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@Siddharth2207
Siddharth2207 committed Jun 14, 2024
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60 changes: 27 additions & 33 deletions src/wip/fixed-grid.rain
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# Strategy: Fixed Grid
#
# High level, this strategy trades mean amount of BLUE denominated RED tokens at the end of every cooldown period
# provided that current calculated dollar price of RED falls within the price gird.
# provided that current calculated BLUE denominated price of RED falls within the price gird.
#
# - Amount of RED bought/sold per trade within the price band is randomized and centered around a mean,
# value for which can be set within the bindings.
# - Range for the grid can also be provided within the bindings
# - Strategy provides a guard against orcale manipulation, where a binding can be provided to check against
# the 30 min twap deviation.
# - Range for the grid can also be provided within the bindings.
# - Strategy provides a guard against orcale manipulation by enforcing that the ratio of the current price offered
# by the order to the 30 min average price is within the threshold, which can be provided as a binding in the strategy.

networks:
polygon-red:
Expand All @@ -33,16 +33,10 @@ deployers:
tokens:
polygon-red:
network: polygon-red
address: 0x53E0bca35eC356BD5ddDFebbD1Fc0fD03FaBad39
polygon-usdt:
address: 0x222789334D44bB5b2364939477E15A6c981Ca165
polygon-blue:
network: polygon-red
address: 0xc2132D05D31c914a87C6611C10748AEb04B58e8F
polygon-usdc:
network: polygon-red
address: 0x2791Bca1f2de4661ED88A30C99A7a9449Aa84174
polygon-wmatic:
network: polygon-red
address: 0x0d500B1d8E8eF31E21C99d1Db9A6444d3ADf1270
address: 0x6d3AbB80c3CBAe0f60ba274F36137298D8571Fbe

scenarios:
polygon-red-fixed-grid:
Expand All @@ -55,9 +49,9 @@ scenarios:
orderbook-subparser: 0x8f037f2a3fF2dee510486D9C63A47A245991a4C1

# Distribution token, i.e token that is bought or sold, for and against the stable token.
distribution-token: 0x53E0bca35eC356BD5ddDFebbD1Fc0fD03FaBad39
distribution-token: 0x222789334D44bB5b2364939477E15A6c981Ca165
# Stable token, token with price pegged to one dollar.
stable-token: 0x2791Bca1f2de4661ED88A30C99A7a9449Aa84174
stable-token: 0x6d3AbB80c3CBAe0f60ba274F36137298D8571Fbe

# If the distribution token is paired with a stable token in a univ3 pool,
# then address for this binding is same as the stable token address.
Expand All @@ -68,7 +62,7 @@ scenarios:
# Eg: If the uniswap-v3 pair is TKN-WETH, then reserve token address is same as WETH address.
# This reserve token will be compared against stable token to calculate the dollar
# equivalent twap.
reserve-token: 0x2791Bca1f2de4661ED88A30C99A7a9449Aa84174
reserve-token: 0x6d3AbB80c3CBAe0f60ba274F36137298D8571Fbe

# Twap fee for tokens
# `twap-io-fee`: Uniswap-v3 pool fee for token pair.
Expand All @@ -77,7 +71,7 @@ scenarios:
#
# If distribution token is paired with native wrapped token, for eg WETH, then the
# binding value is the fee for TKN-WETH pool.
twap-io-fee: '[uniswap-v3-fee-medium]'
twap-io-fee: '[uniswap-v3-fee-low]'

# `twap-multiplier-feee`: Uniswap-v3 pool fee for stable-reserve pair.
# If distribution token is paired with a stable token then binding value is irrelevant.
Expand All @@ -102,11 +96,11 @@ scenarios:
# Bounty amount offered for trade in dollar.
#
# Minimum amount of bounty offered for the trade, depending upon the network this value might change.
bounty-min: 0.015
bounty-min: 0.01

# Maximum amount of bounty offered for the trade, this will also the amount offered for the first trade,
# as well as to calculate the twap deviation for the first trade which is visible in the metrics.
bounty-max: 0.3
bounty-max: 0.1

# Bounty unit increase, amount by which to increase the bounty amount.
bounty-unit-increase: 0.01
Expand All @@ -120,22 +114,22 @@ scenarios:
buy:
bindings:
# Cooldown between two trades in seconds.
cooldown-time: 14400
cooldown-time: 60
# Mean amount of usdc offered per trade.
# For gas expensive networks mean amount needs to be higher to compensate
# for gas fee and bounty.
mean-input-usdc-amount: 15
mean-input-usdc-amount: 1
# Grid minimum price
grid-min: 0.001
grid-min: 0.1
# Grid maximum price
grid-max: 100
grid-max: 3
calculate-exact-quote: '''calculate-exact-buy-quote'
calculate-io-ratio: '''calculate-io-ratio-buy'
scenarios:
deviation:
bindings:
# Percentage acceptable twap deviation
twap-deviation: 0.03
twap-deviation: 0.6
scenarios:
prod:
bindings:
Expand All @@ -159,31 +153,31 @@ scenarios:
plottables: '''plottables-chart'
test:
bindings:
twap-deviation: 0.01
twap-deviation: 0.12
twap-check: '''twap-check-buy'
ensure-grid-band: '''ensure-grid-band-chart'
ensure-cooldown: '''ensure-cooldown-chart'
plottables: '''plottables-chart'
plottables: '''plottables-prod'

sell:
bindings:
# Cooldown between two trades in seconds.
cooldown-time: 14400
cooldown-time: 60
# Mean amount of usdc offered per trade.
# For gas expensive networks mean amount needs to be higher to compensate
# for gas fee and bounty.
mean-input-usdc-amount: 15
mean-input-usdc-amount: 1
# Grid minimum price
grid-min: 0.001
grid-min: 0.1
# Grid maximum price
grid-max: 100
grid-max: 3
calculate-exact-quote: '''calculate-exact-sell-quote'
calculate-io-ratio: '''calculate-io-ratio-sell'
scenarios:
deviation:
bindings:
# Percentage acceptable twap deviation
twap-deviation: 0.03
twap-deviation: 0.6
scenarios:
prod:
bindings:
Expand All @@ -207,11 +201,11 @@ scenarios:
plottables: '''plottables-chart'
test:
bindings:
twap-deviation: 0.01
twap-deviation: 0.12
twap-check: '''twap-check-sell'
ensure-grid-band: '''ensure-grid-band-chart'
ensure-cooldown: '''ensure-cooldown-chart'
plottables: '''plottables-chart'
plottables: '''plottables-prod'

charts:
red-buy-fixed-grid:
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