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Fix market order clearing price calculation #46

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Merged
codchen merged 1 commit into from
Jun 16, 2022
Merged

Fix market order clearing price calculation #46

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16 changes: 13 additions & 3 deletions x/dex/exchange/market_order.go
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@ func MatchMarketOrders(
settlements *[]*types.Settlement,
) (sdk.Dec, sdk.Dec) {
var totalExecuted, totalPrice sdk.Dec = sdk.ZeroDec(), sdk.ZeroDec()
allTakerSettlements := []*types.Settlement{}
for idx, marketOrder := range marketOrders {
for i := range orderBook {
var existingOrder types.OrderBook
Expand All @@ -40,16 +41,25 @@ func MatchMarketOrders(
marketOrder.Quantity = marketOrder.Quantity.Sub(executed)
totalExecuted = totalExecuted.Add(executed)
totalPrice = totalPrice.Add(
executed.Mul(existingOrder.GetPrice().Add(marketOrder.WorstPrice)).Quo(sdk.NewDec(2)),
executed.Mul(existingOrder.GetPrice()),
)
dirtyPrices.Add(existingOrder.GetPrice())
newSettlements := Settle(marketOrder.FormattedCreatorWithSuffix(), executed, existingOrder, direction, marketOrder.WorstPrice)
*settlements = append(*settlements, newSettlements...)
takerSettlements, makerSettlements := Settle(marketOrder.FormattedCreatorWithSuffix(), executed, existingOrder, direction, marketOrder.WorstPrice)
*settlements = append(*settlements, makerSettlements...)
// taker settlements' clearing price will need to be adjusted after all market order executions finish
allTakerSettlements = append(allTakerSettlements, takerSettlements...)
if marketOrder.Quantity.IsZero() {
break
}
}
marketOrders[idx].Quantity = marketOrder.Quantity
}
if totalExecuted.IsPositive() {
clearingPrice := totalPrice.Quo(totalExecuted)
for _, settlement := range allTakerSettlements {
settlement.ExecutionCostOrProceed = clearingPrice
}
*settlements = append(*settlements, allTakerSettlements...)
}
return totalPrice, totalExecuted
}
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