215 lines
8.1 KiB
Python
215 lines
8.1 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 abc
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import enum
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import logging
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import pyserum.enums
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import typing
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from decimal import Decimal
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from pyserum.market import Market
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from .context import Context
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from .openorders import OpenOrders
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from .spotmarket import SpotMarket
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from .tokenaccount import TokenAccount
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from .wallet import Wallet
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# # 🥭 OrderPlacer
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#
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# This file deals with placing orders. We want the interface to be simple and basic:
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# ```
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# order_placer.cancel_order(context, market)
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# order_placer.place_order(context, market, side, order_type, price, size)
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# ```
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# This requires the `OrderPlacer` already know a bit about the market it is placing the
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# order on, and the code in the `OrderPlacer` be specialised for that market platform.
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#
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class Side(enum.Enum):
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BUY = enum.auto()
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SELL = enum.auto()
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def __str__(self) -> str:
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return self.name
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def __repr__(self) -> str:
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return f"{self}"
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class OrderType(enum.Enum):
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LIMIT = enum.auto()
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IOC = enum.auto()
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POST_ONLY = enum.auto()
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def __str__(self) -> str:
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return self.name
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def __repr__(self) -> str:
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return f"{self}"
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class Order(typing.NamedTuple):
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id: int
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side: Side
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price: Decimal
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size: Decimal
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# # 🥭 OrderPlacer class
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#
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# This abstracts the process of placing orders, providing a base class for specialised operations.
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#
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# It's abstracted because we may want to have different approaches to placing these
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# orders - do we want to run them against the Serum orderbook? Do we want to run them against
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# Mango groups?
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#
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# Whichever choice is made, the calling code shouldn't have to care. It should be able to
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# use its `OrderPlacer` class as simply as:
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# ```
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# order_placer.place_order(context, side, order_type, price, size)
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# ```
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#
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class OrderPlacer(metaclass=abc.ABCMeta):
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def __init__(self):
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self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
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@abc.abstractmethod
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def cancel_order(self, order: Order) -> None:
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raise NotImplementedError("OrderPlacer.cancel_order() is not implemented on the base type.")
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@abc.abstractmethod
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def place_order(self, side: Side, order_type: OrderType, price: Decimal, size: Decimal) -> Order:
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raise NotImplementedError("OrderPlacer.place_order() is not implemented on the base type.")
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@abc.abstractmethod
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def load_my_orders(self) -> typing.List[Order]:
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raise NotImplementedError("OrderPlacer.load_my_orders() is not implemented on the base type.")
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 NullOrderPlacer class
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#
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# A null, no-op, dry-run trade executor that can be plugged in anywhere a `OrderPlacer`
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# is expected, but which will not actually trade.
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#
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class NullOrderPlacer(OrderPlacer):
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def __init__(self, market_name: str, reporter: typing.Callable[[str], None] = None):
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super().__init__()
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self.market_name: str = market_name
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self.reporter = reporter or (lambda _: None)
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def cancel_order(self, order: Order) -> None:
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report = f"Cancelling order on market {self.market_name}."
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self.logger.info(report)
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self.reporter(report)
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def place_order(self, side: Side, order_type: OrderType, price: Decimal, size: Decimal) -> Order:
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report = f"Placing {order_type} {side} order for size {size} at price {price} on market {self.market_name}."
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self.logger.info(report)
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self.reporter(report)
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return Order(id=0, side=side, price=price, size=size)
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def load_my_orders(self) -> typing.List[Order]:
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return []
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def __str__(self) -> str:
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return f"""« NullOrderPlacer [{self.market_name}] »"""
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# # 🥭 SerumOrderPlacer class
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#
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# This class puts trades on the Serum orderbook. It doesn't do anything complicated.
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#
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class SerumOrderPlacer(OrderPlacer):
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def __init__(self, context: Context, wallet: Wallet, spot_market: SpotMarket, reporter: typing.Callable[[str], None] = None):
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super().__init__()
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self.context: Context = context
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self.wallet: Wallet = wallet
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self.spot_market: SpotMarket = spot_market
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self.market: Market = Market.load(context.client, spot_market.address, context.dex_program_id)
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all_open_orders = OpenOrders.load_for_market_and_owner(
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context, spot_market.address, wallet.address, context.dex_program_id, spot_market.base.decimals, spot_market.quote.decimals)
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if len(all_open_orders) == 0:
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raise Exception(f"No OpenOrders account available for market {spot_market}.")
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self.open_orders = all_open_orders[0]
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def report(text):
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self.logger.info(text)
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reporter(text)
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def just_log(text):
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self.logger.info(text)
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if reporter is not None:
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self.reporter = report
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else:
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self.reporter = just_log
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def cancel_order(self, order: Order) -> None:
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self.reporter(
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f"Cancelling order {order.id} in openorders {self.open_orders.address} on market {self.spot_market.symbol}.")
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try:
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response = self.market.cancel_order_by_client_id(
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self.wallet.account, self.open_orders.address, order.id,
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self.context.transaction_options)
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self.context.unwrap_or_raise_exception(response)
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except Exception as exception:
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self.logger.warning(f"Failed to cancel order {order.id} - continuing. {exception}")
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def place_order(self, side: Side, order_type: OrderType, price: Decimal, size: Decimal) -> Order:
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client_id: int = self.context.random_client_id()
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report: str = f"Placing {order_type} {side} order for size {size} at price {price} on market {self.spot_market.symbol} with ID {client_id}."
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self.logger.info(report)
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self.reporter(report)
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serum_order_type = pyserum.enums.OrderType.POST_ONLY if order_type == OrderType.POST_ONLY else pyserum.enums.OrderType.IOC if order_type == OrderType.IOC else pyserum.enums.OrderType.LIMIT
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serum_side = pyserum.enums.Side.BUY if side == Side.BUY else pyserum.enums.Side.SELL
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payer_token = self.spot_market.quote if side == Side.BUY else self.spot_market.base
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token_account = TokenAccount.fetch_largest_for_owner_and_token(self.context, self.wallet.address, payer_token)
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if token_account is None:
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raise Exception(f"Could not find payer token account for token {payer_token.symbol}.")
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response = self.market.place_order(token_account.address, self.wallet.account,
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serum_order_type, serum_side, float(price), float(size),
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client_id, self.context.transaction_options)
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self.context.unwrap_or_raise_exception(response)
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return Order(id=client_id, side=side, price=price, size=size)
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def load_my_orders(self) -> typing.List[Order]:
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serum_orders = self.market.load_orders_for_owner(self.wallet.address)
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orders: typing.List[Order] = []
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for serum_order in serum_orders:
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price = Decimal(serum_order.info.price)
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size = Decimal(serum_order.info.size)
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side = Side.BUY if serum_order.side == pyserum.enums.Side.BUY else Side.SELL
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order = Order(id=serum_order.client_id, side=side, price=price, size=size)
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orders += [order]
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return orders
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def __str__(self) -> str:
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return f"""« SerumOrderPlacer [{self.spot_market.symbol}] »"""
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