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auction.go
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auction.go
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// Copyright (C) 2023 Gobalsky Labs Limited
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU Affero General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU Affero General Public License for more details.
//
// You should have received a copy of the GNU Affero General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>.
package future
import (
"context"
"time"
"code.vegaprotocol.io/vega/core/execution/common"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/logging"
)
func (m *Market) checkAuction(ctx context.Context, now time.Time, idgen common.IDGenerator) {
if !m.as.InAuction() {
// new block, check liquidity, start auction if needed
m.checkLiquidity(ctx, nil, true)
if m.as.AuctionStart() {
m.enterAuction(ctx)
}
return
}
if m.mkt.State == types.MarketStateSuspendedViaGovernance {
if endTS := m.as.ExpiresAt(); endTS != nil && endTS.Before(now) {
m.as.ExtendAuctionSuspension(types.AuctionDuration{Duration: int64(m.minDuration)})
}
}
// here we are in auction, we'll want to check
// the triggers if we are leaving
defer func() {
m.triggerStopOrders(ctx, idgen)
}()
var (
trades []*types.Trade
err error
)
checkExceeded := m.mkt.State == types.MarketStatePending
// as soon as we have an indicative uncrossing price in opening auction it needs to be passed into the price monitoring engine so statevar calculation can start
isOpening := m.as.IsOpeningAuction()
if isOpening && !m.pMonitor.Initialised() {
if trades, err = m.matching.GetIndicativeTrades(); err != nil {
m.log.Panic("Can't get indicative trades")
}
if len(trades) > 0 {
// pass the first uncrossing trades to price engine so state variables depending on it can be initialised
m.pMonitor.CheckPrice(ctx, m.as, trades, true)
m.OnOpeningAuctionFirstUncrossingPrice()
}
}
if endTS := m.as.ExpiresAt(); endTS == nil || !endTS.Before(now) {
if isOpening && checkExceeded && m.as.ExceededMaxOpening(now) {
// cancel the market, exceeded opening auction
m.log.Debug("Market was cancelled because it failed to leave opening auction in time", logging.MarketID(m.GetID()))
m.terminateMarket(ctx, types.MarketStateCancelled, nil)
}
return
}
if len(trades) == 0 {
if trades, err = m.matching.GetIndicativeTrades(); err != nil {
m.log.Panic("Can't get indicative trades")
}
}
// opening auction
if isOpening {
if len(trades) == 0 {
return
}
// first check liquidity - before we mark auction as ready to leave
m.checkLiquidity(ctx, trades, true)
if !m.as.CanLeave() {
if checkExceeded && m.as.ExceededMaxOpening(now) {
// cancel the market, exceeded opening auction
m.log.Debug("Market was cancelled because it failed to leave opening auction in time", logging.MarketID(m.GetID()))
m.terminateMarket(ctx, types.MarketStateCancelled, nil)
return
}
if e := m.as.AuctionExtended(ctx, now); e != nil {
m.broker.Send(e)
}
return
}
// opening auction requirements satisfied at this point, other requirements still need to be checked downstream though
m.as.SetReadyToLeave()
m.pMonitor.CheckPrice(ctx, m.as, trades, true)
if m.as.ExtensionTrigger() == types.AuctionTriggerPrice {
// this should never, ever happen
m.log.Panic("Leaving opening auction somehow triggered price monitoring to extend the auction")
}
// if we don't have yet consensus for the floating point parameters, stay in the opening auction
if !m.CanLeaveOpeningAuction() {
m.log.Info("cannot leave opening auction - waiting for floating point to complete the first round")
return
}
m.log.Info("leaving opening auction for market", logging.String("market-id", m.mkt.ID))
m.leaveAuction(ctx, now)
// tell the product we're ready to start
m.tradableInstrument.Instrument.Product.OnLeaveOpeningAuction(ctx, now.UnixNano())
m.equityShares.OpeningAuctionEnded()
// start the market fee window
m.feeSplitter.TimeWindowStart(now)
// reset SLA epoch
m.liquidity.OnEpochStart(ctx,
m.timeService.GetTimeNow(),
m.getCurrentMarkPrice(),
m.midPrice(),
m.getTargetStake(),
m.positionFactor,
)
return
}
// price and liquidity auctions
isPrice := m.as.IsPriceAuction() || m.as.IsPriceExtension()
if !isPrice {
m.checkLiquidity(ctx, trades, true)
}
if isPrice || m.as.CanLeave() {
m.pMonitor.CheckPrice(ctx, m.as, trades, true)
}
end := m.as.CanLeave()
if isPrice && end {
m.checkLiquidity(ctx, trades, true)
}
if evt := m.as.AuctionExtended(ctx, m.timeService.GetTimeNow()); evt != nil {
m.broker.Send(evt)
end = false
}
// price monitoring engine and liquidity monitoring engine both indicated auction can end
if end {
// can we leave based on the book state?
m.leaveAuction(ctx, now)
}
// This is where FBA handling will go
}