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engine.go
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engine.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 volumediscount
import (
"context"
"sort"
"time"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
vegapb "code.vegaprotocol.io/vega/protos/vega"
eventspb "code.vegaprotocol.io/vega/protos/vega/events/v1"
"golang.org/x/exp/maps"
"golang.org/x/exp/slices"
)
const MaximumWindowLength uint64 = 100
type Engine struct {
broker Broker
marketActivityTracker MarketActivityTracker
epochData []map[types.PartyID]*num.Uint
epochDataIndex int
parties map[types.PartyID]struct{}
avgVolumePerParty map[types.PartyID]num.Decimal
latestProgramVersion uint64
currentProgram *types.VolumeDiscountProgram
newProgram *types.VolumeDiscountProgram
programHasEnded bool
factorsByParty map[types.PartyID]types.VolumeDiscountStats
}
func New(broker Broker, marketActivityTracker MarketActivityTracker) *Engine {
return &Engine{
broker: broker,
marketActivityTracker: marketActivityTracker,
epochData: make([]map[types.PartyID]*num.Uint, MaximumWindowLength),
epochDataIndex: 0,
avgVolumePerParty: map[types.PartyID]num.Decimal{},
parties: map[types.PartyID]struct{}{},
programHasEnded: true,
factorsByParty: map[types.PartyID]types.VolumeDiscountStats{},
}
}
func (e *Engine) OnEpoch(ctx context.Context, ep types.Epoch) {
switch ep.Action {
case vegapb.EpochAction_EPOCH_ACTION_START:
e.applyProgramUpdate(ctx, ep.StartTime, ep.Seq)
case vegapb.EpochAction_EPOCH_ACTION_END:
e.updateNotionalVolumeForEpoch()
if !e.programHasEnded {
e.calculatePartiesVolumeForWindow(int(e.currentProgram.WindowLength))
e.computeFactorsByParty(ctx, ep.Seq)
}
}
}
func (e *Engine) OnEpochRestore(_ context.Context, ep types.Epoch) {
}
func (e *Engine) UpdateProgram(newProgram *types.VolumeDiscountProgram) {
e.latestProgramVersion += 1
e.newProgram = newProgram
sort.Slice(e.newProgram.VolumeBenefitTiers, func(i, j int) bool {
return e.newProgram.VolumeBenefitTiers[i].MinimumRunningNotionalTakerVolume.LT(e.newProgram.VolumeBenefitTiers[j].MinimumRunningNotionalTakerVolume)
})
e.newProgram.Version = e.latestProgramVersion
}
func (e *Engine) HasProgramEnded() bool {
return e.programHasEnded
}
func (e *Engine) VolumeDiscountFactorForParty(party types.PartyID) num.Decimal {
if e.programHasEnded {
return num.DecimalZero()
}
factors, ok := e.factorsByParty[party]
if !ok {
return num.DecimalZero()
}
return factors.DiscountFactor
}
func (e *Engine) TakerNotionalForParty(party types.PartyID) num.Decimal {
return e.avgVolumePerParty[party]
}
func (e *Engine) applyProgramUpdate(ctx context.Context, startEpochTime time.Time, epoch uint64) {
if e.newProgram != nil {
if e.currentProgram != nil {
e.endCurrentProgram()
e.startNewProgram()
e.notifyVolumeDiscountProgramUpdated(ctx, startEpochTime, epoch)
} else {
e.startNewProgram()
e.notifyVolumeDiscountProgramStarted(ctx, startEpochTime, epoch)
}
}
// This handles a edge case where the new program ends before the next
// epoch starts. It can happen when the proposal updating the volume discount
// program specifies an end date that is within the same epoch as the enactment
// time.
if e.currentProgram != nil && !e.currentProgram.EndOfProgramTimestamp.IsZero() && !e.currentProgram.EndOfProgramTimestamp.After(startEpochTime) {
e.notifyVolumeDiscountProgramEnded(ctx, startEpochTime, epoch)
e.endCurrentProgram()
}
}
func (e *Engine) endCurrentProgram() {
e.programHasEnded = true
e.currentProgram = nil
}
func (e *Engine) startNewProgram() {
e.programHasEnded = false
e.currentProgram = e.newProgram
e.newProgram = nil
}
func (e *Engine) notifyVolumeDiscountProgramStarted(ctx context.Context, epochTime time.Time, epoch uint64) {
e.broker.Send(events.NewVolumeDiscountProgramStartedEvent(ctx, e.currentProgram, epochTime, epoch))
}
func (e *Engine) notifyVolumeDiscountProgramUpdated(ctx context.Context, epochTime time.Time, epoch uint64) {
e.broker.Send(events.NewVolumeDiscountProgramUpdatedEvent(ctx, e.currentProgram, epochTime, epoch))
}
func (e *Engine) notifyVolumeDiscountProgramEnded(ctx context.Context, epochTime time.Time, epoch uint64) {
e.broker.Send(events.NewVolumeDiscountProgramEndedEvent(ctx, e.currentProgram.Version, e.currentProgram.ID, epochTime, epoch))
}
func (e *Engine) calculatePartiesVolumeForWindow(windowSize int) {
for pi := range e.parties {
total := num.UintZero()
for i := 0; i < windowSize; i++ {
valueForEpoch, ok := e.epochData[(e.epochDataIndex+int(MaximumWindowLength)-i-1)%int(MaximumWindowLength)][pi]
if !ok {
valueForEpoch = num.UintZero()
}
total.AddSum(valueForEpoch)
}
e.avgVolumePerParty[pi] = total.ToDecimal()
}
}
func (e *Engine) updateNotionalVolumeForEpoch() {
e.epochData[e.epochDataIndex] = e.marketActivityTracker.NotionalTakerVolumeForAllParties()
for pi := range e.epochData[e.epochDataIndex] {
e.parties[pi] = struct{}{}
}
e.epochDataIndex = (e.epochDataIndex + 1) % int(MaximumWindowLength)
}
func (e *Engine) computeFactorsByParty(ctx context.Context, epoch uint64) {
e.factorsByParty = map[types.PartyID]types.VolumeDiscountStats{}
parties := maps.Keys(e.avgVolumePerParty)
slices.Sort(parties)
tiersLen := len(e.currentProgram.VolumeBenefitTiers)
evt := &eventspb.VolumeDiscountStatsUpdated{
AtEpoch: epoch,
Stats: make([]*eventspb.PartyVolumeDiscountStats, 0, len(e.avgVolumePerParty)),
}
for _, party := range parties {
notionalVolume := e.avgVolumePerParty[party]
qualifiedForTier := false
for i := tiersLen - 1; i >= 0; i-- {
tier := e.currentProgram.VolumeBenefitTiers[i]
if notionalVolume.GreaterThanOrEqual(tier.MinimumRunningNotionalTakerVolume.ToDecimal()) {
e.factorsByParty[party] = types.VolumeDiscountStats{
DiscountFactor: tier.VolumeDiscountFactor,
}
evt.Stats = append(evt.Stats, &eventspb.PartyVolumeDiscountStats{
PartyId: party.String(),
DiscountFactor: tier.VolumeDiscountFactor.String(),
RunningVolume: notionalVolume.Round(0).String(),
})
qualifiedForTier = true
break
}
}
// if the party hasn't qualified, then still send the stats but with a zero factor
if !qualifiedForTier {
evt.Stats = append(evt.Stats, &eventspb.PartyVolumeDiscountStats{
PartyId: party.String(),
DiscountFactor: "0",
RunningVolume: notionalVolume.Round(0).String(),
})
}
}
e.broker.Send(events.NewVolumeDiscountStatsUpdatedEvent(ctx, evt))
}