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return theoretical target stake when in auction #3705

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merged 1 commit into from
Jul 7, 2021
Merged

return theoretical target stake when in auction #3705

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45 changes: 21 additions & 24 deletions execution/market.go
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Original file line number Diff line number Diff line change
Expand Up @@ -107,6 +107,7 @@ type LiquidityMonitor interface {
type TargetStakeCalculator interface {
RecordOpenInterest(oi uint64, now time.Time) error
GetTargetStake(rf types.RiskFactor, now time.Time, markPrice *num.Uint) *num.Uint
GetTheoreticalTargetStake(rf types.RiskFactor, now time.Time, markPrice *num.Uint, trades []*types.Trade) *num.Uint
UpdateScalingFactor(sFactor num.Decimal) error
UpdateTimeWindow(tWindow time.Duration)
}
Expand Down Expand Up @@ -264,12 +265,12 @@ func NewMarket(
riskConfig,
tradableInstrument.MarginCalculator,
tradableInstrument.RiskModel,
getInitialFactors(log, mkt, asset),
book,
as,
broker,
now.UnixNano(),
mkt.GetId(),
asset,
)
settleEngine := settlement.New(
log,
Expand Down Expand Up @@ -406,6 +407,13 @@ func (m *Market) GetMarketData() types.MarketData {
staticMidPrice = staticMidPrice.Div(num.Sum(bestStaticBidPrice, bestStaticOfferPrice), two)
}

var targetStake string
if m.as.InAuction() {
targetStake = m.getTheoreticalTargetStake().String()
} else {
targetStake = m.getTargetStake().String()
}

return types.MarketData{
Market: m.GetID(),
BestBidPrice: bestBidPrice,
Expand All @@ -428,7 +436,7 @@ func (m *Market) GetMarketData() types.MarketData {
MarketTradingMode: m.as.Mode(),
Trigger: m.as.Trigger(),
ExtensionTrigger: m.as.ExtensionTrigger(),
TargetStake: m.getTargetStake().String(),
TargetStake: targetStake,
SuppliedStake: m.getSuppliedStake().String(),
PriceMonitoringBounds: m.pMonitor.GetCurrentBounds(),
MarketValueProxy: m.lastMarketValueProxy.String(),
Expand Down Expand Up @@ -2728,28 +2736,6 @@ func (m *Market) getOrderByID(orderID string) (*types.Order, bool, error) {
return nil, false, ErrOrderNotFound
}

// create an actual risk model, and calculate the risk factors
// if something goes wrong, return the hard-coded values of old
func getInitialFactors(log *logging.Logger, mkt *types.Market, asset string) *types.RiskResult {
rm, err := risk.NewModel(mkt.TradableInstrument.RiskModel, asset)
// @TODO log this error
if err != nil {
return nil
}
if ok, fact := rm.CalculateRiskFactors(nil); ok {
return fact
}
// default to hard-coded risk factors
return &types.RiskResult{
RiskFactors: map[string]*types.RiskFactor{
asset: {Long: num.DecimalFromFloat(0.15), Short: num.DecimalFromFloat(0.25)},
},
PredictedNextRiskFactors: map[string]*types.RiskFactor{
asset: {Long: num.DecimalFromFloat(0.15), Short: num.DecimalFromFloat(0.25)},
},
}
}

func (m *Market) getRiskFactors() (*types.RiskFactor, error) {
a, err := m.mkt.GetAsset()
if err != nil {
Expand All @@ -2762,6 +2748,17 @@ func (m *Market) getRiskFactors() (*types.RiskFactor, error) {
return rf, nil
}

func (m *Market) getTheoreticalTargetStake() *num.Uint {
rf, err := m.getRiskFactors()
if err != nil {
logging.Error(err)
m.log.Debug("unable to get risk factors, can't calculate target")
return num.Zero()
}
return m.tsCalc.GetTheoreticalTargetStake(
*rf, m.currentTime, m.getCurrentMarkPrice(), nil)
}

func (m *Market) getTargetStake() *num.Uint {
rf, err := m.getRiskFactors()
if err != nil {
Expand Down
21 changes: 19 additions & 2 deletions risk/engine.go
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Original file line number Diff line number Diff line change
Expand Up @@ -60,6 +60,7 @@ type Engine struct {

currTime int64
mktID string
asset string
}

// NewEngine instantiate a new risk engine
Expand All @@ -68,12 +69,12 @@ func NewEngine(
config Config,
marginCalculator *types.MarginCalculator,
model Model,
initialFactors *types.RiskResult,
ob Orderbook,
as AuctionState,
broker Broker,
initialTime int64,
mktID string,
asset string,
) *Engine {
// setup logger
log = log.Named(namedLogger)
Expand All @@ -85,14 +86,15 @@ func NewEngine(
Config: config,
marginCalculator: marginCalculator,
scalingFactorsUint: sfUint,
factors: initialFactors,
factors: getInitialFactors(model, asset),
model: model,
waiting: false,
ob: ob,
as: as,
broker: broker,
currTime: initialTime,
mktID: mktID,
asset: asset,
}
}

Expand Down Expand Up @@ -447,3 +449,18 @@ func (m marginChange) Transfer() *types.Transfer {
func (m marginChange) MarginLevels() *types.MarginLevels {
return m.margins
}

func getInitialFactors(rm Model, asset string) *types.RiskResult {
if ok, fact := rm.CalculateRiskFactors(nil); ok {
return fact
}
// default to hard-coded risk factors
return &types.RiskResult{
RiskFactors: map[string]*types.RiskFactor{
asset: {Long: num.DecimalFromFloat(0.15), Short: num.DecimalFromFloat(0.25)},
},
PredictedNextRiskFactors: map[string]*types.RiskFactor{
asset: {Long: num.DecimalFromFloat(0.15), Short: num.DecimalFromFloat(0.25)},
},
}
}
12 changes: 9 additions & 3 deletions risk/engine_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -355,8 +355,9 @@ func testMarginWithOrderInBook(t *testing.T) {
assert.Nil(t, err)
}

model.EXPECT().CalculateRiskFactors(gomock.Any()).Return(true, r).Times(1)
as.EXPECT().InAuction().AnyTimes().Return(false)
testE := risk.NewEngine(log, conf.Risk, mc, model, r, book, as, broker, 0, "mktid")
testE := risk.NewEngine(log, conf.Risk, mc, model, book, as, broker, 0, "mktid", "ETH")
evt := testMargin{
party: "tx",
size: 10,
Expand Down Expand Up @@ -403,6 +404,7 @@ func testMarginWithOrderInBook2(t *testing.T) {
},
},
}
_ = r
// custom scaling factor
mc := &types.MarginCalculator{
ScalingFactors: &types.ScalingFactors{
Expand Down Expand Up @@ -440,6 +442,8 @@ func testMarginWithOrderInBook2(t *testing.T) {
as := mocks.NewMockAuctionState(ctrl)
broker.EXPECT().Send(gomock.Any()).AnyTimes()

model.EXPECT().CalculateRiskFactors(gomock.Any()).Return(true, r).Times(1)

as.EXPECT().InAuction().AnyTimes().Return(false)
// instantiate the book then fill it with the orders

Expand All @@ -463,7 +467,7 @@ func testMarginWithOrderInBook2(t *testing.T) {
assert.Nil(t, err)
}

testE := risk.NewEngine(log, conf.Risk, mc, model, r, book, as, broker, 0, "mktid")
testE := risk.NewEngine(log, conf.Risk, mc, model, book, as, broker, 0, "mktid", "ETH")
evt := testMargin{
party: "tx",
size: 13,
Expand Down Expand Up @@ -507,17 +511,19 @@ func getTestEngine(t *testing.T, initialRisk *types.RiskResult) *testEngine {
broker := bmock.NewMockBroker(ctrl)
as := mocks.NewMockAuctionState(ctrl)

model.EXPECT().CalculateRiskFactors(gomock.Any()).Return(true, initialRisk).Times(1)

engine := risk.NewEngine(
logging.NewTestLogger(),
conf,
getMarginCalculator(),
model,
initialRisk,
ob,
as,
broker,
0,
"mktid",
"ETH",
)
return &testEngine{
Engine: engine,
Expand Down