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server/{market,swap,db}: free cancels
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server/db:

Add epoch_gap column to cancel order table. When set (not EpochGapNA),
the epoch_gap is the number of epochs between the limit order placement
and the cancel order placement. Update InsertEpoch method to accept an
epoch gap argument (or EpochGapNA).

server/auth:

RecordCancel now accepts an epoch gap argument. Epoch gap is loaded from
the db via ExecutedCancelsForUser with a modified return value.
(*latestOrders).counts now only counts cancel orders if 0 <= epochGap < 2.

server/market:

processOrder now reports the epoch gap to the AuthManager for matched
cancel orders.
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@buck54321
buck54321 committed Aug 22, 2022
1 parent 54f3db3 commit f537f1c
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Showing 14 changed files with 239 additions and 141 deletions.
29 changes: 16 additions & 13 deletions server/auth/auth.go
View file
Expand Up @@ -54,7 +54,7 @@ type Storage interface {
UserOrderStatuses(aid account.AccountID, base, quote uint32, oids []order.OrderID) ([]*db.OrderStatus, error)
ActiveUserOrderStatuses(aid account.AccountID) ([]*db.OrderStatus, error)
CompletedUserOrders(aid account.AccountID, N int) (oids []order.OrderID, compTimes []int64, err error)
ExecutedCancelsForUser(aid account.AccountID, N int) (oids, targets []order.OrderID, execTimes []int64, err error)
ExecutedCancelsForUser(aid account.AccountID, N int) ([]*db.CancelRecord, error)
CompletedAndAtFaultMatchStats(aid account.AccountID, lastN int) ([]*db.MatchOutcome, error)
PreimageStats(user account.AccountID, lastN int) ([]*db.PreimageResult, error)
AllActiveUserMatches(aid account.AccountID) ([]*db.MatchData, error)
Expand Down Expand Up @@ -433,23 +433,23 @@ func (auth *AuthManager) ExpectUsers(users map[account.AccountID]struct{}, withi

// RecordCancel records a user's executed cancel order, including the canceled
// order ID, and the time when the cancel was executed.
func (auth *AuthManager) RecordCancel(user account.AccountID, oid, target order.OrderID, t time.Time) {
auth.recordOrderDone(user, oid, &target, t.UnixMilli())
func (auth *AuthManager) RecordCancel(user account.AccountID, oid, target order.OrderID, epochGap int32, t time.Time) {
auth.recordOrderDone(user, oid, &target, epochGap, t.UnixMilli())
}

// RecordCompletedOrder records a user's completed order, where completed means
// a swap involving the order was successfully completed and the order is no
// longer on the books if it ever was.
func (auth *AuthManager) RecordCompletedOrder(user account.AccountID, oid order.OrderID, t time.Time) {
auth.recordOrderDone(user, oid, nil, t.UnixMilli())
auth.recordOrderDone(user, oid, nil, db.EpochGapNA, t.UnixMilli())
}

// recordOrderDone an order that has finished processing. This can be a cancel
// order, which matched and unbooked another order, or a trade order that
// completed the swap negotiation. Note that in the case of a cancel, oid refers
// to the ID of the cancel order itself, while target is non-nil for cancel
// orders.
func (auth *AuthManager) recordOrderDone(user account.AccountID, oid order.OrderID, target *order.OrderID, tMS int64) {
func (auth *AuthManager) recordOrderDone(user account.AccountID, oid order.OrderID, target *order.OrderID, epochGap int32, tMS int64) {
client := auth.user(user)
if client == nil {
// It is likely that the user is gone if this is a revoked order.
Expand All @@ -460,9 +460,10 @@ func (auth *AuthManager) recordOrderDone(user account.AccountID, oid order.Order
// Update recent orders and check/set suspended status atomically.
client.mtx.Lock()
client.recentOrders.add(&oidStamped{
OrderID: oid,
time: tMS,
target: target,
OrderID: oid,
time: tMS,
target: target,
epochGap: epochGap,
})

log.Debugf("Recorded order %v that has finished processing: user=%v, time=%v, target=%v",
Expand Down Expand Up @@ -1342,7 +1343,7 @@ func (auth *AuthManager) loadRecentFinishedOrders(aid account.AccountID, N int)
}

// Load the N latest executed cancel orders for the user.
cancelOids, targetOids, cancelTimes, err := auth.storage.ExecutedCancelsForUser(aid, N)
cancels, err := auth.storage.ExecutedCancelsForUser(aid, N)
if err != nil {
return nil, err
}
Expand All @@ -1359,11 +1360,13 @@ func (auth *AuthManager) loadRecentFinishedOrders(aid account.AccountID, N int)
}
// Insert the executed cancels, popping off older orders that do not fit in
// the list.
for i := range cancelOids {
for _, c := range cancels {
tid := c.TargetID
latestFinished.add(&oidStamped{
OrderID: cancelOids[i],
time: cancelTimes[i],
target: &targetOids[i],
OrderID: c.ID,
time: c.MatchTime,
target: &tid,
epochGap: c.EpochGap,
})
}

Expand Down
38 changes: 35 additions & 3 deletions server/auth/auth_test.go
View file
Expand Up @@ -44,6 +44,7 @@ type ratioData struct {
oidsCancels []order.OrderID
oidsCanceled []order.OrderID
timesCanceled []int64
epochGaps []int32
}

// TStorage satisfies the Storage interface
Expand Down Expand Up @@ -122,8 +123,16 @@ func (s *TStorage) setRatioData(dat *ratioData) {
func (s *TStorage) CompletedUserOrders(aid account.AccountID, _ int) (oids []order.OrderID, compTimes []int64, err error) {
return s.ratio.oidsCompleted, s.ratio.timesCompleted, nil
}
func (s *TStorage) ExecutedCancelsForUser(aid account.AccountID, _ int) (oids, targets []order.OrderID, execTimes []int64, err error) {
return s.ratio.oidsCancels, s.ratio.oidsCanceled, s.ratio.timesCanceled, nil
func (s *TStorage) ExecutedCancelsForUser(aid account.AccountID, _ int) (cancels []*db.CancelRecord, err error) {
for i := range s.ratio.oidsCanceled {
cancels = append(cancels, &db.CancelRecord{
ID: s.ratio.oidsCancels[i],
TargetID: s.ratio.oidsCanceled[i],
MatchTime: s.ratio.timesCanceled[i],
EpochGap: s.ratio.epochGaps[i],
})
}
return cancels, nil
}

// TSigner satisfies the Signer interface
Expand Down Expand Up @@ -700,12 +709,15 @@ func TestConnect(t *testing.T) {
rig.storage.matches = []*db.MatchData{matchData}
defer func() { rig.storage.matches = nil }()

epochGaps := []int32{1} // penalized

rig.storage.setRatioData(&ratioData{
oidsCompleted: []order.OrderID{{0x1}},
timesCompleted: []int64{1234},
oidsCancels: []order.OrderID{{0x2}},
oidsCanceled: []order.OrderID{{0x1}},
timesCanceled: []int64{1235},
epochGaps: epochGaps,
}) // 1:1 = 50%
defer rig.storage.setRatioData(&ratioData{}) // clean slate

Expand All @@ -716,6 +728,15 @@ func TestConnect(t *testing.T) {
t.Fatalf("Expected account %v to be closed on connect, got %v", user.acctID, rig.storage.closedID)
}

// Make it a free cancel.
rig.storage.closedID = account.AccountID{} // unclose the account in db
epochGaps[0] = 2
connectUser(t, user)
if rig.storage.closedID == user.acctID {
t.Fatalf("Expected account %v to NOT be closed with free cancels, but it was.", user)
}
epochGaps[0] = 1

// Try again just meeting cancel ratio.
rig.storage.closedID = account.AccountID{} // unclose the account in db
rig.mgr.cancelThresh = 0.6 // passable threshold for 1 cancel : 1 completion (0.5)
Expand All @@ -731,12 +752,22 @@ func TestConnect(t *testing.T) {
rig.storage.ratio.oidsCanceled = append(rig.storage.ratio.oidsCanceled, order.OrderID{0x3})
rig.storage.ratio.oidsCancels = append(rig.storage.ratio.oidsCancels, order.OrderID{0x4})
rig.storage.ratio.timesCanceled = append(rig.storage.ratio.timesCanceled, 12341234)
rig.storage.ratio.epochGaps = append(rig.storage.ratio.epochGaps, 1)

tryConnectUser(t, user, false)
if rig.storage.closedID != user.acctID {
t.Fatalf("Expected account %v to be closed on connect, got %v", user.acctID, rig.storage.closedID)
}

// Make one a free cancel.
rig.storage.closedID = account.AccountID{} // unclose the account in db
rig.storage.ratio.epochGaps[1] = 2
connectUser(t, user)
if rig.storage.closedID == user.acctID {
t.Fatalf("Expected account %v to NOT be closed with free cancels, but it was.", user)
}
rig.storage.ratio.epochGaps[1] = 0

// Try again just meeting cancel ratio.
rig.storage.closedID = account.AccountID{} // unclose the account in db
rig.mgr.cancelThresh = 0.7 // passable threshold for 2 cancel : 1 completion (0.6666..)
Expand All @@ -761,6 +792,7 @@ func TestConnect(t *testing.T) {
rig.storage.ratio.oidsCanceled = append(rig.storage.ratio.oidsCanceled, order.OrderID{0x4})
rig.storage.ratio.oidsCancels = append(rig.storage.ratio.oidsCancels, order.OrderID{0x5})
rig.storage.ratio.timesCanceled = append(rig.storage.ratio.timesCanceled, 12341239)
rig.storage.ratio.epochGaps = append(rig.storage.ratio.epochGaps, 1)

tryConnectUser(t, user, false)
if rig.storage.closedID == user.acctID {
Expand Down Expand Up @@ -1630,7 +1662,7 @@ func TestAuthManager_RecordCancel_RecordCompletedOrder(t *testing.T) {
// now a cancel
coid := newOrderID()
tCompleted = tCompleted.Add(time.Millisecond) // newer
rig.mgr.RecordCancel(user.acctID, coid, oid, tCompleted)
rig.mgr.RecordCancel(user.acctID, coid, oid, 1, tCompleted)

client.mtx.Lock()
total, cancels = client.recentOrders.counts()
Expand Down
15 changes: 12 additions & 3 deletions server/auth/cancel.go
View file
Expand Up @@ -12,12 +12,21 @@ import (
"decred.org/dcrdex/dex/order"
)

// freeCancelThreshold is the minimum number of epochs a user should wait before
// placing a cancel order, if they want to avoid penalization. It is set to 2,
// which means if a user places a cancel order in the same epoch as its limit
// order, or the next epoch, the user will be penalized. This value is chosen
// because it is the minimum value such that the order remains booked for at
// least one full epoch and one full match cycle.
const freeCancelThreshold = 2

// oidStamped is a time-stamped order ID, with a field for target order ID if
// the order is a cancel order.
type oidStamped struct {
order.OrderID
time int64
target *order.OrderID
time int64
target *order.OrderID
epochGap int32
}

// ordsByTimeThenID is used to sort an ord slice in ascending order by time and
Expand Down Expand Up @@ -116,7 +125,7 @@ func (lo *latestOrders) counts() (total, cancels int) {

total = len(lo.orders)
for _, o := range lo.orders {
if o.target != nil {
if o.target != nil && o.epochGap >= 0 && o.epochGap < freeCancelThreshold {
cancels++
}
}
Expand Down
40 changes: 21 additions & 19 deletions server/auth/cancel_test.go
View file
Expand Up @@ -6,6 +6,7 @@ import (
"testing"

"decred.org/dcrdex/dex/order"
"decred.org/dcrdex/server/db"
)

func randomOrderID() (oid order.OrderID) {
Expand Down Expand Up @@ -46,19 +47,19 @@ func Test_latestOrders(t *testing.T) {
// add one cancel
ts := int64(1234)
coid := randomOrderID()
ordList.add(&oidStamped{order.OrderID{0x1}, ts, &coid})
ordList.add(&oidStamped{order.OrderID{0x1}, ts, &coid, 1})
checkSort()
total, cancels = ordList.counts()
if total != 1 {
t.Errorf("expected 1 orders, got %d", total)
}
if cancels != 1 {
t.Errorf("expected 1 cancels, got %d", total)
t.Errorf("expected 1 cancels, got %d", cancels)
}

// add one non-cancel
ts++
ordList.add(&oidStamped{order.OrderID{0x2}, ts, nil})
ordList.add(&oidStamped{order.OrderID{0x2}, ts, nil, db.EpochGapNA})
checkSort()
total, cancels = ordList.counts()
if total != 2 {
Expand All @@ -69,7 +70,7 @@ func Test_latestOrders(t *testing.T) {
}

// add one that is the smallest
ordList.add(&oidStamped{order.OrderID{0x3}, ts - 10, nil})
ordList.add(&oidStamped{order.OrderID{0x3}, ts - 10, nil, db.EpochGapNA})
checkSort()
total, cancels = ordList.counts()
if total != 3 {
Expand All @@ -84,9 +85,10 @@ func Test_latestOrders(t *testing.T) {
for i := total; i < int(cap); i++ {
ts++
ordList.add(&oidStamped{
OrderID: randomOrderID(),
time: ts,
target: maybeCancel(),
OrderID: randomOrderID(),
time: ts,
target: maybeCancel(),
epochGap: db.EpochGapNA,
})
checkSort()
}
Expand Down Expand Up @@ -185,34 +187,34 @@ func Test_ordsByTimeThenID_Sort(t *testing.T) {
{
name: "unique, no swap",
ords: []*oidStamped{
{order.OrderID{0x1}, 1234, nil},
{order.OrderID{0x2}, 1235, nil},
{order.OrderID{0x1}, 1234, nil, db.EpochGapNA},
{order.OrderID{0x2}, 1235, nil, db.EpochGapNA},
},
wantOrds: []*oidStamped{
{order.OrderID{0x1}, 1234, nil},
{order.OrderID{0x2}, 1235, nil},
{order.OrderID{0x1}, 1234, nil, db.EpochGapNA},
{order.OrderID{0x2}, 1235, nil, db.EpochGapNA},
},
},
{
name: "unique, one swap",
ords: []*oidStamped{
{order.OrderID{0x2}, 1235, nil},
{order.OrderID{0x1}, 1234, nil},
{order.OrderID{0x2}, 1235, nil, db.EpochGapNA},
{order.OrderID{0x1}, 1234, nil, db.EpochGapNA},
},
wantOrds: []*oidStamped{
{order.OrderID{0x1}, 1234, nil},
{order.OrderID{0x2}, 1235, nil},
{order.OrderID{0x1}, 1234, nil, db.EpochGapNA},
{order.OrderID{0x2}, 1235, nil, db.EpochGapNA},
},
},
{
name: "time tie, swap by order ID",
ords: []*oidStamped{
{order.OrderID{0x2}, 1234, nil},
{order.OrderID{0x1}, 1234, nil},
{order.OrderID{0x2}, 1234, nil, db.EpochGapNA},
{order.OrderID{0x1}, 1234, nil, db.EpochGapNA},
},
wantOrds: []*oidStamped{
{order.OrderID{0x1}, 1234, nil},
{order.OrderID{0x2}, 1234, nil},
{order.OrderID{0x1}, 1234, nil, db.EpochGapNA},
{order.OrderID{0x2}, 1234, nil, db.EpochGapNA},
},
},
}
Expand Down
10 changes: 6 additions & 4 deletions server/db/driver/pg/internal/orders.go
View file
Expand Up @@ -180,6 +180,7 @@ const (
target_order BYTEA, -- cancel orders ref another order
status INT2,
epoch_idx INT8, epoch_dur INT4, -- 0 for rule-based revocations, -1 for exempt (e.g. book purge)
epoch_gap INT4 DEFAULT -1, -- epochs between order and cancel order. -1 for revocations
preimage BYTEA UNIQUE -- null before preimage collection, and all server-generated cancels (revocations)
);`

Expand Down Expand Up @@ -221,16 +222,17 @@ const (
// the match_time directly instead of the epoch_idx and epoch_dur. The
// cancels table, with full market schema, is %[1]s, while the epochs table
// is %[2]s.
RetrieveCancelTimesForUserByStatus = `SELECT oid, target_order, match_time
RetrieveCancelTimesForUserByStatus = `SELECT oid, target_order, epoch_gap, match_time
FROM %[1]s -- a cancels table
JOIN %[2]s ON %[2]s.epoch_idx = %[1]s.epoch_idx AND %[2]s.epoch_dur = %[1]s.epoch_dur -- join on epochs table PK
WHERE account_id = $1 AND status = $2
ORDER BY match_time DESC
LIMIT $3;` // NOTE: find revoked orders via SelectRevokeCancels

// InsertCancelOrder inserts a cancel order row into the specified table.
InsertCancelOrder = `INSERT INTO %s (oid, account_id, client_time, server_time, commit, target_order, status, epoch_idx, epoch_dur)
VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9);`
InsertCancelOrder = `INSERT INTO %s (oid, account_id, client_time, server_time,
commit, target_order, status, epoch_idx, epoch_dur, epoch_gap)
VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9, $10);`

// CancelOrderStatus retrieves an order's status
CancelOrderStatus = `SELECT status FROM %s WHERE oid = $1;`
Expand All @@ -240,7 +242,7 @@ const (
MoveCancelOrder = `WITH moved AS (
DELETE FROM %s
WHERE oid = $1
RETURNING oid, account_id, client_time, server_time, commit, target_order, %d, epoch_idx, epoch_dur, preimage
RETURNING oid, account_id, client_time, server_time, commit, target_order, %d, epoch_idx, epoch_dur, epoch_gap, preimage
)
INSERT INTO %s
SELECT * FROM moved;`
Expand Down

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