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the_average_fill_price_is.go
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/
the_average_fill_price_is.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 steps
import (
"fmt"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"github.com/cucumber/godog"
)
func TheAverageFillPriceIs(exec Execution, table *godog.Table) error {
rows := parseFillRowTable(table)
for _, row := range rows {
fRow := fillRow{row: row}
market := fRow.market()
volume := fRow.volume()
side := fRow.side()
expectedFillPrice := fRow.fillPrice()
actualfillPrice, err := exec.GetFillPriceForMarket(market, volume, side)
if err != nil {
return err
}
if expectedFillPrice != nil {
if actualfillPrice.NEQ(expectedFillPrice) {
return errWrongFillPrice(market, volume, side, expectedFillPrice, actualfillPrice)
}
}
expectedMarkPrice := fRow.markPrice()
if expectedMarkPrice != nil {
md, err := exec.GetMarketData(market)
if err != nil {
return errMarketDataNotFound(market, err)
}
if md.MarkPrice.NEQ(expectedMarkPrice) {
return errWrongMarkPrice(market, expectedMarkPrice, md)
}
}
expectedFactor, b := fRow.equivalentLinearSlippageFactor()
if b {
refPrice := fRow.refPrice()
if refPrice == nil {
return fmt.Errorf("'ref price' must be specified if 'equivalent linear slippage factor' is provided")
}
dRefPrice := refPrice.ToDecimal()
actualFactor := num.MaxD(num.DecimalZero(), actualfillPrice.ToDecimal().Sub(dRefPrice).Div(dRefPrice))
if !actualFactor.Equal(expectedFactor) {
return errWrongFactor(market, volume, side, expectedFactor, actualFactor)
}
}
}
return nil
}
func parseFillRowTable(table *godog.Table) []RowWrapper {
return StrictParseTable(table, []string{
"market",
"volume",
"side",
}, []string{
"fill price",
"ref price",
"equivalent linear slippage factor",
"mark price",
})
}
type fillRow struct {
row RowWrapper
}
func (r fillRow) market() string {
return r.row.MustStr("market")
}
func (r fillRow) volume() uint64 {
return r.row.MustU64("volume")
}
func (r fillRow) side() types.Side {
return r.row.MustSide("side")
}
func (r fillRow) fillPrice() *num.Uint {
return r.row.MaybeUint("fill price")
}
func (r fillRow) refPrice() *num.Uint {
return r.row.MaybeUint("ref price")
}
func (r fillRow) markPrice() *num.Uint {
return r.row.MaybeUint("mark price")
}
func (r fillRow) equivalentLinearSlippageFactor() (num.Decimal, bool) {
return r.row.DecimalB("equivalent linear slippage factor")
}
func errWrongFillPrice(market string, volume uint64, side types.Side, expected, actual *num.Uint) error {
return fmt.Errorf("wrong fill price for market(%v), volume(%v), side(%v): expected(%v) got(%v)",
market, volume, side, expected, actual,
)
}
func errWrongFactor(market string, volume uint64, side types.Side, expected, actual num.Decimal) error {
return fmt.Errorf("wrong effective linear slippage factor for market(%v), volume(%v), side(%v): expected(%v) got(%v)",
market, volume, side, expected, actual,
)
}