Merge pull request #171 from valory-xyz/feat/max-bet

Add a max bet parameter for the bankroll's adjustment
valory-xyz · Dec 6, 2023 · 5a7fcd9 · 5a7fcd9
2 parents e0aee95 + be4a72b
commit 5a7fcd9
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Showing 4 changed files with 22 additions and 15 deletions.
diff --git a/packages/packages.json b/packages/packages.json
@@ -4,8 +4,8 @@
         "skill/valory/decision_maker_abci/0.1.0": "bafybeibqncxj2gijdrglaeg5f3sjpsde4hw3vlltfz3lrxidt4lcu5lrxu",
         "skill/valory/trader_abci/0.1.0": "bafybeihb3u5asle3i43uffzs4johkxu2qnswiewjugzhxtlthmb4py6j4y",
         "contract/valory/market_maker/0.1.0": "bafybeid5jnetbsusgxkpqzwyiqlwut55xktfbeloipxcemcuu5oopmqtl4",
-        "agent/valory/trader/0.1.0": "bafybeidcovbb3efuufbeldvmhn3khpl57nq6srhwakxzj4h56duggyz3tm",
-        "service/valory/trader/0.1.0": "bafybeia6qr63f3favmxkqfcfyd5b5ydyom6o7qtiyrz4oq3yjar2b62znq",
+        "agent/valory/trader/0.1.0": "bafybeiejzq4tqdsjzrinmmcvsahsdzztefc73wvobnrpggxslp3p3lg76u",
+        "service/valory/trader/0.1.0": "bafybeigmzt3cscoacgasxwb26qwppwdfp6uhumnk2cmyygmrrrprlymk2m",
         "contract/valory/erc20/0.1.0": "bafybeiepg5ymxhtylgijs3mf3lezz6cwcsougbrv2gr4xcq3bp5wxusi64",
         "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeifgq5zgxcwzdlwixu5lfe34a4m4ddqqv7xzxhir47yn7tavg3fdki",
         "contract/valory/mech/0.1.0": "bafybeieo65rtidzgrx22la7z7azoqbisd35hnoqfw7l3xxctotvctjlkju",

diff --git a/packages/valory/agents/trader/aea-config.yaml b/packages/valory/agents/trader/aea-config.yaml
@@ -192,7 +192,7 @@ models:
       agent_balance_threshold: ${int:10000000000000000}
       refill_check_interval: ${int:10}
       tool_punishment_multiplier: ${int:1}
-      file_hash_to_strategies_json: ${list:[["bafybeiauu6lecgrxlqlexaorsnpbzj6beto7kagdx6zawqx6z5fo5wmxhy",["bet_amount_per_threshold"]],["bafybeid7xyoqfskjumerc7tj2ykmfprem63oyxj5hyy2ts2zckfq7zutte",["kelly_criterion"]]]}
+      file_hash_to_strategies_json: ${list:[["bafybeiauu6lecgrxlqlexaorsnpbzj6beto7kagdx6zawqx6z5fo5wmxhy",["bet_amount_per_threshold"]],["bafybeidbmi5zgp2ygprb3br6xpfvmty474cy3eeib5ynslispp4iijwpoe",["kelly_criterion"]]]}
       strategies_kwargs: ${list:[["bet_kelly_fraction",1.0],["floor_balance",500000000000000000],["bet_amount_per_threshold",{"0.0":0,"0.1":0,"0.2":0,"0.3":0,"0.4":0,"0.5":0,"0.6":0,"0.7":0,"0.8":0,"0.9":0,"1.0":0}]]}
 ---
 public_id: valory/p2p_libp2p_client:0.1.0

diff --git a/packages/valory/services/trader/service.yaml b/packages/valory/services/trader/service.yaml
@@ -7,7 +7,7 @@ license: Apache-2.0
 fingerprint:
   README.md: bafybeigtuothskwyvrhfosps2bu6suauycolj67dpuxqvnicdrdu7yhtvq
 fingerprint_ignore_patterns: []
-agent: valory/trader:0.1.0:bafybeidcovbb3efuufbeldvmhn3khpl57nq6srhwakxzj4h56duggyz3tm
+agent: valory/trader:0.1.0:bafybeiejzq4tqdsjzrinmmcvsahsdzztefc73wvobnrpggxslp3p3lg76u
 number_of_agents: 4
 deployment: {}
 ---

diff --git a/strategies/kelly_criterion.py b/strategies/kelly_criterion.py
@@ -21,17 +21,22 @@
 
 from typing import Dict, Any, List, Union
 
-REQUIRED_FIELDS = (
-    # the fraction of the calculated kelly bet amount to use for placing the bet
-    "bet_kelly_fraction",
-    "bankroll",
-    "win_probability",
-    "confidence",
-    "selected_type_tokens_in_pool",
-    "other_tokens_in_pool",
-    "bet_fee",
-    "floor_balance",
+REQUIRED_FIELDS = frozenset(
+    {
+        # the fraction of the calculated kelly bet amount to use for placing the bet
+        "bet_kelly_fraction",
+        "bankroll",
+        "win_probability",
+        "confidence",
+        "selected_type_tokens_in_pool",
+        "other_tokens_in_pool",
+        "bet_fee",
+        "floor_balance",
+    }
 )
+OPTIONAL_FIELDS = frozenset({"max_bet"})
+ALL_FIELDS = REQUIRED_FIELDS.union(OPTIONAL_FIELDS)
+DEFAULT_MAX_BET = 8e17
 
 
 def check_missing_fields(kwargs: Dict[str, Any]) -> List[str]:
@@ -45,7 +50,7 @@ def check_missing_fields(kwargs: Dict[str, Any]) -> List[str]:
 
 def remove_irrelevant_fields(kwargs: Dict[str, Any]) -> Dict[str, Any]:
     """Remove the irrelevant fields from the given kwargs."""
-    return {key: value for key, value in kwargs.items() if key in REQUIRED_FIELDS}
+    return {key: value for key, value in kwargs.items() if key in ALL_FIELDS}
 
 
 def calculate_kelly_bet_amount(
@@ -102,10 +107,12 @@ def get_bet_amount_kelly(  # pylint: disable=too-many-arguments
     other_tokens_in_pool: int,
     bet_fee: int,
     floor_balance: int,
+    max_bet: int = DEFAULT_MAX_BET,
 ) -> Dict[str, Union[int, List[str]]]:
     """Calculate the Kelly bet amount."""
     # keep `floor_balance` xDAI in the bankroll
     bankroll_adj = bankroll - floor_balance
+    bankroll_adj = min(bankroll_adj, max_bet)
     bankroll_adj_xdai = wei_to_native(bankroll_adj)
     info = [f"Adjusted bankroll: {bankroll_adj_xdai} xDAI."]
     error = []