Tobi/multi asset reserve (#160)

* adding DAI market price process * Multi-asset reserve with statistics * Type refactoring * Pair refactoring Co-authored-by: boqdan <[email protected]> Co-authored-by: Nadiem Sissouno <[email protected]>
mento-protocol · Jun 22, 2022 · d7a5daf · d7a5daf
1 parent d780fd8
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diff --git a/experiments/notebooks/buy-and-sell/1_mento1.ipynb b/experiments/notebooks/buy-and-sell/1_mento1.ipynb
@@ -94,7 +94,7 @@
     "import experiments.default_experiment as default_experiment\n",
     "\n",
     "# types\n",
-    "from model.types import *\n",
+    "from model.types.base import *\n",
     "from model.entities.balance import Balance\n",
     "\n",
     "# options\n",
@@ -164,8 +164,10 @@
    "source": [
     "simulation_analysis_1.model.initial_state.update({\n",
     "    'reserve_balance': Balance({\n",
-    "        CryptoAsset.CELO: 120.0e6,\n",
-    "        Stable.CUSD: 0.0\n",
+    "        CryptoAsset.CELO: 10000000.0,\n",
+    "        CryptoAsset.BTC: 1000.0,\n",
+    "        CryptoAsset.ETH: 15000.0,\n",
+    "        CryptoAsset.DAI: 80000000.0,\n",
     "    }),\n",
     "})"
    ]
@@ -206,6 +208,16 @@
     "pprint(simulation_analysis_1.model.params)"
    ]
   },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "60da36c1",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "simulation_analysis_1.model.params['mento_exchanges_config'][0].keys()"
+   ]
+  },
   {
    "cell_type": "markdown",
    "id": "7471a5ed",
@@ -221,9 +233,9 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "simulation_analysis_1.model.params.update({\n",
-    "    \"reserve_fraction\": [0.5],\n",
-    "})"
+    "#simulation_analysis_1.model.params.update({\n",
+    "#    \"reserve_fraction\": [0.5],\n",
+    "#})"
    ]
   },
   {
@@ -297,7 +309,8 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "df.head()"
+    "pd.set_option(\"display.max_columns\", None)\n",
+    "df.tail(20)"
    ]
   },
   {
@@ -463,6 +476,36 @@
     "visualizations.plot_helper(data_frame=df, column_label='reserve_balance_celo', y_label='# tokens')"
    ]
   },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "07afc390",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "visualizations.plot_helper(data_frame=df, column_label='reserve_balance_in_usd')"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "5511ab57",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "visualizations.plot_helper(data_frame=df, column_label='reserve_ratio')"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "5a9ce188",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "visualizations.plot_helper(data_frame=df, column_label='floating_supply_stables_in_usd')"
+   ]
+  },
   {
    "cell_type": "code",
    "execution_count": null,
@@ -495,9 +538,9 @@
    "hash": "e0d943ef511eb062da37f0005de9c5ca6dc4c50b1f75cb4cb85f428d08d55d84"
   },
   "kernelspec": {
-   "display_name": "Python 3.8.9 ('mento2-model-ZNlqjaYt')",
+   "display_name": "mento2-model",
    "language": "python",
-   "name": "python3"
+   "name": "mento2-model"
   },
   "language_info": {
    "codemirror_mode": {
@@ -509,7 +552,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.8.9"
+   "version": "3.8.12"
   }
  },
  "nbformat": 4,

diff --git a/experiments/simulation_configuration.py b/experiments/simulation_configuration.py
@@ -4,7 +4,7 @@
 from model.constants import blocks_per_day, blocks_per_year
 
 BLOCKS_PER_TIMESTEP = 1  # number of blocks per timestep (=1 if sim on per-block-basis)
-SIMULATION_TIME_DAYS = 1  # number of days
+SIMULATION_TIME_DAYS = 2  # number of days
 # number of simulation_configuration timesteps
 TIMESTEPS = SIMULATION_TIME_DAYS * blocks_per_day // BLOCKS_PER_TIMESTEP
 TIMESTEPS_PER_YEAR = blocks_per_year // BLOCKS_PER_TIMESTEP

diff --git a/model/entities/balance.py b/model/entities/balance.py
@@ -5,8 +5,12 @@
 Balance(celo=2, cusd=10) + Balance(celo=5, cusd=0) = Balance(celo=7, cusd=10)
 """
 from typing import Callable, Dict, TYPE_CHECKING
+
+from model.types.base import Fiat
+from model.types.pair import Pair
 if TYPE_CHECKING:
-    from model.types import Currency
+    from model.types.base import Currency
+
 
 class Balance(dict):
     """
@@ -26,7 +30,6 @@ def __str__(self) -> str:
         ])
         return f"Balance({values})"
 
-
     @staticmethod
     def zero():
         return Balance()
@@ -43,6 +46,12 @@ def __combine__(self, other: "Balance", combinator: Callable[[int, int], int]):
             for currency in set(self.keys()).union(other.keys())
         })
 
+    def values_in_usd(self, prev_state):
+        values_in_usd = {
+            key: inventory * Pair(key, Fiat.USD).get_rate(prev_state).value
+            for key, inventory in self.items()}
+        return values_in_usd
+
     @property
     def any_negative(self) -> bool:
         for (_, value) in self.items():

diff --git a/model/entities/oracle_provider.py b/model/entities/oracle_provider.py
@@ -4,7 +4,8 @@
 
 from typing import List
 from uuid import UUID
-from model.types import OracleConfig, Pair
+from model.types.configs import OracleConfig
+from model.types.pair import Pair
 from model.constants import blocktime_seconds
 from model.utils.rng_provider import RNGProvider
 

diff --git a/model/entities/strategies/strategy_arbitrage_trader.py b/model/entities/strategies/strategy_arbitrage_trader.py
@@ -4,9 +4,10 @@
 from enum import Enum
 import numpy as np
 
-from model.types import MentoBuckets
+from model.types.base import MentoBuckets
 from .trader_strategy import TraderStrategy
 
+
 class TradingRegime(Enum):
     SELL_STABLE = "SELL_STABLE"
     SELL_RESERVE_ASSET = "SELL_RESERVE_ASSET"
@@ -135,10 +136,10 @@ def sell_order_stable(self, buckets: MentoBuckets, market_price: float, spread:
         }
 
     def sell_order_reserve_asset(
-        self,
-        buckets: MentoBuckets,
-        market_price: float,
-        spread: float):
+            self,
+            buckets: MentoBuckets,
+            market_price: float,
+            spread: float):
         """
         Calculate order for selling the reserve currency
         """

diff --git a/model/entities/strategies/trader_strategy.py b/model/entities/strategies/trader_strategy.py
@@ -13,10 +13,13 @@
 from cvxpy import Maximize, Minimize, Problem, Variable
 import cvxpy
 
-from model.types import MentoBuckets, MentoExchangeConfig, Pair
+from model.types.base import MentoBuckets
+from model.types.pair import Pair
+from model.types.configs import MentoExchangeConfig
 if TYPE_CHECKING:
     from model.entities.trader import Trader
 
+
 class TraderStrategy:
     """
     Base trader strategy class to solve a convex optimisation problem.
@@ -85,7 +88,8 @@ def define_constraints(self, params, prev_state):
         max_budget_stable = self.parent.balance.get(self.stable)
         max_budget_reserve_asset = self.parent.balance.get(self.reserve_asset)
         if self.sell_reserve_asset(params, prev_state):
-            self.constraints.append(self.variables["sell_amount"] <= max_budget_reserve_asset)
+            self.constraints.append(
+                self.variables["sell_amount"] <= max_budget_reserve_asset)
         else:
             self.constraints.append(self.variables["sell_amount"] <= max_budget_stable)
 
@@ -150,12 +154,14 @@ def minimise_price_impact(self, sell_amount, sell_reserve_asset, params):
         # Todo logic is probably wrong, fix!
         if sell_reserve_asset:
             sell_amount_adjusted = min(
-                params["average_daily_volume"].get(Pair(self.stable, self.reference_fiat)),
+                params["average_daily_volume"].get(
+                    Pair(self.stable, self.reference_fiat)),
                 sell_amount
             )
         elif not sell_reserve_asset:
             sell_amount_adjusted = min(
-                params["average_daily_volume"].get(Pair(self.reserve_asset, self.reference_fiat)),
+                params["average_daily_volume"].get(
+                    Pair(self.reserve_asset, self.reference_fiat)),
                 sell_amount
             )
         return sell_amount_adjusted
@@ -181,7 +187,8 @@ def return_optimal_trade(self, params, prev_state):
                 trade = None
             else:
                 sell_reserve_asset = self.sell_reserve_asset(params, prev_state)
-                sell_amount = self.minimise_price_impact(sell_amount, sell_reserve_asset, params)
+                sell_amount = self.minimise_price_impact(
+                    sell_amount, sell_reserve_asset, params)
                 buy_amount = self.mento.get_buy_amount(
                     exchange=self.parent.config.exchange,
                     sell_amount=sell_amount,
@@ -199,7 +206,8 @@ def return_optimal_trade(self, params, prev_state):
     def market_price(self, prev_state) -> float:
         # TODO: Do we need to quote in equivalent Fiat for Stable?
         return (
-            prev_state["market_price"].get(Pair(self.reserve_asset, self.reference_fiat))
+            prev_state["market_price"].get(
+                Pair(self.reserve_asset, self.reference_fiat))
             / prev_state["market_price"].get(Pair(self.stable, self.reference_fiat))
         )
 

diff --git a/model/entities/trader.py b/model/entities/trader.py
@@ -10,12 +10,14 @@
 from model.generators.mento import MentoExchangeGenerator
 from model.entities import strategies
 from model.entities.account import Account, Balance
-from model.types import MentoExchangeConfig, Pair, TraderConfig
+from model.types.pair import Pair
+from model.types.configs import MentoExchangeConfig, TraderConfig
 from model.utils.rng_provider import RNGProvider
 
 if TYPE_CHECKING:
     from model.generators.accounts import AccountGenerator
 
+
 class Trader(Account):
     """
     The Trader extens an account with a trading strategy.

diff --git a/model/generators/accounts.py b/model/generators/accounts.py
@@ -9,7 +9,7 @@
 from model.entities.account import Account
 from model.entities.trader import Trader
 from model.entities.balance import Balance
-from model.types import TraderConfig
+from model.types.configs import TraderConfig
 from model.utils import update_from_signal
 from model.utils.generator import Generator, state_update_blocks
 from model.utils.generator_container import GeneratorContainer
@@ -32,11 +32,11 @@ class AccountGenerator(Generator):
     rngp: RNGProvider
 
     def __init__(self,
-                reserve_inventory: Balance,
-                initial_floating_supply: Balance,
-                traders: List[TraderConfig],
-                container: GeneratorContainer,
-                rngp: RNGProvider):
+                 reserve_inventory: Balance,
+                 initial_floating_supply: Balance,
+                 traders: List[TraderConfig],
+                 container: GeneratorContainer,
+                 rngp: RNGProvider):
         self.container = container
         self.rngp = rngp
         self.reserve = self.create_reserve_account(
@@ -116,7 +116,7 @@ def traders(self) -> List[Trader]:
             account
             for account in self.accounts_by_id.values()
             if isinstance(account, Trader)
-            ]
+        ]
 
     def get(self, account_id) -> Account:
         account = self.accounts_by_id.get(account_id)
@@ -131,7 +131,7 @@ def tracked_floating_supply(self) -> Balance:
         return sum(
             [account.balance for account in self.accounts_by_id.values()],
             Balance.zero()
-            )
+        )
 
     @property
     def floating_supply(self) -> Balance:

diff --git a/model/generators/markets.py b/model/generators/markets.py
@@ -8,7 +8,7 @@
 from experiments.simulation_configuration import TOTAL_BLOCKS
 from model.system_parameters import Parameters
 
-from model.types import MarketPriceModel
+from model.types.base import MarketPriceModel
 from model.utils.data_feed import DATA_FOLDER, DataFeed
 from model.utils.generator import Generator
 from model.utils.price_impact_valuator import PriceImpactValuator

diff --git a/model/generators/mento.py b/model/generators/mento.py
@@ -9,7 +9,9 @@
 
 from model.constants import blocktime_seconds
 from model.entities.balance import Balance
-from model.types import MentoBuckets, MentoExchange, MentoExchangeConfig, Pair, Stable
+from model.types.base import MentoBuckets, MentoExchange, Stable
+from model.types.pair import Pair
+from model.types.configs import MentoExchangeConfig
 from model.utils.generator import Generator, state_update_blocks
 from model.utils import update_from_signal
 

diff --git a/model/generators/oracles.py b/model/generators/oracles.py
@@ -8,7 +8,8 @@
 
 
 from model.entities.oracle_provider import OracleProvider
-from model.types import OracleConfig, Pair
+from model.types.pair import Pair
+from model.types.configs import OracleConfig
 from model.utils import update_from_signal
 from model.utils.generator import Generator, state_update_blocks
 from model.utils.rng_provider import RNGProvider

diff --git a/model/parts/celo_system.py b/model/parts/celo_system.py
@@ -6,7 +6,8 @@
 from model.entities.balance import Balance
 from model.generators.accounts import AccountGenerator
 from model.constants import target_epoch_rewards_downscaled, seconds_per_epoch, blocktime_seconds
-from model.types import CryptoAsset, Fiat, Pair, Stable
+from model.types.base import CryptoAsset, Fiat, Stable
+from model.types.pair import Pair
 from model.utils.generator_container import inject
 
 
@@ -33,8 +34,6 @@ def p_epoch_rewards(_params, _substep, _state_history, prev_state,
         validator_rewards
         / prev_state["oracle_rate"].get(Pair(CryptoAsset.CELO, Fiat.USD))
     )
-
-
     account_generator.reserve.balance += Balance({
         CryptoAsset.CELO: validator_rewards,
     })