Source code for tradeexecutor.utils.accuracy

"""Make sure we use accurate enough Decimal math to cover token asset quantity.

Ethereum assets have 18 decimals.

from _decimal import Decimal
from decimal import Decimal
from typing import Iterable

#: If sum of token quantities goes below this value assume the sum is zero
SUM_EPSILON = Decimal(10**-18)

#: When selling "full amount" use this epsilon
#: the ensure we calculate 100% correctly
#: See :py:func:`snap_to_epsilon`
SNAP_EPSILON = Decimal(10**-8)

#: Preconstruced Decimal Zero
#: Avoid object reinitialisation.
ZERO_DECIMAL = Decimal(0)

#: Absolute minimum units we are willing to trade regardless of an asset
#: Used to catch floating point rounding errors
QUANTITY_EPSILON = Decimal(10**-18)

#: Dust quantity of collateral resulted from our calculations that can be considered zero
COLLATERAL_EPSILON = Decimal(10**-5)

#: When closing a position
#: Any slippage we get spills to the next position with the same collateral
#: and this is a short term hack to check for it.

#: What is the lower threshold check for zero interest
#: Spotted from test_generic_routing_live_trading_start
#: that does mainnet fork trading.
INTEREST_EPSILON = Decimal(0.000002)

[docs]def setup_decimal_accuracy(): """Make sure we can handle Decimals up to 18 digits. .. note:: Currently we assume we can safely trade without worring about the decimal accuracy, as we have some special epsilon rules in place to work around the kinks. Increasing the decimal accuracy will slow down calculations. Also increasing the decimal accuracy does not remedy us from issues. """
# From # # > I believe the minimum correct precision is math.ceil(math.log10(2**256)) = 78, no matter how many decimals the token is. # #decimal.getcontext().prec = 78
[docs]def sum_decimal( numbers: Iterable[Decimal], epsilon=SUM_EPSILON, ) -> Decimal: """Decimal safe sum(). Looks like Python will fail to sum plus and minus decimals together even if they cancel each out: .. code-block:: text 57602384161.6838278325398013034137975573193695174227082184047361995798525240101 -57602384161.6838278325398013034137975573193695174227082184047361995798525240101 0E-67 :param numbers: Incoming Decimals to sum. :return: Decimal value that is rounded to zero if it is too close to zero. """ total = sum(numbers) if abs(total) < epsilon: return ZERO_DECIMAL return total
[docs]def snap_to_epsilon( available_token_quantity: Decimal, calculated_token_quantity: Decimal, epsilon=SNAP_EPSILON ) -> Decimal: """Make sure our calculated quantity does not exceed max available tokens.""" if calculated_token_quantity != available_token_quantity: if abs(calculated_token_quantity) - abs(available_token_quantity) < epsilon: return available_token_quantity return calculated_token_quantity
[docs]def ensure_exact_zero( quantity: Decimal, epsilon=SUM_EPSILON, ) -> Decimal: """Ensure that we hit precise zero. :param quantity: If this number is one bit off the zero due to decimal math, then assume it is zero. :return: Exact zero for quantities that are too close to zero. """ assert isinstance(quantity, Decimal) if abs(quantity) < epsilon: return ZERO_DECIMAL return quantity