Source code for tradeexecutor.strategy.dust

"""Dust amounts and epsilon rounding.

Because of very small and very accurate token units,
a lot of trades may end up having rounding artifacts.
We need to deal with these rounding artifacts by checking for "dust".

"""
from _decimal import Decimal
from decimal import Decimal

from tradeexecutor.state.identifier import TradingPairIdentifier, AssetIdentifier
from tradeexecutor.state.types import Percent

#: The absolute number of tokens we consider the value to be zero
#:
#:
#: Because of funny %s of values divided near zero,
#: we cannot use relative comparison near zero values.
#:
#:
DEFAULT_DUST_EPSILON = Decimal(10 ** -4)


#: The default % we allow the balance to drift before we consider it a mismatch.
#:
#: Set to 5 BPS
#:
DEFAULT_RELATIVE_EPSILON = 5 * 10 ** -4



def get_dust_epsilon_for_pair(pair: TradingPairIdentifier) -> Decimal:
    """Get the dust threshold for a trading pair.

    :param pair:
        Trading pair identifier.

    :return:
        Maximum amount of units we consider "zero".

    """
    return get_dust_epsilon_for_asset(pair.base)


def get_dust_epsilon_for_asset(asset: AssetIdentifier) -> Decimal:
    """Get the dust threshold for a trading pair.

    :param pair:
        Trading pair identifier.

    :return:
        Maximum amount of units we consider "zero".

    """

    # Hardcoded rules for now.
    # Some practical problems we have run across in backtesting.
    # We have wrapped and non-wrapped token symbols as we are backtesting both on DEX and CEX data
    if asset.token_symbol in ("WBTC", "BTC"):
        return Decimal(10 ** -7)
    elif asset.token_symbol in ("ETH", "WETH"):
        return Decimal(10 ** -7)
    elif asset.token_symbol in ("USDC", "USDC.e"):
        return Decimal(0.1)
    elif asset.token_symbol in ("aPolUSDC", "aEthUSDC"):
        return Decimal(0.1)
    else:
        return DEFAULT_DUST_EPSILON


def get_relative_epsilon_for_asset(asset: AssetIdentifier) -> Percent:
    """Get the relative threshold for a trading pair.

    :param pair:
        Trading pair identifier.

    :return:
        Maximum amount of units we consider "zero".

    """
    if asset.token_symbol in ("aPolUSDC", "USDC"):
        # Temp allow 0.5% tolerance
        return 0.005
    
    # 5 BPS
    return DEFAULT_RELATIVE_EPSILON


def get_relative_epsilon_for_pair(pair: TradingPairIdentifier) -> Percent:
    return get_relative_epsilon_for_asset(pair.base)