feat/add-kelly-strategy

.gitignore

@@ -45,3 +45,5 @@ trader/
 !/packages/valory/agents/trader/
 !/packages/valory/services/trader/
 /trader_service/
+
+kelly_strategy_explanation.md

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",

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}

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}

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:

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: