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Fixed #125: Fix price bug when an ask taker matched with a bid maker #130

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Merged
Marchosiax merged 1 commit into from
Oct 25, 2021
Merged

Fixed #125: Fix price bug when an ask taker matched with a bid maker #130

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4 changes: 2 additions & 2 deletions ...accountant-core/src/main/kotlin/co/nilin/opex/accountant/core/service/TradeManagerImpl.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -66,7 +66,7 @@ open class TradeManagerImpl(
trade.matchedQuantity.toBigDecimal().multiply(makerOrder.leftSideFraction.toBigDecimal())
} else {
trade.matchedQuantity.toBigDecimal().multiply(makerOrder.leftSideFraction.toBigDecimal())
.multiply(trade.takerPrice.toBigDecimal()).multiply(makerOrder.rightSideFraction.toBigDecimal())
.multiply(trade.makerPrice.toBigDecimal()).multiply(makerOrder.rightSideFraction.toBigDecimal())
}

val makerPCFeeCoefficient: Double = if (makerOrder.direction == OrderDirection.ASK) {
Expand Down Expand Up @@ -233,7 +233,7 @@ open class TradeManagerImpl(
orderPersister.save(makerOrder)
log.info("maker order saved {}", makerOrder)
richTradePublisher.publish(
co.nilin.opex.accountant.core.inout.RichTrade(
RichTrade(
trade.tradeId,
trade.pair.toString(),
trade.takerOuid,
Expand Down
112 changes: 49 additions & 63 deletions ...untant-core/src/test/kotlin/co/nilin/opex/accountant/core/service/TradeManagerImplTest.kt
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -61,97 +61,83 @@ internal class TradeManagerImplTest() {
init {
MockitoAnnotations.openMocks(this)
orderManager = OrderManagerImpl(
pairConfigLoader,
financialActionPersister,
financeActionLoader,
orderPersister,
tempEventPersister,
tempEventRepublisher,
richOrderPublisher
pairConfigLoader,
financialActionPersister,
financeActionLoader,
orderPersister,
tempEventPersister,
tempEventRepublisher,
richOrderPublisher
)
tradeManager = TradeManagerImpl(
pairStaticRateLoader,
financialActionPersister,
financeActionLoader,
orderPersister,
tempEventPersister,
richTradePublisher,
walletProxy,
"pcoin",
"0x0"
pairStaticRateLoader,
financialActionPersister,
financeActionLoader,
orderPersister,
tempEventPersister,
richTradePublisher,
walletProxy,
"pcoin",
"0x0"
)
runBlocking {
Mockito.`when`(tempEventPersister.loadTempEvents(ArgumentMatchers.anyString())).thenReturn(emptyList())
}
}

@Test
fun givenMatchOrders_whenTradeCreated_thenFAMatched() {
fun givenSellOrder_WhenMatchBuyOrderCome_thenFAMatched() {
runBlocking {
//given
val pair = Pair("eth", "btc")
val pairConfig = co.nilin.opex.accountant.core.model.PairConfig(
pair.toString(), pair.leftSideName, pair.rightSideName, 1.0, 0.001
val pairConfig = PairConfig(
pair.toString(), pair.leftSideName, pair.rightSideName, 1.0, 0.01
)
val makerSubmitOrderEvent = SubmitOrderEvent(
"mouid", "muuid", null, pair, 29, 60, 0, OrderDirection.ASK, MatchConstraint.GTC, OrderType.LIMIT_ORDER
"mouid", "muuid", null, pair, 60000, 1, 0, OrderDirection.ASK, MatchConstraint.GTC, OrderType.LIMIT_ORDER
)
prepareOrder(pair, pairConfig, makerSubmitOrderEvent, 0.1, 0.12)

val takerSubmitOrderEvent = SubmitOrderEvent(
"touid", "tuuid", null, pair, 30, 14, 0, OrderDirection.BID, MatchConstraint.GTC, OrderType.LIMIT_ORDER
"touid", "tuuid", null, pair, 70000, 1, 0, OrderDirection.BID, MatchConstraint.GTC, OrderType.LIMIT_ORDER
)

prepareOrder(pair, pairConfig, takerSubmitOrderEvent, 0.08, 0.1)

val tradeEvent = makeTradeEvent(pair, takerSubmitOrderEvent, makerSubmitOrderEvent)
//when
val tradeFinancialActions = tradeManager.handleTrade(tradeEvent)

Assertions.assertEquals(4, tradeFinancialActions.size)
Assertions.assertEquals( (makerSubmitOrderEvent.price * pairConfig.rightSideFraction), tradeFinancialActions[0].amount.toDouble())
}
}

@Test
fun givenMatchOrders2_whenTradeCreated_thenFAMatched() {
fun givenBuyOrder_WhenMatchSellOrderCome_thenFAMatched() {
runBlocking {
//given
val pair = Pair("eth", "btc")
val pairConfig = co.nilin.opex.accountant.core.model.PairConfig(
pair.toString(), pair.leftSideName, pair.rightSideName, 0.000001, 0.000001
val pairConfig = PairConfig(
pair.toString(), pair.leftSideName, pair.rightSideName, 1.0, 0.001
)
val makerSubmitOrderEvent = SubmitOrderEvent(
"mouid",
"muuid",
null,
pair,
33333,
5000000,
0,
OrderDirection.ASK,
MatchConstraint.GTC,
OrderType.LIMIT_ORDER
"mouid", "muuid", null, pair, 70000, 1, 0, OrderDirection.BID, MatchConstraint.GTC, OrderType.LIMIT_ORDER
)
prepareOrder(pair, pairConfig, makerSubmitOrderEvent, 0.8 * 0.001, 1.0 * 0.001)
prepareOrder(pair, pairConfig, makerSubmitOrderEvent, 0.1, 0.12)

val takerSubmitOrderEvent = SubmitOrderEvent(
"touid",
"tuuid",
null,
pair,
34482,
1000000,
0,
OrderDirection.BID,
MatchConstraint.GTC,
OrderType.LIMIT_ORDER
"touid", "tuuid", null, pair, 60000, 1, 0, OrderDirection.ASK, MatchConstraint.GTC, OrderType.LIMIT_ORDER
)

prepareOrder(pair, pairConfig, takerSubmitOrderEvent, 0.8 * 0.001, 1.0 * 0.001)
prepareOrder(pair, pairConfig, takerSubmitOrderEvent, 0.08, 0.1)

val tradeEvent = makeTradeEvent(pair, takerSubmitOrderEvent, makerSubmitOrderEvent)
//when
val tradeFinancialActions = tradeManager.handleTrade(tradeEvent)

Assertions.assertEquals(4, tradeFinancialActions.size)
Assertions.assertEquals( makerSubmitOrderEvent.price * pairConfig.rightSideFraction, tradeFinancialActions[2].amount.toDouble())
}
}

Expand All @@ -161,36 +147,36 @@ internal class TradeManagerImplTest() {
makerSubmitOrderEvent: SubmitOrderEvent
): TradeEvent {
val tradeEvent = TradeEvent(
0,
pair,
takerSubmitOrderEvent.ouid,
takerSubmitOrderEvent.uuid,
takerSubmitOrderEvent.orderId ?: -1,
takerSubmitOrderEvent.direction,
takerSubmitOrderEvent.price,
0,
makerSubmitOrderEvent.ouid,
makerSubmitOrderEvent.uuid,
makerSubmitOrderEvent.orderId ?: 1,
makerSubmitOrderEvent.direction,
makerSubmitOrderEvent.price,
makerSubmitOrderEvent.quantity - takerSubmitOrderEvent.quantity,
takerSubmitOrderEvent.quantity
0,
pair,
takerSubmitOrderEvent.ouid,
takerSubmitOrderEvent.uuid,
takerSubmitOrderEvent.orderId ?: -1,
takerSubmitOrderEvent.direction,
takerSubmitOrderEvent.price,
0,
makerSubmitOrderEvent.ouid,
makerSubmitOrderEvent.uuid,
makerSubmitOrderEvent.orderId ?: 1,
makerSubmitOrderEvent.direction,
makerSubmitOrderEvent.price,
makerSubmitOrderEvent.quantity - takerSubmitOrderEvent.quantity,
takerSubmitOrderEvent.quantity
)
return tradeEvent
}

private fun prepareOrder(
pair: Pair,
pairConfig: co.nilin.opex.accountant.core.model.PairConfig,
pairConfig: PairConfig,
submitOrderEvent: SubmitOrderEvent,
makerFee: Double,
takerFee: Double
) {
runBlocking {
Mockito.`when`(pairConfigLoader.load(pair.toString(), submitOrderEvent.direction, ""))
.thenReturn(
co.nilin.opex.accountant.core.model.PairFeeConfig(
PairFeeConfig(
pairConfig,
submitOrderEvent.direction.toString(),
"",
Expand Down