-
Notifications
You must be signed in to change notification settings - Fork 19
/
statevar.go
72 lines (61 loc) · 2.78 KB
/
statevar.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
// 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 risk
import (
"context"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/core/types/statevar"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
)
type FactorConverter struct{}
var riskFactorTolerance = num.MustDecimalFromString("1e-6")
func (FactorConverter) BundleToInterface(kvb *statevar.KeyValueBundle) statevar.StateVariableResult {
return &types.RiskFactor{
Short: kvb.KVT[0].Val.(*statevar.DecimalScalar).Val,
Long: kvb.KVT[1].Val.(*statevar.DecimalScalar).Val,
}
}
func (FactorConverter) InterfaceToBundle(res statevar.StateVariableResult) *statevar.KeyValueBundle {
value := res.(*types.RiskFactor)
return &statevar.KeyValueBundle{
KVT: []statevar.KeyValueTol{
{Key: "short", Val: &statevar.DecimalScalar{Val: value.Short}, Tolerance: riskFactorTolerance},
{Key: "long", Val: &statevar.DecimalScalar{Val: value.Long}, Tolerance: riskFactorTolerance},
},
}
}
// startRiskFactorsCalculation kicks off the risk factors calculation, done asynchronously for illustration.
func (e *Engine) startRiskFactorsCalculation(eventID string, endOfCalcCallback statevar.FinaliseCalculation) {
rf := e.model.CalculateRiskFactors()
e.log.Info("risk factors calculated", logging.String("event-id", eventID), logging.Decimal("short", rf.Short), logging.Decimal("long", rf.Long))
endOfCalcCallback.CalculationFinished(eventID, rf, nil)
}
// CalculateRiskFactorsForTest is a hack for testing for setting directly the risk factors for a market.
func (e *Engine) CalculateRiskFactorsForTest() {
e.factors = e.model.CalculateRiskFactors()
e.factors.Market = e.mktID
}
// updateRiskFactor sets the risk factor value to that of the decimal consensus value.
func (e *Engine) updateRiskFactor(ctx context.Context, res statevar.StateVariableResult) error {
e.factors = res.(*types.RiskFactor)
e.factors.Market = e.mktID
e.riskFactorsInitialised = true
e.log.Info("consensus reached for risk factors", logging.String("market", e.mktID), logging.Decimal("short", e.factors.Short), logging.Decimal("long", e.factors.Long))
// then we can send in the broker
e.broker.Send(events.NewRiskFactorEvent(ctx, *e.factors))
return nil
}
func (e *Engine) IsRiskFactorInitialised() bool {
return e.riskFactorsInitialised
}