Skip to content

churn #6

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Draft
wants to merge 1 commit into
base: main
Choose a base branch
from
Draft

churn #6

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
206 changes: 206 additions & 0 deletions interactive_churn.py
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,206 @@
# %%
import sys
from copy import deepcopy

import numpy as np
import pandas as pd
from fixedpointmath import FixedPoint
from matplotlib import pyplot as plt # pylint: disable=import-error,no-name-in-module

from agent0.hyperdrive.interactive import InteractiveHyperdrive, LocalChain

# pylint: disable=bare-except
# ruff: noqa: A001 (allow shadowing a python builtin)
# using the variable "max"
# pylint: disable=redefined-builtin
# don't make me use upper case variable names
# pylint: disable=invalid-name
# let me use long lines
# pylint: disable=line-too-long
# let me use magic numbers
# ruff: noqa: PLR2004
# too many branches
# ruff: noqa: PLR0912
# pylint: disable=redefined-outer-name

cols = ["block_number", "username", "position", "pnl"]
DISPLAY_COLS = cols + ["base_token_type", "maturity_time"]
DISPLAY_COLS_WITH_HPR = cols + ["hpr", "apr"]
FLOAT_FMT = ",.0f"
RUNNING_INTERACTIVE = False
try:
from IPython.core.getipython import get_ipython # pylint: disable=import-outside-toplevel

RUNNING_INTERACTIVE = bool("ipykernel" in sys.modules and get_ipython())
except ImportError:
pass

if RUNNING_INTERACTIVE:
from IPython.display import display # pylint: disable=import-outside-toplevel

print("Running in interactive mode.")
else: # being run from the terminal or something similar
display = print # pylint: disable=redefined-builtin,unused-import
print("Running in non-interactive mode.")

chain = LocalChain()

# %%
# Parameters for pool initialization. If empty, defaults to default values, allows for custom values if needed
initial_liquidity = FixedPoint(10_000_000)
config = InteractiveHyperdrive.Config(
curve_fee=FixedPoint(0.01),
flat_fee=FixedPoint(0),
position_duration=60 * 60 * 24 * 365, # 1 year
checkpoint_duration=60 * 60 * 24, # 1 day
initial_liquidity=initial_liquidity, # 10 million
governance_lp_fee=FixedPoint(0), # no governance fee
calc_pnl=False, # don't calculate pnl, we'll do all returns in WETH after closing positions
)
MINIMUM_TRANSACTION_AMOUNT = config.minimum_transaction_amount
interactive_hyperdrive = InteractiveHyperdrive(chain, config)

# %%
# set up accounts
account_1 = interactive_hyperdrive.init_agent(base=FixedPoint(1e23-1), name="account 1")

print("=== STARTING WETH BALANCES ===")
starting_base = {}
for agent in interactive_hyperdrive._pool_agents: # pylint: disable=protected-access
starting_base[agent.name] = agent.wallet.balance.amount
for k,v in starting_base.items():
print(f"{k:6}: {float(v):13,.0f}")

# %%
# do trades until it crashes
try:
for _ in range(100):
event = account_1.open_long(base=FixedPoint(1_000_000))
account_1.open_short(bonds=event.bond_amount)
except Exception as exc:
print(exc)

# %%
# close positions
# events = account_1.liquidate()

# %%
# view wallets
current_wallet = deepcopy(interactive_hyperdrive.get_current_wallet())
if RUNNING_INTERACTIVE:
display(
current_wallet.loc[current_wallet.position != 0,DISPLAY_COLS].style.format(
subset=[
col
for col in current_wallet.columns
if current_wallet.dtypes[col] == "float64" and col not in ["hpr", "apr"]
],
formatter="{:" + FLOAT_FMT + "}",
)
.hide(axis="index")
.hide(axis="columns", subset=["pnl", "maturity_time"])
)
else:
print(current_wallet)

# %%
# conclude
pool_info = interactive_hyperdrive.get_pool_state()
initial_fixed_rate = float(pool_info.fixed_rate.iloc[0])
ending_fixed_rate = float(pool_info.fixed_rate.iloc[-1])
print(f"starting fixed rate is {initial_fixed_rate:7.2%}")
print(f" ending fixed rate is {ending_fixed_rate:7.2%}")
governance_fees = float(interactive_hyperdrive.hyperdrive_interface.get_gov_fees_accrued(block_number=None))
current_wallet = deepcopy(interactive_hyperdrive.get_current_wallet())

wallet_positions = deepcopy(interactive_hyperdrive.get_wallet_positions())
# time passed
time_passed_days = (pool_info.timestamp.iloc[-1] - pool_info.timestamp.iloc[0]).total_seconds() / 60 / 60 / 24
print(f"time passed = {time_passed_days:.2f} days")
apr_factor = 365 / time_passed_days
print(f" to scale APR from HPR we multiply by {apr_factor:,.0f} (365/{time_passed_days:.2f})")
print(f" share price went from {pool_info.share_price.iloc[0]:.4f} to {pool_info.share_price.iloc[-1]:.4f}")

# do return calculations
non_weth_index = (current_wallet.token_type != "WETH") & (current_wallet.position > float(MINIMUM_TRANSACTION_AMOUNT))
weth_index = current_wallet.token_type == "WETH"
ws_index = current_wallet.token_type == "WITHDRAWAL_SHARE"
for user in current_wallet.username.unique():
user_idx = current_wallet.username == user
# check if user has withdrawal shares
if (user_idx & ws_index).sum() > 0:
# add withdrawal shares at 1:1 with WETH
current_wallet.loc[user_idx & weth_index, ["position"]] += current_wallet.loc[user_idx & ws_index, ["position"]].values
if user not in ["governance", "total", "share price"]:
# simple PNL based on starting WETH balance
current_wallet.loc[user_idx & weth_index, ["pnl"]] = current_wallet.loc[user_idx & weth_index, ["position"]].values - float(starting_base[user])
# add HPR
mask = current_wallet['pnl'].notna() & current_wallet['position'].notna()
current_wallet.loc[mask, 'hpr'] = current_wallet.loc[mask, 'pnl'] / (current_wallet.loc[mask, 'position'] - current_wallet.loc[mask, 'pnl'])

def new_row(user, position, pnl, hpr = None): # pylint: disable=redefined-outer-name
_new_row = current_wallet.iloc[len(current_wallet) - 1].copy()
_new_row["username"], _new_row["position"], _new_row["pnl"], _new_row["token_type"] = user, position, pnl, "WETH"
_new_row["hpr"] = hpr if hpr is not None else _new_row["pnl"] / (_new_row["position"] - _new_row["pnl"])
return _new_row.to_frame().T
governance_row = new_row("governance", governance_fees, governance_fees, np.inf)
total_row = new_row("total", float(current_wallet["position"].values.sum()), current_wallet.loc[current_wallet.token_type.values == "WETH", ["pnl"]].values.sum())
share_price_row = new_row("share price", pool_info.share_price.iloc[-1] * 1e7, pool_info.share_price.iloc[-1] * 1e7 - pool_info.share_price.iloc[0] * 1e7)
current_wallet = pd.concat([current_wallet, governance_row, total_row, share_price_row], ignore_index=True)

# re-index
non_weth_index = (current_wallet.token_type != "WETH") & (current_wallet.position > float(MINIMUM_TRANSACTION_AMOUNT))
weth_index = current_wallet.token_type == "WETH"
# convert to float
current_wallet.position = current_wallet.position.astype(float)
current_wallet.pnl = current_wallet.pnl.astype(float)
# add APR
current_wallet.loc[:, ["apr"]] = current_wallet.loc[:, ["hpr"]].values * apr_factor

results1 = current_wallet.loc[non_weth_index, DISPLAY_COLS]
results2 = current_wallet.loc[weth_index, DISPLAY_COLS_WITH_HPR]
# display final results
if non_weth_index.sum() > 0:
print("\nmaterial non-WETH positions:")
if RUNNING_INTERACTIVE:
display(results1.style.hide(axis="index"))
else:
print(results1)
else:
print("no material non-WETH positions")
print("WETH positions:")
if RUNNING_INTERACTIVE:
display(results2.style.format(
subset=[col for col in results2.columns if results2.dtypes[col] == "float64" and col not in ["hpr", "apr"]],
formatter="{:" + FLOAT_FMT + "}",
).hide(axis="index").format(subset=["hpr", "apr"],formatter="{:.2%}",))
else:
print(results2)

# %%
pool_info = interactive_hyperdrive.get_pool_state()
# plot rates
if RUNNING_INTERACTIVE:
from matplotlib import ticker
fig, axes = plt.subplots(2,1, figsize=(10,8))
pool_info.plot(
x="block_number",
y=["fixed_rate","variable_rate"],
ax=axes[0],
)
plt.gca().yaxis.set_major_formatter(ticker.PercentFormatter(xmax=1.0))
# plt.show()
pool_info.plot(
x="block_number",
y="bond_reserves",
ax=axes[1],
)
plt.gca().yaxis.set_major_formatter(ticker.PercentFormatter(xmax=1.0))
plt.show()

# %%
# clear resources
if not RUNNING_INTERACTIVE:
chain.cleanup()

# %%