Merge pull request #21 from h20liquidity/2024-07-08-stop-limit

Stop Limit

strategies/wlth/wlth-stop-limit.rain

@@ -0,0 +1,269 @@
+# Stop Limit Orders.
+#
+# The stop price dictates the price whether the order is triggered, then the limit price dictates the price at which the order is filled.
+# Once the market price reaches below the stop price, the order becomes a limit order and then the limit price dictates the price at
+# which the order is filled.
+# The only difference between a stop-limit and limit order is that the order won't even be visible until the stop price is reached.
+# https://www.investopedia.com/terms/s/stop-limitorder.asp
+
+networks:
+  base-community: 
+    rpc: https://mainnet.base.org
+    chain-id: 8453 
+    network-id: 8453 
+    currency: ETH
+
+subgraphs:
+  base-community: https://api.thegraph.com/subgraphs/name/h20liquidity/base-0x2aee87
+
+orderbooks:
+  base-community:
+    address: 0x2AeE87D75CD000583DAEC7A28db103B1c0c18b76
+    network: base-community
+    subgraph: base-community
+
+deployers:
+  base-community:
+    address: 0x56394785a22b3BE25470a0e03eD9E0a939C47b9b
+    network: base-community
+
+tokens:
+  base-wlth:
+    network: base-community
+    address: 0x99b2B1A2aDB02B38222ADcD057783D7e5D1FCC7D
+  base-usdc:
+    network: base-community
+    address: 0x833589fCD6eDb6E08f4c7C32D4f71b54bdA02913
+
+orders:
+  # vault-id generated with `openssl rand -hex 32`
+  base-wlth-sell:
+    orderbook: base-community
+    inputs:
+      - token: base-usdc
+        vault-id: 0xe8c8cd1fae13ab9fa00c611a0d57cbd9298e939e34f1a38361fd37f917d4b065
+    outputs:
+      - token: base-wlth
+        vault-id: 0xe8c8cd1fae13ab9fa00c611a0d57cbd9298e939e34f1a38361fd37f917d4b065 
+  base-wlth-buy:
+    orderbook: base-community
+    inputs:
+      - token: base-wlth
+        vault-id: 0x4767d92a5f01500424d2a2dd88964314f8a98a6b66bcf1db362b0ad9006c93e8
+    outputs:
+      - token: base-usdc
+        vault-id: 0x4767d92a5f01500424d2a2dd88964314f8a98a6b66bcf1db362b0ad9006c93e8
+
+scenarios:
+    stop-limit-order:
+      network: base-community
+      deployer: base-community
+      orderbook: base-community
+      bindings:
+        # Ask for now, registry in future.
+        uniswap-words: 0xD6B34F97d4A8Cb38D0544dB241CB3f335866f490
+        orderbook-subparser: 0x8D96ea3EF24D7123882c51CE4325b89bc0d63f9e
+
+        # Uniswap V3 factory addresses and init code
+        uniswap-v3-factory: 0x33128a8fC17869897dcE68Ed026d694621f6FDfD
+        uniswap-v3-init-code: '[uniswap-v3-init-code]'
+
+        # Uniswap V3 pool fee
+        pool-fee: '[uniswap-v3-fee-medium]'
+      scenarios:
+        buy:
+          bindings:
+            # Input and Output token from perspective of the order.
+            input-token-address: 0x99b2B1A2aDB02B38222ADcD057783D7e5D1FCC7D
+            output-token-address: 0x833589fCD6eDb6E08f4c7C32D4f71b54bdA02913
+
+            # Stop ratio, once market price reaches below the stop price order will be active.
+            stop-ratio: 45
+
+            # io-ratio and amount for first limit order.
+            limit-ratio-1: 46
+            output-amount-1: 1
+
+            # Binding to get current orcale price
+            get-oracle-price: '''get-oracle-price-univ3'
+
+          scenarios:
+            prod:
+              bindings:
+                plottables: '''plottables-prod'
+                get-trade-count: '''get-trade-count-prod'
+                ensure-stop-loss: '''ensure-stop-loss-increase'
+            metric:
+              runs: 1
+              bindings:
+                plottables: '''plottables-metric'
+                get-trade-count: '''get-trade-count-prod'
+                ensure-stop-loss: '''ensure-stop-loss-metric'
+        sell:
+          bindings:
+            # Input and Output token from perspective of the order.
+            input-token-address: 0x833589fCD6eDb6E08f4c7C32D4f71b54bdA02913
+            output-token-address: 0x99b2B1A2aDB02B38222ADcD057783D7e5D1FCC7D
+
+            # Stop ratio, once market price reaches below the stop price order will be active.
+            stop-ratio: 0.022 
+
+            # io-ratio and amount for first order. 
+            limit-ratio-1: 0.02
+            output-amount-1: 50
+
+            # Binding to get current orcale price
+            get-oracle-price: '''get-oracle-price-univ3'
+
+          scenarios:
+            prod:
+              bindings:
+                plottables: '''plottables-prod'
+                get-trade-count: '''get-trade-count-prod'
+                ensure-stop-loss: '''ensure-stop-loss-decrease'
+            metric:
+              runs: 1
+              bindings:
+                plottables: '''plottables-metric'
+                get-trade-count: '''get-trade-count-prod'
+                ensure-stop-loss: '''ensure-stop-loss-metric'
+
+charts:
+  Buy WLTH, sell USDC single limit order:
+    scenario: stop-limit-order.buy.metric
+    metrics:
+      - label: Stop Price
+        value: 0.6.2
+        unit-suffix: " WLTH/USDC"            
+      - label: Price
+        value: 0.6.3
+        unit-suffix: " WLTH"            
+        description: 'Unit price, WLTH per USDC (stack item 0.6.3)'
+      - label: Effective Price (as visible on dex tools)
+        value: 0.6.4
+        unit-suffix: " USDC"            
+        description: 'Effective price in USDC denomination'     
+      - label: Units
+        value: 0.6.5
+        unit-suffix: " USDC"            
+        description: 'Units purchased (stack item 0.6.5)'
+      - label: Total Price
+        value: 0.6.6
+        unit-suffix: " WLTH"
+        description: 'Amount of WLTH recevied.'
+  Buy USDC, sell WLTH single limit order:
+    scenario: stop-limit-order.sell.metric
+    metrics:
+      - label: Stop Price
+        value: 0.6.2
+        unit-suffix: " USDC/WLTH"   
+      - label: Price
+        value: 0.6.3
+        unit-suffix: " USDC"            
+        description: 'Unit price, USDC per WLTH (stack item 0.6.3)'   
+      - label: Effective Price (as visible on dex tools)
+        value: 0.6.3
+        unit-suffix: " USDC"            
+        description: 'Effective price in USDC denomination'   
+      - label: Units
+        value: 0.6.4
+        unit-suffix: " WLTH"    
+        description: 'Units sold (stack item 0.6.4)'
+      - label: Total Price
+        value: 0.6.6
+        unit-suffix: " USDC"
+        description: 'Amount of USDC recevied.'
+
+deployments:
+  base-wlth-buy:
+    scenario: stop-limit-order.buy.prod
+    order: base-wlth-buy
+  base-wlth-sell:
+    scenario: stop-limit-order.sell.prod
+    order: base-wlth-sell
+---
+#uniswap-words !The subparser for the Uniswap words
+#orderbook-subparser !The subparser for the Orderbook words
+#uniswap-v3-factory !Uniswap v3 factory address.
+#uniswap-v3-init-code !Uniswap v3 init code hash.
+#pool-fee !Uniswap v3 pool fees.
+
+#input-token-address !Input token from the perspective of the order.
+#output-token-address !Output token from the perspective of the order.
+
+#stop-ratio !Ratio below which trade is active
+#limit-ratio-1 !IO ratio for first limit order.
+#output-amount-1 !Output amount for first limit order.
+
+#get-oracle-price !Binding to get currect price from orcale.
+#ensure-stop-loss !Binding to ensure stop loss.
+
+#count-key "count-key"
+#plottables !Binding to plot values.
+#get-trade-count !Binding to get trade count.
+#test-trade-count !Test trade count for plotting.
+
+#plottables-prod
+  _ _: ;
+
+#plottables-metric
+  amount io-ratio: ,
+  _: stop-ratio,
+  _: limit-ratio-1,
+  effective-limit-ratio-1: inv(limit-ratio-1),
+  _: output-amount-1,
+  input-amount-1: mul(limit-ratio-1 output-amount-1);
+
+#get-trade-count-prod
+  trade-count-key: hash(order-hash() count-key), 
+  trade-count: get(trade-count-key);
+
+#get-ratio-amount
+  count: ,
+  output-amount: conditions(
+    equal-to(count 0) output-amount-1
+    "Max order count"    
+  ),
+  io-ratio: conditions(
+    equal-to(count 0) limit-ratio-1
+    "Max order count"    
+  );
+
+#get-oracle-price-univ3
+ _: uniswap-v3-quote-exact-input(
+    output-token-address input-token-address
+    1
+    uniswap-v3-factory uniswap-v3-init-code
+    pool-fee
+  );
+
+#ensure-stop-loss-decrease
+  current-orcale-price: ,
+  :ensure(
+    less-than(current-orcale-price stop-ratio)
+    "Stop price."
+  );
+
+#ensure-stop-loss-increase
+  current-orcale-price: ,
+  :ensure(
+    greater-than(current-orcale-price stop-ratio)
+    "Stop price."
+  );
+
+#ensure-stop-loss-metric
+  _: ;
+
+#calculate-io
+  using-words-from uniswap-words orderbook-subparser
+
+  orcale-price: call<'get-oracle-price>(),
+  :call<'ensure-stop-loss>(orcale-price),
+  trade-count: call<'get-trade-count>(),
+  final-amount final-ratio: call<'get-ratio-amount>(trade-count),
+  :call<'plottables>(final-amount final-ratio); 
+
+#handle-io
+  trade-count-key: hash(order-hash() count-key), 
+  trade-count: get(trade-count-key), 
+  :set(trade-count-key add(trade-count 1));