395 lines
13 KiB
Python
Executable File
395 lines
13 KiB
Python
Executable File
#!/usr/bin/env python3
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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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import typing
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from decimal import Decimal
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from solana.publickey import PublicKey
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sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), "..")))
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import mango # nopep8
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import mango.hedging # nopep8
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import mango.marketmaking # nopep8
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from mango.marketmaking.orderchain import chain # nopep8
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from mango.marketmaking.orderchain import chainbuilder # nopep8
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parser = argparse.ArgumentParser(
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description="Runs a marketmaker against a particular market."
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)
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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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chainbuilder.ChainBuilder.add_command_line_parameters(parser)
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parser.add_argument(
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"--market",
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type=str,
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required=True,
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help="market symbol to make market upon (e.g. ETH/USDC)",
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)
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parser.add_argument(
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"--update-mode",
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type=mango.marketmaking.ModelUpdateMode,
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default=mango.marketmaking.ModelUpdateMode.POLL,
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choices=list(mango.marketmaking.ModelUpdateMode),
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help="Update mode for model data - can be POLL (default) or WEBSOCKET",
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)
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parser.add_argument(
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"--oracle-provider",
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type=str,
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required=True,
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help="name of the price provider to use (e.g. pyth)",
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)
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parser.add_argument(
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"--oracle-market",
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type=str,
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help="market symbol for oracle to use for pricing (e.g. ETH/USDC) - defaults to market specified in --market",
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)
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parser.add_argument(
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"--order-type",
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type=mango.OrderType,
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default=mango.OrderType.POST_ONLY,
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choices=list(mango.OrderType),
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help="Order type: LIMIT, IOC or POST_ONLY",
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)
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parser.add_argument(
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"--existing-order-tolerance",
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type=Decimal,
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default=Decimal("0.001"),
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help="tolerance in price and quantity when matching existing orders or cancelling/replacing",
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)
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parser.add_argument(
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"--redeem-threshold",
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type=Decimal,
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help="threshold above which liquidity incentives will be automatically moved to the account (default: no moving)",
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)
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parser.add_argument(
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"--pulse-interval",
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type=float,
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default=10.0,
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help="number of seconds between each 'pulse' of the market maker",
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)
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parser.add_argument(
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"--hedging-pulse-interval",
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type=float,
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help="number of seconds between each 'pulse' of the hedger (if hedging configured) - defaults to the --pulse-interval value if not specified",
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)
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parser.add_argument(
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"--hedging-market",
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type=str,
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help="spot market symbol to use for hedging (e.g. ETH/USDC)",
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)
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parser.add_argument(
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"--hedging-max-price-slippage-factor",
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type=Decimal,
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default=Decimal("0.05"),
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help="the maximum value the IOC hedging order price can slip by when hedging (default is 0.05 for 5%%)",
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)
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parser.add_argument(
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"--hedging-max-chunk-quantity",
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type=Decimal,
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default=Decimal(0),
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help="the maximum quantity of the hedge asset that will be traded in a single pulse. Trades larger than this size will be 'chunked' and spread across subsequent hedge pulses.",
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)
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parser.add_argument(
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"--hedging-target-balance",
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type=mango.parse_fixed_target_balance,
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required=False,
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help="hedged balance to maintain - format is a token symbol plus target value, separated by a colon (e.g. 'ETH:2.5')",
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)
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parser.add_argument(
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"--hedging-action-threshold",
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type=Decimal,
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default=Decimal(0),
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help="minimum difference between spot and perp positions before action will be taken",
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)
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parser.add_argument(
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"--hedging-pulse-pause-count",
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type=int,
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default=0,
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help="number of pulses to pause after sending an order (to stop overtrading - a pause will prevent checking hedge delta and placing orders)",
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)
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parser.add_argument(
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"--account-address",
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type=PublicKey,
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help="address of the specific account to use, if more than one available",
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)
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parser.add_argument(
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"--notify-errors",
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type=mango.parse_notification_target,
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action="append",
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default=[],
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help="The notification target for error events",
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)
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parser.add_argument(
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"--dry-run",
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action="store_true",
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default=False,
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help="runs as read-only and does not perform any transactions",
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)
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args: argparse.Namespace = mango.parse_args(parser)
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handler = mango.NotificationHandler(
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mango.CompoundNotificationTarget(args.notify_errors)
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)
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handler.setLevel(logging.ERROR)
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logging.getLogger().addHandler(handler)
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def cleanup(
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context: mango.Context,
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wallet: mango.Wallet,
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account: mango.Account,
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market: mango.Market,
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dry_run: bool,
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) -> None:
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market_operations: mango.MarketOperations = mango.create_market_operations(
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context, wallet, account, market, dry_run
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)
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market_instruction_builder: mango.MarketInstructionBuilder = (
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mango.create_market_instruction_builder(
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context, wallet, account, market, dry_run
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)
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)
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cancels: mango.CombinableInstructions = mango.CombinableInstructions.empty()
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orders = market_operations.load_my_orders()
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for order in orders:
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cancels += market_instruction_builder.build_cancel_order_instructions(
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order, ok_if_missing=True
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)
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if len(cancels.instructions) > 0:
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logging.info(f"Cleaning up {len(cancels.instructions)} order(s).")
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signer: mango.CombinableInstructions = mango.CombinableInstructions.from_wallet(
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wallet
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)
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(signer + cancels).execute(context)
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market_operations.crank()
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market_operations.settle()
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context = mango.ContextBuilder.from_command_line_parameters(args)
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disposer = mango.DisposePropagator()
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manager = mango.IndividualWebSocketSubscriptionManager(context)
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disposer.add_disposable(manager)
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health_check = mango.HealthCheck()
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disposer.add_disposable(health_check)
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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_address)
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account = mango.Account.load_for_owner_by_address(
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context, wallet.address, group, args.account_address
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)
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market = mango.load_market_by_symbol(context, args.market)
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# The market index is also the index of the base token in the group's token list.
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if market.quote != group.shared_quote_token:
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raise Exception(
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f"Group {group.name} uses shared quote token {group.shared_quote_token.symbol}/{group.shared_quote_token.mint}, but market {market.symbol} uses quote token {market.quote.symbol}/{market.quote.mint}."
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)
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cleanup(context, wallet, account, market, args.dry_run)
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hedger: mango.hedging.Hedger = mango.hedging.NullHedger()
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if args.hedging_market is not None:
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if not isinstance(market, mango.PerpMarket):
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raise Exception(f"Cannot hedge - market {market.symbol} is not a perp market.")
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underlying_market: mango.PerpMarket = market
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hedging_market_symbol = args.hedging_market
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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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logging.info(f"Hedging on {hedging_market.symbol}")
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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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)
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target_balance: typing.Optional[mango.TargetBalance] = args.hedging_target_balance
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if target_balance is None:
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target_balance = mango.FixedTargetBalance(
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hedging_market.base.symbol, Decimal(0)
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)
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hedger = mango.hedging.PerpToSpotHedger(
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group,
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underlying_market,
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hedging_market,
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hedging_market_operations,
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args.hedging_max_price_slippage_factor,
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args.hedging_max_chunk_quantity,
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target_balance,
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args.hedging_action_threshold,
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args.hedging_pulse_pause_count,
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)
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order_reconciler: mango.marketmaking.OrderReconciler
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if args.existing_order_tolerance < 0:
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order_reconciler = mango.marketmaking.AlwaysReplaceOrderReconciler()
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else:
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order_reconciler = mango.marketmaking.ToleranceOrderReconciler(
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args.existing_order_tolerance, args.existing_order_tolerance
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)
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desired_orders_chain: chain.Chain = (
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chainbuilder.ChainBuilder.from_command_line_parameters(args)
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)
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logging.info(f"Desired orders chain: {desired_orders_chain}")
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market_instruction_builder: mango.MarketInstructionBuilder = (
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mango.create_market_instruction_builder(
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context, wallet, account, market, args.dry_run
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)
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)
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market_maker = mango.marketmaking.MarketMaker(
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wallet,
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market,
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market_instruction_builder,
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desired_orders_chain,
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order_reconciler,
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args.redeem_threshold,
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)
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oracle_provider: mango.OracleProvider = mango.create_oracle_provider(
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context, args.oracle_provider
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)
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oracle_market: mango.LoadedMarket = (
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market
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if args.oracle_market is None
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else mango.load_market_by_symbol(context, args.oracle_market)
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)
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oracle = oracle_provider.oracle_for_market(context, oracle_market)
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if oracle is None:
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raise Exception(
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f"Could not find oracle for market {oracle_market.symbol} from provider {args.oracle_provider}."
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)
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model_state_builder: mango.marketmaking.ModelStateBuilder = (
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mango.marketmaking.model_state_builder_factory(
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args.update_mode,
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context,
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disposer,
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manager,
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health_check,
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wallet,
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group,
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account,
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market,
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oracle,
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)
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)
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health_check.add("marketmaker_pulse", market_maker.pulse_complete)
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logging.info(f"Current assets in account {account.address} (owner: {account.owner}):")
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mango.InstrumentValue.report(
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[asset for asset in account.net_values if asset is not None], logging.info
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)
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manager.open()
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def combined_pulse_action(_: int) -> None:
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try:
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context.client.require_data_from_fresh_slot()
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model_state: mango.ModelState = model_state_builder.build(context)
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market_maker.pulse(context, model_state)
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hedger.pulse(context, model_state)
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except Exception:
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logging.error(f"Pulse action failed: {traceback.format_exc()}")
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def marketmaking_pulse_action(_: int) -> None:
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try:
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context.client.require_data_from_fresh_slot()
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model_state: mango.ModelState = model_state_builder.build(context)
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market_maker.pulse(context, model_state)
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except Exception:
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logging.error(f"Pulse action failed: {traceback.format_exc()}")
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def hedging_pulse_action(_: int) -> None:
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try:
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model_state: mango.ModelState = model_state_builder.build(context)
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hedger.pulse(context, model_state)
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except Exception:
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logging.error(f"Pulse action failed: {traceback.format_exc()}")
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hedging_pulse_interval: float = args.hedging_pulse_interval or args.pulse_interval
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separate_hedge_pulse = False
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if isinstance(hedger, mango.hedging.NullHedger):
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logging.info(
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f"Using a pulse action with an interval of {args.pulse_interval} seconds."
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)
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pulse_action = marketmaking_pulse_action
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elif hedging_pulse_interval == args.pulse_interval:
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logging.info(
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f"Using a combined pulse action with an interval of {args.pulse_interval} seconds."
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)
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pulse_action = combined_pulse_action
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else:
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logging.info(
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f"Using separate pulse actions with a marketmaking interval of {args.pulse_interval} seconds and a hedging interval of {hedging_pulse_interval} seconds."
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)
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pulse_action = marketmaking_pulse_action
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hedging_pulse_disposable = (
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rx.interval(hedging_pulse_interval)
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.pipe(
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rx.operators.observe_on(context.create_thread_pool_scheduler()),
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rx.operators.start_with(-1),
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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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.subscribe(
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mango.create_backpressure_skipping_observer(
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on_next=hedging_pulse_action, on_error=mango.log_subscription_error
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)
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)
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)
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disposer.add_disposable(hedging_pulse_disposable)
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marketmaking_pulse_disposable = (
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rx.interval(args.pulse_interval)
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.pipe(
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rx.operators.observe_on(context.create_thread_pool_scheduler()),
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rx.operators.start_with(-1),
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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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.subscribe(
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mango.create_backpressure_skipping_observer(
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on_next=pulse_action, on_error=mango.log_subscription_error
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)
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)
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)
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disposer.add_disposable(marketmaking_pulse_disposable)
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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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disposer.dispose()
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cleanup(context, wallet, account, market, args.dry_run)
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logging.info("Shutdown complete.")
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