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fix: stop market-marker self trading (#673)
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* feat: allow cancel all orders feature

* feat: mm cancels all then submits new shape
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@cdummett
cdummett authored May 16, 2024
1 parent bad3658 commit 0f153da
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Showing 3 changed files with 61 additions and 122 deletions.
8 changes: 4 additions & 4 deletions vega_sim/api/trading.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -490,16 +490,16 @@ def order_amendment(


def order_cancellation(
order_id: str,
market_id: str,
order_id: Optional[str] = None,
market_id: Optional[str] = None,
) -> OrderCancellation:
"""Creates a Vega OrderCancellation object.
Args:
order_id (str):
Id of order to cancel.
Id of order to cancel. Defaults to None.
market_id (str):
Id of market containing order to cancel.
Id of market containing order to cancel. Defaults to None.
Returns:
OrderCancellation:
Expand Down
167 changes: 53 additions & 114 deletions vega_sim/scenario/common/agents.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -1285,65 +1285,8 @@ def step(self, vega_state: VegaState):
buy_shape=new_buy_shape, sell_shape=new_sell_shape
)

curr_buy_orders, curr_sell_orders = [], []

if self.orders_from_stream:
orders = (
(
vega_state.market_state[self.market_id]
.orders.get(
self.vega.wallet.public_key(
wallet_name=self.wallet_name, name=self.key_name
),
{},
)
.values()
)
if self.market_id in vega_state.market_state
else []
)
else:
orders = self.vega.list_orders(
wallet_name=self.wallet_name,
key_name=self.key_name,
market_id=self.market_id,
live_only=True,
)

for order in orders:
if order.side == vega_protos.SIDE_BUY:
curr_buy_orders.append(order)
else:
curr_sell_orders.append(order)

# We want to first make the spread wider by moving the side which is in the
# direction of the move (e.g. if price falls, the bids)
first_side = (
(
vega_protos.SIDE_BUY
if scaled_sell_shape[0].price < curr_buy_orders[0].price
else vega_protos.SIDE_SELL
)
if (scaled_sell_shape != []) and (curr_buy_orders != [])
else vega_protos.SIDE_BUY
)
if first_side == vega_protos.SIDE_BUY:
self._move_side(
vega_protos.SIDE_BUY,
curr_buy_orders,
scaled_buy_shape,
)
self._move_side(
vega_protos.SIDE_SELL,
curr_sell_orders,
scaled_sell_shape,
)
if first_side == vega_protos.SIDE_SELL:
self._move_side(
vega_protos.SIDE_BUY,
curr_buy_orders,
scaled_buy_shape,
)
# Cancel all orders on the book then submit new scaled shape
self._update_orders(buys=scaled_buy_shape, sells=scaled_sell_shape)

if (
liq := (
Expand Down Expand Up @@ -1428,74 +1371,63 @@ def _calculate_liquidity(

return provided_liquidity

def _move_side(
def _update_orders(
self,
side: vega_protos.Side,
orders: List[Order],
new_shape: List[MMOrder],
buys: List[MMOrder],
sells: List[MMOrder],
) -> None:
amendments = []
submissions = []
cancellations = []

# Firstly, cancel all existing orders on the market
cancellations = [self.vega.build_order_cancellation(market_id=self.market_id)]

# Secondly, submit all new orders to the market
submissions = []
expires_at = (
int(self.vega.get_blockchain_time() + self.order_validity_length * 1e9)
if self.order_validity_length is not None
else None
)

for i, order in enumerate(new_shape):
if i < len(orders):
order_to_amend = orders[i]

transaction = self.vega.build_order_amendment(
market_id=self.market_id,
order_id=order_to_amend.id,
price=order.price,
time_in_force=(
"TIME_IN_FORCE_GTT"
if self.order_validity_length is not None
else "TIME_IN_FORCE_GTC"
),
size_delta=order.size - order_to_amend.remaining,
expires_at=expires_at,
)

amendments.append(transaction)

else:
transaction = self.vega.build_order_submission(
market_id=self.market_id,
price=order.price,
size=order.size,
order_type="TYPE_LIMIT",
time_in_force=(
"TIME_IN_FORCE_GTT"
if self.order_validity_length is not None
else "TIME_IN_FORCE_GTC"
),
side=side,
expires_at=expires_at,
)

submissions.append(transaction)

if len(orders) > len(new_shape):
for order in orders[len(new_shape) :]:
transaction = self.vega.build_order_cancellation(
order_id=order.id,
market_id=self.market_id,
)

cancellations.append(transaction)
for order in buys:
transaction = self.vega.build_order_submission(
market_id=self.market_id,
price=order.price,
size=order.size,
order_type="TYPE_LIMIT",
time_in_force=(
"TIME_IN_FORCE_GTT"
if self.order_validity_length is not None
else "TIME_IN_FORCE_GTC"
),
side=vega_protos.SIDE_BUY,
expires_at=(
expires_at if self.order_validity_length is not None else None
),
)
submissions.append(transaction)
for order in sells:
transaction = self.vega.build_order_submission(
market_id=self.market_id,
price=order.price,
size=order.size,
order_type="TYPE_LIMIT",
time_in_force=(
"TIME_IN_FORCE_GTT"
if self.order_validity_length is not None
else "TIME_IN_FORCE_GTC"
),
side=vega_protos.SIDE_SELL,
expires_at=(
expires_at if self.order_validity_length is not None else None
),
)
submissions.append(transaction)

if submissions is not []:
self.vega.submit_instructions(
wallet_name=self.wallet_name,
key_name=self.key_name,
amendments=amendments,
submissions=submissions,
cancellations=cancellations,
submissions=submissions,
)

def _update_state(self, current_step: int):
Expand Down Expand Up @@ -3249,6 +3181,9 @@ def step(self, vega_state: VegaState):


class UncrossAuctionAgent(StateAgentWithWallet):

NAME_BASE = "UncrossAuctionAgent"

def __init__(
self,
key_name: str,
Expand Down Expand Up @@ -3338,6 +3273,10 @@ def step(self, vega_state: VegaState):
key_name=self.key_name,
raise_error=False,
)

# Ensure volume maximising range is at least 100bps wide to
# account for any tick rounding causing orders to not cross.
price = 1.01 * curr_price if self.side == "SIDE_BUY" else 0.99 * curr_price
self.vega.submit_order(
trading_key=self.key_name,
trading_wallet=self.wallet_name,
Expand All @@ -3346,7 +3285,7 @@ def step(self, vega_state: VegaState):
time_in_force="TIME_IN_FORCE_GTT",
side=self.side,
volume=self.uncrossing_size,
price=curr_price,
price=price,
wait=False,
)

Expand Down
8 changes: 4 additions & 4 deletions vega_sim/service.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -2625,8 +2625,8 @@ def build_order_amendment(

def build_order_cancellation(
self,
order_id: str,
market_id: str,
order_id: Optional[str] = None,
market_id: Optional[str] = None,
) -> OrderCancellation:
"""Returns a Vega OrderCancellation object
Expand All @@ -2635,9 +2635,9 @@ def build_order_cancellation(
Args:
order_id (str):
Id of order to cancel.
Id of order to cancel. Defaults to None.
market_id (str):
Id of market containing order to cancel.
Id of market containing order to cancel. Defaults to None.
Returns:
OrderCancellation:
Expand Down

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