[Draft] One example for disregarded utlitity optimization

Optimization-examples/README.md

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+
+
+### Optimization Examples for certain problem
+
+The following scripts calculate certain metrics for proposed solutions of a certain optimization problem.
+
+#requirements:
+```
+pip install jsonmerge
+```
+
+#test case:
+Run the following function call
+```
+apply_solution("problem_testcase.json",solution_testcase.json)
+```
+Testcase is currently not working, as rounding is not correct. With:
+```
+	def getSellAmount(buyAmount, buyToken, sellToken, fee = feeConstant):
+		return buyAmount * prices[buyToken] / prices[sellToken] // (1- fee)
+```
+it works.
+
+
+#Execution
+```
+python2 dfusion.py
+```

Optimization-examples/dfusion.py

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+import json
+from collections import defaultdict
+from jsonmerge import Merger
+
+schema = {
+            "properties": {
+                 "*": {
+                     "mergeStrategy": "append"
+                 }
+             }
+         }
+
+merger = Merger(schema)
+
+
+
+def apply_solution(problem_file, solution_file):
+
+	feeConstant = 0.001
+
+	# sell ... for ...
+	def getPrice(token1, token2, fee = feeConstant):
+		return prices[token1] / prices[token2] * (1 - fee)
+
+	def getSellAmount(buyAmount, buyToken, sellToken, fee = feeConstant):
+		return buyAmount * prices[buyToken] / prices[sellToken] / (1- fee)
+
+	with open(problem_file, 'r') as f:
+		problem = json.load(f)
+
+	with open(solution_file, 'r') as f:
+		solution = json.load(f)
+
+
+	solution = merger.merge(problem, solution) 
+
+	prices = solution["prices"]
+	orders = solution["orders"]
+
+	print getPrice("S1", "S2")
+
+	delta = defaultdict(int)
+	counter = 0
+	utility = 0
+	utility_with_negatives = 0
+	utility_from_solution = 0
+	for i in orders:
+		j = orders[i]
+		if "execBuyAmount" not in j:
+			j["execBuyAmount"] = 0
+
+		j["execSellAmount"] = getSellAmount(j["execBuyAmount"], j["buyToken"], j["sellToken"])
+
+		if j["execBuyAmount"] > 0:
+			#limit price needs to be below clearing price
+			assert not j["execBuyAmount"] / j["execSellAmount"] < j["limitRate"][1][0] / j["limitRate"][0][0], j
+		delta[j["buyToken"]] -= j["execBuyAmount"]
+		delta[j["sellToken"]] += j["execSellAmount"]
+
+		#(how much token did they got - how much token did they expect) * converted to fee token price
+
+		utility_in_buy_token = j["execBuyAmount"] - j["execSellAmount"] * j["limitRate"][1][0] / j["limitRate"][0][0]
+		utility += utility_in_buy_token * getPrice(j["buyToken"], "FEE", 0)
+		utility_with_negatives += utility_in_buy_token * getPrice(j["buyToken"], "FEE", 0)
+		if j["sellToken"] == 'S1':
+			utility_for_special_token = utility_in_buy_token * getPrice(j["buyToken"], j["buyToken"], 0)
+		if "execUtility" in j.keys():
+			utility_from_solution += j["execUtility"]
+
+		#the difference between the max utility they could have gotten, vs what they actually have gotten.
+		# how much token they would have gotten 
+		if getPrice(j["sellToken"], j["buyToken"]) > j["limitRate"][1][0] / j["limitRate"][0][0]:
+			max_utility = j["maxSellAmount"] * getPrice(j["sellToken"], j["buyToken"]) - j["maxSellAmount"] * j["limitRate"][1][0] / j["limitRate"][0][0]
+			max_utility_in_fee_token = max_utility * getPrice(j["buyToken"], "FEE", 0)
+			disregarded_utility = max_utility_in_fee_token - utility_in_buy_token * getPrice(j["buyToken"], "FEE", 0)
+			utility_with_negatives -= disregarded_utility
+
+			#print i
+			#print disregarded_utility
+
+
+	for token in delta:
+		if token != "FEE":
+			assert abs(delta[token]) < 0.02, delta
+
+
+		counter += 1
+	#print delta
+	print "Total utility: " + str(utility)
+	print "Total utility with disregarded util: " + str(utility_with_negatives)
+	print "Total utility for only S1 token: " + str(utility_for_special_token)
+	print ""
+
+
+filenames = ['solution_expected_best_one.json', 'solution_best_disregarded_utility.json', 'solution_expected_best_one_with_FT_to_null.json']
+
+for i in filenames:
+	print i
+	apply_solution("problem.json",i)