125 lines
6.1 KiB
Python
125 lines
6.1 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 logging
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import mango
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import traceback
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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 ..observables import EventSource
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from .orderreconciler import OrderReconciler
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from .orderchain.chain import Chain
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# # 🥭 MarketMaker class
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#
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# An event-driven market-maker.
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#
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class MarketMaker:
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def __init__(self, wallet: mango.Wallet, market: mango.Market,
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market_instruction_builder: mango.MarketInstructionBuilder,
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desired_orders_chain: Chain, order_reconciler: OrderReconciler,
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redeem_threshold: typing.Optional[Decimal]) -> None:
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self._logger: logging.Logger = logging.getLogger(self.__class__.__name__)
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self.wallet: mango.Wallet = wallet
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self.market: mango.Market = market
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self.market_instruction_builder: mango.MarketInstructionBuilder = market_instruction_builder
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self.desired_orders_chain: Chain = desired_orders_chain
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self.order_reconciler: OrderReconciler = order_reconciler
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self.redeem_threshold: typing.Optional[Decimal] = redeem_threshold
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self.pulse_complete: EventSource[datetime] = EventSource[datetime]()
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self.pulse_error: EventSource[Exception] = EventSource[Exception]()
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self.buy_client_ids: typing.List[int] = []
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self.sell_client_ids: typing.List[int] = []
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def pulse(self, context: mango.Context, model_state: mango.ModelState) -> None:
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try:
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self._logger.debug(f"[{context.name}] Pulse started with oracle price:\n {model_state.price}")
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payer = mango.CombinableInstructions.from_wallet(self.wallet)
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desired_orders = self.desired_orders_chain.process(context, model_state)
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# This is here to give the orderchain the chance to look at state and set `not_quoting`. Any
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# element in the orderchain can set this, rather than just return an empty list of desired
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# orders, knowing it won't be accidentally changed by subsequent elements returning orders.
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#
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# It also gives the opportunity to code outside the orderchain to set `not_quoting` if that
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# code has access to the `model_state`.
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if model_state.not_quoting:
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self._logger.info(f"[{context.name}] Market-maker not quoting - model_state.not_quoting is set.")
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return
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existing_orders = model_state.current_orders()
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self._logger.debug(f"""Before reconciliation: all owned orders on current orderbook [{model_state.market.symbol}]:
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{mango.indent_collection_as_str(existing_orders)}""")
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reconciled = self.order_reconciler.reconcile(model_state, existing_orders, desired_orders)
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self._logger.debug(f"""After reconciliation
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Keep:
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{mango.indent_collection_as_str(reconciled.to_keep)}
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Cancel:
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{mango.indent_collection_as_str(reconciled.to_cancel)}
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Place:
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{mango.indent_collection_as_str(reconciled.to_place)}
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Ignore:
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{mango.indent_collection_as_str(reconciled.to_ignore)}""")
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cancellations = mango.CombinableInstructions.empty()
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for to_cancel in reconciled.to_cancel:
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self._logger.info(f"Cancelling {self.market.symbol} {to_cancel}")
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cancel = self.market_instruction_builder.build_cancel_order_instructions(to_cancel, ok_if_missing=True)
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cancellations += cancel
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place_orders = mango.CombinableInstructions.empty()
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for to_place in reconciled.to_place:
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desired_client_id: int = context.generate_client_id()
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to_place_with_client_id = to_place.with_client_id(desired_client_id)
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self._logger.info(f"Placing {self.market.symbol} {to_place_with_client_id}")
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place_order = self.market_instruction_builder.build_place_order_instructions(to_place_with_client_id)
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place_orders += place_order
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crank = self.market_instruction_builder.build_crank_instructions([])
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settle = self.market_instruction_builder.build_settle_instructions()
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redeem = mango.CombinableInstructions.empty()
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if self.redeem_threshold is not None and model_state.inventory.liquidity_incentives.value > self.redeem_threshold:
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redeem = self.market_instruction_builder.build_redeem_instructions()
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# Don't bother if we have no orders to change
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if len(cancellations.instructions) + len(place_orders.instructions) > 0:
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(payer + cancellations + place_orders + crank + settle + redeem).execute(context)
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self.pulse_complete.on_next(datetime.now())
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except (mango.RateLimitException, mango.NodeIsBehindException, mango.BlockhashNotFoundException, mango.FailedToFetchBlockhashException) as common_exception:
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# Don't bother with a long traceback for these common problems.
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self._logger.error(f"[{context.name}] Market-maker problem on pulse: {common_exception}")
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self.pulse_error.on_next(common_exception)
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except Exception as exception:
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self._logger.error(f"[{context.name}] Market-maker error on pulse:\n{traceback.format_exc()}")
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self.pulse_error.on_next(exception)
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def __str__(self) -> str:
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return f"""« MarketMaker for market '{self.market.symbol}' »"""
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def __repr__(self) -> str:
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return f"{self}"
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