Merge pull request #130 from valory-xyz/fix/kelly

Update Kelly formula

packages/packages.json

@@ -1,13 +1,13 @@
 {
     "dev": {
         "skill/valory/market_manager_abci/0.1.0": "bafybeibrjre5yka3sbvb6lsefgc5yutovb6h4ffzrpecplfkjwtl5i36te",
-        "skill/valory/decision_maker_abci/0.1.0": "bafybeiggsi3hyu2lqqfxh5fonkwh7rdmounrpbkaxtt6aeqm4cr362cwuy",
-        "skill/valory/trader_abci/0.1.0": "bafybeihqqcq63pijsep4aqyz6criwncga6dgoinkmb6ptbsrcxekw6f4xe",
+        "skill/valory/decision_maker_abci/0.1.0": "bafybeic6xegb3zbo46uv2q3l63itanw7m26r55ifqo4j4iophos46mppcu",
+        "skill/valory/trader_abci/0.1.0": "bafybeiaew6nufibg53yuzyrumd2wlqfmiyg3brcwetymvtlnehi6fwlskm",
         "contract/valory/market_maker/0.1.0": "bafybeif4mm2s3gxtvp227yypkcnna5ftec7vajcftvtbdmqddh7nprah5m",
-        "agent/valory/trader/0.1.0": "bafybeien2oswgsiklat7snobp6tt6kwoatbhm23qdcwou4nxzkzvmybefu",
-        "service/valory/trader/0.1.0": "bafybeidru4qhpp7wgx2qqkg74rvp7fytvl45bj2iosalwava4j3hhsedjy",
+        "agent/valory/trader/0.1.0": "bafybeigdtxgx2dwsw77j6cmp3ld42cin335q5m4n34uwkwtbnageiefate",
+        "service/valory/trader/0.1.0": "bafybeibluamqcl2brsm2rirkudtv22gsglohwuruhhlzm6viqjcisc5y5i",
         "contract/valory/erc20/0.1.0": "bafybeieqj7dea4tcv6z2yqkgtmhd23vbiycsr5trhwxdvlbwulpl6vhmam",
-        "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeibda3fyr6hbbnlz5unncuhaidznconrwqa7tqbsuxqpal2vdlalra",
+        "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeiep7dgp7hpamdw6avwku5f5wpqw6zbg4evaux6s4yna6el3jay2x4",
         "contract/valory/mech/0.1.0": "bafybeihvc6btuk3nvernzcx4qpezvuhiw2wwnagqj5nkeljvszghv7mq64",
         "contract/valory/realitio/0.1.0": "bafybeiamgkwwqhray4fs2hlipwxkq7mosmi7ev7jut4vneetaaycc4ruji",
         "contract/valory/realitio_proxy/0.1.0": "bafybeidx37xzjjmapwacedgzhum6grfzhp5vhouz4zu3pvpgdy5pgb2fr4",

packages/valory/agents/trader/aea-config.yaml

@@ -43,10 +43,10 @@ skills:
 - valory/reset_pause_abci:0.1.0:bafybeicpxn2khtaesuf4cq6ypwdmdmonlqroj2q2i6cxvpizc2y4cw66pe
 - valory/termination_abci:0.1.0:bafybeieqm46zuccaagnko3qlw6p3nvoohdrfgvpmw467r5lyil2dqrzjsy
 - valory/transaction_settlement_abci:0.1.0:bafybeia6cdxdlqrcwk2maw25fo7dafzd2p3rs7syropvufophk2pitzbwy
-- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeibda3fyr6hbbnlz5unncuhaidznconrwqa7tqbsuxqpal2vdlalra
+- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeiep7dgp7hpamdw6avwku5f5wpqw6zbg4evaux6s4yna6el3jay2x4
 - valory/market_manager_abci:0.1.0:bafybeibrjre5yka3sbvb6lsefgc5yutovb6h4ffzrpecplfkjwtl5i36te
-- valory/decision_maker_abci:0.1.0:bafybeiggsi3hyu2lqqfxh5fonkwh7rdmounrpbkaxtt6aeqm4cr362cwuy
-- valory/trader_abci:0.1.0:bafybeihqqcq63pijsep4aqyz6criwncga6dgoinkmb6ptbsrcxekw6f4xe
+- valory/decision_maker_abci:0.1.0:bafybeic6xegb3zbo46uv2q3l63itanw7m26r55ifqo4j4iophos46mppcu
+- valory/trader_abci:0.1.0:bafybeiaew6nufibg53yuzyrumd2wlqfmiyg3brcwetymvtlnehi6fwlskm
 default_ledger: ethereum
 required_ledgers:
 - ethereum

packages/valory/services/trader/service.yaml

@@ -7,7 +7,7 @@ license: Apache-2.0
 fingerprint:
   README.md: bafybeigtuothskwyvrhfosps2bu6suauycolj67dpuxqvnicdrdu7yhtvq
 fingerprint_ignore_patterns: []
-agent: valory/trader:0.1.0:bafybeien2oswgsiklat7snobp6tt6kwoatbhm23qdcwou4nxzkzvmybefu
+agent: valory/trader:0.1.0:bafybeigdtxgx2dwsw77j6cmp3ld42cin335q5m4n34uwkwtbnageiefate
 number_of_agents: 4
 deployment: {}
 ---

packages/valory/skills/decision_maker_abci/behaviours/base.py

@@ -61,6 +61,7 @@
 SAFE_GAS = 0
 CID_PREFIX = "f01701220"
 WXDAI = "0xe91D153E0b41518A2Ce8Dd3D7944Fa863463a97d"
+EPSILON = 1e-7
 
 
 def remove_fraction_wei(amount: int, fraction: float) -> int:
@@ -219,14 +220,9 @@ def _calculate_kelly_bet_amount(
         self, x: int, y: int, p: float, c: float, b: int, f: float
     ) -> int:
         """Calculate the Kelly bet amount."""
-        if b == 0 or x**2 * f == y**2 * f:
-            self.context.logger.error(
-                "Could not calculate Kelly bet amount. "
-                "Either bankroll is 0 or pool token amount is distributed as x^2*f - y^2*f = 0:\n"
-                f"Bankroll: {b}\n"
-                f"Pool token amounts: {x}, {y}"
-                f"Fee, fee fraction f: {1-f}, {f}"
-            )
+        if b == 0:
+            error = "Cannot calculate Kelly bet amount with no bankroll."
+            self.context.logger.error(error)
             return 0
         kelly_bet_amount = (
             -4 * x**2 * y
@@ -256,7 +252,7 @@ def _calculate_kelly_bet_amount(
                 )
             )
             ** (1 / 2)
-        ) / (2 * (x**2 * f - y**2 * f))
+        ) / (2 * (x**2 * f - y**2 * f)) + EPSILON
         return int(kelly_bet_amount)
 
     def get_max_bet_amount(self, a: int, x: int, y: int, f: float) -> int:
@@ -362,20 +358,21 @@ def default_error(
             f"using {contract_callable!r}: {response_msg}"
         )
 
-    def _propagate_contract_messages(self, response_msg: ContractApiMessage) -> None:
+    def _propagate_contract_messages(self, response_msg: ContractApiMessage) -> bool:
         """Propagate the contract's message to the logger, if exists.
 
         Contracts can only return one message at a time.
 
         :param response_msg: the response message from the contract method.
-        :return: None
+        :return: whether a message has been propagated.
         """
         for level in ("info", "warning", "error"):
             msg = response_msg.raw_transaction.body.get(level, None)
             if msg is not None:
                 logger = getattr(self.context.logger, level)
                 logger(msg)
-                return
+                return True
+        return False
 
     def contract_interact(
         self,
@@ -400,11 +397,11 @@ def contract_interact(
             self.default_error(contract_id, contract_callable, response_msg)
             return False
 
-        self._propagate_contract_messages(response_msg)
-
+        propagated = self._propagate_contract_messages(response_msg)
         data = response_msg.raw_transaction.body.get(data_key, None)
         if data is None:
-            self.default_error(contract_id, contract_callable, response_msg)
+            if not propagated:
+                self.default_error(contract_id, contract_callable, response_msg)
             return False
 
         setattr(self, placeholder, data)

packages/valory/skills/decision_maker_abci/skill.yaml

@@ -12,7 +12,7 @@ fingerprint:
   README.md: bafybeia367zzdwndvlhw27rvnwodytjo3ms7gbc3q7mhrrjqjgfasnk47i
   __init__.py: bafybeih563ujnigeci2ldzh7hakbau6a222vsed7leg3b7lq32vcn3nm4a
   behaviours/__init__.py: bafybeih6ddz2ocvm6x6ytvlbcz6oi4snb5ee5xh5h65nq4w2qf7fd7zfky
-  behaviours/base.py: bafybeidlbdyrcd2sifjmbxql4mdki3mpzxbu6bug2e2ljmd7lnliycc7hm
+  behaviours/base.py: bafybeig4apfcv34bdne5tyrdg7balg3lva6c672dt5um5ay45m5pnyjuqm
   behaviours/bet_placement.py: bafybeigtz4uimsqjjwq4r5p3a5v6niqdtqezbuf2ghy6o7syhsh4k5gjfa
   behaviours/blacklisting.py: bafybeicl6b4hcmqmekta2mcuhkkydnzk7jmic6k44e6ns3u2ibad3awzvu
   behaviours/decision_receive.py: bafybeifacce2ke7oltnwnpdjdqfd74eaaw5wxnjfzk6c5tqdsxsmbzjj3m

packages/valory/skills/trader_abci/skill.yaml

@@ -25,8 +25,8 @@ skills:
 - valory/transaction_settlement_abci:0.1.0:bafybeia6cdxdlqrcwk2maw25fo7dafzd2p3rs7syropvufophk2pitzbwy
 - valory/termination_abci:0.1.0:bafybeieqm46zuccaagnko3qlw6p3nvoohdrfgvpmw467r5lyil2dqrzjsy
 - valory/market_manager_abci:0.1.0:bafybeibrjre5yka3sbvb6lsefgc5yutovb6h4ffzrpecplfkjwtl5i36te
-- valory/decision_maker_abci:0.1.0:bafybeiggsi3hyu2lqqfxh5fonkwh7rdmounrpbkaxtt6aeqm4cr362cwuy
-- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeibda3fyr6hbbnlz5unncuhaidznconrwqa7tqbsuxqpal2vdlalra
+- valory/decision_maker_abci:0.1.0:bafybeic6xegb3zbo46uv2q3l63itanw7m26r55ifqo4j4iophos46mppcu
+- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeiep7dgp7hpamdw6avwku5f5wpqw6zbg4evaux6s4yna6el3jay2x4
 behaviours:
   main:
     args: {}

packages/valory/skills/tx_settlement_multiplexer_abci/skill.yaml

@@ -20,7 +20,7 @@ contracts: []
 protocols: []
 skills:
 - valory/abstract_round_abci:0.1.0:bafybeid7neqpxxe4ualp23gxgrtpf6r5u3myr2mmc4uvwameyqshfdoydq
-- valory/decision_maker_abci:0.1.0:bafybeiggsi3hyu2lqqfxh5fonkwh7rdmounrpbkaxtt6aeqm4cr362cwuy
+- valory/decision_maker_abci:0.1.0:bafybeic6xegb3zbo46uv2q3l63itanw7m26r55ifqo4j4iophos46mppcu
 behaviours:
   main:
     args: {}