Skip to content

Commit

Permalink
limit orders
Browse files Browse the repository at this point in the history
  • Loading branch information
@Siddharth2207
Siddharth2207 committed Jul 6, 2024
1 parent 4cbe436 commit f6b12b5
Show file tree
Hide file tree
Showing 2 changed files with 362 additions and 67 deletions.
299 changes: 238 additions & 61 deletions strategies/limit-order-multiple.rain
View file
Original file line number Diff line number Diff line change
Expand Up @@ -37,6 +37,14 @@ orders:
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:
Expand All @@ -47,46 +55,196 @@ scenarios:
# Ask for now, registry in future.
uniswap-words: 0xbc609623F5020f6Fc7481024862cD5EE3FFf52D7
orderbook-subparser: 0x8f037f2a3fF2dee510486D9C63A47A245991a4C1
# 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: 0.0090
ouptut-amount-2: 200
# io-ratio and amount for third order.
io-ratio-3: 0.0100
ouptut-amount-3: 300

scenarios:
prod:
buy:
bindings:
plottables: '''plottables-prod'
chart:
runs: 1
# 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:
plottables: '''plottables-plot'

# 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:
limit-orders:
scenario: limit-orders.chart
buy-dolz-metrics:
scenario: limit-orders.buy.metric
metrics:
- label: io-ratio-1
value: 0.3.0
value: 0.3.2
- label: amount-1
value: 0.3.1
value: 0.3.3
- label: io-ratio-2
value: 0.3.2
value: 0.3.4
- label: amount-2
value: 0.3.3
value: 0.3.5
- label: io-ratio-3
value: 0.3.4
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.prod
scenario: limit-orders.sell.prod
order: polygon-dolz-sell
---
#uniswap-words !The subparser for the Uniswap words
Expand All @@ -95,59 +253,78 @@ deployments:
#io-ratio-1 !IO ratio for first order.
#ouptut-amount-1 !Output amount for first order.

#io-ratio-2 !IO ratio for first order.
#ouptut-amount-2 !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-3 !IO ratio for first order.
#ouptut-amount-3 !Output amount for first 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-plot
#plottables-metric
amount io-ratio: ,
_: io-ratio-1,
_: ouptut-amount-1,
_: io-ratio-2,
_: ouptut-amount-2,
_: io-ratio-3,
_: ouptut-amount-3;
_: ouptut-amount-3,
_: io-ratio-4,
_: ouptut-amount-4,
_: io-ratio-5,
_: ouptut-amount-5;

#calculate-io
using-words-from uniswap-words orderbook-subparser

#get-trade-count-prod
trade-count-key: hash(order-hash() count-key),
trade-count: get(trade-count-key),
_ _:call<'get-ratio-amount>(trade-count),
:call<'plottables>();
trade-count: get(trade-count-key);

#handle-io
trade-count-key: hash(order-hash() count-key),
trade-count: get(trade-count-key),
:set(trade-count-key add(trade-count 1));
#get-trade-count-chart
trade-count: floor(mod(test-trade-count 5));

#get-ratio-amount
trade-count: ,
output-amount: if(equal-to(trade-count 0)
ouptut-amount-1
if(equal-to(trade-count 1)
ouptut-amount-2
if(equal-to(trade-count 2)
ouptut-amount-3
1
)
)
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: if(equal-to(trade-count 0)
io-ratio-1
if(equal-to(trade-count 1)
io-ratio-2
if(equal-to(trade-count 2)
io-ratio-3
max-value()
)
)
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));
Loading

0 comments on commit f6b12b5

Please sign in to comment.