serum_market,
|
|
)
|
|
|
|
def __str__(self) -> str:
|
|
return (
|
|
f"« SerumMarketStub {self.symbol} {self.address} [{self.program_address}] »"
|
|
)
|