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orderbook.go
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orderbook.go
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package types
import (
"fmt"
"sort"
sdk "github.com/cosmos/cosmos-sdk/types"
"github.com/crescent-network/crescent/v5/x/liquidity/amm"
)
func OrderBookBasePrice(ov amm.OrderView, tickPrec int) (sdk.Dec, bool) {
highestBuyPrice, foundHighestBuyPrice := ov.HighestBuyPrice()
lowestSellPrice, foundLowestSellPrice := ov.LowestSellPrice()
switch {
case foundHighestBuyPrice && foundLowestSellPrice:
return amm.RoundPrice(highestBuyPrice.Add(lowestSellPrice).QuoInt64(2), tickPrec), true
case foundHighestBuyPrice:
return highestBuyPrice, true
case foundLowestSellPrice:
return lowestSellPrice, true
default: // not found
return sdk.Dec{}, false
}
}
// OrderBookConfig defines configuration parameter for an order book response.
type OrderBookConfig struct {
PriceUnitPower int
MaxNumTicks int
}
func MakeOrderBookPairResponse(pairId uint64, ov *amm.OrderBookView, lowestPrice, highestPrice sdk.Dec, tickPrec int, configs ...OrderBookConfig) OrderBookPairResponse {
resp := OrderBookPairResponse{
PairId: pairId,
}
basePrice, found := OrderBookBasePrice(ov, tickPrec)
if !found {
return resp
}
resp.BasePrice = basePrice
ammTickPrec := amm.TickPrecision(tickPrec)
sort.Slice(configs, func(i, j int) bool {
return configs[i].PriceUnitPower < configs[j].PriceUnitPower
})
lowestPriceUnitMaxNumTicks := configs[0].MaxNumTicks
highestBuyPrice, foundHighestBuyPrice := ov.HighestBuyPrice()
lowestSellPrice, foundLowestSellPrice := ov.LowestSellPrice()
var smallestPriceUnit sdk.Dec
if foundLowestSellPrice {
currentPrice := lowestSellPrice
for i := 0; i < lowestPriceUnitMaxNumTicks && currentPrice.LTE(highestPrice); {
amtInclusive := ov.SellAmountOver(currentPrice, true)
amtExclusive := ov.SellAmountOver(currentPrice, false)
amt := amtInclusive.Sub(amtExclusive)
if amt.IsPositive() {
i++
if i == lowestPriceUnitMaxNumTicks {
break
}
}
if !amtExclusive.IsPositive() {
break
}
currentPrice = ammTickPrec.UpTick(currentPrice)
}
smallestPriceUnit = ammTickPrec.TickGap(currentPrice)
} else {
smallestPriceUnit = ammTickPrec.TickGap(highestBuyPrice)
}
for _, config := range configs {
priceUnit := smallestPriceUnit
for j := 0; j < config.PriceUnitPower; j++ {
priceUnit = priceUnit.MulInt64(10)
}
ob := OrderBookResponse{
PriceUnit: priceUnit,
Buys: nil,
Sells: nil,
}
if foundLowestSellPrice {
startPrice := FitPriceToTickGap(lowestSellPrice, priceUnit, false)
currentPrice := startPrice
accAmt := sdk.ZeroInt()
for j := 0; j < config.MaxNumTicks && currentPrice.LTE(highestPrice); {
amt := ov.SellAmountUnder(currentPrice, true).Sub(accAmt)
if amt.IsPositive() {
ob.Sells = append(ob.Sells, OrderBookTickResponse{
Price: currentPrice,
UserOrderAmount: amt,
PoolOrderAmount: sdk.ZeroInt(),
})
accAmt = accAmt.Add(amt)
j++
}
if !ov.SellAmountOver(currentPrice, false).IsPositive() {
break
}
currentPrice = currentPrice.Add(priceUnit)
}
// Reverse sell ticks.
for l, r := 0, len(ob.Sells)-1; l < r; l, r = l+1, r-1 {
ob.Sells[l], ob.Sells[r] = ob.Sells[r], ob.Sells[l]
}
}
if foundHighestBuyPrice {
startPrice := FitPriceToTickGap(highestBuyPrice, priceUnit, true)
currentPrice := startPrice
accAmt := sdk.ZeroInt()
for j := 0; j < config.MaxNumTicks && currentPrice.GTE(lowestPrice) && !currentPrice.IsNegative(); {
amt := ov.BuyAmountOver(currentPrice, true).Sub(accAmt)
if amt.IsPositive() {
ob.Buys = append(ob.Buys, OrderBookTickResponse{
Price: currentPrice,
UserOrderAmount: amt,
PoolOrderAmount: sdk.ZeroInt(),
})
accAmt = accAmt.Add(amt)
j++
}
if !ov.BuyAmountUnder(currentPrice, false).IsPositive() {
break
}
currentPrice = currentPrice.Sub(priceUnit)
}
}
resp.OrderBooks = append(resp.OrderBooks, ob)
}
return resp
}
// PrintOrderBookResponse prints out OrderBookResponse in human-readable form.
func PrintOrderBookResponse(ob OrderBookResponse, basePrice sdk.Dec) {
fmt.Println("+------------------------------------------------------------------------+")
for _, tick := range ob.Sells {
fmt.Printf("| %18s | %28s | |\n", tick.UserOrderAmount, tick.Price.String())
}
fmt.Println("|------------------------------------------------------------------------|")
fmt.Printf("| %28s |\n", basePrice.String())
fmt.Println("|------------------------------------------------------------------------|")
for _, tick := range ob.Buys {
fmt.Printf("| | %28s | %-18s |\n", tick.Price.String(), tick.UserOrderAmount)
}
fmt.Println("+------------------------------------------------------------------------+")
}
// FitPriceToTickGap fits price into given tick gap.
func FitPriceToTickGap(price, gap sdk.Dec, down bool) sdk.Dec {
b := price.BigInt()
b.Quo(b, gap.BigInt()).Mul(b, gap.BigInt())
tick := sdk.NewDecFromBigIntWithPrec(b, sdk.Precision)
if !down && !tick.Equal(price) {
tick = tick.Add(gap)
}
return tick
}