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Restore old route planning algorithm.
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@dowlandaiello
dowlandaiello committed Oct 16, 2024
1 parent 2bbce5e commit 7486a56
Showing 1 changed file with 58 additions and 128 deletions.
186 changes: 58 additions & 128 deletions src/strategies/util.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1124,74 +1124,12 @@ async def transfer_or_continue() -> bool:
raise ValueError("IBC transfer timed out.")


async def quantities_for_starting_amount(
starting_amount: int, route: list[Leg]
) -> list[int]:
"""
Gets the order size for each subsequent trade given a starting amount,
and the liquidity in each pool.
"""

quantities = [starting_amount]

for leg in route:
if quantities[-1] == 0:
quantities = [starting_amount]

break

prev_amt = quantities[-1]

if isinstance(leg.backend, AuctionProvider):
if leg.in_asset != leg.backend.asset_a:
return quantities

if await leg.backend.remaining_asset_b() == 0:
return quantities

quantities.append(
min(
int(await leg.backend.exchange_rate() * prev_amt),
await leg.backend.remaining_asset_b(),
)
)

continue

if leg.in_asset == leg.backend.asset_a:
quantities.append(int(await leg.backend.simulate_swap_asset_a(prev_amt)))

pool_liquidity = await leg.backend.balance_asset_b()

if (
pool_liquidity == 0
or Decimal(quantities[-1]) / Decimal(pool_liquidity)
> MAX_POOL_LIQUIDITY_TRADE
):
break

continue

quantities.append(int(await leg.backend.simulate_swap_asset_b(prev_amt)))

pool_liquidity = await leg.backend.balance_asset_a()

if (
pool_liquidity == 0
or Decimal(quantities[-1]) / Decimal(pool_liquidity)
> MAX_POOL_LIQUIDITY_TRADE
):
break

return quantities


async def quantities_for_route_profit(
starting_amount: int,
route: list[Leg],
r: Route,
ctx: Ctx[Any],
seek_profit: bool = True,
seek_profit: Optional[bool] = True,
) -> tuple[int, list[int]]:
"""
Calculates what quantities should be used to obtain
Expand All @@ -1201,92 +1139,84 @@ async def quantities_for_route_profit(
if len(route) <= 1:
return (0, [])

left = 0
right = starting_amount
mid = starting_amount // 2
quantities: list[int] = [starting_amount]

plans: dict[int, list[int]] = {}
plans_by_profit: list[int] = []
while (seek_profit and quantities[-1] - quantities[0] <= 0) or len(
quantities
) <= len(route):
ctx.log_route(r, "info", "Route has possible execution plan: %s", [quantities])

attempts: int = 0
if starting_amount < DENOM_QUANTITY_ABORT_ARB:
logger.debug(
"Hit investment backstop (%d) in route planning: %s (%s)",
DENOM_QUANTITY_ABORT_ARB,
starting_amount,
quantities,
)

while (
left != right
and mid != right
and mid > 0
and mid <= starting_amount
and attempts < MAX_EVAL_PROBES
):
attempts += 1
return (0, [])

quantities: list[int] = (
plans[mid]
if mid in plans
else await quantities_for_starting_amount(mid, route)
)
plans[mid] = quantities
quantities = [starting_amount]

ctx.log_route(
r,
"info",
"Got execution plan @ %d: [%s]",
[
mid,
", ".join((str(qty) for qty in quantities)),
],
)
for leg in route:
if quantities[-1] == 0:
quantities = [starting_amount]

if not seek_profit and len(quantities) > len(route):
return (quantities[-1] - quantities[0], quantities)
break

profit = 0 if len(quantities) == 0 else quantities[-1] - quantities[0]
prev_amt = quantities[-1]

# Insert in sorted position
if len(quantities) > len(route):
plans_by_profit.append(mid)
if isinstance(leg.backend, AuctionProvider):
if leg.in_asset != leg.backend.asset_a:
return (0, [])

# Continue checking plans, since this quantity was not profitable
if len(quantities) <= len(route) or profit <= 0:
right = mid
mid = left + (right - left) // 2
if await leg.backend.remaining_asset_b() == 0:
return (0, [])

ctx.log_route(r, "debug", "Probing lower execution plans", [])
quantities.append(
min(
int(await leg.backend.exchange_rate() * prev_amt),
await leg.backend.remaining_asset_b(),
)
)

continue
continue

higher_plan = plans.get(mid + (right - mid) // 2, [])
if leg.in_asset == leg.backend.asset_a:
quantities.append(
int(await leg.backend.simulate_swap_asset_a(prev_amt))
)

# No more to evaluate, since greater starting amount was less profitable
if (
len(higher_plan) > 0
and len(higher_plan) >= len(route)
and higher_plan[-1] - higher_plan[0] <= profit
):
ctx.log_route(r, "info", "Best execution plan identified", [])
pool_liquidity = await leg.backend.balance_asset_b()

break
if (
pool_liquidity == 0
or Decimal(quantities[-1]) / Decimal(pool_liquidity)
> MAX_POOL_LIQUIDITY_TRADE
):
break

# This plan is profitable, but a bigger plan might be even more profitable
left = mid
mid = (right - left) // 2
continue

ctx.log_route(r, "debug", "Probing higher execution plans", [])
quantities.append(int(await leg.backend.simulate_swap_asset_b(prev_amt)))

plans_by_profit.sort(key=lambda idx: plans[idx][-1] - plans[idx][0])
pool_liquidity = await leg.backend.balance_asset_a()

if len(plans_by_profit) == 0:
return (0, [])
if (
pool_liquidity == 0
or Decimal(quantities[-1]) / Decimal(pool_liquidity)
> MAX_POOL_LIQUIDITY_TRADE
):
break

best_plan = plans[plans_by_profit[-1]]
starting_amount = int(Decimal(starting_amount) / Decimal(2.0))

ctx.log_route(
r,
"info",
"Best execution plan: [%s]",
[", ".join((str(qty) for qty in best_plan))],
)
ctx.log_route(r, "info", "Got execution plan: %s", [quantities])

if quantities[-1] - quantities[0] > 0:
ctx.log_route(r, "info", "Route is profitable: %s", [fmt_route(route)])

return (best_plan[-1] - best_plan[0] if len(best_plan) > 0 else 0, best_plan)
return (quantities[-1] - quantities[0], quantities)


async def route_base_denom_profit(
Expand Down

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