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util.go
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util.go
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package amm
import (
"fmt"
"sort"
sdk "github.com/cosmos/cosmos-sdk/types"
utils "github.com/cosmosquad-labs/squad/v3/types"
)
var (
zeroInt = sdk.ZeroInt()
oneDec = sdk.OneDec()
fourDec = sdk.NewDec(4)
)
// OfferCoinAmount returns the minimum offer coin amount for
// given order direction, price and order amount.
func OfferCoinAmount(dir OrderDirection, price sdk.Dec, amt sdk.Int) sdk.Int {
switch dir {
case Buy:
return price.MulInt(amt).Ceil().TruncateInt()
case Sell:
return amt
default:
panic(fmt.Sprintf("invalid order direction: %s", dir))
}
}
// MatchableAmount returns matchable amount of an order considering
// remaining offer coin and price.
func MatchableAmount(order Order, price sdk.Dec) (matchableAmt sdk.Int) {
switch order.GetDirection() {
case Buy:
remainingOfferCoinAmt := order.GetOfferCoinAmount().Sub(order.GetPaidOfferCoinAmount())
matchableAmt = sdk.MinInt(
order.GetOpenAmount(),
remainingOfferCoinAmt.ToDec().QuoTruncate(price).TruncateInt(),
)
case Sell:
matchableAmt = order.GetOpenAmount()
}
if price.MulInt(matchableAmt).TruncateInt().IsZero() {
matchableAmt = zeroInt
}
return
}
// TotalAmount returns total amount of orders.
func TotalAmount(orders []Order) sdk.Int {
amt := sdk.ZeroInt()
for _, order := range orders {
amt = amt.Add(order.GetAmount())
}
return amt
}
// TotalMatchableAmount returns total matchable amount of orders.
func TotalMatchableAmount(orders []Order, price sdk.Dec) (amt sdk.Int) {
amt = sdk.ZeroInt()
for _, order := range orders {
amt = amt.Add(MatchableAmount(order, price))
}
return
}
// OrderGroup represents a group of orders with same batch id.
type OrderGroup struct {
BatchId uint64
Orders []Order
}
// GroupOrdersByBatchId groups orders by their batch id and returns a
// slice of OrderGroup.
func GroupOrdersByBatchId(orders []Order) (groups []*OrderGroup) {
groupByBatchId := map[uint64]*OrderGroup{}
for _, order := range orders {
group, ok := groupByBatchId[order.GetBatchId()]
if !ok {
i := sort.Search(len(groups), func(i int) bool {
if order.GetBatchId() == 0 {
return groups[i].BatchId == 0
}
if groups[i].BatchId == 0 {
return true
}
return order.GetBatchId() <= groups[i].BatchId
})
group = &OrderGroup{BatchId: order.GetBatchId()}
groupByBatchId[order.GetBatchId()] = group
groups = append(groups[:i], append([]*OrderGroup{group}, groups[i:]...)...)
}
group.Orders = append(group.Orders, order)
}
return
}
// SortOrders sorts orders using its HasPriority condition.
func SortOrders(orders []Order) {
sort.SliceStable(orders, func(i, j int) bool {
return orders[i].HasPriority(orders[j])
})
}
// findFirstTrueCondition uses the binary search to find the first index
// where f(i) is true, while searching in range [start, end].
// It assumes that f(j) == false where j < i and f(j) == true where j >= i.
// start can be greater than end.
func findFirstTrueCondition(start, end int, f func(i int) bool) (i int, found bool) {
if start < end {
i = start + sort.Search(end-start+1, func(i int) bool {
return f(start + i)
})
if i > end {
return 0, false
}
return i, true
}
i = start - sort.Search(start-end+1, func(i int) bool {
return f(start - i)
})
if i < end {
return 0, false
}
return i, true
}
// inv returns the inverse of x.
func inv(x sdk.Dec) (r sdk.Dec) {
r = oneDec.Quo(x)
return
}
var (
// Pool price gap ratio function thresholds
t1 = utils.ParseDec("0.01")
t2 = utils.ParseDec("0.02")
t3 = utils.ParseDec("0.1")
// Pool price gap ratio function coefficients
a1, b1 = utils.ParseDec("0.007"), utils.ParseDec("0.00003")
a2, b2 = utils.ParseDec("0.09"), utils.ParseDec("-0.0008")
a3 = utils.ParseDec("0.05")
b4 = utils.ParseDec("0.005")
)
func poolOrderPriceGapRatio(poolPrice, currentPrice sdk.Dec) (r sdk.Dec) {
if poolPrice.IsZero() {
poolPrice = sdk.NewDecWithPrec(1, sdk.Precision) // lowest possible sdk.Dec
}
x := currentPrice.Sub(poolPrice).Abs().Quo(poolPrice)
switch {
case x.LTE(t1):
return a1.Mul(x).Add(b1)
case x.LTE(t2):
return a2.Mul(x).Add(b2)
case x.LTE(t3):
return a3.Mul(x)
default:
return b4
}
}