-
Notifications
You must be signed in to change notification settings - Fork 9
/
Copy pathmodel.py
259 lines (178 loc) · 9.19 KB
/
model.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
import numpy
def createLp(token1, token2, vol1, vol2) :
amm = {token1 : vol1, token2 : vol2}
return amm
def getPrices(token1, token2, vol1, vol2) :
prices = {token1 : vol2/vol1, token2 : vol1/vol2}
return prices
def makeTrade(amount, vol1, vol2, fees = 0.003) :
maxTrade = 0.3 #max amount of total volume that can be traded in single trade
amount = max(min(maxTrade*vol1, amount), -1*maxTrade*vol1)
k = vol1 * vol2
vol1_new = vol1 + amount
vol2_new = k / (vol1 + amount)
if amount > 0 :
fee = amount*fees
vol1_new += fee
else :
fee = (vol2_new - vol2)*fees
vol2_new += fee
return vol1_new, vol2_new
def getLpValue(vol1,ownership) :
value = 2*vol1*ownership
return(value)
def createVault(amount, lendAllocation, vaultToken, secondaryToken, vol1, vol2) :
collateral = lendAllocation * amount
borrowAllocation = 1 - lendAllocation
prices = getPrices(vaultToken, secondaryToken, vol1, vol2)
amountBorrowed = borrowAllocation*amount*prices[vaultToken]
lpHolding = amountBorrowed / vol2
return {'collateral' : collateral, 'debtAmount' : amountBorrowed, 'lpHolding' : lpHolding, 'pendingHarvest' : 0}
def getVaultValue(vault, vaultToken, secondaryToken, vol1, vol2) :
prices = getPrices(vaultToken, secondaryToken, vol1, vol2)
balance = vault['collateral'] - vault['debtAmount'] / prices[vaultToken] + vault['lpHolding']*vol1*2 + vault['pendingHarvest']
return balance
def adjVault(vault, adjRates, vol1):
vault['collateral'] += vault['collateral']*adjRates['lend']
vault['debtAmount'] += vault['debtAmount']*adjRates['borrow']
vault['pendingHarvest'] += (vault['lpHolding']*vol1*2)*adjRates['farm']
def calcDebtRatio(vault, vaultToken, secondaryToken, vol1, vol2) :
debtRatio = vault['debtAmount'] / (vault['lpHolding']*vol2)
return debtRatio
def calcCollatRatio(vault, vaultToken, secondaryToken, vol1, vol2) :
prices = getPrices(vaultToken, secondaryToken, vol1, vol2)
collatRatio = (vault['debtAmount'] / prices[vaultToken]) / vault['collateral']
return collatRatio
def rebalanceDebt(vault, vaultToken, secondaryToken, vol1, vol2, debtLow, debtHigh, rebalanceAdj = .996) :
debtRatio = calcDebtRatio(vault, vaultToken, secondaryToken, vol1, vol2)
if debtRatio > debtHigh :
#too much debt ~ remove some LP
lpRemoveAmt = (vault['debtAmount'] - vault['lpHolding']*vol2) #how much of secondary asset will be removed from LP
lpAdj = (vault['debtAmount'] - vault['lpHolding']*vol2) / (vol2) #how much will LP holdings decrease by
vault['lpHolding'] -= lpAdj
vault['debtAmount'] -= lpRemoveAmt * ( 1 + rebalanceAdj)
if debtRatio < debtLow :
borrowAmt = 2*(vault['lpHolding']*vol2 - vault['debtAmount'])
vault['debtAmount'] += borrowAmt
lpAdj = (0.5 * borrowAmt / vol2) * ( 1 + rebalanceAdj ) / 2
vault['lpHolding'] += lpAdj
def rebalanceCollat(vault, vaultToken, secondaryToken, vol1, vol2, collatLow, collatTarget ,collatHigh) :
collatRatio = calcCollatRatio(vault, vaultToken, secondaryToken, vol1, vol2)
prices = getPrices(vaultToken, secondaryToken, vol1, vol2)
if collatRatio < collatLow :
adjAmt = (( vault['debtAmount']/prices[vaultToken]) - vault['collateral']*collatTarget) / ( 1 + collatTarget)
borrowAmt = adjAmt * prices[vaultToken]
vault['debtAmount'] += borrowAmt
vault['collateral'] -= adjAmt
lpAdj = adjAmt / vol1
vault['lpHolding'] += lpAdj
if collatRatio > collatLow :
adjAmt = (( vault['debtAmount']/prices[vaultToken]) - vault['collateral']*collatTarget) / ( 1 + collatTarget)
repayAmt = adjAmt * prices[vaultToken]
vault['debtAmount'] -= repayAmt
vault['collateral'] += adjAmt
lpAdj = adjAmt / vol1
vault['lpHolding'] -= lpAdj
def harvest(vault, debtRatio, prices, vaultToken, harvestThreshold = 1, slippageAdj = .996) :
if debtRatio < harvestThreshold :
vault['collateral'] += vault['pendingHarvest']*(slippageAdj**2) #assume trade takes path through two LP's
else :
vault['debtAmount'] -= vault['pendingHarvest'] * prices[vaultToken] *(slippageAdj**2)
vault['pendingHarvest'] = 0
def simulate(allTrades, vaultInitial, lp, vaultToken, secondaryToken, vol1, vol2, adjRates,
collatLow = .5, collatTarget = .55, collatHigh = .6,
debtLow = .97, debtHigh = 1.03, rebalance = True, harvestFrequency = 5, ammFee = 0.003) :
vault = vaultInitial
priceLog = []
vaultLog = []
debtRatioLog = []
collatRatioLog = []
prices = getPrices(vaultToken, secondaryToken, vol1, vol2)
debtRatio = calcDebtRatio(vault, vaultToken, secondaryToken, vol1, vol2)
collatRatio = calcCollatRatio(vault, vaultToken, secondaryToken, vol1, vol2)
vaultValue = getVaultValue(vault, vaultToken, secondaryToken, vol1, vol2)
vaultLog.append(vaultValue)
p0 = prices[secondaryToken]
priceLog.append(1.)
debtRatioLog.append(debtRatio)
collatRatioLog.append(collatRatio)
harvestCount = 0
nSteps = len(allTrades)
for i in range(nSteps) :
trades = allTrades[i]
for amt in trades : vol1, vol2 = makeTrade(amt,vol1, vol2)
adjVault(vault, adjRates, vol1)
if rebalance == True :
rebalanceDebt(vault, vaultToken, secondaryToken, vol1, vol2, debtLow, debtHigh)
rebalanceCollat(vault, vaultToken, secondaryToken, vol1, vol2, collatLow, collatTarget ,collatHigh)
prices = getPrices(vaultToken, secondaryToken, vol1, vol2)
debtRatio = calcDebtRatio(vault, vaultToken, secondaryToken, vol1, vol2)
collatRatio = calcCollatRatio(vault, vaultToken, secondaryToken, vol1, vol2)
harvestCount += 1
if harvestCount == harvestFrequency :
harvestCount = 0
harvest(vault, debtRatio, prices, vaultToken)
vaultValue = getVaultValue(vault, vaultToken, secondaryToken, vol1, vol2)
vaultLog.append(vaultValue)
priceLog.append(prices[secondaryToken] / p0)
debtRatioLog.append(debtRatio)
collatRatioLog.append(collatRatio)
return vaultLog, priceLog, debtRatioLog, collatRatioLog, vol1, vol2
def simulateMarket(priceInput, vaultInitial, lp, vaultToken, secondaryToken, vol1, vol2, adjRates,
collatLow = .5, collatTarget = .55, collatHigh = .6,
debtLow = .97, debtHigh = 1.03, rebalance = True, harvestFrequency = 5, ammFee = 0.003) :
vault = vaultInitial
priceLog = []
vaultLog = []
debtRatioLog = []
collatRatioLog = []
prices = getPrices(vaultToken, secondaryToken, vol1, vol2)
debtRatio = calcDebtRatio(vault, vaultToken, secondaryToken, vol1, vol2)
collatRatio = calcCollatRatio(vault, vaultToken, secondaryToken, vol1, vol2)
vaultValue = getVaultValue(vault, vaultToken, secondaryToken, vol1, vol2)
vaultLog.append(vaultValue)
p0 = prices[secondaryToken]
priceLog.append(1.)
debtRatioLog.append(debtRatio)
collatRatioLog.append(collatRatio)
harvestCount = 0
nSteps = len(priceInput)
for i in range(nSteps) :
startingPrice = vol1 / vol2
# k = y * k
K = vol1 * vol2
# K = price * vol2 * vol2
# price = K / (vol2^2)
# vol2 = sqrt(K / price)
newPrice = priceInput[i]
vol2 = (K / newPrice) ** (0.5)
vol1 = K / vol2
adjVault(vault, adjRates, vol1)
if rebalance == True :
rebalanceDebt(vault, vaultToken, secondaryToken, vol1, vol2, debtLow, debtHigh)
rebalanceCollat(vault, vaultToken, secondaryToken, vol1, vol2, collatLow, collatTarget ,collatHigh)
prices = getPrices(vaultToken, secondaryToken, vol1, vol2)
debtRatio = calcDebtRatio(vault, vaultToken, secondaryToken, vol1, vol2)
collatRatio = calcCollatRatio(vault, vaultToken, secondaryToken, vol1, vol2)
harvestCount += 1
if harvestCount == harvestFrequency :
harvestCount = 0
harvest(vault, debtRatio, prices, vaultToken)
vaultValue = getVaultValue(vault, vaultToken, secondaryToken, vol1, vol2)
vaultLog.append(vaultValue)
priceLog.append(prices[secondaryToken] / p0)
debtRatioLog.append(debtRatio)
collatRatioLog.append(collatRatio)
return vaultLog, priceLog, debtRatioLog, collatRatioLog, vol1, vol2
#vault = createVault(vaultTVL, lendAllocation, vaultToken, secondaryToken, vol1, vol2)
def genTradesRandom(lambdaTrades, expScale, pBuy) :
nTrades = numpy.random.poisson(lambdaTrades)
tradeSize = numpy.random.exponential(expScale, nTrades)
rand = numpy.random.uniform(size = nTrades)
trades = []
for i in range(nTrades) :
amt = tradeSize[i]
if rand[i] < pBuy :
amt = -1*amt
trades.append(amt)
return trades