market_position.go

// 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 positions

import (
	"errors"
	"fmt"
	"math"

	"code.vegaprotocol.io/vega/core/types"
	"code.vegaprotocol.io/vega/libs/num"
	"code.vegaprotocol.io/vega/logging"
)

// MarketPosition represents the position of a party inside a market.
type MarketPosition struct {
	// Actual volume
	size int64
	// Potential volume (orders not yet accepted/rejected)
	buy, sell int64

	partyID string
	price   *num.Uint

	// sum of size*price for party's buy/sell orders
	buySumProduct, sellSumProduct *num.Uint

	// this doesn't have to be included in checkpoints or snapshots
	// yes, it's technically state, but the main reason for this field is to cut down on the number
	// of events we send out.
	distressed bool

	averageEntryPrice *num.Uint
}

func NewMarketPosition(party string) *MarketPosition {
	return &MarketPosition{
		partyID:           party,
		price:             num.UintZero(),
		buySumProduct:     num.UintZero(),
		sellSumProduct:    num.UintZero(),
		averageEntryPrice: num.UintZero(),
	}
}

func (p MarketPosition) Clone() *MarketPosition {
	cpy := p
	cpy.price = p.price.Clone()
	cpy.buySumProduct = p.buySumProduct.Clone()
	cpy.sellSumProduct = p.sellSumProduct.Clone()
	cpy.averageEntryPrice = p.averageEntryPrice.Clone()
	return &cpy
}

func (p *MarketPosition) Closed() bool {
	// p.size can be negative
	// p.buy and p.sell can be only positive
	return p.size == 0 && p.buy+p.sell == 0
}

// UpdateInPlaceOnTrades takes a clone of the receiver position, and updates it with the position from the given trades.
func (p *MarketPosition) UpdateInPlaceOnTrades(log *logging.Logger, traderSide types.Side, trades []*types.Trade, order *types.Order) *MarketPosition {
	pos := p.Clone()
	for _, t := range trades {
		pos.averageEntryPrice = CalcVWAP(pos.averageEntryPrice, pos.size, int64(t.Size), t.Price)
		if traderSide == types.SideBuy {
			pos.size += int64(t.Size)
		} else {
			pos.size -= int64(t.Size)
		}
		// if we bought then we want to decrease the order size for this side so add=false
		// and vice versa for sell
		pos.UpdateOnOrderChange(log, traderSide, order.Price, t.Size, false)
	}
	return pos
}

func (p *MarketPosition) SetParty(party string) { p.partyID = party }

func (p *MarketPosition) RegisterOrder(log *logging.Logger, order *types.Order) {
	p.UpdateOnOrderChange(log, order.Side, order.Price, order.TrueRemaining(), true)
}

func (p *MarketPosition) UnregisterOrder(log *logging.Logger, order *types.Order) {
	p.UpdateOnOrderChange(log, order.Side, order.Price, order.TrueRemaining(), false)
}

func (p *MarketPosition) UpdateOnOrderChange(log *logging.Logger, side types.Side, price *num.Uint, sizeChange uint64, add bool) {
	if sizeChange == 0 {
		return
	}
	iSizeChange := int64(sizeChange)
	if side == types.SideBuy {
		if !add && p.buy < iSizeChange {
			log.Panic("cannot unregister order with potential buy + size change < 0",
				logging.Int64("potential-buy", p.buy),
				logging.Uint64("size-change", sizeChange))
		}

		if add && p.buy > math.MaxInt64-iSizeChange {
			log.Panic("order too large to register, will overflow",
				logging.Int64("potential-buy", p.buy),
				logging.Uint64("size-change", sizeChange))
		}

		// recalculate sumproduct
		if add {
			p.buySumProduct.Add(p.buySumProduct, num.UintZero().Mul(price, num.NewUint(sizeChange)))
			p.buy += iSizeChange
		} else {
			p.buySumProduct.Sub(p.buySumProduct, num.UintZero().Mul(price, num.NewUint(sizeChange)))
			p.buy -= iSizeChange
		}
		if p.buy == 0 && !p.buySumProduct.IsZero() {
			log.Panic("Non-zero buy sum-product with no buy orders",
				logging.PartyID(p.partyID),
				logging.BigUint("buy-sum-product", p.buySumProduct))
		}
		return
	}

	if !add && p.sell < iSizeChange {
		log.Panic("cannot unregister order with potential sell + size change < 0",
			logging.Int64("potential-sell", p.sell),
			logging.Uint64("size-change", sizeChange))
	}

	if add && p.sell > math.MaxInt64-iSizeChange {
		log.Panic("order too large to register, will overflow",
			logging.Int64("potential-sell", p.sell),
			logging.Uint64("size-change", sizeChange))
	}

	// recalculate sumproduct
	if add {
		p.sellSumProduct.Add(p.sellSumProduct, num.UintZero().Mul(price, num.NewUint(sizeChange)))
		p.sell += iSizeChange
	} else {
		p.sellSumProduct.Sub(p.sellSumProduct, num.UintZero().Mul(price, num.NewUint(sizeChange)))
		p.sell -= iSizeChange
	}
	if p.sell == 0 && !p.sellSumProduct.IsZero() {
		log.Panic("Non-zero sell sum-product with no sell orders",
			logging.PartyID(p.partyID),
			logging.BigUint("sell-sum-product", p.sellSumProduct))
	}
}

// AmendOrder unregisters the original order and then registers the newly amended order
// this method is a quicker way of handling separate unregister+register pairs.
func (p *MarketPosition) AmendOrder(log *logging.Logger, originalOrder, newOrder *types.Order) {
	switch originalOrder.Side {
	case types.SideBuy:
		if uint64(p.buy) < originalOrder.TrueRemaining() {
			log.Panic("cannot amend order with remaining > potential buy",
				logging.Order(*originalOrder),
				logging.Int64("potential-buy", p.buy))
		}
	case types.SideSell:
		if uint64(p.sell) < originalOrder.TrueRemaining() {
			log.Panic("cannot amend order with remaining > potential sell",
				logging.Order(*originalOrder),
				logging.Int64("potential-sell", p.sell))
		}
	}

	p.UnregisterOrder(log, originalOrder)
	p.RegisterOrder(log, newOrder)
}

// String returns a string representation of a market.
func (p MarketPosition) String() string {
	return fmt.Sprintf("size:%v, buy:%v, sell:%v, price:%v, partyID:%v",
		p.size, p.buy, p.sell, p.price, p.partyID)
}

// AverageEntryPrice returns the volume weighted average price.
func (p MarketPosition) AverageEntryPrice() *num.Uint {
	return p.averageEntryPrice
}

// Buy will returns the potential buys for a given position.
func (p MarketPosition) Buy() int64 {
	return p.buy
}

// Sell returns the potential sells for the position.
func (p MarketPosition) Sell() int64 {
	return p.sell
}

// Size returns the current size of the position.
func (p MarketPosition) Size() int64 {
	return p.size
}

// Party returns the party to which this positions is associated.
func (p MarketPosition) Party() string {
	return p.partyID
}

// Price returns the current price for this position.
func (p MarketPosition) Price() *num.Uint {
	if p.price != nil {
		return p.price.Clone()
	}
	return num.UintZero()
}

// BuySumProduct - get sum of size * price of party's buy orders.
func (p MarketPosition) BuySumProduct() *num.Uint {
	if p.buySumProduct != nil {
		return p.buySumProduct.Clone()
	}
	return num.UintZero()
}

// SellSumProduct - get sum of size * price of party's sell orders.
func (p MarketPosition) SellSumProduct() *num.Uint {
	if p.sellSumProduct != nil {
		return p.sellSumProduct.Clone()
	}
	return num.UintZero()
}

// VWBuy - get volume weighted buy price for unmatched buy orders.
func (p MarketPosition) VWBuy() *num.Uint {
	if p.buySumProduct != nil && p.buy != 0 {
		vol := num.NewUint(uint64(p.buy))
		return vol.Div(p.buySumProduct, vol)
	}
	return num.UintZero()
}

// VWSell - get volume weighted sell price for unmatched sell orders.
func (p MarketPosition) VWSell() *num.Uint {
	if p.sellSumProduct != nil && p.sell != 0 {
		vol := num.NewUint(uint64(p.sell))
		return vol.Div(p.sellSumProduct, vol)
	}
	return num.UintZero()
}

// ValidateOrder returns an error is the order is so large that the position engine does not have the precision
// to register it.
func (p MarketPosition) ValidateOrderRegistration(s uint64, side types.Side) error {
	size := int64(s)
	if size == 0 {
		return nil
	}

	// check that the cast to int64 hasn't pushed it backwards
	if size < 0 {
		return errors.New("cannot register position without causing overflow")
	}

	amt := p.buy
	if side == types.SideSell {
		amt = p.sell
	}

	if size > math.MaxInt64-amt {
		return errors.New("cannot register position without causing overflow")
	}

	return nil
}

func (p MarketPosition) OrderReducesExposure(ord *types.Order) bool {
	if ord == nil || p.Size() == 0 || ord.PeggedOrder != nil {
		return false
	}
	// long position and short order
	if p.Size() > 0 && ord.Side == types.SideSell {
		// market order reduces exposure and doesn't flip position to the other side
		if p.Size()-int64(ord.Remaining) >= 0 && ord.Type == types.OrderTypeMarket {
			return true
		}
		// sum of all short limit orders wouldn't flip the position if filled (ord already included in pos)
		if p.Size()-p.Sell() >= 0 && ord.Type == types.OrderTypeLimit {
			return true
		}
	}
	// short position and long order
	if p.Size() < 0 && ord.Side == types.SideBuy {
		// market order reduces exposure and doesn't flip position to the other side
		if p.Size()+int64(ord.Remaining) <= 0 && ord.Type == types.OrderTypeMarket {
			return true
		}
		// sum of all long limit orders wouldn't flip the position if filled (ord already included in pos)
		if p.Size()+p.Buy() <= 0 && ord.Type == types.OrderTypeLimit {
			return true
		}
	}
	return false
}

// OrderReducesOnlyExposure returns true if the order reduce the position and the extra size if it was to flip the position side.
func (p MarketPosition) OrderReducesOnlyExposure(ord *types.Order) (reduce bool, extraSize uint64) {
	// if already closed, or increasing position, we shortcut
	if p.Size() == 0 || (p.Size() < 0 && ord.Side == types.SideSell) || (p.Size() > 0 && ord.Side == types.SideBuy) {
		return false, 0
	}

	size := p.Size()
	if size < 0 {
		size = -size
	}
	if extraSizeI := size - int64(ord.Remaining); extraSizeI < 0 {
		return true, uint64(-extraSizeI)
	}
	return true, 0
}