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-Adding a missing condition on the number of available bond makers vs…
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… the number of desired counterparties before entering the algorithm that limits the maximum expected probability for large bond makers.

-Modifying which log statements are warning vs debug statements to reduce the number of lines printed on the console

-Adding an extra warning log statement that prints the number of large makers that have their weight constrained by tx_max_expected_probability
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@PyGryhapoRbryDer
PyGryhapoRbryDer committed Jul 14, 2024
1 parent f49768e commit 8be8453
Showing 1 changed file with 61 additions and 53 deletions.
114 changes: 61 additions & 53 deletions src/jmclient/support.py
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Original file line number Diff line number Diff line change
Expand Up @@ -250,76 +250,84 @@ def fidelity_bond_weighted_order_choose(orders, n, nrem = None, large_makers_not
prob = 1 - pow(((1 - tx_max_expected_probability) / large_makers_not_chosen_prob[0]), 1./nrem) if tx_max_expected_probability is not None and tx_max_expected_probability<1. else None

if prob is not None:

#If the number of remaining makers is sufficient to exclude some of them
if nforders > nrem:

#If maximum expected probability target for large makers cannot be achieved using a constant value for prob
if prob<=0 or nforders-nrem+1 <= 1. / prob:
max_exp_prob = large_makers_not_chosen_prob[0]
#If maximum expected probability target for large makers cannot be achieved using a constant value for prob
if prob<=0 or nforders-nrem+1 <= 1. / prob:
max_exp_prob = large_makers_not_chosen_prob[0]

for i in range(nforders-nrem+1, nforders+1):
max_exp_prob *= 1 - 1./i
max_exp_prob = 1 - max_exp_prob
for i in range(nforders-nrem+1, nforders+1):
max_exp_prob *= 1 - 1./i
max_exp_prob = 1 - max_exp_prob

#If the probability target cannot be achieved at all
if max_exp_prob > tx_max_expected_probability:
log.warn('A large maker maximum expected probability target of ' + str(tx_max_expected_probability) + ' cannot be achieved. A probability of ' + str(max_exp_prob) + ' will be targeted instead')
#Update prob using the maximum achievable target
prob = 1 - pow(((1 - max_exp_prob) / large_makers_not_chosen_prob[0]), 1./nrem)
#If the probability target cannot be achieved at all
if max_exp_prob > tx_max_expected_probability:
log.warn('A large maker maximum expected probability target of ' + str(tx_max_expected_probability) + ' cannot be achieved. A probability of ' + str(max_exp_prob) + ' will be targeted instead')
#Update prob using the maximum achievable target
prob = 1 - pow(((1 - max_exp_prob) / large_makers_not_chosen_prob[0]), 1./nrem)

else:
log.debug('Large maker maximum expected probability target of ' + str(tx_max_expected_probability) + ' achievable using an increasing draw probability due to the limited number of makers')
rem_not_chosen_prob = (1 - max_exp_prob) / large_makers_not_chosen_prob[0]
else:
log.warn('Large maker maximum expected probability target of ' + str(tx_max_expected_probability) + ' achievable using an increasing draw probability due to the limited number of makers')
rem_not_chosen_prob = (1 - max_exp_prob) / large_makers_not_chosen_prob[0]

for i in range(nforders-nrem+1, nforders):
for i in range(nforders-nrem+1, nforders):

if 1./i > prob:
rem_not_chosen_prob /= 1 - 1./i
log.debug('Large maker draw probability for draw ' + str(nforders + 1 - i) + ' set to ' + str(1./i))
prob = 1 - pow(rem_not_chosen_prob, 1. / (nforders - i))
if 1./i > prob:
rem_not_chosen_prob /= 1 - 1./i
log.warn('Large maker draw probability for draw ' + str(nforders + 1 - i) + ' set to ' + str(1./i))
prob = 1 - pow(rem_not_chosen_prob, 1. / (nforders - i))

else:
break
log.debug('Large maker draw probability for first ' + str(nforders - i) + ' draws set to ' + str(prob) + ' per draw')
else:
break
log.warn('Large maker draw probability for first ' + str(nforders - i) + ' draws set to ' + str(prob) + ' per draw')

else:
log.debug('Large maker draw probability set to ' + str(prob) + ' for each draw')
else:
log.warn('Large maker draw probability set to ' + str(prob) + ' for each draw')

normal_bond_value_sum = 0
nlargemakers = 0
islargemaker = [False] * nforders
normal_bond_value_sum = 0
nlargemakers = 0
islargemaker = [False] * nforders

log.debug(str(nforders) + ' remaining makers for the draw')
for i, o in enumerate(filtered_orders):
#log.debug(o[0])
normal_bond_value_sum += weights[i]
log.debug('Total value of fidelity bonds: ' + str(normal_bond_value_sum))
log.debug(str(nforders) + ' remaining makers for the draw')
for i, o in enumerate(filtered_orders):
#log.debug(o[0])
normal_bond_value_sum += weights[i]
log.debug('Total value of fidelity bonds: ' + str(normal_bond_value_sum))

for i, o in enumerate(filtered_orders[::-1]):
i = nforders - i - 1
for i, o in enumerate(filtered_orders[::-1]):
i = nforders - i - 1

if prob * (nlargemakers + 1) >= 1:
break
bvmax = prob * (normal_bond_value_sum - weights[i]) / (1. - prob * (nlargemakers + 1))
#log.debug('Maker ' + o[0]['counterparty'] + ' weight ' + str(weights[i]) + ' vs ' + str(bvmax) + ": " + ('normal' if weights[i] <= bvmax else 'large'))
if prob * (nlargemakers + 1) >= 1:
break
bvmax = prob * (normal_bond_value_sum - weights[i]) / (1. - prob * (nlargemakers + 1))
#log.debug('Maker ' + o[0]['counterparty'] + ' weight ' + str(weights[i]) + ' vs ' + str(bvmax) + ": " + ('normal' if weights[i] <= bvmax else 'large'))

if weights[i] <= bvmax:
break
islargemaker[i] = True
normal_bond_value_sum -= weights[i]
nlargemakers += 1
if weights[i] <= bvmax:
break
islargemaker[i] = True
normal_bond_value_sum -= weights[i]
nlargemakers += 1

if normal_bond_value_sum <= 0:
log.warn('Only large makers are left, selecting a bond maker randomly')
return random_under_max_order_choose(filtered_orders, nforders, large_makers_not_chosen_prob=large_makers_not_chosen_prob, tx_max_expected_probability=tx_max_expected_probability)
if normal_bond_value_sum <= 0:
log.warn('Only large makers are left, selecting a bond maker randomly')
return random_under_max_order_choose(filtered_orders, nforders, large_makers_not_chosen_prob=large_makers_not_chosen_prob, tx_max_expected_probability=tx_max_expected_probability)

log.debug('Remaining probability of not being selected for large makers: ' + str(large_makers_not_chosen_prob[0]) + ' -> ' + str(large_makers_not_chosen_prob[0]*(1-prob)))
large_makers_not_chosen_prob[0] *= 1 - prob
bvmax = prob * normal_bond_value_sum / (1. - prob * nlargemakers)
log.debug('Remaining probability of not being selected for large makers: ' + str(large_makers_not_chosen_prob[0]) + ' -> ' + str(large_makers_not_chosen_prob[0]*(1-prob)))
large_makers_not_chosen_prob[0] *= 1 - prob
bvmax = prob * normal_bond_value_sum / (1. - prob * nlargemakers)

for i, o in enumerate(filtered_orders):
for i, o in enumerate(filtered_orders):

if islargemaker[i] == True:
log.warn('Weight of counterparty ' + o[0]['counterparty'] + ' brought down to ' + str(bvmax) + ' from ' + str(weights[i]))
weights[i]=bvmax
if islargemaker[i] == True:
log.debug('Weight of counterparty ' + o[0]['counterparty'] + ' brought down to ' + str(bvmax) + ' from ' + str(weights[i]))
weights[i]=bvmax
log.warn('The weight of ' + str(nlargemakers) + '/' + str(nforders) + ' bond makers was reduced to reduce their maximum expected probability of being selected')

#else if nforders<=nrem
else:
log.warn('Cannot set a maximum expected probability target for bond makers as the number of bond makers is smaller or equal to the number of required counterparties')

weights = [x / sum(weights) for x in weights]
return filtered_orders[rand_weighted_choice(nforders, weights)]
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