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priced_stop_orders.go
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priced_stop_orders.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 stoporders
import (
"fmt"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
v1 "code.vegaprotocol.io/vega/protos/vega/snapshot/v1"
"github.com/google/btree"
"golang.org/x/exp/slices"
)
type ordersAtPrice struct {
price *num.Uint
orders []string
}
func (o *ordersAtPrice) String() string {
return fmt.Sprintf("%s:%v", o.price.String(), o.orders)
}
func lessFuncOrdersAtPrice(a, b *ordersAtPrice) bool {
return a.price.LT(b.price)
}
type orderAtPriceStat struct {
price *num.Uint
direction types.StopOrderTriggerDirection
}
type PricedStopOrders struct {
// mapping table for stop order ID
// help finding them back in the trees.
orders map[string]orderAtPriceStat
fallsBelow *btree.BTreeG[*ordersAtPrice]
risesAbove *btree.BTreeG[*ordersAtPrice]
}
func NewPricedStopOrders() *PricedStopOrders {
return &PricedStopOrders{
orders: map[string]orderAtPriceStat{},
fallsBelow: btree.NewG(2, lessFuncOrdersAtPrice),
risesAbove: btree.NewG(2, lessFuncOrdersAtPrice),
}
}
func NewPricedStopOrdersFromProto(p *v1.PricedStopOrders) *PricedStopOrders {
pso := NewPricedStopOrders()
for _, v := range p.FallsBellow {
for _, oid := range v.Orders {
price, overflow := num.UintFromString(v.Price, 10)
if overflow {
panic(fmt.Sprintf("invalid uint from snapshot, would overflow: %s", v.Price))
}
pso.Insert(oid, price, types.StopOrderTriggerDirectionFallsBelow)
}
}
for _, v := range p.RisesAbove {
for _, oid := range v.Orders {
price, overflow := num.UintFromString(v.Price, 10)
if overflow {
panic(fmt.Sprintf("invalid uint from snapshot, would overflow: %s", v.Price))
}
pso.Insert(oid, price, types.StopOrderTriggerDirectionRisesAbove)
}
}
return pso
}
func (p *PricedStopOrders) ToProto() *v1.PricedStopOrders {
return &v1.PricedStopOrders{
FallsBellow: p.serialize(p.fallsBelow),
RisesAbove: p.serialize(p.risesAbove),
}
}
func (p *PricedStopOrders) serialize(tree *btree.BTreeG[*ordersAtPrice]) []*v1.OrdersAtPrice {
out := []*v1.OrdersAtPrice{}
tree.Ascend(func(item *ordersAtPrice) bool {
out = append(out, &v1.OrdersAtPrice{
Price: item.price.String(),
Orders: slices.Clone(item.orders),
})
return true
})
return out
}
func (p *PricedStopOrders) PriceUpdated(newPrice *num.Uint) []string {
// first remove if price fallsBelow
orderIDs := p.trigger(
p.fallsBelow,
p.fallsBelow.DescendGreaterThan,
newPrice.Clone().Sub(newPrice.Clone(), num.NewUint(1)),
)
// then if it rises above?
orderIDs = append(orderIDs,
p.trigger(
p.risesAbove,
p.risesAbove.AscendLessThan,
newPrice.Clone().Add(newPrice.Clone(), num.NewUint(1)),
)...,
)
// here we can cleanup the mapping table as well
for _, v := range orderIDs {
delete(p.orders, v)
}
return orderIDs
}
func (p *PricedStopOrders) trigger(
tree *btree.BTreeG[*ordersAtPrice],
findFn func(pivot *ordersAtPrice, iterator btree.ItemIteratorG[*ordersAtPrice]),
newPrice *num.Uint,
) []string {
orderIDs := []string{}
toDelete := []*num.Uint{}
findFn(&ordersAtPrice{price: newPrice}, func(item *ordersAtPrice) bool {
orderIDs = append(orderIDs, item.orders...)
toDelete = append(toDelete, item.price)
return true
})
// now we delete all the unused tree item
for _, p := range toDelete {
tree.Delete(&ordersAtPrice{price: p})
}
return orderIDs
}
func (p *PricedStopOrders) Insert(
id string, price *num.Uint, direction types.StopOrderTriggerDirection,
) {
p.orders[id] = orderAtPriceStat{price.Clone(), direction}
switch direction {
case types.StopOrderTriggerDirectionFallsBelow:
p.insertOrUpdate(p.fallsBelow, id, price.Clone())
case types.StopOrderTriggerDirectionRisesAbove:
p.insertOrUpdate(p.risesAbove, id, price.Clone())
}
}
func (p *PricedStopOrders) insertOrUpdate(
tree *btree.BTreeG[*ordersAtPrice], id string, price *num.Uint,
) {
oap, ok := tree.Get(&ordersAtPrice{price: price})
if !ok {
oap = &ordersAtPrice{price: price}
}
// add to the list
oap.orders = append(oap.orders, id)
// finally insert or whatever
tree.ReplaceOrInsert(oap)
}
func (p *PricedStopOrders) Remove(id string) error {
oaps, ok := p.orders[id]
if !ok {
return ErrOrderNotFound
}
delete(p.orders, id)
var err error
switch oaps.direction {
case types.StopOrderTriggerDirectionFallsBelow:
err = p.removeAndMaybeDelete(p.fallsBelow, id, oaps.price)
case types.StopOrderTriggerDirectionRisesAbove:
err = p.removeAndMaybeDelete(p.risesAbove, id, oaps.price)
}
return err
}
func (p *PricedStopOrders) removeAndMaybeDelete(
tree *btree.BTreeG[*ordersAtPrice], id string, price *num.Uint,
) error {
// just declare it first, we may reuse it by the end
item := &ordersAtPrice{price: price}
oap, ok := tree.Get(item)
if !ok {
return ErrPriceNotFound
}
before := len(oap.orders)
for n, v := range oap.orders {
// this is our ID
if v == id {
oap.orders = slices.Delete(oap.orders, n, n+1)
break
}
}
// didn't found the order, we can just panic it should never happen
if before == len(oap.orders) {
panic("order not in tree but in mapping table")
}
// now if the len is 0, we probably don't need that
// price level anymore
if len(oap.orders) <= 0 {
tree.Delete(item)
}
return nil
}
func (p *PricedStopOrders) DumpRisesAbove() string {
return dumpTree(p.risesAbove)
}
func (p *PricedStopOrders) DumpFallsBelow() string {
return dumpTree(p.fallsBelow)
}