Merge pull request #147 from valory-xyz/fix/kelly

Fix/kelly

packages/packages.json

@@ -1,13 +1,13 @@
 {
     "dev": {
         "skill/valory/market_manager_abci/0.1.0": "bafybeigesvgfjjtzxnsofhwutsp4pyclxnn62z2luy4xt7yarm64u6pbti",
-        "skill/valory/decision_maker_abci/0.1.0": "bafybeihuuqnr7egnlak5p23hu6aglo3ih6om2ih42btezylzebayrjah4m",
-        "skill/valory/trader_abci/0.1.0": "bafybeig2ynpufv4jmw4rhii5k4j7gpoesupoufnr6nzgnljeiyxp3vv6lq",
+        "skill/valory/decision_maker_abci/0.1.0": "bafybeifr5sqhtsnj2z4jv2lgcridolfbl23plqdbrdjmg2wyltmgr3zsui",
+        "skill/valory/trader_abci/0.1.0": "bafybeih72cnauzvc4lhpxjwyqxhx2vfxoztucfast7jyl6oqgbaqcctop4",
         "contract/valory/market_maker/0.1.0": "bafybeih4r35d3plsjw56ham6xvi6dn4semmuihc53lh3qofpwj242rnjkq",
-        "agent/valory/trader/0.1.0": "bafybeifgxbaukxagyzfgzg7me2sdr6w73oe2fjofwpzclogzexsft2alxe",
-        "service/valory/trader/0.1.0": "bafybeifirhjukt7h5ndrbq2kufowmponinvm5q6eos3t6qgzn6mgi4s6ea",
+        "agent/valory/trader/0.1.0": "bafybeibxipsj5g6mkgz5p6an6berhl5lqc7mkuqjhb3khzvgnmegmjam2q",
+        "service/valory/trader/0.1.0": "bafybeida22sohxo25ba5pspp75x6jh53ouhvkozp2ylndfitsd5cqwh5oq",
         "contract/valory/erc20/0.1.0": "bafybeidpjppgs7jlig2gdpdr3a6q3etbejpxrifjhzlcufpo5zf23dqv7y",
-        "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeic56a3mpezdy7ri4onwvoifj725wjep3n5kiqoxa32eel4b7qt6mm",
+        "skill/valory/tx_settlement_multiplexer_abci/0.1.0": "bafybeig6nwyji7tkrpmc227z6p32gu5l3cge3jznjv5j3wzg4jh6x2rj7y",
         "contract/valory/mech/0.1.0": "bafybeigjn4q6mxal2hxzjyzldl4t4aykkpxjnbsgnli2c3xwf6binkmn74",
         "contract/valory/realitio/0.1.0": "bafybeiamgkwwqhray4fs2hlipwxkq7mosmi7ev7jut4vneetaaycc4ruji",
         "contract/valory/realitio_proxy/0.1.0": "bafybeidx37xzjjmapwacedgzhum6grfzhp5vhouz4zu3pvpgdy5pgb2fr4",

packages/valory/agents/trader/aea-config.yaml

@@ -43,10 +43,10 @@ skills:
 - valory/reset_pause_abci:0.1.0:bafybeiflxcl2dtzayyzzddc4f2astzxunyp66meutornanrgeemicdea5q
 - valory/termination_abci:0.1.0:bafybeifazwrksp756h7z42qqfcgi6lya6wmhbx46l7ghlaooe45gqnju7q
 - valory/transaction_settlement_abci:0.1.0:bafybeigxkdujugzvve2dszkwr5kgfx4uhz2epofo4lorbcnthmzfjegwzi
-- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeic56a3mpezdy7ri4onwvoifj725wjep3n5kiqoxa32eel4b7qt6mm
+- valory/tx_settlement_multiplexer_abci:0.1.0:bafybeig6nwyji7tkrpmc227z6p32gu5l3cge3jznjv5j3wzg4jh6x2rj7y
 - valory/market_manager_abci:0.1.0:bafybeigesvgfjjtzxnsofhwutsp4pyclxnn62z2luy4xt7yarm64u6pbti
-- valory/decision_maker_abci:0.1.0:bafybeihuuqnr7egnlak5p23hu6aglo3ih6om2ih42btezylzebayrjah4m
-- valory/trader_abci:0.1.0:bafybeig2ynpufv4jmw4rhii5k4j7gpoesupoufnr6nzgnljeiyxp3vv6lq
+- valory/decision_maker_abci:0.1.0:bafybeifr5sqhtsnj2z4jv2lgcridolfbl23plqdbrdjmg2wyltmgr3zsui
+- valory/trader_abci:0.1.0:bafybeih72cnauzvc4lhpxjwyqxhx2vfxoztucfast7jyl6oqgbaqcctop4
 - valory/staking_abci:0.1.0:bafybeifoejd5q6wgmqohhwp46uwk3g4ysr7f5mf2fbmjhxulwzwdy2udui
 default_ledger: ethereum
 required_ledgers:

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:bafybeifgxbaukxagyzfgzg7me2sdr6w73oe2fjofwpzclogzexsft2alxe
+agent: valory/trader:0.1.0:bafybeibxipsj5g6mkgz5p6an6berhl5lqc7mkuqjhb3khzvgnmegmjam2q
 number_of_agents: 4
 deployment: {}
 ---

packages/valory/skills/decision_maker_abci/behaviours/base.py

@@ -42,6 +42,7 @@
 from packages.valory.skills.decision_maker_abci.models import (
     DecisionMakerParams,
     MultisendBatch,
+    STRATEGY_BET_AMOUNT_PER_CONF_THRESHOLD,
     SharedState,
 )
 from packages.valory.skills.decision_maker_abci.policy import EGreedyPolicy
@@ -61,7 +62,6 @@
 SAFE_GAS = 0
 CID_PREFIX = "f01701220"
 WXDAI = "0xe91D153E0b41518A2Ce8Dd3D7944Fa863463a97d"
-EPSILON = 1e-7
 
 
 def remove_fraction_wei(amount: int, fraction: float) -> int:
@@ -72,6 +72,46 @@ def remove_fraction_wei(amount: int, fraction: float) -> int:
     raise ValueError(f"The given fraction {fraction!r} is not in the range [0, 1].")
 
 
+def calculate_kelly_bet_amount(
+    x: int, y: int, p: float, c: float, b: int, f: float
+) -> int:
+    """Calculate the Kelly bet amount."""
+    if b == 0:
+        return 0
+    numerator = (
+        -4 * x**2 * y
+        + b * y**2 * p * c * f
+        + 2 * b * x * y * p * c * f
+        + b * x**2 * p * c * f
+        - 2 * b * y**2 * f
+        - 2 * b * x * y * f
+        + (
+            (
+                4 * x**2 * y
+                - b * y**2 * p * c * f
+                - 2 * b * x * y * p * c * f
+                - b * x**2 * p * c * f
+                + 2 * b * y**2 * f
+                + 2 * b * x * y * f
+            )
+            ** 2
+            - (
+                4
+                * (x**2 * f - y**2 * f)
+                * (
+                    -4 * b * x * y**2 * p * c
+                    - 4 * b * x**2 * y * p * c
+                    + 4 * b * x * y**2
+                )
+            )
+        )
+        ** (1 / 2)
+    )
+    denominator = 2 * (x**2 * f - y**2 * f)
+    kelly_bet_amount = numerator / denominator
+    return int(kelly_bet_amount)
+
+
 class DecisionMakerBaseBehaviour(BaseBehaviour, ABC):
     """Represents the base class for the decision-making FSM behaviour."""
 
@@ -216,45 +256,6 @@ def check_balance(self) -> WaitableConditionType:
         self.context.logger.info(f"The safe has {native} xDAI and {collateral}.")
         return True
 
-    def _calculate_kelly_bet_amount(
-        self, x: int, y: int, p: float, c: float, b: int, f: float
-    ) -> int:
-        """Calculate the Kelly bet amount."""
-        if b == 0:
-            error = "Cannot calculate Kelly bet amount with no bankroll."
-            self.context.logger.error(error)
-            return 0
-        kelly_bet_amount = (
-            -4 * x**2 * y
-            + b * y**2 * p * c * f
-            + 2 * b * x * y * p * c * f
-            + b * x**2 * p * c * f
-            - 2 * b * y**2 * f
-            - 2 * b * x * y * f
-            + (
-                (
-                    4 * x**2 * y
-                    - b * y**2 * p * c * f
-                    - 2 * b * x * y * p * c * f
-                    - b * x**2 * p * c * f
-                    + 2 * b * y**2 * f
-                    + 2 * b * x * y * f
-                )
-                ** 2
-                - (
-                    4
-                    * (x**2 * f - y**2 * f)
-                    * (
-                        -4 * b * x * y**2 * p * c
-                        - 4 * b * x**2 * y * p * c
-                        + 4 * b * x * y**2
-                    )
-                )
-            )
-            ** (1 / 2)
-        ) / (2 * (x**2 * f - y**2 * f) + EPSILON)
-        return int(kelly_bet_amount)
-
     def get_max_bet_amount(self, a: int, x: int, y: int, f: float) -> int:
         """Get max bet amount based on available shares."""
         if x**2 * f**2 + 2 * x * y * f**2 + y**2 * f**2 == 0:
@@ -293,17 +294,18 @@ def get_bet_amount(
     ) -> Generator[None, None, int]:
         """Get the bet amount given a specified trading strategy."""
 
-        if strategy == "bet_amount_per_conf_threshold":
+        # Kelly Criterion does not trade for equally weighted pools.
+        if (
+            strategy == STRATEGY_BET_AMOUNT_PER_CONF_THRESHOLD
+            or selected_type_tokens_in_pool == other_tokens_in_pool
+        ):
             self.context.logger.info(
                 "Used trading strategy: Bet amount per confidence threshold"
             )
             threshold = round(confidence, 1)
             bet_amount = self.params.bet_amount_per_threshold[threshold]
             return bet_amount
 
-        if strategy != "kelly_criterion":
-            raise ValueError(f"Invalid trading strategy: {strategy}")
-
         self.context.logger.info("Used trading strategy: Kelly Criterion")
         # bankroll: the max amount of DAI available to trade
         yield from self.wait_for_condition_with_sleep(self.check_balance)
@@ -323,7 +325,10 @@ def get_bet_amount(
 
         fee_fraction = 1 - self.wei_to_native(bet_fee)
         self.context.logger.info(f"Fee fraction: {fee_fraction}")
-        kelly_bet_amount = self._calculate_kelly_bet_amount(
+        if bankroll_adj == 0:
+            error = "Cannot calculate Kelly bet amount with no bankroll."
+            self.context.logger.error(error)
+        kelly_bet_amount = calculate_kelly_bet_amount(
             selected_type_tokens_in_pool,
             other_tokens_in_pool,
             win_probability,

packages/valory/skills/decision_maker_abci/behaviours/reedem.py

@@ -435,10 +435,11 @@ def _check_already_redeemed(self) -> WaitableConditionType:
             if not result:
                 n_retries += 1
                 keep_fraction = (1 - self.params.reduce_factor) ** n_retries
-                step = int(batch_size * keep_fraction)
-                msg = f"Repeating this call with a decreased batch size of {step}."
+                batch_size = int(self.params.event_filtering_batch_size * keep_fraction)
+                msg = (
+                    f"Repeating this call with a decreased batch size of {batch_size}."
+                )
                 self.context.logger.warning(msg)
-                from_block += step
                 continue
 
             self.redeeming_progress.payouts.update(self.payouts_batch)
@@ -568,10 +569,11 @@ def get_claim_params(self) -> WaitableConditionType:
             if not result:
                 n_retries += 1
                 keep_fraction = (1 - self.params.reduce_factor) ** n_retries
-                step = int(batch_size * keep_fraction)
-                msg = f"Repeating this call with a decreased batch size of {step}."
+                batch_size = int(self.params.event_filtering_batch_size * keep_fraction)
+                msg = (
+                    f"Repeating this call with a decreased batch size of {batch_size}."
+                )
                 self.context.logger.warning(msg)
-                from_block += step
                 continue
 
             self.redeeming_progress.answered.extend(self.claim_params_batch)
@@ -769,6 +771,7 @@ def async_act(self) -> Generator:
                 self.context.logger.info(msg)
                 self._load_progress()
 
+            success = False
             if not self.redeeming_progress.check_finished:
                 success = yield from self._clean_redeem_info()
 

packages/valory/skills/decision_maker_abci/models.py

@@ -58,6 +58,8 @@
 DEFAULT_FROM_BLOCK = "earliest"
 ZERO_HEX = HASH_ZERO[2:]
 ZERO_BYTES = bytes.fromhex(ZERO_HEX)
+STRATEGY_BET_AMOUNT_PER_CONF_THRESHOLD = "bet_amount_per_conf_threshold"
+STRATEGY_KELLY_CRITERION = "kelly_criterion"
 
 
 class PromptTemplate(Template):
@@ -178,6 +180,13 @@ def __init__(self, *args: Any, **kwargs: Any) -> None:
 
         # the trading strategy to use for placing bets
         self.trading_strategy: str = self._ensure("trading_strategy", kwargs, str)
+        if self.trading_strategy not in [
+            STRATEGY_BET_AMOUNT_PER_CONF_THRESHOLD,
+            STRATEGY_KELLY_CRITERION,
+        ]:
+            raise ValueError(
+                f"The trading strategy {self.trading_strategy} is not supported!"
+            )
         # the factor of calculated kelly bet to use for placing bets
         self.bet_kelly_fraction: float = self._ensure(
             "bet_kelly_fraction", kwargs, float
@@ -235,7 +244,7 @@ def __init__(self, *args: Any, **kwargs: Any) -> None:
     @property
     def using_kelly(self) -> bool:
         """Get the max bet amount if the `bet_amount_per_conf_threshold` strategy is used."""
-        return self.trading_strategy == "kelly_criterion"
+        return self.trading_strategy == STRATEGY_KELLY_CRITERION
 
     @property
     def max_bet_amount(self) -> int:

packages/valory/skills/decision_maker_abci/skill.yaml

@@ -12,20 +12,20 @@ fingerprint:
   README.md: bafybeia367zzdwndvlhw27rvnwodytjo3ms7gbc3q7mhrrjqjgfasnk47i
   __init__.py: bafybeih563ujnigeci2ldzh7hakbau6a222vsed7leg3b7lq32vcn3nm4a
   behaviours/__init__.py: bafybeih6ddz2ocvm6x6ytvlbcz6oi4snb5ee5xh5h65nq4w2qf7fd7zfky
-  behaviours/base.py: bafybeicu45h2jj6u462shnb3e7nrp7aynt6ezgpbznpyyjrkjtkkxnht3u
+  behaviours/base.py: bafybeifwz5zbbaia4q4oll6cldtvt47w2hw2qadptkmmtovmitzgpizyki
   behaviours/bet_placement.py: bafybeigtz4uimsqjjwq4r5p3a5v6niqdtqezbuf2ghy6o7syhsh4k5gjfa
   behaviours/blacklisting.py: bafybeicl6b4hcmqmekta2mcuhkkydnzk7jmic6k44e6ns3u2ibad3awzvu
   behaviours/decision_receive.py: bafybeifacce2ke7oltnwnpdjdqfd74eaaw5wxnjfzk6c5tqdsxsmbzjj3m
   behaviours/decision_request.py: bafybeievr7vae43e7jr4eqqhwe3emvgiih7ysa66jcb5g2oz5lbxua232q
   behaviours/handle_failed_tx.py: bafybeidxpc6u575ymct5tdwutvzov6zqfdoio5irgldn3fw7q3lg36mmxm
-  behaviours/reedem.py: bafybeifgsgp655ml4om4ko3j24hqzwjdqcnobiege4lpy5roen5omxtnby
+  behaviours/reedem.py: bafybeia2xoyrlbh55tv227hezqjck75irk6vmnpglw4lqfpx22a7bsjl4q
   behaviours/round_behaviour.py: bafybeig4tdktyu6hapoqymnxh2bgpds547st6a44heue657wkctwe4gjvm
   behaviours/sampling.py: bafybeifzhm4sspdvt227ksl5hjn26offgqpwempgbcwbr6dq7gyi2a46sm
   behaviours/tool_selection.py: bafybeigfr2frkljrxyfxs5p3j42equzehgaqtkyuxk6eiujyudr6ajqakm
   dialogues.py: bafybeigpwuzku3we7axmxeamg7vn656maww6emuztau5pg3ebsoquyfdqm
   fsm_specification.yaml: bafybeifnob3ceim2mj7lqagtnpwqjqqxs5eg3oiwc73gwm6x5i2dvvlcya
   handlers.py: bafybeihj33szgrcxnpd73s4nvluyxwwsvhjum2cuq3ilhhe6vfola3k7vy
-  models.py: bafybeifskab7b3nqalkenjgk745ky4h7bsqar73zzvrnygymhjl4qxl2ga
+  models.py: bafybeifvohs24ddh5lujdx6rgmulzoovs3dmmsza3vieugstq3idv2iday
   payloads.py: bafybeifhq6stu4vp2ef4qvihxgpos3yc2zcuaja2safwt7efdidoejgvqa
   policy.py: bafybeidpmx4ek3qze63zpuwixyf6t7bdv62ewgkzt3ljrzadiwdw64cueq
   redeem_info.py: bafybeibddfxwp3577c3dl2utaowwltquu5fg6crezpumoebw563wxpbfrm
@@ -41,6 +41,9 @@ fingerprint:
   states/redeem.py: bafybeib2y6v3vuvw3upjz75ie7j2bkhclwzp7j77esunabjatdtmdvzqlm
   states/sampling.py: bafybeidnvdogjlthjfe7jpaiuezm3xydrbxxukyoss4gx6t5fdin52rsta
   states/tool_selection.py: bafybeiaaijv6dukp3bmsptcwkcmumc6wu6ztzkvaqzsqqjbfn4ozgyuykq
+  tests/__init__.py: bafybeiakpi3k3kc7wrjj7hrluvjcj36lu2gezpmrctwiz5yg2fe7ggnf3i
+  tests/conftest.py: bafybeic2xlujtbkyqk2zzpo5vorefwa3nwgfwmrk5rx77vu4gfyrn3pv5m
+  tests/test_behaviours.py: bafybeigfrzuqlxok7zmkyjd4t2p6wovmenx7n3zo7xu5jprv46jkzp2kqa
 fingerprint_ignore_patterns: []
 connections: []
 contracts:
@@ -243,6 +246,8 @@ models:
 dependencies:
   hexbytes:
     version: ==0.3.1
+  hypothesis:
+    version: ==6.21.6
   py-multibase:
     version: ==1.0.3
   py-multicodec:

packages/valory/skills/decision_maker_abci/tests/__init__.py

@@ -0,0 +1,25 @@
+# -*- coding: utf-8 -*-
+# ------------------------------------------------------------------------------
+#
+#   Copyright 2021-2023 Valory AG
+#
+#   Licensed under the Apache License, Version 2.0 (the "License");
+#   you may not use this file except in compliance with the License.
+#   You may obtain a copy of the License at
+#
+#       http://www.apache.org/licenses/LICENSE-2.0
+#
+#   Unless required by applicable law or agreed to in writing, software
+#   distributed under the License is distributed on an "AS IS" BASIS,
+#   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#   See the License for the specific language governing permissions and
+#   limitations under the License.
+#
+# ------------------------------------------------------------------------------
+
+"""This module contains the tests for valory/decision_maker_abci."""
+
+from aea.configurations.base import PublicId
+
+
+PUBLIC_ID = PublicId.from_str("valory/decision_maker_abci:0.1.0")

packages/valory/skills/decision_maker_abci/tests/conftest.py

@@ -0,0 +1,34 @@
+# -*- coding: utf-8 -*-
+# ------------------------------------------------------------------------------
+#
+#   Copyright 2021-2023 Valory AG
+#
+#   Licensed under the Apache License, Version 2.0 (the "License");
+#   you may not use this file except in compliance with the License.
+#   You may obtain a copy of the License at
+#
+#       http://www.apache.org/licenses/LICENSE-2.0
+#
+#   Unless required by applicable law or agreed to in writing, software
+#   distributed under the License is distributed on an "AS IS" BASIS,
+#   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#   See the License for the specific language governing permissions and
+#   limitations under the License.
+#
+# ------------------------------------------------------------------------------
+
+"""Conftest module for io tests."""
+
+import os
+from pathlib import Path
+
+from hypothesis import settings
+
+
+# pylint: skip-file
+
+
+CI = "CI"
+PACKAGE_DIR = Path(__file__).parent.parent
+settings.register_profile(CI, deadline=5000)
+profile_name = ("default", "CI")[bool(os.getenv("CI"))]