add interface functions for calculating market estimates

CONTRIBUTING.md

@@ -29,9 +29,10 @@ _now, we have completed our feature, so we create a PR to merge the branch into
 
 Once the PR is approved, we perform a final rebase, if necessary, and then a _squash merge_.
 This means each PR results in a single commit to `main`.
-Please provide a brief description of the PR in the summary, as opposed to a list of commit strings.
+Please provide a brief description of the PR in the summary instead of a list of commit strings.
 
 ## Building with new Hyperdrive contracts
+
 If you wish to incorporate modifications made to the Hyperdrive contracts, you must update agent0 by:
 
 - Replace the Solidity contract ABIs in `packages/hyperdrive/src/abis` with the newly compiled files from Hyperdrive.

pyproject.toml

@@ -34,7 +34,7 @@ dependencies = [
     "flask",
     "flask-expects-json",
     "hexbytes",
-    "hyperdrivepy==0.16.10",
+    "hyperdrivepy==0.17.0",
     "ipython",
     "matplotlib",
     "mplfinance",

src/agent0/chainsync/analysis/calc_position_value.py

@@ -119,18 +119,9 @@ def calc_single_closeout(
         # Rust Panic Exceptions are base exceptions, not Exceptions
         except BaseException as exception:  # pylint: disable=broad-except
             logging.info(
-                "Chainsync: Exception caught in calculating close long: %s\nApproximating with spot price.", exception
+                "Chainsync: Exception caught in calculating close long: %s\nUsing an approximation.", exception
             )
-
-            # TODO: We can use the rust `calculate_market_value_*` functions once
-            # https://github.com/delvtech/hyperdrive-rs/pull/153 is merged.
-            # Long value = users_longs * spot_price * term_remaining
-            normalized_time_remaining = _calc_scaled_normalized_time_remaining(
-                FixedPoint(maturity),
-                FixedPoint(hyperdrive_state.checkpoint_time),
-                FixedPoint(hyperdrive_state.pool_config.position_duration),
-            )
-            fp_out_value = amount * interface.calc_spot_price(hyperdrive_state) * normalized_time_remaining
+            fp_out_value = interface.calc_market_value_long(amount, maturity, hyperdrive_state)
 
     elif position["token_type"] == "SHORT":
         # Get the open share price from the checkpoint lookup
@@ -178,19 +169,14 @@ def calc_single_closeout(
         # Rust Panic Exceptions are base exceptions, not Exceptions
         except BaseException as exception:  # pylint: disable=broad-except
             logging.info(
-                "Chainsync: Exception caught in calculating close short: %s\nApproximating with spot price.", exception
-            )
-
-            # TODO: We can use the rust `calculate_market_value_*` functions once
-            # https://github.com/delvtech/hyperdrive-rs/pull/153 is merged.
-            # Short value = users_shorts * ( 1 - spot_price ) * term_remaining
-            normalized_time_remaining = _calc_scaled_normalized_time_remaining(
-                FixedPoint(maturity),
-                FixedPoint(hyperdrive_state.checkpoint_time),
-                FixedPoint(hyperdrive_state.pool_config.position_duration),
+                "Chainsync: Exception caught in calculating close short: %s\nUsing an approximation.", exception
             )
-            fp_out_value = (
-                amount * (FixedPoint(1) - interface.calc_spot_price(hyperdrive_state)) * normalized_time_remaining
+            fp_out_value = interface.calc_market_value_short(
+                amount,
+                open_share_price,
+                close_share_price,
+                maturity,
+                hyperdrive_state,
             )
 
     # For PNL, we assume all withdrawal shares are redeemable

src/agent0/ethpy/hyperdrive/interface/_mock_contract.py

@@ -118,17 +118,14 @@ def _calc_open_long(pool_state: PoolState, base_amount: FixedPoint) -> FixedPoin
     return FixedPoint(scaled_value=int(long_amount))
 
 
-def _calc_pool_deltas_after_open_long(pool_state: PoolState, base_amount: FixedPoint) -> FixedPoint:
+def _calc_pool_deltas_after_open_long(pool_state: PoolState, base_amount: FixedPoint) -> tuple[FixedPoint, FixedPoint]:
     """See API for documentation."""
-    return FixedPoint(
-        scaled_value=int(
-            hyperdrivepy.calculate_pool_deltas_after_open_long(
-                fixedpoint_to_pool_config(pool_state.pool_config),
-                fixedpoint_to_pool_info(pool_state.pool_info),
-                str(base_amount.scaled_value),
-            )
-        )
+    deltas = hyperdrivepy.calculate_pool_deltas_after_open_long(
+        fixedpoint_to_pool_config(pool_state.pool_config),
+        fixedpoint_to_pool_info(pool_state.pool_info),
+        str(base_amount.scaled_value),
     )
+    return (FixedPoint(scaled_value=int(deltas[0])), FixedPoint(scaled_value=int(deltas[1])))
 
 
 def _calc_spot_price_after_long(
@@ -226,6 +223,20 @@ def _calc_close_long(
     return FixedPoint(scaled_value=int(long_returns))
 
 
+def _calc_market_value_long(
+    pool_state: PoolState, bond_amount: FixedPoint, maturity_time: int, current_time: int
+) -> FixedPoint:
+    """See API for documentation."""
+    long_returns = hyperdrivepy.calculate_market_value_long(
+        fixedpoint_to_pool_config(pool_state.pool_config),
+        fixedpoint_to_pool_info(pool_state.pool_info),
+        str(bond_amount.scaled_value),
+        str(maturity_time),
+        str(current_time),
+    )
+    return FixedPoint(scaled_value=int(long_returns))
+
+
 def _calc_open_short(
     pool_state: PoolState,
     bond_amount: FixedPoint,
@@ -246,24 +257,12 @@ def _calc_open_short(
     return FixedPoint(scaled_value=int(short_deposit))
 
 
-def _calculate_pool_deltas_after_open_short(pool_state: PoolState, bond_amount: FixedPoint) -> FixedPoint:
-    return FixedPoint(
-        scaled_value=int(
-            hyperdrivepy.calculate_pool_deltas_after_open_short(
-                fixedpoint_to_pool_config(pool_state.pool_config),
-                fixedpoint_to_pool_info(pool_state.pool_info),
-                str(bond_amount.scaled_value),
-            )
-        )
-    )
-
-
-def _calc_pool_deltas_after_open_short(
+def _calc_pool_share_delta_after_open_short(
     pool_state: PoolState,
     short_amount: FixedPoint,
 ) -> FixedPoint:
     """See API for documentation."""
-    short_deposit = hyperdrivepy.calculate_pool_deltas_after_open_short(
+    short_deposit = hyperdrivepy.calculate_pool_share_delta_after_open_short(
         fixedpoint_to_pool_config(pool_state.pool_config),
         fixedpoint_to_pool_info(pool_state.pool_info),
         str(short_amount.scaled_value),
@@ -327,6 +326,27 @@ def _calc_close_short(
     return FixedPoint(scaled_value=int(short_returns))
 
 
+def _calc_market_value_short(
+    pool_state: PoolState,
+    bond_amount: FixedPoint,
+    open_vault_share_price: FixedPoint,
+    close_vault_share_price: FixedPoint,
+    maturity_time: int,
+) -> FixedPoint:
+    """See API for documentation."""
+    current_block_time = pool_state.block_time
+    short_returns = hyperdrivepy.calculate_market_value_short(
+        fixedpoint_to_pool_config(pool_state.pool_config),
+        fixedpoint_to_pool_info(pool_state.pool_info),
+        str(bond_amount.scaled_value),
+        str(open_vault_share_price.scaled_value),
+        str(close_vault_share_price.scaled_value),
+        str(maturity_time),
+        str(current_block_time),
+    )
+    return FixedPoint(scaled_value=int(short_returns))
+
+
 def _calc_present_value(pool_state: PoolState, current_block_timestamp: int) -> FixedPoint:
     """See API for documentation."""
     return FixedPoint(

src/agent0/ethpy/hyperdrive/interface/read_interface.py

@@ -65,13 +65,15 @@
     _calc_close_short,
     _calc_effective_share_reserves,
     _calc_idle_share_reserves_in_base,
+    _calc_market_value_long,
+    _calc_market_value_short,
     _calc_max_long,
     _calc_max_short,
     _calc_max_spot_price,
     _calc_open_long,
     _calc_open_short,
     _calc_pool_deltas_after_open_long,
-    _calc_pool_deltas_after_open_short,
+    _calc_pool_share_delta_after_open_short,
     _calc_position_duration_in_years,
     _calc_present_value,
     _calc_shares_in_given_bonds_out_down,
@@ -1157,7 +1159,7 @@ def calc_open_long(self, base_amount: FixedPoint, pool_state: PoolState | None =
 
     def calc_pool_deltas_after_open_long(
         self, base_amount: FixedPoint, pool_state: PoolState | None = None
-    ) -> FixedPoint:
+    ) -> tuple[FixedPoint, FixedPoint]:
         """Calculate the bond deltas to be applied to the pool after opening a long.
 
         Arguments
@@ -1170,8 +1172,8 @@ def calc_pool_deltas_after_open_long(
 
         Returns
         -------
-        FixedPoint
-            The amount of bonds to remove from the pool reserves.
+        tuple[FixedPoint, FixedPoint]
+            The amount of (shares, bonds) to remove from the pool reserves.
         """
         if pool_state is None:
             pool_state = self.current_pool_state
@@ -1280,6 +1282,30 @@ def calc_close_long(
             pool_state = self.current_pool_state
         return _calc_close_long(pool_state, bond_amount, maturity_time, int(pool_state.block_time))
 
+    def calc_market_value_long(
+        self, bond_amount: FixedPoint, maturity_time: int, pool_state: PoolState | None = None
+    ) -> FixedPoint:
+        """Calculate the amount of shares that will be returned after fees for closing a long.
+
+        Arguments
+        ---------
+        bond_amount: FixedPoint
+            The amount of bonds to sell.
+        maturity_time: int
+            The maturity time of the bond.
+        pool_state: PoolState | None, optional
+            The state of the pool, which includes block details, pool config, and pool info.
+            If not given, use the current pool state.
+
+        Returns
+        -------
+        FixedPoint
+            An estimate of the amount of shares returned upon closing the long.
+        """
+        if pool_state is None:
+            pool_state = self.current_pool_state
+        return _calc_market_value_long(pool_state, bond_amount, maturity_time, int(pool_state.block_time))
+
     def calc_targeted_long(
         self,
         budget: FixedPoint,
@@ -1338,7 +1364,7 @@ def calc_open_short(self, bond_amount: FixedPoint, pool_state: PoolState | None
             pool_state = self.current_pool_state
         return _calc_open_short(pool_state, bond_amount, pool_state.pool_info.vault_share_price)
 
-    def calc_pool_deltas_after_open_short(
+    def calc_pool_share_delta_after_open_short(
         self, bond_amount: FixedPoint, pool_state: PoolState | None = None
     ) -> FixedPoint:
         """Calculate the amount of shares the pool will add after opening a short.
@@ -1354,11 +1380,11 @@ def calc_pool_deltas_after_open_short(
         Returns
         -------
         FixedPoint
-            The amount of base to add to the pool share reserves.
+            The amount of shares to add to the pool reserves.
         """
         if pool_state is None:
             pool_state = self.current_pool_state
-        return _calc_pool_deltas_after_open_short(pool_state, bond_amount)
+        return _calc_pool_share_delta_after_open_short(pool_state, bond_amount)
 
     def calc_spot_price_after_short(
         self, bond_amount: FixedPoint, base_amount: FixedPoint | None = None, pool_state: PoolState | None = None
@@ -1448,6 +1474,43 @@ def calc_close_short(
             pool_state, bond_amount, open_vault_share_price, close_vault_share_price, maturity_time
         )
 
+    def calc_market_value_short(
+        self,
+        bond_amount: FixedPoint,
+        open_vault_share_price: FixedPoint,
+        close_vault_share_price: FixedPoint,
+        maturity_time: int,
+        pool_state: PoolState | None = None,
+    ) -> FixedPoint:
+        """Estimates the current market value of an open short position.
+
+        Arguments
+        ---------
+        bond_amount: FixedPoint
+            The amount to of bonds provided.
+        open_vault_share_price: FixedPoint
+            The checkpoint share price when the short was opened.
+        close_vault_share_price: FixedPoint
+            The share price when the short was closed.
+            If the short isn't mature, this is the current share price.
+            If the short is mature, this is the share price of the maturity checkpoint.
+        maturity_time: int
+            The maturity time of the short.
+        pool_state: PoolState | None, optional
+            The state of the pool, which includes block details, pool config, and pool info.
+            If not given, use the current pool state.
+
+        Returns
+        -------
+        FixedPoint
+            An estimate of the amount of shares returned upon closing the short.
+        """
+        if pool_state is None:
+            pool_state = self.current_pool_state
+        return _calc_market_value_short(
+            pool_state, bond_amount, open_vault_share_price, close_vault_share_price, maturity_time
+        )
+
     def calc_present_value(self, pool_state: PoolState | None = None) -> FixedPoint:
         """Calculate the present value of LPs capital in the pool.
 

src/agent0/ethpy/hyperdrive/interface/read_interface_test.py

@@ -127,7 +127,7 @@ def test_calc_short(self, hyperdrive_read_interface_fixture: HyperdriveReadInter
         bond_amount = FixedPoint(100)
         price_with_default = hyperdrive_read_interface_fixture.calc_spot_price_after_short(bond_amount)
         base_amount = (
-            hyperdrive_read_interface_fixture.calc_pool_deltas_after_open_short(bond_amount)
+            hyperdrive_read_interface_fixture.calc_pool_share_delta_after_open_short(bond_amount)
             * hyperdrive_read_interface_fixture.current_pool_state.pool_info.vault_share_price
         )
         price_with_base_amount = hyperdrive_read_interface_fixture.calc_spot_price_after_short(bond_amount, base_amount)
@@ -140,7 +140,7 @@ def test_calc_short(self, hyperdrive_read_interface_fixture: HyperdriveReadInter
             close_vault_share_price=hyperdrive_read_interface_fixture.current_pool_state.pool_info.vault_share_price,
             maturity_time=current_time + 100,
         )
-        _ = hyperdrive_read_interface_fixture.calc_pool_deltas_after_open_short(bond_amount)
+        _ = hyperdrive_read_interface_fixture.calc_pool_share_delta_after_open_short(bond_amount)
 
     def test_misc(self, hyperdrive_read_interface_fixture: HyperdriveReadInterface):
         """Miscellaneous tests only verify that the attributes exist and functions can be called.

tests/bot_wallet_test.py

@@ -4,7 +4,7 @@
 
 import pytest
 from fixedpointmath import FixedPoint
-from utils import run_with_funded_bot
+from utils import run_with_funded_bot  # type: ignore
 
 from agent0.core.base import Trade
 from agent0.core.hyperdrive import HyperdriveMarketAction, HyperdriveWallet

tests/invalid_balance_trade_test.py

@@ -6,7 +6,7 @@
 
 import pytest
 from fixedpointmath import FixedPoint
-from utils import expect_failure_with_funded_bot, expect_failure_with_non_funded_bot
+from utils import expect_failure_with_funded_bot, expect_failure_with_non_funded_bot  # type: ignore
 from web3.exceptions import ContractCustomError, ContractPanicError
 
 from agent0.core.base import Trade

tests/min_txn_amount_test.py

@@ -6,7 +6,7 @@
 
 import pytest
 from fixedpointmath import FixedPoint
-from utils import expect_failure_with_funded_bot
+from utils import expect_failure_with_funded_bot  # type: ignore
 from web3.exceptions import ContractCustomError
 
 from agent0.core.base import Trade

tests/slippage_warning_test.py

@@ -6,7 +6,7 @@
 
 import pytest
 from fixedpointmath import FixedPoint
-from utils import expect_failure_with_funded_bot, run_with_funded_bot
+from utils import expect_failure_with_funded_bot, run_with_funded_bot  # type: ignore
 
 from agent0.core.hyperdrive.agent import (
     add_liquidity_trade,