feat: Updates

vegaprotocol · Apr 7, 2024 · 9662971 · 9662971
1 parent 3b3b33f
commit 9662971
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Showing 3 changed files with 30 additions and 12 deletions.
diff --git a/vega_sim/devops/registry.py b/vega_sim/devops/registry.py
@@ -301,5 +301,6 @@
         initial_price=4,
         base_balance=3000,
         position_offset=0,
+        order_validity_length=60,
     ),
 }
diff --git a/vega_sim/scenario/common/agents.py b/vega_sim/scenario/common/agents.py
@@ -18,6 +18,7 @@
 
 import time
 from collections import namedtuple
+from dataclasses import dataclass
 from enum import Enum
 from typing import Any, Callable, Dict, Iterable, List, Optional, Tuple, Union
 
@@ -61,7 +62,15 @@ class MarketHistoryData:
 AUCTION2_WALLET = WalletConfig("AUCTION2", "AUCTION2pass")
 
 ITOrder = namedtuple("ITOrder", ["side", "size"])
-MMOrder = namedtuple("MMOrder", ["size", "price", "side"])
+
+
+@dataclass
+class MMOrder:
+    size: float
+    price: float
+    side: vega_protos.Side
+    time_in_force: vega_protos.Order.TimeInForce = vega_protos.Order.TIME_IN_FORCE_GTT
+
 
 LiquidityProvision = namedtuple("LiquidityProvision", ["amount", "fee"])
 
@@ -1541,9 +1550,7 @@ def _move_side(
                     order_id=order_to_amend.id,
                     price=order.price,
                     time_in_force=(
-                        "TIME_IN_FORCE_GTT"
-                        if self.order_validity_length is not None
-                        else "TIME_IN_FORCE_GTC"
+                        order.time_in_force
                     ),
                     size_delta=order.size - order_to_amend.remaining,
                     expires_at=expires_at,
@@ -1557,11 +1564,7 @@ def _move_side(
                     price=order.price,
                     size=order.size,
                     order_type="TYPE_LIMIT",
-                    time_in_force=(
-                        "TIME_IN_FORCE_GTT"
-                        if self.order_validity_length is not None
-                        else "TIME_IN_FORCE_GTC"
-                    ),
+                    time_in_force=order.time_in_force,
                     side=order.side,
                     expires_at=expires_at,
                     post_only=True,

diff --git a/vega_sim/scenario/constant_function_market/agents.py b/vega_sim/scenario/constant_function_market/agents.py
@@ -262,7 +262,7 @@ def __init__(
         wallet_name: str = None,
         orders_from_stream: Optional[bool] = True,
         state_update_freq: Optional[int] = None,
-        order_validity_length: Optional[float] = None,
+        order_validity_length: Optional[float] = 5,
         price_process_generator: Optional[Iterable[float]] = None,
         use_last_price_as_ref: bool = False,
         position_offset: float = 0,
@@ -403,13 +403,27 @@ def _add_orders_at_bounds(
         required_vol = self.commitment_amount * 24
 
         buy_orders = (
-            [MMOrder((required_vol - buy_vol) / lower, lower, vega_protos.SIDE_BUY)]
+            [
+                MMOrder(
+                    (required_vol - buy_vol) / lower,
+                    lower,
+                    vega_protos.SIDE_BUY,
+                    time_in_force=vega_protos.Order.TIME_IN_FORCE_GFN,
+                )
+            ]
             if buy_vol < required_vol
             else []
         )
 
         sell_orders = (
-            [MMOrder((required_vol - sell_vol) / upper, upper, vega_protos.SIDE_SELL)]
+            [
+                MMOrder(
+                    (required_vol - sell_vol) / upper,
+                    upper,
+                    vega_protos.SIDE_SELL,
+                    time_in_force=vega_protos.Order.TIME_IN_FORCE_GFN,
+                )
+            ]
             if sell_vol < required_vol
             else []
         )