exploratory uniswap agent to explore target grid price

simtopia · Feb 28, 2024 · f0ac227 · f0ac227
1 parent 28638c8
commit f0ac227
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Showing 6 changed files with 9,908 additions and 3,958 deletions.
diff --git a/simulations/aave/cache.json b/simulations/aave/cache.json
diff --git a/simulations/aave/sim.py b/simulations/aave/sim.py
@@ -143,9 +143,6 @@ def runner(
     # -------------------------
     # Initialize Uniswap agent
     # -------------------------
-    uniswap_agent_type = (
-        partial(DummyUniswapAgent, sim_n_steps=n_steps) if init_cache else UniswapAgent
-    )
     uniswap_agent = uniswap_agent_type(
         env=env,
         dt=0.01,

diff --git a/simulations/agents/borrow_agent.py b/simulations/agents/borrow_agent.py
@@ -78,7 +78,7 @@ def update(self, rng: np.random.Generator, env):
                     env, self.address, self.oracle_address, [self.token_b_address]
                 )[0][0]
                 coef = 10 ** (self.decimals_token_b - 4)
-                u = rng.integers(low=7000, high=9500)
+                u = rng.integers(low=7000, high=9300)
                 available_borrow = int(
                     coef * available_borrow_base * u / borrow_asset_price
                 )

diff --git a/simulations/agents/uniswap_agent.py b/simulations/agents/uniswap_agent.py
@@ -348,16 +348,16 @@ def __init__(
         sqrt_price_uniswap_x96 = self.get_sqrt_price_x96_uniswap(env)
 
         if self.token_b == self.token1_address:
-            token_a_price = (sqrt_price_uniswap_x96 / 2**96) ** 2
+            self.init_token_a_price = (sqrt_price_uniswap_x96 / 2**96) ** 2
             token_b_price = 1
         else:
-            token_a_price = (2**96 / sqrt_price_uniswap_x96) ** 2
+            self.init_token_a_price = (2**96 / sqrt_price_uniswap_x96) ** 2
             token_b_price = 1
 
         self.external_market = Gbm(
             mu=mu,
             sigma=sigma,
-            token_a_price=token_a_price,
+            token_a_price=self.init_token_a_price,
             token_b_price=token_b_price,
             dt=dt,
         )
@@ -511,19 +511,36 @@ def __init__(
             token_a_address=token_a_address,
             token_b_address=token_b_address,
             mu=mu,
-            sigma=sigma,
+            sigma=0,
             dt=dt,
         )
         self.sim_n_steps = sim_n_steps
 
+        # calibrate mu to explore the pool
+        upper_bound_price = 1.7 * self.init_token_a_price
+        lower_bound_price = 0.3 * self.init_token_a_price
+
+        self.mu0 = (
+            1
+            / (dt * float(sim_n_steps // 3))
+            * np.log(upper_bound_price / self.init_token_a_price)
+        )
+        self.mu1 = (
+            1
+            / (dt * sim_n_steps - dt * float(sim_n_steps // 3))
+            * np.log(lower_bound_price / upper_bound_price)
+        )
+
     def update(self, rng: np.random.Generator, env):
         """
         Update the state of the agent
 
         Makes an exploratory update by manually changing
         the drift of the external market
         """
+        if self.step < self.sim_n_steps // 3:
+            self.external_market.mu = self.mu0
+        else:
+            self.external_market.mu = self.mu1
         tx = super().update(rng, env)
-        if self.step in [self.sim_n_steps // 4, 3 * self.sim_n_steps // 4]:
-            self.external_market.mu = -self.external_market.mu
         return tx
diff --git a/simulations/uniswap/cache.json b/simulations/uniswap/cache.json
diff --git a/simulations/uniswap/sim.py b/simulations/uniswap/sim.py
@@ -72,10 +72,6 @@ def runner(
     # ------------------------
     # Initialize Uniswap agent
     # ------------------------
-    uniswap_agent_type = (
-        partial(DummyUniswapAgent, sim_n_steps=n_steps) if init_cache else UniswapAgent
-    )
-
     agent = uniswap_agent_type(
         env=env,
         dt=0.01,