Merge pull request #72 from valory-xyz/refactor/strategy

Make the strategy more sensible

README.md

@@ -116,7 +116,7 @@ These are the description of the variables used by the Trader service:
 - `OMEN_CREATORS`: addresses of the market creator(s) that the service will track
   for placing bets on Omen. The address `0x89c5cc945dd550BcFfb72Fe42BfF002429F46Fec` corresponds to the Market creator agent for the Hackathon.
 - `BET_AMOUNT_PER_THRESHOLD_X`: amount (wei) to bet when the prediction returned by the AI Mech surpasses a threshold of `X`% confidence for a given prediction market. In the values provided above the amounts vary between 0.03 xDAI (60% confidence) and 0.1 xDAI (100% confidence).
-- `BET_THRESHOLD`: threshold (wei) for placing a bet. A bet will only be placed if `expected_return - bet_fees >= BET_THRESHOLD`. [See below](#some-notes-on-the-service).
+- `BET_THRESHOLD`: threshold (wei) for placing a bet. A bet will only be placed if `potential_net_profit - BET_THRESHOLD >= 0`. [See below](#some-notes-on-the-service).
 - `PROMPT_TEMPLATE`: prompt to be used with the prediction AI Mech. Please keep it as a single line including the placeholders `@{question}`, `@{yes}` and `@{no}`.
 
 
@@ -153,8 +153,15 @@ Once you have configured (exported) the environment variables, you are in positi
 Please take into consideration the following:
 
 - If the service does not have enough funds for placing a bet, you will see an `Event.INSUFICIENT_FUNDS` in the service logs.
-- If the service determines that a bet is not profitable (i.e., `expected_return - bet_fees < BET_THRESHOLD`), you will see an `Event.UNPROFITABLE` in the service logs, and the service will transition into the blacklisting round. This round blacklists a bet for a predetermined amount of time. This can be adjusted by using the `BLACKLISTING_DURATION` environment variable.
-- For simplicity, the current implementation considers `expected_return = bet_amount`, although this calculation might be refined.
+- If the service determines that a bet is not profitable 
+ (i.e., `potential_net_profit - BET_THRESHOLD < 0`), you will see an `Event.UNPROFITABLE` in the service logs, 
+ and the service will transition into the blacklisting round. 
+ This round blacklists a bet for a predetermined amount of time. 
+ This can be adjusted by using the `BLACKLISTING_DURATION` environment variable.
+- For simplicity, 
+ the current implementation considers `potential_net_profit = num_shares - net_bet_amount - mech_price - BET_THRESHOLD`, 
+ although this calculation might be refined. 
+ The `net_bet_amount` is the bet amount minus the FPMM's fees.
 - When assigning `BET_THRESHOLD` take into consideration that fees (at the time of writing this guide) are in the range of 0.02 xDAI. See, for example, [here](https://api.thegraph.com/subgraphs/name/protofire/omen-xdai/graphql?query=%7B%0A++fixedProductMarketMakers%28%0A++++where%3A+%7B%0A++++++creator_in%3A+%5B%220x89c5cc945dd550BcFfb72Fe42BfF002429F46Fec%22%5D%2C%0A++++++outcomeSlotCount%3A+2%2C%0A++++++isPendingArbitration%3A+false%0A++++%7D%2C%0A++++orderBy%3A+creationTimestamp%0A++++orderDirection%3A+desc%0A++%29%7B%0A++++fee%0A++%7D%0A%7D). We urge you to keep an eye on these fees, as they might vary.
 
 ## For advanced users

packages/packages.json

@@ -1,17 +1,17 @@
 {
     "dev": {
-        "skill/valory/market_manager_abci/0.1.0": "bafybeibwcm2wqoucpbep6pav4fb5mofhjahxiqszul4wcv4xr52dei6pe4",
-        "skill/valory/decision_maker_abci/0.1.0": "bafybeiejy2zxj5wzriay2vwecgvxxprwvs6rt32627jtjfn7gtsy46eimy",
-        "skill/valory/trader_abci/0.1.0": "bafybeiexo6pdhhdipnceixtls47jonhflcqsxnbv2c333zmgfxmoygfwgu",
+        "skill/valory/market_manager_abci/0.1.0": "bafybeih6tmi4blhdqkjgtvqkwbtbky5kzhl57h6ze4rtr3r2rh43pkhvyi",
+        "skill/valory/decision_maker_abci/0.1.0": "bafybeibadjiuw4icm64rm5mrooht6he2xw6ery6yxu5qnwhqkpwlfhen2m",
+        "skill/valory/trader_abci/0.1.0": "bafybeif7zbal6iqiui3dwqfswnev6tcjsszixhrpv3m6kufgxfvh7veadi",
         "contract/valory/market_maker/0.1.0": "bafybeiftimqgvrbval2lxp7au6y72amioo4gtcdth2dflrbwa47i6opyb4",
-        "agent/valory/trader/0.1.0": "bafybeidclpkg6uwii2d5gk74b4l6pv3vfgrg5tt3njumhk2ab3uidcogky",
-        "service/valory/trader/0.1.0": "bafybeidug5h7tac43yp5t6mfyl3qdmfwzh63otz63l547iiguosyyygmnq",
+        "agent/valory/trader/0.1.0": "bafybeietnokftb3klhladvtrrrwhizq7nj64s4tqxbw3xwylxpgulr4g5u",
+        "service/valory/trader/0.1.0": "bafybeiczvwvd7s2q7yc5lh4qxzolpga4f2xstme4rzq6sot7oefnz7dqim",
         "contract/valory/erc20/0.1.0": "bafybeifjwr6rwklgg2uk2zkfysn55qqy7dfi4jx7sek6lzdup37fynhpxe",
-        "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeiffvwkifzq4eiqr4syfbbsfjcrsea5wj55ttismoxozt6trithu7u",
+        "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeiez2gopga42empgxlgprmw34joobw3rx2h5ybnk2u35vdmpkjtjfq",
         "contract/valory/mech/0.1.0": "bafybeie753wdqks6k4x5fqlpo7tgll2avutjcaodpwlptqvzefsi5xbvai",
-        "contract/valory/realitio/0.1.0": "bafybeid5cdncqui3egi57eh6ptz2yqxsjpnmwzdc2siewuown3gktdwm6m",
+        "contract/valory/realitio/0.1.0": "bafybeigb722aznqhc5lsbt3dn4bpyaqe5hnl5onmnestqmzliwtvl3eaom",
         "contract/valory/realitio_proxy/0.1.0": "bafybeibvndq6756qck7forgeavhdbn6ykgqs2ufyg7n5g6qdfpveatxuwy",
-        "contract/valory/conditional_tokens/0.1.0": "bafybeiftqtsn6yygfhubzcsc2jluhhx5pt2udzvh4cjr26a4qxmp4bjqba"
+        "contract/valory/conditional_tokens/0.1.0": "bafybeiaqcyzbuhv4ey2h7hn2dq5zibf3pmkotx2t7fihdawf5h4u4uu65e"
     },
     "third_party": {
         "protocol/open_aea/signing/1.0.0": "bafybeifuxs7gdg2okbn7uofymenjlmnih2wxwkym44lsgwmklgwuckxm2m",

packages/valory/agents/trader/aea-config.yaml

@@ -22,8 +22,8 @@ contracts:
 - valory/erc20:0.1.0:bafybeifjwr6rwklgg2uk2zkfysn55qqy7dfi4jx7sek6lzdup37fynhpxe
 - valory/multisend:0.1.0:bafybeie7m7pjbnw7cccpbvmbgkut24dtlt4cgvug3tbac7gej37xvwbv3a
 - valory/mech:0.1.0:bafybeie753wdqks6k4x5fqlpo7tgll2avutjcaodpwlptqvzefsi5xbvai
-- valory/conditional_tokens:0.1.0:bafybeiftqtsn6yygfhubzcsc2jluhhx5pt2udzvh4cjr26a4qxmp4bjqba
-- valory/realitio:0.1.0:bafybeid5cdncqui3egi57eh6ptz2yqxsjpnmwzdc2siewuown3gktdwm6m
+- valory/conditional_tokens:0.1.0:bafybeiaqcyzbuhv4ey2h7hn2dq5zibf3pmkotx2t7fihdawf5h4u4uu65e
+- valory/realitio:0.1.0:bafybeigb722aznqhc5lsbt3dn4bpyaqe5hnl5onmnestqmzliwtvl3eaom
 - valory/realitio_proxy:0.1.0:bafybeibvndq6756qck7forgeavhdbn6ykgqs2ufyg7n5g6qdfpveatxuwy
 protocols:
 - open_aea/signing:1.0.0:bafybeifuxs7gdg2okbn7uofymenjlmnih2wxwkym44lsgwmklgwuckxm2m
@@ -41,10 +41,10 @@ skills:
 - valory/reset_pause_abci:0.1.0:bafybeifoihgilpfr76hc5skzspm6qehkwivx7ld2cy3veipcsi4gr2c7na
 - valory/termination_abci:0.1.0:bafybeigcsls72uosoui2y5ppmnvsljjhnxakkeh3fdohklcg66aqq4g7xu
 - valory/transaction_settlement_abci:0.1.0:bafybeiglsnh2hvfau5gab7requh34k4sbqwbjvrhhqjpes4hakcwq46cpi
-- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeiffvwkifzq4eiqr4syfbbsfjcrsea5wj55ttismoxozt6trithu7u
-- valory/market_manager_abci:0.1.0:bafybeibwcm2wqoucpbep6pav4fb5mofhjahxiqszul4wcv4xr52dei6pe4
-- valory/decision_maker_abci:0.1.0:bafybeiejy2zxj5wzriay2vwecgvxxprwvs6rt32627jtjfn7gtsy46eimy
-- valory/trader_abci:0.1.0:bafybeiexo6pdhhdipnceixtls47jonhflcqsxnbv2c333zmgfxmoygfwgu
+- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeiez2gopga42empgxlgprmw34joobw3rx2h5ybnk2u35vdmpkjtjfq
+- valory/market_manager_abci:0.1.0:bafybeih6tmi4blhdqkjgtvqkwbtbky5kzhl57h6ze4rtr3r2rh43pkhvyi
+- valory/decision_maker_abci:0.1.0:bafybeibadjiuw4icm64rm5mrooht6he2xw6ery6yxu5qnwhqkpwlfhen2m
+- valory/trader_abci:0.1.0:bafybeif7zbal6iqiui3dwqfswnev6tcjsszixhrpv3m6kufgxfvh7veadi
 default_ledger: ethereum
 required_ledgers:
 - ethereum
@@ -185,6 +185,7 @@ models:
       realitio_proxy_address: ${str:0xAB16D643bA051C11962DA645f74632d3130c81E2}
       realitio_address: ${str:0x79e32aE03fb27B07C89c0c568F80287C01ca2E57}
       redeeming_batch_size: ${int:5}
+      slippage: ${float:0.01}
 ---
 public_id: valory/p2p_libp2p_client:0.1.0
 type: connection

packages/valory/contracts/conditional_tokens/contract.py

@@ -21,7 +21,8 @@
 
 from typing import List, Dict
 
-import requests
+from requests.exceptions import ReadTimeout as RequestsReadTimeoutError
+from urllib3.exceptions import ReadTimeoutError as Urllib3ReadTimeoutError
 from aea.common import JSONLike
 from aea.configurations.base import PublicId
 from aea.contracts.base import Contract
@@ -34,10 +35,6 @@
 DEFAULT_TO_BLOCK = "latest"
 
 
-class RPCTimedOutError(Exception):
-    """Exception to raise when the RPC times out."""
-
-
 class ConditionalTokensContract(Contract):
     """The ConditionalTokens smart contract."""
 
@@ -86,16 +83,16 @@ def check_redeemed(
 
         try:
             redeemed = list(payout_filter.deploy(ledger_api.api).get_all_entries())
-        except requests.exceptions.ReadTimeout as exc:
+        except (Urllib3ReadTimeoutError, RequestsReadTimeoutError):
             msg = (
                 "The RPC timed out! This usually happens if the filtering is too wide. "
                 f"The service tried to filter from block {earliest_block} to latest, "
-                f"as the earliest market creation transaction took place at block {earliest_block}."
+                f"as the earliest market creation transaction took place at block {earliest_block}. "
                 f"Did the creation happen too long in the past?\n"
-                "Please consider manually redeeming for the market with condition id "
-                f"{earliest_condition_id!r} if this issue persists."
+                f"The market with condition id {earliest_condition_id!r} "
+                f"is the oldest one and the block filtering was set based on it."
             )
-            raise RPCTimedOutError(msg) from exc
+            return dict(error=msg)
 
         payouts = {}
         for redeeming in redeemed:

packages/valory/contracts/conditional_tokens/contract.yaml

@@ -8,7 +8,7 @@ aea_version: '>=1.0.0, <2.0.0'
 fingerprint:
   __init__.py: bafybeidhdxio3oq5gqdnxmngumvt3fcd6zyiyrpk5f2k4dwhflbg4e5iky
   build/ConditionalTokens.json: bafybeia2ahis7zx2yhhf23kpkcxu56hto6fwg6ptjg5ld46lp4dgz7cz3e
-  contract.py: bafybeic2j4bpss23dgsavdxnng5ulas4hchmwn4djs4ock4i7dawab3hxu
+  contract.py: bafybeiamr2y22rcwlf2h75uryweqx4qjztjrmhzb2flivkcfqvifedvdpi
 fingerprint_ignore_patterns: []
 class_name: ConditionalTokensContract
 contract_interface_paths:
@@ -19,4 +19,6 @@ dependencies:
     version: ==6.0.1
   requests:
     version: ==2.28.2
+  urllib3:
+    version: ==1.26.16
 contracts: []

packages/valory/contracts/realitio/contract.py

@@ -19,9 +19,10 @@
 
 """This module contains the Realitio_v2_1 contract definition."""
 
-from typing import List, Tuple
+from typing import List, Tuple, Union
 
-import requests
+from requests.exceptions import ReadTimeout as RequestsReadTimeoutError
+from urllib3.exceptions import ReadTimeoutError as Urllib3ReadTimeoutError
 from aea.common import JSONLike
 from aea.configurations.base import PublicId
 from aea.contracts.base import Contract
@@ -34,10 +35,6 @@
 ZERO_BYTES = bytes.fromhex(ZERO_HEX)
 
 
-class RPCTimedOutError(Exception):
-    """Exception to raise when the RPC times out."""
-
-
 class RealitioContract(Contract):
     """The Realitio_v2_1 smart contract."""
 
@@ -62,7 +59,7 @@ def _get_claim_params(
         contract_address: str,
         from_block: BlockIdentifier,
         question_id: bytes,
-    ) -> Tuple[bytes, List[bytes], List[ChecksumAddress], List[int], List[bytes]]:
+    ) -> Union[str, Tuple[bytes, List[bytes], List[ChecksumAddress], List[int], List[bytes]]]:
         """Filters the `LogNewAnswer` event by question id to calculate the history hashes."""
         contract_instance = cls.get_instance(ledger_api, contract_address)
 
@@ -73,21 +70,21 @@ def _get_claim_params(
 
         try:
             answered = list(answer_filter.deploy(ledger_api.api).get_all_entries())
-        except requests.exceptions.ReadTimeout as exc:
+        except (Urllib3ReadTimeoutError, RequestsReadTimeoutError):
             msg = (
                 "The RPC timed out! This usually happens if the filtering is too wide. "
                 f"The service tried to filter from block {from_block} to latest, "
                 "as the market was created at this time. Did the market get created too long in the past?\n"
                 "Please consider manually redeeming for the market with question id "
                 f"{question_id!r} if this issue persists."
             )
-            raise RPCTimedOutError(msg) from exc
+            return msg
         else:
             n_answered = len(answered)
 
         if n_answered == 0:
-            msg = f"No answers have been given for question with id {question_id}!"
-            raise ValueError(msg)
+            msg = f"No answers have been given for question with id {question_id.hex()}!"
+            return msg
 
         history_hashes = []
         addresses = []
@@ -123,6 +120,9 @@ def build_claim_winnings(
         claim_params = cls._get_claim_params(
             ledger_api, contract_address, from_block, question_id
         )
+        if isinstance(claim_params, str):
+            return dict(error=claim_params)
+
         data = contract.encodeABI(
             fn_name="claimWinnings",
             args=claim_params,

packages/valory/contracts/realitio/contract.yaml

@@ -8,7 +8,7 @@ aea_version: '>=1.0.0, <2.0.0'
 fingerprint:
   __init__.py: bafybeictahkgfmlqv5kksvj6klmxtmjdpeq4sp3x7dp2yr5x4kmzbcihse
   build/Realitio.json: bafybeiagi7zoeoy5s7duhg4oeuekj2s6z5mad2z6g2pn3n5elsvze25qiu
-  contract.py: bafybeiack5tz6vyesyvpq6wqhkkrdfevjedopdvjgyv5erhatknw2fazz4
+  contract.py: bafybeibygb64t4bhajvoyf54o6tkvwedsczhwltkqwwxmix2w6ar2wcvyy
 fingerprint_ignore_patterns: []
 class_name: RealitioContract
 contract_interface_paths:
@@ -20,4 +20,6 @@ dependencies:
     version: ==6.0.1
   requests:
     version: ==2.28.2
+  urllib3:
+    version: ==1.26.16
 contracts: []

packages/valory/services/trader/service.yaml

@@ -7,7 +7,7 @@ license: Apache-2.0
 fingerprint:
   README.md: bafybeigtuothskwyvrhfosps2bu6suauycolj67dpuxqvnicdrdu7yhtvq
 fingerprint_ignore_patterns: []
-agent: valory/trader:0.1.0:bafybeidclpkg6uwii2d5gk74b4l6pv3vfgrg5tt3njumhk2ab3uidcogky
+agent: valory/trader:0.1.0:bafybeietnokftb3klhladvtrrrwhizq7nj64s4tqxbw3xwylxpgulr4g5u
 number_of_agents: 4
 deployment: {}
 ---
@@ -102,6 +102,7 @@ type: skill
         realitio_proxy_address: ${REALITIO_PROXY_ADDRESS:str:0xAB16D643bA051C11962DA645f74632d3130c81E2}
         realitio_address: ${REALITIO_ADDRESS:str:0x79e32aE03fb27B07C89c0c568F80287C01ca2E57}
         redeeming_batch_size: ${REDEEMING_BATCH_SIZE:int:5}
+        slippage: ${SLIPPAGE:float:0.01}
     benchmark_tool: &id005
       args:
         log_dir: ${LOG_DIR:str:/benchmarks}
@@ -164,6 +165,7 @@ type: skill
         realitio_proxy_address: ${REALITIO_PROXY_ADDRESS:str:0xAB16D643bA051C11962DA645f74632d3130c81E2}
         realitio_address: ${REALITIO_ADDRESS:str:0x79e32aE03fb27B07C89c0c568F80287C01ca2E57}
         redeeming_batch_size: ${REDEEMING_BATCH_SIZE:int:5}
+        slippage: ${SLIPPAGE:float:0.01}
     benchmark_tool: *id005
 2:
   models:
@@ -224,6 +226,7 @@ type: skill
         realitio_proxy_address: ${REALITIO_PROXY_ADDRESS:str:0xAB16D643bA051C11962DA645f74632d3130c81E2}
         realitio_address: ${REALITIO_ADDRESS:str:0x79e32aE03fb27B07C89c0c568F80287C01ca2E57}
         redeeming_batch_size: ${REDEEMING_BATCH_SIZE:int:5}
+        slippage: ${SLIPPAGE:float:0.01}
     benchmark_tool: *id005
 3:
   models:
@@ -284,6 +287,7 @@ type: skill
         realitio_proxy_address: ${REALITIO_PROXY_ADDRESS:str:0xAB16D643bA051C11962DA645f74632d3130c81E2}
         realitio_address: ${REALITIO_ADDRESS:str:0x79e32aE03fb27B07C89c0c568F80287C01ca2E57}
         redeeming_batch_size: ${REDEEMING_BATCH_SIZE:int:5}
+        slippage: ${SLIPPAGE:float:0.01}
     benchmark_tool: *id005
 ---
 public_id: valory/ledger:0.19.0

packages/valory/skills/decision_maker_abci/behaviours/base.py

@@ -58,6 +58,14 @@
 SAFE_GAS = 0
 
 
+def remove_fraction_wei(amount: int, fraction: float) -> int:
+    """Removes the given fraction from the given integer amount and returns the value as an integer."""
+    if 0 <= fraction <= 1:
+        keep_percentage = 1 - fraction
+        return int(amount * keep_percentage)
+    raise ValueError(f"The given fraction {fraction!r} is not in the range [0, 1].")
+
+
 class DecisionMakerBaseBehaviour(BaseBehaviour, ABC):
     """Represents the base class for the decision-making FSM behaviour."""
 

packages/valory/skills/decision_maker_abci/behaviours/bet_placement.py

@@ -31,6 +31,7 @@
 from packages.valory.skills.decision_maker_abci.behaviours.base import (
     DecisionMakerBaseBehaviour,
     WaitableConditionType,
+    remove_fraction_wei,
 )
 from packages.valory.skills.decision_maker_abci.models import MultisendBatch
 from packages.valory.skills.decision_maker_abci.payloads import MultisigTxPayload
@@ -199,7 +200,7 @@ def _calc_buy_amount(self) -> WaitableConditionType:
             )
             return False
 
-        self.buy_amount = int(buy_amount)
+        self.buy_amount = remove_fraction_wei(buy_amount, self.params.slippage)
         return True
 
     def _build_buy_tx(self) -> WaitableConditionType: