138 lines
4.5 KiB
Python
138 lines
4.5 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://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 rx
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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 .market import Market
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# # 🥭 Oracles
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#
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# This file deals with fetching prices from exchanges and oracles.
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#
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# # 🥭 SupportedOracleFeature enum
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#
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# Some oracles provide a mid price. Some provide bid and ask but no mid price. Some provide a confidence score.
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# Some done. This enum allows an oracle to say which features it supports.
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#
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class SupportedOracleFeature(enum.Flag):
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MID_PRICE = enum.auto()
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TOP_BID_AND_OFFER = enum.auto()
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CONFIDENCE = enum.auto()
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# # 🥭 OracleSource class
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#
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# This class describes an oracle and can be used to tell apart `Prices` from different `Oracle`s
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# apart.
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#
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class OracleSource():
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def __init__(self, provider_name: str, source_name: str, supports: SupportedOracleFeature, market: Market) -> None:
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self.provider_name = provider_name
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self.source_name = source_name
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self.supports: SupportedOracleFeature = supports
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self.market = market
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def __str__(self) -> str:
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return f"« OracleSource '{self.source_name}' from '{self.provider_name}' for market '{self.market.symbol}' [{self.supports}] »"
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 Price class
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#
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# This class contains all relevant info for a price.
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#
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class Price():
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def __init__(self, source: OracleSource, timestamp: datetime, market: Market, top_bid: Decimal, mid_price: Decimal, top_ask: Decimal, confidence: Decimal) -> None:
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self.source: OracleSource = source
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self.timestamp: datetime = timestamp
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self.market: Market = market
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self.top_bid: Decimal = top_bid
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self.mid_price: Decimal = mid_price
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self.top_ask: Decimal = top_ask
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self.confidence: Decimal = confidence
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@property
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def spread(self) -> Decimal:
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return (self.top_ask - self.top_bid) / 2
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def __str__(self) -> str:
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confidence = ""
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if self.source.supports & SupportedOracleFeature.CONFIDENCE:
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confidence = f" +/- {self.confidence:,.8f}"
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return f"{self.timestamp} [{self.source.provider_name}] {self.market.symbol}: {self.mid_price:,.8f}{confidence}"
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def __repr__(self) -> str:
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return f"{self}"
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# # 🥭 Oracle class
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#
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# Derived versions of this class can fetch prices for a specific market.
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#
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class Oracle(metaclass=abc.ABCMeta):
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def __init__(self, name: str, market: Market) -> None:
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self.logger: logging.Logger = logging.getLogger(self.__class__.__name__)
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self.name = name
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self.market = 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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@abc.abstractmethod
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def fetch_price(self, context: Context) -> Price:
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raise NotImplementedError("Oracle.fetch_price() is not implemented on the base type.")
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@abc.abstractmethod
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def to_streaming_observable(self, context: Context) -> rx.core.typing.Observable:
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raise NotImplementedError("Oracle.fetch_price() is not implemented on the base type.")
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# # 🥭 OracleProvider class
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#
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# Derived versions of this class allow creation of oracles for markets.
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#
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class OracleProvider(metaclass=abc.ABCMeta):
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def __init__(self, name: str) -> None:
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self.name = name
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@abc.abstractmethod
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def oracle_for_market(self, context: Context, market: Market) -> typing.Optional[Oracle]:
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raise NotImplementedError("OracleProvider.create_oracle_for_market() is not implemented on the base type.")
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@abc.abstractmethod
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def all_available_symbols(self, context: Context) -> typing.Sequence[str]:
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raise NotImplementedError("OracleProvider.all_available_symbols() is not implemented on the base type.")
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