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market_snapshot.go
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market_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 execution
import (
"context"
"fmt"
"sort"
"time"
"code.vegaprotocol.io/vega/core/assets"
"code.vegaprotocol.io/vega/core/fee"
"code.vegaprotocol.io/vega/core/liquidity"
"code.vegaprotocol.io/vega/core/liquidity/target"
"code.vegaprotocol.io/vega/core/markets"
"code.vegaprotocol.io/vega/core/matching"
"code.vegaprotocol.io/vega/core/monitor"
lmon "code.vegaprotocol.io/vega/core/monitor/liquidity"
"code.vegaprotocol.io/vega/core/monitor/price"
"code.vegaprotocol.io/vega/core/positions"
"code.vegaprotocol.io/vega/core/products"
"code.vegaprotocol.io/vega/core/risk"
"code.vegaprotocol.io/vega/core/settlement"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
"golang.org/x/exp/maps"
)
func NewMarketFromSnapshot(
ctx context.Context,
log *logging.Logger,
em *types.ExecMarket,
riskConfig risk.Config,
positionConfig positions.Config,
settlementConfig settlement.Config,
matchingConfig matching.Config,
feeConfig fee.Config,
liquidityConfig liquidity.Config,
collateralEngine MarketCollateral,
oracleEngine products.OracleEngine,
timeService TimeService,
broker Broker,
stateVarEngine StateVarEngine,
assetDetails *assets.Asset,
marketActivityTracker *MarketActivityTracker,
peggedOrderNotify func(int64),
) (*Market, error) {
mkt := em.Market
positionFactor := num.DecimalFromFloat(10).Pow(num.DecimalFromInt64(mkt.PositionDecimalPlaces))
if len(em.Market.ID) == 0 {
return nil, ErrEmptyMarketID
}
tradableInstrument, err := markets.NewTradableInstrument(ctx, log, mkt.TradableInstrument, oracleEngine)
if err != nil {
return nil, fmt.Errorf("unable to instantiate a new market: %w", err)
}
as := monitor.NewAuctionStateFromSnapshot(mkt, em.AuctionState)
// @TODO -> the raw auctionstate shouldn't be something exposed to the matching engine
// as far as matching goes: it's either an auction or not
book := matching.NewCachedOrderBook(
log, matchingConfig, mkt.ID, as.InAuction(), peggedOrderNotify)
asset := tradableInstrument.Instrument.Product.GetAsset()
// this needs to stay
riskEngine := risk.NewEngine(log,
riskConfig,
tradableInstrument.MarginCalculator,
tradableInstrument.RiskModel,
book,
as,
timeService,
broker,
mkt.ID,
asset,
stateVarEngine,
positionFactor,
em.RiskFactorConsensusReached,
&types.RiskFactor{Market: mkt.ID, Short: em.ShortRiskFactor, Long: em.LongRiskFactor},
mkt.LinearSlippageFactor,
mkt.QuadraticSlippageFactor,
)
settleEngine := settlement.NewSnapshotEngine(
log,
settlementConfig,
tradableInstrument.Instrument.Product,
mkt.ID,
timeService,
broker,
positionFactor,
)
positionEngine := positions.NewSnapshotEngine(log, positionConfig, mkt.ID, broker)
feeEngine, err := fee.New(log, feeConfig, *mkt.Fees, asset, positionFactor)
if err != nil {
return nil, fmt.Errorf("unable to instantiate fee engine: %w", err)
}
tsCalc := target.NewSnapshotEngine(*mkt.LiquidityMonitoringParameters.TargetStakeParameters, positionEngine, mkt.ID, positionFactor)
pMonitor, err := price.NewMonitorFromSnapshot(mkt.ID, asset, em.PriceMonitor, mkt.PriceMonitoringSettings, tradableInstrument.RiskModel, as, stateVarEngine, log)
if err != nil {
return nil, fmt.Errorf("unable to instantiate price monitoring engine: %w", err)
}
exp := assetDetails.DecimalPlaces() - mkt.DecimalPlaces
priceFactor := num.UintZero().Exp(num.NewUint(10), num.NewUint(exp))
lMonitor := lmon.NewMonitor(tsCalc, mkt.LiquidityMonitoringParameters)
liqEngine := liquidity.NewSnapshotEngine(liquidityConfig, log, timeService, broker, tradableInstrument.RiskModel, pMonitor, book, asset, mkt.ID, stateVarEngine, priceFactor.Clone(), positionFactor)
now := timeService.GetTimeNow()
market := &Market{
log: log,
mkt: mkt,
closingAt: time.Unix(0, mkt.MarketTimestamps.Close),
timeService: timeService,
matching: book,
tradableInstrument: tradableInstrument,
risk: riskEngine,
position: positionEngine,
settlement: settleEngine,
collateral: collateralEngine,
broker: broker,
fee: feeEngine,
liquidity: liqEngine,
parties: map[string]struct{}{},
lMonitor: lMonitor,
tsCalc: tsCalc,
feeSplitter: NewFeeSplitterFromSnapshot(em.FeeSplitter, now),
as: as,
pMonitor: pMonitor,
peggedOrders: NewPeggedOrdersFromSnapshot(log, timeService, em.PeggedOrders),
expiringOrders: NewExpiringOrdersFromState(em.ExpiringOrders),
equityShares: NewEquitySharesFromSnapshot(em.EquityShare),
lastBestBidPrice: em.LastBestBid.Clone(),
lastBestAskPrice: em.LastBestAsk.Clone(),
lastMidBuyPrice: em.LastMidBid.Clone(),
lastMidSellPrice: em.LastMidAsk.Clone(),
markPrice: em.CurrentMarkPrice.Clone(),
lastTradedPrice: em.LastTradedPrice.Clone(),
priceFactor: priceFactor,
lastMarketValueProxy: em.LastMarketValueProxy,
lastEquityShareDistributed: time.Unix(0, em.LastEquityShareDistributed),
marketActivityTracker: marketActivityTracker,
positionFactor: positionFactor,
stateVarEngine: stateVarEngine,
settlementDataInMarket: em.SettlementData,
lpPriceRange: mkt.LPPriceRange,
linearSlippageFactor: mkt.LinearSlippageFactor,
quadraticSlippageFactor: mkt.QuadraticSlippageFactor,
}
for _, p := range em.Parties {
market.parties[p] = struct{}{}
}
market.assetDP = uint32(assetDetails.DecimalPlaces())
market.tradableInstrument.Instrument.Product.NotifyOnTradingTerminated(market.tradingTerminated)
market.tradableInstrument.Instrument.Product.NotifyOnSettlementData(market.settlementData)
if em.SettlementData != nil {
// ensure oracle has the settlement data
market.tradableInstrument.Instrument.Product.RestoreSettlementData(em.SettlementData.Clone())
}
liqEngine.SetGetStaticPricesFunc(market.getBestStaticPricesDecimal)
if mkt.State == types.MarketStateTradingTerminated {
market.tradableInstrument.Instrument.Product.UnsubscribeTradingTerminated(ctx)
}
if em.Closed {
market.closed = true
stateVarEngine.UnregisterStateVariable(asset, mkt.ID)
}
return market, nil
}
func (m *Market) getState() *types.ExecMarket {
rf := m.risk.GetRiskFactors()
var sp *num.Numeric
if m.settlementDataInMarket != nil {
sp = m.settlementDataInMarket.Clone()
}
parties := maps.Keys(m.parties)
sort.Strings(parties)
em := &types.ExecMarket{
Market: m.mkt.DeepClone(),
PriceMonitor: m.pMonitor.GetState(),
AuctionState: m.as.GetState(),
PeggedOrders: m.peggedOrders.GetState(),
ExpiringOrders: m.expiringOrders.GetState(),
LastBestBid: m.lastBestBidPrice.Clone(),
LastBestAsk: m.lastBestAskPrice.Clone(),
LastMidBid: m.lastMidBuyPrice.Clone(),
LastMidAsk: m.lastMidSellPrice.Clone(),
LastMarketValueProxy: m.lastMarketValueProxy,
CurrentMarkPrice: m.getCurrentMarkPrice(),
LastTradedPrice: m.getLastTradedPrice(),
LastEquityShareDistributed: m.lastEquityShareDistributed.UnixNano(),
EquityShare: m.equityShares.GetState(),
RiskFactorConsensusReached: m.risk.IsRiskFactorInitialised(),
ShortRiskFactor: rf.Short,
LongRiskFactor: rf.Long,
FeeSplitter: m.feeSplitter.GetState(),
SettlementData: sp,
NextMTM: m.nextMTM.UnixNano(),
Parties: parties,
Closed: m.closed,
}
return em
}