"""Lendindg protocol leveraged.
- Various helpers related to lending protocol leverage
"""
import datetime
from _decimal import Decimal
from typing import TypeAlias, Tuple, Literal
from tradeexecutor.state.identifier import (
AssetIdentifier, AssetWithTrackedValue, TradingPairIdentifier,
TradingPairKind, AssetType,
)
from tradeexecutor.state.interest import Interest
from tradeexecutor.state.loan import Loan, LiquidationRisked
from tradeexecutor.state.trade import TradeExecution
from tradeexecutor.state.types import USDollarAmount, LeverageMultiplier
from tradeexecutor.utils.accuracy import COLLATERAL_EPSILON, CLOSE_POSITION_COLLATERAL_EPSILON
[docs]def create_credit_supply_loan(
position: "tradeexecutor.state.position.TradingPosition",
trade: TradeExecution,
timestamp: datetime.datetime,
mode: Literal["plan", "execute"] = "plan",
):
"""Create a loan that supplies credit to a lending protocol.
This is a loan with
- Collateral only
- Borrowed is ``None``
"""
assert trade.is_credit_supply()
assert not position.loan
pair = position.pair
assert pair.is_credit_supply()
# aToken
#
# The expected collateral
# is our collateral allocation (reserve)
# and whatever more collateral we get for selling the shorted token
#
if mode == "plan":
reserve_quantity = trade.planned_reserve
else:
reserve_quantity = trade.executed_reserve
collateral = AssetWithTrackedValue(
asset=pair.base, # aUSDC token is the base pair for credit supply positions
last_usd_price=trade.reserve_currency_exchange_rate,
last_pricing_at=datetime.datetime.utcnow(),
quantity=reserve_quantity,
)
loan = Loan(
pair=trade.pair,
collateral=collateral,
collateral_interest=Interest.open_new(reserve_quantity, timestamp),
borrowed=None,
borrowed_interest=None,
)
# Sanity check
loan.check_health()
return loan
[docs]def update_credit_supply_loan(
loan: Loan,
position: "tradeexecutor.state.position.TradingPosition",
trade: TradeExecution,
timestamp: datetime.datetime,
mode: Literal["plan", "execute"] = "plan",
):
"""Close/increase/reduce credit supply loan.
"""
assert trade.is_credit_supply()
assert position.pair.is_credit_supply()
if mode == "plan":
reserve_quantity = trade.planned_quantity
else:
reserve_quantity = trade.executed_quantity
loan.collateral.change_quantity_and_value(
reserve_quantity,
trade.reserve_currency_exchange_rate,
timestamp,
allow_negative=True,
)
# Sanity check
loan.check_health()
return loan
[docs]def create_short_loan(
position: "tradeexecutor.state.position.TradingPosition",
trade: TradeExecution,
timestamp: datetime.datetime,
mode: Literal["plan", "execute"] = "plan",
) -> Loan:
"""Create the loan data tracking for short position.
- Check that the information looks correct for a short position.
- Populates :py:class:`Loan` data structure.
- We use assumed prices. The actual execution prices may differ
and must be populated to `trade.executed_loan`.
"""
assert trade.is_short()
assert len(position.trades) == 1, "Can be only called when position is opening"
assert not position.loan, f"loan already set"
pair = trade.pair
assert pair.base.underlying, "Base token lacks underlying asset"
assert pair.quote.underlying, "Quote token lacks underlying asset"
assert pair.base.type == AssetType.borrowed, f"Trading pair base asset is not borrowed: {pair.base}, {pair.base.type}"
assert pair.quote.type == AssetType.collateral, f"Trading pair quote asset is not collateral: {pair.quote}, {pair.quote.type}"
assert pair.quote.underlying.is_stablecoin(), f"Only stablecoin collateral supported for shorts: {pair.quote}"
if mode == "plan":
# Extra checks when position is opened
assert trade.planned_quantity < 0, f"Short position must open with a sell with negative quantity, got: {trade.planned_quantity}"
if not trade.planned_collateral_allocation:
assert trade.planned_reserve > 0, f"Collateral must be positive: {trade.planned_reserve}"
borrowed_quantity = abs(trade.planned_quantity)
collateral_quantity = trade.planned_reserve + trade.planned_collateral_allocation + trade.planned_collateral_consumption
else:
# Extra checks when position is closed
assert trade.executed_quantity < 0, f"Short position open with a sell with negative quantity, got: {trade.executed_quantity}"
if not trade.executed_collateral_allocation:
assert trade.executed_reserve > 0, f"Collateral must be positive: {trade.executed_reserve}"
borrowed_quantity = abs(trade.executed_quantity)
collateral_quantity = trade.executed_reserve + trade.executed_collateral_allocation + trade.executed_collateral_consumption
# vToken
borrowed = AssetWithTrackedValue(
asset=pair.base,
last_usd_price=trade.planned_price,
last_pricing_at=datetime.datetime.utcnow(),
quantity=borrowed_quantity,
created_strategy_cycle_at=trade.strategy_cycle_at,
)
# aToken
#
# The expected collateral
# is our collateral allocation (reserve)
# and whatever more collateral we get for selling the shorted token
#
collateral = AssetWithTrackedValue(
asset=pair.quote,
last_usd_price=trade.reserve_currency_exchange_rate,
last_pricing_at=datetime.datetime.utcnow(),
quantity=collateral_quantity,
)
loan = Loan(
pair=trade.pair,
collateral=collateral,
borrowed=borrowed,
collateral_interest=Interest.open_new(collateral.quantity, timestamp),
borrowed_interest=Interest.open_new(borrowed.quantity, timestamp),
)
# Sanity check
loan.check_health()
return loan
[docs]def update_short_loan(
loan: Loan,
position: "tradeexecutor.state.position.TradingPosition",
trade: TradeExecution,
mode: Literal["plan", "execute"] = "plan",
close_position=False,
):
"""Update the loan data tracking for short position.
- Check that the information looks correct for a short position.
:param loan:
Loan which is about to change.
Clone the existing loan, will be mutated in place.
:param position:
Associated trading position
:param trade:
The trade that is changing this loan
:param close_position:
Is this loan update for a position close.
For closing position, we hack a special tolerance for the collateral epsilon.
This is due to slippage collateral spilling to the next position
with the same collateral in Aave.
"""
assert trade.is_short()
assert len(position.trades) > 1, "Can be only called when closing/reducing/increasing/position"
# TODO: How planned_collateral_consumption + planned_collateral_allocation
# might not be the best way to do this, see test_short_decrease_size
if mode == "plan":
collateral_consumption = trade.planned_collateral_consumption or Decimal(0)
collateral_allocation = trade.planned_collateral_allocation or Decimal(0)
reserve_adjust = trade.planned_reserve or Decimal(0)
borrow_change = -trade.planned_quantity
else:
collateral_consumption = trade.executed_collateral_consumption or Decimal(0)
collateral_allocation = trade.executed_collateral_allocation or Decimal(0)
reserve_adjust = trade.executed_reserve or Decimal(0)
borrow_change = -trade.executed_quantity
collateral_change = collateral_consumption + collateral_allocation + reserve_adjust
borrow_change = -trade.planned_quantity
available_collateral_interest = loan.collateral_interest.get_remaining_interest()
loan.collateral.change_quantity_and_value(
collateral_change,
trade.reserve_currency_exchange_rate,
trade.opened_at,
available_accrued_interest=available_collateral_interest,
epsilon=CLOSE_POSITION_COLLATERAL_EPSILON if close_position else COLLATERAL_EPSILON,
close_position=close_position,
)
# In short position, positive value reduces the borrowed amount
loan.borrowed.change_quantity_and_value(
borrow_change,
trade.planned_price,
trade.opened_at,
# Because of interest events, and the fact that we need
# to pay the interest back on closing the loan,
# the tracked underlying amount can go negative when closing a short
# position
allow_negative=True,
)
# Interest object has the cached last_token_amount decimal
# which we also need to fxi
loan.borrowed_interest.adjust(borrow_change)
loan.collateral_interest.adjust(collateral_change, epsilon=abs(CLOSE_POSITION_COLLATERAL_EPSILON * collateral_change) if close_position else COLLATERAL_EPSILON)
# Sanity check
if loan.borrowed.quantity > 0:
try:
loan.check_health()
except LiquidationRisked as e:
raise LiquidationRisked(f"If the planned loan leveraged trade for {position} would go through, the position would be immediately liquidated") from e
return loan