Add monte-carlo scenario generator to simulator.

bancor_research/__init__.py

@@ -83,4 +83,4 @@ def read_price_feeds(price_feeds_path: str):
     price_feeds.columns = [col.lower() for col in price_feeds.columns]
     return price_feeds
 
-__version__ = "2.0.3"
+__version__ = "3.0.8"

bancor_research/bancor_simulator/__init__.py

@@ -4,15 +4,4 @@
 # --------------------------------------------------------------------------------------------------------------------
 """Spec and agent-based simulation modules for Bancor v3."""
 
-import warnings
-
 import bancor_research.bancor_simulator.v3.spec
-
-with warnings.catch_warnings():
-    warnings.simplefilter("ignore", FutureWarning)
-    warnings.simplefilter("ignore", DeprecationWarning)
-
-warnings.filterwarnings("ignore", category=FutureWarning)
-warnings.filterwarnings("ignore", category=DeprecationWarning)
-
-__version__ = "2.0.2"

bancor_research/bancor_simulator/v3/spec/actions.py

@@ -212,11 +212,12 @@ def trade_bnt_for_tkn(
         direction,
     )
 
-    if tkn_name in state.rolling_trade_fees:
-        state.rolling_trade_fees[tkn_name].append(trade_fee)
-    else:
-        state.rolling_trade_fees[tkn_name] = []
-        state.rolling_trade_fees[tkn_name].append(trade_fee)
+    if trade_fee > 0:
+        if tkn_name in state.rolling_trade_fees:
+            state.rolling_trade_fees[tkn_name].append(trade_fee)
+        else:
+            state.rolling_trade_fees[tkn_name] = []
+            state.rolling_trade_fees[tkn_name].append(trade_fee)
 
     bnt_collected_by_vortex = vortex_collection(
         bnt_trading_liquidity,
@@ -275,11 +276,12 @@ def trade_tkn_for_bnt(
         direction,
     )
 
-    if tkn_name in state.rolling_trade_fees:
-        state.rolling_trade_fees[tkn_name].append(trade_fee)
-    else:
-        state.rolling_trade_fees[tkn_name] = []
-        state.rolling_trade_fees[tkn_name].append(trade_fee)
+    if trade_fee > 0:
+        if tkn_name in state.rolling_trade_fees:
+            state.rolling_trade_fees[tkn_name].append(trade_fee)
+        else:
+            state.rolling_trade_fees[tkn_name] = []
+            state.rolling_trade_fees[tkn_name].append(trade_fee)
 
     bnt_collected_by_vortex = vortex_collection(
         bnt_trading_liquidity,

bancor_research/bancor_simulator/v3/spec/state.py

@@ -41,14 +41,25 @@ def __init__(self, balance: Decimal = Decimal("0")):
 
     def add(self, value: Decimal):
         self.validate_balance()
+        new_balance = self.balance + self.validate(value)
+        assert new_balance >= 0, ValueError(
+            "Balance must be non-negative. Cannot complete operation."
+        )
         self.balance += self.validate(value)
 
     def subtract(self, value: Decimal):
         self.validate_balance()
+        new_balance = self.balance - self.validate(value)
+        assert new_balance >= 0, ValueError(
+            "Balance must be non-negative. Cannot complete operation."
+        )
         self.balance -= self.validate(value)
 
     def set(self, value: Decimal):
         self.validate_balance()
+        assert self.validate(value) >= 0, ValueError(
+            "Balance must be non-negative. Cannot complete operation."
+        )
         self.balance = self.validate(value)
 
     def validate(self, value) -> Decimal:
@@ -710,6 +721,12 @@ def set_staked_balance(self, tkn_name: str, value: Decimal):
         """
         self.tokens[tkn_name].staking_ledger.set(value)
 
+    def set_master_vault_balance(self, tkn_name: str, value: Decimal):
+        """
+        Set the master_vault_balance balance to a given amount.
+        """
+        self.tokens[tkn_name].master_vault.set(value)
+
     def set_protocol_wallet_balance(self, tkn_name: str, value: Decimal):
         """
         Set the protocol_wallet balance to a given amount.

bancor_research/bancor_simulator/v3/spec/utils.py

@@ -204,7 +204,7 @@ def enable_trading(state: State, tkn_name: str) -> State:
     else:
         log = f"Bootstrap requirements *not* met for {tkn_name}"
         state.logger.info(log)
-        raise Exception(log)
+        print(log)
 
     return state
 

bancor_research/scenario_generator/__init__.py

@@ -2,3 +2,4 @@
 # --------------------------------------------------------------------------------------------------------------------
 # Licensed under the MIT LICENSE. See License.txt in the project root for license information.
 # --------------------------------------------------------------------------------------------------------------------
+from .monte_carlo_generator import MonteCarloGenerator