503 lines
17 KiB
Python
503 lines
17 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 abc
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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 solana.publickey import PublicKey
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from .accountinfo import AccountInfo
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from .addressableaccount import AddressableAccount
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from .context import Context
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from .layouts import layouts
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from .lotsizeconverter import LotSizeConverter
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from .metadata import Metadata
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from .observables import Disposable
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from .orders import Side
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from .version import Version
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from .websocketsubscription import (
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WebSocketAccountSubscription,
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WebSocketSubscriptionManager,
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)
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# # 🥭 PerpEvent class
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#
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# `PerpEvent` is the base class of all perp event objects.
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#
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class PerpEvent(metaclass=abc.ABCMeta):
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def __init__(self, event_type: int, original_index: Decimal) -> None:
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self.event_type: int = event_type
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self.original_index: Decimal = original_index
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@abc.abstractproperty
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@property
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def accounts_to_crank(self) -> typing.Sequence[PublicKey]:
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raise NotImplementedError(
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"PerpEvent.accounts_to_crank is not implemented on the base type."
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)
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 PerpFillEvent class
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#
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# `PerpOutEvent` stores details of a perp 'fill' event.
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#
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class PerpFillEvent(PerpEvent):
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def __init__(
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self,
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event_type: int,
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original_index: Decimal,
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timestamp: datetime,
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taker_side: Side,
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price: Decimal,
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quantity: Decimal,
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best_initial: Decimal,
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maker_slot: Decimal,
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maker_out: bool,
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maker: PublicKey,
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maker_order_id: Decimal,
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maker_client_order_id: Decimal,
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taker: PublicKey,
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taker_order_id: Decimal,
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taker_client_order_id: Decimal,
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) -> None:
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super().__init__(event_type, original_index)
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self.timestamp: datetime = timestamp
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self.taker_side: Side = taker_side
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self.price: Decimal = price
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self.quantity: Decimal = quantity
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self.best_initial: Decimal = best_initial
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self.maker_slot: Decimal = maker_slot
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self.maker_out: bool = maker_out
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self.maker: PublicKey = maker
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self.maker_order_id: Decimal = maker_order_id
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self.maker_client_order_id: Decimal = maker_client_order_id
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self.taker: PublicKey = taker
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self.taker_order_id: Decimal = taker_order_id
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self.taker_client_order_id: Decimal = taker_client_order_id
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@property
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def key(self) -> str:
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return f"{self.maker_order_id}/{self.taker_order_id}"
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@property
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def accounts_to_crank(self) -> typing.Sequence[PublicKey]:
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return [self.maker, self.taker]
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def __str__(self) -> str:
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return f"""« PerpFillEvent [{self.original_index}] {self.taker_side} {self.quantity:,.8f} at {self.price:,.8f} [{self.timestamp}]
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Maker: {self.maker}, {self.maker_order_id} / {self.maker_client_order_id}
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Taker: {self.taker}, {self.taker_order_id} / {self.taker_client_order_id}
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Best Initial: {self.best_initial}
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Maker Slot: {self.maker_slot}
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Maker Out: {self.maker_out}
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»"""
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# # 🥭 PerpOutEvent class
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#
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# `PerpOutEvent` stores details of a perp 'out' event.
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#
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class PerpOutEvent(PerpEvent):
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def __init__(
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self,
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event_type: int,
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original_index: Decimal,
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owner: PublicKey,
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side: Side,
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quantity: Decimal,
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slot: Decimal,
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) -> None:
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super().__init__(event_type, original_index)
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self.owner: PublicKey = owner
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self.side: Side = side
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self.slot: Decimal = slot
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self.quantity: Decimal = quantity
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@property
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def accounts_to_crank(self) -> typing.Sequence[PublicKey]:
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return [self.owner]
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def __str__(self) -> str:
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return f"""« PerpOutEvent [{self.original_index}] [{self.owner}] {self.side} {self.quantity}, slot: {self.slot} »"""
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# # 🥭 PerpLiquidateEvent class
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#
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# `PerpLiquidateEvent` stores details of a perp 'liquidate' event.
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#
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class PerpLiquidateEvent(PerpEvent):
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def __init__(
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self,
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event_type: int,
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original_index: Decimal,
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timestamp: datetime,
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seq_num: Decimal,
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liquidatee: PublicKey,
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liquidator: PublicKey,
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price: Decimal,
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quantity: Decimal,
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liquidation_fee: Decimal,
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) -> None:
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super().__init__(event_type, original_index)
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self.timestamp: datetime = timestamp
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self.seq_num: Decimal = seq_num
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self.liquidatee: PublicKey = liquidatee
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self.liquidator: PublicKey = liquidator
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self.price: Decimal = price
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self.quantity: Decimal = quantity
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self.liquidation_fee: Decimal = liquidation_fee
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@property
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def accounts_to_crank(self) -> typing.Sequence[PublicKey]:
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return [self.liquidatee, self.liquidator]
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def __str__(self) -> str:
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return f"""« PerpLiquidateEvent Liquidator {self.liquidator} liquidated {self.liquidatee} with {self.quantity} at {self.price} »"""
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# # 🥭 PerpUnknownEvent class
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#
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# `PerpUnknownEvent` details an unknown `PerpEvent`. This should never be encountered, but might if
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# the event queue data is upgraded before this code.
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#
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class PerpUnknownEvent(PerpEvent):
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def __init__(
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self, event_type: int, original_index: Decimal, owner: PublicKey
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) -> None:
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super().__init__(event_type, original_index)
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self.owner: PublicKey = owner
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@property
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def accounts_to_crank(self) -> typing.Sequence[PublicKey]:
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return [self.owner]
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def __str__(self) -> str:
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return f"« PerpUnknownEvent [{self.original_index}] [{self.owner}] »"
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# # 🥭 event_builder function
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#
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# `event_builder()` takes an event layout and returns a typed `PerpEvent`.
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#
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def event_builder(
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lot_size_converter: LotSizeConverter,
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event_layout: typing.Any,
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original_index: Decimal,
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) -> typing.Optional[PerpEvent]:
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if event_layout.event_type == b"\x00":
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if event_layout.maker is None and event_layout.taker is None:
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return None
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taker_side: Side = Side.from_value(event_layout.taker_side)
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quantity: Decimal = lot_size_converter.base_size_lots_to_number(
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event_layout.quantity
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)
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price: Decimal = lot_size_converter.price_lots_to_number(event_layout.price)
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return PerpFillEvent(
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event_layout.event_type,
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original_index,
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event_layout.timestamp,
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taker_side,
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price,
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quantity,
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event_layout.best_initial,
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event_layout.maker_slot,
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event_layout.maker_out,
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event_layout.maker,
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event_layout.maker_order_id,
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event_layout.maker_client_order_id,
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event_layout.taker,
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event_layout.taker_order_id,
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event_layout.taker_client_order_id,
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)
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elif event_layout.event_type == b"\x01":
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return PerpOutEvent(
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event_layout.event_type,
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original_index,
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event_layout.owner,
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event_layout.side,
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event_layout.quantity,
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event_layout.slot,
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)
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elif event_layout.event_type == b"\x02":
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return PerpLiquidateEvent(
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event_layout.event_type,
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original_index,
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event_layout.timestamp,
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event_layout.seq_num,
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event_layout.liquidatee,
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event_layout.liquidator,
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event_layout.price,
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event_layout.quantity,
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event_layout.liquidation_fee,
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)
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else:
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return PerpUnknownEvent(
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event_layout.event_type, original_index, event_layout.owner
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)
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# # 🥭 PerpEventQueue class
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#
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# `PerpEventQueue` stores details of perp events in a ringbuffer, along with indices to track which events are
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# processed by 'consume events' and which are not.
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#
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class PerpEventQueue(AddressableAccount):
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def __init__(
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self,
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account_info: AccountInfo,
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version: Version,
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meta_data: Metadata,
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lot_size_converter: LotSizeConverter,
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head: Decimal,
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count: Decimal,
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sequence_number: Decimal,
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unprocessed_events: typing.Sequence[PerpEvent],
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processed_events: typing.Sequence[PerpEvent],
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) -> None:
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super().__init__(account_info)
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self.version: Version = version
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self.meta_data: Metadata = meta_data
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self.lot_size_converter: LotSizeConverter = lot_size_converter
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self.head: Decimal = head
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self.count: Decimal = count
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self.sequence_number: Decimal = sequence_number
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self.unprocessed_events: typing.Sequence[PerpEvent] = unprocessed_events
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self.processed_events: typing.Sequence[PerpEvent] = processed_events
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@staticmethod
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def from_layout(
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layout: typing.Any,
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account_info: AccountInfo,
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version: Version,
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lot_size_converter: LotSizeConverter,
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) -> "PerpEventQueue":
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meta_data: Metadata = Metadata.from_layout(layout.meta_data)
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head: Decimal = layout.head
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count: Decimal = layout.count
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seq_num: Decimal = layout.seq_num
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events: typing.List[PerpEvent] = []
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for index, raw_event in enumerate(layout.events):
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built_event = event_builder(lot_size_converter, raw_event, Decimal(index))
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if built_event is not None:
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events += [built_event]
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# Events are stored in a ringbuffer, and the oldest is overwritten when a new event arrives.
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# Make it a bit simpler to use by splitting at the insertion point and swapping the two pieces
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# around so that users don't have to do modulo arithmetic on the capacity.
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ordered_events = events[int(head) :] + events[0 : int(head)]
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# Now chop the oldest-to-newest list of events into processed and unprocessed. The `count`
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# property holds the number of unprocessed events.
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unprocessed_events = ordered_events[0 : int(count)]
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processed_events = ordered_events[int(count) :]
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return PerpEventQueue(
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account_info,
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version,
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meta_data,
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lot_size_converter,
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head,
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count,
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seq_num,
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unprocessed_events,
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processed_events,
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)
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@staticmethod
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def parse(
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account_info: AccountInfo, lot_size_converter: LotSizeConverter
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) -> "PerpEventQueue":
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# Data length isn't fixed so can't check we get the right value the way we normally do.
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layout = layouts.PERP_EVENT_QUEUE.parse(account_info.data)
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return PerpEventQueue.from_layout(
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layout, account_info, Version.V1, lot_size_converter
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)
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@staticmethod
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def load(
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context: Context, address: PublicKey, lot_size_converter: LotSizeConverter
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) -> "PerpEventQueue":
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account_info = AccountInfo.load(context, address)
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if account_info is None:
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raise Exception(f"PerpEventQueue account not found at address '{address}'")
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return PerpEventQueue.parse(account_info, lot_size_converter)
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@property
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def accounts_to_crank(self) -> typing.Sequence[PublicKey]:
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to_crank: typing.List[PublicKey] = []
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for event_to_crank in self.unprocessed_events:
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to_crank += event_to_crank.accounts_to_crank
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seen = []
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distinct = []
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for account in to_crank:
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account_str = account.to_base58()
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if account_str not in seen:
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distinct += [account]
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seen += [account_str]
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return distinct
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def subscribe(
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self,
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context: Context,
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websocketmanager: WebSocketSubscriptionManager,
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callback: typing.Callable[["PerpEventQueue"], None],
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) -> Disposable:
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def __parser(account_info: AccountInfo) -> PerpEventQueue:
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return PerpEventQueue.parse(account_info, self.lot_size_converter)
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subscription = WebSocketAccountSubscription(context, self.address, __parser)
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websocketmanager.add(subscription)
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subscription.publisher.subscribe(on_next=callback) # type: ignore[call-arg]
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return subscription
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def events_for_account(
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self, mango_account_address: PublicKey
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) -> typing.Sequence[PerpEvent]:
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events: typing.List[PerpEvent] = []
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for event in [*self.processed_events, *self.unprocessed_events]:
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if mango_account_address in event.accounts_to_crank:
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events += [event]
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return events
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def fills_for_account(
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self, mango_account_address: PublicKey
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) -> typing.Sequence[PerpFillEvent]:
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fills: typing.List[PerpFillEvent] = []
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for event in self.events_for_account(mango_account_address):
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if isinstance(event, PerpFillEvent):
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fills += [event]
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return fills
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@property
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def capacity(self) -> int:
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return len(self.unprocessed_events) + len(self.processed_events)
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def __str__(self) -> str:
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unprocessed_events = (
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"\n ".join(
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[
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f"{event}".replace("\n", "\n ")
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for event in self.unprocessed_events
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if event is not None
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]
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)
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or "None"
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)
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processed_events = (
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"\n ".join(
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[
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f"{event}".replace("\n", "\n ")
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for event in self.processed_events
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if event is not None
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]
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)
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or "None"
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)
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return f"""« PerpEventQueue [{self.version}] {self.address}
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{self.meta_data}
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Head: {self.head}
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Count: {self.count}
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Sequence Number: {self.sequence_number}
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Capacity: {self.capacity}
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Unprocessed Events:
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{unprocessed_events}
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Processed Events:
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{processed_events}
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»"""
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# # 🥭 UnseenPerpEventChangesTracker class
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#
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# `UnseenPerpEventChangesTracker` tracks changes to a specific `PerpEventQueue`. When an updated version
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# of the `PerpEventQueue` is passed to `unseen()`, any new events are returned.
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#
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# Seen events are tracked by keeping a 'sequence_number' index of the last event seen in the
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# `PerpEventQueue` ringbuffer. When a new `PerpEventQueue` appears, the difference between its
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# sequence_number and the stored sequence_number is used to calculate the number of new events
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# to return.
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#
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class UnseenPerpEventChangesTracker:
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def __init__(self, initial: PerpEventQueue) -> None:
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self.last_sequence_number: Decimal = initial.sequence_number
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def unseen(self, event_queue: PerpEventQueue) -> typing.Sequence[PerpEvent]:
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unseen: typing.List[PerpEvent] = []
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new_sequence_number: Decimal = event_queue.sequence_number
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if self.last_sequence_number != new_sequence_number:
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number_of_changes: Decimal = new_sequence_number - self.last_sequence_number
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unseen = [*event_queue.processed_events, *event_queue.unprocessed_events][
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0 - int(number_of_changes) :
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]
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self.last_sequence_number = new_sequence_number
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return unseen
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# # 🥭 UnseenAccountFillEventTracker class
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#
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# `UnseenAccountFillEventTracker` tracks fills for a specific Mango Account in a specific
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# `PerpEventQueue`. When an updated version of the `PerpEventQueue` is passed to `unseen()`,
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# any new fills are returned.
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#
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class UnseenAccountFillEventTracker:
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def __init__(
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self, initial: PerpEventQueue, mango_account_address: PublicKey
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) -> None:
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self.mango_account_address: PublicKey = mango_account_address
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self.last_sequence_number: Decimal = initial.sequence_number
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initial_fills: typing.Sequence[PerpFillEvent] = initial.fills_for_account(
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mango_account_address
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)
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self.last_key: str = initial_fills[-1].key if len(initial_fills) > 0 else ""
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def unseen(self, event_queue: PerpEventQueue) -> typing.Sequence[PerpEvent]:
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fills: typing.Sequence[PerpFillEvent] = event_queue.fills_for_account(
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self.mango_account_address
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)
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if len(fills) == 0:
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return []
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last_key_position: int = -1
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for counter, fill in enumerate(fills):
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if fill.key == self.last_key:
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last_key_position = counter
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break
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unseen: typing.Sequence[PerpFillEvent]
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if last_key_position == -1:
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# We haven't seen any of these fills
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unseen = fills
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elif last_key_position == len(fills) - 1:
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unseen = []
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else:
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unseen = fills[last_key_position + 1 :]
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self.last_key = unseen[-1].key
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return unseen
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