157 lines
8.6 KiB
Python
157 lines
8.6 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 decimal import Decimal
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from mango.marketmaking.modelstate import ModelState
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# # 🥭 SimpleMarketMaker 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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spread_ratio: Decimal, position_size_ratio: Decimal):
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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.spread_ratio: Decimal = spread_ratio
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self.position_size_ratio: Decimal = position_size_ratio
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self.buys = []
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self.sells = []
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def calculate_order_prices(self, model_state: ModelState):
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price: mango.Price = model_state.price
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bid = price.mid_price - (price.mid_price * self.spread_ratio)
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ask = price.mid_price + (price.mid_price * self.spread_ratio)
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return (bid, ask)
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def calculate_order_sizes(self, model_state: ModelState):
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price: mango.Price = model_state.price
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inventory: typing.Sequence[typing.Optional[mango.TokenValue]] = model_state.account.net_assets
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base_tokens: typing.Optional[mango.TokenValue] = mango.TokenValue.find_by_token(inventory, price.market.base)
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if base_tokens is None:
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raise Exception(f"Could not find market-maker base token {price.market.base.symbol} in inventory.")
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quote_tokens: typing.Optional[mango.TokenValue] = mango.TokenValue.find_by_token(inventory, price.market.quote)
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if quote_tokens is None:
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raise Exception(f"Could not find market-maker quote token {price.market.quote.symbol} in inventory.")
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total = (base_tokens.value * price.mid_price) + quote_tokens.value
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position_size = total * self.position_size_ratio
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buy_size = position_size / price.mid_price
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sell_size = position_size / price.mid_price
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return (buy_size, sell_size)
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def pulse_perp(self, context: mango.Context, model_state: ModelState):
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try:
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bid, ask = self.calculate_order_prices(model_state)
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buy_size, sell_size = self.calculate_order_sizes(model_state)
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payer = mango.InstructionData.from_wallet(self.wallet)
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perp_market = model_state.perp_market
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perp_account = model_state.account.perp_accounts[perp_market.market_index]
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cancellations = mango.InstructionData.empty()
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print("Client IDs", [client_id for client_id in perp_account.open_orders.client_order_ids if client_id != 0])
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for client_order_id in perp_account.open_orders.client_order_ids:
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if client_order_id != 0:
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self.logger.info(f"Cancelling order with client ID: {client_order_id}")
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order = mango.Order(id=0, client_id=client_order_id, owner=self.wallet.address,
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side=mango.Side.BUY, price=Decimal(0), size=Decimal(0))
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cancel = mango.build_cancel_perp_order_instructions(
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context, self.wallet, model_state.account, perp_market, order)
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cancellations += cancel
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buy_client_id = context.random_client_id()
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buy = mango.build_place_perp_order_instructions(
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context, self.wallet, model_state.group, model_state.account, perp_market, bid, buy_size, buy_client_id, mango.Side.BUY, mango.OrderType.LIMIT)
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self.logger.info(f"Placing BUY order for {buy_size} at price {bid} with client ID: {buy_client_id}")
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sell_client_id = context.random_client_id()
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sell = mango.build_place_perp_order_instructions(
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context, self.wallet, model_state.group, model_state.account, perp_market, ask, sell_size, sell_client_id, mango.Side.SELL, mango.OrderType.LIMIT)
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self.logger.info(f"Placing SELL order for {sell_size} at price {ask} with client ID: {sell_client_id}")
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crank = mango.build_mango_consume_events_instructions(
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context, self.wallet, model_state.group, model_state.account, model_state.perp_market)
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(payer + cancellations + buy + sell + crank).execute(context)
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except Exception as exception:
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self.logger.error(f"Market-maker error on pulse: {exception} - {traceback.format_exc()}")
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def pulse_spot(self, context: mango.Context, model_state: ModelState):
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try:
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bid, ask = self.calculate_order_prices(model_state)
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buy_size, sell_size = self.calculate_order_sizes(model_state)
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payer = mango.InstructionData.from_wallet(self.wallet)
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srm = context.token_lookup.find_by_symbol("SRM")
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if srm is None:
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fee_discount_token_account_address = None
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else:
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fee_discount_token_account = mango.TokenAccount.fetch_largest_for_owner_and_token(
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context, self.wallet.address, srm)
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fee_discount_token_account_address = fee_discount_token_account.address
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cancellations = mango.InstructionData.empty()
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for order_id in model_state.spot_open_orders.orders:
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if order_id != 0:
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side = mango.Side.BUY if order_id in self.buys else mango.Side.SELL
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self.logger.info(f"Cancelling order with client ID: {order_id}")
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order = mango.Order(id=order_id, client_id=0, owner=self.wallet.address,
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side=mango.Side.BUY, price=Decimal(0), size=Decimal(0))
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cancel = mango.build_cancel_spot_order_instructions(
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context, self.wallet, model_state.group, model_state.account, model_state.spot_market, order, model_state.spot_open_orders.address)
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cancellations += cancel
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buy_client_id = context.random_client_id()
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buy = mango.build_spot_place_order_instructions(context, self.wallet, model_state.group,
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model_state.account, model_state.spot_market,
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mango.OrderType.LIMIT,
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mango.Side.BUY, bid, buy_size, buy_client_id,
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fee_discount_token_account_address)
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self.buys += [buy_client_id]
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self.logger.info(f"Placing BUY order for {buy_size} at price {bid} with client ID: {buy_client_id}")
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sell_client_id = context.random_client_id()
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sell = mango.build_spot_place_order_instructions(context, self.wallet, model_state.group,
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model_state.account, model_state.spot_market,
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mango.OrderType.LIMIT,
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mango.Side.SELL, ask, sell_size, sell_client_id,
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fee_discount_token_account_address)
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self.sells += [sell_client_id]
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self.logger.info(f"Placing SELL order for {sell_size} at price {ask} with client ID: {sell_client_id}")
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open_orders_addresses = list([oo for oo in model_state.account.spot_open_orders if oo is not None])
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crank = mango.build_serum_consume_events_instructions(
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context, self.wallet, model_state.spot_market, open_orders_addresses)
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(payer + cancellations + buy + sell + crank).execute(context)
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except Exception as exception:
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self.logger.error(f"Market-maker error on pulse: {exception} - {traceback.format_exc()}")
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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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