87 lines
4.2 KiB
Python
87 lines
4.2 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 argparse
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import mango
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import typing
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from decimal import Decimal
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from .pairwiseelement import PairwiseElement
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from ...modelstate import ModelState
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# # 🥭 BiasQuoteOnPositionElement class
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#
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# Modifies an `Order`s price based on current inventory. Uses a `bias` to shift the price to sell
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# more (if too much inventory) or buy more (if too little inventory).
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#
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# Can take multiple bias factors to work with pair-wise orders.
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#
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class BiasQuoteOnPositionElement(PairwiseElement):
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def __init__(self, biases: typing.Sequence[Decimal]) -> None:
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super().__init__()
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self.biases: typing.Sequence[Decimal] = biases
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@staticmethod
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def add_command_line_parameters(parser: argparse.ArgumentParser) -> None:
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parser.add_argument("--biasquoteonposition-bias", type=Decimal, action="append",
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help="bias to apply to quotes based on inventory position")
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@staticmethod
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def from_command_line_parameters(args: argparse.Namespace) -> "BiasQuoteOnPositionElement":
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biases: typing.Sequence[Decimal] = args.biasquoteonposition_bias or [Decimal(0)]
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return BiasQuoteOnPositionElement(biases)
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def process_order_pair(self, context: mango.Context, model_state: ModelState, index: int, buy: typing.Optional[mango.Order], sell: typing.Optional[mango.Order]) -> typing.Tuple[typing.Optional[mango.Order], typing.Optional[mango.Order]]:
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# If no bias is explicitly specified for this element, just use the last specified bias.
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bias: Decimal = self.biases[index] if index < len(self.biases) else self.biases[-1]
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if bias == 0:
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# Zero bias results in no changes to orders.
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return buy, sell
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new_buy: typing.Optional[mango.Order] = None
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new_sell: typing.Optional[mango.Order] = None
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if buy is not None:
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new_buy = self.bias_order(buy, bias, model_state.inventory.base.value)
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if sell is not None:
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new_sell = self.bias_order(sell, bias, model_state.inventory.base.value)
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return new_buy, new_sell
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# From Daffy on 20th August 2021:
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# Formula to adjust price might look like this `pyth_price * (1 + (curr_pos / size) * pos_lean)`
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# where pos_lean is a negative number
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#
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# size is the standard size you're quoting which I believe comes from the position-size-ratio
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#
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# So if my standard size I'm quoting is 0.0002 BTC, my current position is +0.0010 BTC, and pos_lean
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# is -0.0001, you would move your quotes down by 0.0005 (or 5bps)
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# (Private chat link: https://discord.com/channels/@me/832570058861314048/878343278523723787)
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def bias_order(self, order: mango.Order, inventory_bias: Decimal, base_inventory_value: Decimal) -> mango.Order:
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bias_factor = inventory_bias * -1
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bias = 1 + ((base_inventory_value / order.quantity) * bias_factor)
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new_price: Decimal = order.price * bias
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new_order: mango.Order = order.with_price(new_price)
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bias_description = "BUY more" if bias > 1 else "SELL more"
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self.logger.debug(f"""Order change - bias {inventory_bias} on inventory {base_inventory_value} / {order.quantity} creates a ({bias_description}) bias factor of {bias}:
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Old: {order}
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New: {new_order}""")
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return new_order
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def __str__(self) -> str:
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return f"« 𝙱𝚒𝚊𝚜𝚀𝚞𝚘𝚝𝚎𝙾𝚗𝙿𝚘𝚜𝚒𝚝𝚒𝚘𝚗𝙴𝚕𝚎𝚖𝚎𝚗𝚝 - biases: {self.biases} »"
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