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reference_price_moves.go
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reference_price_moves.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"
"code.vegaprotocol.io/vega/core/execution/common"
"code.vegaprotocol.io/vega/core/types"
)
func (m *Market) checkForReferenceMoves(
ctx context.Context, orderUpdates []*types.Order, forceUpdate bool,
) {
if m.as.InAuction() {
return
}
newBestBid, _ := m.getBestStaticBidPrice()
newBestAsk, _ := m.getBestStaticAskPrice()
newMidBuy, _ := m.getStaticMidPrice(types.SideBuy)
newMidSell, _ := m.getStaticMidPrice(types.SideSell)
// Look for a move
var changes uint8
if !forceUpdate {
if newMidBuy.NEQ(m.lastMidBuyPrice) || newMidSell.NEQ(m.lastMidSellPrice) {
changes |= common.PriceMoveMid
}
if newBestBid.NEQ(m.lastBestBidPrice) {
changes |= common.PriceMoveBestBid
}
if newBestAsk.NEQ(m.lastBestAskPrice) {
changes |= common.PriceMoveBestAsk
}
} else {
changes = common.PriceMoveAll
}
// now we can start all special order repricing...
orderUpdates = m.repriceAllSpecialOrders(ctx, changes, orderUpdates)
// Update the last price values
// no need to clone the prices, they're not used in calculations anywhere in this function
m.lastMidBuyPrice = newMidBuy
m.lastMidSellPrice = newMidSell
m.lastBestBidPrice = newBestBid
m.lastBestAskPrice = newBestAsk
// now we had new orderUpdates while processing those,
// that would means someone got distressed, so some order
// got uncrossed, so we need to check all these again.
// we do not use the forceUpdate field here as it's
// not required that prices moved though
if len(orderUpdates) > 0 {
m.checkForReferenceMoves(ctx, orderUpdates, false)
}
}