openbroker 1.0.67 → 1.0.69

package/scripts/strategies/mm-maker.ts

@@ -1,411 +0,0 @@
-#!/usr/bin/env npx tsx
-// Maker-Only Market Making - Always provide liquidity, never take
-
-import { getClient } from '../core/client.js';
-import { formatUsd, parseArgs, sleep } from '../core/utils.js';
-
-function printUsage() {
-  console.log(`
-Open Broker - Maker-Only Market Making
-======================================
-
-Provide liquidity using ALO (Add Liquidity Only) orders that are REJECTED
-if they would cross the spread. This guarantees you always earn maker rebates
-(~0.3 bps) instead of paying taker fees.
-
-Usage:
-  npx tsx scripts/strategies/mm-maker.ts --coin <COIN> --size <SIZE> --offset <BPS>
-
-Options:
-  --coin          Asset to market make (e.g., ETH, BTC)
-  --size          Order size on each side (in base asset)
-  --offset        Offset from best bid/ask in bps (default: 1)
-  --max-position  Maximum net position (default: 3x size)
-  --skew-factor   How aggressively to skew for inventory (default: 2.0)
-  --refresh       Refresh interval in milliseconds (default: 2000)
-  --duration      How long to run in minutes (default: infinite)
-  --dry           Dry run - show setup without trading
-
-How ALO Works:
-  - ALO = Add Liquidity Only (post-only)
-  - Orders are REJECTED if they would immediately match
-  - You ALWAYS earn maker rebate (~0.3 bps) instead of paying taker fee
-  - Guarantees you're providing liquidity, not taking it
-
-Pricing Strategy:
-  - Reads actual order book (best bid/ask) not just mid price
-  - Places bid at: bestBid - offset (or bestBid if joining)
-  - Places ask at: bestAsk + offset (or bestAsk if joining)
-  - Skews prices based on inventory to stay neutral
-
-Examples:
-  # Market make HYPE with 1 bps offset from best bid/ask
-  npx tsx scripts/strategies/mm-maker.ts --coin HYPE --size 1 --offset 1
-
-  # Wider offset for volatile assets
-  npx tsx scripts/strategies/mm-maker.ts --coin ETH --size 0.1 --offset 2 --max-position 0.5
-
-  # Preview setup
-  npx tsx scripts/strategies/mm-maker.ts --coin HYPE --size 1 --offset 1 --dry
-
-Fee Structure (Hyperliquid):
-  - Taker fee: ~2.5 bps (you PAY)
-  - Maker rebate: ~0.3 bps (you EARN)
-  - By using ALO only, you always earn the rebate!
-`);
-}
-
-interface Quote {
-  side: 'bid' | 'ask';
-  price: number;
-  size: number;
-  oid?: number;
-  placedAt: number;
-}
-
-interface MmState {
-  bid: Quote | null;
-  ask: Quote | null;
-  lastBidFill: number;
-  lastAskFill: number;
-  totalBought: number;
-  totalSold: number;
-  totalBuyCost: number;
-  totalSellRevenue: number;
-  roundTrips: number;
-  rejections: number;
-}
-
-async function main() {
-  const args = parseArgs(process.argv.slice(2));
-
-  const coin = args.coin as string;
-  const size = parseFloat(args.size as string);
-  const offsetBps = args.offset ? parseFloat(args.offset as string) : 1;
-  const maxPosition = args['max-position'] ? parseFloat(args['max-position'] as string) : size * 3;
-  const skewFactor = args['skew-factor'] ? parseFloat(args['skew-factor'] as string) : 2.0;
-  const refreshMs = args.refresh ? parseInt(args.refresh as string) : 2000;
-  const durationMins = args.duration ? parseFloat(args.duration as string) : Infinity;
-  const dryRun = args.dry as boolean;
-
-  if (!coin || isNaN(size)) {
-    printUsage();
-    process.exit(1);
-  }
-
-  const client = getClient();
-
-  if (args.verbose) {
-    client.verbose = true;
-  }
-
-  console.log('Open Broker - Maker-Only MM');
-  console.log('===========================\n');
-
-  try {
-    // Get order book
-    const book = await client.getL2Book(coin);
-
-    if (book.bestBid === 0 || book.bestAsk === 0) {
-      console.error(`Error: No order book for ${coin}`);
-      process.exit(1);
-    }
-
-    const offsetFraction = offsetBps / 10000;
-    const bidPrice = book.bestBid * (1 - offsetFraction);
-    const askPrice = book.bestAsk * (1 + offsetFraction);
-    const notionalPerSide = size * book.midPrice;
-
-    console.log('Strategy Configuration');
-    console.log('----------------------');
-    console.log(`Coin:              ${coin}`);
-    console.log(`Order Size:        ${size} ${coin}`);
-    console.log(`Notional/Side:     ${formatUsd(notionalPerSide)}`);
-    console.log(`Offset:            ${offsetBps} bps`);
-    console.log(`Max Position:      ±${maxPosition} ${coin}`);
-    console.log(`Skew Factor:       ${skewFactor}x`);
-    console.log(`Refresh:           ${refreshMs}ms`);
-    console.log(`\nCurrent Order Book:`);
-    console.log(`  Best Bid:        ${formatUsd(book.bestBid)}`);
-    console.log(`  Best Ask:        ${formatUsd(book.bestAsk)}`);
-    console.log(`  Mid Price:       ${formatUsd(book.midPrice)}`);
-    console.log(`  Spread:          ${book.spreadBps.toFixed(2)} bps`);
-    console.log(`\nQuote Prices (at neutral):`);
-    console.log(`  Our Bid:         ${formatUsd(bidPrice)} (${offsetBps} bps below best)`);
-    console.log(`  Our Ask:         ${formatUsd(askPrice)} (${offsetBps} bps above best)`);
-    console.log(`\nOrder Type: ALO (Add Liquidity Only)`);
-    console.log(`  - Orders rejected if they would cross`);
-    console.log(`  - Guarantees maker rebate (~0.3 bps)`);
-
-    if (dryRun) {
-      console.log('\n--- Dry run complete ---');
-      return;
-    }
-
-    console.log('\nStarting maker-only MM...\n');
-
-    const state: MmState = {
-      bid: null,
-      ask: null,
-      lastBidFill: 0,
-      lastAskFill: 0,
-      totalBought: 0,
-      totalSold: 0,
-      totalBuyCost: 0,
-      totalSellRevenue: 0,
-      roundTrips: 0,
-      rejections: 0,
-    };
-
-    const endTime = durationMins === Infinity ? Infinity : Date.now() + durationMins * 60 * 1000;
-
-    // Handle graceful shutdown
-    let shuttingDown = false;
-    process.on('SIGINT', async () => {
-      if (shuttingDown) return;
-      shuttingDown = true;
-      console.log('\n\nShutting down - cancelling quotes...');
-      await cancelQuotes(client, coin, state);
-      await printSummary(client, coin, state);
-      process.exit(0);
-    });
-
-    let lastLogTime = 0;
-
-    while (Date.now() < endTime && !shuttingDown) {
-      const now = Date.now();
-
-      // Get fresh order book
-      const freshBook = await client.getL2Book(coin);
-
-      // Get actual position from exchange
-      const userState = await client.getUserState();
-      const position = userState.assetPositions.find(p => p.position.coin === coin);
-      const actualPosition = position ? parseFloat(position.position.szi) : 0;
-
-      // Get our open orders
-      const openOrders = await client.getOpenOrders();
-      const ourOrders = openOrders.filter(o => o.coin === coin);
-      const openOids = new Set(ourOrders.map(o => o.oid));
-
-      // Check for bid fill
-      if (state.bid && state.bid.oid && !openOids.has(state.bid.oid)) {
-        const fillPrice = state.bid.price;
-        state.totalBought += state.bid.size;
-        state.totalBuyCost += fillPrice * state.bid.size;
-        state.lastBidFill = now;
-        console.log(`[${new Date().toLocaleTimeString()}] BID FILLED @ ${formatUsd(fillPrice)} | Pos: ${actualPosition.toFixed(4)} | +rebate`);
-        state.bid = null;
-      }
-
-      // Check for ask fill
-      if (state.ask && state.ask.oid && !openOids.has(state.ask.oid)) {
-        const fillPrice = state.ask.price;
-        state.totalSold += state.ask.size;
-        state.totalSellRevenue += fillPrice * state.ask.size;
-        state.lastAskFill = now;
-        state.roundTrips += 0.5;
-        console.log(`[${new Date().toLocaleTimeString()}] ASK FILLED @ ${formatUsd(fillPrice)} | Pos: ${actualPosition.toFixed(4)} | +rebate`);
-        state.ask = null;
-      }
-
-      // Calculate inventory-based skew
-      const inventoryRatio = Math.max(-1, Math.min(1, actualPosition / maxPosition));
-
-      // Determine if we should quote each side
-      const shouldBid = actualPosition < maxPosition;
-      const shouldAsk = actualPosition > -maxPosition;
-
-      // Calculate skewed prices relative to order book
-      // When long: bid further from best (wider), ask closer to best (tighter)
-      // When short: bid closer to best (tighter), ask further from best (wider)
-      const bidSkewMult = 1 + inventoryRatio * skewFactor;
-      const askSkewMult = 1 - inventoryRatio * skewFactor;
-
-      const targetBidPrice = freshBook.bestBid * (1 - offsetFraction * Math.max(0.1, bidSkewMult));
-      const targetAskPrice = freshBook.bestAsk * (1 + offsetFraction * Math.max(0.1, askSkewMult));
-
-      // CRITICAL: Ensure we don't cross the spread
-      // Our bid must be BELOW the best ask
-      // Our ask must be ABOVE the best bid
-      const safeBidPrice = Math.min(targetBidPrice, freshBook.bestAsk * 0.9999);
-      const safeAskPrice = Math.max(targetAskPrice, freshBook.bestBid * 1.0001);
-
-      // Cancel stale quotes
-      if (state.bid && state.bid.oid) {
-        const bidDrift = Math.abs(state.bid.price - safeBidPrice) / freshBook.midPrice;
-        if (bidDrift > 0.0005 || !shouldBid) {
-          try {
-            await client.cancel(coin, state.bid.oid);
-          } catch {
-            // May have been filled
-          }
-          state.bid = null;
-        }
-      }
-
-      if (state.ask && state.ask.oid) {
-        const askDrift = Math.abs(state.ask.price - safeAskPrice) / freshBook.midPrice;
-        if (askDrift > 0.0005 || !shouldAsk) {
-          try {
-            await client.cancel(coin, state.ask.oid);
-          } catch {
-            // May have been filled
-          }
-          state.ask = null;
-        }
-      }
-
-      // Place new bid using ALO
-      if (shouldBid && !state.bid) {
-        // Double check: our bid must be below the best ask
-        if (safeBidPrice < freshBook.bestAsk) {
-          const response = await client.limitOrder(coin, true, size, safeBidPrice, 'Alo', false);
-
-          if (response.status === 'ok' && response.response && typeof response.response === 'object') {
-            const status = response.response.data.statuses[0];
-            if (status?.resting) {
-              state.bid = {
-                side: 'bid',
-                price: safeBidPrice,
-                size,
-                oid: status.resting.oid,
-                placedAt: now,
-              };
-            } else if (status?.error) {
-              // ALO rejection - order would have crossed
-              state.rejections++;
-              if (state.rejections % 10 === 1) {
-                console.log(`[${new Date().toLocaleTimeString()}] ALO bid rejected (would cross) - this is expected`);
-              }
-            }
-          }
-        }
-      }
-
-      // Place new ask using ALO
-      if (shouldAsk && !state.ask) {
-        // Double check: our ask must be above the best bid
-        if (safeAskPrice > freshBook.bestBid) {
-          const response = await client.limitOrder(coin, false, size, safeAskPrice, 'Alo', false);
-
-          if (response.status === 'ok' && response.response && typeof response.response === 'object') {
-            const status = response.response.data.statuses[0];
-            if (status?.resting) {
-              state.ask = {
-                side: 'ask',
-                price: safeAskPrice,
-                size,
-                oid: status.resting.oid,
-                placedAt: now,
-              };
-            } else if (status?.error) {
-              // ALO rejection - order would have crossed
-              state.rejections++;
-              if (state.rejections % 10 === 1) {
-                console.log(`[${new Date().toLocaleTimeString()}] ALO ask rejected (would cross) - this is expected`);
-              }
-            }
-          }
-        }
-      }
-
-      // Periodic status log
-      if (now - lastLogTime > 30000) {
-        const bidStatus = state.bid ? formatUsd(state.bid.price) : (shouldBid ? 'placing...' : 'at max long');
-        const askStatus = state.ask ? formatUsd(state.ask.price) : (shouldAsk ? 'placing...' : 'at max short');
-        const realizedPnl = state.totalSellRevenue - state.totalBuyCost;
-        const skewPct = (inventoryRatio * 100).toFixed(1);
-
-        console.log(`[${new Date().toLocaleTimeString()}] Book: ${formatUsd(freshBook.bestBid)}/${formatUsd(freshBook.bestAsk)} (${freshBook.spreadBps.toFixed(1)}bps) | Bid: ${bidStatus} | Ask: ${askStatus} | Pos: ${actualPosition.toFixed(4)} (${skewPct}%) | PnL: ${formatUsd(realizedPnl)} | Rej: ${state.rejections}`);
-        lastLogTime = now;
-      }
-
-      await sleep(refreshMs);
-    }
-
-    // End of duration
-    if (!shuttingDown) {
-      console.log('\nDuration ended. Cancelling quotes...');
-      await cancelQuotes(client, coin, state);
-      await printSummary(client, coin, state);
-    }
-
-  } catch (error) {
-    console.error('Error:', error);
-    process.exit(1);
-  }
-}
-
-async function cancelQuotes(
-  client: ReturnType<typeof getClient>,
-  coin: string,
-  state: MmState
-): Promise<void> {
-  if (state.bid && state.bid.oid) {
-    try {
-      await client.cancel(coin, state.bid.oid);
-      console.log(`  Cancelled bid @ ${formatUsd(state.bid.price)}`);
-    } catch {
-      // Ignore
-    }
-  }
-  if (state.ask && state.ask.oid) {
-    try {
-      await client.cancel(coin, state.ask.oid);
-      console.log(`  Cancelled ask @ ${formatUsd(state.ask.price)}`);
-    } catch {
-      // Ignore
-    }
-  }
-}
-
-async function printSummary(
-  client: ReturnType<typeof getClient>,
-  coin: string,
-  state: MmState
-): Promise<void> {
-  // Get final position and price
-  const userState = await client.getUserState();
-  const position = userState.assetPositions.find(p => p.position.coin === coin);
-  const finalPosition = position ? parseFloat(position.position.szi) : 0;
-
-  const book = await client.getL2Book(coin);
-  const currentMid = book.midPrice;
-
-  const inventoryValue = finalPosition * currentMid;
-  const realizedPnl = state.totalSellRevenue - state.totalBuyCost;
-
-  // Estimate rebates earned (0.3 bps per side)
-  const totalVolume = state.totalBuyCost + state.totalSellRevenue;
-  const estimatedRebates = totalVolume * 0.00003; // 0.3 bps
-
-  // Calculate inventory PnL
-  let inventoryPnl = 0;
-  if (finalPosition > 0 && state.totalBought > 0) {
-    const avgBuyPrice = state.totalBuyCost / state.totalBought;
-    inventoryPnl = (currentMid - avgBuyPrice) * finalPosition;
-  } else if (finalPosition < 0 && state.totalSold > 0) {
-    const avgSellPrice = state.totalSellRevenue / state.totalSold;
-    inventoryPnl = (avgSellPrice - currentMid) * Math.abs(finalPosition);
-  }
-
-  console.log('\n========== Maker MM Summary ==========');
-  console.log(`Total Bought:    ${state.totalBought.toFixed(6)} ${coin}`);
-  console.log(`Total Sold:      ${state.totalSold.toFixed(6)} ${coin}`);
-  console.log(`Final Position:  ${finalPosition.toFixed(6)} ${coin}`);
-  console.log(`Inventory Value: ${formatUsd(inventoryValue)}`);
-  console.log(`Round Trips:     ${state.roundTrips.toFixed(1)}`);
-  console.log(`ALO Rejections:  ${state.rejections}`);
-  console.log(`Realized PnL:    ${formatUsd(realizedPnl)}`);
-  console.log(`Est. Rebates:    ${formatUsd(estimatedRebates)} (0.3bps on ${formatUsd(totalVolume)})`);
-  console.log(`Inventory PnL:   ${formatUsd(inventoryPnl)}`);
-  console.log(`Total PnL:       ${formatUsd(realizedPnl + inventoryPnl + estimatedRebates)}`);
-
-  if (Math.abs(finalPosition) > 0.0001) {
-    console.log(`\n  You have an open position of ${finalPosition.toFixed(6)} ${coin}`);
-    console.log(`   Close it manually if desired.`);
-  }
-}
-
-main();