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snapshot.go
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snapshot.go
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// Copyright (c) 2022 Gobalsky Labs Limited
//
// Use of this software is governed by the Business Source License included
// in the LICENSE.VEGA file and at https://www.mariadb.com/bsl11.
//
// Change Date: 18 months from the later of the date of the first publicly
// available Distribution of this version of the repository, and 25 June 2022.
//
// On the date above, in accordance with the Business Source License, use
// of this software will be governed by version 3 or later of the GNU General
// Public License.
package liquidity
import (
"context"
"sort"
"strconv"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/risk"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/libs/proto"
"code.vegaprotocol.io/vega/logging"
typespb "code.vegaprotocol.io/vega/protos/vega"
snapshotpb "code.vegaprotocol.io/vega/protos/vega/snapshot/v1"
)
//go:generate go run github.com/golang/mock/mockgen -destination mocks/orderbook_mock.go -package mocks code.vegaprotocol.io/vega/core/liquidity OrderBook
type OrderBook interface {
GetOrderByID(orderID string) (*types.Order, error)
GetOrdersPerParty(party string) []*types.Order
GetLiquidityOrders(party string) []*types.Order
}
type SnapshotEngine struct {
*Engine
pl types.Payload
market string
// liquidity types
stopped bool
serialisedParameters []byte
serialisedPendingProvisions []byte
serialisedProvisions []byte
serialisedSupplied []byte
serialisedScores []byte
// keys, need to be computed when the engine is
// instantiated as they are dynamic
hashKeys []string
parametersKey string
pendingProvisionsKey string
provisionsKey string
suppliedKey string
scoresKey string
}
func NewSnapshotEngine(config Config,
log *logging.Logger,
timeService TimeService,
broker Broker,
riskModel RiskModel,
priceMonitor PriceMonitor,
orderBook OrderBook,
asset string,
market string,
stateVarEngine StateVarEngine,
priceFactor *num.Uint,
positionFactor num.Decimal,
) *SnapshotEngine {
se := &SnapshotEngine{
// tickSize = 10^{market_dp} - used for calculating probabilities at offsets from the best bid/ask
// priceFactor = 10^{asset_dp} / 10^{market_dp} - used for scaling a price to the market
// positionFactor = 10^{position_dp} - used to scale sizes to the market position decimals
Engine: NewEngine(config, log, timeService, broker, riskModel, priceMonitor, orderBook, asset, market, stateVarEngine, priceFactor, positionFactor),
pl: types.Payload{},
market: market,
stopped: false,
}
// build the keys
se.buildHashKeys(market)
return se
}
func (e *SnapshotEngine) UpdateMarketConfig(model risk.Model, monitor PriceMonitor) {
e.Engine.UpdateMarketConfig(model, monitor)
}
func (e *SnapshotEngine) StopSnapshots() {
e.log.Debug("market has been cleared, stopping snapshot production", logging.String("marketid", e.marketID))
e.stopped = true
}
func (e *SnapshotEngine) Namespace() types.SnapshotNamespace {
return types.LiquiditySnapshot
}
func (e *SnapshotEngine) Keys() []string {
return e.hashKeys
}
func (e *SnapshotEngine) Stopped() bool {
return e.stopped
}
func (e *SnapshotEngine) OnSuppliedStakeToObligationFactorUpdate(v num.Decimal) {
e.Engine.OnSuppliedStakeToObligationFactorUpdate(v)
}
func (e *SnapshotEngine) OnMaximumLiquidityFeeFactorLevelUpdate(f num.Decimal) {
e.Engine.OnMaximumLiquidityFeeFactorLevelUpdate(f)
}
func (e *SnapshotEngine) OnMarketLiquidityProvisionShapesMaxSizeUpdate(v int64) error {
return e.Engine.OnMarketLiquidityProvisionShapesMaxSizeUpdate(v)
}
func (e *SnapshotEngine) GetState(k string) ([]byte, []types.StateProvider, error) {
state, err := e.serialise(k)
return state, nil, err
}
func (e *SnapshotEngine) LoadState(ctx context.Context, p *types.Payload) ([]types.StateProvider, error) {
if e.Namespace() != p.Data.Namespace() {
return nil, types.ErrInvalidSnapshotNamespace
}
// see what we're reloading
switch pl := p.Data.(type) {
case *types.PayloadLiquidityPendingProvisions:
return nil, e.loadPendingProvisions(
ctx, pl.PendingProvisions.GetPendingProvisions(), p)
case *types.PayloadLiquidityProvisions:
return nil, e.loadProvisions(
ctx, pl.Provisions.GetLiquidityProvisions(), p)
case *types.PayloadLiquidityParameters:
return nil, e.loadParameters(ctx, pl.Parameters, p)
case *types.PayloadLiquiditySupplied:
return nil, e.loadSupplied(pl.LiquiditySupplied, p)
case *types.PayloadLiquidityScores:
return nil, e.loadLiquidityScores(pl.LiquidityScores, p)
default:
return nil, types.ErrUnknownSnapshotType
}
}
func (e *SnapshotEngine) loadSupplied(ls *snapshotpb.LiquiditySupplied, p *types.Payload) error {
err := e.suppliedEngine.Reload(ls)
if err != nil {
return err
}
e.serialisedSupplied, err = proto.Marshal(p.IntoProto())
return err
}
func (e *SnapshotEngine) loadLiquidityScores(ls *snapshotpb.LiquidityScores, p *types.Payload) error {
var err error
e.nAvg = int64(ls.RunningAverageCounter)
scores := make(map[string]num.Decimal, len(ls.Scores))
for _, p := range ls.Scores {
score, err := num.DecimalFromString(p.Score)
if err != nil {
return err
}
scores[p.PartyId] = score
}
e.avgScores = scores
e.serialisedScores, err = proto.Marshal(p.IntoProto())
return err
}
func (e *SnapshotEngine) loadParameters(
_ context.Context, parameters *snapshotpb.LiquidityParameters, p *types.Payload,
) error {
maxShapesSize, err := strconv.ParseInt(parameters.MaxShapeSize, 10, 64)
if err != nil {
return err
}
if err := e.OnMarketLiquidityProvisionShapesMaxSizeUpdate(maxShapesSize); err != nil {
return err
}
maxFee, err := num.DecimalFromString(parameters.MaxFee)
if err != nil {
return err
}
e.OnMaximumLiquidityFeeFactorLevelUpdate(maxFee)
stof, err := num.DecimalFromString(parameters.StakeToObligationFactor)
if err != nil {
return err
}
e.OnSuppliedStakeToObligationFactorUpdate(stof)
e.serialisedParameters, err = proto.Marshal(p.IntoProto())
return err
}
func (e *SnapshotEngine) loadPendingProvisions(
_ context.Context, pendingProvisions []string, p *types.Payload,
) error {
e.Engine.pendings = newSnapshotablePendingProvisions()
for _, v := range pendingProvisions {
e.Engine.pendings.Add(v)
}
var err error
e.serialisedPendingProvisions, err = proto.Marshal(p.IntoProto())
return err
}
func (e *SnapshotEngine) loadProvisions(
ctx context.Context, provisions []*typespb.LiquidityProvision, p *types.Payload,
) error {
e.Engine.provisions = newSnapshotableProvisionsPerParty()
evts := make([]events.Event, 0, len(provisions))
for _, v := range provisions {
provision, err := types.LiquidityProvisionFromProto(v)
if err != nil {
return err
}
e.Engine.provisions.Set(v.PartyId, provision)
evts = append(evts, events.NewLiquidityProvisionEvent(ctx, provision))
}
var err error
e.serialisedProvisions, err = proto.Marshal(p.IntoProto())
e.broker.SendBatch(evts)
return err
}
func (e *SnapshotEngine) serialise(k string) ([]byte, error) {
var (
buf []byte
changed bool
err error
)
switch k {
case e.parametersKey:
buf, changed, err = e.serialiseParameters()
case e.pendingProvisionsKey:
buf, changed, err = e.serialisePendingProvisions()
case e.provisionsKey:
buf, changed, err = e.serialiseProvisions()
case e.suppliedKey:
buf, changed, err = e.serialiseSupplied()
case e.scoresKey:
buf, changed, err = e.serialiseScores()
default:
return nil, types.ErrSnapshotKeyDoesNotExist
}
if err != nil {
return nil, err
}
if e.stopped {
return nil, nil
}
if !changed {
return buf, nil
}
switch k {
case e.parametersKey:
e.serialisedParameters = buf
case e.pendingProvisionsKey:
e.serialisedPendingProvisions = buf
case e.provisionsKey:
e.serialisedProvisions = buf
case e.suppliedKey:
e.serialisedSupplied = buf
case e.scoresKey:
e.serialisedScores = buf
default:
return nil, types.ErrSnapshotKeyDoesNotExist
}
return buf, nil
}
func (e *SnapshotEngine) serialiseParameters() ([]byte, bool, error) {
payload := &snapshotpb.Payload{
Data: &snapshotpb.Payload_LiquidityParameters{
LiquidityParameters: &snapshotpb.LiquidityParameters{
MaxFee: e.Engine.maxFee.String(),
MaxShapeSize: strconv.Itoa(int(e.Engine.maxShapesSize)),
StakeToObligationFactor: e.Engine.stakeToObligationFactor.String(),
MarketId: e.market,
},
},
}
return e.marshalPayload(payload)
}
func (e *SnapshotEngine) serialisePendingProvisions() ([]byte, bool, error) {
pbpendings := make([]string, 0, len(e.Engine.pendings.m))
for k := range e.Engine.pendings.m {
pbpendings = append(pbpendings, k)
}
sort.Strings(pbpendings)
payload := &snapshotpb.Payload{
Data: &snapshotpb.Payload_LiquidityPendingProvisions{
LiquidityPendingProvisions: &snapshotpb.LiquidityPendingProvisions{
MarketId: e.market,
PendingProvisions: pbpendings,
},
},
}
return e.marshalPayload(payload)
}
func (e *SnapshotEngine) serialiseProvisions() ([]byte, bool, error) {
if len(e.lpPartyOrders) != 0 {
e.log.Panic("lp orders exist in engine during snapshot, they should only exist in a transitionary period during a redeploy")
}
// these are sorted already, only a conversion to proto is needed
lps := e.Engine.provisions.Slice()
pblps := make([]*typespb.LiquidityProvision, 0, len(lps))
for _, v := range lps {
pblps = append(pblps, v.IntoProto())
}
payload := &snapshotpb.Payload{
Data: &snapshotpb.Payload_LiquidityProvisions{
LiquidityProvisions: &snapshotpb.LiquidityProvisions{
MarketId: e.market,
LiquidityProvisions: pblps,
},
},
}
return e.marshalPayload(payload)
}
func (e *SnapshotEngine) serialiseSupplied() ([]byte, bool, error) {
payload := e.suppliedEngine.Payload()
return e.marshalPayload(payload)
}
func (e *SnapshotEngine) serialiseScores() ([]byte, bool, error) {
scores := make([]*snapshotpb.LiquidityScore, 0, len(e.avgScores))
keys := make([]string, 0, len(e.avgScores))
for k := range e.avgScores {
keys = append(keys, k)
}
sort.Strings(keys)
for _, k := range keys {
s := &snapshotpb.LiquidityScore{
PartyId: k,
Score: e.avgScores[k].String(),
}
scores = append(scores, s)
}
payload := &snapshotpb.Payload{
Data: &snapshotpb.Payload_LiquidityScores{
LiquidityScores: &snapshotpb.LiquidityScores{
MarketId: e.market,
RunningAverageCounter: int32(e.nAvg),
Scores: scores,
},
},
}
return e.marshalPayload(payload)
}
func (e *SnapshotEngine) marshalPayload(payload *snapshotpb.Payload) ([]byte, bool, error) {
buf, err := proto.Marshal(payload)
if err != nil {
return nil, false, err
}
return buf, true, nil
}
func (e *SnapshotEngine) buildHashKeys(market string) {
e.parametersKey = (&types.PayloadLiquidityParameters{
Parameters: &snapshotpb.LiquidityParameters{
MarketId: market,
},
}).Key()
e.pendingProvisionsKey = (&types.PayloadLiquidityPendingProvisions{
PendingProvisions: &snapshotpb.LiquidityPendingProvisions{
MarketId: market,
},
}).Key()
e.provisionsKey = (&types.PayloadLiquidityProvisions{
Provisions: &snapshotpb.LiquidityProvisions{
MarketId: market,
},
}).Key()
e.suppliedKey = (&types.PayloadLiquiditySupplied{
LiquiditySupplied: &snapshotpb.LiquiditySupplied{
MarketId: market,
},
}).Key()
e.scoresKey = (&types.PayloadLiquidityScores{
LiquidityScores: &snapshotpb.LiquidityScores{
MarketId: market,
},
}).Key()
e.hashKeys = append([]string{}, e.parametersKey,
e.pendingProvisionsKey, e.provisionsKey, e.suppliedKey, e.scoresKey)
}