549 lines
18 KiB
Python
549 lines
18 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 dataclasses import dataclass
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from datetime import datetime
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from dateutil import parser
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from decimal import Decimal
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from solana.publickey import PublicKey
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from .account import Account
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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 .group import Group
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from .instructions import (
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build_mango_redeem_accrued_instructions,
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build_perp_cancel_all_orders_instructions,
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build_perp_cancel_order_instructions,
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build_perp_consume_events_instructions,
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build_perp_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, MarketType, Market
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from .marketoperations import MarketInstructionBuilder, MarketOperations
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from .observables import Disposable
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from .orderbookside import PerpOrderBookSide
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from .orders import Order, OrderBook
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from .perpeventqueue import (
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PerpEvent,
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PerpEventQueue,
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PerpFillEvent,
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UnseenPerpEventChangesTracker,
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)
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from .perpmarketdetails import PerpMarketDetails
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from .publickey import encode_public_key_for_sorting
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from .tokens import Instrument, Token
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from .tokenbank import TokenBank
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from .wallet import Wallet
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from .websocketsubscription import (
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IndividualWebSocketSubscriptionManager,
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)
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# # 🥭 FundingRate class
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#
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# A simple way to package details of a funding rate in a single object.
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#
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@dataclass
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class FundingRate:
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symbol: str
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rate: Decimal
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oracle_price: Decimal
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open_interest: Decimal
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from_: datetime
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to: datetime
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@staticmethod
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def from_stats_data(
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symbol: str,
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lot_size_converter: LotSizeConverter,
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oldest_stats: typing.Dict[str, typing.Any],
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newest_stats: typing.Dict[str, typing.Any],
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) -> "FundingRate":
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oldest_short_funding = Decimal(oldest_stats["shortFunding"])
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oldest_long_funding = Decimal(oldest_stats["longFunding"])
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oldest_oracle_price = Decimal(oldest_stats["baseOraclePrice"])
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from_timestamp = parser.parse(oldest_stats["time"]).replace(microsecond=0)
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newest_short_funding = Decimal(newest_stats["shortFunding"])
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newest_long_funding = Decimal(newest_stats["longFunding"])
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newest_oracle_price = Decimal(newest_stats["baseOraclePrice"])
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to_timestamp = parser.parse(newest_stats["time"]).replace(microsecond=0)
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raw_open_interest = Decimal(newest_stats["openInterest"])
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open_interest = (
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lot_size_converter.base_size_lots_to_number(raw_open_interest) / 2
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)
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average_oracle_price = (oldest_oracle_price + newest_oracle_price) / 2
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average_oracle_price = newest_oracle_price
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start_funding = (oldest_long_funding + oldest_short_funding) / 2
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end_funding = (newest_long_funding + newest_short_funding) / 2
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funding_difference = end_funding - start_funding
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funding_in_quote_decimals = lot_size_converter.quote.shift_to_decimals(
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funding_difference
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)
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base_price_in_base_lots = average_oracle_price * lot_size_converter.lot_size
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funding_rate = funding_in_quote_decimals / base_price_in_base_lots
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return FundingRate(
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symbol=symbol,
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rate=funding_rate,
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oracle_price=average_oracle_price,
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open_interest=open_interest,
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from_=from_timestamp,
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to=to_timestamp,
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)
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def __str__(self) -> str:
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return f"« FundingRate {self.symbol} {self.rate:,.8%}, open interest: {self.open_interest:,.8f} from: {self.from_} to {self.to} »"
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 PerpMarket class
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#
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# This class encapsulates our knowledge of a Mango perps market.
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#
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class PerpMarket(LoadedMarket):
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def __init__(
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self,
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mango_program_address: PublicKey,
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address: PublicKey,
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base: Instrument,
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quote: Token,
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underlying_perp_market: PerpMarketDetails,
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) -> None:
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super().__init__(
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MarketType.PERP,
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mango_program_address,
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address,
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InventorySource.ACCOUNT,
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base,
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quote,
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RaisingLotSizeConverter(),
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)
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self.underlying_perp_market: PerpMarketDetails = underlying_perp_market
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self.lot_size_converter: LotSizeConverter = LotSizeConverter(
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base,
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underlying_perp_market.base_lot_size,
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quote,
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underlying_perp_market.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.PERP
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@staticmethod
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def ensure(market: Market) -> "PerpMarket":
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if not PerpMarket.isa(market):
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raise Exception(
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f"Market for {market.fully_qualified_symbol} is not a Perp market"
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)
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return typing.cast(PerpMarket, market)
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@property
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def symbol(self) -> str:
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return f"{self.base.symbol}-PERP"
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@property
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def fully_qualified_symbol(self) -> str:
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return f"perp:{self.symbol}"
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@property
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def group(self) -> Group:
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return self.underlying_perp_market.group
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@property
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def bids_address(self) -> PublicKey:
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return self.underlying_perp_market.bids
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@property
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def asks_address(self) -> PublicKey:
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return self.underlying_perp_market.asks
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@property
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def event_queue_address(self) -> PublicKey:
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return self.underlying_perp_market.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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side: PerpOrderBookSide = PerpOrderBookSide.parse(
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account_info, self.underlying_perp_market
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)
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return side.orders()
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def fetch_funding(self, context: Context) -> FundingRate:
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stats = context.fetch_stats(
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f"perp/funding_rate?mangoGroup={self.group.name}&market={self.symbol}"
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)
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newest_stats = stats[0]
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oldest_stats = stats[-1]
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return FundingRate.from_stats_data(
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self.symbol, self.lot_size_converter, oldest_stats, newest_stats
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)
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def unprocessed_events(self, context: Context) -> typing.Sequence[PerpEvent]:
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event_queue: PerpEventQueue = PerpEventQueue.load(
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context, self.event_queue_address, self.lot_size_converter
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)
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return event_queue.unprocessed_events
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def on_fill(
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self, context: Context, handler: typing.Callable[[PerpFillEvent], None]
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) -> Disposable:
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def _fill_filter(item: PerpEvent) -> None:
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if isinstance(item, PerpFillEvent):
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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[[PerpEvent], None]
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) -> Disposable:
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disposer = Disposable()
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initial: PerpEventQueue = PerpEventQueue.load(
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context, self.event_queue_address, self.lot_size_converter
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)
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manager = IndividualWebSocketSubscriptionManager(context)
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disposer.add_disposable(manager)
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splitter: UnseenPerpEventChangesTracker = UnseenPerpEventChangesTracker(initial)
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def __split_handler(pev: PerpEventQueue) -> None:
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for event in splitter.unseen(pev):
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handler(event)
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subscription = initial.subscribe(context, manager, __split_handler)
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disposer.add_disposable(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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underlying: str = f"{self.underlying_perp_market}".replace("\n", "\n ")
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return f"""« PerpMarket {self.symbol} {self.address} [{self.program_address}]
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{underlying}
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»"""
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# # 🥭 PerpMarketInstructionBuilder
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#
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# This file deals with building instructions for Perp 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 PerpMarketInstructionBuilder(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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perp_market: PerpMarket,
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group: Group,
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account: Account,
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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.perp_market: PerpMarket = perp_market
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self.group: Group = group
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self.account: Account = account
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self.mngo_token_bank: TokenBank = self.group.liquidity_incentive_token_bank
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@staticmethod
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def load(
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context: Context,
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wallet: Wallet,
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perp_market: PerpMarket,
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group: Group,
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account: Account,
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) -> "PerpMarketInstructionBuilder":
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return PerpMarketInstructionBuilder(
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context, wallet, perp_market, group, account
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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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return build_perp_cancel_order_instructions(
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self.context,
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self.wallet,
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self.account,
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self.perp_market.underlying_perp_market,
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order,
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ok_if_missing,
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)
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def build_place_order_instructions(self, order: Order) -> CombinableInstructions:
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return build_perp_place_order_instructions(
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self.context,
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self.wallet,
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self.perp_market.underlying_perp_market.group,
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self.account,
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self.perp_market.underlying_perp_market,
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order.price,
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order.quantity,
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order.client_id,
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order.side,
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order.order_type,
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order.reduce_only,
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expiration=order.expiration,
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match_limit=order.match_limit,
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reflink=self.context.reflink,
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)
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def build_settle_instructions(self) -> CombinableInstructions:
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return CombinableInstructions.empty()
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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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distinct_addresses: typing.List[PublicKey] = [self.account.address]
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for address in addresses:
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if address not in distinct_addresses:
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distinct_addresses += [address]
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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_perp_consume_events_instructions(
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self.context,
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self.group,
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self.perp_market.underlying_perp_market,
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limited_addresses,
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limit,
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)
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def build_redeem_instructions(self) -> CombinableInstructions:
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return build_mango_redeem_accrued_instructions(
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self.context,
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self.wallet,
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self.perp_market,
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self.group,
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self.account,
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self.mngo_token_bank,
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)
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def build_cancel_all_orders_instructions(
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self, limit: Decimal = Decimal(32)
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) -> CombinableInstructions:
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return build_perp_cancel_all_orders_instructions(
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self.context,
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self.wallet,
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self.account,
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self.perp_market.underlying_perp_market,
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limit,
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)
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def __str__(self) -> str:
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return """« PerpMarketInstructionBuilder »"""
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# # 🥭 PerpMarketOperations
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#
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# This file deals with placing orders for Perps.
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#
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class PerpMarketOperations(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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account: Account,
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market_instruction_builder: PerpMarketInstructionBuilder,
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) -> None:
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super().__init__(market_instruction_builder.perp_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: PerpMarketInstructionBuilder = (
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market_instruction_builder
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)
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self.account: Account = account
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@staticmethod
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def ensure(market_ops: MarketOperations) -> "PerpMarketOperations":
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if not isinstance(market_ops, PerpMarketOperations):
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raise Exception(
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f"MarketOperations for {market_ops.symbol} is not a PerpMarketOperations"
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)
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return market_ops
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@property
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def perp_market(self) -> PerpMarket:
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return self.market_instruction_builder.perp_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(f"Cancelling {self.symbol} order {order}.")
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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 = self._build_crank(add_self=True)
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settle = self.market_instruction_builder.build_settle_instructions()
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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 = 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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order_with_client_id: Order = order.with_update(client_id=client_id)
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self._logger.info(f"Placing {self.symbol} order {order_with_client_id}.")
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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 = self._build_crank(add_self=True, limit=crank_limit)
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settle = self.market_instruction_builder.build_settle_instructions()
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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]:
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signers: CombinableInstructions = CombinableInstructions.from_wallet(
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self.wallet
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)
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crank = self._build_crank(limit=limit)
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return (signers + crank).execute(self.context)
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def create_openorders(self) -> PublicKey:
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return SYSTEM_PROGRAM_ADDRESS
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def ensure_openorders(self) -> PublicKey:
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return SYSTEM_PROGRAM_ADDRESS
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def load_orderbook(self) -> OrderBook:
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return self.perp_market.fetch_orderbook(self.context)
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def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
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orderbook: OrderBook = self.load_orderbook()
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return orderbook.all_orders_for_owner(
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self.account.address, include_expired=include_expired
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)
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def _build_crank(
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self, limit: Decimal = Decimal(32), add_self: bool = False
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) -> CombinableInstructions:
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accounts_to_crank: typing.List[PublicKey] = []
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for event_to_crank in self.perp_market.unprocessed_events(self.context):
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accounts_to_crank += event_to_crank.accounts_to_crank
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if add_self:
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accounts_to_crank += [self.account.address]
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if len(accounts_to_crank) == 0:
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return CombinableInstructions.empty()
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self._logger.debug(
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f"Building crank instruction with {len(accounts_to_crank)} public keys, throttled to {limit}"
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)
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return self.market_instruction_builder.build_crank_instructions(
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accounts_to_crank, limit
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)
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def __str__(self) -> str:
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return f"""« PerpMarketOperations [{self.symbol}] »"""
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|
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# # 🥭 PerpMarketStub class
|
|
#
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# This class holds information to load a `PerpMarket` object but doesn't automatically load it.
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#
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class PerpMarketStub(Market):
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def __init__(
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self,
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mango_program_address: PublicKey,
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address: PublicKey,
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base: Instrument,
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quote: Token,
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group_address: PublicKey,
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) -> None:
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|
super().__init__(
|
|
MarketType.STUB,
|
|
mango_program_address,
|
|
address,
|
|
InventorySource.ACCOUNT,
|
|
base,
|
|
quote,
|
|
RaisingLotSizeConverter(),
|
|
)
|
|
self.group_address: PublicKey = group_address
|
|
|
|
@property
|
|
def fully_qualified_symbol(self) -> str:
|
|
return f"perp:{self.symbol}"
|
|
|
|
def load(
|
|
self, context: Context, group: typing.Optional[Group] = None
|
|
) -> PerpMarket:
|
|
actual_group: Group = group or Group.load(context, self.group_address)
|
|
underlying_perp_market: PerpMarketDetails = PerpMarketDetails.load(
|
|
context, self.address, actual_group
|
|
)
|
|
return PerpMarket(
|
|
self.program_address,
|
|
self.address,
|
|
self.base,
|
|
self.quote,
|
|
underlying_perp_market,
|
|
)
|
|
|
|
@property
|
|
def symbol(self) -> str:
|
|
return f"{self.base.symbol}-PERP"
|
|
|
|
def __str__(self) -> str:
|
|
return (
|
|
f"« PerpMarketStub {self.symbol} {self.address} [{self.program_address}] »"
|
|
)
|