Script: Add bond-calculator.py

Add a new helper module to calculate fidelity bonds values and stats, and a script to use it. The goal is to give as much information as possible to the user before committing to a fidelity bond.
4 years ago · 72bf4474dd
5 changed files with 328 additions and 1 deletions
--- a/docs/fidelity-bonds.md
+++ b/docs/fidelity-bonds.md
@ -208,7 +208,41 @@ miner fees, you can probably wait until fees are low).
 The full details on valuing a time-locked fidelity bond are [found in the relevant section of the
 "Financial mathematics of fidelity bonds" document](https://gist.github.com/chris-belcher/87ebbcbb639686057a389acb9ab3e25b#time-locked-fidelity-bonds).

-At any time you can use the orderbook watcher script to see your own fidelity bond value.
+To see how valuable a bond would be, and to compare it with the orderbook, you can use the `bond-calculator.py` script.
+
+For example (see `-h` option for more):
+
+```
+(jmvenv) $ python3 scripts/bond-calculator.py -o /home/user/Downloads/orderbook.json 1btc
+User data location: /home/user/.joinmarket/
+Amount locked: 100000000 (1.00000000 btc)
+Confirmation time: 2022-06-16 17:29:26.849274
+Interest rate: 0.015 (1.5%)
+Exponent: 1.3
+
+FIDELITY BOND VALUES (BTC^1.3)
+
+See /docs/fidelity-bonds.md for complete formula and more
+
+Locktime: 2022-7
+Bond value: 0.0000000001579529
+Weight: 0.00001 (0.00% of all bonds)
+Top 85% of the orderbook by value
+
+Locktime: 2022-8
+Bond value: 0.0000000007090171
+Weight: 0.00005 (0.00% of all bonds)
+Top 64% of the orderbook by value
+
+Locktime: 2022-9
+Bond value: 0.0000000013980293
+Weight: 0.00010 (0.01% of all bonds)
+Top 59% of the orderbook by value
+
+[...snipped...]
+```
+
+At any time you can use the [orderbook watcher](orderbook.md) script to see your own fidelity bond value, and to download the orderbook in JSON format (`Export orders`).

 Consider also the [warning on the bitcoin wiki page on timelocks](https://en.bitcoin.it/wiki/Timelock#Far-future_locks).

--- a/jmclient/jmclient/init.py
+++ b/jmclient/jmclient/init.py
@ -70,6 +70,7 @@ from .payjoin import (parse_payjoin_setup, send_payjoin,
 from .websocketserver import JmwalletdWebSocketServerFactory, \
     JmwalletdWebSocketServerProtocol
 from .wallet_rpc import JMWalletDaemon
+from .bond_calc import get_bond_values
 # Set default logging handler to avoid "No handler found" warnings.

 try:
--- a/jmclient/jmclient/bond_calc.py
+++ b/jmclient/jmclient/bond_calc.py
@ -0,0 +1,87 @@
+"""
+Utilities to calculate fidelity bonds values and statistics.
+"""
+from bisect import bisect_left
+from datetime import datetime
+from statistics import quantiles
+from typing import Optional, Dict, Any, Mapping, Tuple, List
+
+from jmclient import FidelityBondMixin, jm_single, get_interest_rate
+
+
+def get_next_locktime(dt: datetime) -> datetime:
+    """
+    Return the next valid fidelity bond locktime.
+    """
+    year = dt.year + dt.month // 12
+    month = dt.month % 12 + 1
+    return datetime(year, month, 1)
+
+
+def get_bond_values(amount: int,
+                    months: int,
+                    confirm_time: Optional[float] = None,
+                    interest: Optional[float] = None,
+                    exponent: Optional[float] = None,
+                    orderbook: Optional[Mapping[str, Any]] = None) -> Tuple[Dict[str, Any], List[Dict[str, Any]]]:
+    """
+    Conveniently generate values [and statistics] for multiple possible fidelity bonds.
+
+    Args:
+        amount: Fidelity bond UTXO amount in satoshi
+        months: For how many months to calculate the results
+        confirm_time: Fidelity bond UTXO confirmation time as timestamp, if None, current time is used.
+                      I.e., like if the fidelity bond UTXO with given amount has just confirmed on the blockchain.
+        interest: Interest rate, if None, value is taken from config
+        exponent: Exponent, if None, value is taken from config
+        orderbook: Orderbook data, if given, additional statistics are included in the results.
+    Returns:
+        A tuple with 2 elements.
+         First is a dictionary with all the parameters used to perform fidelity bond calculations.
+         Second is a list of dictionaries, one for each month, with the results.
+    """
+    current_time = datetime.now().timestamp()
+    if confirm_time is None:
+        confirm_time = current_time
+    if interest is None:
+        interest = get_interest_rate()
+    if exponent is None:
+        exponent = jm_single().config.getfloat("POLICY", "bond_value_exponent")
+        use_config_exp = True
+    else:
+        old_exponent = jm_single().config.get("POLICY", "bond_value_exponent")
+        jm_single().config.set("POLICY", "bond_value_exponent", str(exponent))
+        use_config_exp = False
+    if orderbook:
+        bond_values = [fb["bond_value"] for fb in orderbook["fidelitybonds"]]
+        bonds_sum = sum(bond_values)
+        percentiles = quantiles(bond_values, n=100, method="inclusive")
+
+    parameters = {
+        "amount": amount,
+        "confirm_time": confirm_time,
+        "current_time": current_time,
+        "interest": interest,
+        "exponent": exponent,
+    }
+    locktime = get_next_locktime(datetime.fromtimestamp(current_time))
+    results = []
+    for _ in range(months):
+        fb_value = FidelityBondMixin.calculate_timelocked_fidelity_bond_value(
+            amount,
+            confirm_time,
+            locktime.timestamp(),
+            current_time,
+            interest,
+        )
+        result = {"locktime": locktime.timestamp(),
+                  "value": fb_value}
+        if orderbook:
+            result["weight"] = fb_value / (bonds_sum + fb_value)
+            result["percentile"] = 100 - bisect_left(percentiles, fb_value)
+        results.append(result)
+        locktime = get_next_locktime(locktime)
+    if not use_config_exp:
+        # We don't want the modified exponent value to persist in memory, so we reset to whatever it was before
+        jm_single().config.set("POLICY", "bond_value_exponent", old_exponent)
+    return parameters, results
--- a/jmclient/test/test_bond_calc.py
+++ b/jmclient/test/test_bond_calc.py
@ -0,0 +1,73 @@
+from datetime import datetime
+
+import pytest
+from jmclient import jm_single, load_test_config, FidelityBondMixin
+from jmclient.bond_calc import get_next_locktime, get_bond_values
+
+
+@pytest.mark.parametrize(('date', 'next_locktime'),
+                         ((datetime(2022, 1, 1, 1, 1), datetime(2022, 2, 1)),
+                          (datetime(2022, 11, 1, 1, 1), datetime(2022, 12, 1)),
+                          (datetime(2022, 12, 1, 1, 1), datetime(2023, 1, 1))))
+def test_get_next_locktime(date: datetime, next_locktime: datetime) -> None:
+    assert get_next_locktime(date) == next_locktime
+
+
+def test_get_bond_values() -> None:
+    load_test_config()
+    # 1 BTC
+    amount = pow(10, 8)
+    months = 1
+    interest = jm_single().config.getfloat("POLICY", "interest_rate")
+    exponent = jm_single().config.getfloat("POLICY", "bond_value_exponent")
+    parameters, results = get_bond_values(amount, months)
+    assert parameters["amount"] == amount
+    assert parameters["current_time"] == parameters["confirm_time"]
+    assert parameters["interest"] == interest
+    assert parameters["exponent"] == exponent
+    assert len(results) == months
+    locktime = datetime.fromtimestamp(results[0]["locktime"])
+    assert locktime.month == get_next_locktime(datetime.now()).month
+    value = FidelityBondMixin.calculate_timelocked_fidelity_bond_value(
+        parameters["amount"],
+        parameters["confirm_time"],
+        results[0]["locktime"],
+        parameters["current_time"],
+        parameters["interest"],
+    )
+    assert results[0]["value"] == value
+
+    months = 12
+    interest = 0.02
+    exponent = 2
+    confirm_time = datetime(2021, 12, 1).timestamp()
+    parameters, results = get_bond_values(amount,
+                                          months,
+                                          confirm_time,
+                                          interest,
+                                          exponent)
+    assert parameters["amount"] == amount
+    assert parameters["current_time"] != parameters["confirm_time"]
+    assert parameters["confirm_time"] == confirm_time
+    assert parameters["interest"] == interest
+    assert parameters["exponent"] == exponent
+    assert len(results) == months
+    current_time = datetime.now()
+    # get_bond_values(), at the end, reset the exponent to the config one.
+    # So we have to set the exponent here, otherwise the bond value calculation
+    # won't match and the assert would fail.
+    old_exponent = jm_single().config.get("POLICY", "bond_value_exponent")
+    jm_single().config.set("POLICY", "bond_value_exponent", str(exponent))
+    for result in results:
+        locktime = datetime.fromtimestamp(result["locktime"])
+        assert locktime.month == get_next_locktime(current_time).month
+        current_time = locktime
+        value = FidelityBondMixin.calculate_timelocked_fidelity_bond_value(
+            parameters["amount"],
+            parameters["confirm_time"],
+            result["locktime"],
+            parameters["current_time"],
+            parameters["interest"],
+        )
+        assert result["value"] == value
+    jm_single().config.set("POLICY", "bond_value_exponent", old_exponent)
--- a/scripts/bond-calculator.py
+++ b/scripts/bond-calculator.py
@ -0,0 +1,132 @@
+#!/usr/bin/env python3
+import sys
+from datetime import datetime
+from decimal import Decimal
+from json import loads
+from optparse import OptionParser
+
+from jmbase import EXIT_ARGERROR, jmprint, get_log, utxostr_to_utxo, EXIT_FAILURE
+from jmbitcoin import amount_to_sat, sat_to_btc
+from jmclient import add_base_options, load_program_config, jm_single, get_bond_values
+
+DESCRIPTION = """Given either a Bitcoin UTXO in the form TXID:n
+(e.g., 0e3e2357e806b6cdb1f70b54c3a3a17b6714ee1f0e68bebb44a74b1efd512098:0)
+or an amount in either satoshi or bitcoin (e.g., 150000, 0.1, 10.123, 10btc),
+calculate fidelity bond values for all possible locktimes in a one-year period
+(12 months, you can change that with the `-m --months` option).
+By default it uses the values from your joinmarket.cfg,
+you can override these with the `-i --interest` and `-e --exponent` options.
+Additionally, you can export the orderbook from ob-watcher.py and use the data here
+with the `-o --orderbook` option, this will compare the results from this script
+with the fidelity bonds in the orderbook.
+"""
+
+log = get_log()
+
+
+def main() -> None:
+    parser = OptionParser(
+        usage="usage: %prog [options] UTXO or amount",
+        description=DESCRIPTION,
+    )
+    add_base_options(parser)
+    parser.add_option(
+        "-i",
+        "--interest",
+        action="store",
+        type="float",
+        dest="interest",
+        help="Interest rate to use for fidelity bond calculation (instead of interest_rate config)",
+    )
+    parser.add_option(
+        "-e",
+        "--exponent",
+        action="store",
+        type="float",
+        dest="exponent",
+        help="Exponent to use for fidelity bond calculation (instead of bond_value_exponent config)",
+    )
+    parser.add_option(
+        "-m",
+        "--months",
+        action="store",
+        type="int",
+        dest="months",
+        help="For how many months to calculate the fidelity bond values, each month has its own stats (default 12)",
+        default=12,
+    )
+    parser.add_option(
+        "-o",
+        "--orderbook",
+        action="store",
+        type="str",
+        dest="path_to_json",
+        help="Path to the exported orderbook in JSON format",
+    )
+
+    options, args = parser.parse_args()
+    load_program_config(config_path=options.datadir)
+    if len(args) != 1:
+        log.error("Invalid arguments, see --help")
+        sys.exit(EXIT_ARGERROR)
+    if options.path_to_json:
+        try:
+            with open(options.path_to_json, "r", encoding="UTF-8") as orderbook:
+                orderbook = loads(orderbook.read())
+        except FileNotFoundError as exc:
+            log.error(exc)
+            sys.exit(EXIT_ARGERROR)
+    else:
+        orderbook = None
+    try:
+        amount = amount_to_sat(args[0])
+        confirm_time = None
+    except ValueError:
+        # If it's not a valid amount then it has to be a UTXO
+        if jm_single().bc_interface is None:
+            log.error("For calculation based on UTXO access to Bitcoin Core is required")
+            sys.exit(EXIT_FAILURE)
+        success, utxo = utxostr_to_utxo(args[0])
+        if not success:
+            # utxo contains the error message
+            log.error(utxo)
+            sys.exit(EXIT_ARGERROR)
+        utxo_data = jm_single().bc_interface.query_utxo_set(utxo, includeconfs=True)[0]
+        amount = utxo_data["value"]
+        if utxo_data["confirms"] == 0:
+            log.warning("Given UTXO is unconfirmed, current time will be used as confirmation time")
+            confirm_time = None
+        elif utxo_data["confirms"] < 0:
+            log.error("Given UTXO is invalid, reason: conflicted")
+            sys.exit(EXIT_ARGERROR)
+        else:
+            current_height = jm_single().bc_interface.get_current_block_height()
+            block_hash = jm_single().bc_interface.get_block_hash(current_height - utxo_data["confirms"] + 1)
+            confirm_time = jm_single().bc_interface.get_block_time(block_hash)
+
+    parameters, results = get_bond_values(amount,
+                                          options.months,
+                                          confirm_time,
+                                          options.interest,
+                                          options.exponent,
+                                          orderbook)
+    jmprint(f"Amount locked: {amount} ({sat_to_btc(amount)} btc)")
+    jmprint(f"Confirmation time: {datetime.fromtimestamp(parameters['confirm_time'])}")
+    jmprint(f"Interest rate: {parameters['interest']} ({parameters['interest'] * 100}%)")
+    jmprint(f"Exponent: {parameters['exponent']}")
+    jmprint(f"\nFIDELITY BOND VALUES (BTC^{parameters['exponent']})")
+    jmprint("\nSee /docs/fidelity-bonds.md for complete formula and more")
+
+    for result in results:
+        locktime = datetime.fromtimestamp(result["locktime"])
+        # Mimic the locktime value the user would have to insert to create such fidelity bond
+        jmprint(f"\nLocktime: {locktime.year}-{locktime.month}")
+        # Mimic orderbook value
+        jmprint(f"Bond value: {float(Decimal(result['value']) / Decimal(1e16)):.16f}")
+        if options.path_to_json:
+            jmprint(f"Weight: {result['weight']:.5f} ({result['weight'] * 100:.2f}% of all bonds)")
+            jmprint(f"Top {result['percentile']}% of the orderbook by value")
+
+
+if __name__ == "__main__":
+    main()