70 lines
3.4 KiB
Python
70 lines
3.4 KiB
Python
# # ⚠ 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 traceback
|
||
|
||
from decimal import Decimal
|
||
from solana.publickey import PublicKey
|
||
|
||
from .context import Context
|
||
from .orders import Side, OrderType, Order
|
||
from .marketoperations import MarketOperations
|
||
from .perpeventqueue import PerpFillEvent
|
||
|
||
|
||
# # 🥭 PerpHedger class
|
||
#
|
||
# A `PerpHedger` takes a `PerpFill` event and tries to hedge (apply the reverse trade) on the spot market.
|
||
#
|
||
class PerpHedger:
|
||
def __init__(self, own_address: PublicKey, hedge_market_operations: MarketOperations, max_price_slippage_factor: Decimal):
|
||
self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
|
||
self.own_address: PublicKey = own_address
|
||
self.hedge_market_operations: MarketOperations = hedge_market_operations
|
||
self.buy_price_adjustment_factor: Decimal = Decimal("1") + max_price_slippage_factor
|
||
self.sell_price_adjustment_factor: Decimal = Decimal("1") - max_price_slippage_factor
|
||
self.hedging_on: str = self.hedge_market_operations.market.symbol
|
||
|
||
def hedge(self, context: Context, fill_event: PerpFillEvent) -> Order:
|
||
side: Side
|
||
if fill_event.taker == self.own_address:
|
||
opposite_side: Side = Side.BUY if fill_event.taker_side == Side.SELL else Side.SELL
|
||
side = opposite_side
|
||
else:
|
||
# We were the opposite side in the filled trade, so to hedge we want to be the side the taker just took.
|
||
side = fill_event.taker_side
|
||
up_or_down: str = "up to" if side == Side.BUY else "down to"
|
||
|
||
price_adjustment_factor: Decimal = self.sell_price_adjustment_factor if side == Side.SELL else self.buy_price_adjustment_factor
|
||
adjusted_price: Decimal = fill_event.price * price_adjustment_factor
|
||
quantity: Decimal = fill_event.quantity
|
||
order: Order = Order.from_basic_info(side, adjusted_price, fill_event.quantity, OrderType.IOC)
|
||
self.logger.info(
|
||
f"Hedging perp {fill_event.taker_side} ({fill_event.maker_order_id}) of {fill_event.quantity:,.8f} at {fill_event.price:,.8f} with {side} of {quantity:,.8f} at {up_or_down} {adjusted_price:,.8f} on {self.hedging_on}\n\t{order}")
|
||
try:
|
||
self.hedge_market_operations.place_order(order)
|
||
except Exception:
|
||
self.logger.error(
|
||
f"[{context.name}] Failed to hedge on {self.hedging_on} using order {order} - {traceback.format_exc()}")
|
||
return order
|
||
|
||
def __str__(self) -> str:
|
||
return f"""« 𝙿𝚎𝚛𝚙𝙷𝚎𝚍𝚐𝚎𝚛 hedging on '{self.hedging_on}' [BUY * {self.buy_price_adjustment_factor} / SELL * {self.sell_price_adjustment_factor}] »"""
|
||
|
||
def __repr__(self) -> str:
|
||
return f"{self}"
|