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liquidity_provision.go
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liquidity_provision.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 common
import (
"context"
"errors"
"fmt"
"time"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/fee"
"code.vegaprotocol.io/vega/core/idgeneration"
"code.vegaprotocol.io/vega/core/liquidity/v2"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
)
var ErrCommitmentAmountTooLow = errors.New("commitment amount is too low")
type marketType int
const (
FutureMarketType marketType = iota
SpotMarketType
)
type MarketLiquidity struct {
log *logging.Logger
idGen IDGenerator
liquidityEngine LiquidityEngine
collateral Collateral
broker Broker
orderBook liquidity.OrderBook
equityShares EquityLikeShares
marketActivityTracker *MarketActivityTracker
fee *fee.Engine
marketType marketType
marketID string
asset string
priceFactor *num.Uint
priceRange num.Decimal
earlyExitPenalty num.Decimal
minLPStakeQuantumMultiple num.Decimal
bondPenaltyFactor num.Decimal
}
func NewMarketLiquidity(
log *logging.Logger,
liquidityEngine LiquidityEngine,
collateral Collateral,
broker Broker,
orderBook liquidity.OrderBook,
equityShares EquityLikeShares,
marketActivityTracker *MarketActivityTracker,
fee *fee.Engine,
marketType marketType,
marketID string,
asset string,
priceFactor *num.Uint,
priceRange num.Decimal,
) *MarketLiquidity {
ml := &MarketLiquidity{
log: log,
liquidityEngine: liquidityEngine,
collateral: collateral,
broker: broker,
orderBook: orderBook,
equityShares: equityShares,
marketActivityTracker: marketActivityTracker,
fee: fee,
marketType: marketType,
marketID: marketID,
asset: asset,
priceFactor: priceFactor,
priceRange: priceRange,
}
return ml
}
func (m *MarketLiquidity) bondUpdate(ctx context.Context, transfer *types.Transfer) (*types.LedgerMovement, error) {
switch m.marketType {
case SpotMarketType:
return m.collateral.BondSpotUpdate(ctx, m.marketID, transfer)
default:
return m.collateral.BondUpdate(ctx, m.marketID, transfer)
}
}
func (m *MarketLiquidity) transferFees(ctx context.Context, ft events.FeesTransfer) ([]*types.LedgerMovement, error) {
switch m.marketType {
case SpotMarketType:
return m.collateral.TransferSpotFees(ctx, m.marketID, m.asset, ft)
default:
return m.collateral.TransferFees(ctx, m.marketID, m.asset, ft)
}
}
func (m *MarketLiquidity) applyPendingProvisions(
ctx context.Context,
now time.Time,
targetStake *num.Uint,
) liquidity.Provisions {
provisions := m.liquidityEngine.ProvisionsPerParty()
pendingProvisions := m.liquidityEngine.PendingProvision()
zero := num.DecimalZero()
// totalStake - targetStake
totalTargetStakeDifference := m.liquidityEngine.CalculateSuppliedStakeWithoutPending().ToDecimal().Sub(targetStake.ToDecimal())
maxPenaltyFreeReductionAmount := num.MaxD(zero, totalTargetStakeDifference)
sumOfCommitmentVariations := num.DecimalZero()
commitmentVariationPerParty := map[string]num.Decimal{}
for partyID, provision := range provisions {
acc, err := m.collateral.GetPartyBondAccount(m.marketID, partyID, m.asset)
if err != nil {
// the bond account should be definitely there at this point
m.log.Panic("can not get LP party bond account", logging.Error(err))
}
amendment, foundIdx := pendingProvisions.Get(partyID)
if foundIdx < 0 {
continue
}
// amendedCommitment - originalCommitment
proposedCommitmentVariation := amendment.CommitmentAmount.ToDecimal().Sub(provision.CommitmentAmount.ToDecimal())
// if commitment is increased or not changed, there is not penalty applied
if !proposedCommitmentVariation.IsNegative() {
continue
}
// min(-proposedCommitmentVariation, bondAccountBalance)
commitmentVariation := num.MinD(proposedCommitmentVariation.Neg(), acc.Balance.ToDecimal())
if commitmentVariation.IsZero() {
continue
}
commitmentVariationPerParty[partyID] = commitmentVariation
sumOfCommitmentVariations = sumOfCommitmentVariations.Add(commitmentVariation)
}
ledgerMovements := make([]*types.LedgerMovement, 0, len(commitmentVariationPerParty))
one := num.DecimalOne()
keys := sortedKeys(commitmentVariationPerParty)
for _, partyID := range keys {
commitmentVariation := commitmentVariationPerParty[partyID]
// (commitmentVariation/sumOfCommitmentVariations) * maxPenaltyFreeReductionAmount
partyMaxPenaltyFreeReductionAmount := commitmentVariation.Div(sumOfCommitmentVariations).
Mul(maxPenaltyFreeReductionAmount)
// transfer entire decreased commitment to their general account, no penalty will be applied
if commitmentVariation.LessThanOrEqual(partyMaxPenaltyFreeReductionAmount) {
commitmentVariationU, _ := num.UintFromDecimal(commitmentVariation)
if commitmentVariationU.IsZero() {
continue
}
transfer := m.NewTransfer(partyID, types.TransferTypeBondHigh, commitmentVariationU)
bondLedgerMovement, err := m.bondUpdate(ctx, transfer)
if err != nil {
m.log.Panic("failed to apply SLA penalties to bond account", logging.Error(err))
}
ledgerMovements = append(ledgerMovements, bondLedgerMovement)
continue
}
partyMaxPenaltyFreeReductionAmountU, _ := num.UintFromDecimal(partyMaxPenaltyFreeReductionAmount)
if !partyMaxPenaltyFreeReductionAmountU.IsZero() {
transfer := m.NewTransfer(partyID, types.TransferTypeBondHigh, partyMaxPenaltyFreeReductionAmountU)
bondLedgerMovement, err := m.bondUpdate(ctx, transfer)
if err != nil {
m.log.Panic("failed to apply SLA penalties to bond account", logging.Error(err))
}
ledgerMovements = append(ledgerMovements, bondLedgerMovement)
}
penaltyIncurringReductionAmount := commitmentVariation.Sub(partyMaxPenaltyFreeReductionAmount)
// transfer to general account
freeAmount := one.Sub(m.earlyExitPenalty).Mul(penaltyIncurringReductionAmount)
freeAmountU, _ := num.UintFromDecimal(freeAmount)
if !freeAmountU.IsZero() {
transfer := m.NewTransfer(partyID, types.TransferTypeBondHigh, freeAmountU)
bondLedgerMovement, err := m.bondUpdate(ctx, transfer)
if err != nil {
m.log.Panic("failed to apply SLA penalties to bond account", logging.Error(err))
}
ledgerMovements = append(ledgerMovements, bondLedgerMovement)
}
slashingAmount := m.earlyExitPenalty.Mul(penaltyIncurringReductionAmount)
slashingAmountU, _ := num.UintFromDecimal(slashingAmount)
if !slashingAmountU.IsZero() {
transfer := m.NewTransfer(partyID, types.TransferTypeBondSlashing, slashingAmountU)
bondLedgerMovement, err := m.bondUpdate(ctx, transfer)
if err != nil {
m.log.Panic("failed to apply SLA penalties to bond account", logging.Error(err))
}
ledgerMovements = append(ledgerMovements, bondLedgerMovement)
}
}
if len(ledgerMovements) > 0 {
m.broker.Send(events.NewLedgerMovements(ctx, ledgerMovements))
}
return m.liquidityEngine.ApplyPendingProvisions(ctx, now)
}
func (m *MarketLiquidity) syncPartyCommitmentWithBondAccount(
ctx context.Context,
appliedLiquidityProvisions liquidity.Provisions,
) {
if len(appliedLiquidityProvisions) == 0 {
appliedLiquidityProvisions = liquidity.Provisions{}
}
for partyID, provision := range m.liquidityEngine.ProvisionsPerParty() {
acc, err := m.collateral.GetPartyBondAccount(m.marketID, partyID, m.asset)
if err != nil {
// the bond account should be definitely there at this point
m.log.Panic("can not get LP party bond account",
logging.Error(err),
logging.PartyID(partyID),
)
}
// lp provision and bond account are in sync, no need to change
if provision.CommitmentAmount.EQ(acc.Balance) {
continue
}
if acc.Balance.IsZero() {
if err := m.liquidityEngine.CancelLiquidityProvision(ctx, partyID); err != nil {
// the commitment should exists
m.log.Panic("can not cancel liquidity provision commitment",
logging.Error(err),
logging.PartyID(partyID),
)
}
provision.CommitmentAmount = acc.Balance.Clone()
appliedLiquidityProvisions.Set(provision)
continue
}
updatedProvision, err := m.liquidityEngine.UpdatePartyCommitment(partyID, acc.Balance)
if err != nil {
m.log.Panic("failed to update party commitment", logging.Error(err))
}
appliedLiquidityProvisions.Set(updatedProvision)
}
for _, provision := range appliedLiquidityProvisions {
// now we can setup our party stake to calculate equities
m.equityShares.SetPartyStake(provision.Party, provision.CommitmentAmount.Clone())
// force update of shares so they are updated for all
_ = m.equityShares.AllShares()
}
}
func (m *MarketLiquidity) OnEpochStart(
ctx context.Context, now time.Time,
markPrice, midPrice, targetStake *num.Uint,
positionFactor num.Decimal,
) {
m.liquidityEngine.ResetSLAEpoch(now, markPrice, midPrice, positionFactor)
appliedProvisions := m.applyPendingProvisions(ctx, now, targetStake)
m.syncPartyCommitmentWithBondAccount(ctx, appliedProvisions)
}
func (m *MarketLiquidity) OnEpochEnd(ctx context.Context, t time.Time, epoch types.Epoch) {
m.calculateAndDistribute(ctx, t)
// report liquidity fees allocation stats
feeStats := m.liquidityEngine.PaidLiquidityFeesStats()
if !feeStats.TotalFeesPaid.IsZero() {
m.broker.Send(events.NewPaidLiquidityFeesStatsEvent(ctx, feeStats.ToProto(m.marketID, m.asset, epoch.Seq)))
}
}
func (m *MarketLiquidity) OnMarketClosed(ctx context.Context, t time.Time) {
m.calculateAndDistribute(ctx, t)
}
func (m *MarketLiquidity) calculateAndDistribute(ctx context.Context, t time.Time) {
penalties := m.liquidityEngine.CalculateSLAPenalties(t)
m.distributeFeesBonusesAndApplyPenalties(ctx, penalties)
}
func (m *MarketLiquidity) OnTick(ctx context.Context, t time.Time) {
// distribute liquidity fees each feeDistributionTimeStep
if m.liquidityEngine.ReadyForFeesAllocation(t) {
if err := m.AllocateFees(ctx); err != nil {
m.log.Panic("liquidity fee distribution error", logging.Error(err))
}
// reset next distribution period
m.liquidityEngine.ResetFeeAllocationPeriod(t)
return
}
m.updateLiquidityScores()
}
func (m *MarketLiquidity) EndBlock(markPrice, midPrice *num.Uint, positionFactor num.Decimal) {
m.liquidityEngine.EndBlock(markPrice, midPrice, positionFactor)
}
func (m *MarketLiquidity) updateLiquidityScores() {
minLpPrice, maxLpPrice, err := m.ValidOrdersPriceRange()
if err != nil {
m.log.Debug("liquidity score update error", logging.Error(err))
return
}
bestBid, bestAsk, err := m.getBestStaticPricesDecimal()
if err != nil {
m.log.Debug("liquidity score update error", logging.Error(err))
return
}
m.liquidityEngine.UpdateAverageLiquidityScores(bestBid, bestAsk, minLpPrice, maxLpPrice)
}
func (m *MarketLiquidity) getBestStaticPricesDecimal() (bid, ask num.Decimal, err error) {
bid = num.DecimalZero()
ask = num.DecimalZero()
binUint, err := m.orderBook.GetBestStaticBidPrice()
if err != nil {
return
}
bid = binUint.ToDecimal()
askUint, err := m.orderBook.GetBestStaticAskPrice()
if err != nil {
return
}
ask = askUint.ToDecimal()
return bid, ask, nil
}
// updateSharesWithLiquidityScores multiplies each LP i share with their score and divides all LP i share with total shares amount.
func (m *MarketLiquidity) updateSharesWithLiquidityScores(shares, scores map[string]num.Decimal) map[string]num.Decimal {
total := num.DecimalZero()
for partyID, share := range shares {
score, ok := scores[partyID]
if !ok {
continue
}
shares[partyID] = share.Mul(score)
total = total.Add(shares[partyID])
}
// normalize - share i / total
if !total.IsZero() {
for k, v := range shares {
shares[k] = v.Div(total)
}
}
return shares
}
func (m *MarketLiquidity) canSubmitCommitment(marketState types.MarketState) bool {
switch marketState {
case types.MarketStateActive, types.MarketStatePending, types.MarketStateSuspended, types.MarketStateProposed, types.MarketStateSuspendedViaGovernance:
return true
}
return false
}
// SubmitLiquidityProvision forwards a LiquidityProvisionSubmission to the Liquidity Engine.
func (m *MarketLiquidity) SubmitLiquidityProvision(
ctx context.Context,
sub *types.LiquidityProvisionSubmission,
party string,
deterministicID string,
marketState types.MarketState,
) (err error) {
m.idGen = idgeneration.New(deterministicID)
defer func() { m.idGen = nil }()
if !m.canSubmitCommitment(marketState) {
return ErrCommitmentSubmissionNotAllowed
}
if err := m.ensureMinCommitmentAmount(sub.CommitmentAmount); err != nil {
return err
}
submittedImmediately, err := m.liquidityEngine.SubmitLiquidityProvision(ctx, sub, party, m.idGen)
if err != nil {
return err
}
if err := m.makePerPartyAccountsAndTransfers(ctx, party, sub.CommitmentAmount); err != nil {
if newErr := m.liquidityEngine.RejectLiquidityProvision(ctx, party); newErr != nil {
m.log.Debug("unable to submit cancel liquidity provision submission",
logging.String("party", party),
logging.String("id", deterministicID),
logging.Error(newErr))
err = fmt.Errorf("%v, %w", err, newErr)
}
return err
}
if submittedImmediately {
// now we can setup our party stake to calculate equities
m.equityShares.SetPartyStake(party, sub.CommitmentAmount.Clone())
// force update of shares so they are updated for all
_ = m.equityShares.AllShares()
}
return nil
}
// makePerPartyAccountsAndTransfers create a party specific per market accounts for bond, margin and fee.
// It also transfers required commitment amount to per market bond account.
func (m *MarketLiquidity) makePerPartyAccountsAndTransfers(ctx context.Context, party string, commitmentAmount *num.Uint) error {
bondAcc, err := m.collateral.GetOrCreatePartyBondAccount(ctx, party, m.marketID, m.asset)
if err != nil {
return err
}
_, err = m.collateral.GetOrCreatePartyLiquidityFeeAccount(ctx, party, m.marketID, m.asset)
if err != nil {
return err
}
// calculates the amount that needs to be moved into the bond account
amount, neg := num.UintZero().Delta(commitmentAmount, bondAcc.Balance)
ty := types.TransferTypeBondLow
if neg {
ty = types.TransferTypeBondHigh
}
transfer := &types.Transfer{
Owner: party,
Amount: &types.FinancialAmount{
Amount: amount.Clone(),
Asset: m.asset,
},
Type: ty,
MinAmount: amount.Clone(),
}
tresp, err := m.bondUpdate(ctx, transfer)
if err != nil {
m.log.Debug("bond update error", logging.Error(err))
return err
}
m.broker.Send(events.NewLedgerMovements(ctx, []*types.LedgerMovement{tresp}))
return nil
}
// AmendLiquidityProvision forwards a LiquidityProvisionAmendment to the Liquidity Engine.
func (m *MarketLiquidity) AmendLiquidityProvision(
ctx context.Context,
lpa *types.LiquidityProvisionAmendment,
party string,
deterministicID string,
marketState types.MarketState,
) error {
m.idGen = idgeneration.New(deterministicID)
defer func() { m.idGen = nil }()
if !m.canSubmitCommitment(marketState) {
return ErrCommitmentSubmissionNotAllowed
}
if err := m.liquidityEngine.ValidateLiquidityProvisionAmendment(lpa); err != nil {
return err
}
if lpa.CommitmentAmount != nil {
if err := m.ensureMinCommitmentAmount(lpa.CommitmentAmount); err != nil {
return err
}
}
if !m.liquidityEngine.IsLiquidityProvider(party) {
return ErrPartyNotLiquidityProvider
}
pendingAmendment := m.liquidityEngine.PendingProvisionByPartyID(party)
currentProvision := m.liquidityEngine.LiquidityProvisionByPartyID(party)
provisionToCopy := currentProvision
if currentProvision == nil {
if pendingAmendment == nil {
m.log.Panic(
"cannot edit liquidity provision from a non liquidity provider party",
logging.PartyID(party),
)
}
provisionToCopy = pendingAmendment
}
// If commitment amount is not provided we keep the same
if lpa.CommitmentAmount == nil || lpa.CommitmentAmount.IsZero() {
lpa.CommitmentAmount = provisionToCopy.CommitmentAmount
}
// If commitment amount is not provided we keep the same
if lpa.Fee.IsZero() {
lpa.Fee = provisionToCopy.Fee
}
// If commitment amount is not provided we keep the same
if lpa.Reference == "" {
lpa.Reference = provisionToCopy.Reference
}
var proposedCommitmentVariation num.Decimal
// if pending commitment is being decreased then release the bond collateral
if pendingAmendment != nil && !lpa.CommitmentAmount.IsZero() && lpa.CommitmentAmount.LT(pendingAmendment.CommitmentAmount) {
amountToRelease := num.UintZero().Sub(pendingAmendment.CommitmentAmount, lpa.CommitmentAmount)
if err := m.releasePendingBondCollateral(ctx, amountToRelease, party); err != nil {
m.log.Debug("could not submit update bond for lp amendment",
logging.PartyID(party),
logging.MarketID(m.marketID),
logging.Error(err))
return err
}
proposedCommitmentVariation = pendingAmendment.CommitmentAmount.ToDecimal().Sub(lpa.CommitmentAmount.ToDecimal())
} else {
if currentProvision != nil {
proposedCommitmentVariation = currentProvision.CommitmentAmount.ToDecimal().Sub(lpa.CommitmentAmount.ToDecimal())
} else {
proposedCommitmentVariation = pendingAmendment.CommitmentAmount.ToDecimal().Sub(lpa.CommitmentAmount.ToDecimal())
}
}
// if increase commitment transfer funds to bond account
if proposedCommitmentVariation.IsNegative() {
_, err := m.ensureAndTransferCollateral(ctx, lpa.CommitmentAmount, party)
if err != nil {
m.log.Debug("could not submit update bond for lp amendment",
logging.PartyID(party),
logging.MarketID(m.marketID),
logging.Error(err))
return err
}
}
applied, err := m.liquidityEngine.AmendLiquidityProvision(ctx, lpa, party, false)
if err != nil {
m.log.Panic("error while amending liquidity provision, this should not happen at this point, the LP was validated earlier",
logging.Error(err))
}
if currentProvision != nil && applied && proposedCommitmentVariation.IsPositive() && !lpa.CommitmentAmount.IsZero() {
amountToRelease := num.UintZero().Sub(currentProvision.CommitmentAmount, lpa.CommitmentAmount)
if err := m.releasePendingBondCollateral(ctx, amountToRelease, party); err != nil {
m.log.Debug("could not submit update bond for lp amendment",
logging.PartyID(party),
logging.MarketID(m.marketID),
logging.Error(err))
// rollback the amendment - TODO karel
lpa.CommitmentAmount = currentProvision.CommitmentAmount
m.liquidityEngine.AmendLiquidityProvision(ctx, lpa, party, false)
return err
}
}
return nil
}
// CancelLiquidityProvision amends liquidity provision to 0.
func (m *MarketLiquidity) CancelLiquidityProvision(ctx context.Context, party string) error {
currentProvision := m.liquidityEngine.LiquidityProvisionByPartyID(party)
pendingAmendment := m.liquidityEngine.PendingProvisionByPartyID(party)
if currentProvision == nil && pendingAmendment == nil {
return ErrPartyHasNoExistingLiquidityProvision
}
if pendingAmendment != nil && !pendingAmendment.CommitmentAmount.IsZero() {
if err := m.releasePendingBondCollateral(ctx, pendingAmendment.CommitmentAmount.Clone(), party); err != nil {
m.log.Debug("could release bond collateral for pending amendment",
logging.PartyID(party),
logging.MarketID(m.marketID),
logging.Error(err))
return err
}
}
amendment := &types.LiquidityProvisionAmendment{
MarketID: m.marketID,
CommitmentAmount: num.UintZero(),
Fee: num.DecimalZero(),
}
applied, err := m.liquidityEngine.AmendLiquidityProvision(ctx, amendment, party, true)
if err != nil {
m.log.Panic("error while amending liquidity provision, this should not happen at this point, the LP was validated earlier",
logging.Error(err))
}
if applied && currentProvision != nil && !currentProvision.CommitmentAmount.IsZero() {
if err := m.releasePendingBondCollateral(ctx, currentProvision.CommitmentAmount.Clone(), party); err != nil {
m.log.Debug("could not submit update bond for lp amendment",
logging.PartyID(party),
logging.MarketID(m.marketID),
logging.Error(err))
// rollback amendment
amendment.CommitmentAmount = currentProvision.CommitmentAmount
amendment.Fee = currentProvision.Fee
m.liquidityEngine.AmendLiquidityProvision(ctx, amendment, party, false)
return err
}
}
// remove ELS for the cancelled LP if cancellation was applied immediately (e.g. during opening auction)
if applied {
m.equityShares.SetPartyStake(party, amendment.CommitmentAmount)
// force update for all shares
_ = m.equityShares.AllShares()
}
return nil
}
func (m *MarketLiquidity) StopAllLiquidityProvision(ctx context.Context) {
for _, p := range m.liquidityEngine.ProvisionsPerParty().Slice() {
m.liquidityEngine.StopLiquidityProvision(ctx, p.Party)
}
}
// checks that party has enough collateral to support the commitment increase.
func (m *MarketLiquidity) ensureAndTransferCollateral(
ctx context.Context, commitmentAmount *num.Uint, party string,
) (*types.Transfer, error) {
bondAcc, err := m.collateral.GetOrCreatePartyBondAccount(
ctx, party, m.marketID, m.asset)
if err != nil {
return nil, err
}
// first check if there's enough funds in the gen + bond
// account to cover the new commitment
if !m.collateral.CanCoverBond(m.marketID, party, m.asset, commitmentAmount.Clone()) {
return nil, ErrNotEnoughStake
}
// build our transfer to be sent to collateral
amount, neg := num.UintZero().Delta(commitmentAmount, bondAcc.Balance)
ty := types.TransferTypeBondLow
if neg {
ty = types.TransferTypeBondHigh
}
transfer := &types.Transfer{
Owner: party,
Amount: &types.FinancialAmount{
Amount: amount,
Asset: m.asset,
},
Type: ty,
MinAmount: amount.Clone(),
}
// move our bond
tresp, err := m.bondUpdate(ctx, transfer)
if err != nil {
return nil, err
}
m.broker.Send(events.NewLedgerMovements(
ctx, []*types.LedgerMovement{tresp}))
// now we will use the actual transfer as a rollback later on eventually
// so let's just change from HIGH to LOW and inverse
if transfer.Type == types.TransferTypeBondHigh {
transfer.Type = types.TransferTypeBondLow
} else {
transfer.Type = types.TransferTypeBondHigh
}
return transfer, nil
}
// releasePendingCollateral releases pending amount collateral from bond to general account.
func (m *MarketLiquidity) releasePendingBondCollateral(
ctx context.Context, releaseAmount *num.Uint, party string,
) error {
transfer := &types.Transfer{
Owner: party,
Amount: &types.FinancialAmount{
Amount: releaseAmount,
Asset: m.asset,
},
Type: types.TransferTypeBondHigh,
MinAmount: releaseAmount.Clone(),
}
ledgerMovement, err := m.bondUpdate(ctx, transfer)
if err != nil {
return err
}
m.broker.Send(events.NewLedgerMovements(
ctx, []*types.LedgerMovement{ledgerMovement}))
return nil
}
func (m *MarketLiquidity) ensureMinCommitmentAmount(amount *num.Uint) error {
quantum, err := m.collateral.GetAssetQuantum(m.asset)
if err != nil {
m.log.Panic("could not get quantum for asset, this should never happen",
logging.AssetID(m.asset),
logging.Error(err),
)
}
minStake := quantum.Mul(m.minLPStakeQuantumMultiple)
if amount.ToDecimal().LessThan(minStake) {
return ErrCommitmentAmountTooLow
}
return nil
}
// ValidOrdersPriceRange returns min and max valid prices range for LP orders.
func (m *MarketLiquidity) ValidOrdersPriceRange() (*num.Uint, *num.Uint, error) {
bestBid, err := m.orderBook.GetBestStaticBidPrice()
if err != nil {
return num.UintOne(), num.MaxUint(), err
}
bestAsk, err := m.orderBook.GetBestStaticAskPrice()
if err != nil {
return num.UintOne(), num.MaxUint(), err
}
// (bestBid + bestAsk) / 2
midPrice := bestBid.ToDecimal().Add(bestAsk.ToDecimal()).Div(num.DecimalFromFloat(2))
// (1 - priceRange) * midPrice
lowerBoundPriceD := num.DecimalOne().Sub(m.priceRange).Mul(midPrice)
// (1 + priceRange) * midPrice
upperBoundPriceD := num.DecimalOne().Add(m.priceRange).Mul(midPrice)
priceFactor := m.priceFactor.ToDecimal()
// ceil lower bound
ceiledLowerBound, rL := lowerBoundPriceD.QuoRem(priceFactor, int32(0))
if !rL.IsZero() {
ceiledLowerBound = ceiledLowerBound.Add(num.DecimalOne())
}
lowerBoundPriceD = ceiledLowerBound.Mul(priceFactor)
// floor upper bound
flooredUpperBound, _ := upperBoundPriceD.QuoRem(priceFactor, int32(0))
upperBoundPriceD = flooredUpperBound.Mul(priceFactor)
lowerBound, _ := num.UintFromDecimal(lowerBoundPriceD)
upperBound, _ := num.UintFromDecimal(upperBoundPriceD)
// floor at 1 to avoid non-positive value
if lowerBound.IsNegative() || lowerBound.IsZero() {
lowerBound = m.priceFactor
}
if lowerBound.GTE(upperBound) {
// if we ended up with overlapping upper and lower bound we set the upper bound to lower bound plus one tick.
upperBound = upperBound.Add(lowerBound, m.priceFactor)
}
// we can't have lower bound >= best static ask as then a buy order with that price would trade on entry
// so place it one tick to the left
if lowerBound.GTE(bestAsk) {
lowerBound = num.UintZero().Sub(bestAsk, m.priceFactor)
}
// we can't have upper bound <= best static bid as then a sell order with that price would trade on entry
// so place it one tick to the right
if upperBound.LTE(bestAsk) {
upperBound = num.UintZero().Add(bestAsk, m.priceFactor)
}
return lowerBound, upperBound, nil
}
func (m *MarketLiquidity) UpdateMarketConfig(risk liquidity.RiskModel, monitor liquidity.PriceMonitor) {
m.liquidityEngine.UpdateMarketConfig(risk, monitor)
}
func (m *MarketLiquidity) UpdateSLAParameters(slaParams *types.LiquiditySLAParams) {
m.priceRange = slaParams.PriceRange
m.liquidityEngine.UpdateSLAParameters(slaParams)
}
func (m *MarketLiquidity) OnMinLPStakeQuantumMultiple(minLPStakeQuantumMultiple num.Decimal) {
m.minLPStakeQuantumMultiple = minLPStakeQuantumMultiple
}
func (m *MarketLiquidity) OnMinProbabilityOfTradingLPOrdersUpdate(v num.Decimal) {
m.liquidityEngine.OnMinProbabilityOfTradingLPOrdersUpdate(v)
}
func (m *MarketLiquidity) OnProbabilityOfTradingTauScalingUpdate(v num.Decimal) {
m.liquidityEngine.OnProbabilityOfTradingTauScalingUpdate(v)
}
func (m *MarketLiquidity) OnBondPenaltyFactorUpdate(bondPenaltyFactor num.Decimal) {
m.bondPenaltyFactor = bondPenaltyFactor
}
func (m *MarketLiquidity) OnNonPerformanceBondPenaltySlopeUpdate(nonPerformanceBondPenaltySlope num.Decimal) {
m.liquidityEngine.OnNonPerformanceBondPenaltySlopeUpdate(nonPerformanceBondPenaltySlope)
}
func (m *MarketLiquidity) OnNonPerformanceBondPenaltyMaxUpdate(nonPerformanceBondPenaltyMax num.Decimal) {
m.liquidityEngine.OnNonPerformanceBondPenaltyMaxUpdate(nonPerformanceBondPenaltyMax)
}
func (m *MarketLiquidity) OnMaximumLiquidityFeeFactorLevelUpdate(liquidityFeeFactorLevelUpdate num.Decimal) {
m.liquidityEngine.OnMaximumLiquidityFeeFactorLevelUpdate(liquidityFeeFactorLevelUpdate)
}
func (m *MarketLiquidity) OnEarlyExitPenalty(earlyExitPenalty num.Decimal) {
m.earlyExitPenalty = earlyExitPenalty
}
func (m *MarketLiquidity) OnStakeToCcyVolumeUpdate(stakeToCcyVolume num.Decimal) {
m.liquidityEngine.OnStakeToCcyVolumeUpdate(stakeToCcyVolume)
}
func (m *MarketLiquidity) OnProvidersFeeCalculationTimeStep(d time.Duration) {
m.liquidityEngine.OnProvidersFeeCalculationTimeStep(d)
}
func (m *MarketLiquidity) IsProbabilityOfTradingInitialised() bool {
return m.liquidityEngine.IsProbabilityOfTradingInitialised()
}
func (m *MarketLiquidity) GetAverageLiquidityScores() map[string]num.Decimal {
return m.liquidityEngine.GetAverageLiquidityScores()
}
func (m *MarketLiquidity) ProvisionsPerParty() liquidity.ProvisionsPerParty {
return m.liquidityEngine.ProvisionsPerParty()
}
func (m *MarketLiquidity) CalculateSuppliedStake() *num.Uint {
return m.liquidityEngine.CalculateSuppliedStake()
}