From 5f8af33263718186feaf5c4c16f690c36185a785 Mon Sep 17 00:00:00 2001 From: wwestgarth Date: Tue, 10 Sep 2024 16:05:13 +0100 Subject: [PATCH] Merge pull request #11668 from vegaprotocol/stop-amm-md-looking-crossed MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit fix: market-depth for AMM's when stepping over fair-price adds volume… --- datanode/service/market_depth_amm.go | 26 ++++++-- datanode/service/market_depth_amm_test.go | 79 +++++++++++++++++------ 2 files changed, 81 insertions(+), 24 deletions(-) diff --git a/datanode/service/market_depth_amm.go b/datanode/service/market_depth_amm.go index 5d0340f91a..fe3fe41237 100644 --- a/datanode/service/market_depth_amm.go +++ b/datanode/service/market_depth_amm.go @@ -244,6 +244,8 @@ func (m *MarketDepth) expandByLevels(pool entities.AMMPool, levels []*level, pri estimated := []bool{} orders := []*types.Order{} + + extraVolume := int64(0) for i := range levels { if i == len(levels)-1 { break @@ -296,20 +298,32 @@ func (m *MarketDepth) expandByLevels(pool entities.AMMPool, levels []*level, pri side = types.SideSell retPrice = level2.price - // if we've stepped over the pool's position we need to split the step + // if we've stepped over the pool's position we need to split the volume and add it to the outer levels if v1.GreaterThan(ammDefn.position) { volume := v1.Sub(ammDefn.position).Abs().IntPart() - o := m.makeOrder(level1.price, ammDefn.partyID, uint64(volume), types.SideBuy) - orders = append(orders, o) - estimated = append(estimated, level1.estimated) - // now set v1 ready for the second half of this split - v1 = ammDefn.position + // we want to add the volume to the previous order, because thats the price in marketDP when rounded away + // from the fair-price + if len(orders) != 0 { + o := orders[len(orders)-1] + o.Size += uint64(volume) + o.Remaining += uint64(volume) + } + + // we need to add this volume to the price level we step to next + extraVolume = ammDefn.position.Sub(v2).Abs().IntPart() + continue } } // calculate the volume volume := v1.Sub(v2).Abs().IntPart() + // this is extra volume from when we stepped over the AMM's fair-price + if extraVolume != 0 { + volume += extraVolume + extraVolume = 0 + } + orders = append( orders, m.makeOrder(retPrice, ammDefn.partyID, uint64(volume), side), diff --git a/datanode/service/market_depth_amm_test.go b/datanode/service/market_depth_amm_test.go index 1a03a3f896..a994b73a58 100644 --- a/datanode/service/market_depth_amm_test.go +++ b/datanode/service/market_depth_amm_test.go @@ -89,7 +89,7 @@ func Test_0015_NP_OBES_002(t *testing.T) { marketID := vgcrypto.RandomHash() mds.orders.EXPECT().GetLiveOrders(gomock.Any()).Return([]entities.Order{}, nil) - ensureDecimalPlaces(t, mds) + ensureDecimalPlaces(t, mds, 1, 1) mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: 0}, nil) // mid-price is 100 @@ -143,7 +143,7 @@ func TestAMMMarketDepth(t *testing.T) { marketID := vgcrypto.RandomHash() ensureLiveOrders(t, mds, marketID) - ensureDecimalPlaces(t, mds) + ensureDecimalPlaces(t, mds, 1, 1) mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: 0}, nil) mds.marketData.EXPECT().GetMarketDataByID(gomock.Any(), gomock.Any()).Times(1).Return(entities.MarketData{MidPrice: num.DecimalFromInt64(2000)}, nil) @@ -180,7 +180,7 @@ func TestAMMMarketDepth(t *testing.T) { assert.Equal(t, 120, int(mds.service.GetAMMVolume(marketID, false))) assert.Equal(t, 260, int(mds.service.GetTotalVolume(marketID))) - assert.Equal(t, "1996", mds.service.GetBestBidPrice(marketID).String()) + assert.Equal(t, "1995", mds.service.GetBestBidPrice(marketID).String()) assert.Equal(t, "1998", mds.service.GetBestAskPrice(marketID).String()) // now the AMM is updated so that its definition has changed, namely that its curve when short is removed @@ -194,7 +194,7 @@ func TestAMMMarketDepth(t *testing.T) { assert.Equal(t, 65, int(mds.service.GetAMMVolume(marketID, true))) assert.Equal(t, 60, int(mds.service.GetAMMVolume(marketID, false))) assert.Equal(t, 145, int(mds.service.GetTotalVolume(marketID))) - assert.Equal(t, "1996", mds.service.GetBestBidPrice(marketID).String()) + assert.Equal(t, "1995", mds.service.GetBestBidPrice(marketID).String()) assert.Equal(t, "1998", mds.service.GetBestAskPrice(marketID).String()) // and there should definitely be no volume at 2001 @@ -227,7 +227,7 @@ func TestAMMInitialiseNoAMM(t *testing.T) { newMarket := vgcrypto.RandomHash() pool := getAMMDefinition(t, newMarket) - ensureDecimalPlaces(t, mds) + ensureDecimalPlaces(t, mds, 1, 1) mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: 0}, nil) mds.marketData.EXPECT().GetMarketDataByID(gomock.Any(), gomock.Any()).Times(1).Return(entities.MarketData{MidPrice: num.DecimalFromInt64(2000)}, nil) mds.service.OnAMMUpdate(pool, time.Now(), 1000) @@ -252,7 +252,7 @@ func TestAMMStepOverFairPrice(t *testing.T) { marketID := vgcrypto.RandomHash() ensureLiveOrders(t, mds, marketID) - ensureDecimalPlaces(t, mds) + ensureDecimalPlaces(t, mds, 1, 1) mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: 0}, nil) mds.marketData.EXPECT().GetMarketDataByID(gomock.Any(), gomock.Any()).Times(1).Return(entities.MarketData{MidPrice: num.DecimalFromInt64(2000)}, nil) @@ -280,11 +280,12 @@ func TestAMMStepOverFairPrice(t *testing.T) { 37, ) - assert.Equal(t, "1999", mds.service.GetBestBidPrice(marketID).String()) - assert.Equal(t, "2000", mds.service.GetBestAskPrice(marketID).String()) - assert.Equal(t, 2, int(mds.service.GetVolumeAtPrice(marketID, types.SideBuy, 1999))) - assert.Equal(t, 1, int(mds.service.GetVolumeAtPrice(marketID, types.SideSell, 2000))) - assert.Equal(t, 3, int(mds.service.GetVolumeAtPrice(marketID, types.SideSell, 2001))) + assert.Equal(t, "1998", mds.service.GetBestBidPrice(marketID).String()) + assert.Equal(t, "2001", mds.service.GetBestAskPrice(marketID).String()) + assert.Equal(t, 0, int(mds.service.GetVolumeAtPrice(marketID, types.SideBuy, 1999))) + assert.Equal(t, 0, int(mds.service.GetVolumeAtPrice(marketID, types.SideSell, 2000))) + assert.Equal(t, 5, int(mds.service.GetVolumeAtPrice(marketID, types.SideBuy, 1998))) + assert.Equal(t, 4, int(mds.service.GetVolumeAtPrice(marketID, types.SideSell, 2001))) } func TestAMMSmallBounds(t *testing.T) { @@ -300,7 +301,7 @@ func TestAMMSmallBounds(t *testing.T) { marketID := vgcrypto.RandomHash() ensureLiveOrders(t, mds, marketID) - ensureDecimalPlaces(t, mds) + ensureDecimalPlaces(t, mds, 1, 1) mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: 0}, nil) mds.marketData.EXPECT().GetMarketDataByID(gomock.Any(), gomock.Any()).Times(1).Return(entities.MarketData{MidPrice: num.DecimalFromInt64(2000)}, nil) @@ -331,7 +332,7 @@ func TestEstimatedStepOverAMMBound(t *testing.T) { marketID := vgcrypto.RandomHash() ensureLiveOrders(t, mds, marketID) - ensureDecimalPlaces(t, mds) + ensureDecimalPlaces(t, mds, 1, 1) mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: 0}, nil) mds.marketData.EXPECT().GetMarketDataByID(gomock.Any(), gomock.Any()).Times(1).Return(entities.MarketData{MidPrice: num.DecimalFromInt64(2000)}, nil) @@ -360,7 +361,7 @@ func TestExpansionMuchBiggerThanAMMs(t *testing.T) { marketID := vgcrypto.RandomHash() ensureLiveOrders(t, mds, marketID) - ensureDecimalPlaces(t, mds) + ensureDecimalPlaces(t, mds, 1, 1) mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: 0}, nil) mds.marketData.EXPECT().GetMarketDataByID(gomock.Any(), gomock.Any()).Times(1).Return(entities.MarketData{MidPrice: num.DecimalFromInt64(2000)}, nil) @@ -386,7 +387,7 @@ func TestMidPriceMove(t *testing.T) { marketID := vgcrypto.RandomHash() ensureLiveOrders(t, mds, marketID) - ensureDecimalPlaces(t, mds) + ensureDecimalPlaces(t, mds, 1, 1) mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: 0}, nil) mds.marketData.EXPECT().GetMarketDataByID(gomock.Any(), gomock.Any()).Times(1).Return(entities.MarketData{MidPrice: num.DecimalFromInt64(2000)}, nil) @@ -421,6 +422,29 @@ func TestMidPriceMove(t *testing.T) { assert.Equal(t, "3000", mds.service.GetBestAskPrice(marketID).String()) // this is an actual order volume not AMM volume } +func TestFairgroundAMM(t *testing.T) { + ctx := context.Background() + + mds := getService(t) + defer mds.ctrl.Finish() + + marketID := vgcrypto.RandomHash() + + mds.orders.EXPECT().GetLiveOrders(gomock.Any()).Return(nil, nil) + ensureDecimalPlaces(t, mds, 9, 5) + mds.pos.EXPECT().GetByMarketAndParty(gomock.Any(), gomock.Any(), gomock.Any()).Return(entities.Position{OpenVolume: -69005905}, nil) + mds.marketData.EXPECT().GetMarketDataByID(gomock.Any(), gomock.Any()).Times(1).Return(entities.MarketData{MidPrice: num.DecimalFromInt64(12955)}, nil) + + pool := getAMMDefinitionTestnet(t, marketID) + mds.amm.EXPECT().ListActive(gomock.Any()).Return([]entities.AMMPool{pool}, nil).Times(1) + mds.service.Initialise(ctx) + + // AMM's fair price is 129543034, so +/- one each side is 129533034, 129553034 + // the we round *away* from the fair price and get: + assert.Equal(t, "12953", mds.service.GetBestBidPrice(marketID).String()) + assert.Equal(t, "12956", mds.service.GetBestAskPrice(marketID).String()) +} + func ensureLiveOrders(t *testing.T, mds *MDS, marketID string) { t.Helper() mds.orders.EXPECT().GetLiveOrders(gomock.Any()).Return([]entities.Order{ @@ -485,6 +509,25 @@ func getAMMDefinitionMid100(t *testing.T, marketID string) entities.AMMPool { } } +func getAMMDefinitionTestnet(t *testing.T, marketID string) entities.AMMPool { + t.Helper() + + // position -69005905 + + return entities.AMMPool{ + PartyID: entities.PartyID(vgcrypto.RandomHash()), + AmmPartyID: entities.PartyID(vgcrypto.RandomHash()), + MarketID: entities.MarketID(marketID), + ParametersLowerBound: ptr.From(num.DecimalFromInt64(11403)), + LowerVirtualLiquidity: num.DecimalFromFloat(32934372037780.849503179454583540865465761125), + LowerTheoreticalPosition: num.DecimalFromFloat(158269985.323671339473934), + ParametersBase: num.DecimalFromInt64(12670), + ParametersUpperBound: ptr.From(num.DecimalFromInt64(13937)), + UpperVirtualLiquidity: num.DecimalFromFloat(70393727154384.2551793351731482811200266360637), + UpperTheoreticalPosition: num.DecimalFromFloat(291036775.097792633711267), + } +} + func ensureAMMs(t *testing.T, mds *MDS, marketID string) entities.AMMPool { t.Helper() @@ -493,7 +536,7 @@ func ensureAMMs(t *testing.T, mds *MDS, marketID string) entities.AMMPool { return pool } -func ensureDecimalPlaces(t *testing.T, mds *MDS) { +func ensureDecimalPlaces(t *testing.T, mds *MDS, adp, mdp int) { t.Helper() market := entities.Market{ @@ -506,13 +549,13 @@ func ensureDecimalPlaces(t *testing.T, mds *MDS) { }, }, }, - DecimalPlaces: 1, + DecimalPlaces: mdp, TickSize: ptr.From(num.DecimalOne()), } mds.markets.EXPECT().GetByID(gomock.Any(), gomock.Any()).Return(market, nil) asset := entities.Asset{ - Decimals: 1, + Decimals: adp, } mds.assets.EXPECT().GetByID(gomock.Any(), gomock.Any()).Return(asset, nil) }