196 lines
10 KiB
Plaintext
Executable File
196 lines
10 KiB
Plaintext
Executable File
#!/usr/bin/env pyston3
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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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from decimal import Decimal
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from solana.publickey import PublicKey
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sys.path.insert(0, os.path.abspath(
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os.path.join(os.path.dirname(__file__), "..")))
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import mango # 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(description="Runs a marketmaker against a particular market.")
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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("--market", type=str, required=True, help="market symbol to make market upon (e.g. ETH/USDC)")
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parser.add_argument("--update-mode", type=mango.marketmaking.ModelUpdateMode, default=mango.marketmaking.ModelUpdateMode.POLL,
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choices=list(mango.marketmaking.ModelUpdateMode), help="Update mode for model data - can be POLL (default) or WEBSOCKET")
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parser.add_argument("--oracle-provider", type=str, required=True, help="name of the price provider to use (e.g. pyth)")
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parser.add_argument("--oracle-market", 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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parser.add_argument("--order-type", type=mango.OrderType, default=mango.OrderType.POST_ONLY,
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choices=list(mango.OrderType), help="Order type: LIMIT, IOC or POST_ONLY")
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parser.add_argument("--existing-order-tolerance", type=Decimal, 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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parser.add_argument("--redeem-threshold", 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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parser.add_argument("--pulse-interval", type=int, default=10,
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help="number of seconds between each 'pulse' of the market maker")
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parser.add_argument("--event-queue-poll-interval", type=int, default=10,
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help="number of seconds between each 'poll' of the event queue (only used if --update-mode is POLL)")
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parser.add_argument("--hedge-market", type=str, help="spot market symbol to use for hedging (e.g. ETH/USDC)")
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parser.add_argument("--max-price-slippage-factor", type=Decimal, 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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parser.add_argument("--account-address", type=PublicKey,
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help="address of the specific account to use, if more than one available")
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parser.add_argument("--notify-errors", type=mango.parse_subscription_target, action="append", default=[],
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help="The notification target for error events")
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parser.add_argument("--dry-run", action="store_true", default=False,
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help="runs as read-only and does not perform any transactions")
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args: argparse.Namespace = mango.parse_args(parser)
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for notify in args.notify_errors:
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handler = mango.NotificationHandler(notify)
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handler.setLevel(logging.ERROR)
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logging.getLogger().addHandler(handler)
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def cleanup(context: mango.Context, wallet: mango.Wallet, account: mango.Account, market: mango.Market, dry_run: bool):
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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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market_instruction_builder: mango.MarketInstructionBuilder = mango.create_market_instruction_builder(
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context, wallet, account, market, dry_run)
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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(order, ok_if_missing=True)
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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(wallet)
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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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logging.info(f"{context}")
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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(context, wallet.address, group, args.account_address)
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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.token:
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raise Exception(
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f"Group {group.name} uses shared quote token {group.shared_quote_token.token.symbol}/{group.shared_quote_token.token.mint}, but market {market.symbol} uses quote token {market.quote.symbol}/{market.quote.mint}.")
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cleanup(context, wallet, account, market, args.dry_run)
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if args.hedge_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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watched_market: mango.PerpMarket = market
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hedging_market_symbol = args.hedge_market.upper()
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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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perp_event_queue: mango.PerpEventQueue = mango.PerpEventQueue.load(
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context, watched_market.underlying_perp_market.event_queue, watched_market.lot_size_converter)
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event_queue_source: mango.EventSource[mango.PerpEventQueue]
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if args.update_mode == mango.marketmaking.ModelUpdateMode.WEBSOCKET:
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event_subscription = mango.WebSocketAccountSubscription(
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context, watched_market.underlying_perp_market.event_queue,
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lambda account_info: mango.PerpEventQueue.parse(account_info, watched_market.lot_size_converter))
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manager.add(event_subscription)
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health_check.add("hedger_watched_events_pong_subscription", event_subscription.pong)
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event_queue_source = event_subscription.publisher
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else:
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event_queue_observable: rx.Observable = rx.interval(args.event_queue_poll_interval).pipe(
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rx.operators.observe_on(context.create_thread_pool_scheduler()),
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rx.operators.catch(mango.observable_pipeline_error_reporter),
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rx.operators.retry(),
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rx.operators.start_with(-1),
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rx.operators.map(lambda _: mango.PerpEventQueue.load(
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context, watched_market.underlying_perp_market.event_queue, watched_market.lot_size_converter))
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)
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event_queue_source = mango.EventSource[mango.PerpEventQueue]()
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event_queue_observable.subscribe(event_queue_source)
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health_check.add("hedger_watched_events_pong_subscription", event_queue_source)
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hedger: mango.marketmaking.Hedger = mango.marketmaking.Hedger(
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context, account, watched_market, hedging_market, perp_event_queue, event_queue_source,
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hedging_market_operations, args.max_price_slippage_factor)
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disposer.add_disposable(hedger)
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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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desired_orders_chain: chain.Chain = chainbuilder.ChainBuilder.from_command_line_parameters(args)
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logging.info(f"Desired orders chain: {desired_orders_chain}")
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market_instruction_builder: mango.MarketInstructionBuilder = mango.create_market_instruction_builder(
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context, wallet, account, market, args.dry_run)
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market_maker = mango.marketmaking.MarketMaker(
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wallet, market, market_instruction_builder, desired_orders_chain, order_reconciler, args.redeem_threshold)
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oracle_provider: mango.OracleProvider = mango.create_oracle_provider(context, args.oracle_provider)
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oracle_market: mango.LoadedMarket = market if args.oracle_market is None else mango.load_market_by_symbol(
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context, args.oracle_market)
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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(f"Could not find oracle for market {oracle_market.symbol} from provider {args.oracle_provider}.")
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model_state_builder: mango.marketmaking.ModelStateBuilder = mango.marketmaking.model_state_builder_factory(
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args.update_mode, context, disposer, manager, health_check, wallet, group, account, market, oracle)
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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.TokenValue.report([asset for asset in account.net_assets if asset is not None], logging.info)
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manager.open()
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pulse_disposable = rx.interval(args.pulse_interval).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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).subscribe(
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on_next=lambda _: market_maker.pulse(context, model_state_builder.build(context)))
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disposer.add_disposable(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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