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Refactor/ injective market parsing #362

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Refactor/ injective market parsing #362

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5fc870f
market update
vic-en May 30, 2023
24ccf53
Merge branch 'development' of https://github.com/CoinAlpha/hummingbot…
vic-en May 30, 2023
c3d6ca3
update
vic-en Jun 6, 2023
92d36cf
Merge branch 'development' of https://github.com/CoinAlpha/hummingbot…
vic-en Jun 20, 2023
b24bf2d
Merge branch 'development' of https://github.com/CoinAlpha/hummingbot…
vic-en Jun 21, 2023
69fbd33
test update
vic-en Jun 22, 2023
9ec7f5b
update tests
vic-en Jun 26, 2023
8632ac1
update test
vic-en Jun 26, 2023
16b6c8e
update test
vic-en Jun 27, 2023
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165 changes: 74 additions & 91 deletions ...gateway/clob_perp/data_sources/injective_perpetual/injective_perpetual_api_data_source.py
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2 changes: 2 additions & 0 deletions ...ector/gateway/clob_perp/data_sources/injective_perpetual/injective_perpetual_constants.py
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Original file line number Diff line number Diff line change
Expand Up @@ -36,6 +36,8 @@
MSG_CANCEL_DERIVATIVE_ORDER = "/injective.exchange.v1beta1.MsgCancelDerivativeOrder"
MSG_BATCH_UPDATE_ORDERS = "/injective.exchange.v1beta1.MsgBatchUpdateOrders"

MARKETS_LIST_URL = "https://raw.githubusercontent.com/InjectiveLabs/utils-go/master/pkg/curatedLists/hummingbot/markets.json"

INJ_DERIVATIVE_TX_EVENT_TYPES = [
MSG_CREATE_DERIVATIVE_LIMIT_ORDER,
MSG_CANCEL_DERIVATIVE_ORDER,
Expand Down
223 changes: 79 additions & 144 deletions ...ctor/gateway/clob_perp/data_sources/injective_perpetual/injective_perpetual_mock_utils.py
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Original file line number Diff line number Diff line change
Expand Up @@ -6,6 +6,7 @@

import grpc
import pandas as pd
from aioresponses import aioresponses
from pyinjective.orderhash import OrderHashResponse
from pyinjective.proto.exchange.injective_accounts_rpc_pb2 import (
StreamSubaccountBalanceResponse,
Expand All @@ -14,21 +15,16 @@
)
from pyinjective.proto.exchange.injective_derivative_exchange_rpc_pb2 import (
DerivativeLimitOrderbookV2,
DerivativeMarketInfo,
DerivativeOrderHistory,
DerivativePosition,
DerivativeTrade,
FundingPayment,
FundingPaymentsResponse,
FundingRate,
FundingRatesResponse,
MarketResponse,
MarketsResponse,
OrderbooksV2Response,
OrdersHistoryResponse,
Paging,
PerpetualMarketFunding,
PerpetualMarketInfo,
PositionDelta,
PositionsResponse,
PriceLevel,
Expand All @@ -37,7 +33,6 @@
StreamOrdersHistoryResponse,
StreamPositionsResponse,
StreamTradesResponse,
TokenMeta,
TradesResponse,
)
from pyinjective.proto.exchange.injective_explorer_rpc_pb2 import (
Expand All @@ -56,18 +51,14 @@
SubaccountBalanceV2,
SubaccountDeposit,
)
from pyinjective.proto.exchange.injective_spot_exchange_rpc_pb2 import (
MarketsResponse as SpotMarketsResponse,
SpotMarketInfo,
TokenMeta as SpotTokenMeta,
)

from hummingbot.connector.constants import s_decimal_0
from hummingbot.connector.gateway.clob_perp.data_sources.injective_perpetual.injective_perpetual_constants import (
BASE_GAS,
DERIVATIVE_CANCEL_ORDER_GAS,
DERIVATIVE_SUBMIT_ORDER_GAS,
GAS_BUFFER,
MARKETS_LIST_URL,
)
from hummingbot.core.data_type.common import OrderType, PositionSide, TradeType
from hummingbot.core.data_type.in_flight_order import InFlightOrder
Expand Down Expand Up @@ -182,7 +173,7 @@ def taker_fee_rate(self) -> Decimal:
def exchange_trading_pair(self) -> str:
return self.market_id

def start(self):
def start(self, mock_api):
self.injective_async_client_mock = self.injective_async_client_mock_patch.start()
self.injective_async_client_mock.return_value = self.injective_async_client_mock
self.gateway_instance_mock = self.gateway_instance_mock_patch.start()
Expand All @@ -201,7 +192,23 @@ def start(self):
self.injective_async_client_mock.stream_oracle_prices.return_value = StreamMock()
self.injective_async_client_mock.stream_derivative_positions.return_value = StreamMock()

self.configure_active_derivative_markets_response(timestamp=self.initial_timestamp)
params = {
"inj_base": self.inj_base,
"base": self.base,
"quote": self.quote,
"base_coin_address": self.base_coin_address,
"quote_coin_address": self.quote_coin_address,
"base_decimals": self.base_decimals,
"quote_decimals": self.quote_decimals,
"initial_timestamp": self.initial_timestamp,
"market_id": self.market_id,
"inj_market_id": self.inj_market_id,
"base_tokens": [self.inj_base, self.base],
"min_price_tick_size": self.min_price_tick_size,
"min_quantity_tick_size": self.min_quantity_tick_size,
}

InjectivePerpetualClientMock.configure_active_derivative_markets_response(mock_api=mock_api, **params)
self.configure_get_funding_info_response(
index_price=Decimal("200"),
mark_price=Decimal("202"),
Expand Down Expand Up @@ -923,14 +930,6 @@ def configure_get_funding_info_response(
taker_fee=AddedToCostTradeFee(flat_fees=[TokenAmount(token=self.quote, amount=Decimal("0"))]),
)

derivative_market_info = self._get_derivative_market_info(
market_id=self.market_id,
base_token=self.base,
next_funding_time=next_funding_time,
)
market_info_response = MarketResponse(market=derivative_market_info)
self.injective_async_client_mock.get_derivative_market.return_value = market_info_response

def configure_get_funding_payments_response(
self, timestamp: float, funding_rate: Decimal, amount: Decimal
):
Expand Down Expand Up @@ -1176,79 +1175,12 @@ def configure_cancelation_transaction_stream_event(self, timestamp: float, trans
)
self.injective_async_client_mock.stream_txs.return_value.add(transaction_event)

def configure_active_derivative_markets_response(self, timestamp: float):
custom_derivative_market_info = self._get_derivative_market_info(
market_id=self.market_id, base_token=self.base
)

inj_derivative_market_info = self._get_derivative_market_info(
market_id=self.inj_market_id, base_token=self.inj_base
)
perp_markets = MarketsResponse()
perp_markets.markets.append(custom_derivative_market_info)
perp_markets.markets.append(inj_derivative_market_info)

self.injective_async_client_mock.get_derivative_markets.return_value = perp_markets

min_spot_price_tick_size = str(
self.min_price_tick_size * Decimal(f"1e{self.quote_decimals - self.base_decimals}"))
min_spot_quantity_tick_size = str(self.min_quantity_tick_size * Decimal(f"1e{self.base_decimals}"))
inj_spot_pair_min_price_tick_size = str(self.min_price_tick_size * Decimal(f"1e{18 - self.base_decimals}"))
inj_spot_pair_min_quantity_tick_size = str(self.min_quantity_tick_size * Decimal(f"1e{self.base_decimals}"))
base_token_meta = SpotTokenMeta(
name="Coin",
address=self.base_coin_address,
symbol=self.base,
decimals=self.base_decimals,
updated_at=int(timestamp * 1e3),
)
quote_token_meta = SpotTokenMeta(
name="Alpha",
address=self.quote_coin_address,
symbol=self.quote,
decimals=self.quote_decimals,
updated_at=int(timestamp * 1e3),
)
inj_token_meta = SpotTokenMeta(
name="Injective Protocol",
address="0xe28b3B32B6c345A34Ff64674606124Dd5Aceca30", # noqa: mock
symbol=self.inj_base,
decimals=18,
updated_at=int(timestamp * 1e3),
)
custom_spot_market_info = SpotMarketInfo(
market_id=self.market_id,
market_status="active",
ticker=f"{self.base}/{self.quote}",
base_denom=self.base_denom,
base_token_meta=base_token_meta,
quote_denom=self.quote_denom,
quote_token_meta=quote_token_meta,
maker_fee_rate=str(self.maker_fee_rate),
taker_fee_rate=str(self.taker_fee_rate),
service_provider_fee="0.4",
min_price_tick_size=min_spot_price_tick_size,
min_quantity_tick_size=min_spot_quantity_tick_size,
)
inj_spot_market_info = SpotMarketInfo(
market_id=self.inj_market_id,
market_status="active",
ticker=f"{self.inj_base}/{self.quote}",
base_denom="inj",
base_token_meta=inj_token_meta,
quote_denom=self.quote_denom,
quote_token_meta=quote_token_meta,
maker_fee_rate=str(self.maker_fee_rate),
taker_fee_rate=str(self.taker_fee_rate),
service_provider_fee="0.4",
min_price_tick_size=inj_spot_pair_min_price_tick_size,
min_quantity_tick_size=inj_spot_pair_min_quantity_tick_size,
)
spot_markets = SpotMarketsResponse()
spot_markets.markets.append(custom_spot_market_info)
spot_markets.markets.append(inj_spot_market_info)

self.injective_async_client_mock.get_spot_markets.return_value = spot_markets
@staticmethod
def configure_active_derivative_markets_response(mock_api: aioresponses, **kwargs):
url = MARKETS_LIST_URL
response = InjectivePerpetualClientMock.get_derivative_market_info(**kwargs)
mock_api.get(url, body=json.dumps(response), repeat=True)
return url

def configure_get_derivative_positions_response(
self,
Expand Down Expand Up @@ -1285,7 +1217,7 @@ def configure_get_derivative_positions_response(
entry_price=str(main_position_price * Decimal(f"1e{self.quote_decimals}")),
margin=str(margin),
liquidation_price="0",
mark_price=str(main_position_mark_price * Decimal(f"1e{self.oracle_scale_factor}")),
mark_price=str(main_position_mark_price * Decimal(f"1e{self.quote_decimals}")),
aggregate_reduce_only_quantity="0",
updated_at=1680511486496,
created_at=-62135596800000,
Expand All @@ -1307,7 +1239,7 @@ def configure_get_derivative_positions_response(
entry_price=str(inj_position_price * Decimal(f"1e{self.quote_decimals}")),
margin=str(margin),
liquidation_price="0",
mark_price=str(inj_position_mark_price * Decimal(f"1e{self.oracle_scale_factor}")),
mark_price=str(inj_position_mark_price * Decimal(f"1e{self.quote_decimals}")),
aggregate_reduce_only_quantity="0",
updated_at=1680511486496,
created_at=-62135596800000,
Expand All @@ -1332,7 +1264,7 @@ def configure_position_event(
direction="long" if side == PositionSide.LONG else "short",
subaccount_id=self.sub_account_id,
quantity=str(size),
mark_price=str(mark_price * Decimal(f"1e{self.oracle_scale_factor}")),
mark_price=str(mark_price * Decimal(f"1e{self.quote_decimals}")),
entry_price=str(entry_price * Decimal(f"1e{self.quote_decimals}")),
margin=str(margin * Decimal(f"1e{self.quote_decimals}")),
aggregate_reduce_only_quantity="0",
Expand All @@ -1342,54 +1274,57 @@ def configure_position_event(
position_event = StreamPositionsResponse(position=position)
self.injective_async_client_mock.stream_derivative_positions.return_value.add(position_event)

def _get_derivative_market_info(
self,
market_id: str,
base_token: str,
next_funding_time: float = 123123123
@staticmethod
def get_derivative_market_info(
inj_base: str,
base: str,
quote: str,
initial_timestamp: float,
base_coin_address = "someBaseCoinAddress",
quote_coin_address = "someQuoteCoinAddress",
base_decimals: int = 18,
quote_decimals: int = 8,
market_id: str = "someMarketId",
inj_market_id: str = "anotherMarketId",
base_tokens: List[str] = [],
min_price_tick_size=Decimal("0.000001"),
min_quantity_tick_size=Decimal("0.001"),
):
quote_token_meta = TokenMeta(
name="Alpha",
address=self.quote_coin_address,
symbol=self.quote,
decimals=self.quote_decimals,
updated_at=int(self.initial_timestamp * 1e3),
)
min_perpetual_price_tick_size = str(self.min_price_tick_size * Decimal(f"1e{self.quote_decimals}"))
min_perpetual_quantity_tick_size = str(self.min_quantity_tick_size)
perpetual_market_info = PerpetualMarketInfo(
hourly_funding_rate_cap="0.0000625",
hourly_interest_rate="0.00000416666",
next_funding_timestamp=int(next_funding_time * 1e3),
funding_interval=3600,
)
perpetual_market_funding = PerpetualMarketFunding(
cumulative_funding="6749828879.286921884648585187",
cumulative_price="1.502338165156193724",
last_timestamp=1677660809,
)
derivative_market_info = DerivativeMarketInfo(
market_id=market_id,
market_status="active",
ticker=f"{base_token}/{self.quote} PERP",
oracle_base=base_token,
oracle_quote=self.quote,
oracle_type="bandibc",
oracle_scale_factor=self.oracle_scale_factor,
initial_margin_ratio="0.095",
maintenance_margin_ratio="0.05",
quote_denom=self.quote_coin_address,
quote_token_meta=quote_token_meta,
maker_fee_rate=str(self.maker_fee_rate),
taker_fee_rate=str(self.taker_fee_rate),
service_provider_fee="0.4",
is_perpetual=True,
min_price_tick_size=min_perpetual_price_tick_size,
min_quantity_tick_size=min_perpetual_quantity_tick_size,
perpetual_market_info=perpetual_market_info,
perpetual_market_funding=perpetual_market_funding,
)
return derivative_market_info
market_ids = {base: market_id, inj_base: inj_market_id}
markets = {"markets": []}
for base_token in base_tokens:
markets["markets"].append(
{
"marketId": market_ids[base_token],
"ticker": f"{base_token}/{quote} PERP",
"baseDenom": base_coin_address,
"baseTokenMeta":
{
"name": base_token,
"address": base_coin_address,
"symbol": base_token,
"logo": "https://static.alchemyapi.io/images/assets/2396.png",
"decimals": base_decimals,
"updatedAt": int(initial_timestamp * 1e3)
},
"quoteDenom": quote_coin_address,
"quoteTokenMeta":
{
"name": "Alpha",
"address": quote_coin_address,
"symbol": quote,
"logo": "https://static.alchemyapi.io/images/assets/3408.png",
"decimals": quote_decimals,
"updatedAt": int(initial_timestamp * 1e3)
},
"makerFeeRate": "-0.0001",
"takerFeeRate": "0.001",
"serviceProviderFee": "0.4",
"minPriceTickSize": str(min_price_tick_size * Decimal(f"1e{quote_decimals}")),
"minQuantityTickSize": str(min_quantity_tick_size)
}
)
return markets

def configure_fetch_last_fee_payment_response(
self, amount: Decimal, funding_rate: Decimal, timestamp: float
Expand Down
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