QuoteTokenTVLSizeRiskModel#

API documentation for tradeexecutor.strategy.tvl_size_risk.QuoteTokenTVLSizeRiskModel Python class in Trading Strategy framework.

class QuoteTokenTVLSizeRiskModel[source]#

Bases: BaseTVLSizeRiskModel

Estimate the trade size based on raw quote tokens.

  • Directly query onchain value for the available liquidity in quote token, but slow as we need to use onchain data source

  • Imppossible to spoof

  • May not give accurate values

  • Not finished

__init__(pair_universe, routing_model, pricing_model, per_trade_cap=1.0, per_position_cap=1.0)[source]#
Parameters:

Methods

__init__(pair_universe, routing_model, ...)

param per_trade_cap:

get_acceptable_size_for_buy(timestamp, pair, ...)

get_acceptable_size_for_position(timestamp, ...)

Calculate maximum position size we can take on the pool.

get_acceptable_size_for_sell(timestamp, ...)

get_pair_cap(pair, sizing_type)

Get cap for an individual trade for a pair.

get_tvl(timestamp, pair)

Read the TVL from the underlying pricing model.

get_usd_conversion_rate(timestamp, path)

For multi-legged trades, get the USD conversion rate of the last leg.
__init__(pair_universe, routing_model, pricing_model, per_trade_cap=1.0, per_position_cap=1.0)[source]#
Parameters:
get_tvl(timestamp, pair)[source]#

Read the TVL from the underlying pricing model.

Parameters:
Return type:

float

get_usd_conversion_rate(timestamp, path)[source]#

For multi-legged trades, get the USD conversion rate of the last leg.

  • E.g. when trading USD->ETH->BTC get the USD/ETH price and then we get BTC/USD price by multiplying ETH/BTC price with this.

Parameters:
Return type:

float