796 lines
39 KiB
Python
796 lines
39 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 pandas
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import typing
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from decimal import Decimal
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from solana.publickey import PublicKey
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from solana.rpc.types import MemcmpOpts
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from .accountinfo import AccountInfo
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from .addressableaccount import AddressableAccount
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from .cache import Cache, PerpMarketCache, RootBankCache, MarketCache
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from .context import Context
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from .encoding import encode_key
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from .group import Group, GroupSlot, GroupSlotPerpMarket
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from .instrumentvalue import InstrumentValue
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from .layouts import layouts
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from .metadata import Metadata
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from .openorders import OpenOrders
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from .orders import Side
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from .perpaccount import PerpAccount
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from .perpopenorders import PerpOpenOrders
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from .placedorder import PlacedOrder
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from .token import Instrument, Token
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from .tokenbank import TokenBank
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from .version import Version
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# # 🥭 AccountSlot class
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#
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# `AccountSlot` gathers slot items together instead of separate arrays.
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#
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class AccountSlot:
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def __init__(self, index: int, base_instrument: Instrument, base_token_bank: typing.Optional[TokenBank], quote_token_bank: TokenBank, raw_deposit: Decimal, deposit: InstrumentValue, raw_borrow: Decimal, borrow: InstrumentValue, spot_open_orders: typing.Optional[PublicKey], perp_account: typing.Optional[PerpAccount]) -> None:
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self.index: int = index
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self.base_instrument: Instrument = base_instrument
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self.base_token_bank: typing.Optional[TokenBank] = base_token_bank
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self.quote_token_bank: TokenBank = quote_token_bank
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self.raw_deposit: Decimal = raw_deposit
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self.deposit: InstrumentValue = deposit
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self.raw_borrow: Decimal = raw_borrow
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self.borrow: InstrumentValue = borrow
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self.spot_open_orders: typing.Optional[PublicKey] = spot_open_orders
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self.perp_account: typing.Optional[PerpAccount] = perp_account
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@property
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def net_value(self) -> InstrumentValue:
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return self.deposit - self.borrow
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@property
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def raw_net_value(self) -> Decimal:
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return self.raw_deposit - self.raw_borrow
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def __str__(self) -> str:
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perp_account: str = "None"
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if self.perp_account is not None:
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perp_account = f"{self.perp_account}".replace("\n", "\n ")
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return f"""« AccountSlot [{self.index}] {self.base_instrument.symbol}
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Net Value: {self.net_value}
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Deposited: {self.deposit} (raw value: {self.raw_deposit})
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Borrowed: {self.borrow} (raw value {self.raw_borrow})
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Spot OpenOrders: {self.spot_open_orders or "None"}
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Perp Account:
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{perp_account}
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»"""
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 Account class
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#
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# `Account` holds information about the account for a particular user/wallet for a particualr `Group`.
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#
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class Account(AddressableAccount):
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@staticmethod
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def __sum_neg(dataframe: pandas.DataFrame, name: str) -> Decimal:
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return typing.cast(Decimal, dataframe.loc[dataframe[name] < 0, name].sum())
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@staticmethod
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def __sum_pos(dataframe: pandas.DataFrame, name: str) -> Decimal:
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return typing.cast(Decimal, dataframe.loc[dataframe[name] > 0, name].sum())
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def __init__(self, account_info: AccountInfo, version: Version,
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meta_data: Metadata, group_name: str, group_address: PublicKey, owner: PublicKey,
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info: str, shared_quote: AccountSlot,
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in_margin_basket: typing.Sequence[bool],
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slot_indices: typing.Sequence[bool],
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base_slots: typing.Sequence[AccountSlot],
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msrm_amount: Decimal, being_liquidated: bool, is_bankrupt: bool,
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advanced_orders: PublicKey, not_upgradable: bool, delegate: PublicKey) -> None:
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super().__init__(account_info)
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self.version: Version = version
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self.meta_data: Metadata = meta_data
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self.group_name: str = group_name
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self.group_address: PublicKey = group_address
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self.owner: PublicKey = owner
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self.info: str = info
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self.shared_quote: AccountSlot = shared_quote
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self.in_margin_basket: typing.Sequence[bool] = in_margin_basket
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self.slot_indices: typing.Sequence[bool] = slot_indices
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self.base_slots: typing.Sequence[AccountSlot] = base_slots
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self.msrm_amount: Decimal = msrm_amount
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self.being_liquidated: bool = being_liquidated
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self.is_bankrupt: bool = is_bankrupt
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self.advanced_orders: PublicKey = advanced_orders
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self.not_upgradable: bool = not_upgradable
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self.delegate: PublicKey = delegate
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@property
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def shared_quote_token(self) -> Token:
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token_bank = self.shared_quote.base_token_bank
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if token_bank is None:
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raise Exception(f"Shared quote does not have a token: {self.shared_quote}")
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return Token.ensure(token_bank.token)
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@property
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def slots(self) -> typing.Sequence[AccountSlot]:
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return [*[slot for slot in self.base_slots], self.shared_quote]
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@property
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def slots_by_index(self) -> typing.Sequence[typing.Optional[AccountSlot]]:
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mapped_items: typing.List[typing.Optional[AccountSlot]] = []
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slot_counter = 0
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for available in self.slot_indices:
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if available:
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mapped_items += [self.base_slots[slot_counter]]
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slot_counter += 1
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else:
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mapped_items += [None]
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mapped_items += [self.shared_quote]
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return mapped_items
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@property
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def deposits(self) -> typing.Sequence[InstrumentValue]:
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return [slot.deposit for slot in self.slots]
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@property
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def deposits_by_index(self) -> typing.Sequence[typing.Optional[InstrumentValue]]:
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return [slot.deposit if slot is not None else None for slot in self.slots_by_index]
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@property
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def borrows(self) -> typing.Sequence[InstrumentValue]:
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return [slot.borrow for slot in self.slots]
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@property
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def borrows_by_index(self) -> typing.Sequence[typing.Optional[InstrumentValue]]:
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return [slot.borrow if slot is not None else None for slot in self.slots_by_index]
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@property
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def net_values(self) -> typing.Sequence[InstrumentValue]:
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return [slot.net_value for slot in self.slots]
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@property
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def net_values_by_index(self) -> typing.Sequence[typing.Optional[InstrumentValue]]:
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return [slot.net_value if slot is not None else None for slot in self.slots_by_index]
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@property
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def spot_open_orders(self) -> typing.Sequence[PublicKey]:
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return [slot.spot_open_orders for slot in self.base_slots if slot.spot_open_orders is not None]
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@property
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def spot_open_orders_by_index(self) -> typing.Sequence[typing.Optional[PublicKey]]:
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return [slot.spot_open_orders if slot is not None else None for slot in self.slots_by_index]
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@property
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def perp_accounts(self) -> typing.Sequence[PerpAccount]:
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return [slot.perp_account for slot in self.base_slots if slot.perp_account is not None]
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@property
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def perp_accounts_by_index(self) -> typing.Sequence[typing.Optional[PerpAccount]]:
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return [slot.perp_account if slot is not None else None for slot in self.slots_by_index]
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@staticmethod
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def from_layout(layout: typing.Any, account_info: AccountInfo, version: Version, group: Group, cache: Cache) -> "Account":
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meta_data = Metadata.from_layout(layout.meta_data)
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owner: PublicKey = layout.owner
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info: str = layout.info
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mngo_token = group.liquidity_incentive_token
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in_margin_basket: typing.Sequence[bool] = list([bool(in_basket) for in_basket in layout.in_margin_basket])
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active_in_basket: typing.List[bool] = []
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slots: typing.List[AccountSlot] = []
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placed_orders_all_markets: typing.List[typing.List[PlacedOrder]] = [[]
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for _ in range(len(group.slot_indices) - 1)]
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for index, order_market in enumerate(layout.order_market):
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if order_market != 0xFF:
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side = Side.from_value(layout.order_side[index])
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id = layout.order_ids[index]
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client_id = layout.client_order_ids[index]
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placed_order = PlacedOrder(id, client_id, side)
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placed_orders_all_markets[int(order_market)] += [placed_order]
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quote_token_bank: TokenBank = group.shared_quote
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quote_token: Token = group.shared_quote_token
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for index in range(len(group.slots_by_index)):
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group_slot = group.slots_by_index[index]
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if group_slot is not None:
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instrument = group_slot.base_instrument
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token_bank = group_slot.base_token_bank
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raw_deposit: Decimal = Decimal(0)
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intrinsic_deposit: Decimal = Decimal(0)
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raw_borrow: Decimal = Decimal(0)
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intrinsic_borrow: Decimal = Decimal(0)
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if token_bank is not None:
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raw_deposit = layout.deposits[index]
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root_bank_cache: typing.Optional[RootBankCache] = token_bank.root_bank_cache_from_cache(
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cache, index)
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if root_bank_cache is None:
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raise Exception(f"No root bank cache found for token {token_bank} at index {index}")
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intrinsic_deposit = root_bank_cache.deposit_index * raw_deposit
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raw_borrow = layout.borrows[index]
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intrinsic_borrow = root_bank_cache.borrow_index * raw_borrow
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deposit = InstrumentValue(instrument, instrument.shift_to_decimals(intrinsic_deposit))
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borrow = InstrumentValue(instrument, instrument.shift_to_decimals(intrinsic_borrow))
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perp_open_orders = PerpOpenOrders(placed_orders_all_markets[index])
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perp_account = PerpAccount.from_layout(
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layout.perp_accounts[index],
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instrument,
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quote_token,
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perp_open_orders,
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group_slot.perp_lot_size_converter,
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mngo_token)
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spot_open_orders = layout.spot_open_orders[index]
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account_slot: AccountSlot = AccountSlot(index, instrument, token_bank, quote_token_bank,
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raw_deposit, deposit, raw_borrow, borrow,
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spot_open_orders, perp_account)
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slots += [account_slot]
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active_in_basket += [True]
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else:
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active_in_basket += [False]
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quote_index: int = len(layout.deposits) - 1
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raw_quote_deposit: Decimal = layout.deposits[quote_index]
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quote_root_bank_cache: typing.Optional[RootBankCache] = quote_token_bank.root_bank_cache_from_cache(
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cache, quote_index)
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if quote_root_bank_cache is None:
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raise Exception(f"No root bank cache found for quote token {quote_token_bank} at index {index}")
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intrinsic_quote_deposit = quote_root_bank_cache.deposit_index * raw_quote_deposit
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quote_deposit = InstrumentValue(quote_token, quote_token.shift_to_decimals(intrinsic_quote_deposit))
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raw_quote_borrow: Decimal = layout.borrows[quote_index]
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intrinsic_quote_borrow = quote_root_bank_cache.borrow_index * raw_quote_borrow
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quote_borrow = InstrumentValue(quote_token, quote_token.shift_to_decimals(intrinsic_quote_borrow))
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quote: AccountSlot = AccountSlot(len(layout.deposits) - 1, quote_token_bank.token, quote_token_bank,
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quote_token_bank, raw_quote_deposit, quote_deposit, raw_quote_borrow,
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quote_borrow, None, None)
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msrm_amount: Decimal = layout.msrm_amount
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being_liquidated: bool = bool(layout.being_liquidated)
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is_bankrupt: bool = bool(layout.is_bankrupt)
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advanced_orders: PublicKey = layout.advanced_orders
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not_upgradable: bool = bool(layout.not_upgradable)
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delegate: PublicKey = layout.delegate
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return Account(account_info, version, meta_data, group.name, group.address, owner, info, quote,
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in_margin_basket, active_in_basket, slots, msrm_amount, being_liquidated, is_bankrupt,
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advanced_orders, not_upgradable, delegate)
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@staticmethod
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def parse(account_info: AccountInfo, group: Group, cache: Cache) -> "Account":
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data = account_info.data
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if len(data) != layouts.MANGO_ACCOUNT.sizeof():
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raise Exception(
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f"Account data length ({len(data)}) does not match expected size ({layouts.MANGO_ACCOUNT.sizeof()})")
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layout = layouts.MANGO_ACCOUNT.parse(data)
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return Account.from_layout(layout, account_info, Version.V3, group, cache)
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@staticmethod
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def load(context: Context, address: PublicKey, group: Group) -> "Account":
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account_info = AccountInfo.load(context, address)
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if account_info is None:
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raise Exception(f"Account account not found at address '{address}'")
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cache: Cache = group.fetch_cache(context)
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return Account.parse(account_info, group, cache)
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@staticmethod
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def load_all(context: Context, group: Group) -> typing.Sequence["Account"]:
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# mango_group is just after the METADATA, which is the first entry.
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group_offset = layouts.METADATA.sizeof()
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# owner is just after mango_group in the layout, and it's a PublicKey which is 32 bytes.
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filters = [
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MemcmpOpts(
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offset=group_offset,
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bytes=encode_key(group.address)
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)
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]
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results = context.client.get_program_accounts(
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context.mango_program_address, memcmp_opts=filters, data_size=layouts.MANGO_ACCOUNT.sizeof())
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cache: Cache = group.fetch_cache(context)
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accounts: typing.List[Account] = []
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for account_data in results:
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address = PublicKey(account_data["pubkey"])
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account_info = AccountInfo._from_response_values(account_data["account"], address)
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account = Account.parse(account_info, group, cache)
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accounts += [account]
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return accounts
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@staticmethod
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def load_all_for_owner(context: Context, owner: PublicKey, group: Group) -> typing.Sequence["Account"]:
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# mango_group is just after the METADATA, which is the first entry.
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group_offset = layouts.METADATA.sizeof()
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# owner is just after mango_group in the layout, and it's a PublicKey which is 32 bytes.
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owner_offset = group_offset + 32
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filters = [
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MemcmpOpts(
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offset=group_offset,
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bytes=encode_key(group.address)
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),
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MemcmpOpts(
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offset=owner_offset,
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bytes=encode_key(owner)
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)
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]
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results = context.client.get_program_accounts(
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context.mango_program_address, memcmp_opts=filters, data_size=layouts.MANGO_ACCOUNT.sizeof())
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cache: Cache = group.fetch_cache(context)
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accounts: typing.List[Account] = []
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for account_data in results:
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address = PublicKey(account_data["pubkey"])
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account_info = AccountInfo._from_response_values(account_data["account"], address)
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account = Account.parse(account_info, group, cache)
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accounts += [account]
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return accounts
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@staticmethod
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def load_all_for_delegate(context: Context, delegate: PublicKey, group: Group) -> typing.Sequence["Account"]:
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# mango_group is just after the METADATA, which is the first entry.
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group_offset = layouts.METADATA.sizeof()
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# delegate is a PublicKey which is 32 bytes that ends 5 bytes before the end of the layout
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delegate_offset = layouts.MANGO_ACCOUNT.sizeof() - 37
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filters = [
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MemcmpOpts(
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offset=group_offset,
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bytes=encode_key(group.address)
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),
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MemcmpOpts(
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offset=delegate_offset,
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bytes=encode_key(delegate)
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)
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]
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results = context.client.get_program_accounts(
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context.mango_program_address, memcmp_opts=filters, data_size=layouts.MANGO_ACCOUNT.sizeof())
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cache: Cache = group.fetch_cache(context)
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accounts: typing.List[Account] = []
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for account_data in results:
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address = PublicKey(account_data["pubkey"])
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account_info = AccountInfo._from_response_values(account_data["account"], address)
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account = Account.parse(account_info, group, cache)
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accounts += [account]
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return accounts
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@staticmethod
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def load_for_owner_by_address(context: Context, owner: PublicKey, group: Group, account_address: typing.Optional[PublicKey]) -> "Account":
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if account_address is not None:
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return Account.load(context, account_address, group)
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accounts: typing.Sequence[Account] = Account.load_all_for_owner(context, owner, group)
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if len(accounts) > 1:
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raise Exception(f"More than 1 Mango account for owner '{owner}' and which to choose not specified.")
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return accounts[0]
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def slot_by_instrument_or_none(self, instrument: Instrument) -> typing.Optional[AccountSlot]:
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for slot in self.slots:
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if slot.base_instrument == instrument:
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return slot
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return None
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def slot_by_instrument(self, instrument: Instrument) -> AccountSlot:
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slot: typing.Optional[AccountSlot] = self.slot_by_instrument_or_none(instrument)
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if slot is not None:
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return slot
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raise Exception(f"Could not find token {instrument} in account {self.address}")
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def slot_by_spot_open_orders_or_none(self, spot_open_orders: PublicKey) -> typing.Optional[AccountSlot]:
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for slot in self.slots:
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if slot.spot_open_orders == spot_open_orders:
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return slot
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return None
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def slot_by_spot_open_orders(self, spot_open_orders: PublicKey) -> AccountSlot:
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slot: typing.Optional[AccountSlot] = self.slot_by_spot_open_orders_or_none(spot_open_orders)
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if slot is not None:
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return slot
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raise Exception(f"Could not find spot open orders {spot_open_orders} in account {self.address}")
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def load_all_spot_open_orders(self, context: Context) -> typing.Dict[str, OpenOrders]:
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spot_open_orders_account_infos = AccountInfo.load_multiple(context, self.spot_open_orders)
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spot_open_orders_account_infos_by_address = {
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str(account_info.address): account_info for account_info in spot_open_orders_account_infos}
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spot_open_orders: typing.Dict[str, OpenOrders] = {}
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for slot in self.base_slots:
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if slot.spot_open_orders is not None:
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account_info = spot_open_orders_account_infos_by_address[str(slot.spot_open_orders)]
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oo = OpenOrders.parse(account_info, slot.base_instrument.decimals,
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self.shared_quote.base_instrument.decimals)
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spot_open_orders[str(slot.spot_open_orders)] = oo
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return spot_open_orders
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|
|
def update_spot_open_orders_for_market(self, spot_market_index: int, spot_open_orders: PublicKey) -> None:
|
|
item_to_update = self.slots_by_index[spot_market_index]
|
|
if item_to_update is None:
|
|
raise Exception(f"Could not find AccountBasketItem in Account {self.address} at index {spot_market_index}.")
|
|
item_to_update.spot_open_orders = spot_open_orders
|
|
|
|
def derive_referrer_memory_address(self, context: Context) -> PublicKey:
|
|
referrer_memory_address_and_nonce: typing.Tuple[PublicKey, int] = PublicKey.find_program_address(
|
|
[
|
|
bytes(self.address),
|
|
b"ReferrerMemory"
|
|
],
|
|
context.mango_program_address
|
|
)
|
|
|
|
return referrer_memory_address_and_nonce[0]
|
|
|
|
def to_dataframe(self, group: Group, all_spot_open_orders: typing.Dict[str, OpenOrders], cache: Cache) -> pandas.DataFrame:
|
|
asset_data = []
|
|
for slot in self.slots:
|
|
market_cache: typing.Optional[MarketCache] = group.market_cache_from_cache_or_none(
|
|
cache, slot.base_instrument)
|
|
price: InstrumentValue = group.token_price_from_cache(cache, slot.base_instrument)
|
|
|
|
spot_open_orders: typing.Optional[OpenOrders] = None
|
|
spot_health_base: Decimal = Decimal(0)
|
|
spot_health_quote: Decimal = Decimal(0)
|
|
spot_bids_base_net: Decimal = Decimal(0)
|
|
spot_asks_base_net: Decimal = Decimal(0)
|
|
if slot.spot_open_orders is not None:
|
|
spot_open_orders = all_spot_open_orders[str(slot.spot_open_orders)]
|
|
if spot_open_orders is None:
|
|
raise Exception(f"OpenOrders address {slot.spot_open_orders} at index {slot.index} not loaded.")
|
|
|
|
# Here's a comment from ckamm in https://github.com/blockworks-foundation/mango-v3/pull/78/files
|
|
# that describes some of the health calculations.
|
|
#
|
|
# // Two "worst-case" scenarios are considered:
|
|
# // 1. All bids are executed at current price, producing a base amount of bids_base_net
|
|
# // when all quote_locked are converted to base.
|
|
# // 2. All asks are executed at current price, producing a base amount of asks_base_net
|
|
# // because base_locked would be converted to quote.
|
|
#
|
|
# // Report the scenario that would have a worse outcome on health.
|
|
# //
|
|
# // Explanation: This function returns (base, quote) and the values later get used in
|
|
# // health += (if base > 0 { asset_weight } else { liab_weight }) * base + quote
|
|
# // and here we return the scenario that will increase health the least.
|
|
# //
|
|
# // Correctness proof:
|
|
# // - always bids_base_net >= asks_base_net
|
|
# // - note that scenario 1 returns (a + b, c)
|
|
# // and scenario 2 returns (a, c + b), and b >= 0, c >= 0
|
|
# // - if a >= 0: scenario 1 will lead to less health as asset_weight <= 1.
|
|
# // - if a < 0 and b <= -a: scenario 2 will lead to less health as liab_weight >= 1.
|
|
# // - if a < 0 and b > -a:
|
|
# // The health contributions of both scenarios are identical if
|
|
# // asset_weight * (a + b) + c = liab_weight * a + c + b
|
|
# // <=> b = (asset_weight - liab_weight) / (1 - asset_weight) * a
|
|
# // <=> b = -2 a since asset_weight + liab_weight = 2 by weight construction
|
|
# // So the worse scenario switches when a + b = -a.
|
|
# // That means scenario 1 leads to less health whenever |a + b| > |a|.
|
|
|
|
# base total if all bids were executed
|
|
spot_bids_base_net = slot.net_value.value + \
|
|
(spot_open_orders.quote_token_locked / price.value) + spot_open_orders.base_token_total
|
|
|
|
# base total if all asks were executed
|
|
spot_asks_base_net = slot.net_value.value + spot_open_orders.base_token_free
|
|
|
|
if abs(spot_bids_base_net) > abs(spot_asks_base_net):
|
|
spot_health_base = spot_bids_base_net
|
|
spot_health_quote = spot_open_orders.quote_token_free
|
|
else:
|
|
spot_health_base = spot_asks_base_net
|
|
spot_health_quote = (spot_open_orders.base_token_locked * price.value) + \
|
|
spot_open_orders.quote_token_total
|
|
|
|
# From Daffy in Discord 2021-11-23: https://discord.com/channels/791995070613159966/857699200279773204/912705017767677982
|
|
# --
|
|
# There's a long_funding field on the PerpMarketCache which holds the current native USDC per
|
|
# base position accrued. The long_settled_funding stores the last time funding was settled for
|
|
# this particular user. So the funding owed is
|
|
# (PerpMarketCache.long_funding - PerpAccount.long_settled_funding) * PerpAccount.base_position
|
|
# if base position greater than 0 (i.e. long)
|
|
#
|
|
# And we use short_funding if base_position < 0
|
|
#
|
|
# The long_funding field in PerpMarketCache changes across time according to the
|
|
# update_funding() function. If orderbook is above index price, then long_funding and
|
|
# short_funding both increase.
|
|
#
|
|
# Usually long_funding and short_funding will be the same unless there was a socialized loss
|
|
# event. IF you have negative equity and insurance fund is empty, then half of the negative
|
|
# equity goes to longs and half goes to shorts. The way that's done is by increasing
|
|
# long_funding and decreasing short_funding by same amount.
|
|
#
|
|
# But unless there's a socialized loss, long_funding == short_funding
|
|
# --
|
|
perp_position: Decimal = Decimal(0)
|
|
perp_notional_position: Decimal = Decimal(0)
|
|
perp_value: Decimal = Decimal(0)
|
|
perp_health_base: Decimal = Decimal(0)
|
|
perp_health_quote: Decimal = Decimal(0)
|
|
unsettled_funding: Decimal = Decimal(0)
|
|
perp_health_base_value: Decimal = Decimal(0)
|
|
perp_asset: Decimal = Decimal(0)
|
|
perp_liability: Decimal = Decimal(0)
|
|
perp_current_value: Decimal = Decimal(0)
|
|
if slot.perp_account is not None and not slot.perp_account.empty and market_cache is not None:
|
|
perp_market: typing.Optional[GroupSlotPerpMarket] = group.perp_markets_by_index[slot.index]
|
|
if perp_market is None:
|
|
raise Exception(f"Could not find perp market in Group at index {slot.index}.")
|
|
|
|
perp_position = slot.perp_account.lot_size_converter.base_size_lots_to_number(
|
|
slot.perp_account.base_position)
|
|
perp_notional_position = perp_position * price.value
|
|
perp_value = slot.perp_account.quote_position_raw
|
|
cached_perp_market: typing.Optional[PerpMarketCache] = market_cache.perp_market
|
|
if cached_perp_market is None:
|
|
raise Exception(f"Could not find perp market in Cache at index {slot.index}.")
|
|
|
|
unsettled_funding = slot.perp_account.unsettled_funding(cached_perp_market)
|
|
bids_quantity = slot.perp_account.lot_size_converter.base_size_lots_to_number(
|
|
slot.perp_account.bids_quantity)
|
|
asks_quantity = slot.perp_account.lot_size_converter.base_size_lots_to_number(
|
|
slot.perp_account.asks_quantity)
|
|
taker_quote = slot.perp_account.lot_size_converter.quote_size_lots_to_number(
|
|
slot.perp_account.taker_quote)
|
|
|
|
perp_bids_base_net: Decimal = perp_position + bids_quantity
|
|
perp_asks_base_net: Decimal = perp_position - asks_quantity
|
|
|
|
perp_asset = slot.perp_account.asset_value(cached_perp_market, price.value)
|
|
perp_liability = slot.perp_account.liability_value(cached_perp_market, price.value)
|
|
perp_current_value = slot.perp_account.current_value(cached_perp_market, price.value)
|
|
|
|
quote_pos = slot.perp_account.quote_position / (10 ** self.shared_quote_token.decimals)
|
|
if abs(perp_bids_base_net) > abs(perp_asks_base_net):
|
|
perp_health_base = perp_bids_base_net
|
|
perp_health_quote = (quote_pos + unsettled_funding) + \
|
|
taker_quote - (bids_quantity * price.value)
|
|
else:
|
|
perp_health_base = perp_asks_base_net
|
|
perp_health_quote = (quote_pos + unsettled_funding) + \
|
|
taker_quote + (asks_quantity * price.value)
|
|
perp_health_base_value = perp_health_base * price.value
|
|
|
|
group_slot: typing.Optional[GroupSlot] = None
|
|
if market_cache is not None:
|
|
group_slot = group.slot_by_instrument(slot.base_instrument)
|
|
|
|
spot_init_asset_weight: Decimal = Decimal(0)
|
|
spot_maint_asset_weight: Decimal = Decimal(0)
|
|
spot_init_liab_weight: Decimal = Decimal(0)
|
|
spot_maint_liab_weight: Decimal = Decimal(0)
|
|
if group_slot is not None and group_slot.spot_market is not None:
|
|
spot_init_asset_weight = group_slot.spot_market.init_asset_weight
|
|
spot_maint_asset_weight = group_slot.spot_market.maint_asset_weight
|
|
spot_init_liab_weight = group_slot.spot_market.init_liab_weight
|
|
spot_maint_liab_weight = group_slot.spot_market.maint_liab_weight
|
|
elif slot.base_instrument == self.shared_quote_token:
|
|
spot_init_asset_weight = Decimal(1)
|
|
spot_maint_asset_weight = Decimal(1)
|
|
spot_init_liab_weight = Decimal(1)
|
|
spot_maint_liab_weight = Decimal(1)
|
|
|
|
perp_init_asset_weight: Decimal = Decimal(0)
|
|
perp_maint_asset_weight: Decimal = Decimal(0)
|
|
perp_init_liab_weight: Decimal = Decimal(0)
|
|
perp_maint_liab_weight: Decimal = Decimal(0)
|
|
if group_slot is not None and group_slot.perp_market is not None:
|
|
perp_init_asset_weight = group_slot.perp_market.init_asset_weight
|
|
perp_maint_asset_weight = group_slot.perp_market.maint_asset_weight
|
|
perp_init_liab_weight = group_slot.perp_market.init_liab_weight
|
|
perp_maint_liab_weight = group_slot.perp_market.maint_liab_weight
|
|
elif slot.base_instrument == self.shared_quote_token:
|
|
perp_init_asset_weight = Decimal(1)
|
|
perp_maint_asset_weight = Decimal(1)
|
|
perp_init_liab_weight = Decimal(1)
|
|
perp_maint_liab_weight = Decimal(1)
|
|
|
|
base_open_unsettled: Decimal = Decimal(0)
|
|
base_open_locked: Decimal = Decimal(0)
|
|
base_open_total: Decimal = Decimal(0)
|
|
quote_open_unsettled: Decimal = Decimal(0)
|
|
quote_open_locked: Decimal = Decimal(0)
|
|
if spot_open_orders is not None:
|
|
base_open_unsettled = spot_open_orders.base_token_free
|
|
base_open_locked = spot_open_orders.base_token_locked
|
|
base_open_total = spot_open_orders.base_token_total
|
|
quote_open_unsettled = (spot_open_orders.quote_token_free
|
|
+ spot_open_orders.referrer_rebate_accrued)
|
|
quote_open_locked = spot_open_orders.quote_token_locked
|
|
base_total: Decimal = slot.deposit.value - slot.borrow.value + base_open_total
|
|
base_total_value: Decimal = base_total * price.value
|
|
spot_init_value: Decimal
|
|
spot_maint_value: Decimal
|
|
if base_total_value >= 0:
|
|
spot_init_value = base_total_value * spot_init_asset_weight
|
|
spot_maint_value = base_total_value * spot_maint_asset_weight
|
|
else:
|
|
spot_init_value = base_total_value * spot_init_liab_weight
|
|
spot_maint_value = base_total_value * spot_maint_liab_weight
|
|
perp_init_value: Decimal
|
|
perp_maint_value: Decimal
|
|
if perp_health_base >= 0:
|
|
perp_init_value = perp_notional_position * perp_init_asset_weight
|
|
perp_maint_value = perp_notional_position * perp_maint_asset_weight
|
|
perp_init_health_base_value = perp_health_base_value * perp_init_asset_weight
|
|
perp_maint_health_base_value = perp_health_base_value * perp_maint_asset_weight
|
|
else:
|
|
perp_init_value = perp_notional_position * perp_init_liab_weight
|
|
perp_maint_value = perp_notional_position * perp_maint_liab_weight
|
|
perp_init_health_base_value = perp_health_base_value * perp_init_liab_weight
|
|
perp_maint_health_base_value = perp_health_base_value * perp_maint_liab_weight
|
|
data = {
|
|
"Name": slot.base_instrument.name,
|
|
"Symbol": slot.base_instrument.symbol,
|
|
"Spot": base_total,
|
|
"SpotDeposit": slot.deposit.value,
|
|
"SpotBorrow": slot.borrow.value,
|
|
"SpotValue": base_total_value,
|
|
"SpotInitValue": spot_init_value,
|
|
"SpotMaintValue": spot_maint_value,
|
|
"PerpInitValue": perp_init_value,
|
|
"PerpMaintValue": perp_maint_value,
|
|
"BaseUnsettled": base_open_unsettled,
|
|
"BaseLocked": base_open_locked,
|
|
"QuoteUnsettled": quote_open_unsettled,
|
|
"QuoteLocked": quote_open_locked,
|
|
"BaseUnsettledInMarginBasket": base_open_unsettled if slot.index < len(self.in_margin_basket) and self.in_margin_basket[slot.index] else Decimal(0),
|
|
"BaseLockedInMarginBasket": base_open_locked if slot.index < len(self.in_margin_basket) and self.in_margin_basket[slot.index] else Decimal(0),
|
|
"QuoteUnsettledInMarginBasket": quote_open_unsettled if slot.index < len(self.in_margin_basket) and self.in_margin_basket[slot.index] else Decimal(0),
|
|
"QuoteLockedInMarginBasket": quote_open_locked if slot.index < len(self.in_margin_basket) and self.in_margin_basket[slot.index] else Decimal(0),
|
|
"PerpPositionSize": perp_position,
|
|
"PerpNotionalPositionSize": perp_notional_position,
|
|
"PerpValue": perp_value,
|
|
"UnsettledFunding": unsettled_funding,
|
|
"SpotInitAssetWeight": spot_init_asset_weight,
|
|
"SpotMaintAssetWeight": spot_maint_asset_weight,
|
|
"SpotInitLiabilityWeight": spot_init_liab_weight,
|
|
"SpotMaintLiabilityWeight": spot_maint_liab_weight,
|
|
"PerpInitAssetWeight": perp_init_asset_weight,
|
|
"PerpMaintAssetWeight": perp_maint_asset_weight,
|
|
"PerpInitLiabilityWeight": perp_init_liab_weight,
|
|
"PerpMaintLiabilityWeight": perp_maint_liab_weight,
|
|
"SpotHealthBase": spot_health_base,
|
|
"SpotHealthQuote": spot_health_quote,
|
|
"PerpHealthBase": perp_health_base,
|
|
"PerpHealthBaseValue": perp_health_base_value,
|
|
"PerpInitHealthBaseValue": perp_init_health_base_value,
|
|
"PerpMaintHealthBaseValue": perp_maint_health_base_value,
|
|
"PerpHealthQuote": perp_health_quote,
|
|
"PerpAsset": perp_asset,
|
|
"PerpLiability": perp_liability,
|
|
"PerpCurrentValue": perp_current_value,
|
|
}
|
|
asset_data += [data]
|
|
frame: pandas.DataFrame = pandas.DataFrame(asset_data)
|
|
return frame
|
|
|
|
def weighted_assets(self, frame: pandas.DataFrame, weighting_name: str = "") -> typing.Tuple[Decimal, Decimal]:
|
|
non_quote = frame.loc[frame["Symbol"] != self.shared_quote_token.symbol]
|
|
quote = frame.loc[frame["Symbol"] == self.shared_quote_token.symbol, "SpotValue"].sum()
|
|
quote += frame["PerpHealthQuote"].sum()
|
|
quote += frame["QuoteUnsettledInMarginBasket"].sum()
|
|
|
|
assets = Decimal(0)
|
|
liabilities = Decimal(0)
|
|
if quote > 0:
|
|
assets = quote
|
|
else:
|
|
liabilities = quote
|
|
|
|
spot_value_key = f"Spot{weighting_name}Value"
|
|
perp_value_key = f"Perp{weighting_name}HealthBaseValue"
|
|
|
|
liabilities += Account.__sum_neg(non_quote, spot_value_key) + Account.__sum_neg(non_quote, perp_value_key)
|
|
assets += Account.__sum_pos(non_quote, spot_value_key) + Account.__sum_pos(non_quote, perp_value_key)
|
|
|
|
return assets, liabilities
|
|
|
|
def unweighted_assets(self, frame: pandas.DataFrame) -> typing.Tuple[Decimal, Decimal]:
|
|
non_quote = frame.loc[frame["Symbol"] != self.shared_quote_token.symbol]
|
|
quote = frame.loc[frame["Symbol"] == self.shared_quote_token.symbol, "SpotValue"].sum()
|
|
|
|
assets = Decimal(0)
|
|
liabilities = Decimal(0)
|
|
if quote > 0:
|
|
assets = quote
|
|
else:
|
|
liabilities = quote
|
|
|
|
liabilities += Account.__sum_neg(non_quote, "SpotValue") + non_quote['PerpLiability'].sum()
|
|
|
|
assets += Account.__sum_pos(non_quote, "SpotValue") + \
|
|
non_quote['PerpAsset'].sum() + \
|
|
Account.__sum_pos(non_quote, "QuoteUnsettled")
|
|
|
|
return assets, liabilities
|
|
|
|
def init_health(self, frame: pandas.DataFrame) -> Decimal:
|
|
assets, liabilities = self.weighted_assets(frame, "Init")
|
|
return assets + liabilities
|
|
|
|
def maint_health(self, frame: pandas.DataFrame) -> Decimal:
|
|
assets, liabilities = self.weighted_assets(frame, "Maint")
|
|
return assets + liabilities
|
|
|
|
def init_health_ratio(self, frame: pandas.DataFrame) -> Decimal:
|
|
assets, liabilities = self.weighted_assets(frame, "Init")
|
|
if liabilities == 0:
|
|
return Decimal(100)
|
|
|
|
return ((assets / -liabilities) - 1) * 100
|
|
|
|
def maint_health_ratio(self, frame: pandas.DataFrame) -> Decimal:
|
|
assets, liabilities = self.weighted_assets(frame, "Maint")
|
|
if liabilities == 0:
|
|
return Decimal(100)
|
|
|
|
return ((assets / -liabilities) - 1) * 100
|
|
|
|
def total_value(self, frame: pandas.DataFrame) -> Decimal:
|
|
assets, liabilities = self.unweighted_assets(frame)
|
|
|
|
return assets + liabilities
|
|
|
|
def is_liquidatable(self, frame: pandas.DataFrame) -> bool:
|
|
if self.being_liquidated and self.init_health(frame) < 0:
|
|
return True
|
|
elif self.maint_health(frame) < 0:
|
|
return True
|
|
return False
|
|
|
|
def leverage(self, frame: pandas.DataFrame) -> Decimal:
|
|
assets, liabilities = self.unweighted_assets(frame)
|
|
if assets <= 0:
|
|
return Decimal(0)
|
|
return -liabilities / (assets + liabilities)
|
|
|
|
def __str__(self) -> str:
|
|
info = f"'{self.info}'" if self.info else "(un-named)"
|
|
shared_quote: str = f"{self.shared_quote}".replace("\n", "\n ")
|
|
slot_count = len(self.base_slots)
|
|
slots = "\n ".join([f"{item}".replace("\n", "\n ") for item in self.base_slots])
|
|
|
|
symbols: typing.Sequence[str] = [slot.base_instrument.symbol for slot in self.base_slots]
|
|
in_margin_basket = ", ".join(symbols) or "None"
|
|
return f"""« Account {info}, {self.version} [{self.address}]
|
|
{self.meta_data}
|
|
Owner: {self.owner}
|
|
Delegated To: {self.delegate}
|
|
Group: « Group '{self.group_name}' [{self.group_address}] »
|
|
Advanced Orders Account: {self.advanced_orders}
|
|
MSRM: {self.msrm_amount}
|
|
Bankrupt? {self.is_bankrupt}
|
|
Upgradable? {not self.not_upgradable}
|
|
Being Liquidated? {self.being_liquidated}
|
|
Shared Quote Token:
|
|
{shared_quote}
|
|
In Basket: {in_margin_basket}
|
|
Basket [{slot_count} in basket]:
|
|
{slots}
|
|
»"""
|
|
|
|
def __repr__(self) -> str:
|
|
return f"{self}"
|