execution

package
v0.64.0 Latest Latest
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 Go to latest Published: Dec 8, 2022 License: MIT Imports: 37 Imported by: 0

Documentation

Index

Constants

View Source 
const (
	// PriceMoveMid used to indicate that the mid price has moved.
	PriceMoveMid = 1

	// PriceMoveBestBid used to indicate that the best bid price has moved.
	PriceMoveBestBid = 2

	// PriceMoveBestAsk used to indicate that the best ask price has moved.
	PriceMoveBestAsk = 4

	// PriceMoveAll used to indicate everything has moved.
	PriceMoveAll = PriceMoveMid + PriceMoveBestBid + PriceMoveBestAsk
)
View Source 
const InitialOrderVersion = 1

InitialOrderVersion is set on `Version` field for every new order submission read from the network.

Variables

View Source 
var (
	// ErrMarketDoesNotExist is returned when the market does not exist.
	ErrMarketDoesNotExist = errors.New("market does not exist")

	// ErrNoMarketID is returned when invalid (empty) market id was supplied during market creation.
	ErrNoMarketID = errors.New("no valid market id was supplied")

	// ErrInvalidOrderCancellation is returned when an incomplete order cancellation request is used.
	ErrInvalidOrderCancellation = errors.New("invalid order cancellation")
)
View Source 
var (
	// ErrMarketClosed signals that an action have been tried to be applied on a closed market.
	ErrMarketClosed = errors.New("market closed")
	// ErrPartyDoNotExists signals that the party used does not exists.
	ErrPartyDoNotExists = errors.New("party does not exist")
	// ErrMarginCheckFailed signals that a margin check for a position failed.
	ErrMarginCheckFailed = errors.New("margin check failed")
	// ErrMarginCheckInsufficient signals that a margin had not enough funds.
	ErrMarginCheckInsufficient = errors.New("insufficient margin")
	// ErrMissingGeneralAccountForParty ...
	ErrMissingGeneralAccountForParty = errors.New("missing general account for party")
	// ErrNotEnoughVolumeToZeroOutNetworkOrder ...
	ErrNotEnoughVolumeToZeroOutNetworkOrder = errors.New("not enough volume to zero out network order")
	// ErrInvalidAmendRemainQuantity signals incorrect remaining qty for a reduce by amend.
	ErrInvalidAmendRemainQuantity = errors.New("incorrect remaining qty for a reduce by amend")
	// ErrEmptyMarketID is returned if processed market has an empty id.
	ErrEmptyMarketID = errors.New("invalid market id (empty)")
	// ErrInvalidOrderType is returned if processed order has an invalid order type.
	ErrInvalidOrderType = errors.New("invalid order type")
	// ErrInvalidExpiresAtTime is returned if the expire time is before the createdAt time.
	ErrInvalidExpiresAtTime = errors.New("invalid expiresAt time")
	// ErrGFAOrderReceivedDuringContinuousTrading is returned is a gfa order hits the market when the market is in continuous trading state.
	ErrGFAOrderReceivedDuringContinuousTrading = errors.New("gfa order received during continuous trading")
	// ErrGFNOrderReceivedAuctionTrading is returned if a gfn order hits the market when in auction state.
	ErrGFNOrderReceivedAuctionTrading = errors.New("gfn order received during auction trading")
	// ErrIOCOrderReceivedAuctionTrading is returned if a ioc order hits the market when in auction state.
	ErrIOCOrderReceivedAuctionTrading = errors.New("ioc order received during auction trading")
	// ErrFOKOrderReceivedAuctionTrading is returned if a fok order hits the market when in auction state.
	ErrFOKOrderReceivedAuctionTrading = errors.New("fok order received during auction trading")
	// ErrUnableToReprice we are unable to get a price required to reprice.
	ErrUnableToReprice = errors.New("unable to reprice")
	// ErrOrderNotFound we cannot find the order in the market.
	ErrOrderNotFound = errors.New("unable to find the order in the market")
	// ErrTradingNotAllowed no trading related functionalities are allowed in the current state.
	ErrTradingNotAllowed = errors.New("trading not allowed")
	// ErrCommitmentSubmissionNotAllowed no commitment submission are permitted in the current state.
	ErrCommitmentSubmissionNotAllowed = errors.New("commitment submission not allowed")
	// ErrNotEnoughStake is returned when a LP update results in not enough commitment.
	ErrNotEnoughStake = errors.New("commitment submission rejected, not enough stake")
	// ErrPartyNotLiquidityProvider is returned when a LP update or cancel does not match an LP party.
	ErrPartyNotLiquidityProvider = errors.New("party is not a liquidity provider")
	// ErrPartyAlreadyLiquidityProvider is returned when a LP is submitted by a party which is already LP.
	ErrPartyAlreadyLiquidityProvider = errors.New("party is already a liquidity provider")
	// ErrCannotRejectMarketNotInProposedState.
	ErrCannotRejectMarketNotInProposedState = errors.New("cannot reject a market not in proposed state")
	// ErrCannotStateOpeningAuctionForMarketNotInProposedState.
	ErrCannotStartOpeningAuctionForMarketNotInProposedState = errors.New("cannot start the opening auction for a market not in proposed state")
	// ErrCannotRepriceDuringAuction.
	ErrCannotRepriceDuringAuction = errors.New("cannot reprice during auction")
)
View Source 
var ErrBondSlashing = errors.New("bond slashing")

ErrBondSlashing - just indicates that we had to penalize the party due to insufficient funds, and as such, we have to cancel their LP.

View Source 
var ErrCommitmentAmountTooLow = errors.New("commitment amount is too low")
View Source 
var (
	ErrSnapshotKeyDoesNotExist = errors.New("unknown key for market activity tracker snapshot")
)

Functions

This section is empty.

Types

type Assets 

type Assets interface {
	Get(assetID string) (*assets.Asset, error)
}

type AuctionState 

type AuctionState interface {
	price.AuctionState
	lmon.AuctionState
	// are we in auction, and what auction are we in?
	InAuction() bool
	IsOpeningAuction() bool
	IsPriceAuction() bool
	IsLiquidityAuction() bool
	IsFBA() bool
	IsMonitorAuction() bool
	// is it the start/end of an auction
	AuctionStart() bool
	CanLeave() bool
	// when does the auction start/end
	ExpiresAt() *time.Time
	Start() time.Time
	// signal we've started/ended the auction
	AuctionStarted(ctx context.Context, time time.Time) *events.Auction
	AuctionExtended(ctx context.Context, time time.Time) *events.Auction
	ExtendAuction(delta types.AuctionDuration)
	Left(ctx context.Context, now time.Time) *events.Auction
	// get some data
	Mode() types.MarketTradingMode
	Trigger() types.AuctionTrigger
	ExtensionTrigger() types.AuctionTrigger
	// UpdateMinDuration works out whether or not the current auction period (if applicable) should be extended
	UpdateMinDuration(ctx context.Context, d time.Duration) *events.Auction
	// Snapshot
	GetState() *types.AuctionState
	Changed() bool
}

AuctionState ...

type Broker 

type Broker interface {
	Send(event events.Event)
	SendBatch(events []events.Event)
}

Broker (no longer need to mock this, use the broker/mocks wrapper).

type Collateral 

type Collateral interface {
	MarketCollateral
	AssetExists(string) bool
	CreateMarketAccounts(context.Context, string, string) (string, string, error)
}

type Config 

type Config struct {
	Level encoding.LogLevel `long:"log-level"`

	Matching   matching.Config   `group:"Matching" namespace:"matching"`
	Risk       risk.Config       `group:"Risk" namespace:"risk"`
	Position   positions.Config  `group:"Position" namespace:"position"`
	Settlement settlement.Config `group:"Settlement" namespace:"settlement"`
	Fee        fee.Config        `group:"Fee" namespace:"fee"`
	Liquidity  liquidity.Config  `group:"Liquidity" namespace:"liquidity"`
}

Config is the configuration of the execution package.

func NewDefaultConfig 

func NewDefaultConfig() Config

NewDefaultConfig creates an instance of the package specific configuration, given a pointer to a logger instance to be used for logging within the package.

type EligibilityChecker 

type EligibilityChecker interface {
	IsEligibleForProposerBonus(marketID string, volumeTraded *num.Uint) bool
}

type Engine 

type Engine struct {
	Config
	// contains filtered or unexported fields
}

Engine is the execution engine.

func NewEngine 

func NewEngine(
	log *logging.Logger,
	executionConfig Config,
	ts TimeService,
	collateral Collateral,
	oracle OracleEngine,
	broker Broker,
	stateVarEngine StateVarEngine,
	marketActivityTracker *MarketActivityTracker,
	assets Assets,
) *Engine

NewEngine takes stores and engines and returns a new execution engine to process new orders, etc.

func (*Engine) AmendLiquidityProvision 

func (e *Engine) AmendLiquidityProvision(ctx context.Context, lpa *types.LiquidityProvisionAmendment, party string,
	deterministicID string,
) (returnedErr error)

func (*Engine) AmendOrder 

func (e *Engine) AmendOrder(
	ctx context.Context,
	amendment *types.OrderAmendment,
	party string,
	idgen IDGenerator,
) (confirmation *types.OrderConfirmation, returnedErr error)

AmendOrder takes order amendment details and attempts to amend the order if it exists and is in a editable state.

func (*Engine) BlockEnd added in v0.63.0 

func (e *Engine) BlockEnd(ctx context.Context)

func (*Engine) CancelLiquidityProvision 

func (e *Engine) CancelLiquidityProvision(ctx context.Context, cancel *types.LiquidityProvisionCancellation, party string) (returnedErr error)

func (*Engine) CancelOrder 

func (e *Engine) CancelOrder(
	ctx context.Context,
	cancel *types.OrderCancellation,
	party string,
	idgen IDGenerator,
) (_ []*types.OrderCancellationConfirmation, returnedErr error)

CancelOrder takes order details and attempts to cancel if it exists in matching engine, stores etc.

func (*Engine) GetAsset 

func (e *Engine) GetAsset(assetID string) (types.Asset, bool)

func (*Engine) GetEquityLikeShareForMarketAndParty 

func (e *Engine) GetEquityLikeShareForMarketAndParty(market, party string) (num.Decimal, bool)

GetEquityLikeShareForMarketAndParty return the equity-like shares of the given party in the given market. If the market doesn't exist, it returns false.

func (*Engine) GetMarket 

func (e *Engine) GetMarket(market string) (types.Market, bool)

func (*Engine) GetMarketCounters added in v0.63.0 

func (e *Engine) GetMarketCounters() map[string]*types.MarketCounters

GetMarketCounters returns the per-market counts used for gas estimation.

func (*Engine) GetMarketData 

func (e *Engine) GetMarketData(mktID string) (types.MarketData, error)

func (*Engine) GetMarketState 

func (e *Engine) GetMarketState(mktID string) (types.MarketState, error)

func (*Engine) GetState 

func (e *Engine) GetState(_ string) ([]byte, []types.StateProvider, error)

func (*Engine) Hash 

func (e *Engine) Hash() []byte

func (*Engine) IsEligibleForProposerBonus 

func (e *Engine) IsEligibleForProposerBonus(marketID string, value *num.Uint) bool

IsEligibleForProposerBonus checks if the given value is greater than that market quantum * quantum_multiplier.

func (*Engine) Keys 

func (e *Engine) Keys() []string

func (*Engine) LoadState 

func (e *Engine) LoadState(ctx context.Context, payload *types.Payload) ([]types.StateProvider, error)

func (*Engine) MarketExists 

func (e *Engine) MarketExists(market string) bool

func (*Engine) Namespace 

func (e *Engine) Namespace() types.SnapshotNamespace

func (*Engine) OnMarkPriceUpdateMaximumFrequency added in v0.63.0 

func (e *Engine) OnMarkPriceUpdateMaximumFrequency(ctx context.Context, d time.Duration) error

func (*Engine) OnMarketAuctionMinimumDurationUpdate 

func (e *Engine) OnMarketAuctionMinimumDurationUpdate(ctx context.Context, d time.Duration) error

func (*Engine) OnMarketCreationQuantumMultipleUpdate 

func (e *Engine) OnMarketCreationQuantumMultipleUpdate(ctx context.Context, d num.Decimal) error

func (*Engine) OnMarketFeeFactorsInfrastructureFeeUpdate 

func (e *Engine) OnMarketFeeFactorsInfrastructureFeeUpdate(ctx context.Context, d num.Decimal) error

func (*Engine) OnMarketFeeFactorsMakerFeeUpdate 

func (e *Engine) OnMarketFeeFactorsMakerFeeUpdate(ctx context.Context, d num.Decimal) error

func (*Engine) OnMarketLiquidityBondPenaltyUpdate 

func (e *Engine) OnMarketLiquidityBondPenaltyUpdate(ctx context.Context, d num.Decimal) error

func (*Engine) OnMarketLiquidityMaximumLiquidityFeeFactorLevelUpdate 

func (e *Engine) OnMarketLiquidityMaximumLiquidityFeeFactorLevelUpdate(
	_ context.Context, d num.Decimal,
) error

func (*Engine) OnMarketLiquidityProvidersFeeDistributionTimeStep 

func (e *Engine) OnMarketLiquidityProvidersFeeDistributionTimeStep(_ context.Context, d time.Duration) error

func (*Engine) OnMarketLiquidityProvisionShapesMaxSizeUpdate 

func (e *Engine) OnMarketLiquidityProvisionShapesMaxSizeUpdate(
	_ context.Context, v int64,
) error

func (*Engine) OnMarketLiquidityTargetStakeTriggeringRatio 

func (e *Engine) OnMarketLiquidityTargetStakeTriggeringRatio(ctx context.Context, d num.Decimal) error

func (*Engine) OnMarketMarginScalingFactorsUpdate 

func (e *Engine) OnMarketMarginScalingFactorsUpdate(ctx context.Context, v interface{}) error

func (*Engine) OnMarketMinProbabilityOfTradingForLPOrdersUpdate 

func (e *Engine) OnMarketMinProbabilityOfTradingForLPOrdersUpdate(ctx context.Context, d num.Decimal) error

func (*Engine) OnMarketProbabilityOfTradingTauScalingUpdate 

func (e *Engine) OnMarketProbabilityOfTradingTauScalingUpdate(ctx context.Context, d num.Decimal) error

func (*Engine) OnMarketTargetStakeScalingFactorUpdate 

func (e *Engine) OnMarketTargetStakeScalingFactorUpdate(_ context.Context, d num.Decimal) error

func (*Engine) OnMarketTargetStakeTimeWindowUpdate 

func (e *Engine) OnMarketTargetStakeTimeWindowUpdate(_ context.Context, d time.Duration) error

func (*Engine) OnMarketValueWindowLengthUpdate 

func (e *Engine) OnMarketValueWindowLengthUpdate(_ context.Context, d time.Duration) error

func (*Engine) OnMaxPeggedOrderUpdate added in v0.63.0 

func (e *Engine) OnMaxPeggedOrderUpdate(ctx context.Context, max *num.Uint) error

func (*Engine) OnMinLpStakeQuantumMultipleUpdate 

func (e *Engine) OnMinLpStakeQuantumMultipleUpdate(ctx context.Context, d num.Decimal) error

func (*Engine) OnStateLoaded 

func (e *Engine) OnStateLoaded(ctx context.Context) error

func (*Engine) OnSuppliedStakeToObligationFactorUpdate 

func (e *Engine) OnSuppliedStakeToObligationFactorUpdate(_ context.Context, d num.Decimal) error

func (*Engine) OnTick 

func (e *Engine) OnTick(ctx context.Context, t time.Time)

func (*Engine) RejectMarket 

func (e *Engine) RejectMarket(ctx context.Context, marketID string) error

RejectMarket will stop the execution of the market and refund into the general account any funds in margins accounts from any parties This works only if the market is in a PROPOSED STATE.

func (*Engine) ReloadConf 

func (e *Engine) ReloadConf(cfg Config)

ReloadConf updates the internal configuration of the execution engine and its dependencies.

func (*Engine) RestoreMarket 

func (e *Engine) RestoreMarket(ctx context.Context, marketConfig *types.Market) error

RestoreMarket restores a new market from proposal checkpoint.

func (*Engine) StartOpeningAuction 

func (e *Engine) StartOpeningAuction(ctx context.Context, marketID string) error

StartOpeningAuction will start the opening auction of the given market. This will work only if the market is currently in a PROPOSED state.

func (*Engine) Stopped 

func (e *Engine) Stopped() bool

func (*Engine) SubmitLiquidityProvision 

func (e *Engine) SubmitLiquidityProvision(
	ctx context.Context,
	sub *types.LiquidityProvisionSubmission,
	party, deterministicID string,
) (returnedErr error)

func (*Engine) SubmitMarket 

func (e *Engine) SubmitMarket(ctx context.Context, marketConfig *types.Market, proposer string) error

SubmitMarket submits a new market configuration to the network.

func (*Engine) SubmitOrder 

func (e *Engine) SubmitOrder(
	ctx context.Context,
	submission *types.OrderSubmission,
	party string,
	idgen IDGenerator,
	orderID string,
) (confirmation *types.OrderConfirmation, returnedErr error)

SubmitOrder checks the incoming order and submits it to a Vega market.

func (*Engine) UpdateMarket 

func (e *Engine) UpdateMarket(ctx context.Context, marketConfig *types.Market) error

UpdateMarket will update an existing market configuration.

type EpochEngine 

type EpochEngine interface {
	NotifyOnEpoch(f func(context.Context, types.Epoch), r func(context.Context, types.Epoch))
}

type EquityShares 

type EquityShares struct {
	// contains filtered or unexported fields
}

EquityShares module controls the Equity sharing algorithm described on the spec: https://github.com/vegaprotocol/product/blob/02af55e048a92a204e9ee7b7ae6b4475a198c7ff/specs/0042-setting-fees-and-rewarding-lps.md#calculating-liquidity-provider-equity-like-share

func NewEquityShares 

func NewEquityShares(mvp num.Decimal) *EquityShares

func NewEquitySharesFromSnapshot 

func NewEquitySharesFromSnapshot(state *types.EquityShare) *EquityShares

func (*EquityShares) AllShares 

func (es *EquityShares) AllShares() map[string]num.Decimal

AllShares returns the ratio of equity for each party on the market.

func (*EquityShares) AvgEntryValuation 

func (es *EquityShares) AvgEntryValuation(id string) num.Decimal

AvgEntryValuation returns the Average Entry Valuation for a given party.

func (*EquityShares) AvgTradeValue added in v0.55.0 

func (es *EquityShares) AvgTradeValue(avg num.Decimal) *EquityShares

func (EquityShares) Changed 

func (es EquityShares) Changed() bool

func (*EquityShares) GetState 

func (es *EquityShares) GetState() *types.EquityShare

func (*EquityShares) GetTotalVStake added in v0.56.0 

func (es *EquityShares) GetTotalVStake() num.Decimal

func (*EquityShares) OpeningAuctionEnded 

func (es *EquityShares) OpeningAuctionEnded()

OpeningAuctionEnded signal to the EquityShare that the opening auction has ended.

func (*EquityShares) SetPartyStake 

func (es *EquityShares) SetPartyStake(id string, newStakeU *num.Uint)

SetPartyStake sets LP values for a given party.

func (*EquityShares) SharesExcept 

func (es *EquityShares) SharesExcept(except map[string]struct{}) map[string]num.Decimal

SharesExcept returns the ratio of equity for each party on the market, except the ones listed in parameter.

func (*EquityShares) SharesFromParty 

func (es *EquityShares) SharesFromParty(party string) num.Decimal

SharesFromParty returns the equity-like shares of a given party on the market.

func (*EquityShares) UpdateVStake added in v0.55.0 

func (es *EquityShares) UpdateVStake()

type ExpiringOrders 

type ExpiringOrders struct {
	// contains filtered or unexported fields
}

func NewExpiringOrders 

func NewExpiringOrders() *ExpiringOrders

func NewExpiringOrdersFromState 

func NewExpiringOrdersFromState(orders []*types.Order) *ExpiringOrders

func (ExpiringOrders) Changed 

func (a ExpiringOrders) Changed() bool

func (*ExpiringOrders) Expire 

func (a *ExpiringOrders) Expire(ts int64) []string

func (*ExpiringOrders) GetExpiryingOrderCount 

func (a *ExpiringOrders) GetExpiryingOrderCount() int

func (*ExpiringOrders) GetState 

func (a *ExpiringOrders) GetState() []*types.Order

func (*ExpiringOrders) Insert 

func (a *ExpiringOrders) Insert(
	orderID string, ts int64,
)

func (*ExpiringOrders) RemoveOrder 

func (a *ExpiringOrders) RemoveOrder(expiresAt int64, orderID string) bool

type FeeSplitter 

type FeeSplitter struct {
	// contains filtered or unexported fields
}

func NewFeeSplitter 

func NewFeeSplitter() *FeeSplitter

func NewFeeSplitterFromSnapshot 

func NewFeeSplitterFromSnapshot(fs *types.FeeSplitter, now time.Time) *FeeSplitter

func (*FeeSplitter) AddTradeValue 

func (fs *FeeSplitter) AddTradeValue(v *num.Uint)

func (*FeeSplitter) AvgTradeValue added in v0.55.0 

func (fs *FeeSplitter) AvgTradeValue() num.Decimal

func (*FeeSplitter) Changed 

func (fs *FeeSplitter) Changed() bool

func (*FeeSplitter) Elapsed 

func (fs *FeeSplitter) Elapsed() time.Duration

Elapsed returns the distance (in duration) from TimeWindowStart and CurrentTime.

func (*FeeSplitter) GetState 

func (fs *FeeSplitter) GetState() *types.FeeSplitter

func (*FeeSplitter) MarketValueProxy 

func (fs *FeeSplitter) MarketValueProxy(mvwl time.Duration, totalStakeU *num.Uint) num.Decimal

MarketValueProxy returns the market value proxy according to the spec: https://github.com/vegaprotocol/product/blob/master/specs/0042-setting-fees-and-rewarding-lps.md

func (*FeeSplitter) SetCurrentTime 

func (fs *FeeSplitter) SetCurrentTime(t time.Time) error

func (*FeeSplitter) TimeWindowStart 

func (fs *FeeSplitter) TimeWindowStart(t time.Time)

TimeWindowStart starts or restarts (if active) a current time window. This sets the internal timers to `t` and resets the accumulated trade values.

type IDGenerator 

type IDGenerator interface {
	NextID() string
}

type LiquidityMonitor 

type LiquidityMonitor interface {
	CheckLiquidity(as lmon.AuctionState, t time.Time, currentStake *num.Uint, trades []*types.Trade, rf types.RiskFactor, markPrice *num.Uint, bestStaticBidVolume, bestStaticAskVolume uint64, persistent bool) bool
	SetMinDuration(d time.Duration)
	UpdateTargetStakeTriggerRatio(ctx context.Context, ratio num.Decimal)
	UpdateParameters(*types.LiquidityMonitoringParameters)
}

LiquidityMonitor.

type Market 

type Market struct {
	// contains filtered or unexported fields
}

Market represents an instance of a market in vega and is in charge of calling the engines in order to process all transactions.

func NewMarket 

func NewMarket(
	ctx context.Context,
	log *logging.Logger,
	riskConfig risk.Config,
	positionConfig positions.Config,
	settlementConfig settlement.Config,
	matchingConfig matching.Config,
	feeConfig fee.Config,
	liquidityConfig liquidity.Config,
	collateralEngine MarketCollateral,
	oracleEngine products.OracleEngine,
	mkt *types.Market,
	timeService TimeService,
	broker Broker,
	as *monitor.AuctionState,
	stateVarEngine StateVarEngine,
	marketActivityTracker *MarketActivityTracker,
	assetDetails *assets.Asset,
	peggedOrderNotify func(int64),
) (*Market, error)

NewMarket creates a new market using the market framework configuration and creates underlying engines.

func NewMarketFromSnapshot 

func NewMarketFromSnapshot(
	ctx context.Context,
	log *logging.Logger,
	em *types.ExecMarket,
	riskConfig risk.Config,
	positionConfig positions.Config,
	settlementConfig settlement.Config,
	matchingConfig matching.Config,
	feeConfig fee.Config,
	liquidityConfig liquidity.Config,
	collateralEngine MarketCollateral,
	oracleEngine products.OracleEngine,
	timeService TimeService,
	broker Broker,
	stateVarEngine StateVarEngine,
	assetDetails *assets.Asset,
	marketActivityTracker *MarketActivityTracker,
	peggedOrderNotify func(int64),
) (*Market, error)

func (*Market) AmendLiquidityProvision 

func (m *Market) AmendLiquidityProvision(ctx context.Context, lpa *types.LiquidityProvisionAmendment, party string, deterministicID string) (err error)

AmendLiquidityProvision forwards a LiquidityProvisionAmendment to the Liquidity Engine.

func (*Market) AmendOrder 

func (m *Market) AmendOrder(
	ctx context.Context,
	orderAmendment *types.OrderAmendment,
	party string,
	deterministicID string,
) (oc *types.OrderConfirmation, _ error,
)

AmendOrder amend an existing order from the order book.

func (*Market) AmendOrderWithIDGenerator added in v0.55.0 

func (m *Market) AmendOrderWithIDGenerator(
	ctx context.Context,
	orderAmendment *types.OrderAmendment,
	party string,
	idgen IDGenerator,
) (oc *types.OrderConfirmation, _ error,
)

func (*Market) BondPenaltyFactorUpdate 

func (m *Market) BondPenaltyFactorUpdate(ctx context.Context, d num.Decimal)

func (*Market) CanLeaveOpeningAuction 

func (m *Market) CanLeaveOpeningAuction() bool

CanLeaveOpeningAuction checks if the market can leave the opening auction based on whether floating point consensus has been reached on all 3 vars.

func (*Market) CancelAllOrders 

func (m *Market) CancelAllOrders(ctx context.Context, partyID string) ([]*types.OrderCancellationConfirmation, error)

func (*Market) CancelLiquidityProvision 

func (m *Market) CancelLiquidityProvision(ctx context.Context, cancel *types.LiquidityProvisionCancellation, party string) (err error)

CancelLiquidityProvision forwards a LiquidityProvisionCancel to the Liquidity Engine.

func (*Market) CancelOrder 

func (m *Market) CancelOrder(
	ctx context.Context,
	partyID, orderID string, deterministicID string,
) (oc *types.OrderCancellationConfirmation, _ error)

func (*Market) CancelOrderWithIDGenerator added in v0.55.0 

func (m *Market) CancelOrderWithIDGenerator(
	ctx context.Context,
	partyID, orderID string,
	idgen IDGenerator,
) (oc *types.OrderCancellationConfirmation, _ error)

func (*Market) GetID 

func (m *Market) GetID() string

GetID returns the id of the given market.

func (*Market) GetMarketData 

func (m *Market) GetMarketData() types.MarketData

func (*Market) GetMarketState 

func (m *Market) GetMarketState() types.MarketState

func (*Market) GetTotalLPShapeCount added in v0.63.0 

func (m *Market) GetTotalLPShapeCount() uint64

GetTotalLPShapeCount returns the total number of LP shapes.

func (*Market) GetTotalOpenPositionCount added in v0.63.0 

func (m *Market) GetTotalOpenPositionCount() uint64

GetTotalOpenPositionCount returns the total number of open positions.

func (*Market) GetTotalOrderBookLevelCount added in v0.63.0 

func (m *Market) GetTotalOrderBookLevelCount() uint64

GetTotalOrderBookLevelCount returns the total number of levels in the order book.

func (*Market) GetTotalPeggedOrderCount added in v0.63.0 

func (m *Market) GetTotalPeggedOrderCount() uint64

GetTotalPeggedOrderCount returns the total number of pegged orders.

func (*Market) Hash 

func (m *Market) Hash() []byte

func (*Market) IntoType 

func (m *Market) IntoType() types.Market

func (*Market) OnAuctionEnded 

func (m *Market) OnAuctionEnded()

OnAuctionEnded is called whenever an auction is ended and emits an event to the state var engine.

func (*Market) OnFeeFactorsInfrastructureFeeUpdate 

func (m *Market) OnFeeFactorsInfrastructureFeeUpdate(ctx context.Context, d num.Decimal) error

func (*Market) OnFeeFactorsMakerFeeUpdate 

func (m *Market) OnFeeFactorsMakerFeeUpdate(ctx context.Context, d num.Decimal) error

func (*Market) OnMarginScalingFactorsUpdate 

func (m *Market) OnMarginScalingFactorsUpdate(ctx context.Context, sf *types.ScalingFactors) error

func (*Market) OnMarkPriceUpdateMaximumFrequency added in v0.63.0 

func (m *Market) OnMarkPriceUpdateMaximumFrequency(ctx context.Context, d time.Duration)

func (*Market) OnMarketAuctionMinimumDurationUpdate 

func (m *Market) OnMarketAuctionMinimumDurationUpdate(ctx context.Context, d time.Duration)

func (*Market) OnMarketLiquidityMaximumLiquidityFeeFactorLevelUpdate 

func (m *Market) OnMarketLiquidityMaximumLiquidityFeeFactorLevelUpdate(d num.Decimal)

func (*Market) OnMarketLiquidityProvidersFeeDistribitionTimeStep 

func (m *Market) OnMarketLiquidityProvidersFeeDistribitionTimeStep(d time.Duration)

func (*Market) OnMarketLiquidityProvisionShapesMaxSizeUpdate 

func (m *Market) OnMarketLiquidityProvisionShapesMaxSizeUpdate(v int64) error

func (*Market) OnMarketLiquidityTargetStakeTriggeringRatio 

func (m *Market) OnMarketLiquidityTargetStakeTriggeringRatio(ctx context.Context, d num.Decimal)

func (*Market) OnMarketMinLpStakeQuantumMultipleUpdate 

func (m *Market) OnMarketMinLpStakeQuantumMultipleUpdate(_ context.Context, d num.Decimal)

func (*Market) OnMarketMinProbabilityOfTradingLPOrdersUpdate 

func (m *Market) OnMarketMinProbabilityOfTradingLPOrdersUpdate(_ context.Context, d num.Decimal)

func (*Market) OnMarketProbabilityOfTradingTauScalingUpdate 

func (m *Market) OnMarketProbabilityOfTradingTauScalingUpdate(_ context.Context, d num.Decimal)

func (*Market) OnMarketTargetStakeScalingFactorUpdate 

func (m *Market) OnMarketTargetStakeScalingFactorUpdate(d num.Decimal) error

func (*Market) OnMarketTargetStakeTimeWindowUpdate 

func (m *Market) OnMarketTargetStakeTimeWindowUpdate(d time.Duration)

func (*Market) OnMarketValueWindowLengthUpdate 

func (m *Market) OnMarketValueWindowLengthUpdate(d time.Duration)

func (*Market) OnOpeningAuctionFirstUncrossingPrice 

func (m *Market) OnOpeningAuctionFirstUncrossingPrice()

OnOpeningAuctionFirstUncrossingPrice is triggered when the opening auction sees an uncrossing price for the first time and emits an event to the state variable engine.

func (*Market) OnSuppliedStakeToObligationFactorUpdate 

func (m *Market) OnSuppliedStakeToObligationFactorUpdate(d num.Decimal)

func (*Market) OnTick 

func (m *Market) OnTick(ctx context.Context, t time.Time) bool

OnTick notifies the market of a new time event/update. todo: make this a more generic function name e.g. OnTimeUpdateEvent

func (*Market) PostRestore 

func (m *Market) PostRestore(ctx context.Context) error

func (*Market) Reject 

func (m *Market) Reject(ctx context.Context) error

func (*Market) ReloadConf 

func (m *Market) ReloadConf(
	matchingConfig matching.Config,
	riskConfig risk.Config,
	positionConfig positions.Config,
	settlementConfig settlement.Config,
	feeConfig fee.Config,
)

ReloadConf will trigger a reload of all the config settings in the market and all underlying engines this is required when hot-reloading any config changes, eg. logger level.

func (*Market) StartOpeningAuction 

func (m *Market) StartOpeningAuction(ctx context.Context) error

func (*Market) SubmitLiquidityProvision 

func (m *Market) SubmitLiquidityProvision(
	ctx context.Context,
	sub *types.LiquidityProvisionSubmission,
	party, deterministicID string,
) (err error,
)

SubmitLiquidityProvision forwards a LiquidityProvisionSubmission to the Liquidity Engine.

func (*Market) SubmitOrder 

func (m *Market) SubmitOrder(
	ctx context.Context,
	orderSubmission *types.OrderSubmission,
	party string,
	deterministicID string,
) (oc *types.OrderConfirmation, _ error)

SubmitOrder submits the given order.

func (*Market) SubmitOrderWithIDGeneratorAndOrderID added in v0.55.0 

func (m *Market) SubmitOrderWithIDGeneratorAndOrderID(
	ctx context.Context,
	orderSubmission *types.OrderSubmission,
	party string,
	idgen IDGenerator,
	orderID string,
) (oc *types.OrderConfirmation, _ error)

SubmitOrder submits the given order.

func (*Market) Update 

func (m *Market) Update(ctx context.Context, config *types.Market, oracleEngine products.OracleEngine) error

type MarketActivityTracker 

type MarketActivityTracker struct {
	// contains filtered or unexported fields
}

MarketActivityTracker tracks how much fees are paid and received for a market by parties by epoch.

func NewMarketActivityTracker 

func NewMarketActivityTracker(log *logging.Logger, epochEngine EpochEngine) *MarketActivityTracker

NewFeesTracker instantiates the fees tracker.

func (*MarketActivityTracker) AddValueTraded 

func (mat *MarketActivityTracker) AddValueTraded(marketID string, value *num.Uint)

AddValueTraded records the value of a trade done in the given market.

func (*MarketActivityTracker) Checkpoint 

func (mat *MarketActivityTracker) Checkpoint() ([]byte, error)

func (*MarketActivityTracker) GetAllMarketIDs 

func (mat *MarketActivityTracker) GetAllMarketIDs() []string

GetAllMarketIDs returns all the current market IDs.

func (*MarketActivityTracker) GetFeePartyScores 

func (mat *MarketActivityTracker) GetFeePartyScores(market string, feeType types.TransferType) []*types.PartyContibutionScore

GetFeePartyScores returns the fraction each of the participants paid/received in the given fee of the market in the relevant period.

func (*MarketActivityTracker) GetMarketScores 

func (mat *MarketActivityTracker) GetMarketScores(asset string, markets []string, dispatchMetric vega.DispatchMetric) []*types.MarketContributionScore

GetMarketScores calculates the aggregate share of the asset/market in contribution to the metric out of either all the markets of the asset or the subset specified.

func (*MarketActivityTracker) GetMarketsWithEligibleProposer 

func (mat *MarketActivityTracker) GetMarketsWithEligibleProposer(asset string, markets []string, payoutAsset string, funder string) []*types.MarketContributionScore

GetMarketsWithEligibleProposer gets all the markets within the given asset (or just all the markets in scope passed as a parameter) that are eligible for proposer bonus.

func (*MarketActivityTracker) GetProposer 

func (mat *MarketActivityTracker) GetProposer(market string) string

GetProposer returns the proposer of the market or empty string if the market doesn't exist.

func (*MarketActivityTracker) GetState 

func (mat *MarketActivityTracker) GetState(k string) ([]byte, []types.StateProvider, error)

func (*MarketActivityTracker) IsMarketEligibleForBonus added in v0.55.0 

func (mat *MarketActivityTracker) IsMarketEligibleForBonus(market string, payoutAsset string, marketsInScope []string, funder string) bool

IsMarketEligibleForBonus returns true is the market proposer is eligible for market proposer bonus and has not been paid for the combination of payout asset and marketsInScope. The proposer is not market as having been paid until told to do so (if actually paid).

func (*MarketActivityTracker) Keys 

func (mat *MarketActivityTracker) Keys() []string

func (*MarketActivityTracker) Load 

func (mat *MarketActivityTracker) Load(ctx context.Context, data []byte) error

func (*MarketActivityTracker) LoadState 

func (mat *MarketActivityTracker) LoadState(ctx context.Context, p *types.Payload) ([]types.StateProvider, error)

func (*MarketActivityTracker) MarkPaidProposer 

func (mat *MarketActivityTracker) MarkPaidProposer(market, payoutAsset string, marketsInScope []string, funder string)

MarkProposerPaid marks the proposer of the market as having been paid proposer bonus.

func (*MarketActivityTracker) MarketProposed 

func (mat *MarketActivityTracker) MarketProposed(asset, marketID, proposer string)

MarketProposed is called when the market is proposed and adds the market to the tracker.

func (*MarketActivityTracker) Name 

func (mat *MarketActivityTracker) Name() types.CheckpointName

func (*MarketActivityTracker) Namespace 

func (mat *MarketActivityTracker) Namespace() types.SnapshotNamespace

func (*MarketActivityTracker) RemoveMarket 

func (mat *MarketActivityTracker) RemoveMarket(marketID string)

removeMarket is called when the market is removed from the network. It is not immediately removed to give a chance for rewards to be paid at the end of the epoch for activity during the epoch. Instead it is marked for removal and will be removed at the beginning of the next epoch.

func (*MarketActivityTracker) SetEligibilityChecker 

func (mat *MarketActivityTracker) SetEligibilityChecker(eligibilityChecker EligibilityChecker)

func (*MarketActivityTracker) Stopped 

func (mat *MarketActivityTracker) Stopped() bool

func (*MarketActivityTracker) UpdateFeesFromTransfers 

func (mat *MarketActivityTracker) UpdateFeesFromTransfers(market string, transfers []*types.Transfer)

UpdateFeesFromTransfers takes a slice of transfers and if they represent fees it updates the market fee tracker. market is guaranteed to exist in the mapping as it is added when proposed.

type MarketCollateral 

type MarketCollateral interface {
	Deposit(ctx context.Context, party, asset string, amount *num.Uint) (*types.LedgerMovement, error)
	Withdraw(ctx context.Context, party, asset string, amount *num.Uint) (*types.LedgerMovement, error)
	EnableAsset(ctx context.Context, asset types.Asset) error
	GetPartyGeneralAccount(party, asset string) (*types.Account, error)
	GetPartyBondAccount(market, partyID, asset string) (*types.Account, error)
	BondUpdate(ctx context.Context, market string, transfer *types.Transfer) (*types.LedgerMovement, error)
	MarginUpdateOnOrder(ctx context.Context, marketID string, update events.Risk) (*types.LedgerMovement, events.Margin, error)
	GetPartyMargin(pos events.MarketPosition, asset, marketID string) (events.Margin, error)
	GetPartyMarginAccount(market, party, asset string) (*types.Account, error)
	RollbackMarginUpdateOnOrder(ctx context.Context, marketID string, assetID string, transfer *types.Transfer) (*types.LedgerMovement, error)
	GetOrCreatePartyBondAccount(ctx context.Context, partyID, marketID, asset string) (*types.Account, error)
	CreatePartyMarginAccount(ctx context.Context, partyID, marketID, asset string) (string, error)
	FinalSettlement(ctx context.Context, marketID string, transfers []*types.Transfer) ([]*types.LedgerMovement, error)
	ClearMarket(ctx context.Context, mktID, asset string, parties []string) ([]*types.LedgerMovement, error)
	HasGeneralAccount(party, asset string) bool
	ClearPartyMarginAccount(ctx context.Context, party, market, asset string) (*types.LedgerMovement, error)
	CanCoverBond(market, party, asset string, amount *num.Uint) bool
	Hash() []byte
	TransferFeesContinuousTrading(ctx context.Context, marketID string, assetID string, ft events.FeesTransfer) ([]*types.LedgerMovement, error)
	TransferFees(ctx context.Context, marketID string, assetID string, ft events.FeesTransfer) ([]*types.LedgerMovement, error)
	MarginUpdate(ctx context.Context, marketID string, updates []events.Risk) ([]*types.LedgerMovement, []events.Margin, []events.Margin, error)
	MarkToMarket(ctx context.Context, marketID string, transfers []events.Transfer, asset string) ([]events.Margin, []*types.LedgerMovement, error)
	RemoveDistressed(ctx context.Context, parties []events.MarketPosition, marketID, asset string) (*types.LedgerMovement, error)
	GetMarketLiquidityFeeAccount(market, asset string) (*types.Account, error)
	GetAssetQuantum(asset string) (num.Decimal, error)
}

type OracleEngine 

type OracleEngine interface {
	ListensToSigners(oracles.OracleData) bool
	Subscribe(context.Context, oracles.OracleSpec, oracles.OnMatchedOracleData) (oracles.SubscriptionID, oracles.Unsubscriber)
	Unsubscribe(context.Context, oracles.SubscriptionID)
}

OracleEngine ...

type OrderReferenceCheck 

type OrderReferenceCheck types.Order

func (OrderReferenceCheck) HasMoved 

func (o OrderReferenceCheck) HasMoved(changes uint8) bool

type PeggedOrders 

type PeggedOrders struct {
	// contains filtered or unexported fields
}

func NewPeggedOrders 

func NewPeggedOrders(log *logging.Logger, ts TimeService) *PeggedOrders

func NewPeggedOrdersFromSnapshot 

func NewPeggedOrdersFromSnapshot(
	log *logging.Logger,
	ts TimeService,
	state *types.PeggedOrdersState,
) *PeggedOrders

func (*PeggedOrders) AmendParked 

func (p *PeggedOrders) AmendParked(amended *types.Order)

func (*PeggedOrders) Changed 

func (p *PeggedOrders) Changed() bool

func (*PeggedOrders) EnterAuction added in v0.62.0 

func (p *PeggedOrders) EnterAuction(ctx context.Context) []events.Event

func (*PeggedOrders) GetAllParkedForParty 

func (p *PeggedOrders) GetAllParkedForParty(party string) (orders []*types.Order)

func (*PeggedOrders) GetParkedByID 

func (p *PeggedOrders) GetParkedByID(id string) *types.Order

func (*PeggedOrders) GetParkedIDs 

func (p *PeggedOrders) GetParkedIDs() []string

func (*PeggedOrders) GetParkedOrdersCount 

func (p *PeggedOrders) GetParkedOrdersCount() int

func (*PeggedOrders) GetState 

func (p *PeggedOrders) GetState() *types.PeggedOrdersState

func (*PeggedOrders) IsParked 

func (p *PeggedOrders) IsParked(id string) bool

func (*PeggedOrders) Park 

func (p *PeggedOrders) Park(o *types.Order)

func (*PeggedOrders) RemoveAllForParty 

func (p *PeggedOrders) RemoveAllForParty(
	ctx context.Context, party string, status types.OrderStatus,
) (orders []*types.Order, evts []events.Event)

func (*PeggedOrders) Settled 

func (p *PeggedOrders) Settled() []*types.Order

func (*PeggedOrders) Unpark 

func (p *PeggedOrders) Unpark(oid string)

type PriceMonitor 

type PriceMonitor interface {
	OnTimeUpdate(now time.Time)
	CheckPrice(ctx context.Context, as price.AuctionState, trades []*types.Trade, persistent bool) bool
	GetCurrentBounds() []*types.PriceMonitoringBounds
	SetMinDuration(d time.Duration)
	GetValidPriceRange() (num.WrappedDecimal, num.WrappedDecimal)
	// Snapshot
	GetState() *types.PriceMonitor
	Changed() bool
	IsBoundFactorsInitialised() bool
	Initialised() bool
	UpdateSettings(risk.Model, *types.PriceMonitoringSettings)
}

PriceMonitor interface to handle price monitoring/auction triggers @TODO the interface shouldn't be imported here.

type StateVarEngine 

type StateVarEngine interface {
	RegisterStateVariable(asset, market, name string, converter statevar.Converter, startCalculation func(string, statevar.FinaliseCalculation), trigger []statevar.EventType, result func(context.Context, statevar.StateVariableResult) error) error
	UnregisterStateVariable(asset, market string)
	NewEvent(asset, market string, eventType statevar.EventType)
	ReadyForTimeTrigger(asset, mktID string)
}

type TargetStakeCalculator 

type TargetStakeCalculator interface {
	types.StateProvider
	RecordOpenInterest(oi uint64, now time.Time) error
	GetTargetStake(rf types.RiskFactor, now time.Time, markPrice *num.Uint) *num.Uint
	GetTheoreticalTargetStake(rf types.RiskFactor, now time.Time, markPrice *num.Uint, trades []*types.Trade) *num.Uint
	UpdateScalingFactor(sFactor num.Decimal) error
	UpdateTimeWindow(tWindow time.Duration)
	StopSnapshots()
	UpdateParameters(types.TargetStakeParameters)
}

TargetStakeCalculator interface.

type TimeService 

type TimeService interface {
	GetTimeNow() time.Time
}

Source Files

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Path Synopsis
Package mocks is a generated GoMock package.
 Package mocks is a generated GoMock package.

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