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test: added batch realization test cases
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@crnbarr93
crnbarr93 committed Jun 27, 2024
1 parent 06ea434 commit 6f9e331
Showing 1 changed file with 134 additions and 0 deletions.
134 changes: 134 additions & 0 deletions contracts/sumtree-orderbook/src/tests/test_tick.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -333,6 +333,114 @@ fn test_sync_tick() {
1u128,
),
},
SyncTickTestCase {
name: "Batch realization: simple case",
// Tick with:
// * 100 units of available liquidity for bid
// * 50 units of unrealized cancellations for bid
initial_tick_bid_values: build_tick_values(100, 50),
initial_tick_ask_values: build_tick_values(0, 0),

// Multiple unrealized cancels for both bid and ask
unrealized_cancels_bid: vec![
NodeType::leaf_uint256(45u32, 25u32),
NodeType::leaf_uint256(10u32, 25u32),
],
unrealized_cancels_ask: vec![],

// Increment tick ETAS by 10 for bid and 40 for ask per iteration for 2 iterations
new_bid_etas_per_sync: Decimal256::from_ratio(10u128, 1u128),
new_ask_etas_per_sync: Decimal256::zero(),
num_syncs: 2,

// By end of iteration 2 both bid nodes should be included.
expected_cumulative_realized_bid: Decimal256::from_ratio(50u128, 1u128),
expected_cumulative_realized_ask: Decimal256::zero(),

// The new ETAS includes all the incremented amounts which represent fills,
// plus the amount of realized cancellations for both bid and ask
expected_new_bid_etas_post_sync: Decimal256::from_ratio(
(2u128 * 10u128) + 50u128,
1u128,
),
expected_new_ask_etas_post_sync: Decimal256::zero(),
},
SyncTickTestCase {
name: "Batch realization: all but most right",
// Tick with:
// * 200 units of available liquidity for bid
// * 78 units of unrealized cancellations for bid
initial_tick_bid_values: build_tick_values(200, 78),
initial_tick_ask_values: build_tick_values(0, 0),

// Multiple unrealized cancels for both bid and ask
unrealized_cancels_bid: vec![
NodeType::leaf_uint256(180u32, 3u32),
NodeType::leaf_uint256(130u32, 15u32),
NodeType::leaf_uint256(45u32, 25u32),
NodeType::leaf_uint256(90u32, 10u32),
NodeType::leaf_uint256(10u32, 25u32),
],
unrealized_cancels_ask: vec![],

// Increment tick ETAS by 20 for bid per iteration for 4 iterations
new_bid_etas_per_sync: Decimal256::from_ratio(20u128, 1u128),
new_ask_etas_per_sync: Decimal256::zero(),
num_syncs: 4,

// By end of iteration 4 there should be enough liquidity to realize everything except the last cancellation
// Hence total realized becomes 25+10+25+15 = 75
expected_cumulative_realized_bid: Decimal256::from_ratio(75u128, 1u128),
expected_cumulative_realized_ask: Decimal256::zero(),

// The new ETAS includes all the incremented amounts which represent fills,
// plus the amount of realized cancellations for both bid and ask
// 20+20+20+20 = 80 + 75 = 155
expected_new_bid_etas_post_sync: Decimal256::from_ratio(
(4u128 * 20u128) + 75u128,
1u128,
),
expected_new_ask_etas_post_sync: Decimal256::zero(),
},
SyncTickTestCase {
name: "Batch realization: chained batch claim (worst case for non-optimized)",
// Tick with:
// * 10 units of available liquidity for bid
// * 10 units of unrealized cancellations for bid
initial_tick_bid_values: build_tick_values(10, 10),
initial_tick_ask_values: build_tick_values(0, 0),

// Multiple unrealized cancels for both bid and ask
unrealized_cancels_bid: vec![
NodeType::leaf_uint256(1u32, 1u32),
NodeType::leaf_uint256(2u32, 1u32),
NodeType::leaf_uint256(3u32, 1u32),
NodeType::leaf_uint256(4u32, 1u32),
NodeType::leaf_uint256(5u32, 1u32),
NodeType::leaf_uint256(6u32, 1u32),
NodeType::leaf_uint256(7u32, 1u32),
NodeType::leaf_uint256(8u32, 1u32),
NodeType::leaf_uint256(9u32, 1u32),
NodeType::leaf_uint256(10u32, 1u32),
],
unrealized_cancels_ask: vec![],

// Increment tick ETAS by 1 for bid per iteration for 1 iteration
new_bid_etas_per_sync: Decimal256::from_ratio(1u128, 1u128),
new_ask_etas_per_sync: Decimal256::zero(),
num_syncs: 1,

// The first iteration should realize all the cancellations
// In a naiive approach we would require multiple resyncs to realize all cancellations
// Here all should be realized on first pass
expected_cumulative_realized_bid: Decimal256::from_ratio(10u128, 1u128),
expected_cumulative_realized_ask: Decimal256::zero(),

// The new ETAS includes all the incremented amounts which represent fills,
// plus the amount of realized cancellations for both bid and ask
expected_new_bid_etas_post_sync: Decimal256::from_ratio(1u128 + 10u128, 1u128),
expected_new_ask_etas_post_sync: Decimal256::zero(),
},
];

for test in test_cases {
Expand Down Expand Up @@ -361,6 +469,12 @@ fn test_sync_tick() {
// --- System under test ---

for _ in 0..test.num_syncs {
let TickState {
bid_values: pre_bid_tick_values,
ask_values: pre_ask_tick_values,
} = TICK_STATE
.load(deps.as_ref().storage, default_tick_id)
.unwrap();
// Increment tick ETAS for each step
let (updated_bid_etas, updated_ask_etas) = increment_tick_etas(
deps.as_mut().storage,
Expand All @@ -378,6 +492,26 @@ fn test_sync_tick() {
updated_ask_etas,
)
.unwrap();

let TickState {
bid_values: post_bid_tick_values,
ask_values: post_ask_tick_values,
} = TICK_STATE
.load(deps.as_ref().storage, default_tick_id)
.unwrap();

assert!(
pre_bid_tick_values.effective_total_amount_swapped
<= post_bid_tick_values.effective_total_amount_swapped,
"ETAS decreased for bid on new sync: {}",
test.name
);
assert!(
pre_ask_tick_values.effective_total_amount_swapped
<= post_ask_tick_values.effective_total_amount_swapped,
"ETAS decreased for ask on new sync: {}",
test.name
);
}

// --- Assertions ---
Expand Down

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