Draft
Conversation
Author
|
Here is a MWE to reproduce the issue #=
# Liquidating a basket of tokens
This example illustrates how to use CFMMRouter.jl to liquidate a basket of tokens.
=#
using CFMMRouter
using LinearAlgebra
## Create CFMMs
cfmms = [
ProductTwoCoin([14e3, 15e6], 0.99, [1, 2]),
ProductTwoCoin([19e3, 11e6], 0.99, [1, 2]),
]
Δin = [0, 3000]
## Build a routing problem with liquidation objective
router = Router(
BasketLiquidation(1, Δin),
cfmms,
maximum([maximum(cfmm.Ai) for cfmm in cfmms]),
)
## Optimize!
route!(router)
## Print results
Ψ = round.(Int, netflows(router))
println("Input Basket: $(round.(Int, Δin))")
println("Net trade: $Ψ")
println("Amount recieved: $(Ψ[1])")
#=
We can also see the list of individual trades with each CFMM:
=#
## Print individual trades
for (i, (Δ, Λ)) in enumerate(zip(router.Δs, router.Λs))
tokens = router.cfmms[i].Ai
println("CFMM $i:")
println("\tTendered basket:")
for (ind, δ) in enumerate(Δ)
if δ > eps()
print("\t $(tokens[ind]): $(round(Int, δ)), ")
end
end
println("\n\tRecieved basket:")
for (ind, λ) in enumerate(Λ)
if λ > eps()
print("\t $(tokens[ind]): $(round(Int, λ)), ")
end
end
print("\n")
endWithout the fix, this computes: |
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
There are certain issues with limits in the BasketLiquidation objective:
i <= length(Δin))instead ofi < length(Δin)It is intended to fix these in this PR.