[feat] mmp config settings

lyra/cli.py

@@ -109,6 +109,95 @@ def positions():
     """Interact with positions."""
 
 
+@cli.group("mmp")
+def mmp():
+    """Interact with market making parameters."""
+
+
+@mmp.command("fetch")
+@click.option(
+    "--underlying-currency",
+    "-u",
+    type=click.Choice([f.value for f in UnderlyingCurrency]),
+    default=UnderlyingCurrency.ETH.value,
+)
+@click.option(
+    "--subaccount-id",
+    "-s",
+    type=int,
+    required=True,
+)
+@click.pass_context
+def fetch_mmp(ctx, underlying_currency, subaccount_id):
+    """Fetch market making parameters."""
+    client = ctx.obj["client"]
+    mmp = client.get_mmp_config(subaccount_id=subaccount_id, currency=UnderlyingCurrency(underlying_currency))
+    print(mmp)
+
+
+@mmp.command("set")
+@click.option(
+    "--underlying-currency",
+    "-u",
+    type=click.Choice([f.value for f in UnderlyingCurrency]),
+    default=UnderlyingCurrency.ETH.value,
+)
+@click.option(
+    "--subaccount-id",
+    "-s",
+    type=int,
+    required=True,
+)
+@click.option(
+    "--frozen-time",
+    "-f",
+    type=int,
+    required=True,
+    help="Time interval in ms setting how long the subaccount is frozen after an mmp trigger, "
+    + "if 0 then a manual reset would be required via private/reset_mmp",
+    default=10000,
+)
+@click.option(
+    "--interval",
+    "-i",
+    type=int,
+    required=True,
+    help="Time interval in ms over which the limits are monotored, if 0 then mmp is disabled",
+    default=10000,
+)
+@click.option(
+    "--amount-limit",
+    "-a",
+    type=float,
+    help="Maximum total order amount that can be traded within the mmp_interval across all "
+    + "instruments of the provided currency. The amounts are not netted, so a filled bid "
+    + "of 1 and a filled ask of 2 would count as 3.",
+    default=5,
+)
+@click.option(
+    "--delta-limit",
+    "-d",
+    type=float,
+    help="Maximum total delta that can be traded within the mmp_interval across all instruments "
+    + "of the provided currency. This quantity is netted, so a filled order with +1 delta and "
+    + "a filled order with -2 delta would count as 3",
+    default=2,
+)
+@click.pass_context
+def set_mmp(ctx, underlying_currency, subaccount_id, frozen_time, interval, amount_limit, delta_limit):
+    """Set market making parameters."""
+    client = ctx.obj["client"]
+    mmp = client.set_mmp_config(
+        subaccount_id=subaccount_id,
+        currency=UnderlyingCurrency(underlying_currency),
+        mmp_frozen_time=frozen_time,
+        mmp_interval=interval,
+        mmp_amount_limit=amount_limit,
+        mmp_delta_limit=delta_limit,
+    )
+    print(mmp)
+
+
 @positions.command("fetch")
 @click.pass_context
 def fetch_positions(ctx):

lyra/lyra.py

@@ -657,3 +657,38 @@ def _generate_signed_action(self, action_hash: bytes, nonce: int, expiration: in
             "signature_expiry_sec": expiration,
             "signer": self.signer.address,
         }
+
+    def get_mmp_config(self, subaccount_id: int, currency: UnderlyingCurrency = None):
+        """Get the mmp config."""
+        url = f"{self.contracts['BASE_URL']}/private/get_mmp_config"
+        payload = {"subaccount_id": self.subaccount_id}
+        if currency:
+            payload['currency'] = currency.name
+        headers = self._create_signature_headers()
+        response = requests.post(url, json=payload, headers=headers)
+        results = response.json()["result"]
+        return results
+
+    def set_mmp_config(
+        self,
+        subaccount_id,
+        currency: UnderlyingCurrency,
+        mmp_frozen_time: int,
+        mmp_interval: int,
+        mmp_amount_limit: str,
+        mmp_delta_limit: str,
+    ):
+        """Set the mmp config."""
+        url = f"{self.contracts['BASE_URL']}/private/set_mmp_config"
+        payload = {
+            "subaccount_id": subaccount_id,
+            "currency": currency.name,
+            "mmp_frozen_time": mmp_frozen_time,
+            "mmp_interval": mmp_interval,
+            "mmp_amount_limit": mmp_amount_limit,
+            "mmp_delta_limit": mmp_delta_limit,
+        }
+        headers = self._create_signature_headers()
+        response = requests.post(url, json=payload, headers=headers)
+        results = response.json()["result"]
+        return results

tests/test_main.py

@@ -454,3 +454,28 @@ def test_analyser(underlying_currency, lyra_client):
     assert len(analyser.get_open_positions(underlying_currency))
     assert analyser.get_subaccount_value()
     assert len(analyser.get_total_greeks(underlying_currency))
+
+
+def test_get_mmp_config(lyra_client):
+    """Test get mmp config."""
+    config = lyra_client.get_mmp_config(lyra_client.subaccount_id)
+    assert isinstance(config, list)
+
+
+def test_set_mmp_config(lyra_client):
+    """Test set mmp config."""
+    config = {
+        "subaccount_id": lyra_client.subaccount_id,
+        "currency": UnderlyingCurrency.ETH,
+        "mmp_frozen_time": 0,
+        "mmp_interval": 10_000,
+        "mmp_amount_limit": 10,
+        "mmp_delta_limit": 0.1,
+    }
+    lyra_client.set_mmp_config(**config)
+    set_config = lyra_client.get_mmp_config(lyra_client.subaccount_id, UnderlyingCurrency.ETH)[0]
+    for k, v in config.items():
+        if k == "currency":
+            assert set_config[k] == v.name
+        else:
+            assert float(set_config[k]) == v