[TRA-134] construct simple vault orders

protocol/lib/big_math.go

@@ -265,3 +265,27 @@ func warmCache() map[uint64]*big.Int {
 
 	return bigExponentValues
 }
+
+// BigRatRoundToNearestMultiple rounds `value` up/down to the nearest multiple of `base`.
+// Returns 0 if `base` is 0.
+func BigRatRoundToNearestMultiple(
+	value *big.Rat,
+	base uint32,
+	up bool,
+) uint64 {
+	if base == 0 {
+		return 0
+	}
+
+	quotient := new(big.Rat).Quo(
+		value,
+		new(big.Rat).SetUint64(uint64(base)),
+	)
+	quotientFloored := new(big.Int).Div(quotient.Num(), quotient.Denom())
+
+	if up && quotientFloored.Cmp(quotient.Num()) != 0 {
+		return (quotientFloored.Uint64() + 1) * uint64(base)
+	}
+
+	return quotientFloored.Uint64() * uint64(base)
+}

protocol/lib/big_math_test.go

@@ -869,3 +869,95 @@ func TestMustConvertBigIntToInt32(t *testing.T) {
 		})
 	}
 }
+
+func TestBigRatRoundToNearestMultiple(t *testing.T) {
+	tests := map[string]struct {
+		value          *big.Rat
+		base           uint32
+		up             bool
+		expectedResult uint64
+	}{
+		"Round 5 down to a multiple of 2": {
+			value:          big.NewRat(5, 1),
+			base:           2,
+			up:             false,
+			expectedResult: 4,
+		},
+		"Round 5 up to a multiple of 2": {
+			value:          big.NewRat(5, 1),
+			base:           2,
+			up:             true,
+			expectedResult: 6,
+		},
+		"Round 7 down to a multiple of 14": {
+			value:          big.NewRat(7, 1),
+			base:           14,
+			up:             false,
+			expectedResult: 0,
+		},
+		"Round 7 up to a multiple of 14": {
+			value:          big.NewRat(7, 1),
+			base:           14,
+			up:             true,
+			expectedResult: 14,
+		},
+		"Round 123 down to a multiple of 123": {
+			value:          big.NewRat(123, 1),
+			base:           123,
+			up:             false,
+			expectedResult: 123,
+		},
+		"Round 123 up to a multiple of 123": {
+			value:          big.NewRat(123, 1),
+			base:           123,
+			up:             true,
+			expectedResult: 123,
+		},
+		"Round 100/6 down to a multiple of 3": {
+			value:          big.NewRat(100, 6),
+			base:           3,
+			up:             false,
+			expectedResult: 15,
+		},
+		"Round 100/6 up to a multiple of 3": {
+			value:          big.NewRat(100, 6),
+			base:           3,
+			up:             true,
+			expectedResult: 18,
+		},
+		"Round 7/2 down to a multiple of 1": {
+			value:          big.NewRat(7, 2),
+			base:           1,
+			up:             false,
+			expectedResult: 3,
+		},
+		"Round 7/2 up to a multiple of 1": {
+			value:          big.NewRat(7, 2),
+			base:           1,
+			up:             true,
+			expectedResult: 4,
+		},
+		"Round 10 down to a multiple of 0": {
+			value:          big.NewRat(10, 1),
+			base:           0,
+			up:             false,
+			expectedResult: 0,
+		},
+		"Round 10 up to a multiple of 0": {
+			value:          big.NewRat(10, 1),
+			base:           0,
+			up:             true,
+			expectedResult: 0,
+		},
+	}
+	for name, tc := range tests {
+		t.Run(name, func(t *testing.T) {
+			result := lib.BigRatRoundToNearestMultiple(
+				tc.value,
+				tc.base,
+				tc.up,
+			)
+			require.Equal(t, tc.expectedResult, result)
+		})
+	}
+}

protocol/x/vault/keeper/orders.go

@@ -1,7 +1,32 @@
 package keeper
 
 import (
+	"fmt"
+	"math/big"
+
+	errorsmod "cosmossdk.io/errors"
 	sdk "github.com/cosmos/cosmos-sdk/types"
+	"github.com/dydxprotocol/v4-chain/protocol/lib"
+	clobtypes "github.com/dydxprotocol/v4-chain/protocol/x/clob/types"
+	satypes "github.com/dydxprotocol/v4-chain/protocol/x/subaccounts/types"
+	"github.com/dydxprotocol/v4-chain/protocol/x/vault/types"
+)
+
+// TODO (TRA-118): store vault strategy constants in x/vault state.
+const (
+	// Determines how many layers of orders a vault places.
+	// E.g. if num_levels=2, a vault places 2 asks and 2 bids.
+	NUM_LAYERS = uint8(2)
+	// Determines minimum base spread when a vault quotes around reservation price.
+	MIN_BASE_SPREAD_PPM = uint32(3_000) // 30bps
+	// Determines the amount to add to min_price_change_ppm to arrive at base spread.
+	BASE_SPREAD_MIN_PRICE_CHANGE_PREMIUM_PPM = uint32(1_500) // 15bps
+	// Determines how aggressive a vault skews its orders.
+	SKEW_FACTOR_PPM = uint32(500_000) // 0.5
+	// Determines the percentage of vault equity that each order is sized at.
+	ORDER_SIZE_PCT_PPM = uint32(100_000) // 10%
+	// Determines how long a vault's orders are valid for.
+	ORDER_EXPIRATION_SECONDS = uint32(5) // 5 seconds
 )
 
 // RefreshAllVaultOrders refreshes all orders for all vaults by
@@ -10,3 +35,144 @@ import (
 // 2. Placing new orders.
 func (k Keeper) RefreshAllVaultOrders(ctx sdk.Context) {
 }
+
+// GetVaultClobOrders returns a list of long term orders for a given vault, with its corresponding
+// clob pair, perpetual, market parameter, and market price.
+// Let n be number of layers, then the function returns orders at [a_1, b_1, a_2, b_2, ..., a_n, b_n]
+// where a_i and b_i are the ask price and bid price at i-th layer. To compute a_i and b_i:
+// - a_i = oraclePrice * (1 + spread)^i
+// - b_i = oraclePrice * (1 - spread)^i
+// TODO (TRA-144): Implement order size
+// TODO (TRA-114): Implement skew
+func (k Keeper) GetVaultClobOrders(
+	ctx sdk.Context,
+	vaultId types.VaultId,
+) (orders []*clobtypes.Order, err error) {
+	// Get clob pair, perpetual, market parameter, and market price that correspond to this vault.
+	clobPair, exists := k.clobKeeper.GetClobPair(ctx, clobtypes.ClobPairId(vaultId.Number))
+	if !exists {
+		return orders, errorsmod.Wrap(
+			types.ErrClobPairNotFound,
+			fmt.Sprintf("VaultId: %v", vaultId),
+		)
+	}
+	perpId := clobPair.Metadata.(*clobtypes.ClobPair_PerpetualClobMetadata).PerpetualClobMetadata.PerpetualId
+	perpetual, err := k.perpetualsKeeper.GetPerpetual(ctx, perpId)
+	if err != nil {
+		return orders, errorsmod.Wrap(
+			err,
+			fmt.Sprintf("VaultId: %v", vaultId),
+		)
+	}
+	marketParam, exists := k.pricesKeeper.GetMarketParam(ctx, perpetual.Params.MarketId)
+	if !exists {
+		return orders, errorsmod.Wrap(
+			types.ErrMarketParamNotFound,
+			fmt.Sprintf("VaultId: %v", vaultId),
+		)
+	}
+	marketPrice, err := k.pricesKeeper.GetMarketPrice(ctx, perpetual.Params.MarketId)
+	if err != nil {
+		return orders, errorsmod.Wrap(
+			err,
+			fmt.Sprintf("VaultId: %v", vaultId),
+		)
+	}
+
+	// Get vault (subaccount 0 of corresponding module account).
+	vault := satypes.SubaccountId{
+		Owner:  vaultId.ToModuleAccountAddress(),
+		Number: 0,
+	}
+	// Calculate spread.
+	spreadPpm := lib.Max(
+		MIN_BASE_SPREAD_PPM,
+		BASE_SPREAD_MIN_PRICE_CHANGE_PREMIUM_PPM+marketParam.MinPriceChangePpm,
+	)
+	// Get market price in subticks.
+	subticks := clobtypes.PriceToSubticks(
+		marketPrice,
+		clobPair,
+		perpetual.Params.AtomicResolution,
+		lib.QuoteCurrencyAtomicResolution,
+	)
+	// Get order expiration time.
+	goodTilBlockTime := &clobtypes.Order_GoodTilBlockTime{
+		GoodTilBlockTime: uint32(ctx.BlockTime().Unix()) + ORDER_EXPIRATION_SECONDS,
+	}
+	// Construct one ask and one bid for each layer.
+	orders = make([]*clobtypes.Order, 2*NUM_LAYERS)
+	askSubticks := new(big.Rat).Set(subticks)
+	bidSubticks := new(big.Rat).Set(subticks)
+	for i := uint8(0); i < NUM_LAYERS; i++ {
+		// Calculate ask and bid subticks for this layer.
+		askSubticks = lib.BigRatMulPpm(askSubticks, lib.OneMillion+spreadPpm)
+		bidSubticks = lib.BigRatMulPpm(bidSubticks, lib.OneMillion-spreadPpm)
+
+		// Construct ask at this layer.
+		ask := clobtypes.Order{
+			OrderId: clobtypes.OrderId{
+				SubaccountId: vault,
+				ClientId:     k.GetVaultClobOrderClientId(ctx, clobtypes.Order_SIDE_SELL, uint8(i+1)),
+				OrderFlags:   clobtypes.OrderIdFlags_LongTerm,
+				ClobPairId:   clobPair.Id,
+			},
+			Side:     clobtypes.Order_SIDE_SELL,
+			Quantums: clobPair.StepBaseQuantums, // TODO (TRA-144): Implement order size
+			Subticks: lib.BigRatRoundToNearestMultiple(
+				askSubticks,
+				clobPair.SubticksPerTick,
+				true, // round up for asks
+			),
+			GoodTilOneof: goodTilBlockTime,
+		}
+
+		// Construct bid at this layer.
+		bid := clobtypes.Order{
+			OrderId: clobtypes.OrderId{
+				SubaccountId: vault,
+				ClientId:     k.GetVaultClobOrderClientId(ctx, clobtypes.Order_SIDE_BUY, uint8(i+1)),
+				OrderFlags:   clobtypes.OrderIdFlags_LongTerm,
+				ClobPairId:   clobPair.Id,
+			},
+			Side:     clobtypes.Order_SIDE_BUY,
+			Quantums: clobPair.StepBaseQuantums, // TODO (TRA-144): Implement order size
+			Subticks: lib.BigRatRoundToNearestMultiple(
+				bidSubticks,
+				clobPair.SubticksPerTick,
+				false, // round down for bids
+			),
+			GoodTilOneof: goodTilBlockTime,
+		}
+
+		orders[2*i] = &ask
+		orders[2*i+1] = &bid
+	}
+
+	return orders, nil
+}
+
+// GetVaultClobOrderClientId returns the client ID for a CLOB order where
+// - 1st bit is `side-1` (subtract 1 as buy_side = 1, sell_side = 2)
+//
+// - 2nd bit is `block height % 2`
+//   - block height bit alternates between 0 and 1 to ensure that client IDs
+//     are different in two consecutive blocks (otherwise, order placement would
+//     fail because the same order IDs are already marked for cancellation)
+//
+// - next 8 bits are `layer`
+func (k Keeper) GetVaultClobOrderClientId(
+	ctx sdk.Context,
+	side clobtypes.Order_Side,
+	layer uint8,
+) uint32 {
+	sideBit := uint32(side - 1)
+	sideBit <<= 31
+
+	blockHeightBit := uint32(ctx.BlockHeight() % 2)
+	blockHeightBit <<= 30
+
+	layerBits := uint32(layer) << 22
+
+	return sideBit | blockHeightBit | layerBits
+}