144 lines
7.0 KiB
Python
144 lines
7.0 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 typing
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from decimal import Decimal
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from .cache import PerpMarketCache
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from .instrumentvalue import InstrumentValue
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from .lotsizeconverter import LotSizeConverter
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from .perpopenorders import PerpOpenOrders
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from .token import Instrument, Token
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# # 🥭 PerpAccount class
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#
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# Perp accounts aren't directly addressable. They exist as a sub-object of a full Mango `Account` object.
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#
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class PerpAccount:
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def __init__(self, base_position: Decimal, quote_position: Decimal, long_settled_funding: Decimal,
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short_settled_funding: Decimal, bids_quantity: Decimal, asks_quantity: Decimal,
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taker_base: Decimal, taker_quote: Decimal, mngo_accrued: InstrumentValue,
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open_orders: PerpOpenOrders, lot_size_converter: LotSizeConverter,
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base_token_value: InstrumentValue, quote_position_raw: Decimal) -> None:
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self.base_position: Decimal = base_position
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self.quote_position: Decimal = quote_position
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self.long_settled_funding: Decimal = long_settled_funding
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self.short_settled_funding: Decimal = short_settled_funding
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self.bids_quantity: Decimal = bids_quantity
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self.asks_quantity: Decimal = asks_quantity
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self.taker_base: Decimal = taker_base
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self.taker_quote: Decimal = taker_quote
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self.mngo_accrued: InstrumentValue = mngo_accrued
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self.open_orders: PerpOpenOrders = open_orders
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self.lot_size_converter: LotSizeConverter = lot_size_converter
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self.base_token_value: InstrumentValue = base_token_value
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self.quote_position_raw: Decimal = quote_position_raw
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@staticmethod
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def from_layout(layout: typing.Any, base_token: Instrument, quote_token: Token, open_orders: PerpOpenOrders, lot_size_converter: LotSizeConverter, mngo_token: Token) -> "PerpAccount":
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base_position: Decimal = layout.base_position
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quote_position: Decimal = layout.quote_position
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long_settled_funding: Decimal = layout.long_settled_funding
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short_settled_funding: Decimal = layout.short_settled_funding
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bids_quantity: Decimal = layout.bids_quantity
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asks_quantity: Decimal = layout.asks_quantity
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taker_base: Decimal = layout.taker_base
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taker_quote: Decimal = layout.taker_quote
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mngo_accrued_raw: Decimal = layout.mngo_accrued
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mngo_accrued: InstrumentValue = InstrumentValue(mngo_token, mngo_token.shift_to_decimals(mngo_accrued_raw))
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base_position_raw = (base_position + taker_base) * lot_size_converter.base_lot_size
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base_token_value: InstrumentValue = InstrumentValue(base_token, base_token.shift_to_decimals(base_position_raw))
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quote_position_raw: Decimal = quote_token.shift_to_decimals(quote_position)
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return PerpAccount(base_position, quote_position, long_settled_funding, short_settled_funding,
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bids_quantity, asks_quantity, taker_base, taker_quote, mngo_accrued, open_orders,
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lot_size_converter, base_token_value, quote_position_raw)
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@property
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def empty(self) -> bool:
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if self.base_position == Decimal(0) and self.quote_position == Decimal(0) and self.long_settled_funding == Decimal(0) and self.short_settled_funding == Decimal(0) and self.mngo_accrued.value == Decimal(0) and self.open_orders.empty:
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return True
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return False
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def unsettled_funding(self, perp_market_cache: PerpMarketCache) -> Decimal:
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base_position: Decimal = self.base_position
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unsettled: Decimal
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if base_position < 0:
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unsettled = base_position * (perp_market_cache.short_funding - self.short_settled_funding)
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else:
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unsettled = base_position * (perp_market_cache.long_funding - self.long_settled_funding)
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return - self.lot_size_converter.quote.shift_to_decimals(unsettled)
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def asset_value(self, perp_market_cache: PerpMarketCache, price: Decimal) -> Decimal:
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base_position: Decimal = self.lot_size_converter.adjust_to_quote_decimals(self.base_position)
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value: Decimal = Decimal(0)
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if base_position > 0:
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value = base_position * self.lot_size_converter.base_lot_size * price
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value = self.lot_size_converter.quote.shift_to_decimals(value)
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quote_position: Decimal = self.lot_size_converter.quote.shift_to_decimals(self.quote_position)
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quote_position += self.unsettled_funding(perp_market_cache)
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if quote_position > 0:
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value += quote_position
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return value
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def liability_value(self, perp_market_cache: PerpMarketCache, price: Decimal) -> Decimal:
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base_position: Decimal = self.lot_size_converter.adjust_to_quote_decimals(self.base_position)
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value: Decimal = Decimal(0)
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if base_position < 0:
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value = base_position * self.lot_size_converter.base_lot_size * price
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value = self.lot_size_converter.quote.shift_to_decimals(value)
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quote_position: Decimal = self.lot_size_converter.quote.shift_to_decimals(self.quote_position)
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quote_position += self.unsettled_funding(perp_market_cache)
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if quote_position < 0:
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value += quote_position
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return value
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def current_value(self, perp_market_cache: PerpMarketCache, price: Decimal) -> Decimal:
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base_position: Decimal = self.lot_size_converter.adjust_to_quote_decimals(self.base_position)
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value: Decimal = base_position * self.lot_size_converter.base_lot_size * price
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quote_position: Decimal = self.lot_size_converter.quote.shift_to_decimals(self.quote_position)
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quote_position += self.unsettled_funding(perp_market_cache)
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value += quote_position
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return self.lot_size_converter.quote.shift_to_decimals(value)
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def __str__(self) -> str:
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if self.empty:
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return "« PerpAccount (empty) »"
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open_orders = f"{self.open_orders}".replace("\n", "\n ")
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return f"""« PerpAccount
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Base Position: {self.base_token_value}
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Quote Position: {self.quote_position}
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Long Settled Funding: {self.long_settled_funding}
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Short Settled Funding: {self.short_settled_funding}
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Bids Quantity: {self.bids_quantity}
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Asks Quantity: {self.asks_quantity}
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Taker Base: {self.taker_base}
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Taker Quote: {self.taker_quote}
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MNGO Accrued: {self.mngo_accrued}
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OpenOrders:
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{open_orders}
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»"""
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