calculating market price

Polymarket · May 21, 2024 · ebdbf8a · ebdbf8a
1 parent e246c5b
commit ebdbf8a
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Showing 3 changed files with 140 additions and 3 deletions.
diff --git a/py_clob_client/client.py b/py_clob_client/client.py
@@ -356,8 +356,9 @@ def create_market_order(
         neg_risk = options.neg_risk if options else False
 
         if order_args.price is None or order_args.price <= 0:
-            p = self.get_price(order_args.token_id, "SELL")
-            order_args.price = float(p["price"])
+            order_args.price = self.calculate_market_price(
+                order_args.token_id, "BUY", order_args.amount
+            )
 
         if not price_valid(order_args.price, tick_size):
             raise Exception(
@@ -673,3 +674,19 @@ def get_market_trades_events(self, condition_id):
         Get the market's trades events by condition id
         """
         return get("{}{}{}".format(self.host, GET_MARKET_TRADES_EVENTS, condition_id))
+
+    def calculate_market_price(self, token_id: str, side: str, amount: float) -> float:
+        """
+        Calculates the matching price considering an amount and the current orderbook
+        """
+        book = self.get_order_book(token_id)
+        if book is None:
+            raise Exception("no orderbook")
+        if side == "BUY":
+            if book.asks is None:
+                raise Exception("no match")
+            return self.builder.calculate_market_price(book.asks, amount)
+        else:
+            if book.bids is None:
+                raise Exception("no match")
+            return self.builder.calculate_market_price(book.bids, amount)
diff --git a/py_clob_client/order_builder/builder.py b/py_clob_client/order_builder/builder.py
@@ -24,6 +24,7 @@
     TickSize,
     RoundConfig,
     MarketOrderArgs,
+    OrderSummary,
 )
 
 ROUNDING_CONFIG: dict[TickSize, RoundConfig] = {
@@ -173,3 +174,13 @@ def create_market_order(
         )
 
         return order_builder.build_signed_order(data)
+
+    def calculate_market_price(
+        self, positions: list[OrderSummary], amount_to_match: float
+    ) -> float:
+        sum = 0
+        for p in positions:
+            sum += float(p.size) * float(p.price)
+            if sum >= amount_to_match:
+                return float(p.price)
+        raise Exception("no match")
diff --git a/tests/order_builder/test_builder.py b/tests/order_builder/test_builder.py
@@ -1,6 +1,11 @@
 from unittest import TestCase
 
-from py_clob_client.clob_types import OrderArgs, MarketOrderArgs, CreateOrderOptions
+from py_clob_client.clob_types import (
+    OrderArgs,
+    MarketOrderArgs,
+    CreateOrderOptions,
+    OrderSummary,
+)
 from py_clob_client.constants import AMOY
 from py_clob_client.order_builder.constants import BUY, SELL
 
@@ -16,6 +21,110 @@
 
 
 class TestOrderBuilder(TestCase):
+    def test_calculate_market_price_buy(self):
+        # empty
+        with self.assertRaises(Exception):
+            builder = OrderBuilder(signer)
+            builder.calculate_market_price([], 100)
+
+        # not enough
+        with self.assertRaises(Exception):
+            positions = [
+                OrderSummary(price="0.5", size="100"),
+                OrderSummary(price="0.4", size="100"),
+            ]
+            builder = OrderBuilder(signer)
+            builder.calculate_market_price(positions, 100)
+
+        # OK
+        positions = [
+            OrderSummary(price="0.5", size="100"),
+            OrderSummary(price="0.4", size="100"),
+            OrderSummary(price="0.3", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.3)
+
+        positions = [
+            OrderSummary(price="0.5", size="100"),
+            OrderSummary(price="0.4", size="200"),
+            OrderSummary(price="0.3", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.4)
+
+        positions = [
+            OrderSummary(price="0.5", size="120"),
+            OrderSummary(price="0.4", size="100"),
+            OrderSummary(price="0.3", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.4)
+
+        positions = [
+            OrderSummary(price="0.5", size="200"),
+            OrderSummary(price="0.4", size="100"),
+            OrderSummary(price="0.3", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.5)
+
+    def test_calculate_market_price_sell(self):
+        # empty
+        with self.assertRaises(Exception):
+            builder = OrderBuilder(signer)
+            builder.calculate_market_price([], 100)
+
+        # not enough
+        with self.assertRaises(Exception):
+            positions = [
+                OrderSummary(price="0.4", size="100"),
+                OrderSummary(price="0.5", size="100"),
+            ]
+            builder = OrderBuilder(signer)
+            builder.calculate_market_price(positions, 100)
+
+        # OK
+        positions = [
+            OrderSummary(price="0.3", size="100"),
+            OrderSummary(price="0.4", size="100"),
+            OrderSummary(price="0.5", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.5)
+
+        positions = [
+            OrderSummary(price="0.3", size="100"),
+            OrderSummary(price="0.4", size="300"),
+            OrderSummary(price="0.5", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.4)
+
+        positions = [
+            OrderSummary(price="0.3", size="100"),
+            OrderSummary(price="0.4", size="200"),
+            OrderSummary(price="0.5", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.4)
+
+        positions = [
+            OrderSummary(price="0.3", size="300"),
+            OrderSummary(price="0.4", size="100"),
+            OrderSummary(price="0.5", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.4)
+
+        positions = [
+            OrderSummary(price="0.3", size="334"),
+            OrderSummary(price="0.4", size="100"),
+            OrderSummary(price="0.5", size="100"),
+        ]
+        builder = OrderBuilder(signer)
+        self.assertEqual(builder.calculate_market_price(positions, 100), 0.3)
+
     def test_get_market_order_amounts_0_1(self):
         builder = OrderBuilder(signer)