209 lines
7.6 KiB
Python
209 lines
7.6 KiB
Python
# # ⚠ Warning
|
|
#
|
|
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
|
|
# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
|
|
# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
|
|
# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
|
|
# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
|
|
#
|
|
# [🥭 Mango Markets](https://mango.markets/) support is available at:
|
|
# [Docs](https://docs.mango.markets/)
|
|
# [Discord](https://discord.gg/67jySBhxrg)
|
|
# [Twitter](https://twitter.com/mangomarkets)
|
|
# [Github](https://github.com/blockworks-foundation)
|
|
# [Email](mailto:hello@blockworks.foundation)
|
|
|
|
import typing
|
|
|
|
from decimal import Decimal
|
|
|
|
from .cache import PerpMarketCache
|
|
from .instrumentvalue import InstrumentValue
|
|
from .lotsizeconverter import LotSizeConverter
|
|
from .perpopenorders import PerpOpenOrders
|
|
from .tokens import Instrument, Token
|
|
|
|
|
|
# # 🥭 PerpAccount class
|
|
#
|
|
# Perp accounts aren't directly addressable. They exist as a sub-object of a full Mango `Account` object.
|
|
#
|
|
class PerpAccount:
|
|
def __init__(
|
|
self,
|
|
base_position: Decimal,
|
|
quote_position: Decimal,
|
|
long_settled_funding: Decimal,
|
|
short_settled_funding: Decimal,
|
|
bids_quantity: Decimal,
|
|
asks_quantity: Decimal,
|
|
taker_base: Decimal,
|
|
taker_quote: Decimal,
|
|
mngo_accrued: InstrumentValue,
|
|
open_orders: PerpOpenOrders,
|
|
lot_size_converter: LotSizeConverter,
|
|
base_token_value: InstrumentValue,
|
|
quote_position_raw: Decimal,
|
|
) -> None:
|
|
self.base_position: Decimal = base_position
|
|
self.quote_position: Decimal = quote_position
|
|
self.long_settled_funding: Decimal = long_settled_funding
|
|
self.short_settled_funding: Decimal = short_settled_funding
|
|
self.bids_quantity: Decimal = bids_quantity
|
|
self.asks_quantity: Decimal = asks_quantity
|
|
self.taker_base: Decimal = taker_base
|
|
self.taker_quote: Decimal = taker_quote
|
|
self.mngo_accrued: InstrumentValue = mngo_accrued
|
|
self.open_orders: PerpOpenOrders = open_orders
|
|
self.lot_size_converter: LotSizeConverter = lot_size_converter
|
|
self.base_token_value: InstrumentValue = base_token_value
|
|
self.quote_position_raw: Decimal = quote_position_raw
|
|
|
|
@staticmethod
|
|
def from_layout(
|
|
layout: typing.Any,
|
|
base_token: Instrument,
|
|
quote_token: Token,
|
|
open_orders: PerpOpenOrders,
|
|
lot_size_converter: LotSizeConverter,
|
|
mngo_token: Token,
|
|
) -> "PerpAccount":
|
|
base_position: Decimal = layout.base_position
|
|
quote_position: Decimal = layout.quote_position
|
|
long_settled_funding: Decimal = layout.long_settled_funding
|
|
short_settled_funding: Decimal = layout.short_settled_funding
|
|
bids_quantity: Decimal = layout.bids_quantity
|
|
asks_quantity: Decimal = layout.asks_quantity
|
|
taker_base: Decimal = layout.taker_base
|
|
taker_quote: Decimal = layout.taker_quote
|
|
mngo_accrued_raw: Decimal = layout.mngo_accrued
|
|
mngo_accrued: InstrumentValue = InstrumentValue(
|
|
mngo_token, mngo_token.shift_to_decimals(mngo_accrued_raw)
|
|
)
|
|
|
|
base_position_raw = (
|
|
base_position + taker_base
|
|
) * lot_size_converter.base_lot_size
|
|
base_token_value: InstrumentValue = InstrumentValue(
|
|
base_token, base_token.shift_to_decimals(base_position_raw)
|
|
)
|
|
|
|
quote_position_raw: Decimal = quote_token.shift_to_decimals(quote_position)
|
|
|
|
return PerpAccount(
|
|
base_position,
|
|
quote_position,
|
|
long_settled_funding,
|
|
short_settled_funding,
|
|
bids_quantity,
|
|
asks_quantity,
|
|
taker_base,
|
|
taker_quote,
|
|
mngo_accrued,
|
|
open_orders,
|
|
lot_size_converter,
|
|
base_token_value,
|
|
quote_position_raw,
|
|
)
|
|
|
|
@property
|
|
def empty(self) -> bool:
|
|
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
|
|
):
|
|
return True
|
|
return False
|
|
|
|
def unsettled_funding(self, perp_market_cache: PerpMarketCache) -> Decimal:
|
|
base_position: Decimal = self.base_position
|
|
unsettled: Decimal
|
|
if base_position < 0:
|
|
unsettled = base_position * (
|
|
perp_market_cache.short_funding - self.short_settled_funding
|
|
)
|
|
else:
|
|
unsettled = base_position * (
|
|
perp_market_cache.long_funding - self.long_settled_funding
|
|
)
|
|
return -self.lot_size_converter.quote.shift_to_decimals(unsettled)
|
|
|
|
def asset_value(
|
|
self, perp_market_cache: PerpMarketCache, price: Decimal
|
|
) -> Decimal:
|
|
base_position: Decimal = self.lot_size_converter.adjust_to_quote_decimals(
|
|
self.base_position
|
|
)
|
|
value: Decimal = Decimal(0)
|
|
if base_position > 0:
|
|
value = base_position * self.lot_size_converter.base_lot_size * price
|
|
value = self.lot_size_converter.quote.shift_to_decimals(value)
|
|
|
|
quote_position: Decimal = self.lot_size_converter.quote.shift_to_decimals(
|
|
self.quote_position
|
|
)
|
|
quote_position += self.unsettled_funding(perp_market_cache)
|
|
if quote_position > 0:
|
|
value += quote_position
|
|
|
|
return value
|
|
|
|
def liability_value(
|
|
self, perp_market_cache: PerpMarketCache, price: Decimal
|
|
) -> Decimal:
|
|
base_position: Decimal = self.lot_size_converter.adjust_to_quote_decimals(
|
|
self.base_position
|
|
)
|
|
value: Decimal = Decimal(0)
|
|
if base_position < 0:
|
|
value = base_position * self.lot_size_converter.base_lot_size * price
|
|
value = self.lot_size_converter.quote.shift_to_decimals(value)
|
|
|
|
quote_position: Decimal = self.lot_size_converter.quote.shift_to_decimals(
|
|
self.quote_position
|
|
)
|
|
quote_position += self.unsettled_funding(perp_market_cache)
|
|
if quote_position < 0:
|
|
value += quote_position
|
|
|
|
return value
|
|
|
|
def current_value(
|
|
self, perp_market_cache: PerpMarketCache, price: Decimal
|
|
) -> Decimal:
|
|
base_position: Decimal = self.lot_size_converter.adjust_to_quote_decimals(
|
|
self.base_position
|
|
)
|
|
value: Decimal = base_position * self.lot_size_converter.base_lot_size * price
|
|
|
|
quote_position: Decimal = self.lot_size_converter.quote.shift_to_decimals(
|
|
self.quote_position
|
|
)
|
|
quote_position += self.unsettled_funding(perp_market_cache)
|
|
|
|
value += quote_position
|
|
|
|
return self.lot_size_converter.quote.shift_to_decimals(value)
|
|
|
|
def __str__(self) -> str:
|
|
if self.empty:
|
|
return "« PerpAccount (empty) »"
|
|
open_orders = f"{self.open_orders}".replace("\n", "\n ")
|
|
return f"""« PerpAccount
|
|
Base Position: {self.base_token_value}
|
|
Quote Position: {self.quote_position}
|
|
Long Settled Funding: {self.long_settled_funding}
|
|
Short Settled Funding: {self.short_settled_funding}
|
|
Bids Quantity: {self.bids_quantity}
|
|
Asks Quantity: {self.asks_quantity}
|
|
Taker Base: {self.taker_base}
|
|
Taker Quote: {self.taker_quote}
|
|
MNGO Accrued: {self.mngo_accrued}
|
|
OpenOrders:
|
|
{open_orders}
|
|
»"""
|