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Represent orders as strings #6

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Represent orders as strings #6

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86 changes: 49 additions & 37 deletions src/trader.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -8,7 +8,7 @@ use penumbra_crypto::{
dex::{
lp::{
position::{self, Position},
Reserves,
BuyOrder, Reserves, SellOrder,
},
DirectedUnitPair,
},
Expand Down Expand Up @@ -352,37 +352,61 @@ where

// a 1_000scaling factor is applied to keep some of the decimal
// TODO: this is bad lol
let mut scaling_factor = 1_000.0;
let mut mid_price = scaling_factor * (best_ask + best_bid) / 2.0;
// let mut scaling_factor = 1_000.0;
let scaling_factor = 1.0;
let mut mid_price = (best_ask + best_bid) / 2.0;
// let mut mid_price = scaling_factor * (best_ask + best_bid) / 2.0;

// apply more scaling factor if necessary
while mid_price < 1.0 {
scaling_factor *= 1_000.0;
mid_price *= 1_000.0;
}
// while mid_price < 1.0 {
// scaling_factor *= 1_000.0;
// mid_price *= 1_000.0;
// }

// Calculate spread:
let difference = scaling_factor * (best_ask - best_bid).abs();
let fraction = difference / mid_price;
// max of 50% fee
let spread = (fraction * 100.0 * 100.0).clamp(0.0, 5000.0);

let numer_scaler = market.start.unit_amount().value();
let denom_scaler = market.end.unit_amount().value();

let pos = Position::new(
OsRng,
market.into_directed_trading_pair(),
spread as u32,
// p is always the scaling value
(scaling_factor as u128 * denom_scaler).into(),
// price is expressed in units of asset 2
(mid_price as u128 * numer_scaler).into(),
reserves,
// min of 1% fee
let spread = (fraction * 100.0 * 100.0).clamp(100.0, 5000.0);

let asset1_scaler = market.start.unit_amount().value();
let asset2_scaler = market.end.unit_amount().value();

// Place two sell-side orders, one selling asset 1 and one selling
// asset 2 (since we can't place reserves on both sides in this API).
let sell_order1 = format!(
"{}{}@{}{}/{}bps",
reserves.r2 / asset2_scaler.into(),
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market.end,
mid_price,
market.start,
spread
);
tracing::info!("parsing sell order: {}", sell_order1);
let sell_order1 = SellOrder::parse_str(&sell_order1)?;
let sell_pos1 = sell_order1.into_position(OsRng);

tracing::trace!(?sell_pos1, "opening sell position");
tracing::info!(?sell_pos1, "opening sell position");
plan = plan.position_open(sell_pos1);

let sell_order2 = format!(
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Consider making this a buy order, that way you don't have to invert the midprice, and it's clear that osiris opens a buy + sell to quote each side!

"{}{}@{}{}/{}bps",
reserves.r1 / asset1_scaler.into(),
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market.start,
// the mid price is inverted for the other direction
1.0 / mid_price,
market.end,
spread
);
tracing::info!("parsing sell order: {}", sell_order2);
let sell_order2 = SellOrder::parse_str(&sell_order2)?;
let sell_pos2 = sell_order2.into_position(OsRng);

tracing::trace!(?pos, "opening position");
plan = plan.position_open(pos);
tracing::trace!(?sell_pos2, "opening sell position");
tracing::info!(?sell_pos2, "opening sell position");
plan = plan.position_open(sell_pos2);

Ok(())
}
Expand Down Expand Up @@ -417,12 +441,6 @@ where
.unspent_notes_by_address_and_asset(self.fvk.account_group_id())
.await?;

fn is_closed_position_nft(denom: &Denom) -> bool {
let prefix = format!("lpnft_closed_");

denom.starts_with(&prefix)
}

// TODO: we query the view server for this too much, maybe
// we should hang on to it somewhere
let asset_cache = self.view.assets().await?;
Expand All @@ -443,7 +461,7 @@ where
}

(*index == AddressIndex::from(self.account))
&& is_closed_position_nft(base_denom.unwrap())
&& base_denom.unwrap().is_closed_position_nft()
})
.map(|record| {
asset_cache
Expand Down Expand Up @@ -483,12 +501,6 @@ where
.unspent_notes_by_address_and_asset(self.fvk.account_group_id())
.await?;

fn is_opened_position_nft(denom: &Denom) -> bool {
let prefix = format!("lpnft_opened_");

denom.starts_with(&prefix)
}

// TODO: we query the view server for this too much, maybe
// we should hang on to it somewhere
let asset_cache = self.view.assets().await?;
Expand All @@ -509,7 +521,7 @@ where
}

(*index == AddressIndex::from(self.account))
&& is_opened_position_nft(base_denom.unwrap())
&& base_denom.unwrap().is_opened_position_nft()
})
.map(|record| {
asset_cache
Expand Down