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side.go
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side.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 matching
import (
"encoding/binary"
"fmt"
"sort"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/crypto"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
"github.com/pkg/errors"
)
// ErrPriceNotFound signals that a price was not found on the book side.
var ErrPriceNotFound = errors.New("price-volume pair not found")
// OrderBookSide represent a side of the book, either Sell or Buy.
type OrderBookSide struct {
side types.Side
log *logging.Logger
levels []*PriceLevel
}
func (s *OrderBookSide) Hash() []byte {
// 32 num.Uint.Bytes() for price + 8 for volume
output := make([]byte, len(s.levels)*40)
var i int
for _, l := range s.levels {
// Data is already coming as big endian out of
// Uint.Bytes()
price := l.price.Bytes()
copy(output[i:], price[:])
i += 32
binary.BigEndian.PutUint64(output[i:], l.volume)
i += 8
}
return crypto.Hash(output)
}
func (s *OrderBookSide) cleanup() {
s.levels = nil
}
// When we leave an auction we need to remove any orders marked as GFA.
func (s *OrderBookSide) getOrdersToCancel(auction bool) []*types.Order {
ordersToCancel := make([]*types.Order, 0)
for _, pricelevel := range s.levels {
for _, order := range pricelevel.orders {
// Find orders to cancel
if (order.TimeInForce == types.OrderTimeInForceGFA && !auction) ||
(order.TimeInForce == types.OrderTimeInForceGFN && auction) {
// Save order to send back to client
ordersToCancel = append(ordersToCancel, order)
}
}
}
return ordersToCancel
}
func (s *OrderBookSide) addOrder(o *types.Order) {
// update the price-volume map
s.getPriceLevel(o.Price).addOrder(o)
}
// BestPriceAndVolume returns the top of book price and volume
// returns an error if the book is empty.
func (s *OrderBookSide) BestPriceAndVolume() (*num.Uint, uint64, error) {
if len(s.levels) <= 0 {
return num.UintZero(), 0, errors.New("no orders on the book")
}
last := len(s.levels) - 1
return s.levels[last].price.Clone(), s.levels[last].volume, nil
}
// BestStaticPrice returns the top of book price for non pegged orders
// We do not keep count of the volume which makes this slightly quicker
// returns an error if the book is empty.
func (s *OrderBookSide) BestStaticPrice() (*num.Uint, error) {
if len(s.levels) <= 0 {
return num.UintZero(), errors.New("no orders on the book")
}
for i := len(s.levels) - 1; i >= 0; i-- {
pricelevel := s.levels[i]
for _, order := range pricelevel.orders {
if order.PeggedOrder == nil {
return pricelevel.price.Clone(), nil
}
}
}
return num.UintZero(), errors.New("no non pegged orders found on the book")
}
// BestStaticPriceAndVolume returns the top of book price for non pegged orders
// returns an error if the book is empty.
func (s *OrderBookSide) BestStaticPriceAndVolume() (*num.Uint, uint64, error) {
if len(s.levels) <= 0 {
return num.UintZero(), 0, errors.New("no orders on the book")
}
var (
bestPrice = num.UintZero()
bestVolume uint64
)
for i := len(s.levels) - 1; i >= 0; i-- {
pricelevel := s.levels[i]
for _, order := range pricelevel.orders {
if order.PeggedOrder == nil {
bestPrice = pricelevel.price
bestVolume += order.Remaining
}
}
// If we found a price, return it
if bestPrice.GT(num.UintZero()) {
return bestPrice.Clone(), bestVolume, nil
}
}
return num.UintZero(), 0, errors.New("no non pegged orders found on the book")
}
func (s *OrderBookSide) amendIcebergOrder(amendOrder *types.Order, oldOrder *types.Order, priceLevelIndex int, orderIndex int) (int64, error) {
if amendOrder.Remaining > oldOrder.Remaining {
// iceberg amend should never increase the visible remaining
return 0, types.ErrOrderAmendFailure
}
// set the new order in the level
s.levels[priceLevelIndex].orders[orderIndex] = amendOrder
// iceberg orders are a little different because they can be increased or decreased in size but
// amended in place. This is because on increase only the reserve amount it changed.
oldReserved := oldOrder.IcebergOrder.ReservedRemaining
amendReserved := amendOrder.IcebergOrder.ReservedRemaining
if amendReserved > oldReserved {
// only increased volume diff is easy
inc := amendReserved - oldReserved
s.levels[priceLevelIndex].volume += inc
return int64(inc), nil
}
if amendReserved < oldReserved {
dec := oldOrder.Remaining - amendOrder.Remaining
dec += oldReserved - amendReserved
s.levels[priceLevelIndex].reduceVolume(dec)
return -int64(dec), nil
}
return 0, nil
}
func (s *OrderBookSide) amendOrder(orderAmend *types.Order) (int64, error) {
priceLevelIndex := -1
orderIndex := -1
var oldOrder *types.Order
for idx, priceLevel := range s.levels {
if priceLevel.price.EQ(orderAmend.Price) {
priceLevelIndex = idx
for j, order := range priceLevel.orders {
if order.ID == orderAmend.ID {
orderIndex = j
oldOrder = order
break
}
}
break
}
}
if oldOrder == nil || priceLevelIndex == -1 || orderIndex == -1 {
return 0, types.ErrOrderNotFound
}
if oldOrder.Party != orderAmend.Party {
return 0, types.ErrOrderAmendFailure
}
if oldOrder.Reference != orderAmend.Reference {
return 0, types.ErrOrderAmendFailure
}
if oldOrder.IcebergOrder != nil {
return s.amendIcebergOrder(orderAmend, oldOrder, priceLevelIndex, orderIndex)
}
if oldOrder.Size < orderAmend.Size &&
oldOrder.Remaining < orderAmend.Size {
return 0, types.ErrOrderAmendFailure
}
reduceBy := oldOrder.Remaining - orderAmend.Remaining
s.levels[priceLevelIndex].orders[orderIndex] = orderAmend
s.levels[priceLevelIndex].reduceVolume(reduceBy)
return -int64(reduceBy), nil
}
// ExtractOrders extracts the orders from the top of the book until the volume amount is hit,
// if removeOrders is set to True then the relevant orders also get removed.
func (s *OrderBookSide) ExtractOrders(price *num.Uint, volume uint64, removeOrders bool) []*types.Order {
extractedOrders := []*types.Order{}
var (
totalVolume uint64
checkPrice func(*num.Uint) bool
)
if s.side == types.SideBuy {
checkPrice = func(orderPrice *num.Uint) bool { return orderPrice.GTE(price) }
} else {
checkPrice = func(orderPrice *num.Uint) bool { return orderPrice.LTE(price) }
}
for i := len(s.levels) - 1; i >= 0; i-- {
pricelevel := s.levels[i]
var toRemove int
for _, order := range pricelevel.orders {
// Check the price is good and the total volume will not be exceeded
if checkPrice(order.Price) && totalVolume+order.Remaining <= volume {
// Remove this order
extractedOrders = append(extractedOrders, order.Clone())
totalVolume += order.TrueRemaining()
// Remove the order from the price level
toRemove++
} else {
// We should never get to here unless the passed in price
// and volume are not correct
s.log.Panic("Failed to extract orders as not enough volume within price limits",
logging.BigUint("price", price),
logging.Uint64("required-volume", volume),
logging.Uint64("found-volume", totalVolume),
logging.Bool("remove-orders", removeOrders))
}
// If we have the right amount, stop processing
if totalVolume == volume {
break
}
}
if removeOrders {
for ; toRemove > 0; toRemove-- {
pricelevel.removeOrder(0)
}
// Erase this price level which will be at the end of the slice
if len(pricelevel.orders) == 0 {
s.levels[i] = nil
s.levels = s.levels[:len(s.levels)-1]
}
}
// Check if we have done enough
if totalVolume == volume {
break
}
}
// If we get here and don't have the full amount of volume
// something has gone wrong
if totalVolume != volume {
s.log.Panic("Failed to extract orders as not enough volume on the book",
logging.BigUint("Price", price), logging.Uint64("volume", volume))
}
return extractedOrders
}
// RemoveOrder will remove an order from the book.
func (s *OrderBookSide) RemoveOrder(o *types.Order) (*types.Order, error) {
// first we try to find the pricelevel of the order
var i int
if o.Side == types.SideBuy {
i = sort.Search(len(s.levels), func(i int) bool { return s.levels[i].price.GTE(o.Price) })
} else {
// sell side levels should be ordered in ascending
i = sort.Search(len(s.levels), func(i int) bool { return s.levels[i].price.LTE(o.Price) })
}
// we did not found the level
// then the order do not exists in the price level
if i >= len(s.levels) {
return nil, types.ErrOrderNotFound
}
// now we may have a few orders with the same timestamp
// lets iterate over them in order to find the right one
finaloidx := -1
for index, order := range s.levels[i].orders {
if order.ID == o.ID {
finaloidx = index
break
}
}
var order *types.Order
// remove the order from the
if finaloidx != -1 {
order = s.levels[i].orders[finaloidx]
s.levels[i].removeOrder(finaloidx)
} else {
// We could not find the matching order, return an error
return nil, types.ErrOrderNotFound
}
if len(s.levels[i].orders) <= 0 {
s.levels = s.levels[:i+copy(s.levels[i:], s.levels[i+1:])]
}
return order, nil
}
func (s *OrderBookSide) getPriceLevelIfExists(price *num.Uint) *PriceLevel {
var i int
if s.side == types.SideBuy {
// buy side levels should be ordered in ascending
i = sort.Search(len(s.levels), func(i int) bool { return s.levels[i].price.GTE(price) })
} else {
// sell side levels should be ordered in descending
i = sort.Search(len(s.levels), func(i int) bool { return s.levels[i].price.LTE(price) })
}
// we found the level just return it.
if i < len(s.levels) && s.levels[i].price.EQ(price) {
return s.levels[i]
}
return nil
}
func (s *OrderBookSide) getPriceLevel(price *num.Uint) *PriceLevel {
var i int
if s.side == types.SideBuy {
// buy side levels should be ordered in descending
i = sort.Search(len(s.levels), func(i int) bool { return s.levels[i].price.GTE(price) })
} else {
// sell side levels should be ordered in ascending
i = sort.Search(len(s.levels), func(i int) bool { return s.levels[i].price.LTE(price) })
}
// we found the level just return it.
if i < len(s.levels) && s.levels[i].price.EQ(price) {
return s.levels[i]
}
// append new elem first to make sure we have enough place
// this would reallocate sufficiently then
// no risk of this being a empty order, as it's overwritten just next with
// the slice insert
level := NewPriceLevel(price.Clone())
s.levels = append(s.levels, nil)
copy(s.levels[i+1:], s.levels[i:])
s.levels[i] = level
return level
}
// GetVolume returns the volume at the given pricelevel.
func (s *OrderBookSide) GetVolume(price *num.Uint) (uint64, error) {
priceLevel := s.getPriceLevelIfExists(price)
if priceLevel == nil {
return 0, ErrPriceNotFound
}
return priceLevel.volume, nil
}
// fakeUncross returns hypothetical trades if the order book side were to be uncrossed with the agg order supplied,
// checkWashTrades checks non-FOK orders for wash trades if set to true (FOK orders are always checked for wash trades).
func (s *OrderBookSide) fakeUncross(agg *types.Order, checkWashTrades bool) ([]*types.Trade, error) {
var (
trades []*types.Trade
totalVolumeToFill uint64
)
if agg.TimeInForce == types.OrderTimeInForceFOK {
var checkPrice func(*num.Uint) bool
if agg.Side == types.SideBuy {
checkPrice = func(levelPrice *num.Uint) bool { return levelPrice.LTE(agg.Price) }
} else {
checkPrice = func(levelPrice *num.Uint) bool { return levelPrice.GTE(agg.Price) }
}
for i := len(s.levels) - 1; i >= 0; i-- {
level := s.levels[i]
// we don't have to account for network orders, they don't apply in price monitoring
// nor do fees apply
if checkPrice(level.price) || agg.Type == types.OrderTypeMarket {
for _, order := range level.orders {
if agg.Party == order.Party {
return nil, ErrWashTrade
}
totalVolumeToFill += order.Remaining
if totalVolumeToFill >= agg.Remaining {
break
}
}
}
if totalVolumeToFill >= agg.Remaining {
break
}
}
// FOK order could not be filled
if totalVolumeToFill < agg.Remaining {
return nil, nil
}
}
// get a copy of the order passed in, so we can rely on fakeUncross to do its job
fake := agg.Clone()
var (
idx = len(s.levels) - 1
ntrades []*types.Trade
err error
checkPrice func(*num.Uint) bool
)
if fake.Side == types.SideBuy {
checkPrice = func(levelPrice *num.Uint) bool { return levelPrice.GT(agg.Price) }
} else {
checkPrice = func(levelPrice *num.Uint) bool { return levelPrice.LT(agg.Price) }
}
// in here we iterate from the end, as it's easier to remove the
// price levels from the back of the slice instead of from the front
// also it will allow us to reduce allocations
for idx >= 0 && fake.Remaining > 0 {
// not a market order && buy side price is too low => break
if agg.Type != types.OrderTypeMarket && checkPrice(s.levels[idx].price) {
break
}
fake, ntrades, err = s.levels[idx].fakeUncross(fake, checkWashTrades)
trades = append(trades, ntrades...)
// break if a wash trade is detected
if err != nil && err == ErrWashTrade {
break
}
// the orders are still part of the levels, so we just have to move on anyway
idx--
}
return trades, err
}
// fakeUncrossAuction returns hypothetical trades if the order book side were to be uncrossed with the agg orders supplied, wash trades are allowed.
func (s *OrderBookSide) fakeUncrossAuction(orders []*types.Order) ([]*types.Trade, error) {
// in here we iterate from the end, as it's easier to remove the
// price levels from the back of the slice instead of from the front
// also it will allow us to reduce allocations
nOrders := len(orders)
if nOrders == 0 {
return []*types.Trade{}, nil
}
checkPrice := func(levelPrice *num.Uint, order *types.Order) bool {
if order.Side == types.SideBuy {
return levelPrice.GT(order.Price)
}
return levelPrice.LT(order.Price)
}
var (
ntrades []*types.Trade
iOrder = 0
trades []*types.Trade
lvl *PriceLevel
err error
)
fake := orders[iOrder].Clone()
for idx := len(s.levels) - 1; idx >= 0; idx-- {
// since all of uncrossOrders will be traded away and at the same uncrossing price
// iceberg orders are sent in as their full value instead of refreshing at each step
if fake.IcebergOrder != nil {
fake.Remaining += fake.IcebergOrder.ReservedRemaining
fake.IcebergOrder.ReservedRemaining = 0
}
// clone price level
lvl = clonePriceLevel(s.levels[idx])
for lvl.volume > 0 {
// not a market order && buy side price is too low => continue
if fake.Type != types.OrderTypeMarket && checkPrice(lvl.price, fake) {
continue
}
_, ntrades, _, err = lvl.uncross(fake, false)
if err != nil {
return nil, err
}
trades = append(trades, ntrades...)
if fake.Remaining == 0 {
iOrder++
if iOrder >= nOrders {
return trades, nil
}
fake = orders[iOrder].Clone()
}
}
}
return trades, nil
}
func clonePriceLevel(lvl *PriceLevel) *PriceLevel {
orders := make([]*types.Order, 0, len(lvl.orders))
for _, o := range lvl.orders {
orders = append(orders, o.Clone())
}
return &PriceLevel{
price: lvl.price.Clone(),
orders: orders,
volume: lvl.volume,
}
}
// uncross returns trades after order book side gets uncrossed with the agg order supplied,
// checkWashTrades checks non-FOK orders for wash trades if set to true (FOK orders are always checked for wash trades).
func (s *OrderBookSide) uncross(agg *types.Order, checkWashTrades bool) ([]*types.Trade, []*types.Order, *num.Uint, error) {
var (
trades []*types.Trade
impactedOrders []*types.Order
lastTradedPrice = num.UintZero()
totalVolumeToFill uint64
checkPrice func(*num.Uint) bool
)
if agg.Side == types.SideSell {
checkPrice = func(levelPrice *num.Uint) bool { return levelPrice.GTE(agg.Price) }
} else {
checkPrice = func(levelPrice *num.Uint) bool { return levelPrice.LTE(agg.Price) }
}
if agg.TimeInForce == types.OrderTimeInForceFOK {
// Process these backwards
for i := len(s.levels) - 1; i >= 0; i-- {
level := s.levels[i]
if checkPrice(level.price) || agg.Type == types.OrderTypeMarket || agg.Type == types.OrderTypeNetwork {
// We have to process every order to check for wash trades
for _, order := range level.orders {
// Check for wash trading
if agg.Party == order.Party {
// Stop the order and return
agg.Status = types.OrderStatusStopped
return nil, nil, lastTradedPrice, ErrWashTrade
}
// in case of network trades, we want to calculate an accurate average price to return
totalVolumeToFill += order.Remaining
if totalVolumeToFill >= agg.Remaining {
break
}
}
}
if totalVolumeToFill >= agg.Remaining {
break
}
}
if s.log.GetLevel() == logging.DebugLevel {
s.log.Debug(fmt.Sprintf("totalVolumeToFill %d until price %d, remaining %d\n", totalVolumeToFill, agg.Price, agg.Remaining))
}
if totalVolumeToFill < agg.Remaining {
return trades, impactedOrders, lastTradedPrice, nil
}
}
var (
idx = len(s.levels) - 1
filled bool
ntrades []*types.Trade
nimpact []*types.Order
err error
)
// in here we iterate from the end, as it's easier to remove the
// price levels from the back of the slice instead of from the front
// also it will allow us to reduce allocations
for !filled && idx >= 0 {
if checkPrice(s.levels[idx].price) || agg.Type == types.OrderTypeMarket || agg.Type == types.OrderTypeNetwork {
filled, ntrades, nimpact, err = s.levels[idx].uncross(agg, checkWashTrades)
trades = append(trades, ntrades...)
impactedOrders = append(impactedOrders, nimpact...)
// break if a wash trade is detected
if err != nil && err == ErrWashTrade {
break
}
if len(s.levels[idx].orders) <= 0 {
idx--
}
} else {
break
}
}
// now we nil the price levels that have been completely emptied out
// then we resize the slice
if idx < 0 || len(s.levels[idx].orders) > 0 {
// do not remove this one as it's not emptied already
idx++
}
if idx < len(s.levels) {
// nil out the pricelevels so they get collected at some point
for i := idx; i < len(s.levels); i++ {
s.levels[i] = nil
}
s.levels = s.levels[:idx]
}
if agg.Type == types.OrderTypeNetwork {
totalPrice := num.UintZero()
for _, t := range trades {
// totalPrice += t.Price * t.Size
totalPrice.Add(
totalPrice,
num.UintZero().Mul(t.Price, num.NewUint(t.Size)),
)
}
// now we are done with uncrossing,
// we can set back the price of the netorder to the average
// price over the whole volume
// agg.Price = totalPrice / agg.Size
agg.Price.Div(totalPrice, num.NewUint(agg.Size))
}
if len(trades) > 0 {
lastTradedPrice = trades[len(trades)-1].Price.Clone()
}
return trades, impactedOrders, lastTradedPrice, err
}
func (s *OrderBookSide) getLevels() []*PriceLevel {
return s.levels
}
func (s *OrderBookSide) getOrderCount() int64 {
var orderCount int64
for _, level := range s.levels {
orderCount = orderCount + int64(len(level.orders))
}
return orderCount
}
func (s *OrderBookSide) getTotalVolume() int64 {
var volume int64
for _, level := range s.levels {
volume = volume + int64(level.volume)
}
return volume
}