dex: exact spill price handling in FillRoute
#2535
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…plying fills This commit adds a FrontierTx that we can use to transactionally apply a single fill to the frontier state, allowing us to check the actual spill price prior to filling a trade.
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This PR changes the
FillRouteimplementation to fill each successive frontier transactionally, letting us inspect the exact, actual price and compare it with the spill price. This avoids the situation in the current code where the spill price is only checked after committing to exceeding it.The current behavior is retained in one special case, however: if we haven't consumed any positions, by default we don't consider the spill price. The motivation is that the spill price is an estimate, and we haven't ruled out the possibility that there could be two very similar routes, each with an estimated price below their actual price, which could cause the spill/fill cycle to alternate between them, always avoiding doing any filling because the fill would be more than the (underestimated) price of the alternative. By default,
fill_routewill now ignore the spill price until executing at least once, to ensure that routing makes progress. Callers can opt out of this behavior withfill_route_exact.