feat: make drift term available (#701)

* feat: make drift term available * feat: address comments * feat: add more asset to risky_trader * feat: tweaks for consistent AMM runs * feat: add cumulated trade volume plot * feat: reverse trade order * chore: tidy up * feat: address comments from Charlie * chore: run linter --------- Co-authored-by: Charlie <[email protected]>
vegaprotocol · Sep 5, 2024 · cde315a · cde315a
1 parent 682044b
commit cde315a
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Showing 8 changed files with 72 additions and 29 deletions.
diff --git a/vega_query/service/utils/party.py b/vega_query/service/utils/party.py
@@ -8,6 +8,8 @@
 
 import pandas as pd
 
+from vega_query.utils import timestamp_to_datetime
+
 logger = getLogger(__name__)
 
 
@@ -42,7 +44,9 @@ def historic_positions(
         data = defaultdict(lambda: defaultdict(int))
         for trade in trades:
             position_after_trade = positions.get(trade.market_id, 0)
-            data[trade.timestamp][trade.market_id] = position_after_trade
+            data[timestamp_to_datetime(trade.timestamp)][
+                trade.market_id
+            ] = position_after_trade
             match party_id:
                 case trade.buyer:
                     positions[trade.market_id] -= trade.size
@@ -92,8 +96,8 @@ def historic_balances(
             )
             if aggregated_balance.market_id is not "":
                 account_key += f" | {aggregated_balance.market_id[:7]}"
-            data[aggregated_balance.timestamp][account_key] = int(
-                aggregated_balance.balance
+            data[timestamp_to_datetime(aggregated_balance.timestamp)][account_key] = (
+                int(aggregated_balance.balance)
             )
 
         df = pd.DataFrame.from_dict(data, orient="index").sort_index().ffill()

diff --git a/vega_query/visualisations/overlay.py b/vega_query/visualisations/overlay.py
@@ -895,6 +895,41 @@ def overlay_volume(
     ax.step(x, y, label="volume", where="post")
 
 
+def overlay_cumulative_volume(
+    ax: Axes,
+    trades: List[protos.vega.vega.Trade],
+    price_decimals: int,
+    size_decimals: int,
+    **kwargs,
+):
+    x = []  # List to store timestamps
+    y = []  # List to store cumulative volume
+    cumulative_volume = 0  # Initialize cumulative volume
+
+    for trade in reversed(trades):
+        # Convert timestamp to datetime for x-axis
+        timestamp = timestamp_to_datetime(trade.timestamp, nano=True)
+        x.append(timestamp)
+
+        # Ensure price and size are available
+        if hasattr(trade, "price") and hasattr(trade, "size"):
+            price = padded_int_to_float(trade.price, price_decimals)
+            size = padded_int_to_float(trade.size, size_decimals)
+
+            # Calculate traded volume (price * size)
+            volume = price * size if price != 0 else 0
+
+            # Accumulate volume (ensure volume is positive)
+            cumulative_volume += abs(volume)
+            y.append(cumulative_volume)
+        else:
+            # If price or size is missing, assume no change in cumulative volume
+            y.append(cumulative_volume)
+
+    # Plot the cumulative volume data using step plot
+    ax.step(x, y, label="Cumulative Volume", where="post", **kwargs)
+
+
 def overlay_maker_fee(
     ax: Axes,
     trades: List[protos.vega.vega.Trade],

diff --git a/vega_query/visualisations/plots/amm.py b/vega_query/visualisations/plots/amm.py
@@ -65,13 +65,7 @@ def create(
     # Set unique colors for each party and request party specific information
     amms = service.api.data.list_amms(market_id=market.id)
     if party_ids is None:
-        # party_ids = __party_defaults_old(market_data_history=market_data_history)
         party_ids = __party_defaults(amms=amms)
-        # party_ids = __party_defaults(amms=amms) + __party_defaults_old(
-        #     market_data_history=market_data_history
-        # )
-
-        print(party_ids)
 
     party_colors = __party_colors(party_ids)
 
@@ -80,13 +74,13 @@ def create(
     ymin = ymax = 0
     axes: List[Axes] = []
 
-    axn0l = fig.add_subplot(gs[:, 0])
+    axn0l = fig.add_subplot(gs[0, 0])
     axn0r: Axes = axn0l.twinx()
     if market_data_history is not None:
         overlay_mark_price(axn0l, market_data_history, market.decimal_places)
         overlay_trading_mode(axn0r, market_data_history)
-        overlay_auction_starts(axn0r, market_data_history)
-        overlay_auction_ends(axn0r, market_data_history)
+        # overlay_auction_starts(axn0r, market_data_history)
+        # overlay_auction_ends(axn0r, market_data_history)
 
     axn0l.set_ylabel("USDT")
     axn0l.set_title(
@@ -100,6 +94,10 @@ def create(
     axn0r.legend(loc="upper right", framealpha=1)
     axn0r.add_artist(leg)
 
+    ax10 = fig.add_subplot(gs[1, 0])
+    ax10.set_title("Cumulated traded notional", loc="left")
+    ax10.set_ylabel("Market traded notional")
+
     ax11 = fig.add_subplot(gs[0, 1])
     ax11.set_title("AMM: Position", loc="left")
     ax11.set_ylabel("Open Volume")
@@ -130,6 +128,13 @@ def create(
             date_range_start_timestamp=start_timestamp,
             date_range_end_timestamp=end_timestamp,
         )
+
+        overlay_cumulative_volume(
+            ax=ax10,
+            trades=trades,
+            price_decimals=market.decimal_places,
+            size_decimals=market.position_decimal_places,
+        )
         overlay_position(
             ax=ax11,
             trades=trades,
@@ -139,17 +144,13 @@ def create(
         ax11.get_lines()[-1].set_label(amm_party_id[:7])
 
         # Reconstruct the AMMs aggregated balance from balance changes
-        aggregated_balances = service.api.data.list_balance_changes(
-            party_ids=[amm_party_id],
+        df = service.utils.party.historic_balances(
+            party_id=amm_party_id,
+            asset_id=asset.id,
             date_range_start_timestamp=start_timestamp,
             date_range_end_timestamp=end_timestamp,
         )
-        overlay_aggregated_balances(
-            ax=ax21,
-            aggregated_balances=aggregated_balances,
-            asset_decimals=asset.details.decimals,
-        )
-        ax21.get_lines()[-1].set_label(amm_party_id[:7])
+        ax21.step(df.index, df.total, where="post", label="total")
 
     ax11.legend()
     ax21.legend()

diff --git a/vega_sim/scenario/amm/registry.py b/vega_sim/scenario/amm/registry.py
@@ -13,13 +13,15 @@
                 initial_price=70000,
                 annualised_volatility=0.5,
                 notional_trade_volume=100,
-                process_theta=0.02,
+                process_theta=0.01,
+                process_drift=-10,
             ),
         ],
-        amm_liquidity_fee=0.001,
+        amm_liquidity_fee=0.0001,
         amm_update_frequency=0,
         initial_network_parameters={
             "validators.epoch.length": "1h",
+            "market.fee.factors.makerFee": "0",
         },
     ),
 }
diff --git a/vega_sim/scenario/amm/scenario.py b/vega_sim/scenario/amm/scenario.py
@@ -67,13 +67,13 @@ def configure_agents(
                     wallet_name="AutomatedMarketMaker",
                     key_name=f"AutomatedMarketMaker_{benchmark_config.market_config.instrument.code}_{str(i_agent).zfill(3)}",
                     market_name=benchmark_config.market_config.instrument.name,
-                    initial_asset_mint=2e6,
-                    commitment_amount=1e5,
+                    initial_asset_mint=1e6,
+                    commitment_amount=7000,
                     slippage_tolerance=0.05,
                     proposed_fee=self.amm_liquidity_fee,
                     price_process=iter(benchmark_config.price_process),
-                    lower_bound_scaling=1 - 0.05,
-                    upper_bound_scaling=1 + 0.05,
+                    lower_bound_scaling=1 - 0.02,
+                    upper_bound_scaling=1 + 0.02,
                     leverage_at_lower_bound=20,
                     leverage_at_upper_bound=20,
                     update_bias=self.amm_update_frequency,

diff --git a/vega_sim/scenario/benchmark/configs.py b/vega_sim/scenario/benchmark/configs.py
@@ -11,10 +11,12 @@ def __init__(
         notional_trade_volume: int,
         risky_trader_funds: int = 1_000,
         process_theta: float = 0,
+        process_drift: float = 0,
     ):
         self.market_config = market_config
         self.initial_price = initial_price
         self.process_theta = process_theta
+        self.process_drift = process_drift
         self.annualised_volatility = annualised_volatility
         self.notional_trade_volume = notional_trade_volume
         self.risky_trader_funds = risky_trader_funds

diff --git a/vega_sim/scenario/benchmark/scenario.py b/vega_sim/scenario/benchmark/scenario.py
@@ -88,10 +88,10 @@ def configure_agents(
                 x0=benchmark_config.initial_price,
                 mu=benchmark_config.initial_price,
                 theta=benchmark_config.process_theta,
+                drift=benchmark_config.process_drift,
                 sigma=benchmark_config.annualised_volatility
                 * np.sqrt(self.step_length_seconds / (365.25 * 24 * 60 * 60))
                 * benchmark_config.initial_price,
-                drift=0,
             )
             self.agents.append(
                 ConfigurableMarketManager(

diff --git a/vega_sim/scenario/common/utils/price_process.py b/vega_sim/scenario/common/utils/price_process.py
@@ -336,9 +336,8 @@ def ou_price_process(n, theta=0.15, mu=0.0, sigma=0.2, x0=1.0, drift=0.0):
     x[0] = x0
     for t in range(1, n):
         dx = (
-            theta * (mu - x[t - 1]) * dt
+            theta * ((mu + t * drift) - x[t - 1]) * dt
             + sigma * np.sqrt(dt) * np.random.normal()
-            + drift * dt
         )
         x[t] = x[t - 1] + dx
     return x