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mem_order.go
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mem_order.go
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package types
import (
"fmt"
"sort"
"strings"
sdk "github.com/cosmos/cosmos-sdk/types"
utils "github.com/crescent-network/crescent/v5/types"
)
type MemOrderType int
const (
UserMemOrder MemOrderType = iota + 1
OrderSourceMemOrder
)
func (typ MemOrderType) String() string {
switch typ {
case UserMemOrder:
return "UserMemOrder"
case OrderSourceMemOrder:
return "OrderSourceMemOrder"
default:
return fmt.Sprintf("MemOrderType(%d)", typ)
}
}
type MemOrder struct {
typ MemOrderType
order *Order // nil for OrderSourceMemOrder
source OrderSource // nil for UserMemOrder
ordererAddr sdk.AccAddress
isBuy bool
price sdk.Dec
qty sdk.Dec
openQty sdk.Dec
remainingDeposit sdk.Dec
executedQty sdk.Dec
paid sdk.Dec
received sdk.Dec
fee sdk.Dec
isMatched bool
isMaker *bool
}
func NewUserMemOrder(order Order) *MemOrder {
return &MemOrder{
typ: UserMemOrder,
order: &order,
ordererAddr: order.MustGetOrdererAddress(),
isBuy: order.IsBuy,
price: order.Price,
qty: order.Quantity,
openQty: order.OpenQuantity,
remainingDeposit: order.RemainingDeposit,
executedQty: utils.ZeroDec,
paid: utils.ZeroDec,
received: utils.ZeroDec,
fee: utils.ZeroDec,
}
}
func NewOrderSourceMemOrder(
ordererAddr sdk.AccAddress, isBuy bool, price, qty, openQty sdk.Dec, source OrderSource) *MemOrder {
return &MemOrder{
typ: OrderSourceMemOrder,
ordererAddr: ordererAddr,
isBuy: isBuy,
price: price,
qty: qty,
openQty: openQty,
remainingDeposit: DepositAmount(isBuy, price, openQty),
executedQty: utils.ZeroDec,
paid: utils.ZeroDec,
received: utils.ZeroDec,
fee: utils.ZeroDec,
source: source,
}
}
func (order *MemOrder) String() string {
isBuyStr := "buy"
if !order.isBuy {
isBuyStr = "sell"
}
return fmt.Sprintf(
"{%s %s %s %s}",
order.typ, isBuyStr, order.price, order.openQty)
}
func (order *MemOrder) Type() MemOrderType {
return order.typ
}
func (order *MemOrder) Order() Order {
return *order.order
}
func (order *MemOrder) Source() OrderSource {
return order.source
}
func (order *MemOrder) OrdererAddress() sdk.AccAddress {
return order.ordererAddr
}
func (order *MemOrder) IsBuy() bool {
return order.isBuy
}
func (order *MemOrder) Price() sdk.Dec {
return order.price
}
func (order *MemOrder) Quantity() sdk.Dec {
return order.qty
}
func (order *MemOrder) OpenQuantity() sdk.Dec {
return order.openQty
}
func (order *MemOrder) RemainingDeposit() sdk.Dec {
return order.remainingDeposit
}
func (order *MemOrder) ExecutedQuantity() sdk.Dec {
return order.executedQty
}
func (order *MemOrder) Paid() sdk.Dec {
return order.paid
}
func (order *MemOrder) PaidWithoutFee() sdk.Dec {
if order.fee.IsNegative() {
return order.paid.Sub(order.fee)
}
return order.paid
}
func (order *MemOrder) Received() sdk.Dec {
return order.received
}
func (order *MemOrder) Fee() sdk.Dec {
return order.fee
}
func (order *MemOrder) IsMatched() bool {
return order.isMatched
}
func (order *MemOrder) ExecutableQuantity() sdk.Dec {
executableQty := order.openQty.Sub(order.executedQty)
if order.isBuy {
return sdk.MinDec(executableQty, order.remainingDeposit.QuoTruncate(order.price))
}
return executableQty
}
func (order *MemOrder) HasPriorityOver(other *MemOrder) bool {
if !order.price.Equal(other.price) { // sanity check
panic(fmt.Sprintf("orders with different price: %s != %s", order.price, other.price))
}
if !order.qty.Equal(other.qty) {
return order.qty.GT(other.qty)
}
switch {
case order.typ == UserMemOrder && other.typ == UserMemOrder:
return order.order.Id < other.order.Id
case order.typ == UserMemOrder && other.typ == OrderSourceMemOrder:
return false
case order.typ == OrderSourceMemOrder && other.typ == UserMemOrder:
return true
default:
return order.source.Name() < other.source.Name() // lexicographical ordering
}
}
type MemOrderBookPriceLevel struct {
isBuy bool
price sdk.Dec
orders []*MemOrder
}
func NewMemOrderBookPriceLevel(order *MemOrder) *MemOrderBookPriceLevel {
return &MemOrderBookPriceLevel{order.isBuy, order.price, []*MemOrder{order}}
}
func (level *MemOrderBookPriceLevel) Price() sdk.Dec {
return level.price
}
func (level *MemOrderBookPriceLevel) Orders() []*MemOrder {
return level.orders
}
func (level *MemOrderBookPriceLevel) AddOrder(order *MemOrder) {
if order.isBuy != level.isBuy { // sanity check
panic("wrong order direction")
}
level.orders = append(level.orders, order)
}
// MemOrderBookSideOptions is options passed when constructing MemOrderBookSide.
type MemOrderBookSideOptions struct {
IsBuy bool
PriceLimit *sdk.Dec
QuantityLimit *sdk.Dec
QuoteLimit *sdk.Dec
MaxNumPriceLevels int
}
func (opts MemOrderBookSideOptions) ReachedLimit(price, accQty, accQuote sdk.Dec, numPriceLevels int) (reached bool) {
if opts.PriceLimit != nil &&
((opts.IsBuy && price.LT(*opts.PriceLimit)) ||
(!opts.IsBuy && price.GT(*opts.PriceLimit))) {
return true
}
if opts.QuantityLimit != nil && !opts.QuantityLimit.Sub(accQty).IsPositive() {
return true
}
if opts.QuoteLimit != nil && !opts.QuoteLimit.Sub(accQuote).IsPositive() {
return true
}
if opts.MaxNumPriceLevels > 0 && numPriceLevels >= opts.MaxNumPriceLevels {
return true
}
return false
}
type MemOrderBookSide struct {
isBuy bool
levels []*MemOrderBookPriceLevel
}
func NewMemOrderBookSide(isBuy bool) *MemOrderBookSide {
return &MemOrderBookSide{isBuy: isBuy}
}
func (obs *MemOrderBookSide) Levels() []*MemOrderBookPriceLevel {
return obs.levels
}
func (obs *MemOrderBookSide) Orders() []*MemOrder {
var orders []*MemOrder
for _, level := range obs.levels {
orders = append(orders, level.orders...)
}
return orders
}
func (obs *MemOrderBookSide) Limit(n int) {
limit := len(obs.Levels())
if n < limit {
limit = n
}
obs.levels = obs.levels[:limit]
}
func (side *MemOrderBookSide) AddOrder(order *MemOrder) {
if order.isBuy != side.isBuy { // sanity check
panic("wrong order direction")
}
i := sort.Search(len(side.levels), func(i int) bool {
if side.isBuy {
return side.levels[i].price.LTE(order.price)
}
return side.levels[i].price.GTE(order.price)
})
if i < len(side.levels) && side.levels[i].price.Equal(order.price) {
side.levels[i].AddOrder(order)
} else {
// Insert a new level.
newLevels := make([]*MemOrderBookPriceLevel, len(side.levels)+1)
copy(newLevels[:i], side.levels[:i])
newLevels[i] = NewMemOrderBookPriceLevel(order)
copy(newLevels[i+1:], side.levels[i:])
side.levels = newLevels
}
}
func (side *MemOrderBookSide) String() string {
var lines []string
for _, level := range side.levels {
qty := TotalExecutableQuantity(level.orders)
lines = append(lines, fmt.Sprintf("%s | %s", level.price, qty))
}
return strings.Join(lines, "\n")
}
type MemOrderGroup struct {
msgHeight int64
orders []*MemOrder
}
func (group *MemOrderGroup) MsgHeight() int64 {
return group.msgHeight
}
func (group *MemOrderGroup) Orders() []*MemOrder {
return group.orders
}
func GroupMemOrdersByMsgHeight(orders []*MemOrder) (groups []*MemOrderGroup) {
var orderSourceOrders, userOrders []*MemOrder
for _, order := range orders {
if order.typ == UserMemOrder {
userOrders = append(userOrders, order)
} else {
orderSourceOrders = append(orderSourceOrders, order)
}
}
if len(orderSourceOrders) > 0 {
groups = append(groups, &MemOrderGroup{msgHeight: -1, orders: orderSourceOrders})
}
groupByMsgHeight := map[int64]*MemOrderGroup{}
for _, order := range userOrders {
group, ok := groupByMsgHeight[order.order.MsgHeight]
if !ok {
i := sort.Search(len(groups), func(i int) bool {
return groups[i].msgHeight >= order.order.MsgHeight
})
group = &MemOrderGroup{msgHeight: order.order.MsgHeight}
groupByMsgHeight[order.order.MsgHeight] = group
newGroups := make([]*MemOrderGroup, len(groups)+1)
copy(newGroups[:i], groups[:i])
newGroups[i] = group
copy(newGroups[i+1:], groups[i:])
groups = newGroups
}
group.orders = append(group.orders, order)
}
return
}
func GroupMemOrdersByOrderer(results []*MemOrder) (ordererAddrs []sdk.AccAddress, m map[string][]*MemOrder) {
m = map[string][]*MemOrder{}
for _, result := range results {
orderer := result.ordererAddr.String()
if _, ok := m[orderer]; !ok {
ordererAddrs = append(ordererAddrs, result.ordererAddr)
}
m[orderer] = append(m[orderer], result)
}
return
}
func TotalExecutableQuantity(orders []*MemOrder) sdk.Dec {
qty := utils.ZeroDec
for _, order := range orders {
qty = qty.Add(order.ExecutableQuantity())
}
return qty
}