/
trade.go
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/
trade.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 entities
import (
"encoding/json"
"fmt"
"time"
v2 "code.vegaprotocol.io/vega/protos/data-node/api/v2"
"code.vegaprotocol.io/vega/protos/vega"
"github.com/shopspring/decimal"
)
type _Trade struct{}
type TradeID = ID[_Trade]
type Trade struct {
SyntheticTime time.Time
TxHash TxHash
VegaTime time.Time
SeqNum uint64
ID TradeID
MarketID MarketID
Price decimal.Decimal
Size uint64
Buyer PartyID
Seller PartyID
Aggressor Side
BuyOrder OrderID
SellOrder OrderID
Type TradeType
BuyerMakerFee decimal.Decimal
BuyerInfrastructureFee decimal.Decimal
BuyerLiquidityFee decimal.Decimal
SellerMakerFee decimal.Decimal
SellerInfrastructureFee decimal.Decimal
SellerLiquidityFee decimal.Decimal
BuyerMakerFeeReferralDiscount decimal.Decimal
BuyerMakerFeeVolumeDiscount decimal.Decimal
BuyerInfrastructureFeeReferralDiscount decimal.Decimal
BuyerInfrastructureFeeVolumeDiscount decimal.Decimal
BuyerLiquidityFeeReferralDiscount decimal.Decimal
BuyerLiquidityFeeVolumeDiscount decimal.Decimal
SellerMakerFeeReferralDiscount decimal.Decimal
SellerMakerFeeVolumeDiscount decimal.Decimal
SellerInfrastructureFeeReferralDiscount decimal.Decimal
SellerInfrastructureFeeVolumeDiscount decimal.Decimal
SellerLiquidityFeeReferralDiscount decimal.Decimal
SellerLiquidityFeeVolumeDiscount decimal.Decimal
BuyerAuctionBatch uint64
SellerAuctionBatch uint64
}
func (t Trade) ToProto() *vega.Trade {
return &vega.Trade{
Id: t.ID.String(),
MarketId: t.MarketID.String(),
Price: t.Price.String(),
Size: t.Size,
Buyer: t.Buyer.String(),
Seller: t.Seller.String(),
Aggressor: t.Aggressor,
BuyOrder: t.BuyOrder.String(),
SellOrder: t.SellOrder.String(),
Timestamp: t.VegaTime.UnixNano(),
Type: t.Type,
BuyerFee: &vega.Fee{
MakerFee: t.BuyerMakerFee.String(),
InfrastructureFee: t.BuyerInfrastructureFee.String(),
LiquidityFee: t.BuyerLiquidityFee.String(),
MakerFeeReferrerDiscount: t.BuyerMakerFeeReferralDiscount.String(),
MakerFeeVolumeDiscount: t.BuyerMakerFeeVolumeDiscount.String(),
InfrastructureFeeReferrerDiscount: t.BuyerInfrastructureFeeReferralDiscount.String(),
InfrastructureFeeVolumeDiscount: t.BuyerInfrastructureFeeVolumeDiscount.String(),
LiquidityFeeReferrerDiscount: t.BuyerLiquidityFeeReferralDiscount.String(),
LiquidityFeeVolumeDiscount: t.BuyerLiquidityFeeVolumeDiscount.String(),
},
SellerFee: &vega.Fee{
MakerFee: t.SellerMakerFee.String(),
InfrastructureFee: t.SellerInfrastructureFee.String(),
LiquidityFee: t.SellerLiquidityFee.String(),
MakerFeeReferrerDiscount: t.SellerMakerFeeReferralDiscount.String(),
MakerFeeVolumeDiscount: t.SellerMakerFeeVolumeDiscount.String(),
InfrastructureFeeReferrerDiscount: t.SellerInfrastructureFeeReferralDiscount.String(),
InfrastructureFeeVolumeDiscount: t.SellerInfrastructureFeeVolumeDiscount.String(),
LiquidityFeeReferrerDiscount: t.SellerLiquidityFeeReferralDiscount.String(),
LiquidityFeeVolumeDiscount: t.SellerLiquidityFeeVolumeDiscount.String(),
},
BuyerAuctionBatch: t.BuyerAuctionBatch,
SellerAuctionBatch: t.SellerAuctionBatch,
}
}
func (t Trade) Cursor() *Cursor {
return NewCursor(TradeCursor{SyntheticTime: t.SyntheticTime}.String())
}
func (t Trade) ToProtoEdge(_ ...any) (*v2.TradeEdge, error) {
return &v2.TradeEdge{
Node: t.ToProto(),
Cursor: t.Cursor().Encode(),
}, nil
}
func TradeFromProto(t *vega.Trade, txHash TxHash, vegaTime time.Time, sequenceNumber uint64) (*Trade, error) {
syntheticTime := vegaTime.Add(time.Duration(sequenceNumber) * time.Microsecond)
price, err := decimal.NewFromString(t.Price)
if err != nil {
return nil, fmt.Errorf("failed to decode price:%w", err)
}
buyerMakerFee := decimal.Zero
buyerInfraFee := decimal.Zero
buyerLiquidityFee := decimal.Zero
buyerMakerFeeReferrerDiscount := decimal.Zero
buyerMakerFeeVolumeDiscount := decimal.Zero
buyerInfraFeeReferrerDiscount := decimal.Zero
buyerInfraFeeVolumeDiscount := decimal.Zero
buyerLiquidityFeeReferrerDiscount := decimal.Zero
buyerLiquidityFeeVolumeDiscount := decimal.Zero
if t.BuyerFee != nil {
buyerMakerFee, err = decimal.NewFromString(t.BuyerFee.MakerFee)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer maker fee:%w", err)
}
if len(t.BuyerFee.MakerFeeReferrerDiscount) > 0 {
buyerMakerFeeReferrerDiscount, err = decimal.NewFromString(t.BuyerFee.MakerFeeReferrerDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer maker fee referrer discount:%w", err)
}
}
if len(t.BuyerFee.MakerFeeVolumeDiscount) > 0 {
buyerMakerFeeVolumeDiscount, err = decimal.NewFromString(t.BuyerFee.MakerFeeVolumeDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer maker fee volume discount:%w", err)
}
}
buyerInfraFee, err = decimal.NewFromString(t.BuyerFee.InfrastructureFee)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer infrastructure fee:%w", err)
}
if len(t.BuyerFee.InfrastructureFeeReferrerDiscount) > 0 {
buyerInfraFeeReferrerDiscount, err = decimal.NewFromString(t.BuyerFee.InfrastructureFeeReferrerDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer infrastructure fee referrer discount:%w", err)
}
}
if len(t.BuyerFee.InfrastructureFeeVolumeDiscount) > 0 {
buyerInfraFeeVolumeDiscount, err = decimal.NewFromString(t.BuyerFee.InfrastructureFeeVolumeDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer infrastructure fee volume discount:%w", err)
}
}
buyerLiquidityFee, err = decimal.NewFromString(t.BuyerFee.LiquidityFee)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer liquidity fee:%w", err)
}
if len(t.BuyerFee.LiquidityFeeReferrerDiscount) > 0 {
buyerLiquidityFeeReferrerDiscount, err = decimal.NewFromString(t.BuyerFee.LiquidityFeeReferrerDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer liquidity fee referrer discount:%w", err)
}
}
if len(t.BuyerFee.LiquidityFeeVolumeDiscount) > 0 {
buyerLiquidityFeeVolumeDiscount, err = decimal.NewFromString(t.BuyerFee.LiquidityFeeVolumeDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode buyer liquidity fee volume discount:%w", err)
}
}
}
sellerMakerFee := decimal.Zero
sellerInfraFee := decimal.Zero
sellerLiquidityFee := decimal.Zero
sellerMakerFeeReferrerDiscount := decimal.Zero
sellerMakerFeeVolumeDiscount := decimal.Zero
sellerInfraFeeReferrerDiscount := decimal.Zero
sellerInfraFeeVolumeDiscount := decimal.Zero
sellerLiquidityFeeReferrerDiscount := decimal.Zero
sellerLiquidityFeeVolumeDiscount := decimal.Zero
if t.SellerFee != nil {
sellerMakerFee, err = decimal.NewFromString(t.SellerFee.MakerFee)
if err != nil {
return nil, fmt.Errorf("failed to decode seller maker fee:%w", err)
}
if len(t.SellerFee.MakerFeeReferrerDiscount) > 0 {
sellerMakerFeeReferrerDiscount, err = decimal.NewFromString(t.SellerFee.MakerFeeReferrerDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode seller maker fee referrer discount:%w", err)
}
}
if len(t.SellerFee.MakerFeeVolumeDiscount) > 0 {
sellerMakerFeeVolumeDiscount, err = decimal.NewFromString(t.SellerFee.MakerFeeVolumeDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode seller maker fee volume discount:%w", err)
}
}
sellerInfraFee, err = decimal.NewFromString(t.SellerFee.InfrastructureFee)
if err != nil {
return nil, fmt.Errorf("failed to decode seller infrastructure fee:%w", err)
}
if len(t.SellerFee.InfrastructureFeeReferrerDiscount) > 0 {
sellerInfraFeeReferrerDiscount, err = decimal.NewFromString(t.SellerFee.InfrastructureFeeReferrerDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode seller infrastructure fee referrer discount:%w", err)
}
}
if len(t.SellerFee.InfrastructureFeeVolumeDiscount) > 0 {
sellerInfraFeeVolumeDiscount, err = decimal.NewFromString(t.SellerFee.InfrastructureFeeVolumeDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode seller infrastructure fee volume discount:%w", err)
}
}
sellerLiquidityFee, err = decimal.NewFromString(t.SellerFee.LiquidityFee)
if err != nil {
return nil, fmt.Errorf("failed to decode seller liquidity fee:%w", err)
}
if len(t.SellerFee.LiquidityFeeReferrerDiscount) > 0 {
sellerLiquidityFeeReferrerDiscount, err = decimal.NewFromString(t.SellerFee.LiquidityFeeReferrerDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode seller liquidity fee referrer discount:%w", err)
}
}
if len(t.SellerFee.LiquidityFeeVolumeDiscount) > 0 {
sellerLiquidityFeeVolumeDiscount, err = decimal.NewFromString(t.SellerFee.LiquidityFeeVolumeDiscount)
if err != nil {
return nil, fmt.Errorf("failed to decode seller liquidity fee volume discount:%w", err)
}
}
}
trade := Trade{
SyntheticTime: syntheticTime,
TxHash: txHash,
VegaTime: vegaTime,
SeqNum: sequenceNumber,
ID: TradeID(t.Id),
MarketID: MarketID(t.MarketId),
Price: price,
Size: t.Size,
Buyer: PartyID(t.Buyer),
Seller: PartyID(t.Seller),
Aggressor: t.Aggressor,
BuyOrder: OrderID(t.BuyOrder),
SellOrder: OrderID(t.SellOrder),
Type: t.Type,
BuyerMakerFee: buyerMakerFee,
BuyerInfrastructureFee: buyerInfraFee,
BuyerLiquidityFee: buyerLiquidityFee,
BuyerMakerFeeReferralDiscount: buyerMakerFeeReferrerDiscount,
BuyerMakerFeeVolumeDiscount: buyerMakerFeeVolumeDiscount,
BuyerInfrastructureFeeReferralDiscount: buyerInfraFeeReferrerDiscount,
BuyerInfrastructureFeeVolumeDiscount: buyerInfraFeeVolumeDiscount,
BuyerLiquidityFeeReferralDiscount: buyerLiquidityFeeReferrerDiscount,
BuyerLiquidityFeeVolumeDiscount: buyerLiquidityFeeVolumeDiscount,
SellerMakerFee: sellerMakerFee,
SellerInfrastructureFee: sellerInfraFee,
SellerLiquidityFee: sellerLiquidityFee,
SellerMakerFeeReferralDiscount: sellerMakerFeeReferrerDiscount,
SellerMakerFeeVolumeDiscount: sellerMakerFeeVolumeDiscount,
SellerInfrastructureFeeReferralDiscount: sellerInfraFeeReferrerDiscount,
SellerInfrastructureFeeVolumeDiscount: sellerInfraFeeVolumeDiscount,
SellerLiquidityFeeReferralDiscount: sellerLiquidityFeeReferrerDiscount,
SellerLiquidityFeeVolumeDiscount: sellerLiquidityFeeVolumeDiscount,
BuyerAuctionBatch: t.BuyerAuctionBatch,
SellerAuctionBatch: t.SellerAuctionBatch,
}
return &trade, nil
}
type TradeCursor struct {
SyntheticTime time.Time `json:"synthetic_time"`
}
func (c TradeCursor) String() string {
bs, err := json.Marshal(c)
if err != nil {
panic(fmt.Errorf("could not marshal Trade cursor: %w", err))
}
return string(bs)
}
func (c *TradeCursor) Parse(cursorString string) error {
if cursorString == "" {
return nil
}
return json.Unmarshal([]byte(cursorString), c)
}