feat: Tweaks to scenario

vega_sim/local_data_cache.py

@@ -416,15 +416,15 @@ def initialise_market_data(
             ]
         with self.market_data_lock:
             for market_id in market_ids:
-                self.market_data_from_feed_store[market_id] = (
-                    data.get_latest_market_data(
-                        market_id,
-                        data_client=self._trading_data_client,
-                        market_price_decimals_map=self._market_price_decimals,
-                        market_position_decimals_map=self._market_pos_decimals,
-                        asset_decimals_map=self._asset_decimals,
-                        market_to_asset_map=self._market_to_asset,
-                    )
+                self.market_data_from_feed_store[
+                    market_id
+                ] = data.get_latest_market_data(
+                    market_id,
+                    data_client=self._trading_data_client,
+                    market_price_decimals_map=self._market_price_decimals,
+                    market_position_decimals_map=self._market_pos_decimals,
+                    asset_decimals_map=self._asset_decimals,
+                    market_to_asset_map=self._market_to_asset,
                 )
 
     def initialise_transfer_monitoring(

vega_sim/proto/vega/events/v1/__init__.py

@@ -1,9 +1,7 @@
-from . import __pycache__
 from . import events_pb2 as events
 from . import events_pb2_grpc as events_grpc
 
 __all__ = [
-    "__pycache__",
     "events",
     "events_grpc",
 ]

vega_sim/scenario/common/agents.py

@@ -1097,7 +1097,9 @@ def __init__(
         self.initial_mint = (
             initial_mint
             if initial_mint is not None
-            else (2 * commitment_amount) if commitment_amount is not None else 100
+            else (2 * commitment_amount)
+            if commitment_amount is not None
+            else 100
         )
 
         self.market_name = market_name

vega_sim/scenario/constant_function_market/agents.py

@@ -18,12 +18,7 @@ def _price_for_size(
     k_scaling_large: float,
     k_scaling_small: float,
     trade_size: float,
-    # pool_size: float,
 ) -> float:
-    # sell_pool = pool_size / (last_trade + 1)
-    # buy_pool = pool_size - sell_pool
-    # mid = buy_pool / sell_pool
-
     if side == vega_protos.Side.SIDE_SELL:
         k_scaling = k_scaling_small if position >= 0 else k_scaling_large
 
@@ -245,7 +240,8 @@ def __init__(
         initial_price: float = 100,
         price_width_below: float = 0.05,
         price_width_above: float = 0.05,
-        margin_usage_at_bounds: float = 0.8,
+        margin_usage_at_bound_above: float = 0.8,
+        margin_usage_at_bound_below: float = 0.8,
         initial_asset_mint: float = 1000000,
         market_name: str = None,
         asset_name: str = None,
@@ -294,7 +290,8 @@ def __init__(
         self.lower_liq_factor = 1 / (self.base_price_sqrt - self.lower_price_sqrt)
         self.upper_liq_factor = 1 / (self.upper_price_sqrt - self.base_price_sqrt)
 
-        self.margin_usage_at_bounds = margin_usage_at_bounds
+        self.margin_usage_at_bound_above = margin_usage_at_bound_above
+        self.margin_usage_at_bound_below = margin_usage_at_bound_below
 
         self.tick_spacing = tick_spacing
         self.num_levels = num_levels
@@ -333,7 +330,9 @@ def _quantity_for_move(
         end_price_sqrt,
         range_upper_price_sqrt,
         liquidity_factor,
-    ) -> float:
+    ) -> Optional[float]:
+        if liquidity_factor == 0:
+            return None
         start_fut_pos = (
             liquidity_factor
             * (range_upper_price_sqrt - start_price_sqrt)
@@ -365,12 +364,12 @@ def _calculate_price_levels(
         self, ref_price: float, balance: float
     ) -> Tuple[List[MMOrder], List[MMOrder]]:
         upper_L = (
-            self.margin_usage_at_bounds
+            self.margin_usage_at_bound_above
             * (balance / self.short_factor)
             * self.upper_liq_factor
         )
         lower_L = (
-            self.margin_usage_at_bounds
+            self.margin_usage_at_bound_below
             * (balance / self.long_factor)
             * self.lower_liq_factor
         )
@@ -394,7 +393,8 @@ def _calculate_price_levels(
                 self.upper_price_sqrt,
                 upper_L if price > self.base_price else lower_L,
             )
-            agg_asks.append(MMOrder(volume, price))
+            if volume is not None:
+                agg_asks.append(MMOrder(volume, price))
 
         for i in range(1, self.num_levels):
             pre_price_sqrt = (ref_price - (i - 1) * self.tick_spacing) ** 0.5
@@ -409,7 +409,8 @@ def _calculate_price_levels(
                 self.upper_price_sqrt,
                 upper_L if price > self.base_price else lower_L,
             )
-            agg_bids.append(MMOrder(volume, price))
+            if volume is not None:
+                agg_bids.append(MMOrder(volume, price))
 
         self.curr_bids = agg_bids
         self.curr_asks = agg_asks

vega_sim/scenario/constant_function_market/scenario.py

@@ -247,14 +247,17 @@ def configure_agents(
                 commitment_amount=1_000,
                 market_decimal_places=market_config.decimal_places,
                 fee_amount=0.001,
-                initial_price=price_process[0],
+                initial_price=max(price_process),
+                # initial_price=price_process[0],
                 num_levels=200,
                 tick_spacing=0.1,
                 price_width_above=0.2,
                 price_width_below=0.2,
+                margin_usage_at_bound_above=0,
+                margin_usage_at_bound_below=0.8,
                 asset_decimal_places=asset_dp,
-                tag="MARKET_CFM",
                 price_process_generator=iter(price_process),
+                tag="MARKET_CFM",
             )
         ]
 
@@ -283,12 +286,12 @@ def configure_agents(
                 asset_name=asset_name,
                 price_process_generator=iter(price_process),
                 initial_asset_mint=self.initial_asset_mint,
-                buy_intensity=20,
-                sell_intensity=20,
+                buy_intensity=1,
+                sell_intensity=1,
                 spread_offset=0.0001,
                 tag=f"ARB_AGENT_{str(i_agent).zfill(3)}",
                 random_state=random_state,
-                base_order_size=0.1,
+                base_order_size=0.001,
                 wallet_name="ARB_TRADERS",
             )
             for i_agent in range(2)
@@ -379,7 +382,7 @@ def configure_environment(
 
     with VegaServiceNull(
         warn_on_raw_data_access=False,
-        run_with_console=True,
+        run_with_console=False,
         use_full_vega_wallet=False,
         retain_log_files=True,
         launch_graphql=False,