diff --git a/.gitignore b/.gitignore index f2695e299..769259560 100644 --- a/.gitignore +++ b/.gitignore @@ -45,3 +45,5 @@ trader/ !/packages/valory/agents/trader/ !/packages/valory/services/trader/ /trader_service/ + +kelly_strategy_explanation.md diff --git a/packages/packages.json b/packages/packages.json index 8d1bbebc3..406b9aa36 100644 --- a/packages/packages.json +++ b/packages/packages.json @@ -1,13 +1,13 @@ { "dev": { "skill/valory/market_manager_abci/0.1.0": "bafybeidropskas24c4lcekzdbwoflhnzaglmeqxvpyuoa7cf7q2rf2yex4", - "skill/valory/decision_maker_abci/0.1.0": "bafybeid6ysjyi67q62yvf5g2v5jqlqbf25uylqiklwoeax7fnulfrrj65u", - "skill/valory/trader_abci/0.1.0": "bafybeiextdo2zomsnmpmo3dxtm7s4tjku6g46c2znpbtaqjauipksaxg6y", + "skill/valory/decision_maker_abci/0.1.0": "bafybeie4k3s546hx4p5g3dtn75hlrysyh3ieslszexctwal4odmarx34fm", + "skill/valory/trader_abci/0.1.0": "bafybeigpzcq345ed5acmehnp7uj4nwv22xtl35mbp4x2howw7sps3iwi2e", "contract/valory/market_maker/0.1.0": "bafybeif4mm2s3gxtvp227yypkcnna5ftec7vajcftvtbdmqddh7nprah5m", - "agent/valory/trader/0.1.0": "bafybeib5qyuv6m6hud6ibym3rzuastkdvnfe2ijy2ruscocdigu24u7iv4", - "service/valory/trader/0.1.0": "bafybeic4g5lxp2ia2xbj45dmsfrinfgziwixj2l2kumzpk2ujuus66qlpy", + "agent/valory/trader/0.1.0": "bafybeicda6weararan4qyidf7dd4vxwesektyrjmu6mhvraew6q2mrezhu", + "service/valory/trader/0.1.0": "bafybeigwj6jajdge5qcjz6mimoylkv6zhbso45w4t6zo2m7olwkbb5puyq", "contract/valory/erc20/0.1.0": "bafybeieqj7dea4tcv6z2yqkgtmhd23vbiycsr5trhwxdvlbwulpl6vhmam", - "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeidqyfnc4nvqraem4fpnkejqd77iwfcixg6fh3hc5ulhvstwcbdhbm", + "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeiet3hqejz7rtutuzmvyl7wqwqqi2buqagryawav4yeuem45ohpr2e", "contract/valory/mech/0.1.0": "bafybeihvc6btuk3nvernzcx4qpezvuhiw2wwnagqj5nkeljvszghv7mq64", "contract/valory/realitio/0.1.0": "bafybeid6kh4tiqswpeufkr7eowmq7seoyhkssnedgzw6pe4h7wswui6dlm", "contract/valory/realitio_proxy/0.1.0": "bafybeidx37xzjjmapwacedgzhum6grfzhp5vhouz4zu3pvpgdy5pgb2fr4", diff --git a/packages/valory/agents/trader/aea-config.yaml b/packages/valory/agents/trader/aea-config.yaml index eba702232..1c6496ec0 100644 --- a/packages/valory/agents/trader/aea-config.yaml +++ b/packages/valory/agents/trader/aea-config.yaml @@ -26,6 +26,7 @@ contracts: - valory/realitio:0.1.0:bafybeid6kh4tiqswpeufkr7eowmq7seoyhkssnedgzw6pe4h7wswui6dlm - valory/realitio_proxy:0.1.0:bafybeidx37xzjjmapwacedgzhum6grfzhp5vhouz4zu3pvpgdy5pgb2fr4 - valory/agent_registry:0.1.0:bafybeifwdtwxdc2jdlhzdyxctqdmoz6zroxf5o4nhuok5l4luvnofqavty +- valory/service_staking_token:0.1.0:bafybeibifxmoeaiptovouispl5jdgm4lduzcfgsx723zlw45cfpllecuwy protocols: - open_aea/signing:1.0.0:bafybeie7xyems76v5b4wc2lmaidcujizpxfzjnnwdeokmhje53g7ym25ii - valory/abci:0.1.0:bafybeihmzlmmb4pdo3zkhg6ehuyaa4lhw7bfpclln2o2z7v3o6fcep26iu @@ -42,10 +43,10 @@ skills: - valory/reset_pause_abci:0.1.0:bafybeicpxn2khtaesuf4cq6ypwdmdmonlqroj2q2i6cxvpizc2y4cw66pe - valory/termination_abci:0.1.0:bafybeieqm46zuccaagnko3qlw6p3nvoohdrfgvpmw467r5lyil2dqrzjsy - valory/transaction_settlement_abci:0.1.0:bafybeia6cdxdlqrcwk2maw25fo7dafzd2p3rs7syropvufophk2pitzbwy -- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeidqyfnc4nvqraem4fpnkejqd77iwfcixg6fh3hc5ulhvstwcbdhbm +- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeiet3hqejz7rtutuzmvyl7wqwqqi2buqagryawav4yeuem45ohpr2e - valory/market_manager_abci:0.1.0:bafybeidropskas24c4lcekzdbwoflhnzaglmeqxvpyuoa7cf7q2rf2yex4 -- valory/decision_maker_abci:0.1.0:bafybeid6ysjyi67q62yvf5g2v5jqlqbf25uylqiklwoeax7fnulfrrj65u -- valory/trader_abci:0.1.0:bafybeiextdo2zomsnmpmo3dxtm7s4tjku6g46c2znpbtaqjauipksaxg6y +- valory/decision_maker_abci:0.1.0:bafybeie4k3s546hx4p5g3dtn75hlrysyh3ieslszexctwal4odmarx34fm +- valory/trader_abci:0.1.0:bafybeigpzcq345ed5acmehnp7uj4nwv22xtl35mbp4x2howw7sps3iwi2e default_ledger: ethereum required_ledgers: - ethereum @@ -163,6 +164,9 @@ models: average_block_time: ${int:5} abt_error_mult: ${int:5} mech_agent_address: ${str:0xff82123dfb52ab75c417195c5fdb87630145ae81} + sample_bets_closing_days: ${int:10} + trading_strategy: ${str:bet_amount_per_conf_threshold} + bet_kelly_fraction: ${float:1.0} bet_amount_per_threshold: 0.0: ${int:0} 0.1: ${int:0} diff --git a/packages/valory/services/trader/service.yaml b/packages/valory/services/trader/service.yaml index 438cf3e6a..086777c13 100644 --- a/packages/valory/services/trader/service.yaml +++ b/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:bafybeib5qyuv6m6hud6ibym3rzuastkdvnfe2ijy2ruscocdigu24u7iv4 +agent: valory/trader:0.1.0:bafybeicda6weararan4qyidf7dd4vxwesektyrjmu6mhvraew6q2mrezhu number_of_agents: 4 deployment: {} --- @@ -78,6 +78,9 @@ type: skill average_block_time: ${ABT:int:5} abt_error_mult: ${ABT_ERROR_MULT:int:5} mech_agent_address: ${MECH_AGENT_ADDRESS:str:0xff82123dfb52ab75c417195c5fdb87630145ae81} + sample_bets_closing_days: ${SAMPLE_BETS_CLOSING_DAYS:int:10} + trading_strategy: ${TRADING_STRATEGY:str:bet_amount_per_conf_threshold} + bet_kelly_fraction: ${BET_KELLY_FRACTION:float:1.0} bet_amount_per_threshold: &id004 0.0: ${BET_AMOUNT_PER_THRESHOLD_000:int:0} 0.1: ${BET_AMOUNT_PER_THRESHOLD_010:int:0} @@ -159,6 +162,9 @@ type: skill average_block_time: ${ABT:int:5} abt_error_mult: ${ABT_ERROR_MULT:int:5} mech_agent_address: ${MECH_AGENT_ADDRESS:str:0xff82123dfb52ab75c417195c5fdb87630145ae81} + sample_bets_closing_days: ${SAMPLE_BETS_CLOSING_DAYS:int:10} + trading_strategy: ${TRADING_STRATEGY:str:bet_amount_per_conf_threshold} + bet_kelly_fraction: ${BET_KELLY_FRACTION:float:1.0} bet_amount_per_threshold: *id004 bet_threshold: ${BET_THRESHOLD:int:100000000000000000} blacklisting_duration: ${BLACKLISTING_DURATION:int:3600} @@ -227,6 +233,9 @@ type: skill average_block_time: ${ABT:int:5} abt_error_mult: ${ABT_ERROR_MULT:int:5} mech_agent_address: ${MECH_AGENT_ADDRESS:str:0xff82123dfb52ab75c417195c5fdb87630145ae81} + sample_bets_closing_days: ${SAMPLE_BETS_CLOSING_DAYS:int:10} + trading_strategy: ${TRADING_STRATEGY:str:bet_amount_per_conf_threshold} + bet_kelly_fraction: ${BET_KELLY_FRACTION:float:1.0} bet_amount_per_threshold: *id004 bet_threshold: ${BET_THRESHOLD:int:100000000000000000} blacklisting_duration: ${BLACKLISTING_DURATION:int:3600} @@ -295,6 +304,9 @@ type: skill average_block_time: ${ABT:int:5} abt_error_mult: ${ABT_ERROR_MULT:int:5} mech_agent_address: ${MECH_AGENT_ADDRESS:str:0xff82123dfb52ab75c417195c5fdb87630145ae81} + sample_bets_closing_days: ${SAMPLE_BETS_CLOSING_DAYS:int:10} + trading_strategy: ${TRADING_STRATEGY:str:bet_amount_per_conf_threshold} + bet_kelly_fraction: ${BET_KELLY_FRACTION:float:1.0} bet_amount_per_threshold: *id004 bet_threshold: ${BET_THRESHOLD:int:100000000000000000} blacklisting_duration: ${BLACKLISTING_DURATION:int:3600} diff --git a/packages/valory/skills/decision_maker_abci/behaviours/base.py b/packages/valory/skills/decision_maker_abci/behaviours/base.py index 0f6d5f669..7a7b372c4 100644 --- a/packages/valory/skills/decision_maker_abci/behaviours/base.py +++ b/packages/valory/skills/decision_maker_abci/behaviours/base.py @@ -99,6 +99,11 @@ def synchronized_data(self) -> SynchronizedData: """Return the synchronized data.""" return SynchronizedData(super().synchronized_data.db) + @property + def synced_timestamp(self) -> int: + """Return the synchronized timestamp across the agents.""" + return int(self.round_sequence.last_round_transition_timestamp.timestamp()) + @property def safe_tx_hash(self) -> str: """Get the safe_tx_hash.""" @@ -210,6 +215,143 @@ def check_balance(self) -> WaitableConditionType: self.context.logger.info(f"The safe has {native} xDAI and {collateral}.") return True + def _calculate_kelly_bet_amount( + self, x: int, y: int, p: float, c: float, b: int, f: float + ) -> int: + """Calculate the Kelly bet amount.""" + if b == 0 or x**2 * f == y**2 * f: + self.context.logger.error( + "Could not calculate Kelly bet amount. " + "Either bankroll is 0 or pool token amount is distributed as x^2*f - y^2*f = 0:\n" + f"Bankroll: {b}\n" + f"Pool token amounts: {x}, {y}" + f"Fee, fee fraction f: {1-f}, {f}" + ) + return 0 + kelly_bet_amount = ( + -4 * x**2 * y + + b * y**2 * p * c * f + + 2 * b * x * y * p * c * f + + b * x**2 * p * c * f + - 2 * b * y**2 * f + - 2 * b * x * y * f + + ( + ( + 4 * x**2 * y + - b * y**2 * p * c * f + - 2 * b * x * y * p * c * f + - b * x**2 * p * c * f + + 2 * b * y**2 * f + + 2 * b * x * y * f + ) + ** 2 + - ( + 4 + * (x**2 * f - y**2 * f) + * ( + -4 * b * x * y**2 * p * c + - 4 * b * x**2 * y * p * c + + 4 * b * x * y**2 + ) + ) + ) + ** (1 / 2) + ) / (2 * (x**2 * f - y**2 * f)) + return int(kelly_bet_amount) + + def get_max_bet_amount(self, a: int, x: int, y: int, f: float) -> int: + """Get max bet amount based on available shares.""" + if x**2 * f**2 + 2 * x * y * f**2 + y**2 * f**2 == 0: + self.context.logger.error( + "Could not recalculate. " + "Either bankroll is 0 or pool token amount is distributed such as " + "x**2*f**2 + 2*x*y*f**2 + y**2*f**2 == 0:\n" + f"Available tokens: {a}\n" + f"Pool token amounts: {x}, {y}\n" + f"Fee, fee fraction f: {1-f}, {f}" + ) + return 0 + else: + pre_root = -2 * x**2 + a * x - 2 * x * y + sqrt = ( + 4 * x**4 + + 8 * x**3 * y + + a**2 * x**2 + + 4 * x**2 * y**2 + + 2 * a**2 * x * y + + a**2 * y**2 + ) + numerator = y * (pre_root + sqrt**0.5 + a * y) + denominator = f * (x**2 + 2 * x * y + y**2) + new_bet_amount = numerator / denominator + return int(new_bet_amount) + + def get_bet_amount( + self, + strategy: str, + win_probability: float, + confidence: float, + selected_type_tokens_in_pool: int, + other_tokens_in_pool: int, + bet_fee: int, + ) -> int: + """Get the bet amount given a specified trading strategy.""" + + if strategy == "bet_amount_per_conf_threshold": + self.context.logger.info( + "Used trading strategy: Bet amount per confidence threshold" + ) + threshold = round(confidence, 1) + bet_amount = self.params.bet_amount_per_threshold[threshold] + return bet_amount + + if strategy != "kelly_criterion": + raise ValueError(f"Invalid trading strategy: {strategy}") + + self.context.logger.info("Used trading strategy: Kelly Criterion") + # bankroll: the max amount of DAI available to trade + bankroll = self.token_balance + self.wallet_balance + # keep `floor_balance` xDAI in the bankroll + floor_balance = 500000000000000000 + bankroll_adj = bankroll - floor_balance + self.context.logger.info(f"Adjusted bankroll: {bankroll_adj} DAI") + if bankroll_adj <= 0: + self.context.logger.info( + f"Bankroll ({bankroll_adj}) is less than the floor balance ({floor_balance}). " + "Set bet amount to 0." + "Top up safe with DAI or wait for redeeming." + ) + return 0 + + fee_fraction = 1 - self.wei_to_native(bet_fee) + self.context.logger.info(f"Fee fraction: {fee_fraction}") + kelly_bet_amount = self._calculate_kelly_bet_amount( + selected_type_tokens_in_pool, + other_tokens_in_pool, + win_probability, + confidence, + bankroll_adj, + fee_fraction, + ) + if kelly_bet_amount < 0: + self.context.logger.info( + f"Invalid value for kelly bet amount: {kelly_bet_amount}\n" + "Set bet amount to 0." + ) + return 0 + + self.context.logger.info( + f"Kelly bet amount: {self.wei_to_native(kelly_bet_amount)} xDAI" + ) + self.context.logger.info( + f"Bet kelly fraction: {self.params.bet_kelly_fraction}" + ) + adj_kelly_bet_amount = int(kelly_bet_amount * self.params.bet_kelly_fraction) + self.context.logger.info( + f"Adjusted Kelly bet amount: {self.wei_to_native(adj_kelly_bet_amount)} xDAI" + ) + return adj_kelly_bet_amount + def default_error( self, contract_id: str, contract_callable: str, response_msg: ContractApiMessage ) -> None: diff --git a/packages/valory/skills/decision_maker_abci/behaviours/bet_placement.py b/packages/valory/skills/decision_maker_abci/behaviours/bet_placement.py index d3c1d745b..677374a59 100644 --- a/packages/valory/skills/decision_maker_abci/behaviours/bet_placement.py +++ b/packages/valory/skills/decision_maker_abci/behaviours/bet_placement.py @@ -59,7 +59,7 @@ def market_maker_contract_address(self) -> str: @property def investment_amount(self) -> int: """Get the investment amount of the bet.""" - return self.params.get_bet_amount(self.synchronized_data.confidence) + return self.synchronized_data.bet_amount @property def w_xdai_deficit(self) -> int: diff --git a/packages/valory/skills/decision_maker_abci/behaviours/decision_receive.py b/packages/valory/skills/decision_maker_abci/behaviours/decision_receive.py index 0fcd16304..19dc0b9ad 100644 --- a/packages/valory/skills/decision_maker_abci/behaviours/decision_receive.py +++ b/packages/valory/skills/decision_maker_abci/behaviours/decision_receive.py @@ -39,7 +39,7 @@ from packages.valory.skills.decision_maker_abci.states.decision_receive import ( DecisionReceiveRound, ) -from packages.valory.skills.market_manager_abci.bets import BINARY_N_SLOTS +from packages.valory.skills.market_manager_abci.bets import BINARY_N_SLOTS, Bet ZERO_ADDRESS = "0x0000000000000000000000000000000000000000" @@ -206,8 +206,8 @@ def _get_response(self) -> WaitableConditionType: def _get_decision( self, - ) -> Generator[None, None, Tuple[Optional[int], Optional[float]]]: - """Get the vote and it's confidence.""" + ) -> Generator[None, None, Tuple[Optional[int], Optional[float], Optional[float]]]: + """Get vote, win probability and confidence.""" for step in ( self._get_block_number, self._get_request_id, @@ -221,9 +221,23 @@ def _get_decision( self.context.logger.error( f"There was an error on the mech's response: {self.mech_response.error}" ) - return None, None + return None, None, None - return self.mech_response.result.vote, self.mech_response.result.confidence + return ( + self.mech_response.result.vote, + self.mech_response.result.win_probability, + self.mech_response.result.confidence, + ) + + @staticmethod + def _get_bet_sample_info(bet: Bet, vote: int) -> Tuple[int, int]: + """Get the bet sample information.""" + token_amounts = bet.outcomeTokenAmounts + selected_type_tokens_in_pool = token_amounts[vote] + opposite_vote = vote ^ 1 + other_tokens_in_pool = token_amounts[opposite_vote] + + return selected_type_tokens_in_pool, other_tokens_in_pool def _calc_binary_shares(self, net_bet_amount: int, vote: int) -> Tuple[int, int]: """Calculate the claimed shares. This calculation only works for binary markets.""" @@ -231,54 +245,99 @@ def _calc_binary_shares(self, net_bet_amount: int, vote: int) -> Tuple[int, int] # calculate the pool's k (x*y=k) token_amounts = bet.outcomeTokenAmounts - if token_amounts is None: - return 0, 0 + self.context.logger.info(f"Token amounts: {[x for x in token_amounts]}") k = prod(token_amounts) + self.context.logger.info(f"k: {k}") # the OMEN market trades an equal amount of the investment to each of the tokens in the pool # here we calculate the bet amount per pool's token bet_per_token = net_bet_amount / BINARY_N_SLOTS + self.context.logger.info(f"Bet per token: {bet_per_token}") # calculate the number of the traded tokens prices = bet.outcomeTokenMarginalPrices + self.context.logger.info(f"Prices: {prices}") + if prices is None: return 0, 0 tokens_traded = [int(bet_per_token / prices[i]) for i in range(BINARY_N_SLOTS)] + self.context.logger.info(f"Tokens traded: {[x for x in tokens_traded]}") # get the shares for the answer that the service has selected selected_shares = tokens_traded.pop(vote) + self.context.logger.info(f"Selected shares: {selected_shares}") # get the shares for the opposite answer other_shares = tokens_traded.pop() + self.context.logger.info(f"Other shares: {other_shares}") # get the number of tokens in the pool for the answer that the service has selected selected_type_tokens_in_pool = token_amounts.pop(vote) + self.context.logger.info( + f"Selected type tokens in pool: {selected_type_tokens_in_pool}" + ) # get the number of tokens in the pool for the opposite answer other_tokens_in_pool = token_amounts.pop() + self.context.logger.info(f"Other tokens in pool: {other_tokens_in_pool}") # the OMEN market then trades the opposite tokens to the tokens of the answer that has been selected, # preserving the balance of the pool # here we calculate the number of shares that we get after trading the tokens for the opposite answer tokens_remaining_in_pool = int(k / (other_tokens_in_pool + other_shares)) + self.context.logger.info( + f"Tokens remaining in pool: {tokens_remaining_in_pool}" + ) + swapped_shares = selected_type_tokens_in_pool - tokens_remaining_in_pool + self.context.logger.info(f"Swapped shares: {swapped_shares}") # calculate the resulting number of shares if the service would take that position num_shares = selected_shares + swapped_shares + self.context.logger.info(f"Number of shares: {num_shares}") + # calculate the available number of shares price = prices[vote] + self.context.logger.info(f"Price: {prices[vote]}") + available_shares = int(selected_type_tokens_in_pool * price) + self.context.logger.info(f"Available shares: {available_shares}") return num_shares, available_shares - def _is_profitable(self, confidence: float, vote: int) -> bool: + def _is_profitable( + self, vote: int, win_probability: float, confidence: float + ) -> Tuple[bool, int]: """Whether the decision is profitable or not.""" bet = self.synchronized_data.sampled_bet - bet_amount = self.params.get_bet_amount(confidence) + selected_type_tokens_in_pool, other_tokens_in_pool = self._get_bet_sample_info( + bet, vote + ) + + bet_amount = self.get_bet_amount( + self.params.trading_strategy, + win_probability, + confidence, + selected_type_tokens_in_pool, + other_tokens_in_pool, + bet.fee, + ) + + self.context.logger.info(f"Bet amount: {bet_amount}") + self.context.logger.info(f"Bet fee: {bet.fee}") net_bet_amount = remove_fraction_wei(bet_amount, self.wei_to_native(bet.fee)) + self.context.logger.info(f"Net bet amount: {net_bet_amount}") + num_shares, available_shares = self._calc_binary_shares(net_bet_amount, vote) - bet_threshold = self.params.bet_threshold + self.context.logger.info(f"Adjusted available shares: {available_shares}") + if num_shares > available_shares * SLIPPAGE: + self.context.logger.warning( + "Kindly contemplate reducing your bet amount, as the pool's liquidity is low compared to your bet. " + "Consequently, this situation entails a higher level of risk as the obtained number of shares, " + "and therefore the potential net profit, will be lower than if the pool had higher liquidity!" + ) + bet_threshold = self.params.bet_threshold if bet_threshold <= 0: self.context.logger.warning( f"A non-positive bet threshold was given ({bet_threshold}). The threshold will be disabled, " @@ -289,35 +348,35 @@ def _is_profitable(self, confidence: float, vote: int) -> bool: potential_net_profit = num_shares - net_bet_amount - bet_threshold is_profitable = potential_net_profit >= 0 - if num_shares > available_shares * SLIPPAGE: - self.context.logger.warning( - "Kindly contemplate reducing your bet amount, as the pool's liquidity is low compared to your bet. " - "Consequently, this situation entails a higher level of risk as the obtained number of shares, " - "and therefore the potential net profit, will be lower than if the pool had higher liquidity!" - ) - self.context.logger.info( f"The current liquidity of the market is {bet.scaledLiquidityMeasure} xDAI. " f"The potential net profit is {self.wei_to_native(potential_net_profit)} xDAI " f"from buying {self.wei_to_native(num_shares)} shares for the option {bet.get_outcome(vote)}.\n" f"Decision for profitability of this market: {is_profitable}." ) - - return is_profitable + return is_profitable, bet_amount def async_act(self) -> Generator: """Do the action.""" with self.context.benchmark_tool.measure(self.behaviour_id).local(): - vote, confidence = yield from self._get_decision() + vote, win_probability, confidence = yield from self._get_decision() is_profitable = None - if vote is not None and confidence is not None: - is_profitable = self._is_profitable(confidence, vote) + bet_amount = None + if ( + vote is not None + and confidence is not None + and win_probability is not None + ): + is_profitable, bet_amount = self._is_profitable( + vote, win_probability, confidence + ) payload = DecisionReceivePayload( self.context.agent_address, is_profitable, vote, confidence, + bet_amount, ) yield from self.finish_behaviour(payload) diff --git a/packages/valory/skills/decision_maker_abci/behaviours/reedem.py b/packages/valory/skills/decision_maker_abci/behaviours/reedem.py index 5e4732233..127ec059e 100644 --- a/packages/valory/skills/decision_maker_abci/behaviours/reedem.py +++ b/packages/valory/skills/decision_maker_abci/behaviours/reedem.py @@ -80,11 +80,6 @@ def __init__(self, **kwargs: Any) -> None: # from all trades associated with it. self.claimable_amounts: Dict[HexBytes, int] = {} - @property - def synced_timestamp(self) -> int: - """Return the synchronized timestamp across the agents.""" - return int(self.round_sequence.last_round_transition_timestamp.timestamp()) - def setup(self) -> None: """Setup the behaviour""" self._policy = self.synchronized_data.policy diff --git a/packages/valory/skills/decision_maker_abci/behaviours/sampling.py b/packages/valory/skills/decision_maker_abci/behaviours/sampling.py index 39f1384eb..a56cdf3a8 100644 --- a/packages/valory/skills/decision_maker_abci/behaviours/sampling.py +++ b/packages/valory/skills/decision_maker_abci/behaviours/sampling.py @@ -33,6 +33,9 @@ ) +UNIX_DAY = 60 * 60 * 24 + + class SamplingBehaviour(DecisionMakerBaseBehaviour): """A behaviour in which the agents blacklist the sampled bet.""" @@ -42,13 +45,27 @@ class SamplingBehaviour(DecisionMakerBaseBehaviour): def available_bets(self) -> Iterator[Bet]: """Get an iterator of the unprocessed bets.""" bets = self.synchronized_data.bets + + # Note: the openingTimestamp is misleading as it is the closing timestamp of the bet + if self.params.trading_strategy == "kelly_criterion": + # get only bets that close in the next 48 hours + bets = [ + bet + for bet in bets + if bet.openingTimestamp + <= ( + self.synced_timestamp + + self.params.sample_bets_closing_days * UNIX_DAY + ) + ] + return filter(lambda bet: bet.status == BetStatus.UNPROCESSED, bets) def _sampled_bet_idx(self, bets: List[Bet]) -> int: """ Sample a bet and return its id. - The sampling logic is relatively simple at the moment + The sampling logic is relatively simple at the moment. It simply selects the unprocessed bet with the largest liquidity. :param bets: the bets' values to compare for the sampling. diff --git a/packages/valory/skills/decision_maker_abci/models.py b/packages/valory/skills/decision_maker_abci/models.py index 2ea38d3ca..1f7b1b43a 100644 --- a/packages/valory/skills/decision_maker_abci/models.py +++ b/packages/valory/skills/decision_maker_abci/models.py @@ -165,6 +165,20 @@ class DecisionMakerParams(MarketManagerParams): def __init__(self, *args: Any, **kwargs: Any) -> None: """Initialize the parameters' object.""" self.mech_agent_address: str = self._ensure("mech_agent_address", kwargs, str) + # the number of days to sample bets from + self.sample_bets_closing_days: int = self._ensure( + "sample_bets_closing_days", kwargs, int + ) + if self.sample_bets_closing_days <= 0: + msg = "The number of days to sample bets from must be positive!" + raise ValueError(msg) + + # the trading strategy to use for placing bets + self.trading_strategy: str = self._ensure("trading_strategy", kwargs, str) + # the factor of calculated kelly bet to use for placing bets + self.bet_kelly_fraction: float = self._ensure( + "bet_kelly_fraction", kwargs, float + ) # this is a mapping from the confidence of a bet's choice to the amount we are willing to bet self.bet_amount_per_threshold: Dict[float, int] = self._ensure( "bet_amount_per_threshold", kwargs, Dict[float, int] @@ -235,11 +249,6 @@ def slippage(self, slippage: float) -> None: ) self._slippage = slippage - def get_bet_amount(self, confidence: float) -> int: - """Get the bet amount given a prediction's confidence.""" - threshold = round(confidence, 1) - return self.bet_amount_per_threshold[threshold] - def get_policy_store_path(self, kwargs: Dict) -> Path: """Get the path of the policy store.""" path = self._ensure("policy_store_path", kwargs, str) @@ -304,6 +313,11 @@ def vote(self) -> Optional[int]: return int(self.p_no > self.p_yes) return None + @property + def win_probability(self) -> Optional[float]: + """Return the probability estimation for winning with vote.""" + return max(self.p_no, self.p_yes) + @dataclass(init=False) class MechInteractionResponse: diff --git a/packages/valory/skills/decision_maker_abci/payloads.py b/packages/valory/skills/decision_maker_abci/payloads.py index 060e1fd87..7b26bc9ba 100644 --- a/packages/valory/skills/decision_maker_abci/payloads.py +++ b/packages/valory/skills/decision_maker_abci/payloads.py @@ -33,6 +33,7 @@ class DecisionReceivePayload(BaseTxPayload): is_profitable: Optional[bool] vote: Optional[int] confidence: Optional[float] + bet_amount: Optional[int] @dataclass(frozen=True) diff --git a/packages/valory/skills/decision_maker_abci/skill.yaml b/packages/valory/skills/decision_maker_abci/skill.yaml index 6055feb8d..4a77eef31 100644 --- a/packages/valory/skills/decision_maker_abci/skill.yaml +++ b/packages/valory/skills/decision_maker_abci/skill.yaml @@ -12,29 +12,29 @@ fingerprint: README.md: bafybeia367zzdwndvlhw27rvnwodytjo3ms7gbc3q7mhrrjqjgfasnk47i __init__.py: bafybeih563ujnigeci2ldzh7hakbau6a222vsed7leg3b7lq32vcn3nm4a behaviours/__init__.py: bafybeih6ddz2ocvm6x6ytvlbcz6oi4snb5ee5xh5h65nq4w2qf7fd7zfky - behaviours/base.py: bafybeibt4fn3l52xwfat2vqn5nae2vm3ahjrddahjukkqxg33dcaumwcei - behaviours/bet_placement.py: bafybeiauzdizqawjgzc3ugx33vuh726e25juhacqdr7c6uztpn6tra5dva + behaviours/base.py: bafybeige65wi6lqzq26sbl5n6y7haqkgjltlwb65k6sohzv77pp3rmhsjm + behaviours/bet_placement.py: bafybeigtz4uimsqjjwq4r5p3a5v6niqdtqezbuf2ghy6o7syhsh4k5gjfa behaviours/blacklisting.py: bafybeicl6b4hcmqmekta2mcuhkkydnzk7jmic6k44e6ns3u2ibad3awzvu - behaviours/decision_receive.py: bafybeiesgn3gaj34n554apuxhq7jldtjgnir77fvnkr3tw5t4fprbvqhum + behaviours/decision_receive.py: bafybeidw2etz4k5zbmqp6qfg2ba5eimgpjl3w5bv7fz2xd6ah6vrns3g4i behaviours/decision_request.py: bafybeibrk6jxalkgspinmjboqr3o6d6hl6mxtlkif74a5p32vp2zzhhzua behaviours/handle_failed_tx.py: bafybeidxpc6u575ymct5tdwutvzov6zqfdoio5irgldn3fw7q3lg36mmxm - behaviours/reedem.py: bafybeic7i5tfgsl2rwbfxxpukqe6nmnpk3o6koyw2rn3xv5t5lbnubmnrq + behaviours/reedem.py: bafybeiewhlzhvrjtllym3jyk5fzci4r67fgutgzgrsmv4t3uvrejm7aaki behaviours/round_behaviour.py: bafybeig4tdktyu6hapoqymnxh2bgpds547st6a44heue657wkctwe4gjvm - behaviours/sampling.py: bafybeiadikynvkaofbko72jc45xthhmmjfmlkpgramormhxwk5u47rnwdu + behaviours/sampling.py: bafybeieu4obvwhsquvgmdi7moo4eajdh376oqlzb4zu3wsznovg2o5x2de behaviours/tool_selection.py: bafybeigfr2frkljrxyfxs5p3j42equzehgaqtkyuxk6eiujyudr6ajqakm dialogues.py: bafybeigpwuzku3we7axmxeamg7vn656maww6emuztau5pg3ebsoquyfdqm fsm_specification.yaml: bafybeifnob3ceim2mj7lqagtnpwqjqqxs5eg3oiwc73gwm6x5i2dvvlcya handlers.py: bafybeihj33szgrcxnpd73s4nvluyxwwsvhjum2cuq3ilhhe6vfola3k7vy - models.py: bafybeidd73nai777thcqsdofgt57hhinhxbkr6zeiypxaxa4oqjpgfyulu - payloads.py: bafybeiawx6ix2ljvf545fe3wocdoh7frds6gjvzgv62b3w6huaolgvywqi + models.py: bafybeibcdzwl33kge725ivlz4emclzj2tu7cvbzrnwa3v7tuux37lwt5vm + payloads.py: bafybeifhq6stu4vp2ef4qvihxgpos3yc2zcuaja2safwt7efdidoejgvqa policy.py: bafybeidpmx4ek3qze63zpuwixyf6t7bdv62ewgkzt3ljrzadiwdw64cueq redeem_info.py: bafybeibddfxwp3577c3dl2utaowwltquu5fg6crezpumoebw563wxpbfrm rounds.py: bafybeihopxmhzrpipc6r5x2vqf2tcixzuf5xdpqfsr7gr3n756n3ssft5q states/__init__.py: bafybeid23llnyp6j257dluxmrnztugo5llsrog7kua53hllyktz4dqhqoy - states/base.py: bafybeihe72qgalihmtzaezy3bvodxiqiawv2gzlnrfnmegddf22brieyiu + states/base.py: bafybeibyymqlq3srv5uqmitscdjjv6ijalwlzym5f7ab74teqweeywgv7y states/bet_placement.py: bafybeibalhxhp2c4oljmiwqi6ds3g36fgtabmf42mb5sgq6z22znrcbhda states/blacklisting.py: bafybeifruvxwwltndwazkzzbpc5nnnad3z5t5ofy6d3i7nssljbxl6gvxu - states/decision_receive.py: bafybeifm3oyq2aji7f5yag6wpe4vr3ivi74pybdsk2jvmziiidx5nt7t4a + states/decision_receive.py: bafybeib3roo27nccj4eylaqwwzztzzzwsi6px5atjrch5wbqmpln2kyy6y states/decision_request.py: bafybeic7otc3hjb753svbmur3yyk6szahc25yii3x4w4vcnpfz6jwvacuu states/final_states.py: bafybeidiwhuyd5zm2cq7vhv2owcrxdpm7fnvn3db6p6tql4jz5hgpalflu states/handle_failed_tx.py: bafybeihewm2vernvhktuorljdupjqcg2p5vs6wvsira2d62wkoyo5xlzjm @@ -162,6 +162,9 @@ models: tx_timeout: 10.0 use_termination: false mech_agent_address: '0xff82123dfb52ab75c417195c5fdb87630145ae81' + sample_bets_closing_days: 10 + trading_strategy: bet_amount_per_conf_threshold + bet_kelly_fraction: 1.0 bet_amount_per_threshold: 0.0: 0 0.1: 0 diff --git a/packages/valory/skills/decision_maker_abci/states/base.py b/packages/valory/skills/decision_maker_abci/states/base.py index 6d819b3b4..b57ddfe31 100644 --- a/packages/valory/skills/decision_maker_abci/states/base.py +++ b/packages/valory/skills/decision_maker_abci/states/base.py @@ -125,6 +125,11 @@ def confidence(self) -> float: """Get the vote's confidence.""" return float(self.db.get_strict("confidence")) + @property + def bet_amount(self) -> int: + """Get the calculated bet amount.""" + return int(self.db.get_strict("bet_amount")) + @property def is_profitable(self) -> bool: """Get whether the current vote is profitable or not.""" diff --git a/packages/valory/skills/decision_maker_abci/states/decision_receive.py b/packages/valory/skills/decision_maker_abci/states/decision_receive.py index 106d7d647..a45b9ecd2 100644 --- a/packages/valory/skills/decision_maker_abci/states/decision_receive.py +++ b/packages/valory/skills/decision_maker_abci/states/decision_receive.py @@ -45,6 +45,7 @@ class DecisionReceiveRound(CollectSameUntilThresholdRound): get_name(SynchronizedData.is_profitable), get_name(SynchronizedData.vote), get_name(SynchronizedData.confidence), + get_name(SynchronizedData.bet_amount), ) collection_key = get_name(SynchronizedData.participant_to_decision) diff --git a/packages/valory/skills/trader_abci/skill.yaml b/packages/valory/skills/trader_abci/skill.yaml index 3c1695c0d..8930c2403 100644 --- a/packages/valory/skills/trader_abci/skill.yaml +++ b/packages/valory/skills/trader_abci/skill.yaml @@ -25,8 +25,8 @@ skills: - valory/transaction_settlement_abci:0.1.0:bafybeia6cdxdlqrcwk2maw25fo7dafzd2p3rs7syropvufophk2pitzbwy - valory/termination_abci:0.1.0:bafybeieqm46zuccaagnko3qlw6p3nvoohdrfgvpmw467r5lyil2dqrzjsy - valory/market_manager_abci:0.1.0:bafybeidropskas24c4lcekzdbwoflhnzaglmeqxvpyuoa7cf7q2rf2yex4 -- valory/decision_maker_abci:0.1.0:bafybeid6ysjyi67q62yvf5g2v5jqlqbf25uylqiklwoeax7fnulfrrj65u -- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeidqyfnc4nvqraem4fpnkejqd77iwfcixg6fh3hc5ulhvstwcbdhbm +- valory/decision_maker_abci:0.1.0:bafybeie4k3s546hx4p5g3dtn75hlrysyh3ieslszexctwal4odmarx34fm +- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeiet3hqejz7rtutuzmvyl7wqwqqi2buqagryawav4yeuem45ohpr2e behaviours: main: args: {} @@ -144,6 +144,9 @@ models: average_block_time: 5 abt_error_mult: 5 mech_agent_address: '0xff82123dfb52ab75c417195c5fdb87630145ae81' + sample_bets_closing_days: 10 + trading_strategy: bet_amount_per_conf_threshold + bet_kelly_fraction: 1.0 bet_amount_per_threshold: 0.0: 0 0.1: 0 diff --git a/packages/valory/skills/tx_settlement_multiplexer_abci/skill.yaml b/packages/valory/skills/tx_settlement_multiplexer_abci/skill.yaml index 10cded608..c3047d696 100644 --- a/packages/valory/skills/tx_settlement_multiplexer_abci/skill.yaml +++ b/packages/valory/skills/tx_settlement_multiplexer_abci/skill.yaml @@ -20,7 +20,7 @@ contracts: [] protocols: [] skills: - valory/abstract_round_abci:0.1.0:bafybeid7neqpxxe4ualp23gxgrtpf6r5u3myr2mmc4uvwameyqshfdoydq -- valory/decision_maker_abci:0.1.0:bafybeid6ysjyi67q62yvf5g2v5jqlqbf25uylqiklwoeax7fnulfrrj65u +- valory/decision_maker_abci:0.1.0:bafybeie4k3s546hx4p5g3dtn75hlrysyh3ieslszexctwal4odmarx34fm behaviours: main: args: {} diff --git a/poetry.lock b/poetry.lock index 7703917ce..5fad54694 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1,10 +1,9 @@ -# This file is automatically @generated by Poetry 1.4.2 and should not be changed by hand. +# This file is automatically @generated by Poetry 1.6.1 and should not be changed by hand. [[package]] name = "aiohttp" version = "3.7.4.post0" description = "Async http client/server framework (asyncio)" -category = "main" optional = false python-versions = ">=3.6" files = [ @@ -62,7 +61,6 @@ speedups = ["aiodns", "brotlipy", "cchardet"] name = "asn1crypto" version = "1.4.0" description = "Fast ASN.1 parser and serializer with definitions for private keys, public keys, certificates, CRL, OCSP, CMS, PKCS#3, PKCS#7, PKCS#8, PKCS#12, PKCS#5, X.509 and TSP" -category = "main" optional = false python-versions = "*" files = [ @@ -74,7 +72,6 @@ files = [ name = "async-timeout" version = "3.0.1" description = "Timeout context manager for asyncio programs" -category = "main" optional = false python-versions = ">=3.5.3" files = [ @@ -86,7 +83,6 @@ files = [ name = "attrs" version = "23.1.0" description = "Classes Without Boilerplate" -category = "main" optional = false python-versions = ">=3.7" files = [ @@ -105,7 +101,6 @@ tests-no-zope = ["cloudpickle", "hypothesis", "mypy (>=1.1.1)", "pympler", "pyte name = "base58" version = "2.1.1" description = "Base58 and Base58Check implementation." -category = "main" optional = false python-versions = ">=3.5" files = [ @@ -120,7 +115,6 @@ tests = ["PyHamcrest (>=2.0.2)", "mypy", "pytest (>=4.6)", "pytest-benchmark", " name = "bcrypt" version = "4.0.1" description = "Modern password hashing for your software and your servers" -category = "main" optional = false python-versions = ">=3.6" files = [ @@ -155,7 +149,6 @@ typecheck = ["mypy"] name = "bech32" version = "1.2.0" description = "Reference implementation for Bech32 and segwit addresses." -category = "main" optional = false python-versions = ">=3.5" files = [ @@ -167,7 +160,6 @@ files = [ name = "bitarray" version = "2.8.2" description = "efficient arrays of booleans -- C extension" -category = "main" optional = false python-versions = "*" files = [ @@ -299,7 +291,6 @@ files = [ name = "blspy" version = "2.0.2" description = "BLS signatures in c++ (python 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