97 lines
3.5 KiB
Python
97 lines
3.5 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://markets/) support is available at:
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# [Docs](https://docs.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 rx
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import rx.operators as ops
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import typing
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from datetime import datetime
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from decimal import Decimal
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from ...context import Context
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from ...ensuremarketloaded import ensure_market_loaded
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from ...loadedmarket import LoadedMarket
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from ...market import Market
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from ...observables import observable_pipeline_error_reporter
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from ...oracle import Oracle, OracleProvider, OracleSource, Price, SupportedOracleFeature
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from ...orders import Order, Side
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# # 🥭 Market
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#
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# This file contains code for a 'market' oracle. A market can be one of:
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# * Serum market
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# * Mango spot market
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# * Mango perp market
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#
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# # 🥭 MarketOracleConfidence constant
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#
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# Market doesn't provide a confidence value.
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#
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MarketOracleConfidence: Decimal = Decimal(0)
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# # 🥭 MarketOracle class
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#
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# Implements the `Oracle` abstract base class specialised to the Mango market.
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#
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class MarketOracle(Oracle):
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def __init__(self, market: LoadedMarket):
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name = f"Market Oracle for {market.symbol}"
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super().__init__(name, market)
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self.loaded_market: LoadedMarket = market
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features: SupportedOracleFeature = SupportedOracleFeature.TOP_BID_AND_OFFER
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self.source: OracleSource = OracleSource("Market", name, features, market)
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def fetch_price(self, context: Context) -> Price:
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orders: typing.Sequence[Order] = self.loaded_market.orders(context)
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top_bid = max([order.price for order in orders if order.side == Side.BUY])
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top_ask = min([order.price for order in orders if order.side == Side.SELL])
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mid_price = (top_bid + top_ask) / 2
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return Price(self.source, datetime.now(), self.market, top_bid, mid_price, top_ask, MarketOracleConfidence)
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def to_streaming_observable(self, context: Context) -> rx.core.Observable:
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return rx.interval(1).pipe(
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ops.observe_on(context.create_thread_pool_scheduler()),
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ops.start_with(-1),
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ops.map(lambda _: self.fetch_price(context)),
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ops.catch(observable_pipeline_error_reporter),
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ops.retry(),
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)
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# # 🥭 MarketOracleProvider class
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#
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# Implements the `OracleProvider` abstract base class specialised to the Mango markets.
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#
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class MarketOracleProvider(OracleProvider):
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def __init__(self) -> None:
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super().__init__("Market Oracle Factory")
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def oracle_for_market(self, context: Context, market: Market) -> typing.Optional[Oracle]:
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loaded_market: LoadedMarket = ensure_market_loaded(context, market)
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return MarketOracle(loaded_market)
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def all_available_symbols(self, context: Context) -> typing.Sequence[str]:
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all_markets = context.market_lookup.all_markets()
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symbols: typing.List[str] = []
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for market in all_markets:
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symbols += [market.symbol]
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return symbols
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