EPIC: Orderbook

[AlpinYukseloglu]

Overview

This Epic covers the open fronts related to our queue-based orderbook implementation.

Remaining Tasks

• [Orderbook]: Convert codebase to orderbook monorepo #17
• [Orderbook]: Set up orderbook and tick state #3
• [Orderbook]: Rename uses of order_books to orderbooks #23
• [Orderbook]: Orderbook creation logic #22
• [Orderbook]: Consider using multi index in place of owner -> orders map #20
• [Orderbook]: Add pagination to Orders Multi-index #28
• [Orderbook]: Implement tick state type/struct  #4
• [Orderbook]: Get next book ID and order ID helpers #5
• [Orderbook]: Tick initialization logic #6
• [Orderbook]: Limit order type and initialization logic  #8
• [Orderbook]: Limit order placement logic #9
• [Orderbook]: Limit order cancellation logic #10
• [Orderbook]: Explore whether tick to price conversion is necessary #11
• [Orderbook]: Limit order filling logic #12
• [Orderbook]: Tick crossing logic #13
• [Orderbook]: Add market filling logic to place_limit #42
• [Orderbook]: Tick to price conversion logic #31
• [Orderbook]: Wire up tick to price conversion into market filling logic #43

The core orderbook implementation is essentially complete with the issues above, although it should not be used in any production capacity until the issues below are addressed

The tasks below have been tabled for now in favor of work towards the sumtree orderbook tracked in #44

• [Orderbook]: Fix tick to price rounding #50
• [Orderbook]: Convert tests to be table driven and expand test suite to cover more complex behavior #33
• [Orderbook]: Test balance deduction #36
• [Orderbook]: Input validation logic for placing and cancelling limit orders #32
• [Orderbook]: Add proper denom validation logic for orderbook creation #26
• [Orderbook]: Consider limiting new orderbooks to whitelisted denoms like with CL #21
• [Orderbook]: Explore DoS vector for swaps that cross many orders #14
• [Orderbook]: Consider claim-based approach to limit orders #15
• [Orderbook]: Move balance helper(s) into separate file #35