various wash trade fixes.

execution/market.go

@@ -699,7 +699,7 @@ func (m *Market) SubmitOrder(ctx context.Context, order *types.Order) (*types.Or
 	}
 
 	// Perform check and allocate margin
-	newOrderMarginRiskRollback, err := m.checkMarginForOrder(ctx, pos, order)
+	_, err = m.checkMarginForOrder(ctx, pos, order)
 	if err != nil {
 		_, err1 := m.position.UnregisterOrder(order)
 		if err1 != nil {
@@ -766,42 +766,21 @@ func (m *Market) SubmitOrder(ctx context.Context, order *types.Order) (*types.Or
 	}
 
 	// if order was FOK or IOC some or all of it may have not be consumed, so we need to
-	// or if the order was stopped because of a wash trade
 	// remove them from the potential orders,
 	// then we should be able to process the rest of the order properly.
-	if (order.TimeInForce == types.Order_TIF_FOK || order.TimeInForce == types.Order_TIF_IOC || order.Status == types.Order_STATUS_STOPPED) &&
-		confirmation.Order.Remaining != 0 {
+	if ((order.TimeInForce == types.Order_TIF_FOK ||
+		order.TimeInForce == types.Order_TIF_IOC ||
+		order.Status == types.Order_STATUS_STOPPED) &&
+		confirmation.Order.Remaining != 0) ||
+		// Also do it if specifically we went against a wash trade
+		(order.Status == types.Order_STATUS_REJECTED &&
+			order.Reason == types.OrderError_ORDER_ERROR_SELF_TRADING) {
 		_, err := m.position.UnregisterOrder(order)
 		if err != nil {
 			m.log.Error("Unable to unregister potential trader positions",
 				logging.String("market-id", m.GetID()),
 				logging.Error(err))
 		}
-
-		// if the specific case we are in and FOK or IOC
-		// we moved some margin, which may never be released
-		// as we never create a position in the settlement engine.
-		// to be fair the monies would be released later on if the
-		// party place an order which stay in the book / trade.
-		// but in the case the party is actually neve used again
-		// the funds woulds be locked on the margin account until
-		// the market is being closed.
-		// we also check the margin risk update was not nil, as it's not
-		// guaranteed the trader had to pay any margin
-		asset, _ := m.mkt.GetAsset()
-		if order.Remaining == order.Size && newOrderMarginRiskRollback != nil {
-			transfers, err := m.collateral.RollbackMarginUpdateOnOrder(
-				ctx, m.GetID(), asset, newOrderMarginRiskRollback)
-			if err != nil {
-				m.log.Error("Unable to rollback risk updates",
-					logging.String("market-id", m.GetID()),
-					logging.Error(err))
-			}
-			evt := events.NewTransferResponse(
-				ctx, []*types.TransferResponse{transfers})
-			m.broker.Send(evt)
-		}
-
 	}
 
 	// Insert aggressive remaining order

integration/features/ensure-funds-are-released.feature

@@ -69,9 +69,6 @@ Feature: Test margins releases on position = 0
       | name             | asset |
       | traderGuy        | BTC   |
 
-# setup previous mark price
-    Then traders place following orders:
-      | trader           | id        | type | volume |    price | resulting trades | type  | tif |
 
     Then traders place following orders with references:
       | trader    | id        | type | volume | price | resulting trades | type       | tif     | reference |
@@ -90,3 +87,40 @@ Feature: Test margins releases on position = 0
     Then I expect the trader to have a margin:
       | trader    | asset | id        | margin |   general |
       | traderGuy | BTC   | ETH/DEC19 |      0 | 1000000000 |
+
+  Scenario: No margin left for wash trade after cancelling first order
+# setup accounts
+    Given the following traders:
+      | name             |     amount |
+      | traderGuy        | 1000000000 |
+    Then I Expect the traders to have new general account:
+      | name             | asset |
+      | traderGuy        | BTC   |
+
+    Then traders place following orders with references:
+      | trader    | id        | type | volume | price | resulting trades | type       | tif     | reference |
+      | traderGuy | ETH/DEC19 | buy  |     13 | 15000 |                0 | TYPE_LIMIT | TIF_GTC | ref-1     |
+
+# checking margins
+    Then I expect the trader to have a margin:
+      | trader    | asset | id        | margin |   general |
+      | traderGuy | BTC   | ETH/DEC19 |      980 | 999999020 |
+
+# now we place an order which would wash trade and see
+    Then traders place following orders:
+      | trader    | id        | type | volume | price | resulting trades | type       | tif     |
+      | traderGuy | ETH/DEC19 | sell |     13 | 15000 |                0 | TYPE_LIMIT | TIF_GTC |
+
+# checking margins, should have the margins required for the current order
+    Then I expect the trader to have a margin:
+      | trader    | asset | id        | margin |   general |
+      | traderGuy | BTC   | ETH/DEC19 |    980 | 999999020 |
+
+# cancel the first order
+    Then traders cancels the following orders reference:
+      | trader    | reference |
+      | traderGuy | ref-1     |
+
+    Then I expect the trader to have a margin:
+      | trader    | asset | id        | margin |   general |
+      | traderGuy | BTC   | ETH/DEC19 |      0 | 1000000000 |

matching/orderbook.go

@@ -538,8 +538,8 @@ func (b *OrderBook) GetTrades(order *types.Order) ([]*types.Trade, error) {
 
 	if err != nil {
 		if err == ErrWashTrade {
-			// we still want to submit this order, but know there will be no trades coming out of it
-			return nil, nil
+			// we still want to submit this order, there might be trades coming out of it
+			return trades, nil
 		}
 		// some random error happened, return both trades and error
 		// this is a case that isn't covered by the current SubmitOrder call