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stop_orders.go
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stop_orders.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 stoporders
import (
"log"
"sort"
"code.vegaprotocol.io/vega/core/positions"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
v1 "code.vegaprotocol.io/vega/protos/vega/snapshot/v1"
"golang.org/x/exp/maps"
)
type Pool struct {
log *logging.Logger
// map partyId * map orderId * StopOrder
orders map[string]map[string]*types.StopOrder
// useful to find back a party from an order
orderToParty map[string]string
priced *PricedStopOrders
trailing *TrailingStopOrders
}
func New(log *logging.Logger) *Pool {
return &Pool{
log: log,
orders: map[string]map[string]*types.StopOrder{},
orderToParty: map[string]string{},
priced: NewPricedStopOrders(),
trailing: NewTrailingStopOrders(),
}
}
func NewFromProto(log *logging.Logger, p *v1.StopOrders) *Pool {
pool := New(log)
for _, porder := range p.StopOrders {
order := types.NewStopOrderFromProto(porder)
if party, ok := pool.orders[order.Party]; ok {
if _, ok := party[order.ID]; ok {
pool.log.Panic("stop order already exists", logging.String("id", order.ID))
}
} else {
pool.orders[order.Party] = map[string]*types.StopOrder{}
}
pool.orders[order.Party][order.ID] = order
pool.orderToParty[order.ID] = order.Party
}
pool.priced = NewPricedStopOrdersFromProto(p.PricedStopOrders)
pool.trailing = NewTrailingStopOrdersFromProto(p.TrailingStopOrders)
return pool
}
func (p *Pool) ToProto() *v1.StopOrders {
out := &v1.StopOrders{}
for _, v := range p.orders {
for _, order := range v {
out.StopOrders = append(out.StopOrders, order.ToProtoEvent())
}
}
sort.Slice(out.StopOrders, func(i, j int) bool {
return out.StopOrders[i].StopOrder.Id < out.StopOrders[j].StopOrder.Id
})
out.PricedStopOrders = p.priced.ToProto()
out.TrailingStopOrders = p.trailing.ToProto()
return out
}
func (p *Pool) GetStopOrderCount() uint64 {
return uint64(len(p.orderToParty))
}
func (p *Pool) Settled() []*types.StopOrder {
out := []*types.StopOrder{}
for _, v := range p.orders {
for _, so := range v {
so.Status = types.StopOrderStatusStopped
out = append(out, so)
}
}
sort.Slice(out, func(i, j int) bool { return out[i].ID < out[j].ID })
return out
}
func (p *Pool) CheckDirection(positions *positions.SnapshotEngine) []*types.StopOrder {
toCancel := []*types.StopOrder{}
for partyID, orders := range p.orders {
pos, ok := positions.GetPositionByPartyID(partyID)
if !ok {
continue
}
for _, order := range orders {
if order.SizeOverrideSetting == types.StopOrderSizeOverrideSettingPosition {
if pos.Size() == 0 {
continue
} else if pos.Size() > 0 {
// Order needs to be a sell
if order.OrderSubmission.Side != types.SideSell {
order.Status = types.StopOrderStatusCancelled
toCancel = append(toCancel, order)
}
} else {
// Order needs to be a buy
if order.OrderSubmission.Side != types.SideBuy {
order.Status = types.StopOrderStatusCancelled
toCancel = append(toCancel, order)
}
}
}
}
}
// Remove the deleted items from the map
for _, stopOrder := range toCancel {
delete(p.orders[stopOrder.Party], stopOrder.OrderID)
delete(p.orderToParty, stopOrder.OrderID)
}
return toCancel
}
func (p *Pool) PriceUpdated(newPrice *num.Uint) (triggered, cancelled []*types.StopOrder) {
// first update prices and get triggered orders
ids := append(
p.priced.PriceUpdated(newPrice.Clone()),
p.trailing.PriceUpdated(newPrice.Clone())...,
)
// first get all the orders which got triggered
for _, v := range ids {
pid, ok := p.orderToParty[v]
if !ok {
log.Panic("order in tree but not in pool", logging.String("order-id", v))
}
// not needed anymore
delete(p.orderToParty, v)
orders, ok := p.orders[pid]
if !ok {
p.log.Panic("party was expected to have orders but have none",
logging.String("party-id", pid), logging.String("order-id", v))
}
// now we are down to the actual order
sorder, ok := orders[v]
if !ok {
p.log.Panic("party was expected to have an order",
logging.String("party-id", pid), logging.String("order-id", v))
}
sorder.Status = types.StopOrderStatusTriggered
triggered = append(triggered, sorder)
// now we can cleanup
delete(orders, v)
if len(orders) <= 0 {
// we can remove the trader altogether
delete(p.orders, pid)
}
}
// now we get all the OCO opposite to them as they shall
// be cancelled as well
for _, v := range triggered[:] {
if len(v.OCOLinkID) <= 0 {
continue
}
res, err := p.removeWithOCO(v.Party, v.OCOLinkID, false)
if err != nil || len(res) <= 0 {
// that should never happen, this mean for some
// reason that the other side of the OCO has been
// remove and left the pool in a bad state
p.log.Panic("other side of the oco missing from the pool",
logging.Error(err),
logging.PartyID(v.Party),
logging.OrderID(v.OCOLinkID))
}
// only one order returned here
res[0].Status = types.StopOrderStatusStopped
cancelled = append(cancelled, res[0])
}
return triggered, cancelled
}
func (p *Pool) Insert(order *types.StopOrder) {
if party, ok := p.orders[order.Party]; ok {
if _, ok := party[order.ID]; ok {
p.log.Panic("stop order already exists", logging.String("id", order.ID))
}
} else {
p.orders[order.Party] = map[string]*types.StopOrder{}
}
p.orders[order.Party][order.ID] = order
p.orderToParty[order.ID] = order.Party
switch {
case order.Trigger.IsPrice():
p.priced.Insert(order.ID, order.Trigger.Price().Clone(), order.Trigger.Direction)
case order.Trigger.IsTrailingPercentOffset():
p.trailing.Insert(order.ID, order.Trigger.TrailingPercentOffset(), order.Trigger.Direction)
}
}
func (p *Pool) Cancel(
partyID string,
orderID string, // if empty remove all
) ([]*types.StopOrder, error) {
orders, err := p.removeWithOCO(partyID, orderID, true)
if err == nil {
for _, v := range orders {
v.Status = types.StopOrderStatusCancelled
}
}
return orders, err
}
func (p *Pool) removeWithOCO(
partyID string,
orderID string,
withOCO bool, // not always necessary in case we are
) ([]*types.StopOrder, error) {
partyOrders, ok := p.orders[partyID]
if !ok {
// return an error only when trying to find a specific stop order
if len(orderID) > 0 {
return nil, ErrStopOrderNotFound
}
// this party have no stop orders, move on
return nil, nil
}
// remove a single one and maybe OCO
if len(orderID) > 0 {
order, ok := partyOrders[orderID]
if !ok {
return nil, ErrStopOrderNotFound
}
orders := []*types.StopOrder{order}
if withOCO && len(order.OCOLinkID) > 0 {
orders = append(orders, partyOrders[order.OCOLinkID])
}
p.remove(orders)
return orders, nil
}
orders := maps.Values(partyOrders)
sort.Slice(orders, func(i, j int) bool { return orders[i].ID < orders[j].ID })
p.remove(orders)
return orders, nil
}
func (p *Pool) remove(orders []*types.StopOrder) {
for _, order := range orders {
delete(p.orderToParty, order.ID)
delete(p.orders[order.Party], order.ID)
if len(p.orders[order.Party]) <= 0 {
// no need of this entry anymore
delete(p.orders, order.Party)
}
switch {
case order.Trigger.IsPrice():
p.priced.Remove(order.ID)
case order.Trigger.IsTrailingPercentOffset():
p.trailing.Remove(order.ID)
}
}
}
func (p *Pool) RemoveExpired(orderIDs []string) []*types.StopOrder {
ordersM := map[string]*types.StopOrder{}
// first find all orders and add them to the map
for _, id := range orderIDs {
order := p.orders[p.orderToParty[id]][id]
order.Status = types.StopOrderStatusExpired
ordersM[id] = order
// once an order is removed, we also remove it's OCO link
if len(order.OCOLinkID) > 0 {
// first check if it's not been removed already
if _, ok := p.orderToParty[order.OCOLinkID]; ok {
// is the OCO link already mapped
if _, ok := ordersM[order.OCOLinkID]; !ok {
ordersM[order.OCOLinkID] = p.orders[p.orderToParty[id]][order.OCOLinkID]
ordersM[order.OCOLinkID].Status = types.StopOrderStatusStopped
}
}
}
}
orders := maps.Values(ordersM)
sort.Slice(orders, func(i, j int) bool { return orders[i].ID < orders[j].ID })
p.remove(orders)
return orders
}
func (p *Pool) CountForParty(party string) uint64 {
orders, ok := p.orders[party]
if !ok {
return 0
}
return uint64(len(orders))
}