added price slippage to impact calculation to sort trades for processing

hydradx/model/amm/omnix_solver.py

@@ -0,0 +1,38 @@
+from hydradx.model.amm.omnipool_amm import OmnipoolState
+
+
+def calculate_price_slippage_to_impact(omnipool: OmnipoolState, intent: dict) -> float:
+    tkn_buy, tkn_sell = intent['tkn_buy'], intent['tkn_sell']
+    sell_price = omnipool.price(omnipool, tkn_sell, tkn_buy)
+    buy_liquidity, sell_liquidity = omnipool.liquidity[tkn_buy], omnipool.liquidity[tkn_sell]
+    buy_lrna, sell_lrna = omnipool.lrna[tkn_buy], omnipool.lrna[tkn_sell]
+
+    if 'sell_quantity' in intent:
+        if sell_lrna <= buy_lrna:
+            impact = intent['sell_quantity'] / sell_liquidity
+        else:
+            impact = intent['sell_quantity'] * sell_price / buy_liquidity
+        limit_price = intent['buy_limit'] / intent['sell_quantity']
+    else:
+        if sell_lrna <= buy_lrna:
+            impact = intent['buy_quantity'] / sell_price / sell_liquidity
+        else:
+            impact = intent['buy_quantity'] / buy_liquidity
+        limit_price = intent['buy_quantity'] / intent['sell_limit']
+    slippage = (sell_price - limit_price) / sell_price
+
+    return slippage / impact
+
+
+def _calculate_price_slippage_to_impact_sign_tuple(omnipool: OmnipoolState, intent: dict) -> tuple:
+    x = calculate_price_slippage_to_impact(omnipool, intent)
+    return (1, x) if x >= 0 else (-1, -x)
+
+
+def order_initial_intents(intents: list):
+    # intents = [
+    #     {'agent': agent_alice, 'buy_quantity': 10000, 'sell_limit': 81000, 'tkn_buy': 'DOT', 'tkn_sell': 'USDT'},
+    #     {'agent': agent_bob, 'sell_quantity': 10000, 'buy_limit': 75500, 'tkn_buy': 'USDT', 'tkn_sell': 'DOT'}
+    # ]
+
+    pass

hydradx/tests/test_omnix_solver.py

@@ -0,0 +1,72 @@
+import pytest
+from hypothesis import given, strategies as st, settings
+from mpmath import mp, mpf
+
+from hydradx.model.amm.agents import Agent
+from hydradx.model.amm.omnipool_amm import OmnipoolState
+from hydradx.model.amm.omnix_solver import calculate_price_slippage_to_impact
+
+
+def test_calculate_price_slippage_to_impact():
+    omnipool = OmnipoolState(
+        tokens={
+            "DOT": {'liquidity': 10000000 / 7.5, 'LRNA': 10000000},
+            "USDT": {'liquidity': 10000000, 'LRNA': 10000000},
+            "HDX": {'liquidity': 100000000, 'LRNA': 1000000}
+        },
+        preferred_stablecoin='USDT',
+        asset_fee=0.0,
+        lrna_fee=0.0
+    )
+
+    intent = {'agent': Agent(), 'buy_quantity': 10000, 'sell_limit': 81000, 'tkn_buy': 'DOT', 'tkn_sell': 'USDT'}
+    ratio = calculate_price_slippage_to_impact(omnipool, intent)
+    if ratio != pytest.approx(9.87654321):
+        raise
+
+    intent = {'agent': Agent(), 'buy_quantity': 10000, 'sell_limit': 74000, 'tkn_buy': 'DOT', 'tkn_sell': 'USDT'}
+    ratio = calculate_price_slippage_to_impact(omnipool, intent)
+    if ratio != pytest.approx(-1.801801802):
+        raise
+
+    intent = {'agent': Agent(), 'sell_quantity': 10000, 'buy_limit': 74000, 'tkn_buy': 'USDT', 'tkn_sell': 'DOT'}
+    ratio = calculate_price_slippage_to_impact(omnipool, intent)
+    if ratio != pytest.approx(1.777777777777):
+        raise
+
+    intent = {'agent': Agent(), 'sell_quantity': 10000, 'buy_limit': 81000, 'tkn_buy': 'USDT', 'tkn_sell': 'DOT'}
+    ratio = calculate_price_slippage_to_impact(omnipool, intent)
+    if ratio != pytest.approx(-10.6666666666666):
+        raise
+
+    # doubling liquidity of DOT should not change any results
+    omnipool = OmnipoolState(
+        tokens={
+            "DOT": {'liquidity': 2 * 10000000 / 7.5, 'LRNA': 2 * 10000000},
+            "USDT": {'liquidity': 10000000, 'LRNA': 10000000},
+            "HDX": {'liquidity': 100000000, 'LRNA': 1000000}
+        },
+        preferred_stablecoin='USDT',
+        asset_fee=0.0,
+        lrna_fee=0.0
+    )
+
+    intent = {'agent': Agent(), 'buy_quantity': 10000, 'sell_limit': 81000, 'tkn_buy': 'DOT', 'tkn_sell': 'USDT'}
+    ratio = calculate_price_slippage_to_impact(omnipool, intent)
+    if ratio != pytest.approx(9.87654321):
+        raise
+
+    intent = {'agent': Agent(), 'buy_quantity': 10000, 'sell_limit': 74000, 'tkn_buy': 'DOT', 'tkn_sell': 'USDT'}
+    ratio = calculate_price_slippage_to_impact(omnipool, intent)
+    if ratio != pytest.approx(-1.801801802):
+        raise
+
+    intent = {'agent': Agent(), 'sell_quantity': 10000, 'buy_limit': 74000, 'tkn_buy': 'USDT', 'tkn_sell': 'DOT'}
+    ratio = calculate_price_slippage_to_impact(omnipool, intent)
+    if ratio != pytest.approx(1.777777777777):
+        raise
+
+    intent = {'agent': Agent(), 'sell_quantity': 10000, 'buy_limit': 81000, 'tkn_buy': 'USDT', 'tkn_sell': 'DOT'}
+    ratio = calculate_price_slippage_to_impact(omnipool, intent)
+    if ratio != pytest.approx(-10.6666666666666):
+        raise