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pricelevel.go
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pricelevel.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 matching
import (
"errors"
"fmt"
"sort"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
)
var (
// ErrWashTrade signals an attempt to a wash trade from a party.
ErrWashTrade = errors.New("party attempted to submit wash trade")
ErrFOKNotFilled = errors.New("FOK order could not be fully filled")
)
// PriceLevel represents all the Orders placed at a given price.
type PriceLevel struct {
price *num.Uint
orders []*types.Order
volume uint64
}
// trackIceberg holds together information about iceberg orders while we are uncrossing
// so we can trade against them all again but distributed evenly.
type trackIceberg struct {
// the iceberg order
order *types.Order
// the trade that occurred with the icebergs visible peak
trade *types.Trade
// the index of the iceberg order in the price-level slice
idx int
}
func (t *trackIceberg) reservedRemaining() uint64 {
return t.order.IcebergOrder.ReservedRemaining
}
// NewPriceLevel instantiate a new PriceLevel.
func NewPriceLevel(price *num.Uint) *PriceLevel {
return &PriceLevel{
price: price,
orders: []*types.Order{},
}
}
func (l *PriceLevel) reduceVolume(reduceBy uint64) {
l.volume -= reduceBy
}
func (l *PriceLevel) getOrdersByParty(partyID string) []*types.Order {
ret := []*types.Order{}
for _, o := range l.orders {
if o.Party == partyID {
ret = append(ret, o)
}
}
return ret
}
func (l *PriceLevel) addOrder(o *types.Order) {
// add orders to slice of orders on this price level
l.orders = append(l.orders, o)
l.volume += o.TrueRemaining()
}
func (l *PriceLevel) removeOrder(index int) {
// decrease total volume
l.volume -= l.orders[index].TrueRemaining()
// remove the orders at index
copy(l.orders[index:], l.orders[index+1:])
l.orders = l.orders[:len(l.orders)-1]
}
// uncrossIcebergs when a large aggressive order consumes the peak of iceberg orders, we trade with the hidden portion of
// the icebergs such that when they are refreshed the book does not cross.
func (l *PriceLevel) uncrossIcebergs(agg *types.Order, tracked []*trackIceberg, fake bool) ([]*types.Trade, []*types.Order) {
var totalReserved uint64
for _, t := range tracked {
totalReserved += t.reservedRemaining()
}
if totalReserved == 0 {
// nothing to do
return nil, nil
}
// either the amount left of the aggressive order, or the rest of all the iceberg orders
totalCrossed := num.MinV(agg.Remaining, totalReserved)
// let do it with decimals
totalCrossedDec := num.DecimalFromInt64(int64(totalCrossed))
totalReservedDec := num.DecimalFromInt64(int64(totalReserved))
// divide up between icebergs
var sum uint64
extraTraded := []uint64{}
for _, t := range tracked {
rr := num.DecimalFromInt64(int64(t.reservedRemaining()))
extra := uint64(rr.Mul(totalCrossedDec).Div(totalReservedDec).IntPart())
sum += extra
extraTraded = append(extraTraded, extra)
}
// if there is some left over due to the rounding when dividing then
// it is traded against the iceberg with the highest time priority
if rem := totalCrossed - sum; rem > 0 {
for i, t := range tracked {
max := t.reservedRemaining() - extraTraded[i]
dd := num.MinV(max, rem) // can allocate the smallest of the remainder and whats left in the berg
extraTraded[i] += dd
rem -= dd
if rem == 0 {
break
}
}
if rem != 0 {
panic("unable to distribute rounding crumbs between iceberg orders")
}
}
// increase traded sizes based on consumed hidden iceberg volume
newTrades := []*types.Trade{}
newImpacted := []*types.Order{}
for i, t := range tracked {
extra := extraTraded[i]
agg.Remaining -= extra
// if there was not a previous trade with the iceberg's peak, make a fresh one
if t.trade == nil {
t.trade = newTrade(agg, t.order, 0)
newTrades = append(newTrades, t.trade)
newImpacted = append(newImpacted, t.order)
}
t.trade.Size += extra
if !fake {
// only change values in passive orders if uncrossing is for real and not just to see potential trades.
t.order.IcebergOrder.ReservedRemaining -= extra
l.volume -= extra
}
}
return newTrades, newImpacted
}
// fakeUncross - this updates a copy of the order passed to it, the copied order is returned.
func (l *PriceLevel) fakeUncross(o *types.Order, checkWashTrades bool) (agg *types.Order, trades []*types.Trade, err error) {
// work on a copy of the order, so we can submit it a second time
// after we've done the price monitoring and fees checks
agg = o.Clone()
if len(l.orders) == 0 {
return
}
icebergs := []*trackIceberg{}
for i, order := range l.orders {
if checkWashTrades {
if order.Party == agg.Party {
err = ErrWashTrade
return
}
}
// Get size and make newTrade
size := l.getVolumeAllocation(agg, order)
if size <= 0 {
// this is only fine if it is an iceberg order with only reserve and in that case
// we need to trade with it later in uncrossIcebergs
if order.IcebergOrder != nil &&
order.Remaining == 0 &&
order.IcebergOrder.ReservedRemaining != 0 {
icebergs = append(icebergs, &trackIceberg{order, nil, i})
continue
}
panic("Trade.size > order.remaining")
}
// New Trade
trade := newTrade(agg, order, size)
trade.SellOrder = agg.ID
trade.BuyOrder = order.ID
if agg.Side == types.SideBuy {
trade.SellOrder, trade.BuyOrder = trade.BuyOrder, trade.SellOrder
}
// Update Remaining for aggressive only
agg.Remaining -= size
// Update trades
trades = append(trades, trade)
// if the passive order is an iceberg with a hidden quantity make a note of it and
// its trade incase we need to uncross further
if order.IcebergOrder != nil && order.IcebergOrder.ReservedRemaining > 0 {
icebergs = append(icebergs, &trackIceberg{order, trade, i})
}
// Exit when done
if agg.Remaining == 0 {
break
}
}
// if the aggressive trade is not filled uncross with iceberg hidden quantity
if agg.Remaining != 0 && len(icebergs) > 0 {
newTrades, _ := l.uncrossIcebergs(agg, icebergs, true)
trades = append(trades, newTrades...)
}
return agg, trades, err
}
func (l *PriceLevel) uncross(agg *types.Order, checkWashTrades bool) (filled bool, trades []*types.Trade, impactedOrders []*types.Order, err error) {
// for some reason sometimes it seems the pricelevels are not deleted when getting empty
// no big deal, just return early
if len(l.orders) <= 0 {
return
}
var (
icebergs []*trackIceberg
toRemove []int
removed int
)
// l.orders is always sorted by timestamps, that is why when iterating we always start from the beginning
for i, order := range l.orders {
// prevent wash trade
if checkWashTrades {
if order.Party == agg.Party {
err = ErrWashTrade
break
}
}
// Get size and make newTrade
size := l.getVolumeAllocation(agg, order)
if size <= 0 {
// this is only fine if it is an iceberg order with only reserve and in that case
// we need to trade with it later in uncrossIcebergs
if order.IcebergOrder != nil &&
order.Remaining == 0 &&
order.IcebergOrder.ReservedRemaining != 0 {
icebergs = append(icebergs, &trackIceberg{order, nil, i})
continue
}
panic("Trade.size > order.remaining")
}
// New Trade
trade := newTrade(agg, order, size)
trade.SellOrder, trade.BuyOrder = agg.ID, order.ID
if agg.Side == types.SideBuy {
trade.SellOrder, trade.BuyOrder = trade.BuyOrder, trade.SellOrder
}
// Update Remaining for both aggressive and passive
agg.Remaining -= size
order.Remaining -= size
l.volume -= size
if order.TrueRemaining() == 0 {
toRemove = append(toRemove, i)
}
// Update trades
trades = append(trades, trade)
impactedOrders = append(impactedOrders, order)
// if the passive order is an iceberg with a hidden quantity make a note of it and
// its trade incase we need to uncross further
if order.IcebergOrder != nil && order.IcebergOrder.ReservedRemaining > 0 {
icebergs = append(icebergs, &trackIceberg{order, trade, i})
}
// Exit when done
if agg.Remaining == 0 {
break
}
}
// if the aggressive trade is not filled uncross with iceberg hidden reserves
if agg.Remaining > 0 && len(icebergs) > 0 {
newTrades, newImpacted := l.uncrossIcebergs(agg, icebergs, false)
trades = append(trades, newTrades...)
impactedOrders = append(impactedOrders, newImpacted...)
// only remove fully depleted icebergs, icebergs with 0 remaining but some in reserve
// stay at the pricelevel until they refresh at the end of execution, or the end of auction uncrossing
for _, t := range icebergs {
if t.order.TrueRemaining() == 0 {
toRemove = append(toRemove, t.idx)
}
}
sort.Ints(toRemove)
}
// FIXME(jeremy): these need to be optimized, we can make a single copy
// just by keep the index of the last order which is to remove as they
// are all order, then just copy the second part of the slice in the actual s[0]
if len(toRemove) > 0 {
for _, idx := range toRemove {
copy(l.orders[idx-removed:], l.orders[idx-removed+1:])
removed++
}
l.orders = l.orders[:len(l.orders)-removed]
}
return agg.Remaining == 0, trades, impactedOrders, err
}
func (l *PriceLevel) getVolumeAllocation(agg, pass *types.Order) uint64 {
return min(agg.Remaining, pass.Remaining)
}
// Returns the min of 2 uint64s.
func min(x, y uint64) uint64 {
if y < x {
return y
}
return x
}
// Returns the max of 2 uint64s.
func max(x, y uint64) uint64 {
if x > y {
return x
}
return y
}
// Creates a trade of a given size between two orders and updates the order details.
func newTrade(agg, pass *types.Order, size uint64) *types.Trade {
var buyer, seller *types.Order
if agg.Side == types.SideBuy {
buyer = agg
seller = pass
} else {
buyer = pass
seller = agg
}
if agg.Side == pass.Side {
panic(fmt.Sprintf("agg.side == pass.side (agg: %v, pass: %v)", agg, pass))
}
return &types.Trade{
Type: types.TradeTypeDefault,
MarketID: agg.MarketID,
Price: pass.Price.Clone(),
MarketPrice: pass.OriginalPrice.Clone(),
Size: size,
Aggressor: agg.Side,
Buyer: buyer.Party,
Seller: seller.Party,
Timestamp: agg.CreatedAt,
}
}
func (l PriceLevel) print(log *logging.Logger) {
log.Debug(fmt.Sprintf("priceLevel: %d\n", l.price))
for _, o := range l.orders {
var side string
if o.Side == types.SideBuy {
side = "BUY"
} else {
side = "SELL"
}
log.Debug(fmt.Sprintf(" %s %s @%d size=%d R=%d Type=%d T=%d %s\n",
o.Party, side, o.Price, o.Size, o.Remaining, o.TimeInForce, o.CreatedAt, o.ID))
}
}