Fix quote fee handling in market price

crates/autopilot/src/domain/fee/mod.rs

@@ -115,7 +115,7 @@ impl ProtocolFees {
             .iter()
             // TODO: support multiple fee policies
             .find_map(|fee_policy| {
-                let outside_market_price = boundary::is_order_outside_market_price(&order_, &quote_);
+                let outside_market_price = boundary::is_order_outside_market_price(&order_, &quote_, order.data.kind);
                 match (outside_market_price, &fee_policy.order_class) {
                     (_, OrderClass::Any) => Some(&fee_policy.policy),
                     (true, OrderClass::Limit) => Some(&fee_policy.policy),

crates/database/src/orders.rs

@@ -720,7 +720,7 @@ pub async fn count_limit_orders_by_owner(
 pub struct OrderWithQuote {
     pub order_buy_amount: BigDecimal,
     pub order_sell_amount: BigDecimal,
-    pub order_fee_amount: BigDecimal,
+    pub order_kind: OrderKind,
     pub quote_buy_amount: BigDecimal,
     pub quote_sell_amount: BigDecimal,
     pub quote_gas_amount: f64,
@@ -737,7 +737,7 @@ pub async fn user_orders_with_quote(
     const QUERY: &str = const_format::concatcp!(
         "SELECT o_quotes.sell_amount as quote_sell_amount, o.sell_amount as order_sell_amount,",
         " o_quotes.buy_amount as quote_buy_amount, o.buy_amount as order_buy_amount,",
-        " o.fee_amount as order_fee_amount, o_quotes.gas_amount as quote_gas_amount,",
+        " o.kind as order_kind, o_quotes.gas_amount as quote_gas_amount,",
         " o_quotes.gas_price as quote_gas_price, o_quotes.sell_token_price as quote_sell_token_price",
         " FROM (",
             " SELECT *",

crates/driver/src/domain/competition/solution/fee.rs

@@ -225,18 +225,16 @@ pub struct Quote {
 /// - test_adjust_quote_to_in_market_sell_order_limits
 /// - test_adjust_quote_to_in_market_buy_order_limits
 pub fn adjust_quote_to_order_limits(order: Order, quote: Quote) -> Result<PriceLimits, Math> {
-    let quote_sell_amount = quote
-        .sell_amount
-        .checked_add(quote.fee_amount)
-        .ok_or(Math::Overflow)?;
-
     match order.side {
         Side::Sell => {
-            let scaled_buy_amount = quote
+            let quote_buy_amount = quote
                 .buy_amount
+                .checked_sub(quote.fee_amount * quote.buy_amount / quote.sell_amount)
+                .ok_or(Math::Negative)?;
+            let scaled_buy_amount = quote_buy_amount
                 .checked_mul(order.sell_amount)
                 .ok_or(Math::Overflow)?
-                .checked_div(quote_sell_amount)
+                .checked_div(quote.sell_amount)
                 .ok_or(Math::DivisionByZero)?;
             let buy_amount = order.buy_amount.max(scaled_buy_amount);
             Ok(PriceLimits {
@@ -245,6 +243,10 @@ pub fn adjust_quote_to_order_limits(order: Order, quote: Quote) -> Result<PriceL
             })
         }
         Side::Buy => {
+            let quote_sell_amount = quote
+                .sell_amount
+                .checked_add(quote.fee_amount)
+                .ok_or(Math::Overflow)?;
             let scaled_sell_amount = quote_sell_amount
                 .checked_mul(order.buy_amount)
                 .ok_or(Math::Overflow)?
@@ -325,7 +327,7 @@ mod tests {
             side: Side::Sell,
         };
         let quote = Quote {
-            sell_amount: to_wei(9),
+            sell_amount: to_wei(10),
             buy_amount: to_wei(25),
             fee_amount: to_wei(1),
         };
@@ -336,9 +338,10 @@ mod tests {
             limit.sell.0, order.sell_amount,
             "Sell amount should be taken from the order for sell orders in market price."
         );
-        assert_eq!(
-            limit.buy.0, quote.buy_amount,
-            "Buy amount should reflect the improved market condition from the quote."
+        assert!(
+            limit.buy.0 <= quote.buy_amount,
+            "Buy amount should be equal to quoted buy amount if fee is 0, otherwise have to be \
+             lower."
         );
     }
 

crates/orderbook/src/database/orders.rs

@@ -379,7 +379,7 @@ impl LimitOrderCounting for Postgres {
                 &Amounts {
                     sell: big_decimal_to_u256(&order_with_quote.order_sell_amount).unwrap(),
                     buy: big_decimal_to_u256(&order_with_quote.order_buy_amount).unwrap(),
-                    fee: big_decimal_to_u256(&order_with_quote.order_fee_amount).unwrap(),
+                    fee: 0.into(),
                 },
                 &Amounts {
                     sell: big_decimal_to_u256(&order_with_quote.quote_sell_amount).unwrap(),
@@ -391,6 +391,10 @@ impl LimitOrderCounting for Postgres {
                     }
                     .fee(),
                 },
+                match order_with_quote.order_kind {
+                    DbOrderKind::Buy => model::order::OrderKind::Buy,
+                    DbOrderKind::Sell => model::order::OrderKind::Sell,
+                },
             )
         })
         .count()

crates/shared/src/order_validation.rs

@@ -667,6 +667,7 @@ impl OrderValidating for OrderValidator {
                         buy: quote.buy_amount,
                         fee: quote.fee_amount,
                     },
+                    data.kind,
                 ) {
                     tracing::debug!(%uid, ?owner, ?class, "order being flagged as outside market price");
                     (OrderClass::Limit, Some(quote))
@@ -695,6 +696,7 @@ impl OrderValidating for OrderValidator {
                         buy: quote.buy_amount,
                         fee: quote.fee_amount,
                     },
+                    data.kind,
                 ) {
                     self.check_max_limit_orders(owner).await?;
                 }
@@ -721,6 +723,7 @@ impl OrderValidating for OrderValidator {
                         buy: quote.buy_amount,
                         fee: quote.fee_amount,
                     },
+                    data.kind,
                 ) {
                     self.check_max_limit_orders(owner).await?;
                 }
@@ -928,8 +931,22 @@ pub struct Amounts {
 ///
 /// Note that this check only looks at the order's limit price and the market
 /// price and is independent of amounts or trade direction.
-pub fn is_order_outside_market_price(order: &Amounts, quote: &Amounts) -> bool {
-    (order.sell + order.fee).full_mul(quote.buy) < (quote.sell + quote.fee).full_mul(order.buy)
+pub fn is_order_outside_market_price(
+    order: &Amounts,
+    quote: &Amounts,
+    kind: model::order::OrderKind,
+) -> bool {
+    match kind {
+        OrderKind::Buy => {
+            order.sell.full_mul(quote.buy) < (quote.sell + quote.fee).full_mul(order.buy)
+        }
+        OrderKind::Sell => {
+            order
+                .sell
+                .full_mul(quote.buy - quote.fee * quote.buy / quote.sell)
+                < quote.sell.full_mul(order.buy)
+        }
+    }
 }
 
 pub fn convert_signing_scheme_into_quote_signing_scheme(
@@ -2359,6 +2376,7 @@ mod tests {
                 buy: quote.buy_amount,
                 fee: quote.fee_amount,
             },
+            model::order::OrderKind::Buy,
         ));
         // willing to buy less than market price
         assert!(!is_order_outside_market_price(
@@ -2372,6 +2390,7 @@ mod tests {
                 buy: quote.buy_amount,
                 fee: quote.fee_amount,
             },
+            model::order::OrderKind::Buy,
         ));
         // wanting to buy more than market price
         assert!(is_order_outside_market_price(
@@ -2385,6 +2404,7 @@ mod tests {
                 buy: quote.buy_amount,
                 fee: quote.fee_amount,
             },
+            model::order::OrderKind::Buy,
         ));
     }
 }