Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

feat: add pnl test at settlment #201

Open
wants to merge 6 commits into
base: develop
Choose a base branch
from
Open

feat: add pnl test at settlment #201

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
6 commits
Select commit Hold shift + click to select a range
b793f91
feat: add pnl test at settlment
Jiajia-Cui Oct 7, 2022
c759576
fix: correct auction not ending
cdummett Oct 7, 2022
20895d9
feat: add tau_scaling result
Jiajia-Cui Oct 11, 2022
cc0ad06
feat: add more outputs
Jiajia-Cui Oct 11, 2022
ca2f3c4
feat: add output from stake target scaling
Jiajia-Cui Oct 13, 2022
aa2d451
feat: add config setting for target stake scaling
Jiajia-Cui Oct 13, 2022
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
312 changes: 312 additions & 0 deletions examples/notebooks/feature_tests/Settlement-PnL-Test.ipynb
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,312 @@
{
"cells": [
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"from collections import namedtuple\n",
"\n",
"from vega_sim.null_service import VegaServiceNull\n",
"import vega_sim.proto.vega as vega_protos"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"WalletConfig = namedtuple(\"WalletConfig\", [\"name\", \"passphrase\"])\n",
"\n",
"MM_WALLET = WalletConfig(\"mm\", \"mm\")\n",
"\n",
"TRADER_1_WALLET = WalletConfig(\"T1\", \"pin\")\n",
"\n",
"TRADER_2_WALLET = WalletConfig(\"T2\", \"pin\")\n",
"\n",
"TRADER_A1_WALLET = WalletConfig(\"A1\", \"pin\")\n",
"\n",
"TRADER_A2_WALLET = WalletConfig(\"A2\", \"pin\")\n",
"\n",
"TERMINATE_WALLET = WalletConfig(\"Settle\", \"pin\")\n",
"\n",
"wallets = [MM_WALLET, TRADER_1_WALLET, TRADER_2_WALLET, TRADER_A1_WALLET, TRADER_A2_WALLET, TERMINATE_WALLET]"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"vega = VegaServiceNull(run_with_console=True, use_full_vega_wallet=False)\n",
"vega.start()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"for wallet in wallets:\n",
" vega.create_wallet(wallet.name, passphrase=wallet.passphrase)\n",
"vega.forward('10s')"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"vega.mint(\n",
" MM_WALLET.name,\n",
" asset=\"VOTE\",\n",
" amount=10000,\n",
")\n",
"\n",
"vega.forward(\"20s\")\n",
"vega.create_asset(\n",
" MM_WALLET.name,\n",
" name=\"tDAI\",\n",
" symbol=\"tDAI\",\n",
" decimals=5,\n",
" max_faucet_amount=10e15, # is this including decimals or not?\n",
")\n",
"\n",
"tdai_id = vega.find_asset_id(symbol=\"tDAI\")\n",
"\n",
"vega.mint(\n",
" MM_WALLET.name,\n",
" tdai_id,\n",
" amount=10e7\n",
")\n",
"vega.mint(\n",
" TRADER_1_WALLET.name,\n",
" tdai_id,\n",
" amount=10e5\n",
")\n",
"vega.mint(\n",
" TRADER_2_WALLET.name,\n",
" tdai_id,\n",
" amount=10e5\n",
")\n",
"vega.mint(\n",
" TRADER_A1_WALLET.name,\n",
" tdai_id,\n",
" amount=10e5\n",
")\n",
"vega.mint(\n",
" TRADER_A2_WALLET.name,\n",
" tdai_id,\n",
" amount=10e5\n",
")\n",
"vega.wait_for_total_catchup()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"# Create a market\n",
"vega.create_simple_market(\n",
" market_name=\"BTC:DAI_Mar22\",\n",
" proposal_wallet=MM_WALLET.name,\n",
" settlement_asset_id=tdai_id,\n",
" termination_wallet=TERMINATE_WALLET.name,\n",
" position_decimals=2,\n",
" market_decimals=3,\n",
")\n",
"\n",
"market_id = vega.all_markets()[0].id\n",
"\n",
"vega.submit_simple_liquidity(\n",
" wallet_name=MM_WALLET.name,\n",
" market_id=market_id,\n",
" commitment_amount=10e4,\n",
" fee=0.05,\n",
" reference_buy=\"PEGGED_REFERENCE_BEST_BID\",\n",
" reference_sell=\"PEGGED_REFERENCE_BEST_ASK\",\n",
" delta_buy=20,\n",
" delta_sell=20,\n",
" is_amendment=False,\n",
")"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"# Make market pass opening auction\n",
"vega.submit_order(\n",
" trading_wallet=TRADER_A1_WALLET.name,\n",
" market_id=market_id,\n",
" order_type=\"TYPE_LIMIT\",\n",
" time_in_force=\"TIME_IN_FORCE_GTC\",\n",
" side=\"SIDE_BUY\",\n",
" volume=1,\n",
" price=900,\n",
" wait=True,\n",
")\n",
"vega.submit_order(\n",
" trading_wallet=TRADER_A1_WALLET.name,\n",
" market_id=market_id,\n",
" order_type=\"TYPE_LIMIT\",\n",
" time_in_force=\"TIME_IN_FORCE_GTC\",\n",
" side=\"SIDE_BUY\",\n",
" volume=1,\n",
" price=990,\n",
" wait=True,\n",
")\n",
"vega.wait_for_total_catchup()\n",
"\n",
"# Post limit order\n",
"buy_order_id = vega.submit_order(\n",
" trading_wallet=TRADER_A2_WALLET.name,\n",
" market_id=market_id,\n",
" order_type=\"TYPE_LIMIT\",\n",
" time_in_force=\"TIME_IN_FORCE_GTC\",\n",
" side=\"SIDE_SELL\",\n",
" volume=1,\n",
" price=1010,\n",
" wait=True,\n",
")\n",
"vega.wait_for_total_catchup()\n",
"\n",
"sell_order_id = vega.submit_order(\n",
" trading_wallet=TRADER_A2_WALLET.name,\n",
" market_id=market_id,\n",
" order_type=\"TYPE_LIMIT\",\n",
" time_in_force=\"TIME_IN_FORCE_GTC\",\n",
" side=\"SIDE_SELL\",\n",
" volume=1,\n",
" price=1100,\n",
" wait=True,\n",
")\n",
"vega.wait_for_total_catchup()\n",
"\n",
"# Post limit order\n",
"buy_order_id = vega.submit_order(\n",
" trading_wallet=TRADER_1_WALLET.name,\n",
" market_id=market_id,\n",
" order_type=\"TYPE_LIMIT\",\n",
" time_in_force=\"TIME_IN_FORCE_GTC\",\n",
" side=\"SIDE_BUY\",\n",
" volume=50,\n",
" price=1000,\n",
" wait=True,\n",
")\n",
"vega.wait_for_total_catchup()\n",
"\n",
"sell_order_id = vega.submit_order(\n",
" trading_wallet=TRADER_2_WALLET.name,\n",
" market_id=market_id,\n",
" order_type=\"TYPE_LIMIT\",\n",
" time_in_force=\"TIME_IN_FORCE_GTC\",\n",
" side=\"SIDE_SELL\",\n",
" volume=50,\n",
" price=1000,\n",
" wait=True,\n",
")\n",
"vega.wait_for_total_catchup()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"print(\"Margin level of Trader 1 (price=1000):\", \"\\n\", vega.margin_levels(wallet_name=TRADER_1_WALLET.name, market_id=market_id))\n",
"general, margin, bond = vega.party_account(wallet_name=TRADER_1_WALLET.name, asset_id=tdai_id, market_id=market_id)\n",
"print(\"Margin account: \", margin)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"input(\n",
" \"Preparing to settle market. Pausing to allow inspection of state.\"\n",
" \" Press Enter to continue\"\n",
")\n",
"\n",
"# settle market when trader_1 only has open long positions, trader_2 only has open short positions, \n",
"vega.settle_market(\n",
" TERMINATE_WALLET.name,\n",
" settlement_price = 800,\n",
" market_id = market_id,\n",
")\n",
"vega.wait_for_total_catchup()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"position = vega.positions_by_market(\n",
" wallet_name=TRADER_1_WALLET.name, market_id = market_id\n",
" )"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"print(\"Margin level of Trader 1 (price=55):\", \"\\n\", vega.margin_levels(wallet_name=TRADER_1_WALLET.name, market_id=market_id))\n",
"general, margin, bond = vega.party_account(wallet_name=TRADER_1_WALLET.name, asset_id=tdai_id, market_id=market_id)\n",
"print(\"Margin account: \", margin)\n",
"print(\"General account: \", general)\n",
"\n",
"print(\"Position: \", position[0].open_volume)\n",
"print(\"Unrealised: \", position[0].unrealised_pnl)\n",
"print(\"Realised: \", position[0].realised_pnl)\n",
"\n",
"input(\n",
" \"Environment run completed. Pausing to allow inspection of state.\"\n",
" \" Press Enter to continue\"\n",
")\n"
]
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3.10.6 ('.venv': poetry)",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.10.6"
},
"orig_nbformat": 4,
"vscode": {
"interpreter": {
"hash": "290045affa00dd5165d3fe24c481c5729c6dad53632503a698ecc0053ee56db0"
}
}
},
"nbformat": 4,
"nbformat_minor": 2
}
Loading