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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 execution
import (
"context"
"errors"
"fmt"
"sort"
"time"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/execution/common"
"code.vegaprotocol.io/vega/core/execution/future"
"code.vegaprotocol.io/vega/core/execution/spot"
"code.vegaprotocol.io/vega/core/fee"
"code.vegaprotocol.io/vega/core/metrics"
"code.vegaprotocol.io/vega/core/monitor"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/crypto"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
"code.vegaprotocol.io/vega/protos/vega"
"golang.org/x/exp/maps"
)
var (
// ErrMarketDoesNotExist is returned when the market does not exist.
ErrMarketDoesNotExist = errors.New("market does not exist")
// ErrNoMarketID is returned when invalid (empty) market id was supplied during market creation.
ErrNoMarketID = errors.New("no valid market id was supplied")
// ErrInvalidOrderCancellation is returned when an incomplete order cancellation request is used.
ErrInvalidOrderCancellation = errors.New("invalid order cancellation")
// ErrSuccessorMarketDoesNotExists is returned when SucceedMarket call is made with an invalid successor market ID.
ErrSuccessorMarketDoesNotExist = errors.New("successor market does not exist")
// ErrParentMarketNotEnactedYet is returned when trying to enact a successor market that is still in proposed state.
ErrParentMarketNotEnactedYet = errors.New("parent market in proposed state, can't enact successor")
// ErrInvalidStopOrdersCancellation is returned when an incomplete stop orders cancellation request is used.
ErrInvalidStopOrdersCancellation = errors.New("invalid stop orders cancellation")
// ErrMarketIDRequiredWhenOrderIDSpecified is returned when a stop order cancellation is emitted without an order id.
ErrMarketIDRequiredWhenOrderIDSpecified = errors.New("market id required when order id specified")
// ErrStopOrdersNotAcceptedDuringOpeningAuction is returned if a stop order is submitted when the market is in the opening auction.
ErrStopOrdersNotAcceptedDuringOpeningAuction = errors.New("stop orders are not accepted during the opening auction")
)
// Engine is the execution engine.
type Engine struct {
Config
log *logging.Logger
futureMarkets map[string]*future.Market
futureMarketsCpy []*future.Market
spotMarkets map[string]*spot.Market
spotMarketsCpy []*spot.Market
allMarkets map[string]common.CommonMarket
allMarketsCpy []common.CommonMarket
collateral common.Collateral
assets common.Assets
referralDiscountRewardService fee.ReferralDiscountRewardService
volumeDiscountService fee.VolumeDiscountService
banking common.Banking
broker common.Broker
timeService common.TimeService
stateVarEngine common.StateVarEngine
marketActivityTracker *common.MarketActivityTracker
oracle common.OracleEngine
npv netParamsValues
snapshotSerialised []byte
newGeneratedProviders []types.StateProvider // new providers generated during the last state change
// Map of all active snapshot providers that the execution engine has generated
generatedProviders map[string]struct{}
maxPeggedOrders uint64
totalPeggedOrdersCount int64
marketCPStates map[string]*types.CPMarketState
// a map of all successor markets under parent ID
// used to manage pending markets once a successor takes over
successors map[string][]string
isSuccessor map[string]string
successorWindow time.Duration
// only used once, during CP restore, this doesn't need to be included in a snapshot or checkpoint.
skipRestoreSuccessors map[string]struct{}
}
type netParamsValues struct {
feeDistributionTimeStep time.Duration
marketValueWindowLength time.Duration
suppliedStakeToObligationFactor num.Decimal
infrastructureFee num.Decimal
makerFee num.Decimal
scalingFactors *types.ScalingFactors
maxLiquidityFee num.Decimal
bondPenaltyFactor num.Decimal
auctionMinDuration time.Duration
auctionMaxDuration time.Duration
probabilityOfTradingTauScaling num.Decimal
minProbabilityOfTradingLPOrders num.Decimal
minLpStakeQuantumMultiple num.Decimal
marketCreationQuantumMultiple num.Decimal
markPriceUpdateMaximumFrequency time.Duration
internalCompositePriceUpdateFrequency time.Duration
marketPartiesMaximumStopOrdersUpdate *num.Uint
// Liquidity version 2.
liquidityV2BondPenaltyFactor num.Decimal
liquidityV2EarlyExitPenalty num.Decimal
liquidityV2MaxLiquidityFee num.Decimal
liquidityV2SLANonPerformanceBondPenaltyMax num.Decimal
liquidityV2SLANonPerformanceBondPenaltySlope num.Decimal
liquidityV2StakeToCCYVolume num.Decimal
liquidityV2ProvidersFeeCalculationTimeStep time.Duration
// only used for protocol upgrade to v0.74
chainID uint64
}
func defaultNetParamsValues() netParamsValues {
return netParamsValues{
feeDistributionTimeStep: -1,
marketValueWindowLength: -1,
suppliedStakeToObligationFactor: num.DecimalFromInt64(-1),
infrastructureFee: num.DecimalFromInt64(-1),
makerFee: num.DecimalFromInt64(-1),
scalingFactors: nil,
maxLiquidityFee: num.DecimalFromInt64(-1),
bondPenaltyFactor: num.DecimalFromInt64(-1),
auctionMinDuration: -1,
probabilityOfTradingTauScaling: num.DecimalFromInt64(-1),
minProbabilityOfTradingLPOrders: num.DecimalFromInt64(-1),
minLpStakeQuantumMultiple: num.DecimalFromInt64(-1),
marketCreationQuantumMultiple: num.DecimalFromInt64(-1),
markPriceUpdateMaximumFrequency: 5 * time.Second, // default is 5 seconds, should come from net params though
internalCompositePriceUpdateFrequency: 5 * time.Second,
marketPartiesMaximumStopOrdersUpdate: num.UintZero(),
// Liquidity version 2.
liquidityV2BondPenaltyFactor: num.DecimalFromInt64(-1),
liquidityV2EarlyExitPenalty: num.DecimalFromInt64(-1),
liquidityV2MaxLiquidityFee: num.DecimalFromInt64(-1),
liquidityV2SLANonPerformanceBondPenaltyMax: num.DecimalFromInt64(-1),
liquidityV2SLANonPerformanceBondPenaltySlope: num.DecimalFromInt64(-1),
liquidityV2StakeToCCYVolume: num.DecimalFromInt64(-1),
liquidityV2ProvidersFeeCalculationTimeStep: time.Second * 5,
}
}
// NewEngine takes stores and engines and returns
// a new execution engine to process new orders, etc.
func NewEngine(
log *logging.Logger,
executionConfig Config,
ts common.TimeService,
collateral common.Collateral,
oracle common.OracleEngine,
broker common.Broker,
stateVarEngine common.StateVarEngine,
marketActivityTracker *common.MarketActivityTracker,
assets common.Assets,
referralDiscountRewardService fee.ReferralDiscountRewardService,
volumeDiscountService fee.VolumeDiscountService,
banking common.Banking,
) *Engine {
// setup logger
log = log.Named(namedLogger)
log.SetLevel(executionConfig.Level.Get())
e := &Engine{
log: log,
Config: executionConfig,
futureMarkets: map[string]*future.Market{},
spotMarkets: map[string]*spot.Market{},
allMarkets: map[string]common.CommonMarket{},
timeService: ts,
collateral: collateral,
assets: assets,
broker: broker,
oracle: oracle,
npv: defaultNetParamsValues(),
generatedProviders: map[string]struct{}{},
stateVarEngine: stateVarEngine,
marketActivityTracker: marketActivityTracker,
marketCPStates: map[string]*types.CPMarketState{},
successors: map[string][]string{},
isSuccessor: map[string]string{},
skipRestoreSuccessors: map[string]struct{}{},
referralDiscountRewardService: referralDiscountRewardService,
volumeDiscountService: volumeDiscountService,
banking: banking,
}
// set the eligibility for proposer bonus checker
e.marketActivityTracker.SetEligibilityChecker(e)
return e
}
// ReloadConf updates the internal configuration of the execution
// engine and its dependencies.
func (e *Engine) ReloadConf(cfg Config) {
e.log.Debug("reloading configuration")
if e.log.GetLevel() != cfg.Level.Get() {
e.log.Info("updating log level",
logging.String("old", e.log.GetLevel().String()),
logging.String("new", cfg.Level.String()),
)
e.log.SetLevel(cfg.Level.Get())
}
e.Config = cfg
for _, mkt := range e.futureMarketsCpy {
mkt.ReloadConf(e.Matching, e.Risk, e.Position, e.Settlement, e.Fee)
}
for _, mkt := range e.spotMarketsCpy {
mkt.ReloadConf(e.Matching, e.Fee)
}
}
func (e *Engine) OnEpochEvent(ctx context.Context, epoch types.Epoch) {
for _, m := range e.allMarketsCpy {
// propagate SLA parameters to markets at a start of a epoch
if epoch.Action == vega.EpochAction_EPOCH_ACTION_START {
e.propagateSLANetParams(ctx, m, false)
}
m.OnEpochEvent(ctx, epoch)
}
}
func (e *Engine) OnEpochRestore(ctx context.Context, epoch types.Epoch) {
for _, m := range e.allMarketsCpy {
m.OnEpochRestore(ctx, epoch)
}
}
func (e *Engine) Hash() []byte {
e.log.Debug("hashing markets")
hashes := make([]string, 0, len(e.allMarketsCpy))
for _, m := range e.allMarketsCpy {
hash := m.Hash()
e.log.Debug("market app state hash", logging.Hash(hash), logging.String("market-id", m.GetID()))
hashes = append(hashes, string(hash))
}
sort.Strings(hashes)
// get the accounts hash + add it at end of all markets hash
accountsHash := e.collateral.Hash()
e.log.Debug("accounts state hash", logging.Hash(accountsHash))
bytes := []byte{}
for _, h := range append(hashes, string(accountsHash)) {
bytes = append(bytes, []byte(h)...)
}
return crypto.Hash(bytes)
}
// RejectMarket will stop the execution of the market
// and refund into the general account any funds in margins accounts from any parties
// This works only if the market is in a PROPOSED STATE.
func (e *Engine) RejectMarket(ctx context.Context, marketID string) error {
if e.log.IsDebug() {
e.log.Debug("reject market", logging.MarketID(marketID))
}
_, isFuture := e.futureMarkets[marketID]
if _, ok := e.allMarkets[marketID]; !ok {
return ErrMarketDoesNotExist
}
mkt := e.allMarkets[marketID]
if err := mkt.Reject(ctx); err != nil {
return err
}
// send market data event so market data and markets API are consistent.
e.broker.Send(events.NewMarketDataEvent(ctx, mkt.GetMarketData()))
e.removeMarket(marketID)
if !isFuture {
return nil
}
// a market rejection can have a knock-on effect for proposed markets which were supposed to succeed this market
// they should be purged here, and @TODO handle any errors
if successors, ok := e.successors[marketID]; ok {
delete(e.successors, marketID)
for _, sID := range successors {
e.RejectMarket(ctx, sID)
delete(e.isSuccessor, sID)
}
}
// remove entries in succession maps
delete(e.isSuccessor, marketID)
// and clear out any state that may exist
delete(e.marketCPStates, marketID)
return nil
}
// StartOpeningAuction will start the opening auction of the given market.
// This will work only if the market is currently in a PROPOSED state.
func (e *Engine) StartOpeningAuction(ctx context.Context, marketID string) error {
if e.log.IsDebug() {
e.log.Debug("start opening auction", logging.MarketID(marketID))
}
if mkt, ok := e.allMarkets[marketID]; ok {
return mkt.StartOpeningAuction(ctx)
}
return ErrMarketDoesNotExist
}
func (e *Engine) SucceedMarket(ctx context.Context, successor, parent string) error {
return e.succeedOrRestore(ctx, successor, parent, false)
}
func (e *Engine) restoreOwnState(ctx context.Context, mID string) (bool, error) {
mkt, ok := e.futureMarkets[mID]
if !ok {
return false, ErrMarketDoesNotExist
}
if state, ok := e.marketCPStates[mID]; ok {
// set ELS state and the like
mkt.RestoreELS(ctx, state)
// if there was state of the market to restore, then check if this is a successor market
if pid := mkt.GetParentMarketID(); len(pid) > 0 {
// mark parent market as being succeeded
if pMkt, ok := e.futureMarkets[pid]; ok {
pMkt.SetSucceeded()
}
for _, pending := range e.successors[pid] {
if pending == mID {
continue
}
e.RejectMarket(ctx, pending)
}
delete(e.successors, pid)
delete(e.isSuccessor, mID)
}
return true, nil
}
return false, nil
}
func (e *Engine) succeedOrRestore(ctx context.Context, successor, parent string, restore bool) error {
mkt, ok := e.futureMarkets[successor]
if !ok {
// this can happen if a proposal vote closed, but the proposal had an enactment time in the future.
// Between the proposal being accepted and enacted, another proposal may be enacted first.
// Whenever the parent is succeeded, all other markets are rejected and removed from the map here,
// nevertheless the proposal is still valid, and updated by the governance engine.
return ErrMarketDoesNotExist
}
if restore {
// first up: when restoring markets, check to see if this successor should be rejected
if _, ok := e.skipRestoreSuccessors[parent]; ok {
_ = e.RejectMarket(ctx, successor)
delete(e.successors, parent)
delete(e.isSuccessor, successor)
// no error: we just do not care about this market anymore
return nil
}
}
// if this is a market restore, first check to see if there is some state already
_, ok = e.GetMarket(parent, true)
if !ok && !restore {
// a successor market that has passed the vote, but the parent market either already was succeeded
// or the proposal vote closed when the parent market was still around, but it wasn't enacted until now
// and since then the parent market state expired. This shouldn't really happen save for checkpoints,
// but then the proposal will be rejected/closed later on.
mkt.ResetParentIDAndInsurancePoolFraction()
return nil
}
_, sok := e.marketCPStates[parent]
// restoring a market, but no state of the market nor parent market exists. Treat market as parent.
if restore && !sok && !ok {
// restoring a market, but the market state and parent market both are missing
// this market, upon leaving opening auction, cannot possibly succeed a market that no longer exists
// now we should reset
mkt.ResetParentIDAndInsurancePoolFraction()
// remove from maps
delete(e.successors, parent)
delete(e.isSuccessor, successor)
return nil
}
// succeeding a parent market before it was enacted is not allowed
if pmo, ok := e.futureMarkets[parent]; ok && !restore && pmo.Mkt().State == types.MarketStateProposed {
e.RejectMarket(ctx, successor)
return ErrParentMarketNotEnactedYet
}
// successor market set up accordingly, clean up the state
// first reject all pending successors proposed for the same parent
return nil
}
// IsEligibleForProposerBonus checks if the given value is greater than that market quantum * quantum_multiplier.
func (e *Engine) IsEligibleForProposerBonus(marketID string, value *num.Uint) bool {
if mkt, ok := e.allMarkets[marketID]; ok {
quantum, err := e.collateral.GetAssetQuantum(mkt.GetAssetForProposerBonus())
if err != nil {
return false
}
return value.ToDecimal().GreaterThan(quantum.Mul(e.npv.marketCreationQuantumMultiple))
}
return false
}
// SubmitMarket submits a new market configuration to the network.
func (e *Engine) SubmitMarket(ctx context.Context, marketConfig *types.Market, proposer string, oos time.Time) error {
return e.submitOrRestoreMarket(ctx, marketConfig, proposer, true, oos)
}
// SubmitSpotMarket submits a new spot market configuration to the network.
func (e *Engine) SubmitSpotMarket(ctx context.Context, marketConfig *types.Market, proposer string, oos time.Time) error {
return e.submitOrRestoreSpotMarket(ctx, marketConfig, proposer, true, oos)
}
// RestoreMarket restores a new market from proposal checkpoint.
func (e *Engine) RestoreMarket(ctx context.Context, marketConfig *types.Market) error {
proposer := e.marketActivityTracker.GetProposer(marketConfig.ID)
if len(proposer) == 0 {
return ErrMarketDoesNotExist
}
// restoring a market means starting it as though the proposal was accepted now.
if err := e.submitOrRestoreMarket(ctx, marketConfig, "", false, e.timeService.GetTimeNow()); err != nil {
return err
}
// attempt to restore market state from checkpoint, returns true if state (ELS) was restored
// error if the market doesn't exist
ok, err := e.restoreOwnState(ctx, marketConfig.ID)
if err != nil {
return err
}
if ok {
// existing state has been restored. This means a potential parent market has been succeeded
// the parent market may no longer be present. In that case, remove the reference to the parent market
if len(marketConfig.ParentMarketID) == 0 {
return nil
}
// successor had state to restore, meaning it left opening auction, and no other successors with the same parent market
// can be restored after this point.
e.skipRestoreSuccessors[marketConfig.ParentMarketID] = struct{}{}
// any pending successors that didn't manage to leave opening auction should be rejected at this point:
pendingSuccessors := e.successors[marketConfig.ParentMarketID]
for _, sid := range pendingSuccessors {
_ = e.RejectMarket(ctx, sid)
}
// check to see if the parent market can be found, remove from the successor maps if the parent is gone
// the market itself should still hold the reference because state was restored
pmkt, ok := e.futureMarkets[marketConfig.ParentMarketID]
if ok {
// market parent as having been succeeded
pmkt.SetSucceeded()
}
// remove the parent from the successors map
delete(e.successors, marketConfig.ParentMarketID)
// remove from the isSuccessor map, do not reset the parent ID reference to preserve the reference in the events.
delete(e.isSuccessor, marketConfig.ID)
return nil
}
// this is a successor market, handle accordingly
if pid := marketConfig.ParentMarketID; len(pid) > 0 {
return e.succeedOrRestore(ctx, marketConfig.ID, pid, true)
}
return nil
}
func (e *Engine) submitOrRestoreMarket(ctx context.Context, marketConfig *types.Market, proposer string, isNewMarket bool, oos time.Time) error {
if e.log.IsDebug() {
msg := "submit market"
if !isNewMarket {
msg = "restore market"
}
e.log.Debug(msg, logging.Market(*marketConfig))
}
if err := e.submitMarket(ctx, marketConfig, oos); err != nil {
return err
}
if pid := marketConfig.ParentMarketID; len(pid) > 0 {
ss, ok := e.successors[pid]
if !ok {
ss = make([]string, 0, 5)
}
id := marketConfig.ID
// add successor market to the successors, to track which markets to get rid off once one successor is enacted
e.successors[pid] = append(ss, id)
e.isSuccessor[id] = pid
}
if isNewMarket {
assets, err := marketConfig.GetAssets()
if err != nil {
e.log.Panic("failed to get asset from market config", logging.String("market", marketConfig.ID), logging.String("error", err.Error()))
}
e.marketActivityTracker.MarketProposed(assets[0], marketConfig.ID, proposer)
}
// keep state in pending, opening auction is triggered when proposal is enacted
mkt := e.futureMarkets[marketConfig.ID]
e.publishNewMarketInfos(ctx, mkt.GetMarketData(), *mkt.Mkt())
return nil
}
func (e *Engine) submitOrRestoreSpotMarket(ctx context.Context, marketConfig *types.Market, proposer string, isNewMarket bool, oos time.Time) error {
if e.log.IsDebug() {
msg := "submit spot market"
if !isNewMarket {
msg = "restore spot market"
}
e.log.Debug(msg, logging.Market(*marketConfig))
}
if err := e.submitSpotMarket(ctx, marketConfig, oos); err != nil {
return err
}
if isNewMarket {
assets, err := marketConfig.GetAssets()
if err != nil {
e.log.Panic("failed to get asset from market config", logging.String("market", marketConfig.ID), logging.String("error", err.Error()))
}
e.marketActivityTracker.MarketProposed(assets[1], marketConfig.ID, proposer)
}
// keep state in pending, opening auction is triggered when proposal is enacted
mkt := e.spotMarkets[marketConfig.ID]
e.publishNewMarketInfos(ctx, mkt.GetMarketData(), *mkt.Mkt())
return nil
}
// UpdateSpotMarket will update an existing market configuration.
func (e *Engine) UpdateSpotMarket(ctx context.Context, marketConfig *types.Market) error {
e.log.Info("update spot market", logging.Market(*marketConfig))
mkt := e.spotMarkets[marketConfig.ID]
if err := mkt.Update(ctx, marketConfig); err != nil {
return err
}
e.publishUpdateMarketInfos(ctx, mkt.GetMarketData(), *mkt.Mkt())
return nil
}
func (e *Engine) VerifyUpdateMarketState(changes *types.MarketStateUpdateConfiguration) error {
// futures or perps market
if market, ok := e.futureMarkets[changes.MarketID]; ok {
if changes.SettlementPrice == nil && changes.UpdateType == types.MarketStateUpdateTypeTerminate {
return fmt.Errorf("missing settlement price for governance initiated futures market termination")
}
state := market.GetMarketState()
if state == types.MarketStateCancelled || state == types.MarketStateClosed || state == types.MarketStateRejected || state == types.MarketStateSettled || state == types.MarketStateTradingTerminated {
return fmt.Errorf("invalid state update request. Market is already in a terminal state")
}
if changes.UpdateType == types.MarketStateUpdateTypeSuspend && state == types.MarketStateSuspendedViaGovernance {
return fmt.Errorf("invalid state update request. Market for suspend is already suspended")
}
if changes.UpdateType == types.MarketStateUpdateTypeResume && state != types.MarketStateSuspendedViaGovernance {
return fmt.Errorf("invalid state update request. Market for resume is not suspended")
}
return nil
}
// spot market
if market, ok := e.spotMarkets[changes.MarketID]; ok {
if changes.SettlementPrice != nil && changes.UpdateType == types.MarketStateUpdateTypeTerminate {
return fmt.Errorf("settlement price is not needed for governance initiated spot market termination")
}
state := market.GetMarketState()
if state == types.MarketStateCancelled || state == types.MarketStateClosed || state == types.MarketStateRejected || state == types.MarketStateTradingTerminated {
return fmt.Errorf("invalid state update request. Market is already in a terminal state")
}
if changes.UpdateType == types.MarketStateUpdateTypeResume && state != types.MarketStateSuspendedViaGovernance {
return fmt.Errorf("invalid state update request. Market for resume is not suspended")
}
return nil
}
return ErrMarketDoesNotExist
}
func (e *Engine) UpdateMarketState(ctx context.Context, changes *types.MarketStateUpdateConfiguration) error {
if market, ok := e.allMarkets[changes.MarketID]; ok {
if err := e.VerifyUpdateMarketState(changes); err != nil {
return err
}
return market.UpdateMarketState(ctx, changes)
}
return ErrMarketDoesNotExist
}
// UpdateMarket will update an existing market configuration.
func (e *Engine) UpdateMarket(ctx context.Context, marketConfig *types.Market) error {
e.log.Info("update market", logging.Market(*marketConfig))
mkt := e.futureMarkets[marketConfig.ID]
if err := mkt.Update(ctx, marketConfig, e.oracle); err != nil {
return err
}
e.publishUpdateMarketInfos(ctx, mkt.GetMarketData(), *mkt.Mkt())
return nil
}
func (e *Engine) publishNewMarketInfos(ctx context.Context, data types.MarketData, mkt types.Market) {
// we send a market data event for this market when it's created so graphql does not fail
e.broker.Send(events.NewMarketDataEvent(ctx, data))
e.broker.Send(events.NewMarketCreatedEvent(ctx, mkt))
e.broker.Send(events.NewMarketUpdatedEvent(ctx, mkt))
}
func (e *Engine) publishUpdateMarketInfos(ctx context.Context, data types.MarketData, mkt types.Market) {
// we send a market data event for this market when it's created so graphql does not fail
e.broker.Send(events.NewMarketDataEvent(ctx, data))
e.broker.Send(events.NewMarketUpdatedEvent(ctx, mkt))
}
// submitMarket will submit a new market configuration to the network.
func (e *Engine) submitMarket(ctx context.Context, marketConfig *types.Market, oos time.Time) error {
if len(marketConfig.ID) == 0 {
return ErrNoMarketID
}
// ensure the asset for this new market exists
assets, err := marketConfig.GetAssets()
if err != nil {
return err
}
asset := assets[0]
if !e.collateral.AssetExists(asset) {
e.log.Error("unable to create a market with an invalid asset",
logging.MarketID(marketConfig.ID),
logging.AssetID(asset))
}
// ignore the response, this cannot fail as the asset
// is already proven to exists a few line before
_, _, _ = e.collateral.CreateMarketAccounts(ctx, marketConfig.ID, asset)
// create market auction state
mas := monitor.NewAuctionState(marketConfig, oos)
ad, err := e.assets.Get(asset)
if err != nil {
e.log.Error("Failed to create a new market, unknown asset",
logging.MarketID(marketConfig.ID),
logging.String("asset-id", asset),
logging.Error(err),
)
return err
}
mkt, err := future.NewMarket(
ctx,
e.log,
e.Risk,
e.Position,
e.Settlement,
e.Matching,
e.Fee,
e.Liquidity,
e.collateral,
e.oracle,
marketConfig,
e.timeService,
e.broker,
mas,
e.stateVarEngine,
e.marketActivityTracker,
ad,
e.peggedOrderCountUpdated,
e.referralDiscountRewardService,
e.volumeDiscountService,
e.banking,
)
if err != nil {
e.log.Error("failed to instantiate market",
logging.MarketID(marketConfig.ID),
logging.Error(err),
)
return err
}
e.futureMarkets[marketConfig.ID] = mkt
e.futureMarketsCpy = append(e.futureMarketsCpy, mkt)
e.allMarkets[marketConfig.ID] = mkt
e.allMarketsCpy = append(e.allMarketsCpy, mkt)
return e.propagateInitialNetParamsToFutureMarket(ctx, mkt, false)
}
// submitMarket will submit a new market configuration to the network.
func (e *Engine) submitSpotMarket(ctx context.Context, marketConfig *types.Market, oos time.Time) error {
if len(marketConfig.ID) == 0 {
return ErrNoMarketID
}
// ensure the asset for this new market exists
assets, err := marketConfig.GetAssets()
if err != nil {
return err
}
baseAsset := assets[spot.BaseAssetIndex]
if !e.collateral.AssetExists(baseAsset) {
e.log.Error("unable to create a spot market with an invalid base asset",
logging.MarketID(marketConfig.ID),
logging.AssetID(baseAsset))
}
quoteAsset := assets[spot.QuoteAssetIndex]
if !e.collateral.AssetExists(quoteAsset) {
e.log.Error("unable to create a spot market with an invalid quote asset",
logging.MarketID(marketConfig.ID),
logging.AssetID(quoteAsset))
}
// create market auction state
mas := monitor.NewAuctionState(marketConfig, oos)
bad, err := e.assets.Get(baseAsset)
if err != nil {
e.log.Error("Failed to create a new market, unknown asset",
logging.MarketID(marketConfig.ID),
logging.String("asset-id", baseAsset),
logging.Error(err),
)
return err
}
qad, err := e.assets.Get(quoteAsset)
if err != nil {
e.log.Error("Failed to create a new market, unknown asset",
logging.MarketID(marketConfig.ID),
logging.String("asset-id", quoteAsset),
logging.Error(err),
)
return err
}
mkt, err := spot.NewMarket(
e.log,
e.Matching,
e.Fee,
e.Liquidity,
e.collateral,
marketConfig,
e.timeService,
e.broker,
mas,
e.stateVarEngine,
e.marketActivityTracker,
bad,
qad,
e.peggedOrderCountUpdated,
e.referralDiscountRewardService,
e.volumeDiscountService,
e.banking,
)
if err != nil {
e.log.Error("failed to instantiate market",
logging.MarketID(marketConfig.ID),
logging.Error(err),
)
return err
}
e.spotMarkets[marketConfig.ID] = mkt
e.spotMarketsCpy = append(e.spotMarketsCpy, mkt)
e.allMarkets[marketConfig.ID] = mkt
e.allMarketsCpy = append(e.allMarketsCpy, mkt)
e.collateral.CreateSpotMarketAccounts(ctx, marketConfig.ID, quoteAsset)
if err := e.propagateSpotInitialNetParams(ctx, mkt, false); err != nil {
return err
}
return nil
}
func (e *Engine) propagateSpotInitialNetParams(ctx context.Context, mkt *spot.Market, isRestore bool) error {
if !e.npv.minLpStakeQuantumMultiple.Equal(num.DecimalFromInt64(-1)) {
mkt.OnMarketMinLpStakeQuantumMultipleUpdate(ctx, e.npv.minLpStakeQuantumMultiple)
}
if e.npv.auctionMinDuration != -1 {
mkt.OnMarketAuctionMinimumDurationUpdate(ctx, e.npv.auctionMinDuration)
}
if e.npv.auctionMaxDuration > 0 {
mkt.OnMarketAuctionMaximumDurationUpdate(ctx, e.npv.auctionMaxDuration)
}
if !e.npv.infrastructureFee.Equal(num.DecimalFromInt64(-1)) {
mkt.OnFeeFactorsInfrastructureFeeUpdate(ctx, e.npv.infrastructureFee)
}
if !e.npv.makerFee.Equal(num.DecimalFromInt64(-1)) {
mkt.OnFeeFactorsMakerFeeUpdate(ctx, e.npv.makerFee)
}
if e.npv.marketValueWindowLength != -1 {
mkt.OnMarketValueWindowLengthUpdate(e.npv.marketValueWindowLength)
}
if e.npv.markPriceUpdateMaximumFrequency > 0 {
mkt.OnMarkPriceUpdateMaximumFrequency(ctx, e.npv.markPriceUpdateMaximumFrequency)
}
if !e.npv.liquidityV2EarlyExitPenalty.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2EarlyExitPenaltyUpdate(e.npv.liquidityV2EarlyExitPenalty)
}
if !e.npv.liquidityV2MaxLiquidityFee.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2MaximumLiquidityFeeFactorLevelUpdate(e.npv.liquidityV2MaxLiquidityFee)
}
if !e.npv.liquidityV2SLANonPerformanceBondPenaltySlope.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2SLANonPerformanceBondPenaltySlopeUpdate(e.npv.liquidityV2SLANonPerformanceBondPenaltySlope)
}
if !e.npv.liquidityV2SLANonPerformanceBondPenaltyMax.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2SLANonPerformanceBondPenaltyMaxUpdate(e.npv.liquidityV2SLANonPerformanceBondPenaltyMax)
}
if !e.npv.liquidityV2StakeToCCYVolume.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2StakeToCCYVolume(e.npv.liquidityV2StakeToCCYVolume)
}
mkt.OnMarketPartiesMaximumStopOrdersUpdate(ctx, e.npv.marketPartiesMaximumStopOrdersUpdate)
e.propagateSLANetParams(ctx, mkt, isRestore)
return nil
}
func (e *Engine) propagateInitialNetParamsToFutureMarket(ctx context.Context, mkt *future.Market, isRestore bool) error {
if !e.npv.probabilityOfTradingTauScaling.Equal(num.DecimalFromInt64(-1)) {
mkt.OnMarketProbabilityOfTradingTauScalingUpdate(ctx, e.npv.probabilityOfTradingTauScaling)
}
if !e.npv.minProbabilityOfTradingLPOrders.Equal(num.DecimalFromInt64(-1)) {
mkt.OnMarketMinProbabilityOfTradingLPOrdersUpdate(ctx, e.npv.minProbabilityOfTradingLPOrders)
}
if !e.npv.minLpStakeQuantumMultiple.Equal(num.DecimalFromInt64(-1)) {
mkt.OnMarketMinLpStakeQuantumMultipleUpdate(ctx, e.npv.minLpStakeQuantumMultiple)
}
if e.npv.auctionMinDuration != -1 {
mkt.OnMarketAuctionMinimumDurationUpdate(ctx, e.npv.auctionMinDuration)
}
if e.npv.auctionMaxDuration > 0 {
mkt.OnMarketAuctionMaximumDurationUpdate(ctx, e.npv.auctionMaxDuration)
}
if !e.npv.infrastructureFee.Equal(num.DecimalFromInt64(-1)) {
mkt.OnFeeFactorsInfrastructureFeeUpdate(ctx, e.npv.infrastructureFee)
}
if !e.npv.makerFee.Equal(num.DecimalFromInt64(-1)) {
mkt.OnFeeFactorsMakerFeeUpdate(ctx, e.npv.makerFee)
}
if e.npv.scalingFactors != nil {
if err := mkt.OnMarginScalingFactorsUpdate(ctx, e.npv.scalingFactors); err != nil {
return err
}
}
if e.npv.marketValueWindowLength != -1 {
mkt.OnMarketValueWindowLengthUpdate(e.npv.marketValueWindowLength)
}
if !e.npv.maxLiquidityFee.Equal(num.DecimalFromInt64(-1)) {
mkt.OnMarketLiquidityMaximumLiquidityFeeFactorLevelUpdate(e.npv.maxLiquidityFee)
}
if e.npv.markPriceUpdateMaximumFrequency > 0 {
mkt.OnMarkPriceUpdateMaximumFrequency(ctx, e.npv.markPriceUpdateMaximumFrequency)
}
if e.npv.internalCompositePriceUpdateFrequency > 0 {
mkt.OnInternalCompositePriceUpdateFrequency(ctx, e.npv.internalCompositePriceUpdateFrequency)
}
mkt.OnMarketPartiesMaximumStopOrdersUpdate(ctx, e.npv.marketPartiesMaximumStopOrdersUpdate)
e.propagateSLANetParams(ctx, mkt, isRestore)
return nil
}
func (e *Engine) propagateSLANetParams(_ context.Context, mkt common.CommonMarket, isRestore bool) {
if !e.npv.liquidityV2BondPenaltyFactor.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2BondPenaltyFactorUpdate(e.npv.liquidityV2BondPenaltyFactor)
}
if !e.npv.liquidityV2EarlyExitPenalty.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2EarlyExitPenaltyUpdate(e.npv.liquidityV2EarlyExitPenalty)
}
if !e.npv.liquidityV2MaxLiquidityFee.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2MaximumLiquidityFeeFactorLevelUpdate(e.npv.liquidityV2MaxLiquidityFee)
}
if !e.npv.liquidityV2SLANonPerformanceBondPenaltySlope.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2SLANonPerformanceBondPenaltySlopeUpdate(e.npv.liquidityV2SLANonPerformanceBondPenaltySlope)
}
if !e.npv.liquidityV2SLANonPerformanceBondPenaltyMax.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2SLANonPerformanceBondPenaltyMaxUpdate(e.npv.liquidityV2SLANonPerformanceBondPenaltyMax)
}
if !e.npv.liquidityV2StakeToCCYVolume.Equal(num.DecimalFromInt64(-1)) { //nolint:staticcheck
mkt.OnMarketLiquidityV2StakeToCCYVolume(e.npv.liquidityV2StakeToCCYVolume)
}
if !isRestore && e.npv.liquidityV2ProvidersFeeCalculationTimeStep != 0 {
mkt.OnMarketLiquidityV2ProvidersFeeCalculationTimeStep(e.npv.liquidityV2ProvidersFeeCalculationTimeStep)
}
}
func (e *Engine) removeMarket(mktID string) {
e.log.Debug("removing market", logging.String("id", mktID))
delete(e.allMarkets, mktID)
for i, mkt := range e.allMarketsCpy {
if mkt.GetID() == mktID {
copy(e.allMarketsCpy[i:], e.allMarketsCpy[i+1:])
e.allMarketsCpy[len(e.allMarketsCpy)-1] = nil
e.allMarketsCpy = e.allMarketsCpy[:len(e.allMarketsCpy)-1]
break
}
}
if _, ok := e.futureMarkets[mktID]; ok {
delete(e.futureMarkets, mktID)
for i, mkt := range e.futureMarketsCpy {
if mkt.GetID() == mktID {
mkt.StopSnapshots()
copy(e.futureMarketsCpy[i:], e.futureMarketsCpy[i+1:])
e.futureMarketsCpy[len(e.futureMarketsCpy)-1] = nil
e.futureMarketsCpy = e.futureMarketsCpy[:len(e.futureMarketsCpy)-1]
e.marketActivityTracker.RemoveMarket(mkt.GetSettlementAsset(), mktID)
e.log.Debug("removed in total", logging.String("id", mktID))
return
}
}
return
}
if _, ok := e.spotMarkets[mktID]; ok {
delete(e.spotMarkets, mktID)
for i, mkt := range e.spotMarketsCpy {
if mkt.GetID() == mktID {
mkt.StopSnapshots()
copy(e.spotMarketsCpy[i:], e.spotMarketsCpy[i+1:])
e.spotMarketsCpy[len(e.spotMarketsCpy)-1] = nil
e.spotMarketsCpy = e.spotMarketsCpy[:len(e.spotMarketsCpy)-1]
e.marketActivityTracker.RemoveMarket(mkt.GetAssetForProposerBonus(), mktID)
e.log.Debug("removed in total", logging.String("id", mktID))
return
}
}
}
}
func (e *Engine) peggedOrderCountUpdated(added int64) {
e.totalPeggedOrdersCount += added
}
func (e *Engine) canSubmitPeggedOrder() bool {
return uint64(e.totalPeggedOrdersCount) < e.maxPeggedOrders
}
func (e *Engine) SubmitStopOrders(
ctx context.Context,
submission *types.StopOrdersSubmission,
party string,
idgen common.IDGenerator,
fallsBelowID *string,
risesAboveID *string,
) (*types.OrderConfirmation, error) {
var market string
if submission.FallsBelow != nil {