feat: add asset decimal scaling and tidy up

vegaprotocol · Sep 23, 2024 · 64b59a5 · 64b59a5
1 parent dd8aae8
commit 64b59a5
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Showing 5 changed files with 37 additions and 44 deletions.
diff --git a/vega_query/service/utils/party.py b/vega_query/service/utils/party.py
@@ -60,6 +60,7 @@ def historic_balances(
         self,
         party_id: str,
         asset_id: str,
+        asset_decimals: int,
         market_id: Optional[str] = None,
         account_types: Optional[List[protos.vega.vega.AccountType.Value]] = None,
         date_range_start_timestamp: Optional[int] = None,
@@ -102,4 +103,6 @@ def historic_balances(
 
         df = pd.DataFrame.from_dict(data, orient="index").sort_index().ffill()
         df["total"] = df.sum(axis=1)
+        df["total"] = df["total"]* 10**-asset_decimals
         return df
+
diff --git a/vega_query/visualisations/plots/amm.py b/vega_query/visualisations/plots/amm.py
@@ -69,7 +69,7 @@ def create(
 
     party_colors = __party_colors(party_ids)
 
-    fig = plt.figure(figsize=(15, 8))
+    fig = plt.figure(figsize=(16, 9))
     gs = fig.add_gridspec(2, 2)
     ymin = ymax = 0
     axes: List[Axes] = []
@@ -78,13 +78,15 @@ def create(
     axn0r: Axes = axn0l.twinx()
     if market_data_history is not None:
         overlay_mark_price(axn0l, market_data_history, market.decimal_places)
+        overlay_last_traded_price(axn0l, market_data_history, market.decimal_places)
         overlay_trading_mode(axn0r, market_data_history)
         # overlay_auction_starts(axn0r, market_data_history)
         # overlay_auction_ends(axn0r, market_data_history)
 
     axn0l.set_ylabel("USDT")
     axn0l.set_title(
-        "Market Price: Ornstein–Uhlenbeck ($\\theta=0.01$, $\\sigma=0.5$)",
+        # "Market Price: Ornstein–Uhlenbeck ($\\theta=0.01$, $\\sigma=0.5$)",
+        "Market Price: Ornstein–Uhlenbeck",
         loc="left",
     )
 
@@ -106,7 +108,7 @@ def create(
     axes.append(ax11)
     ax21 = fig.add_subplot(gs[1, 1])
     ax21.set_title("AMM: Aggregated Account Balances [USDT]", loc="left")
-    ax21.set_ylabel("$\\Delta$ USDT")
+    ax21.set_ylabel("USDT")
     ax21.sharex(axn0l)
     axes.append(ax21)
 
@@ -141,16 +143,18 @@ def create(
             party_id=amm_party_id,
             size_decimals=market.position_decimal_places,
         )
-        ax11.get_lines()[-1].set_label(amm_party_id[:7])
+        # ax11.get_lines()[-1].set_label(amm_party_id[:7])
+        ax11.get_lines()[-1].set_label("AMM")
 
         # Reconstruct the AMMs aggregated balance from balance changes
         df = service.utils.party.historic_balances(
             party_id=amm_party_id,
             asset_id=asset.id,
             date_range_start_timestamp=start_timestamp,
             date_range_end_timestamp=end_timestamp,
+            asset_decimals=asset.details.decimals,
         )
-        ax21.step(df.index, df.total, where="post", label="total")
+        ax21.step(df.index, df.total, where="post", label="AMM portfolio")
 
     ax11.legend()
     ax21.legend()

diff --git a/vega_sim/scenario/amm/registry.py b/vega_sim/scenario/amm/registry.py
@@ -10,11 +10,12 @@
         benchmark_configs=[
             BenchmarkConfig(
                 market_config=configs.mainnet.BTCUSDT.CONFIG,
-                initial_price=70000,
-                annualised_volatility=0.5,
-                notional_trade_volume=100,
-                process_theta=0.01,
-                process_drift=-10,
+                initial_price=60000,
+                annualised_volatility=0.28,
+                notional_trade_volume=10,
+                process_theta=0.0001,
+                process_drift=-5,
+                risky_trader_funds=1,
             ),
         ],
         amm_liquidity_fee=0.0001,

diff --git a/vega_sim/scenario/amm/scenario.py b/vega_sim/scenario/amm/scenario.py
@@ -59,6 +59,22 @@ def configure_agents(
                 # Set commitment amount to 0 to avoid benchmark market maker from
                 # providing liquidity, they should only supply volume through orders.
                 agent.fee_amount = self.amm_liquidity_fee
+                agent.commitment_amount = 0.000001
+                agent.supplied_amount = 0
+
+            # if isinstance(agent, MarketOrderTrader):
+            #     # Set commitment amount to 0 to avoid benchmark market maker from
+            #     # providing liquidity, they should only supply volume through orders.
+            #     agent.fee_amount = self.amm_liquidity_fee
+            #     agent.commitment_amount =10
+            #     agent.supplied_amount = 50
+
+            # if isinstance(agent, LimitOrderTrader):
+            #     # Set commitment amount to 0 to avoid benchmark market maker from
+            #     # providing liquidity, they should only supply volume through orders.
+            #     agent.spread = 0
+            #     agent.mean = -7.5
+            #     agent.sigma = 0.3
 
         # For each market, add an AMM agent.
         for benchmark_config in self.benchmark_configs:
@@ -83,34 +99,6 @@ def configure_agents(
                 )
             )
 
-        for i_agent, benchmark_config in enumerate(self.benchmark_configs):
-            extra_agents.append(
-                MarketOrderTrader(
-                    wallet_name="MarketOrderTrader",
-                    key_name=f"MarketOrderTrader_{benchmark_config.market_config.instrument.code}_{str(i_agent).zfill(3)}",
-                    market_name=benchmark_config.market_config.instrument.name,
-                    initial_asset_mint=1e6,
-                    buy_intensity=1.0,  # Set buy intensity for the trader
-                    sell_intensity=1.0,  # Set sell intensity for the trader
-                    base_order_size=1.0,  # Set base order size for market orders
-                    tag=f"MarketOrderTrader_{benchmark_config.market_config.instrument.code}_{str(i_agent).zfill(3)}",
-                    random_state=self.random_state,
-                )
-            )
-
-            extra_agents.append(
-                LimitOrderTrader(
-                    wallet_name="LimitOrderTrader",
-                    key_name=f"LimitOrderTrader_{benchmark_config.market_config.instrument.code}_{str(i_agent).zfill(3)}",
-                    market_name=benchmark_config.market_config.instrument.name,
-                    initial_asset_mint=1e6,
-                    buy_intensity=1.0,  # Set buy intensity for the trader
-                    sell_intensity=1.0,  # Set sell intensity for the trader
-                    tag=f"LimitOrderTrader_{benchmark_config.market_config.instrument.code}_{str(i_agent).zfill(3)}",
-                    random_state=self.random_state,
-                )
-            )
-
         extra_agents = {agent.name(): agent for agent in extra_agents}
         agents.update(extra_agents)
         return agents
diff --git a/vega_sim/scenario/benchmark/scenario.py b/vega_sim/scenario/benchmark/scenario.py
@@ -154,8 +154,7 @@ def configure_agents(
                         buy_intensity=100,
                         sell_intensity=100,
                         base_order_size=benchmark_config.notional_trade_volume
-                        / benchmark_config.initial_price
-                        / 100,
+                        / (benchmark_config.initial_price*100),
                         step_bias=1,
                         initial_asset_mint=1e8,
                         tag=f"{benchmark_config.market_config.instrument.code}_{str(i_agent).zfill(3)}",
@@ -171,11 +170,9 @@ def configure_agents(
                         market_name=market_name,
                         time_in_force_opts={"TIME_IN_FORCE_GTT": 1},
                         buy_volume=benchmark_config.notional_trade_volume
-                        / benchmark_config.initial_price
-                        / 100,
+                        / (benchmark_config.initial_price*100),
                         sell_volume=benchmark_config.notional_trade_volume
-                        / benchmark_config.initial_price
-                        / 100,
+                        / (benchmark_config.initial_price*100),
                         buy_intensity=100,
                         sell_intensity=100,
                         submit_bias=1,