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price trigger fixes

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tim
2024-10-13 18:27:19 -04:00
parent 48af1455b2
commit d4ee0a0bc1
1 changed files with 8 additions and 13 deletions
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21
src/dexorder/order/triggers.py
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@@ -223,7 +223,7 @@ async def input_amount_is_sufficient(order, token_balance):
if price is None: if price is None:
return token_balance > 0 # we don't know the price so we allow any nonzero amount to be sufficient return token_balance > 0 # we don't know the price so we allow any nonzero amount to be sufficient
pool = await get_pool(order.pool_address) pool = await get_pool(order.pool_address)
price *= dec(10) ** dec(-pool['decimals']) price *= dec(10) ** -pool['decimals']
inverted = order.order.tokenIn != pool['base'] inverted = order.order.tokenIn != pool['base']
minimum = dec(order.min_fill_amount)*price if inverted else dec(order.min_fill_amount)/price minimum = dec(order.min_fill_amount)*price if inverted else dec(order.min_fill_amount)/price
log.debug(f'order minimum amount is {order.min_fill_amount} '+ ("input" if order.amount_is_input else f"output @ {price} = {minimum} ")+f'< {token_balance} balance') log.debug(f'order minimum amount is {order.min_fill_amount} '+ ("input" if order.amount_is_input else f"output @ {price} = {minimum} ")+f'< {token_balance} balance')
@@ -323,23 +323,21 @@ class PriceLineTrigger (Trigger):
by_pool: dict[str,set['PriceLineTrigger']] = defaultdict(set) by_pool: dict[str,set['PriceLineTrigger']] = defaultdict(set)
@staticmethod @staticmethod
def create(tk: TrancheKey, scale: dec, inverted: bool, price: dec, line: Line, is_min: bool, is_barrier: bool): def create(tk: TrancheKey, inverted: bool, price: dec, line: Line, is_min: bool, is_barrier: bool):
if line.intercept == 0 and line.slope == 0: if line.intercept == 0 and line.slope == 0:
return None # no constraint (deactivated) return None # no constraint (deactivated)
return PriceLineTrigger(tk, scale, inverted, line, is_min, is_barrier, price) return PriceLineTrigger(tk, inverted, line, is_min, is_barrier, price)
def __init__(self, tk: TrancheKey, scale: dec, inverted: bool, line: Line, is_min: bool, is_barrier: bool, price_now: dec): def __init__(self, tk: TrancheKey, inverted: bool, line: Line, is_min: bool, is_barrier: bool, price_now: dec):
if is_barrier: if is_barrier:
log.warning('Barriers not supported') log.warning('Barriers not supported')
value_now = line.intercept + line.slope * current_clock.get().timestamp value_now = line.intercept + line.slope * current_clock.get().timestamp
price_now = float(price_now) price_now = float(price_now)
if inverted: if inverted:
price_now = 1/price_now price_now = 1/price_now
price_now *= scale
activated = value_now < price_now if is_min else value_now > price_now activated = value_now < price_now if is_min else value_now > price_now
log.debug(f'initial price line {value_now} {"<" if is_min else ">"} {price_now} {activated}') log.debug(f'initial price line {value_now} {"<" if is_min else ">"} {price_now} {activated}')
super().__init__(3 if is_min else 4, tk, activated) super().__init__(3 if is_min else 4, tk, activated)
self.scale = scale
self.inverted = inverted self.inverted = inverted
self.line = line self.line = line
self.is_min = is_min self.is_min = is_min
@@ -376,7 +374,7 @@ class PriceLineTrigger (Trigger):
PriceLineTrigger.y.append(price) PriceLineTrigger.y.append(price)
PriceLineTrigger.m.append(self.line.slope) PriceLineTrigger.m.append(self.line.slope)
PriceLineTrigger.b.append(self.line.intercept) PriceLineTrigger.b.append(self.line.intercept)
PriceLineTrigger.sign.append(1 if (self.is_min != self.inverted) else -1) PriceLineTrigger.sign.append(1 if self.is_min else -1)
PriceLineTrigger.triggers.append(self) PriceLineTrigger.triggers.append(self)
PriceLineTrigger.triggers_set.add(self) PriceLineTrigger.triggers_set.add(self)
else: else:
@@ -459,14 +457,11 @@ class TrancheTrigger:
else: else:
# tranche minLine and maxLine are relative to the pool and will be flipped from the orderspec if the # tranche minLine and maxLine are relative to the pool and will be flipped from the orderspec if the
# order is buying the base and selling the quote. # order is buying the base and selling the quote.
price = pool_prices[pool['address']] price = pool_prices[pool['address']] * dec(10) ** -pool['decimals']
scale = 10 ** -pool['decimals']
inverted = order.order.tokenIn != pool['base'] inverted = order.order.tokenIn != pool['base']
assert inverted and order.order.tokenIn == pool['quote'] or not inverted and order.order.tokenIn == pool['base'] assert inverted and order.order.tokenIn == pool['quote'] or not inverted and order.order.tokenIn == pool['base']
min_trigger = PriceLineTrigger.create(tk, scale, inverted, price, tranche.minLine, True, min_trigger = PriceLineTrigger.create(tk, inverted, price, tranche.minLine, True, tranche.minIsBarrier)
tranche.minIsBarrier) max_trigger = PriceLineTrigger.create(tk, inverted, price, tranche.maxLine, False, tranche.maxIsBarrier)
max_trigger = PriceLineTrigger.create(tk, scale, inverted, price, tranche.maxLine, False,
tranche.maxIsBarrier)
return TrancheTrigger(order, tk, balance_trigger, activation_trigger, expiration_trigger, min_trigger, max_trigger) return TrancheTrigger(order, tk, balance_trigger, activation_trigger, expiration_trigger, min_trigger, max_trigger)
def __init__(self, order: Order, tk: TrancheKey, def __init__(self, order: Order, tk: TrancheKey,