Implemented use of CentralizedMarket swaps in arbitrage_agent.py

galacticcouncil · Oct 18, 2023 · e9a1263 · e9a1263
1 parent 2c5db06
commit e9a1263
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Showing 3 changed files with 47 additions and 33 deletions.
diff --git a/hydradx/model/amm/arbitrage_agent.py b/hydradx/model/amm/arbitrage_agent.py
@@ -116,7 +116,8 @@ def calculate_arb_amount_ask(init_state: OmnipoolState, tkn, numeraire, ask: lis
 
     asset_fee = state.asset_fee[tkn].compute(tkn=tkn)
     lrna_fee = state.lrna_fee[numeraire].compute(tkn=numeraire)
-    cex_price = ask[0] / (1 - cex_fee)
+    # cex_price = ask[0] / (1 - cex_fee)
+    cex_price = ask[0] * (1 + cex_fee)
 
     # If buying the min amount moves the price too much, return 0
     if min_amt < 1e-18:
@@ -163,26 +164,38 @@ def calculate_arb_amount_ask(init_state: OmnipoolState, tkn, numeraire, ask: lis
     return amt
 
 
-def execute_arb(state, agent, all_swaps, cex_fee=0.0):
-
+def execute_arb(state, cex, agent, all_swaps):
     for tkn_pair in all_swaps:
         swaps = all_swaps[tkn_pair]
 
         for swap in swaps:
 
             if swap[0] == 'buy':
+                init_asset = agent.holdings[tkn_pair[0]]
+                init_numeraire = agent.holdings[tkn_pair[1]]
                 # omnipool leg
                 state.swap(agent, tkn_buy=tkn_pair[0], tkn_sell=tkn_pair[1], buy_quantity=swap[1]['amount'])
                 # CEX leg
-                agent.holdings[tkn_pair[0]] -= swap[1]['amount']
-                agent.holdings[tkn_pair[1]] += swap[1]['amount'] * swap[1]['price'] * (1 - cex_fee)
+                cex.swap(agent, tkn_buy=tkn_pair[1], tkn_sell=tkn_pair[0], sell_quantity=swap[1]['amount'])
+                final_asset = agent.holdings[tkn_pair[0]]
+                final_numeraire = agent.holdings[tkn_pair[1]]
+                if init_numeraire >= final_numeraire:
+                    raise
+                if init_asset != final_asset:
+                    raise
             elif swap[0] == 'sell':
+                init_asset = agent.holdings[tkn_pair[0]]
+                init_numeraire = agent.holdings[tkn_pair[1]]
                 # omnipool leg
                 state.swap(agent, tkn_buy=tkn_pair[1], tkn_sell=tkn_pair[0], sell_quantity=swap[1]['amount'])
                 # CEX leg
-                agent.holdings[tkn_pair[0]] += swap[1]['amount']
-                agent.holdings[tkn_pair[1]] -= swap[1]['amount'] * swap[1]['price'] / (1 - cex_fee)
-
+                cex.swap(agent, tkn_buy=tkn_pair[0], tkn_sell=tkn_pair[1], buy_quantity=swap[1]['amount'])
+                final_asset = agent.holdings[tkn_pair[0]]
+                final_numeraire = agent.holdings[tkn_pair[1]]
+                if init_numeraire >= final_numeraire:
+                    raise
+                if init_asset != final_asset:
+                    raise
 
 def calculate_profit(init_agent, agent):
     profit = {tkn: agent.holdings[tkn] - init_agent.holdings[tkn] for tkn in agent.holdings}

diff --git a/hydradx/notebooks/Misc/arbitrage.ipynb b/hydradx/notebooks/Misc/arbitrage.ipynb
@@ -2,13 +2,13 @@
  "cells": [
   {
    "cell_type": "code",
-   "execution_count": 9,
+   "execution_count": 1,
    "id": "initial_id",
    "metadata": {
     "collapsed": true,
     "ExecuteTime": {
-     "end_time": "2023-10-18T19:25:17.176503089Z",
-     "start_time": "2023-10-18T19:25:17.115140615Z"
+     "end_time": "2023-10-18T21:23:49.530824832Z",
+     "start_time": "2023-10-18T21:23:49.491307125Z"
     }
    },
    "outputs": [],
@@ -25,7 +25,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 10,
+   "execution_count": 2,
    "outputs": [],
    "source": [
     "f = open('data/hdxusd_orderbook.json', 'r')\n",
@@ -40,15 +40,15 @@
    "metadata": {
     "collapsed": false,
     "ExecuteTime": {
-     "end_time": "2023-10-18T19:25:17.176752943Z",
-     "start_time": "2023-10-18T19:25:17.166847366Z"
+     "end_time": "2023-10-18T21:23:49.547459081Z",
+     "start_time": "2023-10-18T21:23:49.533619758Z"
     }
    },
    "id": "30c3ae5c6fb4044d"
   },
   {
    "cell_type": "code",
-   "execution_count": 11,
+   "execution_count": 3,
    "outputs": [],
    "source": [
     "\n",
@@ -142,23 +142,23 @@
    "metadata": {
     "collapsed": false,
     "ExecuteTime": {
-     "end_time": "2023-10-18T19:25:17.176891984Z",
-     "start_time": "2023-10-18T19:25:17.167008493Z"
+     "end_time": "2023-10-18T21:23:49.595145927Z",
+     "start_time": "2023-10-18T21:23:49.552585931Z"
     }
    },
    "id": "68064af1cadd64fc"
   },
   {
    "cell_type": "code",
-   "execution_count": 12,
+   "execution_count": 4,
    "outputs": [
     {
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "3.7604754221748347\n",
+      "3.7604658414949\n",
       "0.00458237037037037\n",
-      "{('DOT', 'USDT'): [('sell', {'price': 3.7398, 'amount': 14.061}), ('sell', {'price': 3.7406, 'amount': 93.629}), ('sell', {'price': 3.7407, 'amount': 43.0}), ('sell', {'price': 3.7408, 'amount': 40.0}), ('sell', {'price': 3.741, 'amount': 390.018}), ('sell', {'price': 3.7417, 'amount': 3957.426}), ('sell', {'price': 3.7418, 'amount': 3334.869}), ('sell', {'price': 3.7429, 'amount': 374.508}), ('sell', {'price': 3.743, 'amount': 1347.0}), ('sell', {'price': 3.7432, 'amount': 1055.139461517334})], ('HDX', 'USDT'): []}\n"
+      "{('DOT', 'USDT'): [('sell', {'price': 3.7398, 'amount': 14.061}), ('sell', {'price': 3.7406, 'amount': 93.629}), ('sell', {'price': 3.7407, 'amount': 43.0}), ('sell', {'price': 3.7408, 'amount': 40.0}), ('sell', {'price': 3.741, 'amount': 390.018}), ('sell', {'price': 3.7417, 'amount': 3957.426}), ('sell', {'price': 3.7418, 'amount': 3334.869}), ('sell', {'price': 3.7429, 'amount': 374.508}), ('sell', {'price': 3.743, 'amount': 1347.0}), ('sell', {'price': 3.7432, 'amount': 1055.4145698547363})], ('HDX', 'USDT'): []}\n"
      ]
     }
    ],
@@ -169,29 +169,29 @@
    "metadata": {
     "collapsed": false,
     "ExecuteTime": {
-     "end_time": "2023-10-18T19:25:17.190510706Z",
-     "start_time": "2023-10-18T19:25:17.167128399Z"
+     "end_time": "2023-10-18T21:23:49.595561869Z",
+     "start_time": "2023-10-18T21:23:49.594894378Z"
     }
    },
    "id": "ef086a726e0e13be"
   },
   {
    "cell_type": "code",
-   "execution_count": 13,
+   "execution_count": 5,
    "outputs": [
     {
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "{'USDT': 2083.132005214691, 'DOT': 0.0, 'HDX': 0}\n"
+      "{'USDT': 2083.1319987773895, 'DOT': 0.0, 'HDX': 0}\n"
      ]
     }
    ],
    "source": [
     "state = init_state.copy()\n",
     "init_agent = Agent(holdings={'USDT': 1000000000, 'DOT': 1000000000, 'HDX': 1000000000}, unique_id='bot')\n",
     "agent = init_agent.copy()\n",
-    "execute_arb(state, agent, all_swaps, cex_fee=cex_fee)\n",
+    "execute_arb(state, cex, agent, all_swaps)\n",
     "\n",
     "profit = calculate_profit(init_agent, agent)\n",
     "\n",
@@ -208,22 +208,22 @@
    "metadata": {
     "collapsed": false,
     "ExecuteTime": {
-     "end_time": "2023-10-18T19:25:17.261225047Z",
-     "start_time": "2023-10-18T19:25:17.187559171Z"
+     "end_time": "2023-10-18T21:23:49.595771681Z",
+     "start_time": "2023-10-18T21:23:49.595107623Z"
     }
    },
    "id": "8d4817129c26f839"
   },
   {
    "cell_type": "code",
-   "execution_count": 13,
+   "execution_count": 5,
    "outputs": [],
    "source": [],
    "metadata": {
     "collapsed": false,
     "ExecuteTime": {
-     "end_time": "2023-10-18T19:25:17.261393437Z",
-     "start_time": "2023-10-18T19:25:17.230869947Z"
+     "end_time": "2023-10-18T21:23:49.596098616Z",
+     "start_time": "2023-10-18T21:23:49.595250278Z"
     }
    },
    "id": "3d544d9681f2269a"

diff --git a/hydradx/tests/test_arbitrage_agent.py b/hydradx/tests/test_arbitrage_agent.py
@@ -150,7 +150,8 @@ def test_calculate_arb_amount_ask(
     initial_state.swap(agent, tkn_buy=numeraire, tkn_sell=tkn, sell_quantity=amt)
     test_price = initial_state.price(initial_state, tkn, numeraire)
     sell_spot = test_price * ((1 - lrna_fee) * (1 - asset_fee))
-    cex_price = ask[0] / (1 - cex_fee)
+    # cex_price = ask[0] / (1 - cex_fee)
+    cex_price = ask[0] * (1 + cex_fee)
 
     if abs(sell_spot - cex_price) > p and amt != ask[1]:
         raise
@@ -272,9 +273,9 @@ def test_get_arb_swaps(
     initial_agent = Agent(holdings={'USDT': 1000000000, 'DOT': 1000000000, 'HDX': 1000000000}, unique_id='bot')
     agent = initial_agent.copy()
 
-    execute_arb(op_state, agent, arb_swaps, cex_fee=cex_fee)
+    execute_arb(op_state, cex, agent, arb_swaps)
 
     profit = calculate_profit(initial_agent, agent)
     for tkn in profit:
-        if profit[tkn] < 0:
+        if profit[tkn] / initial_agent.holdings[tkn] < -1e-10:
             raise