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fill.go
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fill.go
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package periodicauction
import (
"fmt"
"strings"
sdk "github.com/okex/exchain/libs/cosmos-sdk/types"
orderkeeper "github.com/okex/exchain/x/order/keeper"
"github.com/okex/exchain/x/order/types"
token "github.com/okex/exchain/x/token/types"
)
func fillBuyOrders(ctx sdk.Context, keeper orderkeeper.Keeper, product string,
bestPrice, maxExecution sdk.Dec, buyExecuted *sdk.Dec,
blockRemainDeals int64, feeParams *types.Params) ([]types.Deal, int64) {
var buyDeals []types.Deal
book := keeper.GetDepthBookCopy(product)
// Fill buy orders, prices from high to low
index := 0
for index < len(book.Items) {
if !(book.Items[index].Price.GTE(bestPrice) && buyExecuted.LT(maxExecution)) {
break
}
// item.InitPrice >= bestPrice, fill buy orders
fillAmount := sdk.MinDec(book.Items[index].BuyQuantity, maxExecution.Sub(*buyExecuted))
if fillAmount.IsZero() { // no buyer at this price
index++
continue
}
// Fill buy orders at this price
key := types.FormatOrderIDsKey(product, book.Items[index].Price, types.BuyOrder)
filledBuyDeals, filledBuyAmount, filledDealsCnt := fillOrderByKey(ctx, keeper, key,
fillAmount, bestPrice, feeParams, blockRemainDeals)
blockRemainDeals -= filledDealsCnt
buyDeals = append(buyDeals, filledBuyDeals...)
*buyExecuted = buyExecuted.Add(filledBuyAmount)
book.Sub(index, filledBuyAmount, types.BuyOrder)
res := book.RemoveIfEmpty(index)
if !res {
index++
}
if blockRemainDeals <= 0 {
break
}
}
keeper.SetDepthBook(product, book)
return buyDeals, blockRemainDeals
}
func fillSellOrders(ctx sdk.Context, keeper orderkeeper.Keeper, product string,
bestPrice, maxExecution sdk.Dec, sellExecuted *sdk.Dec,
blockRemainDeals int64, feeParams *types.Params) ([]types.Deal, int64) {
var sellDeals []types.Deal
book := keeper.GetDepthBookCopy(product)
// Fill sell orders, prices from low to high
index := len(book.Items) - 1
for index >= 0 {
if !(book.Items[index].Price.LTE(bestPrice) && sellExecuted.LT(maxExecution)) {
break
}
// item.InitPrice <= bestPrice, fill sell orders
fillAmount := sdk.MinDec(book.Items[index].SellQuantity, maxExecution.Sub(*sellExecuted))
if fillAmount.IsZero() {
index--
continue
}
// Fill sell orders at this price
key := types.FormatOrderIDsKey(product, book.Items[index].Price, types.SellOrder)
filledSellDeals, filledSellAmount, filledDealsCnt := fillOrderByKey(ctx, keeper,
key, fillAmount, bestPrice, feeParams, blockRemainDeals)
blockRemainDeals -= filledDealsCnt
sellDeals = append(sellDeals, filledSellDeals...)
*sellExecuted = sellExecuted.Add(filledSellAmount)
book.Sub(index, filledSellAmount, types.SellOrder)
book.RemoveIfEmpty(index)
if blockRemainDeals <= 0 {
break
}
index--
}
keeper.SetDepthBook(product, book) // update depthbook on filled
return sellDeals, blockRemainDeals
}
// fillDepthBook will fill orders in depth book with bestPrice.
// It will update book and orderIDsMap, also update orders, charge fees, and transfer tokens,
// then return all deals.
func fillDepthBook(ctx sdk.Context,
keeper orderkeeper.Keeper,
product string,
bestPrice,
maxExecution sdk.Dec,
buyExecutedCnt,
sellExecutedCnt *sdk.Dec,
blockRemainDeals int64,
feeParams *types.Params) ([]types.Deal, int64) {
var deals []types.Deal
if maxExecution.IsZero() {
return deals, blockRemainDeals
}
buyDeals, blockRemainDeals := fillBuyOrders(ctx, keeper, product, bestPrice, maxExecution,
buyExecutedCnt, blockRemainDeals, feeParams)
deals = append(deals, buyDeals...)
if blockRemainDeals <= 0 {
return deals, blockRemainDeals
}
sellDeals, blockRemainDeals := fillSellOrders(ctx, keeper, product, bestPrice, maxExecution,
sellExecutedCnt, blockRemainDeals, feeParams)
deals = append(deals, sellDeals...)
return deals, blockRemainDeals
}
// Fill orders in orderIDsMap at specific key
func fillOrderByKey(ctx sdk.Context, keeper orderkeeper.Keeper, key string,
needFillAmount sdk.Dec, fillPrice sdk.Dec, feeParams *types.Params,
remainDeals int64) ([]types.Deal, sdk.Dec, int64) {
deals := []types.Deal{}
filledAmount := sdk.ZeroDec()
orderIDsMap := keeper.GetDiskCache().GetOrderIDsMapCopy()
filledDealsCnt := int64(0)
orderIDs, ok := orderIDsMap.Data[key]
// if key not found in orderIDsMap, return
if !ok {
return deals, filledAmount, filledDealsCnt
}
index := 0
for filledDealsCnt < remainDeals && filledAmount.LT(needFillAmount) {
order := keeper.GetOrder(ctx, orderIDs[index])
if order == nil {
ctx.Logger().Error("[Order] Not exist orderID: ", orderIDs[index])
}
if filledAmount.Add(order.RemainQuantity).LTE(needFillAmount) {
filledAmount = filledAmount.Add(order.RemainQuantity)
if deal := fillOrder(order, ctx, keeper, fillPrice, order.RemainQuantity, feeParams); deal != nil {
deals = append(deals, *deal)
}
filledDealsCnt++
index++
} else {
if deal := fillOrder(order, ctx, keeper, fillPrice, needFillAmount.Sub(filledAmount), feeParams); deal != nil {
deals = append(deals, *deal)
}
filledAmount = needFillAmount
break
}
}
unFilledOrderIDs := orderIDs[index:] // update orderIDs, remove filled orderIDs
// Note: orderIDs cannot be nil, we will use empty slice to remove Data on keeper
if len(unFilledOrderIDs) == 0 {
unFilledOrderIDs = []string{}
}
keeper.SetOrderIDs(key, unFilledOrderIDs) // update orderIDsMap on filled
return deals, filledAmount, filledDealsCnt
}
func balanceAccount(order *types.Order, ctx sdk.Context, keeper orderkeeper.Keeper,
fillPrice, fillQuantity sdk.Dec) {
symbols := strings.Split(order.Product, "_")
// transfer tokens
var outputCoins, inputCoins sdk.SysCoins
if order.Side == types.BuyOrder {
outputCoins = sdk.SysCoins{{Denom: symbols[1], Amount: fillPrice.Mul(fillQuantity)}}
inputCoins = sdk.SysCoins{{Denom: symbols[0], Amount: fillQuantity}}
} else {
outputCoins = sdk.SysCoins{{Denom: symbols[0], Amount: fillQuantity}}
inputCoins = sdk.SysCoins{{Denom: symbols[1], Amount: fillPrice.Mul(fillQuantity)}}
}
keeper.BalanceAccount(ctx, order.Sender, outputCoins, inputCoins)
}
func chargeFee(order *types.Order, ctx sdk.Context, keeper orderkeeper.Keeper, fillQuantity sdk.Dec,
feeParams *types.Params) (dealFee sdk.SysCoins, feeReceiver string) {
// charge fee
fee := orderkeeper.GetZeroFee()
if order.Status == types.OrderStatusFilled {
lockedFee := orderkeeper.GetOrderNewFee(order)
fee = orderkeeper.GetOrderCostFee(order, ctx)
receiveFee := lockedFee.Sub(fee)
keeper.UnlockCoins(ctx, order.Sender, lockedFee, token.LockCoinsTypeFee)
keeper.AddFeeDetail(ctx, order.Sender, receiveFee, types.FeeTypeOrderReceive)
order.RecordOrderReceiveFee(receiveFee)
err := keeper.AddCollectedFees(ctx, fee, order.Sender, types.FeeTypeOrderNew, false)
if err != nil {
ctx.Logger().Error(fmt.Sprintf("Send fee failed:%s\n", err.Error()))
}
}
dealFee = orderkeeper.GetDealFee(order, fillQuantity, ctx, keeper, feeParams)
feeReceiver, err := keeper.SendFeesToProductOwner(ctx, dealFee, order.Sender, types.FeeTypeOrderDeal, order.Product)
if err == nil {
order.RecordOrderDealFee(fee)
}
return
}
// Fill an order. Update order, charge fee and transfer tokens. Return a deal.
// If an order is fully filled but still lock some coins, unlock it.
func fillOrder(order *types.Order, ctx sdk.Context, keeper orderkeeper.Keeper,
fillPrice, fillQuantity sdk.Dec, feeParams *types.Params) *types.Deal {
// update order
order.Fill(fillPrice, fillQuantity)
balanceAccount(order, ctx, keeper, fillPrice, fillQuantity)
// if fully filled and still need unlock coins
if order.Status == types.OrderStatusFilled && order.RemainLocked.IsPositive() {
needUnlockCoins := order.NeedUnlockCoins()
keeper.UnlockCoins(ctx, order.Sender, needUnlockCoins, token.LockCoinsTypeQuantity)
order.Unlock()
}
dealFee, feeReceiver := chargeFee(order, ctx, keeper, fillQuantity, feeParams)
keeper.UpdateOrder(order, ctx) // update order info on filled
return &types.Deal{OrderID: order.OrderID, Side: order.Side, Quantity: fillQuantity, Fee: dealFee.String(), FeeReceiver: feeReceiver}
}