"""Value model based on a vault mid-share price.
Assume we can redeem all shares without slippage.
"""
import datetime
import logging
from tradeexecutor.ethereum.vault.vault_live_pricing import VaultPricing
from tradeexecutor.state.position import TradingPosition
from tradeexecutor.state.valuation import ValuationUpdate
from tradeexecutor.strategy.valuation import ValuationModel
logger = logging.getLogger(__name__)
[docs]class VaultValuator(ValuationModel):
"""Re-value assets based on what vault tells us."""
[docs] def __init__(self, pricing_model: VaultPricing):
assert isinstance(pricing_model, VaultPricing)
self.pricing_model = pricing_model
[docs] def __call__(
self,
ts: datetime.datetime,
position: TradingPosition
) -> ValuationUpdate:
assert position.is_vault()
shares_amount = position.get_quantity()
position.last_pricing_at = ts
if shares_amount == 0:
# Frozen position, deposit has failed?
logger.warning(f"Creating null valuation update: Shares amount must be greater than 0, got {shares_amount} for position {position}")
evt = ValuationUpdate(
created_at=ts,
position_id=position.position_id,
valued_at=ts,
old_value=0,
new_value=0,
old_price=0,
new_price=0,
quantity=shares_amount,
)
position.last_token_price = 0
return evt
assert position.pair.quote.is_stablecoin(), f"Vault position {position} must be a stablecoin pair, got {position.pair}"
price_structure = self.pricing_model.get_sell_price(ts, position.pair, shares_amount)
old_price = position.last_token_price
old_value = position.get_value()
new_price = price_structure.price
new_value = position.revalue_base_asset(ts, float(new_price))
evt = ValuationUpdate(
created_at=ts,
position_id=position.position_id,
valued_at=ts,
old_value=old_value,
new_value=new_value,
old_price=old_price,
new_price=new_price,
quantity=shares_amount,
)
logger.info("Vault position %s, valuation updated: %s", position, evt)
position.last_token_price = new_price
return evt
[docs]def vault_valuation_factory(pricing_model):
return VaultValuator(pricing_model)