Increase conditional order trigger multiplier to 25 (#1460)

dydxprotocol · May 6, 2024 · 6847003 · 6847003
1 parent d7fb2ee
commit 6847003
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Showing 4 changed files with 107 additions and 37 deletions.
diff --git a/protocol/testutil/constants/orders.go b/protocol/testutil/constants/orders.go
@@ -932,6 +932,13 @@ var (
 		Subticks:     50_500_000_000,
 		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
 	}
+	Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price51500_GTB10 = clobtypes.Order{
+		OrderId:      clobtypes.OrderId{SubaccountId: Carl_Num1, ClientId: 0, ClobPairId: 0},
+		Side:         clobtypes.Order_SIDE_BUY,
+		Quantums:     100_000_000,
+		Subticks:     51_500_000_000,
+		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
+	}
 	Order_Dave_Num0_Id2_Clob0_Sell1BTC_Price49500_GTB10 = clobtypes.Order{
 		OrderId:      clobtypes.OrderId{SubaccountId: Dave_Num0, ClientId: 2, ClobPairId: 0},
 		Side:         clobtypes.Order_SIDE_SELL,
@@ -1087,6 +1094,13 @@ var (
 		Subticks:     3_030_000_000,
 		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
 	}
+	Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price48500_GTB10 = clobtypes.Order{
+		OrderId:      clobtypes.OrderId{SubaccountId: Dave_Num1, ClientId: 0, ClobPairId: 0},
+		Side:         clobtypes.Order_SIDE_SELL,
+		Quantums:     100_000_000,
+		Subticks:     48_500_000_000,
+		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
+	}
 	Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price49500_GTB10 = clobtypes.Order{
 		OrderId:      clobtypes.OrderId{SubaccountId: Dave_Num1, ClientId: 0, ClobPairId: 0},
 		Side:         clobtypes.Order_SIDE_SELL,

diff --git a/protocol/testutil/constants/stateful_orders.go b/protocol/testutil/constants/stateful_orders.go
@@ -886,6 +886,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
 		ConditionalOrderTriggerSubticks: 20,
 	}
+	ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_48700 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_BUY,
+		Quantums:                        100_000_000,
+		Subticks:                        50_000_000_000,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 10},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
+		ConditionalOrderTriggerSubticks: 48_700_000_000,
+	}
 	ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49700 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Alice_Num0,
@@ -1000,6 +1014,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
 		ConditionalOrderTriggerSubticks: 50_300_000_000,
 	}
+	ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_51300 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_BUY,
+		Quantums:                        100_000_000,
+		Subticks:                        50_000_000_000,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 10},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
+		ConditionalOrderTriggerSubticks: 51_300_000_000,
+	}
 	ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_50001 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Bob_Num0,
@@ -1042,6 +1070,34 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
 		ConditionalOrderTriggerSubticks: 50_300_000_000,
 	}
+	ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_51300 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Bob_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_SELL,
+		Quantums:                        100_000_000,
+		Subticks:                        50_000_000_000,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 10},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
+		ConditionalOrderTriggerSubticks: 51_300_000_000,
+	}
+	ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_48700 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Bob_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_SELL,
+		Quantums:                        100_000_000,
+		Subticks:                        50_000_000_000,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 10},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
+		ConditionalOrderTriggerSubticks: 48_700_000_000,
+	}
 	ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_49700 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Bob_Num0,

diff --git a/protocol/x/clob/e2e/conditional_orders_test.go b/protocol/x/clob/e2e/conditional_orders_test.go
@@ -1114,24 +1114,24 @@ func TestConditionalOrder_TriggeringUsingMatchedPrice(t *testing.T) {
 				constants.Dave_Num1_500000USD,
 			},
 			ordersForFirstBlock: []clobtypes.Order{
-				// Trigger price is $49,700.
-				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49700,
+				// Trigger price is $48,700.
+				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_48700,
 			},
 			ordersForSecondBlock: []clobtypes.Order{
-				// Create a match with price $49,500.
+				// Create a match with price $48,500.
 				// This price can trigger the conditional order if unbounded.
-				// The bounded price is $50,000 - $50,000 * 0.5% = $49,750, which would not trigger the conditional order.
-				constants.Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price49500_GTB10,
+				// The bounded price is $50,000 - $50,000 * 2.5% = $48,750, which would not trigger the conditional order.
+				constants.Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price48500_GTB10,
 				constants.Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price50003_GTB10,
 			},
 
 			expectedExistInState: map[clobtypes.OrderId]bool{
-				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49995.OrderId: true,
+				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_48700.OrderId: true,
 			},
 			expectedInTriggeredStateAfterBlock: map[uint32]map[clobtypes.OrderId]bool{
-				2: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49995.OrderId: false},
-				3: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49995.OrderId: false},
-				4: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49995.OrderId: false},
+				2: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_48700.OrderId: false},
+				3: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_48700.OrderId: false},
+				4: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_48700.OrderId: false},
 			},
 		},
 		"StopLoss/Buy conditional order is placed and not triggered by matched price": {
@@ -1165,24 +1165,24 @@ func TestConditionalOrder_TriggeringUsingMatchedPrice(t *testing.T) {
 				constants.Dave_Num1_500000USD,
 			},
 			ordersForFirstBlock: []clobtypes.Order{
-				// Trigger price is $50,300.
-				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_50300,
+				// Trigger price is $51,300.
+				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_51300,
 			},
 			ordersForSecondBlock: []clobtypes.Order{
-				// Create a match with price $50,500.
+				// Create a match with price $51,500.
 				// This price can trigger the conditional order if unbounded.
-				// The bounded price is $50,000 + $50,000 * 0.5% = $50,250, which would not trigger the conditional order.
-				constants.Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price50500_GTB10,
+				// The bounded price is $50,000 + $50,000 * 2.5% = $51,250, which would not trigger the conditional order.
+				constants.Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price51500_GTB10,
 				constants.Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price49997_GTB10,
 			},
 
 			expectedExistInState: map[clobtypes.OrderId]bool{
-				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_50005.OrderId: true,
+				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_51300.OrderId: true,
 			},
 			expectedInTriggeredStateAfterBlock: map[uint32]map[clobtypes.OrderId]bool{
-				2: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_50005.OrderId: false},
-				3: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_50005.OrderId: false},
-				4: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_50005.OrderId: false},
+				2: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_51300.OrderId: false},
+				3: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_51300.OrderId: false},
+				4: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_51300.OrderId: false},
 			},
 		},
 		"TakeProfit/Sell conditional order is placed and not triggered by matched price": {
@@ -1216,24 +1216,24 @@ func TestConditionalOrder_TriggeringUsingMatchedPrice(t *testing.T) {
 				constants.Dave_Num1_500000USD,
 			},
 			ordersForFirstBlock: []clobtypes.Order{
-				// Trigger price is $50,300.
-				constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_50300,
+				// Trigger price is $51,300.
+				constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_51300,
 			},
 			ordersForSecondBlock: []clobtypes.Order{
-				// Create a match with price $50,500.
+				// Create a match with price $51,500.
 				// This price can trigger the conditional order if unbounded.
-				// The bounded price is $50,000 + $50,000 * 0.5% = $50,250, which would not trigger the conditional order.
-				constants.Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price50500_GTB10,
+				// The bounded price is $50,000 + $50,000 * 2.5% = $51,250, which would not trigger the conditional order.
+				constants.Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price51500_GTB10,
 				constants.Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price49997_GTB10,
 			},
 
 			expectedExistInState: map[clobtypes.OrderId]bool{
-				constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_50005.OrderId: true,
+				constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_51300.OrderId: true,
 			},
 			expectedInTriggeredStateAfterBlock: map[uint32]map[clobtypes.OrderId]bool{
-				2: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_50005.OrderId: false},
-				3: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_50005.OrderId: false},
-				4: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_50005.OrderId: false},
+				2: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_51300.OrderId: false},
+				3: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_51300.OrderId: false},
+				4: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_51300.OrderId: false},
 			},
 		},
 		"StopLoss/Sell conditional order is placed and not triggered by matched price": {
@@ -1267,24 +1267,24 @@ func TestConditionalOrder_TriggeringUsingMatchedPrice(t *testing.T) {
 				constants.Dave_Num1_500000USD,
 			},
 			ordersForFirstBlock: []clobtypes.Order{
-				// Trigger price is $49,700.
-				constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_49700,
+				// Trigger price is $48,700.
+				constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_48700,
 			},
 			ordersForSecondBlock: []clobtypes.Order{
-				// Create a match with price $49,500.
+				// Create a match with price $48,500.
 				// This price can trigger the conditional order if unbounded.
-				// The bounded price is $50,000 - $50,000 * 0.5% = $49,750, which would not trigger the conditional order.
-				constants.Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price49500_GTB10,
+				// The bounded price is $50,000 - $50,000 * 2.5% = $48,750, which would not trigger the conditional order.
+				constants.Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price48500_GTB10,
 				constants.Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price50003_GTB10,
 			},
 
 			expectedExistInState: map[clobtypes.OrderId]bool{
-				constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_49995.OrderId: true,
+				constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_48700.OrderId: true,
 			},
 			expectedInTriggeredStateAfterBlock: map[uint32]map[clobtypes.OrderId]bool{
-				2: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_49995.OrderId: false},
-				3: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_49995.OrderId: false},
-				4: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_49995.OrderId: false},
+				2: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_48700.OrderId: false},
+				3: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_48700.OrderId: false},
+				4: {constants.ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_48700.OrderId: false},
 			},
 		},
 		"TakeProfit/Buy conditional order is placed and triggered immediately by matched price": {

diff --git a/protocol/x/clob/types/constants.go b/protocol/x/clob/types/constants.go
@@ -25,4 +25,4 @@ const StatefulOrderTimeWindow time.Duration = 95 * 24 * time.Hour // 95 days.
 // The lower bound is calculated as:
 //
 //	lower_bound = (1 - min_price_change_ppm / 1_000_000 * conditional_order_trigger_multiplier) * oracle_price
-const ConditionalOrderTriggerMultiplier uint64 = 5
+const ConditionalOrderTriggerMultiplier uint64 = 25