mango-explorer/mango/marketmaking/marketmaker.py

# # ⚠ Warning
#
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
#
# [🥭 Mango Markets](https://mango.markets/) support is available at:
#   [Docs](https://docs.mango.markets/)
#   [Discord](https://discord.gg/67jySBhxrg)
#   [Twitter](https://twitter.com/mangomarkets)
#   [Github](https://github.com/blockworks-foundation)
#   [Email](mailto:hello@blockworks.foundation)


import logging
import mango
import traceback
import typing

from datetime import datetime
from decimal import Decimal

from ..observables import EventSource
from .orderreconciler import OrderReconciler
from .orderchain.chain import Chain


# # 🥭 MarketMaker class
#
# An event-driven market-maker.
#
class MarketMaker:
    def __init__(
        self,
        wallet: mango.Wallet,
        market: mango.Market,
        market_instruction_builder: mango.MarketInstructionBuilder,
        desired_orders_chain: Chain,
        order_reconciler: OrderReconciler,
        redeem_threshold: typing.Optional[Decimal],
    ) -> None:
        self._logger: logging.Logger = logging.getLogger(self.__class__.__name__)
        self.wallet: mango.Wallet = wallet
        self.market: mango.Market = market
        self.market_instruction_builder: mango.MarketInstructionBuilder = (
            market_instruction_builder
        )
        self.desired_orders_chain: Chain = desired_orders_chain
        self.order_reconciler: OrderReconciler = order_reconciler
        self.redeem_threshold: typing.Optional[Decimal] = redeem_threshold

        self.pulse_complete: EventSource[datetime] = EventSource[datetime]()
        self.pulse_error: EventSource[Exception] = EventSource[Exception]()

        self.buy_client_ids: typing.List[int] = []
        self.sell_client_ids: typing.List[int] = []

    def pulse(self, context: mango.Context, model_state: mango.ModelState) -> None:
        try:
            self._logger.debug(
                f"[{context.name}] Pulse started with oracle price:\n    {model_state.price}"
            )

            payer = mango.CombinableInstructions.from_wallet(self.wallet)

            desired_orders = self.desired_orders_chain.process(context, model_state)

            # This is here to give the orderchain the chance to look at state and set `not_quoting`. Any
            # element in the orderchain can set this, rather than just return an empty list of desired
            # orders, knowing it won't be accidentally changed by subsequent elements returning orders.
            #
            # It also gives the opportunity to code outside the orderchain to set `not_quoting` if that
            # code has access to the `model_state`.
            if model_state.not_quoting:
                self._logger.info(
                    f"[{context.name}] Market-maker not quoting - model_state.not_quoting is set."
                )
                return

            existing_orders = model_state.current_orders()
            self._logger.debug(
                f"""Before reconciliation: all owned orders on current orderbook [{model_state.market.symbol}]:
    {mango.indent_collection_as_str(existing_orders)}"""
            )
            reconciled = self.order_reconciler.reconcile(
                model_state, existing_orders, desired_orders
            )
            self._logger.debug(
                f"""After reconciliation
Keep:
    {mango.indent_collection_as_str(reconciled.to_keep)}
Cancel:
    {mango.indent_collection_as_str(reconciled.to_cancel)}
Place:
    {mango.indent_collection_as_str(reconciled.to_place)}
Ignore:
    {mango.indent_collection_as_str(reconciled.to_ignore)}"""
            )

            cancellations = mango.CombinableInstructions.empty()
            # Perp markets have a CANCEL_ALL instruction that Spot and Serum markets don't. Use it if we can.
            if reconciled.cancelling_all and isinstance(
                self.market_instruction_builder, mango.PerpMarketInstructionBuilder
            ):
                ids = [f"{ord.id} / {ord.client_id}" for ord in reconciled.to_cancel]
                self._logger.info(
                    f"Cancelling all orders on {self.market.symbol} - currently {len(ids)}: {ids}"
                )
                cancellations = (
                    self.market_instruction_builder.build_cancel_all_orders_instructions()
                )
            else:
                for to_cancel in reconciled.to_cancel:
                    self._logger.info(f"Cancelling {self.market.symbol} {to_cancel}")
                    cancel = (
                        self.market_instruction_builder.build_cancel_order_instructions(
                            to_cancel, ok_if_missing=True
                        )
                    )
                    cancellations += cancel

            place_orders = mango.CombinableInstructions.empty()
            for to_place in reconciled.to_place:
                desired_client_id: int = context.generate_client_id()
                to_place_with_client_id = to_place.with_client_id(desired_client_id)

                self._logger.info(
                    f"Placing {self.market.symbol} {to_place_with_client_id}"
                )
                place_order = (
                    self.market_instruction_builder.build_place_order_instructions(
                        to_place_with_client_id
                    )
                )
                place_orders += place_order

            crank = self.market_instruction_builder.build_crank_instructions(
                model_state.accounts_to_crank
            )
            settle = self.market_instruction_builder.build_settle_instructions()

            redeem = mango.CombinableInstructions.empty()
            if (
                self.redeem_threshold is not None
                and model_state.inventory.liquidity_incentives.value
                > self.redeem_threshold
            ):
                redeem = self.market_instruction_builder.build_redeem_instructions()

            # Don't bother if we have no orders to change
            if len(cancellations.instructions) + len(place_orders.instructions) > 0:
                (
                    payer + cancellations + place_orders + crank + settle + redeem
                ).execute(context)

            self.pulse_complete.on_next(mango.local_now())
        except (
            mango.RateLimitException,
            mango.NodeIsBehindException,
            mango.BlockhashNotFoundException,
            mango.FailedToFetchBlockhashException,
        ) as common_exception:
            # Don't bother with a long traceback for these common problems.
            self._logger.error(
                f"[{context.name}] Market-maker problem on pulse: {common_exception}"
            )
            self.pulse_error.on_next(common_exception)
        except Exception as exception:
            self._logger.error(
                f"[{context.name}] Market-maker error on pulse:\n{traceback.format_exc()}"
            )
            self.pulse_error.on_next(exception)

    def __str__(self) -> str:
        return f"""« MarketMaker for market '{self.market.symbol}' »"""

    def __repr__(self) -> str:
        return f"{self}"