Merge pull request #58 from Polymarket/feat/tick-size

feat/ adding support for all the possible tick sizes

examples/get_order.py

@@ -19,7 +19,9 @@ def main():
     chain_id = MUMBAI
     client = ClobClient(host, key=key, chain_id=chain_id, creds=creds)
 
-    resp = client.get_order("0xf5667d8509bdc78ac43676fe2c980da1365c471ee92153820c89c488fc15d539")
+    resp = client.get_order(
+        "0xf5667d8509bdc78ac43676fe2c980da1365c471ee92153820c89c488fc15d539"
+    )
     print(resp)
     print("Done!")
 

examples/order.py

@@ -22,10 +22,10 @@ def main():
     chain_id = MUMBAI
     client = ClobClient(host, key=key, chain_id=chain_id, creds=creds)
 
-    # Create and sign a limit order buying 100 YES tokens for 0.50c each
+    # Create and sign a limit order buying 100 YES tokens for 0.0005 each
     order_args = OrderArgs(
-        price=0.50,
-        size=100.0,
+        price=0.0005,
+        size=20,
         side=BUY,
         token_id="16678291189211314787145083999015737376658799626183230671758641503291735614088",
     )

py_clob_client/client.py

@@ -28,6 +28,7 @@
     DROP_TRADE_NOTIFICATIONS,
     GET_BALANCE_ALLOWANCE,
     IS_ORDER_SCORING,
+    GET_TICK_SIZE,
 )
 from .clob_types import (
     ApiCreds,
@@ -38,6 +39,7 @@
     OrderBookSummary,
     BalanceAllowanceParams,
     OrderScoringParams,
+    TickSize,
 )
 from .exceptions import PolyException
 from .http_helpers.helpers import (
@@ -55,6 +57,7 @@
     parse_raw_orderbook_summary,
     generate_orderbook_summary_hash,
     order_to_json,
+    is_tick_size_smaller,
 )
 
 
@@ -90,6 +93,7 @@ def __init__(
             self.builder = OrderBuilder(
                 self.signer, sig_type=signature_type, funder=funder
             )
+        self.__tick_sizes = {}
         self.logger = logging.getLogger(self.__class__.__name__)
 
     def get_address(self):
@@ -225,14 +229,40 @@ def get_price(self, token_id, side):
         """
         return get("{}{}?token_id={}&side={}".format(self.host, PRICE, token_id, side))
 
-    def create_order(self, order_args: OrderArgs):
+    def get_tick_size(self, token_id: str) -> TickSize:
+        if token_id in self.__tick_sizes:
+            return self.__tick_sizes[token_id]
+
+        result = get("{}{}?token_id={}".format(self.host, GET_TICK_SIZE, token_id))
+        self.__tick_sizes[token_id] = result["minimum_tick_size"]
+
+        return self.__tick_sizes[token_id]
+
+    def __resolve_tick_size(
+        self, token_id: str, tick_size: TickSize = None
+    ) -> TickSize:
+        min_tick_size = self.get_tick_size(token_id)
+        if tick_size is not None:
+            if is_tick_size_smaller(tick_size, min_tick_size):
+                raise Exception(
+                    "invalid tick size ("
+                    + tick_size
+                    + "), minimum for the market is "
+                    + min_tick_size,
+                )
+        else:
+            tick_size = min_tick_size
+        return tick_size
+
+    def create_order(self, order_args: OrderArgs, tick_size: TickSize = None):
         """
         Creates and signs an order
         Level 2 Auth required
         """
         self.assert_level_2_auth()
 
-        return self.builder.create_order(order_args)
+        tick_size = self.__resolve_tick_size(order_args.token_id, tick_size)
+        return self.builder.create_order(order_args, tick_size)
 
     def post_order(self, order, orderType: OrderType = OrderType.GTC):
         """

py_clob_client/clob_types.py

@@ -2,6 +2,7 @@
 from typing import Any
 from dataclasses import dataclass, asdict
 from json import dumps
+from typing import Literal
 
 from .constants import ZERO_ADDRESS
 
@@ -132,3 +133,16 @@ class OrderType(enumerate):
 @dataclass
 class OrderScoringParams:
     orderId: str
+
+
+TickSize = Literal["0.1", "0.01", "0.001", "0.0001"]
+
+
+@dataclass
+class RoundConfig:
+    price: float
+    size: float
+    amount: float
+
+
+TickSizes: dict[str, TickSize]

py_clob_client/endpoints.py

@@ -19,3 +19,4 @@
 DROP_TRADE_NOTIFICATIONS = "/drop-trade-notifications"
 GET_BALANCE_ALLOWANCE = "/balance-allowance"
 IS_ORDER_SCORING = "/order-scoring"
+GET_TICK_SIZE = "/tick-size"

py_clob_client/order_builder/builder.py

@@ -18,7 +18,15 @@
 from .constants import BUY, SELL
 
 from ..signer import Signer
-from ..clob_types import OrderArgs
+from ..clob_types import OrderArgs, TickSize, RoundConfig
+from typing import Tuple
+
+ROUNDING_CONFIG: Tuple[TickSize, RoundConfig] = {
+    "0.1": RoundConfig(price=1, size=2, amount=3),
+    "0.01": RoundConfig(price=2, size=2, amount=4),
+    "0.001": RoundConfig(price=3, size=2, amount=5),
+    "0.0001": RoundConfig(price=4, size=2, amount=6),
+}
 
 
 class OrderBuilder:
@@ -40,30 +48,32 @@ def __init__(self, signer: Signer, sig_type=None, funder=None):
     def _get_contract_config(self, chain_id: int):
         return get_contract_config(chain_id)
 
-    def get_order_amounts(self, side: str, size: float, price: float):
-        raw_price = round_normal(price, 2)
+    def get_order_amounts(
+        self, side: str, size: float, price: float, round_config: RoundConfig
+    ):
+        raw_price = round_normal(price, round_config.price)
 
         if side == BUY:
-            raw_taker_amt = round_down(size, 2)
+            raw_taker_amt = round_down(size, round_config.size)
 
             raw_maker_amt = raw_taker_amt * raw_price
-            if decimal_places(raw_maker_amt) > 4:
-                raw_maker_amt = round_up(raw_maker_amt, 8)
-                if decimal_places(raw_maker_amt) > 4:
-                    raw_maker_amt = round_down(raw_maker_amt, 4)
+            if decimal_places(raw_maker_amt) > round_config.amount:
+                raw_maker_amt = round_up(raw_maker_amt, round_config.amount + 4)
+                if decimal_places(raw_maker_amt) > round_config.amount:
+                    raw_maker_amt = round_down(raw_maker_amt, round_config.amount)
 
             maker_amount = to_token_decimals(raw_maker_amt)
             taker_amount = to_token_decimals(raw_taker_amt)
 
             return UtilsBuy, maker_amount, taker_amount
         elif side == SELL:
-            raw_maker_amt = round_down(size, 2)
+            raw_maker_amt = round_down(size, round_config.size)
 
             raw_taker_amt = raw_maker_amt * raw_price
-            if decimal_places(raw_taker_amt) > 4:
-                raw_taker_amt = round_up(raw_taker_amt, 8)
-                if decimal_places(raw_taker_amt) > 4:
-                    raw_taker_amt = round_down(raw_taker_amt, 4)
+            if decimal_places(raw_taker_amt) > round_config.amount:
+                raw_taker_amt = round_up(raw_taker_amt, round_config.amount + 4)
+                if decimal_places(raw_taker_amt) > round_config.amount:
+                    raw_taker_amt = round_down(raw_taker_amt, round_config.amount)
 
             maker_amount = to_token_decimals(raw_maker_amt)
             taker_amount = to_token_decimals(raw_taker_amt)
@@ -72,12 +82,15 @@ def get_order_amounts(self, side: str, size: float, price: float):
         else:
             raise ValueError(f"order_args.side must be '{BUY}' or '{SELL}'")
 
-    def create_order(self, order_args: OrderArgs) -> SignedOrder:
+    def create_order(self, order_args: OrderArgs, tick_size: TickSize) -> SignedOrder:
         """
         Creates and signs an order
         """
         side, maker_amount, taker_amount = self.get_order_amounts(
-            order_args.side, order_args.size, order_args.price
+            order_args.side,
+            order_args.size,
+            order_args.price,
+            ROUNDING_CONFIG[tick_size],
         )
 
         data = OrderData(

py_clob_client/utilities.py

@@ -1,7 +1,6 @@
 import hashlib
-import json
 
-from .clob_types import OrderBookSummary, OrderSummary
+from .clob_types import OrderBookSummary, OrderSummary, TickSize
 
 
 def parse_raw_orderbook_summary(raw_obs: any) -> OrderBookSummary:
@@ -33,3 +32,7 @@ def generate_orderbook_summary_hash(orderbook: OrderBookSummary) -> str:
 
 def order_to_json(order, owner, orderType) -> dict:
     return {"order": order.dict(), "owner": owner, "orderType": orderType}
+
+
+def is_tick_size_smaller(a: TickSize, b: TickSize) -> bool:
+    return float(a) < float(b)

setup.py

@@ -5,7 +5,7 @@
 
 setuptools.setup(
     name="py_clob_client",
-    version="0.5.0",
+    version="0.6.0",
     author="Polymarket Engineering",
     author_email="[email protected]",
     maintainer="Polymarket Engineering",