def create_order_candidates_for_budget_check(self, proposal: Proposal):
order_candidates = []
is_maker = True
order_candidates.extend([
PerpetualOrderCandidate(
self.trading_pair,
is_maker,
OrderType.LIMIT,
TradeType.BUY,
buy.size,
buy.price,
leverage=Decimal(self._leverage),
) for buy in proposal.buys
])
order_candidates.extend([
PerpetualOrderCandidate(
self.trading_pair,
is_maker,
OrderType.LIMIT,
TradeType.SELL,
sell.size,
sell.price,
leverage=Decimal(self._leverage),
) for sell in proposal.sells
])
return order_candidates
def test_populate_collateral_fields_buy_order_with_leverage(self):
order_candidate = PerpetualOrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
leverage=Decimal("2"))
populated_candidate = self.budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
populated_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertIsNone(populated_candidate.potential_returns
) # order results in position open
def test_adjust_candidate_sufficient_funds(self):
self.exchange.set_balance(self.quote_asset, Decimal("100"))
order_candidate = PerpetualOrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate)
self.assertEqual(Decimal("10"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertIsNone(adjusted_candidate.potential_returns
) # order results in position open
def test_adjust_candidate_sell_insufficient_funds_partial_adjustment_allowed(self):
q_params = QuantizationParams(
trading_pair=self.trading_pair,
price_precision=8,
price_decimals=2,
order_size_precision=8,
order_size_decimals=2,
)
self.exchange.set_quantization_param(q_params)
self.exchange.set_balance(self.quote_asset, Decimal("10"))
order_candidate = PerpetualOrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(order_candidate, all_or_none=False)
self.assertEqual(Decimal("4.95"), adjusted_candidate.amount) # 5 * .99
self.assertEqual(self.quote_asset, adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("9.9"), adjusted_candidate.order_collateral.amount) # 4.95 * 2
self.assertEqual(self.quote_asset, adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.099"), adjusted_candidate.percent_fee_collateral.amount) # 9.9 * 0.01
self.assertEqual(self.quote_asset, adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.099"), adjusted_candidate.percent_fee_value.amount) # 9.9 * 0.01
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertIsNone(adjusted_candidate.potential_returns) # order results in position open
def test_populate_collateral_fields_percent_fees_in_third_token(self):
pfc_token = "PFC"
trade_fee_schema = TradeFeeSchema(
percent_fee_token=pfc_token,
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
)
exchange = MockPerpConnector(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
pfc_quote_pair = combine_to_hb_trading_pair(self.quote_asset,
pfc_token)
exchange.set_balanced_order_book( # the quote to pfc price will be 1:2
trading_pair=pfc_quote_pair,
mid_price=1.5,
min_price=1,
max_price=2,
price_step_size=1,
volume_step_size=1,
)
budget_checker: PerpetualBudgetChecker = exchange.budget_checker
order_candidate = PerpetualOrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
leverage=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
populated_candidate.order_collateral.amount)
self.assertEqual(pfc_token,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(pfc_token,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertIsNone(populated_candidate.potential_returns
) # order results in position open
def check_perpetual_budget_constraint(self, proposal: ArbProposal) -> bool:
"""
Check balance on spot exchange.
:param proposal: An arbitrage proposal
:return: True if user has available balance enough for both orders submission.
"""
proposal_side = proposal.perp_side
order_amount = proposal.order_amount
market_info = proposal_side.market_info
budget_checker = market_info.market.budget_checker
position_close = False
if self.perp_positions and abs(
self.perp_positions[0].amount) == order_amount:
perp_side = proposal.perp_side
cur_perp_pos_is_buy = True if self.perp_positions[
0].amount > 0 else False
if perp_side != cur_perp_pos_is_buy:
position_close = True
order_candidate = PerpetualOrderCandidate(
trading_pair=market_info.trading_pair,
is_maker=False,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY
if proposal_side.is_buy else TradeType.SELL,
amount=order_amount,
price=proposal_side.order_price,
leverage=Decimal(self._perp_leverage),
position_close=position_close,
)
adjusted_candidate_order = budget_checker.adjust_candidate(
order_candidate, all_or_none=True)
if adjusted_candidate_order.amount < order_amount:
self.logger().info(
f"Cannot arbitrage, {proposal_side.market_info.market.display_name} balance"
f" is insufficient to place the order candidate {order_candidate}."
)
return False
return True
def test_populate_collateral_for_position_close(self):
order_candidate = PerpetualOrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("10"),
price=Decimal("2"),
leverage=Decimal("2"),
position_close=True,
)
populated_candidate = self.budget_checker.populate_collateral_entries(order_candidate)
self.assertIsNone(populated_candidate.order_collateral) # the collateral is the contract itself
self.assertIsNone(populated_candidate.percent_fee_collateral)
self.assertIsNone(populated_candidate.percent_fee_value)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.quote_asset, populated_candidate.potential_returns.token)
self.assertEqual(Decimal("19.8"), populated_candidate.potential_returns.amount)