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mirror strategy should ignore backing orders below min volume require…
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…ment, closes #569 (#570)

* 1 - filter orderbook after transformation

* 2 - fetch additional orders to fill in for skipped orders from min volume filter

* 3 - include value fo buffer orders in log when printing pre-transform orderbook

* 4 - check config of maxOrderBaseCap against minBaseVolume allowed

* 5 - use pointer for volume base cap so we can clearly differentiate when its entered vs not when comparing with min volume
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@nikhilsaraf
nikhilsaraf authored Oct 28, 2020
1 parent 586b658 commit 76ace31
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Showing 2 changed files with 209 additions and 93 deletions.
78 changes: 54 additions & 24 deletions plugins/mirrorStrategy.go
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Original file line number Diff line number Diff line change
Expand Up @@ -21,19 +21,24 @@ import (
"github.com/stellar/kelp/support/utils"
)

// numOrdersBufferMinVolumeFilter is the number of extra orders we want to fetch from the exchange in addition to the configured OrderbookDepth
// to allow us to account for any skipped orders because of min base volume requirements
const numOrdersBufferMinVolumeFilter = 3
const debugLogOffersOrders = true

const maxOrderbookDepth int32 = 50

// mirrorConfig contains the configuration params for this strategy
type mirrorConfig struct {
Exchange string `valid:"-" toml:"EXCHANGE"`
ExchangeBase string `valid:"-" toml:"EXCHANGE_BASE"`
ExchangeQuote string `valid:"-" toml:"EXCHANGE_QUOTE"`
OrderbookDepth int32 `valid:"-" toml:"ORDERBOOK_DEPTH"`
OrderbookDepth int `valid:"-" toml:"ORDERBOOK_DEPTH"`
// Deprecated: use BID_VOLUME_DIVIDE_BY and ASK_VOLUME_DIVIDE_BY instead
VolumeDivideByDeprecated *float64 `valid:"-" toml:"VOLUME_DIVIDE_BY" deprecated:"true"`
BidVolumeDivideBy *float64 `valid:"-" toml:"BID_VOLUME_DIVIDE_BY"`
AskVolumeDivideBy *float64 `valid:"-" toml:"ASK_VOLUME_DIVIDE_BY"`
MaxOrderBaseCap float64 `valid:"-" toml:"MAX_ORDER_BASE_CAP"`
MaxOrderBaseCap *float64 `valid:"-" toml:"MAX_ORDER_BASE_CAP"` // use a pointer here so we don't need to special case 0.0 everywhere and a nil value is clearly not user-entered
PerLevelSpread float64 `valid:"-" toml:"PER_LEVEL_SPREAD"`
PricePrecisionOverride *int8 `valid:"-" toml:"PRICE_PRECISION_OVERRIDE"`
VolumePrecisionOverride *int8 `valid:"-" toml:"VOLUME_PRECISION_OVERRIDE"`
Expand Down Expand Up @@ -86,11 +91,11 @@ type mirrorStrategy struct {
backingMarketID string
backingFillTracker api.FillTracker
strategyMirrorTradeTriggerExistsQuery *queries.StrategyMirrorTradeTriggerExists
orderbookDepth int32
orderbookDepth int
perLevelSpread float64
bidVolumeDivideBy float64
askVolumeDivideBy float64
maxOrderBaseCap float64
maybeMaxOrderBaseCap *float64 // using a nil value makes it clear whether this value exists or not
exchange api.Exchange
offsetTrades bool
mutex *sync.Mutex
Expand Down Expand Up @@ -170,11 +175,6 @@ func makeMirrorStrategy(
return nil, fmt.Errorf("invalid mirror strategy config file, ASK_VOLUME_DIVIDE_BY needs to be -1.0 or > 0")
}

if config.MaxOrderBaseCap < 0.0 {
utils.PrintErrorHintf("need to set a valid value for MAX_ORDER_BASE_CAP, needs to be >= 0.0")
return nil, fmt.Errorf("invalid mirror strategy config file, MAX_ORDER_BASE_CAP needs to be >= 0.0")
}

var exchange api.Exchange
var e error
var strategyMirrorTradeTriggerExistsQuery *queries.StrategyMirrorTradeTriggerExists
Expand Down Expand Up @@ -282,6 +282,16 @@ func makeMirrorStrategy(
backingConstraints := exchange.GetOrderConstraints(backingPair)
log.Printf("primaryPair='%s', primaryConstraints=%s\n", pair, primaryConstraints)
log.Printf("backingPair='%s', backingConstraints=%s\n", backingPair, backingConstraints)
if config.MaxOrderBaseCap != nil {
if *config.MaxOrderBaseCap < backingConstraints.MinBaseVolume.AsFloat() {
utils.PrintErrorHintf("MAX_ORDER_BASE_CAP (%f) cannot be less than minBaseVolume allowed on backing exchange (%s)", *config.MaxOrderBaseCap, backingConstraints.MinBaseVolume.AsString())
return nil, fmt.Errorf("MAX_ORDER_BASE_CAP (%f) cannot be less than minBaseVolume allowed on backing exchange (%s)", *config.MaxOrderBaseCap, backingConstraints.MinBaseVolume.AsString())
}
if *config.MaxOrderBaseCap <= 0.0 {
utils.PrintErrorHintf("invalid mirror strategy config file, if you set a value for MAX_ORDER_BASE_CAP it needs to be > 0.0, leaving it unset does not constrain the order size")
return nil, fmt.Errorf("invalid mirror strategy config file, if you set a value for MAX_ORDER_BASE_CAP it needs to be > 0.0, leaving it unset does not constrain the order size")
}
}

// insert into database if needed
var backingMarketID string
Expand All @@ -304,6 +314,10 @@ func makeMirrorStrategy(
log.Printf("backingFillTracker was nil so not loading trades at creation time\n")
}

if config.OrderbookDepth > int(maxOrderbookDepth) {
return nil, fmt.Errorf("cannot construct the mirrorStrategy, ORDERBOOK_DEPTH config param should not exceed %d", maxOrderbookDepth)
}

return &mirrorStrategy{
sdex: sdex,
ieif: ieif,
Expand All @@ -320,7 +334,7 @@ func makeMirrorStrategy(
perLevelSpread: config.PerLevelSpread,
bidVolumeDivideBy: bidVolumeDivideBy,
askVolumeDivideBy: askVolumeDivideBy,
maxOrderBaseCap: config.MaxOrderBaseCap,
maybeMaxOrderBaseCap: config.MaxOrderBaseCap,
exchange: exchange,
offsetTrades: config.OffsetTrades,
mutex: &sync.Mutex{},
Expand Down Expand Up @@ -401,35 +415,41 @@ func (s *mirrorStrategy) UpdateWithOps(
buyingAOffers []hProtocol.Offer,
sellingAOffers []hProtocol.Offer,
) ([]build.TransactionMutator, error) {
ob, e := s.exchange.GetOrderBook(s.backingPair, s.orderbookDepth)
// we want to fetch a few extra orders to account for potentially filtering out orders that don't meet the min base volume requirements
ordersToFetch := int32(s.orderbookDepth + numOrdersBufferMinVolumeFilter)
ob, e := s.exchange.GetOrderBook(s.backingPair, ordersToFetch)
if e != nil {
return nil, e
}

// limit bids and asks to max 50 operations each because of Stellar's limit of 100 ops/tx
bids := ob.Bids()
if len(bids) > 50 {
bids = bids[:50]
}
asks := ob.Asks()
if len(asks) > 50 {
asks = asks[:50]
}
log.Printf("backing orderbook (before transformations):\n")
log.Printf("backing orderbook before transformations, including %d additional buffer orders:\n", numOrdersBufferMinVolumeFilter)
printBidsAndAsks(bids, asks)

// we modify the bids and ask to represent the new orders to place so we reduce unnecessary memory allocations
if s.bidVolumeDivideBy == -1.0 {
bids = []model.Order{}
} else {
transformOrders(bids, (1 - s.perLevelSpread), (1.0 / s.bidVolumeDivideBy), s.maxOrderBaseCap)
transformOrders(bids, (1 - s.perLevelSpread), (1.0 / s.bidVolumeDivideBy), s.maybeMaxOrderBaseCap)
// only place orders that we can fulfill on the backing exchange, to reduce surpluses needing offsetting
bids = filterOrdersByVolume(bids, s.backingConstraints.MinBaseVolume.AsFloat())
if len(bids) > s.orderbookDepth {
bids = bids[:s.orderbookDepth]
}
}
if s.askVolumeDivideBy == -1.0 {
asks = []model.Order{}
} else {
transformOrders(asks, (1 + s.perLevelSpread), (1.0 / s.askVolumeDivideBy), s.maxOrderBaseCap)
transformOrders(asks, (1 + s.perLevelSpread), (1.0 / s.askVolumeDivideBy), s.maybeMaxOrderBaseCap)
// only place orders that we can fulfill on the backing exchange, to reduce surpluses needing offsetting
asks = filterOrdersByVolume(asks, s.backingConstraints.MinBaseVolume.AsFloat())
if len(asks) > s.orderbookDepth {
asks = asks[:s.orderbookDepth]
}
}
log.Printf("new orders (orderbook after transformations):\n")
log.Printf("new orders to be placed (after transforming and filtering orders from backing exchange):\n")
printBidsAndAsks(bids, asks)

deleteBuyOps, buyOps, e := s.updateLevels(
Expand Down Expand Up @@ -490,14 +510,24 @@ func (s *mirrorStrategy) UpdateWithOps(
return api.ConvertOperation2TM(ops), nil
}

func transformOrders(orders []model.Order, priceMultiplier float64, volumeMultiplier float64, maxVolumeCap float64) {
func transformOrders(orders []model.Order, priceMultiplier float64, volumeMultiplier float64, maxVolumeCap *float64) {
for _, o := range orders {
*o.Price = *o.Price.Scale(priceMultiplier)
*o.Volume = *o.Volume.Scale(volumeMultiplier)
if maxVolumeCap > 0.0 && o.Volume.AsFloat() > maxVolumeCap {
*o.Volume = *model.NumberFromFloat(maxVolumeCap, o.Volume.Precision())
if maxVolumeCap != nil && o.Volume.AsFloat() > *maxVolumeCap {
*o.Volume = *model.NumberFromFloat(*maxVolumeCap, o.Volume.Precision())
}
}
}

func filterOrdersByVolume(orders []model.Order, minBaseVolume float64) []model.Order {
ret := []model.Order{}
for _, o := range orders {
if o.Volume.AsFloat() >= minBaseVolume {
ret = append(ret, o)
}
}
return ret
}

func printBidsAndAsks(bids []model.Order, asks []model.Order) {
Expand Down
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