106 lines
4.9 KiB
Python
106 lines
4.9 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 typing
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from decimal import Decimal
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from ..account import Account
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from ..cache import Cache
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from ..group import GroupSlotSpotMarket, GroupSlotPerpMarket, GroupSlot, Group
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from ..instrumentvalue import InstrumentValue
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from ..openorders import OpenOrders
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from .collateralcalculator import CollateralCalculator
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class SpotCollateralCalculator(CollateralCalculator):
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def __init__(self) -> None:
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super().__init__()
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# From Daffy in Discord, 30th August 2021 (https://discord.com/channels/791995070613159966/807051268304273408/882029587914182666)
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# I think the correct calculation is
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# total_collateral = deposits[QUOTE_INDEX] * deposit_index - borrows[QUOTE_INDEX] * borrow_index
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# for i in num_oracles:
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# total_collateral += prices[i] * (init_asset_weights[i] * deposits[i] * deposit_index - init_liab_weights[i] * borrows[i] * borrow_index)
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#
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# Also from Daffy, same thread, when I said there were two `init_asset_weights`, one for spot and one for perp (https://discord.com/channels/791995070613159966/807051268304273408/882030633940054056):
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# yes I think we ignore perps
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#
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def calculate(
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self,
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account: Account,
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all_open_orders: typing.Dict[str, OpenOrders],
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group: Group,
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cache: Cache,
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) -> InstrumentValue:
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# Quote token calculation:
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# total_collateral = deposits[QUOTE_INDEX] * deposit_index - borrows[QUOTE_INDEX] * borrow_index
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# Note: the `AccountSlot` in the `Account` already factors the deposit and borrow index.
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total: Decimal = account.shared_quote.net_value.value
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collateral_description = [f"{total:,.8f} USDC"]
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for basket_token in account.base_slots:
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slot: GroupSlot = group.slot_by_instrument(basket_token.base_instrument)
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token_price = group.token_price_from_cache(
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cache, basket_token.base_instrument
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)
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spot_market: typing.Optional[GroupSlotSpotMarket] = slot.spot_market
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init_asset_weight: Decimal
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init_liab_weight: Decimal
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if spot_market is not None:
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init_asset_weight = spot_market.init_asset_weight
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init_liab_weight = spot_market.init_liab_weight
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else:
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perp_market: typing.Optional[GroupSlotPerpMarket] = slot.perp_market
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if perp_market is None:
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raise Exception(
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f"Could not read spot or perp market of token {basket_token.base_instrument.symbol} at index {slot.index} of cache at {cache.address}"
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)
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init_asset_weight = perp_market.init_asset_weight
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init_liab_weight = perp_market.init_liab_weight
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in_orders: Decimal = Decimal(0)
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if (
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basket_token.spot_open_orders is not None
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and str(basket_token.spot_open_orders) in all_open_orders
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):
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open_orders: OpenOrders = all_open_orders[
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str(basket_token.spot_open_orders)
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]
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in_orders = open_orders.quote_token_total + (
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open_orders.base_token_total * token_price.value * init_asset_weight
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)
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# Base token calculations:
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# total_collateral += prices[i] * (init_asset_weights[i] * deposits[i] * deposit_index - init_liab_weights[i] * borrows[i] * borrow_index)
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# Note: the `AccountSlot` in the `Account` already factors the deposit and borrow index.
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weighted: Decimal = in_orders + (
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token_price.value
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* (
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(basket_token.deposit.value * init_asset_weight)
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- (basket_token.borrow.value * init_liab_weight)
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)
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)
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if weighted != 0:
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collateral_description += [
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f"{weighted:,.8f} USDC from {basket_token.base_instrument.symbol}"
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]
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total += weighted
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self._logger.debug(f"Weighted collateral: {', '.join(collateral_description)}")
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return InstrumentValue(group.shared_quote_token, total)
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