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rmms-py

Python simulator to test implementation of the RMMS paper results.

https://github.com/primitivefinance/rmms-py

Science Score: 44.0%

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    Low similarity (9.0%) to scientific vocabulary
Last synced: 10 months ago · JSON representation ·

Repository

Python simulator to test implementation of the RMMS paper results.

Basic Info
  • Host: GitHub
  • Owner: primitivefinance
  • Language: Python
  • Default Branch: master
  • Size: 829 KB
Statistics
  • Stars: 56
  • Watchers: 10
  • Forks: 13
  • Open Issues: 0
  • Releases: 0
Created about 5 years ago · Last pushed about 4 years ago
Metadata Files
Readme Citation

README.md

RMMS simulations

This project is intended to investigate the replication of payoffs using custom Constant Function Market Makers (CFMMs) in the spirit of the 2021 paper from Angeris, Evans and Chitra. For now it only focuses on the Covered Call replication. The project is organized as follows:

modules contains all the simulation toolkit. In particular:

  • modules/arb.py implements the optimal arbitrage logic.
  • modules/cfmm.py implements the actual CFMM pool logic.
  • modules/utils.py contains a number of utility functions (math, geometric brownian motion generation).
  • modules/simulate.py is simply the function used to run an individual simulation.
  • modules/optimize_fee.py contains the logic required to find the optimal fee given some market and pool parameters.

simulation.py is a script used to run individual simulations whose parameters are specified in the config.ini file.

optimal_fees_parallel.py is a script to run an actual fee optimization routine for a prescribed parameter space (to be specified within the script itself).

optimal_fees_visualization.py is a script that generates a visual representation of the output of a fee optimization routine.

error_distribution.py is a script to plot the distribution of errors given some market and pool parameters for different fee regimes.

All the different functions and design choices are documented in a separate document.

Requirements

pip install numpy, pip install scipy, pip install matplotlib, pip install joblib

Owner

  • Name: Primitive
  • Login: primitivefinance
  • Kind: organization
  • Email: security@primitive.xyz

Citation (CITATION.cff) 

cff-version: 1.2.0
message: "If you use this software, please cite it as below."
authors:
- family-names: "Experience"
  given-names: "Experience"
title: "rmms-py"
version: 1.0.0
date-released: 2022-04-23
url: "https://github.com/primitivefinance/rmms-py"

GitHub Events

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  • Watch event: 1
Last Year
  • Watch event: 1

Issues and Pull Requests

Last synced: over 1 year ago

All Time
  • Total issues: 1
  • Total pull requests: 4
  • Average time to close issues: 3 days
  • Average time to close pull requests: about 13 hours
  • Total issue authors: 1
  • Total pull request authors: 3
  • Average comments per issue: 1.0
  • Average comments per pull request: 0.25
  • Merged pull requests: 4
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 0
  • Pull requests: 0
  • Average time to close issues: N/A
  • Average time to close pull requests: N/A
  • Issue authors: 0
  • Pull request authors: 0
  • Average comments per issue: 0
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
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Top Authors
Issue Authors
  • neandertha1er (1)
Pull Request Authors
  • 0xJepsen (2)
  • neandertha1er (1)
  • experiencedft (1)
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