291 lines
10 KiB
Python
291 lines
10 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 logging
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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 .combinableinstructions import CombinableInstructions
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from .constants import SYSTEM_PROGRAM_ADDRESS
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from .loadedmarket import LoadedMarket
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from .lotsizeconverter import NullLotSizeConverter
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from .markets import InventorySource
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from .orders import Order, OrderBook, OrderType, Side
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# # 🥭 MarketOperations
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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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# market_operations.cancel_order(old_order)
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# market_operations.place_order(new_order)
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# ```
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# This requires the `MarketOperations` already know a bit about the market it is placing the
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# order on, and the code in the `MarketOperations` be specialised for that market platform.
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#
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# # 🥭 MarketInstructionBuilder class
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#
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# This abstracts the process of buiding instructions for placing orders and cancelling orders.
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#
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# It's abstracted because we may want to have different implementations for different market types.
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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 `MarketInstructionBuilder` class as simply as:
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# ```
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# instruction_builder.build_cancel_order_instructions(order)
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# ```
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#
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# As a matter of policy for all InstructionBuidlers, construction and build_* methods should all work with
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# existing data, requiring no fetches from Solana or other sources. All necessary data should all be loaded
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# on initial setup in the `load()` method.
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#
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class MarketInstructionBuilder(metaclass=abc.ABCMeta):
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def __init__(self) -> None:
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self._logger: logging.Logger = logging.getLogger(self.__class__.__name__)
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@abc.abstractmethod
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def build_cancel_order_instructions(
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self, order: Order, ok_if_missing: bool = False
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) -> CombinableInstructions:
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raise NotImplementedError(
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"MarketInstructionBuilder.build_cancel_order_instructions() is not implemented on the base type."
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)
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@abc.abstractmethod
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def build_place_order_instructions(self, order: Order) -> CombinableInstructions:
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raise NotImplementedError(
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"MarketInstructionBuilder.build_place_order_instructions() is not implemented on the base type."
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)
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@abc.abstractmethod
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def build_settle_instructions(self) -> CombinableInstructions:
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raise NotImplementedError(
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"MarketInstructionBuilder.build_settle_instructions() is not implemented on the base type."
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)
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@abc.abstractmethod
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def build_crank_instructions(
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self, addresses: typing.Sequence[PublicKey], limit: Decimal = Decimal(32)
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) -> CombinableInstructions:
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raise NotImplementedError(
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"MarketInstructionBuilder.build_crank_instructions() is not implemented on the base type."
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)
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@abc.abstractmethod
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def build_redeem_instructions(self) -> CombinableInstructions:
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raise NotImplementedError(
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"MarketInstructionBuilder.build_redeem_instructions() is not implemented on the base type."
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)
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 MarketOperations 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 `MarketOperations` class as simply as:
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# ```
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# market_operations.place_order(order)
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# ```
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#
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class MarketOperations(metaclass=abc.ABCMeta):
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def __init__(self, market: LoadedMarket) -> None:
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self._logger: logging.Logger = logging.getLogger(self.__class__.__name__)
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self.market: LoadedMarket = market
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@property
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def symbol(self) -> str:
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return self.market.symbol
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@property
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def inventory_source(self) -> InventorySource:
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return self.market.inventory_source
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@abc.abstractmethod
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def cancel_order(
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self, order: Order, ok_if_missing: bool = False
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) -> typing.Sequence[str]:
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raise NotImplementedError(
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"MarketOperations.cancel_order() is not implemented on the base type."
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)
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@abc.abstractmethod
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def place_order(
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self, order: Order, crank_limit: Decimal = Decimal(5)
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) -> typing.Sequence[str]:
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raise NotImplementedError(
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"MarketOperations.place_order() is not implemented on the base type."
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)
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@abc.abstractmethod
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def load_orderbook(self) -> OrderBook:
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raise NotImplementedError(
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"MarketOperations.load_orders() is not implemented on the base type."
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)
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@abc.abstractmethod
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def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
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raise NotImplementedError(
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"MarketOperations.load_my_orders() is not implemented on the base type."
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)
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@abc.abstractmethod
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def settle(self) -> typing.Sequence[str]:
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raise NotImplementedError(
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"MarketOperations.settle() is not implemented on the base type."
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)
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@abc.abstractmethod
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def crank(self, limit: Decimal = Decimal(32)) -> typing.Sequence[str]:
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raise NotImplementedError(
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"MarketOperations.crank() is not implemented on the base type."
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)
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@abc.abstractmethod
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def create_openorders(self) -> PublicKey:
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raise NotImplementedError(
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"MarketOperations.create_openorders() is not implemented on the base type."
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)
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@abc.abstractmethod
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def ensure_openorders(self) -> PublicKey:
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raise NotImplementedError(
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"MarketOperations.ensure_openorders() is not implemented on the base type."
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)
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def market_buy(
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self, quantity: Decimal, max_slippage: Decimal
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) -> typing.Sequence[str]:
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orderbook = self.load_orderbook()
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if orderbook.top_ask is None:
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raise Exception(f"Could not determine top ask on {orderbook.symbol}")
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top_ask = orderbook.top_ask.price
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increase_factor = Decimal(1) + max_slippage
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price = top_ask * increase_factor
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self._logger.info(f"Price {price} - adjusted by {max_slippage} from {top_ask}")
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order = Order.from_basic_info(Side.BUY, price, quantity, OrderType.IOC)
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return self.place_order(order)
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def market_sell(
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self, quantity: Decimal, max_slippage: Decimal
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) -> typing.Sequence[str]:
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orderbook = self.load_orderbook()
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if orderbook.top_bid is None:
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raise Exception(f"Could not determine top bid on {orderbook.symbol}")
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top_bid = orderbook.top_bid.price
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decrease_factor = Decimal(1) - max_slippage
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price = top_bid * decrease_factor
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self._logger.info(f"Price {price} - adjusted by {max_slippage} from {top_bid}")
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order = Order.from_basic_info(Side.SELL, price, quantity, OrderType.IOC)
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return self.place_order(order)
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 NullMarketInstructionBuilder class
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#
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# A null, no-op, dry-run trade executor that can be plugged in anywhere a `MarketInstructionBuilder`
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# is expected, but which will not actually trade.
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#
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class NullMarketInstructionBuilder(MarketInstructionBuilder):
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def __init__(self, symbol: str) -> None:
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super().__init__()
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self.symbol: str = symbol
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def build_cancel_order_instructions(
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self, order: Order, ok_if_missing: bool = False
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) -> CombinableInstructions:
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return CombinableInstructions.empty()
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def build_place_order_instructions(self, order: Order) -> CombinableInstructions:
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return CombinableInstructions.empty()
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def build_settle_instructions(self) -> CombinableInstructions:
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return CombinableInstructions.empty()
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def build_crank_instructions(
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self, addresses: typing.Sequence[PublicKey], limit: Decimal = Decimal(32)
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) -> CombinableInstructions:
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return CombinableInstructions.empty()
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def build_redeem_instructions(self) -> CombinableInstructions:
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return CombinableInstructions.empty()
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def __str__(self) -> str:
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return f"« NullMarketInstructionBuilder {self.symbol} »"
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# # 🥭 NullMarketOperations class
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#
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# A null, no-op, dry-run trade executor that can be plugged in anywhere a `MarketOperations`
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# is expected, but which will not actually trade.
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#
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class NullMarketOperations(MarketOperations):
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def __init__(self, market: LoadedMarket) -> None:
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super().__init__(market)
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def cancel_order(
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self, order: Order, ok_if_missing: bool = False
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) -> typing.Sequence[str]:
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self._logger.info(f"[Dry Run] Not cancelling order {order}.")
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return [""]
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def place_order(
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self, order: Order, crank_limit: Decimal = Decimal(5)
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) -> typing.Sequence[str]:
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self._logger.info(f"[Dry Run] Not placing order {order}.")
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return []
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def load_orderbook(self) -> OrderBook:
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return OrderBook(self.market.symbol, NullLotSizeConverter(), [], [])
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def load_my_orders(self, include_expired: bool = False) -> typing.Sequence[Order]:
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return []
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def settle(self) -> typing.Sequence[str]:
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return []
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def crank(self, limit: Decimal = Decimal(32)) -> typing.Sequence[str]:
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return []
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def create_openorders(self) -> PublicKey:
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return SYSTEM_PROGRAM_ADDRESS
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def ensure_openorders(self) -> PublicKey:
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return SYSTEM_PROGRAM_ADDRESS
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def __str__(self) -> str:
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return f"""« NullMarketOperations [{self.market.symbol}] »"""
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