Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

[Sumtree]: Initialization and Insertion for Sumtree #56

Merged
merged 23 commits into from
Mar 15, 2024
Merged

[Sumtree]: Initialization and Insertion for Sumtree #56

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
23 commits
Select commit Hold shift + click to select a range
cb4c27c
Wired up tick price
crnbarr93 Feb 27, 2024
4bc6026
Abstracted method for mapping order direction to tick math
crnbarr93 Feb 27, 2024
de76856
Comment and adjustment
crnbarr93 Feb 27, 2024
cc1a506
Added basic tick math tests
crnbarr93 Feb 29, 2024
20dc792
Fixed failing place limit tests
crnbarr93 Feb 29, 2024
cf8f06a
Fixed erroneous summation of funds to be sent to placed order
crnbarr93 Feb 29, 2024
ada9f1f
Fix to received funds check, tests broken
crnbarr93 Mar 1, 2024
db3bd79
Reverted previous changes
crnbarr93 Mar 1, 2024
9351622
Sumtree insertion
crnbarr93 Mar 7, 2024
ce443a7
Moved testing fn to test file
crnbarr93 Mar 7, 2024
f8807e1
Linting fixes
crnbarr93 Mar 7, 2024
54ac284
Added comments
crnbarr93 Mar 7, 2024
f725ea3
Fixed failing test
crnbarr93 Mar 7, 2024
791b6c5
Improve insert readability
crnbarr93 Mar 12, 2024
e6e5d58
Small refactor
crnbarr93 Mar 12, 2024
5e34b08
Added vertical tree printing
crnbarr93 Mar 12, 2024
0983152
Small comment adjustment
crnbarr93 Mar 12, 2024
35c20c6
Altered copyright
crnbarr93 Mar 12, 2024
78403e4
Handled node reordering
crnbarr93 Mar 14, 2024
5f1151e
Added pre-state trees to comments
crnbarr93 Mar 14, 2024
31bb82c
Terminology consistency
crnbarr93 Mar 14, 2024
e1efca9
link new internal nodes back to their parents
AlpinYukseloglu Mar 15, 2024
63a7c0c
fix reordering range check
AlpinYukseloglu Mar 15, 2024
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
3 changes: 3 additions & 0 deletions contracts/orderbook/src/error.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -74,6 +74,9 @@ pub enum ContractError {

#[error("Mismatched order direction")]
MismatchedOrderDirection {},

#[error("Invalid Node Type")]
InvalidNodeType,
}

pub type ContractResult<T> = Result<T, ContractError>;
24 changes: 13 additions & 11 deletions contracts/orderbook/src/order.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -2,9 +2,10 @@ use crate::constants::{MAX_TICK, MIN_TICK};
use crate::error::ContractError;
use crate::state::ORDERBOOKS;
use crate::state::*;
use crate::tick_math::{amount_to_value, tick_to_price};
use crate::types::{Fulfillment, LimitOrder, MarketOrder, OrderDirection, REPLY_ID_REFUND};
use cosmwasm_std::{
coin, ensure, ensure_eq, ensure_ne, BankMsg, Decimal, DepsMut, Env, MessageInfo, Order,
coin, ensure, ensure_eq, ensure_ne, BankMsg, Decimal256, DepsMut, Env, MessageInfo, Order,
Response, Storage, SubMsg, Uint128,
};
use cw_storage_plus::Bound;
Expand Down Expand Up @@ -193,6 +194,7 @@ pub fn run_market_order(
) -> Result<(Vec<Fulfillment>, BankMsg), ContractError> {
let mut fulfillments: Vec<Fulfillment> = vec![];
let mut amount_fulfilled: Uint128 = Uint128::zero();
let mut amount_to_send: Uint128 = Uint128::zero();
let orderbook = ORDERBOOKS.load(storage, &order.book_id)?;
let placed_order_fulfilled_denom = orderbook.get_opposite_denom(&order.order_direction);

Expand Down Expand Up @@ -235,7 +237,7 @@ pub fn run_market_order(

for maybe_current_tick in ticks {
let current_tick = maybe_current_tick?.0;

let tick_price: Decimal256 = tick_to_price(current_tick)?;
// Create orders iterator for all orders on current tick
let tick_orders = orders().prefix((order.book_id, current_tick)).range(
storage,
Expand All @@ -254,42 +256,44 @@ pub fn run_market_order(
let fill_quantity = order.quantity.min(current_order.quantity);
// Add to total amount fulfilled from placed order
amount_fulfilled = amount_fulfilled.checked_add(fill_quantity)?;
amount_to_send = amount_to_send.checked_add(amount_to_value(
order.order_direction,
fill_quantity,
tick_price,
)?)?;
// Generate fulfillment for current order
let fulfillment = Fulfillment::new(current_order, fill_quantity);
fulfillments.push(fulfillment);

// Update remaining order quantity
order.quantity = order.quantity.checked_sub(fill_quantity)?;
// TODO: Price detection
if order.quantity.is_zero() {
return Ok((
fulfillments,
BankMsg::Send {
to_address: order.owner.to_string(),
amount: vec![coin(amount_fulfilled.u128(), placed_order_fulfilled_denom)],
amount: vec![coin(amount_to_send.u128(), placed_order_fulfilled_denom)],
},
));
}
}

// TODO: Price detection
if order.quantity.is_zero() {
return Ok((
fulfillments,
BankMsg::Send {
to_address: order.owner.to_string(),
amount: vec![coin(amount_fulfilled.u128(), placed_order_fulfilled_denom)],
amount: vec![coin(amount_to_send.u128(), placed_order_fulfilled_denom)],
},
));
}
}

// TODO: Price detection
Ok((
fulfillments,
BankMsg::Send {
to_address: order.owner.to_string(),
amount: vec![coin(amount_fulfilled.u128(), placed_order_fulfilled_denom)],
amount: vec![coin(amount_to_send.u128(), placed_order_fulfilled_denom)],
},
))
}
Expand All @@ -314,9 +318,7 @@ pub fn resolve_fulfillments(
);
let denom = orderbook.get_opposite_denom(&fulfillment.order.order_direction);
// TODO: Add price detection for tick
let msg = fulfillment
.order
.fill(&denom, fulfillment.amount, Decimal::one())?;
let msg = fulfillment.order.fill(&denom, fulfillment.amount)?;
msgs.push(msg);
if fulfillment.order.quantity.is_zero() {
orders().remove(
Expand Down
143 changes: 97 additions & 46 deletions contracts/orderbook/src/tests/test_order.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -4,9 +4,10 @@ use crate::{
order::*,
orderbook::*,
state::*,
tick_math::{divide_by_price, multiply_by_price, tick_to_price},
types::{Fulfillment, LimitOrder, MarketOrder, OrderDirection, REPLY_ID_REFUND},
};
use cosmwasm_std::{coin, Addr, BankMsg, Coin, CosmosMsg, Decimal, Empty, SubMsg, Uint128};
use cosmwasm_std::{coin, Addr, BankMsg, Coin, CosmosMsg, Empty, SubMsg, Uint128};
use cosmwasm_std::{
testing::{mock_dependencies_with_balances, mock_env, mock_info},
ReplyOn,
Expand Down Expand Up @@ -321,36 +322,6 @@ fn test_place_limit_fill() {
let base_denom = "base".to_string();

let test_cases: Vec<FillLimitOrderTestCase> = vec![
FillLimitOrderTestCase {
name: "standard fulfilled order BID",
tick_id: 2,
order_direction: OrderDirection::Bid,
quantity: Uint128::from(100u128),
expected_fulfillments: vec![Fulfillment::new(
LimitOrder::new(
valid_book_id,
1,
0,
OrderDirection::Ask,
Addr::unchecked("maker1"),
Uint128::from(100u128),
),
Uint128::zero(),
)],
expected_bank_msgs: vec![
BankMsg::Send {
to_address: "maker1".to_string(),
amount: vec![coin(100u128, quote_denom.clone())],
},
BankMsg::Send {
to_address: creator.to_string(),
amount: vec![coin(100u128, base_denom.clone())],
},
],
expected_liquidity: vec![(1, Uint128::zero())],
expected_remainder: Uint128::zero(),
expected_error: None,
},
FillLimitOrderTestCase {
name: "run limit order with single fulfillment ASK",
tick_id: -1,
Expand Down Expand Up @@ -428,6 +399,46 @@ fn test_place_limit_fill() {
expected_remainder: Uint128::zero(),
expected_error: None,
},
FillLimitOrderTestCase {
name: "standard fulfilled order higher tick ASK",
tick_id: -100000,
order_direction: OrderDirection::Ask,
quantity: Uint128::from(100u128),
expected_fulfillments: vec![Fulfillment::new(
LimitOrder::new(
valid_book_id,
-100000,
0,
OrderDirection::Bid,
Addr::unchecked("maker1"),
Uint128::from(100u128),
),
Uint128::zero(),
)],
expected_bank_msgs: vec![
BankMsg::Send {
to_address: "maker1".to_string(),
amount: vec![coin(
multiply_by_price(Uint128::from(100u128), tick_to_price(-100000).unwrap())
.unwrap()
.u128(),
base_denom.clone(),
)],
},
BankMsg::Send {
to_address: creator.to_string(),
amount: vec![coin(
divide_by_price(Uint128::from(100u128), tick_to_price(-100000).unwrap())
.unwrap()
.u128(),
quote_denom.clone(),
)],
},
],
expected_liquidity: vec![(1, Uint128::zero())],
expected_remainder: Uint128::zero(),
expected_error: None,
},
FillLimitOrderTestCase {
name: "run limit order with multiple fulfillments across multiple ticks ASK",
tick_id: -3,
Expand Down Expand Up @@ -588,11 +599,51 @@ fn test_place_limit_fill() {
expected_bank_msgs: vec![
BankMsg::Send {
to_address: "maker".to_string(),
amount: vec![coin(50, "quote")],
amount: vec![coin(49, "quote")],
},
BankMsg::Send {
to_address: "creator".to_string(),
amount: vec![coin(50, "base")],
amount: vec![coin(51, "base")],
},
],
expected_liquidity: vec![(1, Uint128::zero())],
expected_remainder: Uint128::zero(),
expected_error: None,
},
FillLimitOrderTestCase {
name: "standard fulfilled order higher tick BID",
tick_id: 100000,
order_direction: OrderDirection::Bid,
quantity: Uint128::from(100u128),
expected_fulfillments: vec![Fulfillment::new(
LimitOrder::new(
valid_book_id,
100000,
0,
OrderDirection::Ask,
Addr::unchecked("maker1"),
Uint128::from(100u128),
),
Uint128::zero(),
)],
expected_bank_msgs: vec![
BankMsg::Send {
to_address: "maker1".to_string(),
amount: vec![coin(
divide_by_price(Uint128::from(100u128), tick_to_price(100000).unwrap())
.unwrap()
.u128(),
quote_denom.clone(),
)],
},
BankMsg::Send {
to_address: creator.to_string(),
amount: vec![coin(
multiply_by_price(Uint128::from(100u128), tick_to_price(100000).unwrap())
.unwrap()
.u128(),
base_denom.clone(),
)],
},
],
expected_liquidity: vec![(1, Uint128::zero())],
Expand Down Expand Up @@ -631,15 +682,15 @@ fn test_place_limit_fill() {
expected_bank_msgs: vec![
BankMsg::Send {
to_address: "maker1".to_string(),
amount: vec![coin(25, "quote")],
amount: vec![coin(24, "quote")],
},
BankMsg::Send {
to_address: "maker2".to_string(),
amount: vec![coin(75, "quote")],
amount: vec![coin(74, "quote")],
},
BankMsg::Send {
to_address: "creator".to_string(),
amount: vec![coin(100, "base")],
amount: vec![coin(102, "base")],
},
],
expected_liquidity: vec![(1, Uint128::zero())],
Expand Down Expand Up @@ -678,15 +729,15 @@ fn test_place_limit_fill() {
expected_bank_msgs: vec![
BankMsg::Send {
to_address: "maker1".to_string(),
amount: vec![coin(25, "quote")],
amount: vec![coin(24, "quote")],
},
BankMsg::Send {
to_address: "maker2".to_string(),
amount: vec![coin(75, "quote")],
amount: vec![coin(74, "quote")],
},
BankMsg::Send {
to_address: "creator".to_string(),
amount: vec![coin(100, "base")],
amount: vec![coin(102, "base")],
},
],
expected_liquidity: vec![(1, Uint128::zero()), (2, Uint128::zero())],
Expand Down Expand Up @@ -725,15 +776,15 @@ fn test_place_limit_fill() {
expected_bank_msgs: vec![
BankMsg::Send {
to_address: "maker1".to_string(),
amount: vec![coin(25, "quote")],
amount: vec![coin(24, "quote")],
},
BankMsg::Send {
to_address: "maker2".to_string(),
amount: vec![coin(75, "quote")],
amount: vec![coin(74, "quote")],
},
BankMsg::Send {
to_address: "creator".to_string(),
amount: vec![coin(100, "base")],
amount: vec![coin(102, "base")],
},
],
expected_liquidity: vec![(1, Uint128::from(75u128))],
Expand Down Expand Up @@ -772,15 +823,15 @@ fn test_place_limit_fill() {
expected_bank_msgs: vec![
BankMsg::Send {
to_address: "maker1".to_string(),
amount: vec![coin(25, "quote")],
amount: vec![coin(24, "quote")],
},
BankMsg::Send {
to_address: "maker2".to_string(),
amount: vec![coin(150, "quote")],
amount: vec![coin(149, "quote")],
},
BankMsg::Send {
to_address: "creator".to_string(),
amount: vec![coin(175, "base")],
amount: vec![coin(177, "base")],
},
],
expected_liquidity: vec![(1, Uint128::zero()), (2, Uint128::from(825u128))],
Expand Down Expand Up @@ -1574,7 +1625,7 @@ fn test_resolve_fulfillments() {
// Check message is generated as expected
let mut order = order.clone();
let denom = orderbook.get_opposite_denom(&order.order_direction);
let msg = order.fill(denom, *amount, Decimal::one()).unwrap();
let msg = order.fill(denom, *amount).unwrap();

assert_eq!(response[idx], msg, "{}", format_test_name(test.name));
}
Expand Down
Loading
Loading