[PricesManager] fix recent trade mark price overriding exchange mark …

…price tmp
Drakkar-Software · Mar 9, 2023 · c0e3c3e · c0e3c3e
1 parent 658792e
commit c0e3c3e
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Showing 3 changed files with 42 additions and 13 deletions.
diff --git a/octobot_trading/exchange_data/prices/prices_manager.pxd b/octobot_trading/exchange_data/prices/prices_manager.pxd
@@ -33,6 +33,7 @@ cdef class PricesManager(util.Initializable):
     cdef void _reset_prices(self)
     cdef void _ensure_price_validity(self)
     cdef bint _are_other_sources_valid(self, str mark_price_source)
+    cdef bint _is_exchange_mark_price_valid(self)
     cdef int _compute_mark_price_validity_timeout(self)
 
     cpdef bint set_mark_price(self, object mark_price, str mark_price_source)

diff --git a/octobot_trading/exchange_data/prices/prices_manager.py b/octobot_trading/exchange_data/prices/prices_manager.py
@@ -68,14 +68,15 @@ def set_mark_price(self, mark_price, mark_price_source) -> bool:
             self._set_mark_price_value(mark_price)
             is_mark_price_updated = True
 
-        # set mark price value if MarkPriceSources.RECENT_TRADE_AVERAGE.value has already been updated
+        # set mark price value if RECENT_TRADE_AVERAGE has already been updated and no EXCHANGE_MARK_PRICE 
         elif mark_price_source == enums.MarkPriceSources.RECENT_TRADE_AVERAGE.value:
-            if self.mark_price_from_sources.get(enums.MarkPriceSources.RECENT_TRADE_AVERAGE.value, None) is not None:
-                self._set_mark_price_value(mark_price)
-                is_mark_price_updated = True
-            else:
-                # set time at 0 to ensure invalid price but keep track of initialization
-                self.mark_price_from_sources[mark_price_source] = (mark_price, 0)
+            if not self._is_exchange_mark_price_valid():
+                if self.mark_price_from_sources.get(enums.MarkPriceSources.RECENT_TRADE_AVERAGE.value, None) is not None:
+                    self._set_mark_price_value(mark_price)
+                    is_mark_price_updated = True
+                else:
+                    # set time at 0 to ensure invalid price but keep track of initialization
+                    self.mark_price_from_sources[mark_price_source] = (mark_price, 0)
 
         # set mark price value if other sources have expired
         elif mark_price_source in (enums.MarkPriceSources.TICKER_CLOSE_PRICE.value,
@@ -130,7 +131,13 @@ def _are_other_sources_valid(self, mark_price_source):
                     self._is_mark_price_valid(source_mark_price[1]):
                 return True
         return False
-
+
+    def _is_exchange_mark_price_valid(self):
+        if enums.MarkPriceSources.EXCHANGE_MARK_PRICE.value in self.mark_price_from_sources:
+            return self._is_mark_price_valid(
+                self.mark_price_from_sources[
+                    enums.MarkPriceSources.EXCHANGE_MARK_PRICE.value][1])
+
     def _ensure_price_validity(self):
         """
         Clear the event price validity event if the mark price has expired

diff --git a/tests/exchange_data/prices/test_prices_manager.py b/tests/exchange_data/prices/test_prices_manager.py
@@ -55,19 +55,40 @@ async def test_set_mark_price(prices_manager):
     assert prices_manager.mark_price == decimal.Decimal(10)
     check_event_is_set(prices_manager)
 
-
+ 
 async def test_set_mark_price_for_exchange_source(prices_manager):
+    prices_manager.set_mark_price(decimal.Decimal(15), MarkPriceSources.TICKER_CLOSE_PRICE.value)
+    assert prices_manager.mark_price == decimal.Decimal(15)
+    check_event_is_set(prices_manager)
+    prices_manager.set_mark_price(decimal.Decimal(30), MarkPriceSources.RECENT_TRADE_AVERAGE.value)
+    assert prices_manager.mark_price == decimal.Decimal(15) # ignore first call
+    check_event_is_set(prices_manager)
+    prices_manager.set_mark_price(decimal.Decimal(30), MarkPriceSources.RECENT_TRADE_AVERAGE.value)
+    assert prices_manager.mark_price == decimal.Decimal(30)    
+    check_event_is_set(prices_manager)
     prices_manager.set_mark_price(decimal.Decimal(10), MarkPriceSources.EXCHANGE_MARK_PRICE.value)
     assert prices_manager.mark_price == decimal.Decimal(10)
     check_event_is_set(prices_manager)
     prices_manager.set_mark_price(decimal.Decimal(25), MarkPriceSources.RECENT_TRADE_AVERAGE.value)
-    assert prices_manager.mark_price == decimal.Decimal(10)  # Drop first RT update
-    prices_manager.set_mark_price(decimal.Decimal(30), MarkPriceSources.RECENT_TRADE_AVERAGE.value)
-    assert prices_manager.mark_price == decimal.Decimal(30)
+    assert prices_manager.mark_price == decimal.Decimal(10) # dont override valid exchange mark price
+    check_event_is_set(prices_manager)
     prices_manager.set_mark_price(decimal.Decimal(20), MarkPriceSources.TICKER_CLOSE_PRICE.value)
-    assert prices_manager.mark_price == decimal.Decimal(30)
+    assert prices_manager.mark_price == decimal.Decimal(10) # dont override valid exchange mark price
+    check_event_is_set(prices_manager)
     prices_manager.set_mark_price(decimal.Decimal(15), MarkPriceSources.EXCHANGE_MARK_PRICE.value)
     assert prices_manager.mark_price == decimal.Decimal(15)
+    check_event_is_set(prices_manager)
+    if not os.getenv('CYTHON_IGNORE'):
+        prices_manager.mark_price_from_sources = {}
+        prices_manager.set_mark_price(decimal.Decimal(10), MarkPriceSources.CANDLE_CLOSE_PRICE.value)
+        assert prices_manager.mark_price == decimal.Decimal(10)
+        check_event_is_set(prices_manager)
+        prices_manager.set_mark_price(decimal.Decimal(22), MarkPriceSources.EXCHANGE_MARK_PRICE.value)
+        assert prices_manager.mark_price == decimal.Decimal(22)
+        check_event_is_set(prices_manager)
+        prices_manager.set_mark_price(decimal.Decimal(15), MarkPriceSources.CANDLE_CLOSE_PRICE.value)
+        assert prices_manager.mark_price == decimal.Decimal(22) # dont override valid exchange mark price
+        check_event_is_set(prices_manager)
 
 
 async def test_set_mark_price_for_ticker_source_only(prices_manager):