Merge pull request #13 from h20liquidity/dcatki-patch-4

 limit-order-multiple.rain

strategies/limit-order-multiple.rain

@@ -0,0 +1,330 @@
+networks:
+  polygon-dolz: 
+    rpc: https://polygon-mainnet.g.alchemy.com/v2/y3BXawVv5uuP_g8BaDlKbKoTBGHo9zD9
+    chain-id: 137 
+    network-id: 137 
+    currency: MATIC
+
+subgraphs:
+  polygon-dolz: https://api.thegraph.com/subgraphs/name/h20liquidity/polygon-0xc95a5f8e
+
+orderbooks:
+  polygon-dolz:
+    address: 0xc95A5f8eFe14d7a20BD2E5BAFEC4E71f8Ce0B9A6
+    network: polygon-dolz
+    subgraph: polygon-dolz
+
+deployers:
+  polygon-dolz:
+    address: 0xB3aC858bEAf7814892d3946A8C109A7D701DF8E7
+    network: polygon-dolz
+
+tokens:
+  polygon-dolz:
+    network: polygon-dolz
+    address: 0x6ab4E20f36ca48B61ECd66c0450fDf665Fa130be
+  polygon-usdt:
+    network: polygon-dolz
+    address: 0xc2132D05D31c914a87C6611C10748AEb04B58e8F
+
+orders:
+  # vault-id generated with `openssl rand -hex 32`
+  polygon-dolz-sell:
+    orderbook: polygon-dolz
+    inputs:
+      - token: polygon-usdt
+        vault-id: 0x6049f8ee79b82dd5bc82b368114bb0a69f34d539b04b43208241e1f68da134a8
+    outputs:
+      - token: polygon-dolz
+        vault-id: 0x6049f8ee79b82dd5bc82b368114bb0a69f34d539b04b43208241e1f68da134a8
+  polygon-dolz-buy:
+    orderbook: polygon-dolz
+    inputs:
+      - token: polygon-dolz
+        vault-id: 0x6049f8ee79b82dd5bc82b368114bb0a69f34d539b04b43208241e1f68da134a8
+    outputs:
+      - token: polygon-usdt
+        vault-id: 0x6049f8ee79b82dd5bc82b368114bb0a69f34d539b04b43208241e1f68da134a8
+
+scenarios:
+    limit-orders:
+      network: polygon-dolz
+      deployer: polygon-dolz
+      orderbook: polygon-dolz
+      bindings:
+        # Ask for now, registry in future.
+        uniswap-words: 0xbc609623F5020f6Fc7481024862cD5EE3FFf52D7
+        orderbook-subparser: 0x8f037f2a3fF2dee510486D9C63A47A245991a4C1
+      scenarios:
+        buy:
+          bindings:
+            # io-ratio and amount for first order. 
+            io-ratio-1: 100
+            ouptut-amount-1: 1
+            # io-ratio and amount for second order. 
+            io-ratio-2: 105
+            ouptut-amount-2: 1.5
+            # io-ratio and amount for third order. 
+            io-ratio-3: 110
+            ouptut-amount-3: 2
+            # io-ratio and amount for third order. 
+            io-ratio-4: 115
+            ouptut-amount-4: 2.5
+            # io-ratio and amount for third order. 
+            io-ratio-5: 120
+            ouptut-amount-5: 3
+          scenarios:
+            prod:
+              bindings:
+                plottables: '''plottables-prod'
+                get-trade-count: '''get-trade-count-prod'
+            metric:
+              runs: 1
+              bindings:
+                plottables: '''plottables-metric'
+                get-trade-count: '''get-trade-count-prod'
+            chart:
+              runs: 1000
+              bindings:
+                plottables: '''plottables-chart'
+                get-trade-count: '''get-trade-count-chart'
+        sell:
+          bindings:
+            # io-ratio and amount for first order. 
+            io-ratio-1: 0.0080
+            ouptut-amount-1: 100
+            # io-ratio and amount for second order. 
+            io-ratio-2: 0.0085
+            ouptut-amount-2: 150
+            # io-ratio and amount for third order. 
+            io-ratio-3: 0.0090
+            ouptut-amount-3: 200
+            # io-ratio and amount for third order. 
+            io-ratio-4: 0.0095
+            ouptut-amount-4: 250
+            # io-ratio and amount for third order. 
+            io-ratio-5: 0.0100
+            ouptut-amount-5: 300
+          scenarios:
+            prod:
+              bindings:
+                plottables: '''plottables-prod'
+                get-trade-count: '''get-trade-count-prod'
+            metric:
+              runs: 1
+              bindings:
+                plottables: '''plottables-metric'
+                get-trade-count: '''get-trade-count-prod'
+            chart:
+              runs: 1000
+              bindings:
+                plottables: '''plottables-chart'
+                get-trade-count: '''get-trade-count-chart'
+
+
+charts:
+  buy-dolz-metrics:
+    scenario: limit-orders.buy.metric
+    metrics:
+      - label: io-ratio-1
+        value: 0.3.2
+      - label: amount-1
+        value: 0.3.3
+      - label: io-ratio-2
+        value: 0.3.4
+      - label: amount-2
+        value: 0.3.5
+      - label: io-ratio-3
+        value: 0.3.6
+      - label: amount-3
+        value: 0.3.7
+      - label: io-ratio-4
+        value: 0.3.8
+      - label: amount-4
+        value: 0.3.9
+      - label: io-ratio-5
+        value: 0.3.10
+      - label: amount-5
+        value: 0.3.11
+
+  sell-dolz-metrics:
+    scenario: limit-orders.sell.metric
+    metrics:
+      - label: io-ratio-1
+        value: 0.3.2
+      - label: amount-1
+        value: 0.3.3
+      - label: io-ratio-2
+        value: 0.3.4
+      - label: amount-2
+        value: 0.3.5
+      - label: io-ratio-3
+        value: 0.3.6
+      - label: amount-3
+        value: 0.3.7
+      - label: io-ratio-4
+        value: 0.3.8
+      - label: amount-4
+        value: 0.3.9
+      - label: io-ratio-5
+        value: 0.3.10
+      - label: amount-5
+        value: 0.3.11
+
+  buy-limit-order-simulation:
+      scenario: limit-orders.buy.chart
+      plots:    
+        Limit order io-ratio:     
+          x:
+              label: 'Order Number'
+          y:
+              label: 'IO ratio'
+          marks:
+            - type: line
+              options:
+                x: 0.0
+                y: 0.3.1
+        Limit order effective io-ratio (as visible on dex tools):     
+          x:
+              label: 'Order Number'
+          y:
+              label: 'Effective io ratio'
+          marks:
+            - type: line
+              options:
+                x: 0.0
+                y: 0.3.2
+        Limit order amount:     
+          x:
+              label: 'Order Number'
+          y:
+              label: 'Order amount'
+          marks:
+            - type: line
+              options:
+                x: 0.0
+                y: 0.3.0
+
+  sell-limit-order-simulation:
+      scenario: limit-orders.sell.chart
+      plots:    
+        Limit order io-ratio:     
+          x:
+              label: 'Order Number'
+          y:
+              label: 'IO ratio'
+          marks:
+            - type: line
+              options:
+                x: 0.0
+                y: 0.3.1
+        Limit order effective io-ratio (as visible on dex tools):     
+          x:
+              label: 'Order Number'
+          y:
+              label: 'Effective io ratio'
+          marks:
+            - type: line
+              options:
+                x: 0.0
+                y: 0.3.1
+        Limit order amount:     
+          x:
+              label: 'Order Number'
+          y:
+              label: 'Order amount'
+          marks:
+            - type: line
+              options:
+                x: 0.0
+                y: 0.3.0
+
+deployments:
+  dolz-buy:
+    scenario: limit-orders.buy.prod
+    order: polygon-dolz-buy
+  dolz-sell:
+    scenario: limit-orders.sell.prod
+    order: polygon-dolz-sell
+---
+#uniswap-words !The subparser for the Uniswap words
+#orderbook-subparser !The subparser for the Orderbook words
+
+#io-ratio-1 !IO ratio for first order.
+#ouptut-amount-1 !Output amount for first order.
+
+#io-ratio-2 !IO ratio for second order.
+#ouptut-amount-2 !Output amount for second order.
+
+#io-ratio-3 !IO ratio for third order.
+#ouptut-amount-3 !Output amount for third order.
+
+#io-ratio-4 !IO ratio for fourth order.
+#ouptut-amount-4 !Output amount for fourth order.
+
+#io-ratio-5 !IO ratio for fifth order.
+#ouptut-amount-5 !Output amount for fifth order.
+
+#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-chart
+  amount io-ratio: ,
+  effective-io-ratio: inv(io-ratio);
+
+#plottables-metric
+  amount io-ratio: ,
+  _: io-ratio-1,
+  _: ouptut-amount-1,
+  _: io-ratio-2,
+  _: ouptut-amount-2,
+  _: io-ratio-3,
+  _: ouptut-amount-3,
+  _: io-ratio-4,
+  _: ouptut-amount-4,
+  _: io-ratio-5,
+  _: ouptut-amount-5;
+
+#get-trade-count-prod
+  trade-count-key: hash(order-hash() count-key), 
+  trade-count: get(trade-count-key);
+
+#get-trade-count-chart
+  trade-count: floor(mod(test-trade-count 5));
+
+#get-ratio-amount
+  trade-count: call<'get-trade-count>(),
+  ouput-amount: conditions(
+    equal-to(trade-count 0) ouptut-amount-1
+    equal-to(trade-count 1) ouptut-amount-2
+    equal-to(trade-count 2) ouptut-amount-3
+    equal-to(trade-count 3) ouptut-amount-4
+    equal-to(trade-count 4) ouptut-amount-5
+    "Max order count"    
+  ),
+  io-ratio: conditions(
+    equal-to(trade-count 0) io-ratio-1
+    equal-to(trade-count 1) io-ratio-2
+    equal-to(trade-count 2) io-ratio-3
+    equal-to(trade-count 3) io-ratio-4
+    equal-to(trade-count 4) io-ratio-5
+    "Max order count"    
+  );
+
+#calculate-io
+  using-words-from uniswap-words orderbook-subparser
+
+  trade-count
+  final-amount
+  final-ratio: call<'get-ratio-amount>(),
+  :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));