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Merged
codchen merged 3 commits into from
Jun 23, 2022
Merged

Pass order type to SettlementEntry #52

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5412260
Pass order type to SettlementEntry
codchen Jun 22, 2022
c59214a
tests
codchen Jun 22, 2022
9681c63
comments
codchen Jun 23, 2022
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1 change: 1 addition & 0 deletions proto/dex/enums.proto
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@ enum PositionEffect {
enum OrderType {
LIMIT = 0;
MARKET = 1;
LIQUIDATION = 2;
}

enum Denom {
Expand Down
1 change: 1 addition & 0 deletions proto/dex/settlement.proto
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Original file line number Diff line number Diff line change
Expand Up @@ -36,6 +36,7 @@ message SettlementEntry {
(gogoproto.nullable) = false,
(gogoproto.jsontag) = "leverage"
];
string orderType = 10 [(gogoproto.jsontag) = "order_type"];
}

message Settlements {
Expand Down
42 changes: 20 additions & 22 deletions x/dex/cache/cache.go
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Original file line number Diff line number Diff line change
Expand Up @@ -154,17 +154,16 @@ func NewOrders() *Orders {
}

type OrderPlacement struct {
Id uint64
Price sdk.Dec
Quantity sdk.Dec
Creator string
OrderType types.OrderType
Direction types.PositionDirection
Effect types.PositionEffect
PriceDenom types.Denom
AssetDenom types.Denom
Leverage sdk.Dec
Liquidation bool
Id uint64
Price sdk.Dec
Quantity sdk.Dec
Creator string
OrderType types.OrderType
Direction types.PositionDirection
Effect types.PositionEffect
PriceDenom types.Denom
AssetDenom types.Denom
Leverage sdk.Dec
}

type OrderPlacements struct {
Expand Down Expand Up @@ -211,17 +210,16 @@ func FromLiquidationOrder(liquidationOrder types.LiquidationOrder, orderId uint6
panic(err)
}
return OrderPlacement{
Id: orderId,
Price: types.ConvertDecToStandard(priceUnit, price),
Quantity: types.ConvertDecToStandard(assetUnit, liquidationOrder.Quantity),
Creator: liquidationOrder.Account,
OrderType: types.OrderType_MARKET,
Direction: direction,
Effect: types.PositionEffect_CLOSE,
PriceDenom: priceDenom,
AssetDenom: assetDenom,
Leverage: liquidationOrder.Leverage,
Liquidation: true,
Id: orderId,
Price: types.ConvertDecToStandard(priceUnit, price),
Quantity: types.ConvertDecToStandard(assetUnit, liquidationOrder.Quantity),
Creator: liquidationOrder.Account,
OrderType: types.OrderType_LIQUIDATION,
Direction: direction,
Effect: types.PositionEffect_CLOSE,
PriceDenom: priceDenom,
AssetDenom: assetDenom,
Leverage: liquidationOrder.Leverage,
}
}

Expand Down
34 changes: 34 additions & 0 deletions x/dex/exchange/limit_order_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -68,6 +68,7 @@ func TestMatchSingleOrder(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[1], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -77,6 +78,7 @@ func TestMatchSingleOrder(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
}

Expand Down Expand Up @@ -290,6 +292,7 @@ func TestMatchSingleOrderFromShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[1], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -299,6 +302,7 @@ func TestMatchSingleOrderFromShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
}

Expand Down Expand Up @@ -356,6 +360,7 @@ func TestMatchSingleOrderFromLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[1], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -365,6 +370,7 @@ func TestMatchSingleOrderFromLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
}

Expand Down Expand Up @@ -443,6 +449,7 @@ func TestMatchSingleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(95),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[1], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -452,6 +459,7 @@ func TestMatchSingleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(95),
ExpectedCostOrProceed: sdk.NewDec(90),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[2], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -461,6 +469,7 @@ func TestMatchSingleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[3], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -470,6 +479,7 @@ func TestMatchSingleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[4], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -479,6 +489,7 @@ func TestMatchSingleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[5], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -488,6 +499,7 @@ func TestMatchSingleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "ghi",
OrderType: types.OrderType_LIMIT,
})
}

Expand Down Expand Up @@ -566,6 +578,7 @@ func TestMatchSingleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(105),
ExpectedCostOrProceed: sdk.NewDec(110),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[1], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -575,6 +588,7 @@ func TestMatchSingleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(105),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[2], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -584,6 +598,7 @@ func TestMatchSingleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[3], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -593,6 +608,7 @@ func TestMatchSingleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[4], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -602,6 +618,7 @@ func TestMatchSingleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "ghi",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[5], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -611,6 +628,7 @@ func TestMatchSingleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
}

Expand Down Expand Up @@ -718,6 +736,7 @@ func TestMatchMultipleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(97),
ExpectedCostOrProceed: sdk.NewDec(104),
Account: "jkl",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[1], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -727,6 +746,7 @@ func TestMatchMultipleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(97),
ExpectedCostOrProceed: sdk.NewDec(90),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[2], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -736,6 +756,7 @@ func TestMatchMultipleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(95),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[3], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -745,6 +766,7 @@ func TestMatchMultipleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(95),
ExpectedCostOrProceed: sdk.NewDec(90),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[4], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -754,6 +776,7 @@ func TestMatchMultipleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[5], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -763,6 +786,7 @@ func TestMatchMultipleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "def",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[6], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -772,6 +796,7 @@ func TestMatchMultipleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[7], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -781,6 +806,7 @@ func TestMatchMultipleOrderFromMultipleShortBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "ghi",
OrderType: types.OrderType_LIMIT,
})
}

Expand Down Expand Up @@ -888,6 +914,7 @@ func TestMatchMultipleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(103),
ExpectedCostOrProceed: sdk.NewDec(110),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[1], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -897,6 +924,7 @@ func TestMatchMultipleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(103),
ExpectedCostOrProceed: sdk.NewDec(96),
Account: "jkl",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[2], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -906,6 +934,7 @@ func TestMatchMultipleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(105),
ExpectedCostOrProceed: sdk.NewDec(110),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[3], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -915,6 +944,7 @@ func TestMatchMultipleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(105),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[4], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -924,6 +954,7 @@ func TestMatchMultipleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[5], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -933,6 +964,7 @@ func TestMatchMultipleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[6], types.Settlement{
Direction: types.PositionDirection_LONG,
Expand All @@ -942,6 +974,7 @@ func TestMatchMultipleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "ghi",
OrderType: types.OrderType_LIMIT,
})
assert.Equal(t, *settlements[7], types.Settlement{
Direction: types.PositionDirection_SHORT,
Expand All @@ -951,5 +984,6 @@ func TestMatchMultipleOrderFromMultipleLongBook(t *testing.T) {
ExecutionCostOrProceed: sdk.NewDec(100),
ExpectedCostOrProceed: sdk.NewDec(100),
Account: "abc",
OrderType: types.OrderType_LIMIT,
})
}
16 changes: 15 additions & 1 deletion x/dex/exchange/market_order.go
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Original file line number Diff line number Diff line change
Expand Up @@ -44,7 +44,21 @@ func MatchMarketOrders(
executed.Mul(existingOrder.GetPrice()),
)
dirtyPrices.Add(existingOrder.GetPrice())
takerSettlements, makerSettlements := Settle(marketOrder.FormattedCreatorWithSuffix(), executed, existingOrder, direction, marketOrder.WorstPrice)

var orderType types.OrderType
if marketOrder.IsLiquidation {
orderType = types.OrderType_LIQUIDATION
} else {
orderType = types.OrderType_MARKET
}
takerSettlements, makerSettlements := Settle(
marketOrder.FormattedCreatorWithSuffix(),
executed,
existingOrder,
direction,
marketOrder.WorstPrice,
orderType,
)
*settlements = append(*settlements, makerSettlements...)
// taker settlements' clearing price will need to be adjusted after all market order executions finish
allTakerSettlements = append(allTakerSettlements, takerSettlements...)
Expand Down
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