wayfinder-paths 0.1.22__py3-none-any.whl → 0.1.24__py3-none-any.whl

wayfinder_paths/strategies/boros_hype_strategy/planner.py

@@ -0,0 +1,460 @@
+"""Planner for BorosHypeStrategy.
+
+This module is intentionally mostly-pure: given the current Inventory snapshot
+and configuration, it outputs a prioritized list of PlanOp steps.
+
+Extracted from `strategy.py` to make the strategy easier to read/refactor and to
+enable independent golden testing.
+"""
+
+from __future__ import annotations
+
+from datetime import datetime
+
+from wayfinder_paths.adapters.boros_adapter import BorosMarketQuote
+
+from .constants import BOROS_MIN_DEPOSIT_USD, BOROS_MIN_TENOR_DAYS, MIN_HYPE_GAS
+from .types import (
+    AllocationStatus,
+    DesiredState,
+    HedgeConfig,
+    Inventory,
+    Mode,
+    Plan,
+    PlannerConfig,
+    PlannerRuntime,
+    PlanOp,
+)
+
+
+def _choose_boros_market(
+    quotes: list[BorosMarketQuote],
+    runtime: PlannerRuntime,
+    config: PlannerConfig,
+) -> tuple[int | None, str | None, float | None, int | None, str | None]:
+    # Hysteresis to prevent thrashing. Updates runtime state when a new market is selected.
+    if not quotes:
+        return None, None, None, None, None
+
+    valid_quotes = [q for q in quotes if q.market_id is not None]
+    if not valid_quotes:
+        return None, None, None, None, None
+
+    # Sort by tenor (prefer longer tenors for reduced rollover frequency)
+    sorted_quotes = sorted(
+        valid_quotes,
+        key=lambda q: (q.tenor_days or 0, q.mid_apr or 0),
+        reverse=True,
+    )
+
+    sorted_quotes = [
+        q for q in sorted_quotes if (q.tenor_days or 0) >= BOROS_MIN_TENOR_DAYS
+    ]
+    if not sorted_quotes:
+        return None, None, None, None, None
+
+    best = sorted_quotes[0]
+
+    if runtime.current_boros_market_id is None:
+        runtime.current_boros_market_id = best.market_id
+        runtime.current_boros_token_id = best.collateral_token_id
+        runtime.current_boros_collateral_address = best.collateral_address
+        runtime.boros_market_selected_at = datetime.utcnow()
+        return (
+            best.market_id,
+            best.symbol,
+            best.tenor_days,
+            best.collateral_token_id,
+            best.collateral_address,
+        )
+
+    current = next(
+        (q for q in sorted_quotes if q.market_id == runtime.current_boros_market_id),
+        None,
+    )
+
+    if current is None:  # Current market gone/invalid - switch to best
+        runtime.current_boros_market_id = best.market_id
+        runtime.current_boros_token_id = best.collateral_token_id
+        runtime.current_boros_collateral_address = best.collateral_address
+        runtime.boros_market_selected_at = datetime.utcnow()
+        return (
+            best.market_id,
+            best.symbol,
+            best.tenor_days,
+            best.collateral_token_id,
+            best.collateral_address,
+        )
+
+    if runtime.boros_market_selected_at:  # Check cooldown
+        hours_since = (
+            datetime.utcnow() - runtime.boros_market_selected_at
+        ).total_seconds() / 3600
+        if hours_since < config.boros_market_switch_cooldown_hours:
+            return (
+                current.market_id,
+                current.symbol,
+                current.tenor_days,
+                current.collateral_token_id,
+                current.collateral_address,
+            )
+
+    # Only switch if APR improvement exceeds threshold
+    if best.market_id != current.market_id:
+        current_apr = current.mid_apr or 0
+        best_apr = best.mid_apr or 0
+        if best_apr - current_apr > config.boros_apr_improvement_threshold:
+            runtime.current_boros_market_id = best.market_id
+            runtime.current_boros_token_id = best.collateral_token_id
+            runtime.current_boros_collateral_address = best.collateral_address
+            runtime.boros_market_selected_at = datetime.utcnow()
+            return (
+                best.market_id,
+                best.symbol,
+                best.tenor_days,
+                best.collateral_token_id,
+                best.collateral_address,
+            )
+
+    return (
+        current.market_id,
+        current.symbol,
+        current.tenor_days,
+        current.collateral_token_id,
+        current.collateral_address,
+    )
+
+
+def build_plan(
+    inv: Inventory,
+    alloc: AllocationStatus,
+    risk_progress: float,
+    hedge_cfg: HedgeConfig,
+    config: PlannerConfig,
+    runtime: PlannerRuntime,
+    boros_quotes: list[BorosMarketQuote],
+    *,
+    pending_withdrawal_completion: bool = False,
+) -> Plan:
+    total = inv.total_value
+
+    # Pending withdrawal: do not run any actions in update().
+    if pending_withdrawal_completion or inv.boros_pending_withdrawal_usd > 0:
+        plan = Plan(
+            desired_state=DesiredState(
+                mode=Mode.NORMAL,
+                target_spot_usd=0,
+                target_hl_margin_usd=0,
+                target_boros_collateral_usd=0,
+                target_hype_short_size=0,
+                target_boros_position_usd=0,
+            ),
+        )
+        plan.messages.append(
+            f"Pending Boros withdrawal detected (${inv.boros_pending_withdrawal_usd:.2f}); skipping plan"
+        )
+        return plan  # Skip all other operations
+
+    # Check for HL liquidation detection
+    if inv.hl_liquidation_detected:
+        # Log the liquidation alert in plan messages
+        plan = Plan(
+            desired_state=DesiredState(
+                mode=Mode.REDEPLOY,
+                target_spot_usd=0,
+                target_hl_margin_usd=0,
+                target_boros_collateral_usd=0,
+                target_hype_short_size=0,
+                target_boros_position_usd=0,
+            ),
+        )
+        plan.messages.append(
+            "[LIQUIDATION] HL short was liquidated - entering recovery mode"
+        )
+        # Add close and redeploy step
+        plan.add_step(
+            PlanOp.CLOSE_AND_REDEPLOY,
+            priority=0,
+            key="close_and_redeploy_post_liquidation",
+            reason="HL position was liquidated - need to rebalance",
+        )
+        return plan
+
+    # Determine mode based on risk
+    if risk_progress >= config.full_rebalance_threshold:
+        mode = Mode.REDEPLOY
+    elif risk_progress >= config.partial_trim_threshold:
+        mode = Mode.TRIM
+    else:
+        mode = Mode.NORMAL
+
+    # Gap 3: Boros enable/disable + min-deposit floor logic
+    # Disable Boros if:
+    # - Total AUM below minimum threshold
+    # - Pending withdrawal exists (prevents double-collateralizing)
+    # Note: funded_boros_this_tick only prevents repeated FUND_BOROS steps,
+    # not Boros positions/coverage entirely
+    boros_enabled = (
+        total >= config.min_total_for_boros and inv.boros_pending_withdrawal_usd <= 0
+    )
+
+    # Calculate target allocations
+    target_spot = total * hedge_cfg.spot_pct
+    target_hl = total * hedge_cfg.hyperliquid_pct
+
+    # Boros target: use MAX of percentage allocation and minimum deposit + buffer.
+    # We keep a small buffer so the USDC→USDT swap doesn't undershoot the Boros minimum.
+    target_boros = (
+        max(hedge_cfg.boros_pct * total, BOROS_MIN_DEPOSIT_USD + 1.0)
+        if boros_enabled
+        else 0.0
+    )
+
+    # Select Boros market with hysteresis
+    (
+        market_id,
+        market_symbol,
+        tenor_days,
+        boros_token_id,
+        boros_collateral_address,
+    ) = _choose_boros_market(boros_quotes, runtime, config)
+
+    # Gap 5: Delta-neutral targeting - use actual spot exposure, not target
+    # Short target = current HYPE exposure (to hedge what we actually have)
+    target_hype_short = inv.total_hype_exposure
+
+    # Boros coverage target = percentage of spot exposure
+    target_boros_position = (
+        target_hype_short * inv.hype_price_usd * config.boros_coverage_target
+        if boros_enabled and market_id
+        else 0.0
+    )
+
+    desired = DesiredState(
+        mode=mode,
+        target_spot_usd=target_spot,
+        target_hl_margin_usd=target_hl,
+        target_boros_collateral_usd=target_boros,
+        target_hype_short_size=target_hype_short,
+        target_boros_position_usd=target_boros_position,
+        boros_market_id=market_id,
+        boros_market_symbol=market_symbol,
+        boros_tenor_days=tenor_days,
+    )
+
+    plan = Plan(desired_state=desired)
+
+    # Priority 0: Safety - emergency actions
+    if mode == Mode.REDEPLOY:
+        plan.add_step(
+            PlanOp.CLOSE_AND_REDEPLOY,
+            priority=0,
+            key="close_and_redeploy",
+            reason=f"Risk at {risk_progress:.0%}, triggering full rebalance",
+        )
+        plan.sort_steps()
+        return plan
+
+    if mode == Mode.TRIM:
+        # Calculate margin shortfall instead of blunt 25% trim
+        # This prevents the whipsaw of "trim → deploy excess margin back"
+        short_notional = inv.hl_short_size_hype * inv.hype_price_usd
+        required_margin = short_notional * config.hl_target_margin_ratio  # 50% for 2x
+        buffer_margin = short_notional * config.hl_margin_buffer_ratio  # 15% buffer
+        current_margin = inv.hl_perp_margin
+        margin_shortfall = max(0, required_margin + buffer_margin - current_margin)
+
+        # Only trim what's needed (plus 5% buffer for slippage)
+        trim_amount_usd = margin_shortfall * 1.05 if margin_shortfall > 5 else 0
+
+        if trim_amount_usd > 0 and inv.spot_value_usd > 0:
+            # Convert to percentage of spot value, capped at 50%
+            trim_pct = min(trim_amount_usd / inv.spot_value_usd, 0.50)
+            if trim_pct > 0.02:  # Only trim if > 2%
+                plan.add_step(
+                    PlanOp.PARTIAL_TRIM_SPOT,
+                    priority=0,
+                    key="partial_trim_spot",
+                    params={"trim_pct": trim_pct},
+                    reason=f"Risk at {risk_progress:.0%} - need ${margin_shortfall:.2f} margin",
+                )
+
+    # Priority 5: Gas routing (must happen before capital routing)
+    if inv.hype_hyperevm_balance < MIN_HYPE_GAS:
+        plan.add_step(
+            PlanOp.ENSURE_GAS_ON_HYPEREVM,
+            priority=5,
+            key="ensure_gas_hyperevm",
+            params={"min_hype": MIN_HYPE_GAS},
+            reason=f"HyperEVM HYPE balance ({inv.hype_hyperevm_balance:.4f}) below minimum gas",
+        )
+
+    # Gap 4: Priority 10 - Capital routing with virtual ledger
+    # Use runtime.available_usdc_arb() to avoid double-spending within a tick
+
+    # Fund Boros (highest priority among capital routing)
+    # Check funded_boros_this_tick to prevent repeated funding in same tick.
+    #
+    # IMPORTANT: Use the Boros target (includes minimum+buffer) instead of pct-based allocation,
+    # otherwise small deposits get skipped (Boros min deposit).
+    if boros_enabled and not runtime.funded_boros_this_tick:
+        boros_shortfall = max(
+            0.0, target_boros - float(inv.boros_committed_collateral_usd or 0.0)
+        )
+        if boros_shortfall >= config.min_usdt_action:
+            if boros_shortfall >= BOROS_MIN_DEPOSIT_USD:
+                plan.add_step(
+                    PlanOp.FUND_BOROS,
+                    priority=10,
+                    key=f"fund_boros_{boros_shortfall:.2f}",
+                    params={
+                        "amount_usd": float(boros_shortfall),
+                        "market_id": int(market_id) if market_id else None,
+                        "token_id": int(boros_token_id) if boros_token_id else None,
+                        "collateral_address": str(boros_collateral_address or ""),
+                    },
+                    reason=f"Funding Boros toward target (${target_boros:.2f}) via HYPE collateral",
+                )
+
+    # Send USDC to Hyperliquid ONCE to cover both:
+    # - HL margin allocation
+    # - HyperEVM spot deployment pipeline (paired fill + bridge)
+    need_hl = alloc.hl_deviation < -config.allocation_deviation_threshold
+    need_spot = alloc.spot_deviation < -config.allocation_deviation_threshold
+    available_usdc = runtime.available_usdc_arb(inv.usdc_arb_idle)
+    if available_usdc > config.min_usdc_action and (need_hl or need_spot):
+        # New routing: always send all Arbitrum USDC to Hyperliquid first.
+        amount = float(available_usdc)
+        plan.add_step(
+            PlanOp.SEND_USDC_TO_HL,
+            priority=10,
+            key=f"send_usdc_hl_{amount:.0f}",
+            params={"amount_usd": amount},
+            reason="Routing Arbitrum USDC to Hyperliquid (primary venue)",
+        )
+        runtime.commit_usdc(amount)  # Mark as committed
+
+    # Bridge to HyperEVM for spot using HL margin (the HL deposit is handled by SEND_USDC_TO_HL).
+    if need_spot:
+        plan.add_step(
+            PlanOp.BRIDGE_TO_HYPEREVM,
+            priority=10,
+            key=f"bridge_hyperevm_{alloc.spot_needed_usd:.0f}",
+            params={
+                "amount_usd": float(alloc.spot_needed_usd or 0.0),
+                # Keep target HL margin in perp while transferring to spot for the paired fill.
+                "reserve_hl_margin_usd": float(target_hl),
+            },
+            reason=f"Spot underallocated by {abs(alloc.spot_deviation):.1%}",
+        )
+
+    # Deploy excess HL margin to spot if margin ratio is too high
+    if inv.hl_short_size_hype > 0:
+        short_notional = inv.hl_short_size_hype * inv.hype_price_usd
+        current_margin_ratio = (
+            inv.hl_perp_margin / short_notional if short_notional > 0 else 0
+        )
+        target_margin_ratio = (
+            config.hl_target_margin_ratio + config.hl_margin_buffer_ratio
+        )  # ~65%
+        if current_margin_ratio > target_margin_ratio + 0.10:  # 10% excess
+            excess_margin = (
+                current_margin_ratio - target_margin_ratio
+            ) * short_notional
+            if excess_margin > config.min_usdc_action:
+                plan.add_step(
+                    PlanOp.DEPLOY_EXCESS_HL_MARGIN,
+                    priority=13,
+                    key=f"deploy_excess_margin_{excess_margin:.0f}",
+                    params={"excess_margin_usd": excess_margin},
+                    reason=f"Deploy ${excess_margin:.2f} excess HL margin to spot",
+                )
+
+    # Transfer HYPE stuck on HL spot to HyperEVM
+    if inv.hl_spot_hype > 0.1:
+        plan.add_step(
+            PlanOp.TRANSFER_HL_SPOT_TO_HYPEREVM,
+            priority=14,
+            key=f"transfer_hl_spot_{inv.hl_spot_hype:.4f}",
+            params={"hype_amount": inv.hl_spot_hype},
+            reason=f"Transfer {inv.hl_spot_hype:.4f} HYPE from HL spot to HyperEVM",
+        )
+
+    # Priority 20: Position management
+    # Swap unallocated HYPE to LSTs (leave MIN_HYPE_GAS for gas)
+    swappable_hype = max(0.0, inv.hype_hyperevm_balance - MIN_HYPE_GAS)
+    if swappable_hype > config.min_hype_swap:
+        plan.add_step(
+            PlanOp.SWAP_HYPE_TO_LST,
+            priority=20,
+            key=f"swap_hype_lst_{swappable_hype:.2f}",
+            params={"hype_amount": swappable_hype},
+            reason=f"Converting {swappable_hype:.2f} HYPE to yield-bearing LST",
+        )
+
+    # Gap 5: Ensure delta neutral short using actual exposure
+    # Use combined absolute + relative tolerance to avoid dust chasing
+    current_short = inv.hl_short_size_hype
+    short_delta = abs(target_hype_short - current_short)
+
+    # Combined tolerance: max of absolute and relative
+    tolerance = max(
+        config.delta_neutral_abs_tol_hype,
+        target_hype_short * config.delta_neutral_rel_tol,
+    )
+
+    if short_delta > tolerance and target_hype_short > 0.1:
+        plan.add_step(
+            PlanOp.ENSURE_HL_SHORT,
+            priority=20,
+            key=f"ensure_hl_short_{target_hype_short:.2f}",
+            params={"target_size": target_hype_short, "current_size": current_short},
+            reason=f"Delta imbalance: short={current_short:.4f}, exposure={target_hype_short:.4f}",
+        )
+
+    # Priority 30: Rate positions (Boros)
+    if boros_enabled and market_id:
+        current_boros_size = inv.boros_position_size
+        size_diff = abs(target_boros_position - current_boros_size)
+
+        # Trigger if:
+        # 1. Position size needs adjustment (resize threshold met)
+        # 2. There's isolated collateral that needs to move to cross (market expiry/rotation)
+        # 3. There's cross collateral but no position (collateral sitting idle)
+        needs_position_resize = size_diff > config.boros_resize_min_excess_usd
+        isolated_usd = float(inv.boros_idle_collateral_isolated or 0.0) * float(
+            inv.hype_price_usd or 0.0
+        )
+        cross_usd = float(inv.boros_idle_collateral_cross or 0.0) * float(
+            inv.hype_price_usd or 0.0
+        )
+        has_stranded_isolated = isolated_usd > 0.5  # $0.50 threshold
+        has_idle_cross = cross_usd > 1.0 and current_boros_size < 1.0
+
+        if needs_position_resize or has_stranded_isolated or has_idle_cross:
+            reason = f"Adjusting Boros position to {target_boros_position:.0f} YU"
+            if has_stranded_isolated and not needs_position_resize:
+                reason = (
+                    "Moving "
+                    f"{inv.boros_idle_collateral_isolated:.6f} HYPE (≈${isolated_usd:.2f}) "
+                    "from isolated to cross margin"
+                )
+            elif has_idle_cross and not needs_position_resize:
+                reason = (
+                    "Deploying "
+                    f"{inv.boros_idle_collateral_cross:.6f} HYPE (≈${cross_usd:.2f}) "
+                    "idle cross collateral as rate position"
+                )
+            plan.add_step(
+                PlanOp.ENSURE_BOROS_POSITION,
+                priority=20,  # Same as ENSURE_HL_SHORT so both execute before re-observe
+                key=f"ensure_boros_pos_{target_boros_position:.0f}",
+                params={
+                    "market_id": market_id,
+                    "target_size_usd": target_boros_position,
+                },
+                reason=reason,
+            )
+
+    plan.sort_steps()
+    return plan