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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 liquidity
import (
"context"
"errors"
"time"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/liquidity/supplied"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/core/types/statevar"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
)
var (
ErrLiquidityProvisionDoesNotExist = errors.New("liquidity provision does not exist")
ErrLiquidityProvisionAlreadyExists = errors.New("liquidity provision already exists")
ErrCommitmentAmountIsZero = errors.New("commitment amount is zero")
)
//go:generate go run github.com/golang/mock/mockgen -destination mocks/orderbook_mock.go -package mocks code.vegaprotocol.io/vega/core/liquidity/v2 OrderBook
type OrderBook interface {
GetOrdersPerParty(party string) []*types.Order
GetBestStaticBidPrice() (*num.Uint, error)
GetBestStaticAskPrice() (*num.Uint, error)
GetIndicativePrice() *num.Uint
GetLastTradedPrice() *num.Uint
}
//go:generate go run github.com/golang/mock/mockgen -destination mocks/mocks.go -package mocks code.vegaprotocol.io/vega/core/liquidity/v2 RiskModel,PriceMonitor,IDGen
// Broker - event bus (no mocks needed).
type Broker interface {
Send(e events.Event)
SendBatch(evts []events.Event)
}
// TimeService provide the time of the vega node using the tm time.
//
//go:generate go run github.com/golang/mock/mockgen -destination mocks/time_service_mock.go -package mocks code.vegaprotocol.io/vega/core/liquidity/v2 TimeService
type TimeService interface {
GetTimeNow() time.Time
}
// RiskModel allows calculation of min/max price range and a probability of trading.
type RiskModel interface {
ProbabilityOfTrading(currentPrice, orderPrice num.Decimal, minPrice, maxPrice num.Decimal, yFrac num.Decimal, isBid, applyMinMax bool) num.Decimal
GetProjectionHorizon() num.Decimal
}
// PriceMonitor provides the range of valid prices, that is prices that
// wouldn't trade the current trading mode.
type PriceMonitor interface {
GetValidPriceRange() (num.WrappedDecimal, num.WrappedDecimal)
}
// IDGen is an id generator for orders.
type IDGen interface {
NextID() string
}
type StateVarEngine interface {
RegisterStateVariable(asset, market, name string, converter statevar.Converter, startCalculation func(string, statevar.FinaliseCalculation), trigger []statevar.EventType, result func(context.Context, statevar.StateVariableResult) error) error
}
type AuctionState interface {
InAuction() bool
IsOpeningAuction() bool
}
type slaPerformance struct {
s time.Duration
start time.Time
previousPenalties *sliceRing[*num.Decimal]
lastEpochBondPenalty string
lastEpochFeePenalty string
lastEpochTimeBookFraction string
requiredLiquidity string
notionalVolumeBuys string
notionalVolumeSells string
}
type SlaPenalties struct {
AllPartiesHaveFullFeePenalty bool
PenaltiesPerParty map[string]*SlaPenalty
}
type SlaPenalty struct {
Fee, Bond num.Decimal
}
// Engine handles Liquidity provision.
type Engine struct {
marketID string
asset string
log *logging.Logger
timeService TimeService
broker Broker
suppliedEngine *supplied.Engine
orderBook OrderBook
auctionState AuctionState
// state
provisions *SnapshotableProvisionsPerParty
pendingProvisions *SnapshotablePendingProvisions
// this is the max fee that can be specified
maxFee num.Decimal
// fields used for liquidity score calculation (quality of deployed orders)
avgScores map[string]num.Decimal
nAvg int64 // counter for the liquidity score running average
// sla related net params
stakeToCcyVolume num.Decimal
nonPerformanceBondPenaltySlope num.Decimal
nonPerformanceBondPenaltyMax num.Decimal
feeCalculationTimeStep time.Duration
// sla related market parameters
slaParams *types.LiquiditySLAParams
openPlusPriceRange num.Decimal
openMinusPriceRange num.Decimal
// fields related to SLA commitment
slaPerformance map[string]*slaPerformance
slaEpochStart time.Time
lastFeeDistribution time.Time
allocatedFeesStats *types.PaidLiquidityFeesStats
// FIXME(jerem): to remove in the future,
// this is neede for the compatibility layer from
// 72 > 73, as we would need to cancel all remaining LP
// order which are eventually still seating in the book.
legacyOrderIDs []string
}
// NewEngine returns a new Liquidity Engine.
func NewEngine(config Config,
log *logging.Logger,
timeService TimeService,
broker Broker,
riskModel RiskModel,
priceMonitor PriceMonitor,
orderBook OrderBook,
auctionState AuctionState,
asset string,
marketID string,
stateVarEngine StateVarEngine,
positionFactor num.Decimal,
slaParams *types.LiquiditySLAParams,
) *Engine {
log = log.Named(namedLogger)
log.SetLevel(config.Level.Get())
one := num.DecimalOne()
e := &Engine{
marketID: marketID,
asset: asset,
log: log,
timeService: timeService,
broker: broker,
// tick size to be used by the supplied engine should actually be in asset decimal
suppliedEngine: supplied.NewEngine(riskModel, priceMonitor, asset, marketID, stateVarEngine, log, positionFactor),
orderBook: orderBook,
auctionState: auctionState,
// parameters
maxFee: num.DecimalFromInt64(1),
// provisions related state
provisions: newSnapshotableProvisionsPerParty(),
pendingProvisions: newSnapshotablePendingProvisions(),
// SLA commitment
slaPerformance: map[string]*slaPerformance{},
openPlusPriceRange: one.Add(slaParams.PriceRange),
openMinusPriceRange: one.Sub(slaParams.PriceRange),
slaParams: slaParams,
allocatedFeesStats: types.NewLiquidityFeeStats(),
}
e.ResetAverageLiquidityScores() // initialise
return e
}
func (e *Engine) GetLegacyOrders() (orders []string) {
orders, e.legacyOrderIDs = e.legacyOrderIDs, []string{}
return
}
func (e *Engine) GetLastFeeDistributionTime() time.Time {
return e.lastFeeDistribution
}
// SubmitLiquidityProvision handles a new liquidity provision submission.
// Returns whether or not submission has been applied immediately.
func (e *Engine) SubmitLiquidityProvision(
ctx context.Context,
lps *types.LiquidityProvisionSubmission,
party string,
idgen IDGen,
) (bool, error) {
if err := e.ValidateLiquidityProvisionSubmission(lps, false); err != nil {
e.rejectLiquidityProvisionSubmission(ctx, lps, party, idgen.NextID())
return false, err
}
if e.IsLiquidityProvider(party) {
return false, ErrLiquidityProvisionAlreadyExists
}
now := e.timeService.GetTimeNow().UnixNano()
provision := &types.LiquidityProvision{
ID: idgen.NextID(),
MarketID: lps.MarketID,
Party: party,
CreatedAt: now,
Fee: lps.Fee,
Status: types.LiquidityProvisionStatusPending,
Reference: lps.Reference,
Version: 1,
CommitmentAmount: lps.CommitmentAmount,
UpdatedAt: now,
}
// add immediately during the opening auction
// otherwise schedule to be added at the beginning of new epoch
if e.auctionState.IsOpeningAuction() {
e.provisions.Set(party, provision)
e.slaPerformance[party] = &slaPerformance{
previousPenalties: NewSliceRing[*num.Decimal](e.slaParams.PerformanceHysteresisEpochs),
}
provision.Status = types.LiquidityProvisionStatusActive
e.broker.Send(events.NewLiquidityProvisionEvent(ctx, provision))
return true, nil
}
e.broker.Send(events.NewLiquidityProvisionEvent(ctx, provision))
provision.Status = types.LiquidityProvisionStatusPending
e.pendingProvisions.Set(provision)
return false, nil
}
func (e *Engine) ApplyPendingProvisions(ctx context.Context, now time.Time) Provisions {
updatedProvisionsPerParty := make(Provisions, 0, e.pendingProvisions.Len())
for _, provision := range e.pendingProvisions.Slice() {
party := provision.Party
updatedProvisionsPerParty = append(updatedProvisionsPerParty, provision)
provision.UpdatedAt = now.UnixNano()
// if commitment was reduced to 0, all party provision related data can be deleted
// otherwise we apply the new commitment
if provision.CommitmentAmount.IsZero() {
provision.Status = types.LiquidityProvisionStatusCancelled
e.destroyProvision(party)
} else {
provision.Status = types.LiquidityProvisionStatusActive
e.provisions.Set(party, provision)
if _, ok := e.slaPerformance[party]; !ok {
e.slaPerformance[party] = &slaPerformance{
previousPenalties: NewSliceRing[*num.Decimal](e.slaParams.PerformanceHysteresisEpochs),
}
}
}
e.broker.Send(events.NewLiquidityProvisionEvent(ctx, provision))
}
e.pendingProvisions = newSnapshotablePendingProvisions()
return updatedProvisionsPerParty
}
func (e *Engine) PendingProvisionByPartyID(party string) *types.LiquidityProvision {
provision, _ := e.pendingProvisions.Get(party)
return provision
}
func (e *Engine) PendingProvision() Provisions {
return e.pendingProvisions.Slice()
}
// RejectLiquidityProvision removes a parties commitment of liquidity.
func (e *Engine) RejectLiquidityProvision(ctx context.Context, party string) error {
return e.stopLiquidityProvision(
ctx, party, types.LiquidityProvisionStatusRejected)
}
// CancelLiquidityProvision removes a parties commitment of liquidity
// Returns the liquidityOrders if any.
func (e *Engine) CancelLiquidityProvision(ctx context.Context, party string) error {
return e.stopLiquidityProvision(
ctx, party, types.LiquidityProvisionStatusCancelled)
}
// StopLiquidityProvision removes a parties commitment of liquidity
// Returns the liquidityOrders if any.
func (e *Engine) StopLiquidityProvision(ctx context.Context, party string) error {
return e.stopLiquidityProvision(
ctx, party, types.LiquidityProvisionStatusStopped)
}
func (e *Engine) ValidateLiquidityProvisionSubmission(
lp *types.LiquidityProvisionSubmission,
zeroCommitmentIsValid bool,
) (err error) {
// we check if the commitment is 0 which would mean this is a cancel
// a cancel does not need validations
if lp.CommitmentAmount.IsZero() {
if zeroCommitmentIsValid {
return nil
}
return ErrCommitmentAmountIsZero
}
// not sure how to check for a missing fee, 0 could be valid
// then again, that validation should've happened before reaching this point
if lp.Fee.IsNegative() || lp.Fee.GreaterThan(e.maxFee) {
return errors.New("invalid liquidity provision fee")
}
return nil
}
func (e *Engine) stopLiquidityProvision(
ctx context.Context, party string, status types.LiquidityProvisionStatus,
) error {
lp, ok := e.provisions.Get(party)
if !ok {
lp, ok = e.pendingProvisions.Get(party)
if !ok {
return errors.New("party is not a liquidity provider")
}
}
now := e.timeService.GetTimeNow().UnixNano()
lp.Status = status
lp.UpdatedAt = now
e.broker.Send(events.NewLiquidityProvisionEvent(ctx, lp))
// now delete all party related data stuff
e.destroyProvision(party)
return nil
}
func (e *Engine) destroyProvision(party string) {
e.provisions.Delete(party)
delete(e.slaPerformance, party)
e.pendingProvisions.Delete(party)
}
func (e *Engine) rejectLiquidityProvisionSubmission(ctx context.Context, lps *types.LiquidityProvisionSubmission, party, id string) {
lp := &types.LiquidityProvision{
ID: id,
Fee: lps.Fee,
MarketID: lps.MarketID,
Party: party,
Status: types.LiquidityProvisionStatusRejected,
CreatedAt: e.timeService.GetTimeNow().UnixNano(),
CommitmentAmount: lps.CommitmentAmount.Clone(),
Reference: lps.Reference,
}
e.broker.Send(events.NewLiquidityProvisionEvent(ctx, lp))
}
// IsLiquidityProvider returns true if the party hold any liquidity commitment.
func (e *Engine) IsLiquidityProvider(party string) bool {
_, ok := e.provisions.Get(party)
_, pendingOk := e.pendingProvisions.Get(party)
return ok || pendingOk
}
// ProvisionsPerParty returns the registered a map of party-id -> LiquidityProvision.
func (e *Engine) ProvisionsPerParty() ProvisionsPerParty {
return e.provisions.ProvisionsPerParty
}
// LiquidityProvisionByPartyID returns the LP associated to a Party if any.
// If not, it returns nil.
func (e *Engine) LiquidityProvisionByPartyID(partyID string) *types.LiquidityProvision {
lp, _ := e.provisions.Get(partyID)
return lp
}
// UpdatePartyCommitment allows to change party commitment.
// It should be used for synchronizing commitment with bond account.
func (e *Engine) UpdatePartyCommitment(partyID string, newCommitment *num.Uint) (*types.LiquidityProvision, error) {
lp, ok := e.provisions.Get(partyID)
if !ok {
return nil, ErrLiquidityProvisionDoesNotExist
}
lp.CommitmentAmount = newCommitment.Clone()
e.provisions.Set(partyID, lp)
return lp, nil
}
// CalculateSuppliedStake returns the sum of commitment amounts from all the liquidity providers.
// Includes pending commitment if they are greater then the original one.
func (e *Engine) CalculateSuppliedStake() *num.Uint {
supplied := num.UintZero()
for _, pending := range e.pendingProvisions.PendingProvisions {
provision, ok := e.provisions.Get(pending.Party)
if ok && pending.CommitmentAmount.LT(provision.CommitmentAmount) {
supplied.AddSum(provision.CommitmentAmount)
continue
}
supplied.AddSum(pending.CommitmentAmount)
}
for party, provision := range e.provisions.ProvisionsPerParty {
_, ok := e.pendingProvisions.Get(party)
if ok {
continue
}
supplied.AddSum(provision.CommitmentAmount)
}
return supplied
}
// CalculateSuppliedStakeWithoutPending returns the sum of commitment amounts
// from all the liquidity providers. Does not include pending commitments.
func (e *Engine) CalculateSuppliedStakeWithoutPending() *num.Uint {
supplied := num.UintZero()
for _, provision := range e.provisions.ProvisionsPerParty {
supplied.AddSum(provision.CommitmentAmount)
}
return supplied
}
func (e *Engine) IsProbabilityOfTradingInitialised() bool {
return e.suppliedEngine.IsProbabilityOfTradingInitialised()
}
func (e *Engine) UpdateMarketConfig(model RiskModel, monitor PriceMonitor) {
e.suppliedEngine.UpdateMarketConfig(model, monitor)
}
func (e *Engine) UpdateSLAParameters(slaParams *types.LiquiditySLAParams) {
e.onSLAParamsUpdate(slaParams)
}
func (e *Engine) SetGetStaticPricesFunc(f func() (num.Decimal, num.Decimal, error)) {
e.suppliedEngine.SetGetStaticPricesFunc(f)
}
func (e *Engine) ReadyForFeesAllocation(now time.Time) bool {
return now.Sub(e.lastFeeDistribution) > e.feeCalculationTimeStep
}
func (e *Engine) ResetFeeAllocationPeriod(t time.Time) {
e.ResetAverageLiquidityScores()
e.lastFeeDistribution = t
}
func (e *Engine) OnMinProbabilityOfTradingLPOrdersUpdate(v num.Decimal) {
e.suppliedEngine.OnMinProbabilityOfTradingLPOrdersUpdate(v)
}
func (e *Engine) OnProbabilityOfTradingTauScalingUpdate(v num.Decimal) {
e.suppliedEngine.OnProbabilityOfTradingTauScalingUpdate(v)
}
func (e *Engine) OnMaximumLiquidityFeeFactorLevelUpdate(f num.Decimal) {
e.maxFee = f
}
func (e *Engine) OnStakeToCcyVolumeUpdate(stakeToCcyVolume num.Decimal) {
e.stakeToCcyVolume = stakeToCcyVolume
}
func (e *Engine) OnNonPerformanceBondPenaltySlopeUpdate(nonPerformanceBondPenaltySlope num.Decimal) {
e.nonPerformanceBondPenaltySlope = nonPerformanceBondPenaltySlope
}
func (e *Engine) OnNonPerformanceBondPenaltyMaxUpdate(nonPerformanceBondPenaltyMax num.Decimal) {
e.nonPerformanceBondPenaltyMax = nonPerformanceBondPenaltyMax
}
func (e *Engine) OnProvidersFeeCalculationTimeStep(d time.Duration) {
e.feeCalculationTimeStep = d
}
func (e *Engine) onSLAParamsUpdate(slaParams *types.LiquiditySLAParams) {
one := num.DecimalOne()
e.openPlusPriceRange = one.Add(slaParams.PriceRange)
e.openMinusPriceRange = one.Sub(slaParams.PriceRange)
if e.slaParams.PerformanceHysteresisEpochs != slaParams.PerformanceHysteresisEpochs {
for _, performance := range e.slaPerformance {
performance.previousPenalties.ModifySize(slaParams.PerformanceHysteresisEpochs)
}
}
e.slaParams = slaParams
}