Auto-verify that buy trades wouldn't cause guaranted loss (#488)

prediction_market_agent_tooling/deploy/betting_strategy.py

@@ -47,6 +47,26 @@ def assert_trades_currency_match_markets(
                 "Cannot handle trades with currencies that deviate from market's currency"
             )
 
+    @staticmethod
+    def assert_buy_trade_wont_be_guaranteed_loss(
+        market: AgentMarket, trades: list[Trade]
+    ) -> None:
+        for trade in trades:
+            if trade.trade_type == TradeType.BUY:
+                outcome_tokens_to_get = market.get_buy_token_amount(
+                    trade.amount, trade.outcome
+                )
+
+                if outcome_tokens_to_get.amount < trade.amount.amount:
+                    raise RuntimeError(
+                        f"Trade {trade=} would result in guaranteed loss by getting only {outcome_tokens_to_get=}."
+                    )
+
+    @staticmethod
+    def check_trades(market: AgentMarket, trades: list[Trade]) -> None:
+        BettingStrategy.assert_trades_currency_match_markets(market, trades)
+        BettingStrategy.assert_buy_trade_wont_be_guaranteed_loss(market, trades)
+
     def _build_rebalance_trades_from_positions(
         self,
         existing_position: Position | None,
@@ -95,7 +115,10 @@ def _build_rebalance_trades_from_positions(
 
         # Sort inplace with SELL last
         trades.sort(key=lambda t: t.trade_type == TradeType.SELL)
-        BettingStrategy.assert_trades_currency_match_markets(market, trades)
+
+        # Run some sanity checks to not place unreasonable bets.
+        BettingStrategy.check_trades(market, trades)
+
         return trades
 
 

prediction_market_agent_tooling/markets/agent_market.py

@@ -176,6 +176,11 @@ def place_bet(self, outcome: bool, amount: BetAmount) -> str:
     def buy_tokens(self, outcome: bool, amount: TokenAmount) -> str:
         return self.place_bet(outcome=outcome, amount=amount)
 
+    def get_buy_token_amount(
+        self, bet_amount: BetAmount, direction: bool
+    ) -> TokenAmount:
+        raise NotImplementedError("Subclasses must implement this method")
+
     def sell_tokens(self, outcome: bool, amount: TokenAmount) -> str:
         raise NotImplementedError("Subclasses must implement this method")
 

tests/test_betting_strategy.py

@@ -1,19 +1,38 @@
+from datetime import timedelta
 from unittest.mock import Mock
 
 import pytest
+from web3 import Web3
 
 from prediction_market_agent_tooling.deploy.betting_strategy import (
+    BettingStrategy,
     MaxAccuracyBettingStrategy,
 )
-from prediction_market_agent_tooling.gtypes import Probability
+from prediction_market_agent_tooling.gtypes import (
+    HexAddress,
+    HexBytes,
+    HexStr,
+    Probability,
+)
 from prediction_market_agent_tooling.markets.data_models import (
     Currency,
     Position,
     ProbabilisticAnswer,
     TokenAmount,
     TradeType,
 )
-from prediction_market_agent_tooling.markets.omen.omen import OmenAgentMarket
+from prediction_market_agent_tooling.markets.omen.data_models import (
+    OMEN_BINARY_MARKET_OUTCOMES,
+)
+from prediction_market_agent_tooling.markets.omen.omen import (
+    Condition,
+    MarketFees,
+    OmenAgentMarket,
+)
+from prediction_market_agent_tooling.markets.omen.omen_contracts import (
+    WrappedxDaiContract,
+)
+from prediction_market_agent_tooling.tools.utils import utcnow
 
 
 @pytest.mark.parametrize(
@@ -34,6 +53,7 @@ def test_answer_decision(
 def test_rebalance() -> None:
     tiny_amount = TokenAmount(amount=0.0001, currency=Currency.xDai)
     mock_amount = TokenAmount(amount=5, currency=Currency.xDai)
+    liquidity_amount = TokenAmount(amount=100, currency=Currency.xDai)
     mock_existing_position = Position(
         market_id="0x123",
         amounts={
@@ -42,10 +62,13 @@ def test_rebalance() -> None:
         },
     )
     bet_amount = tiny_amount.amount + mock_existing_position.total_amount.amount
+    buy_token_amount = TokenAmount(amount=10, currency=Currency.xDai)
     strategy = MaxAccuracyBettingStrategy(bet_amount=bet_amount)
     mock_answer = ProbabilisticAnswer(p_yes=Probability(0.9), confidence=0.5)
     mock_market = Mock(OmenAgentMarket, wraps=OmenAgentMarket)
+    mock_market.get_liquidity.return_value = liquidity_amount
     mock_market.get_tiny_bet_amount.return_value = tiny_amount
+    mock_market.get_buy_token_amount.return_value = buy_token_amount
     mock_market.current_p_yes = 0.5
     mock_market.currency = Currency.xDai
     mock_market.id = "0x123"
@@ -60,3 +83,70 @@ def test_rebalance() -> None:
     sell_trade = trades[1]
     assert sell_trade.trade_type == TradeType.SELL
     assert sell_trade.amount.amount == mock_amount.amount
+
+
+@pytest.mark.parametrize(
+    "strategy, liquidity, bet_proportion_fee, should_raise",
+    [
+        (
+            MaxAccuracyBettingStrategy(bet_amount=100),
+            1,
+            0.02,
+            True,  # Should raise because fee will eat the profit.
+        ),
+        (
+            MaxAccuracyBettingStrategy(bet_amount=100),
+            10,
+            0.02,
+            False,  # Should be okay, because liquidity + fee combo is reasonable.
+        ),
+        (
+            MaxAccuracyBettingStrategy(bet_amount=100),
+            10,
+            0.5,
+            True,  # Should raise because fee will eat the profit.
+        ),
+    ],
+)
+def test_attacking_market(
+    strategy: BettingStrategy,
+    liquidity: float,
+    bet_proportion_fee: float,
+    should_raise: bool,
+) -> None:
+    """
+    Test if markets with unreasonably low liquidity and/or high fees won't put agent into immediate loss.
+    """
+    market = OmenAgentMarket(
+        id="0x0",
+        question="How you doing?",
+        outcomes=OMEN_BINARY_MARKET_OUTCOMES,
+        resolution=None,
+        url="",
+        volume=None,
+        creator=HexAddress(HexStr("0x0")),
+        collateral_token_contract_address_checksummed=WrappedxDaiContract().address,
+        market_maker_contract_address_checksummed=Web3.to_checksum_address(
+            "0x0000000000000000000000000000000000000001"
+        ),
+        condition=Condition(
+            id=HexBytes("0x0"), outcomeSlotCount=len(OMEN_BINARY_MARKET_OUTCOMES)
+        ),
+        finalized_time=None,
+        created_time=utcnow(),
+        close_time=utcnow() + timedelta(days=3),
+        current_p_yes=Probability(0.5),
+        outcome_token_pool={
+            OMEN_BINARY_MARKET_OUTCOMES[0]: liquidity,
+            OMEN_BINARY_MARKET_OUTCOMES[1]: liquidity,
+        },
+        fees=MarketFees.get_zero_fees(bet_proportion=bet_proportion_fee),
+    )
+    answer = ProbabilisticAnswer(p_yes=Probability(0.9), confidence=1.0)
+
+    try:
+        trades = strategy.calculate_trades(None, answer, market)
+        assert not should_raise, "Should not have raised and return trades normally."
+        assert trades, "No trades available."
+    except Exception:
+        assert should_raise, "Should have raise to prevent placing of bet."