liquidity

package
v0.68.2-pre1 Latest Latest
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 Go to latest Published: Feb 21, 2023 License: MIT Imports: 17 Imported by: 0

README

Liquidity Engine

The Liquidity Engine handles Liquidity Provisions (LiquidityProvisionSubmission) and subsequent updates to the created orders.

A LiquidityProvisionSubmission specifies how to match a given liquidity by defining a shape of orders to be created. These shape is updated each time there is a change in the book.

Documentation

Index

Constants

This section is empty.

Variables

View Source 
var (
	ErrLiquidityProvisionDoesNotExist  = errors.New("liquidity provision does not exist")
	ErrLiquidityProvisionAlreadyExists = errors.New("liquidity provision already exists")
	ErrCommitmentAmountIsZero          = errors.New("commitment amount is zero")
	ErrEmptyShape                      = errors.New("liquidity provision contains an empty shape")
)
View Source 
var ErrPartyHaveNoLiquidityProvision = errors.New("party have no liquidity provision")

Functions

This section is empty.

Types

type Broker 

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

Broker - event bus (no mocks needed).

type Config 

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

Config represents the configuration of the Liquidity service.

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 Engine 

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

Engine handles Liquidity provision.

func NewEngine 

func NewEngine(config Config,
	log *logging.Logger,
	timeService TimeService,
	broker Broker,
	riskModel RiskModel,
	priceMonitor PriceMonitor,
	orderBook OrderBook,
	asset string,
	marketID string,
	stateVarEngine StateVarEngine,
	priceFactor *num.Uint,
	positionFactor num.Decimal,
) *Engine

NewEngine returns a new Liquidity Engine.

func (*Engine) AmendLiquidityProvision 

func (e *Engine) AmendLiquidityProvision(
	ctx context.Context,
	lpa *types.LiquidityProvisionAmendment,
	party string,
	idGen IDGen,
) ([]*types.Order, error)

func (*Engine) CalculateSuppliedStake 

func (e *Engine) CalculateSuppliedStake() *num.Uint

CalculateSuppliedStake returns the sum of commitment amounts from all the liquidity providers.

func (*Engine) CanAmend 

func (e *Engine) CanAmend(
	lps *types.LiquidityProvisionAmendment,
	party string,
) error

func (*Engine) CancelLiquidityProvision 

func (e *Engine) CancelLiquidityProvision(ctx context.Context, party string) error

CancelLiquidityProvision removes a parties commitment of liquidity Returns the liquidityOrders if any.

func (*Engine) ClearLPOrders added in v0.62.0 

func (e *Engine) ClearLPOrders()

func (*Engine) CreateInitialOrders 

func (e *Engine) CreateInitialOrders(
	ctx context.Context,
	minLpPrice, maxLpPrice *num.Uint,
	party string,
	repriceFn RepriceOrder,
) []*types.Order

CreateInitialOrders returns two slices of orders, one for orders to be created and the other for orders to be updated.

func (*Engine) GetAverageLiquidityScores added in v0.65.0 

func (e *Engine) GetAverageLiquidityScores() map[string]num.Decimal

func (*Engine) GetCurrentLiquidityScores added in v0.65.0 

func (e *Engine) GetCurrentLiquidityScores(bestBid, bestAsk num.Decimal, minLpPrice, maxLpPrice *num.Uint) (map[string]num.Decimal, num.Decimal)

GetCurrentLiquidityScores returns volume-weighted probability of trading per each LP's deployed orders.

func (*Engine) GetInactiveParties 

func (e *Engine) GetInactiveParties() map[string]struct{}

GetInactiveParties returns a set of all the parties with inactive commitment.

func (*Engine) GetLPShapeCount added in v0.63.0 

func (e *Engine) GetLPShapeCount() uint64

GetLPShapeCount returns the total number of LP shapes.

func (*Engine) GetPending 

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

func (*Engine) GetPotentialShapeOrders 

func (e *Engine) GetPotentialShapeOrders(
	party string,
	minLpPrice, maxLpPrice *num.Uint,
	lps *types.LiquidityProvisionAmendment,
	repriceFn RepriceOrder,
) ([]*types.Order, error)

GetPotentialShapeOrders is used to create orders from shape when amending a liquidity provision this allows us to ensure enough funds can be taken from the margin account in orders to submit orders later on.

func (*Engine) IsLiquidityProvider 

func (e *Engine) IsLiquidityProvider(party string) bool

IsLiquidityProvider returns true if the party hold any liquidity commitmement.

func (*Engine) IsPending 

func (e *Engine) IsPending(party string) bool

func (*Engine) IsPoTInitialised 

func (e *Engine) IsPoTInitialised() bool

func (*Engine) LiquidityProvisionByPartyID 

func (e *Engine) LiquidityProvisionByPartyID(partyID string) *types.LiquidityProvision

LiquidityProvisionByPartyID returns the LP associated to a Party if any. If not, it returns nil.

func (*Engine) OnMarketLiquidityProvisionShapesMaxSizeUpdate 

func (e *Engine) OnMarketLiquidityProvisionShapesMaxSizeUpdate(v int64) error

func (*Engine) OnMaximumLiquidityFeeFactorLevelUpdate 

func (e *Engine) OnMaximumLiquidityFeeFactorLevelUpdate(f num.Decimal)

func (*Engine) OnMinProbabilityOfTradingLPOrdersUpdate 

func (e *Engine) OnMinProbabilityOfTradingLPOrdersUpdate(v num.Decimal)

func (*Engine) OnProbabilityOfTradingTauScalingUpdate 

func (e *Engine) OnProbabilityOfTradingTauScalingUpdate(v num.Decimal)

func (*Engine) OnSuppliedStakeToObligationFactorUpdate 

func (e *Engine) OnSuppliedStakeToObligationFactorUpdate(v num.Decimal)

OnSuppliedStakeToObligationFactorUpdate updates the stake factor.

func (*Engine) ProvisionsPerParty 

func (e *Engine) ProvisionsPerParty() ProvisionsPerParty

ProvisionsPerParty returns the registered a map of party-id -> LiquidityProvision.

func (*Engine) RejectLiquidityProvision 

func (e *Engine) RejectLiquidityProvision(ctx context.Context, party string) error

RejectLiquidityProvision removes a parties commitment of liquidity.

func (*Engine) RemovePending 

func (e *Engine) RemovePending(party string)

func (*Engine) ResetAverageLiquidityScores added in v0.65.0 

func (e *Engine) ResetAverageLiquidityScores()

func (*Engine) SaveLPOrders added in v0.62.0 

func (e *Engine) SaveLPOrders()

SaveLPOrders sets LP orders that have been cancelled from the book but we need to know what they were to recalculate and redeploy.

func (*Engine) SetGetStaticPricesFunc 

func (e *Engine) SetGetStaticPricesFunc(f func() (num.Decimal, num.Decimal, error))

func (*Engine) SetShapesReferencesOnLiquidityProvision added in v0.67.0 

func (e *Engine) SetShapesReferencesOnLiquidityProvision(
	ctx context.Context,
	lp *types.LiquidityProvision,
	buys []*types.LiquidityOrder,
	sells []*types.LiquidityOrder,
	idGen IDGen,
) []events.Event

func (*Engine) StopLiquidityProvision 

func (e *Engine) StopLiquidityProvision(ctx context.Context, party string) error

StopLiquidityProvision removes a parties commitment of liquidity Returns the liquidityOrders if any.

func (*Engine) SubmitLiquidityProvision 

func (e *Engine) SubmitLiquidityProvision(
	ctx context.Context,
	lps *types.LiquidityProvisionSubmission,
	party string,
	idgen IDGen,
) error

SubmitLiquidityProvision handles a new liquidity provision submission. It's used to create, update or delete a LiquidityProvision. The LiquidityProvision is created if submitted for the first time, updated if a previous one was created for the same PartyId or deleted (if exists) when the CommitmentAmount is set to 0.

func (*Engine) UndeployLPs added in v0.55.0 

func (e *Engine) UndeployLPs(ctx context.Context, orders []*types.Order) []*ToCancel

UndeployLPs is called when a reference price is no longer available. LP orders should all be parked/set to pending and should be redeployed once possible. Pass in updated orders and update internal records first...

func (*Engine) Update 

func (e *Engine) Update(
	ctx context.Context,
	minLpPrice, maxLpPrice *num.Uint,
	repriceFn RepriceOrder,
) ([]*types.Order, []*ToCancel)

Update gets the order changes. It keeps track of all LP orders.

func (*Engine) UpdateAverageLiquidityScores added in v0.65.0 

func (e *Engine) UpdateAverageLiquidityScores(bestBid, bestAsk num.Decimal, minLpPrice, maxLpPrice *num.Uint)

func (*Engine) UpdateMarketConfig 

func (e *Engine) UpdateMarketConfig(model risk.Model, monitor PriceMonitor)

func (*Engine) ValidateLiquidityProvisionAmendment 

func (e *Engine) ValidateLiquidityProvisionAmendment(lp *types.LiquidityProvisionAmendment) (err error)

func (*Engine) ValidateLiquidityProvisionSubmission 

func (e *Engine) ValidateLiquidityProvisionSubmission(
	lp *types.LiquidityProvisionSubmission,
	zeroCommitmentIsValid bool,
) (err error)

type IDGen 

type IDGen interface {
	NextID() string
}

IDGen is an id generator for orders.

type OrderBook 

type OrderBook interface {
	GetOrderByID(orderID string) (*types.Order, error)
	GetOrdersPerParty(party string) []*types.Order
	GetLiquidityOrders(party string) []*types.Order
}

type Orders 

type Orders []*types.Order

Orders provides convenience functions to a slice of *veaga/proto.Orders.

func (Orders) ByParty 

func (ords Orders) ByParty() []PartyOrders

ByParty returns the orders grouped by it's PartyID.

type PartyOrders 

type PartyOrders struct {
	Party  string
	Orders []*types.Order
}

type PriceMonitor 

type PriceMonitor interface {
	GetValidPriceRange() (num.WrappedDecimal, num.WrappedDecimal)
}

PriceMonitor provides the range of valid prices, that is prices that wouldn't trade the current trading mode.

type Provisions added in v0.55.0 

type Provisions []*types.LiquidityProvision

Provisions provides convenience functions to a slice of *vega/proto.LiquidityProvision.

type ProvisionsPerParty 

type ProvisionsPerParty map[string]*types.LiquidityProvision

Provisions is a map of parties to *types.LiquidityProvision.

func (ProvisionsPerParty) FeeForTarget 

func (l ProvisionsPerParty) FeeForTarget(v *num.Uint) num.Decimal

func (ProvisionsPerParty) Slice 

func (l ProvisionsPerParty) Slice() Provisions

Slice returns the parties as a slice.

func (ProvisionsPerParty) TotalStake 

func (l ProvisionsPerParty) TotalStake() *num.Uint

TotalStake returns the sum of all CommitmentAmount, which corresponds to the total stake of a market.

type RepriceOrder added in v0.65.0 

type RepriceOrder func(
	side types.Side, reference types.PeggedReference, offset *num.Uint,
) (*num.Uint, error)

RepriceOrder reprices a pegged order. This function should be injected by the market.

type RiskModel 

type RiskModel interface {
	ProbabilityOfTrading(currentPrice, orderPrice num.Decimal, minPrice, maxPrice num.Decimal, yFrac num.Decimal, isBid, applyMinMax bool) num.Decimal
	GetProjectionHorizon() num.Decimal
}

RiskModel allows calculation of min/max price range and a probability of trading.

type SnapshotEngine 

type SnapshotEngine struct {
	*Engine
	// contains filtered or unexported fields
}

func NewSnapshotEngine 

func NewSnapshotEngine(config Config,
	log *logging.Logger,
	timeService TimeService,
	broker Broker,
	riskModel RiskModel,
	priceMonitor PriceMonitor,
	orderBook OrderBook,
	asset string,
	market string,
	stateVarEngine StateVarEngine,
	priceFactor *num.Uint,
	positionFactor num.Decimal,
) *SnapshotEngine

func (*SnapshotEngine) GetState 

func (e *SnapshotEngine) GetState(k string) ([]byte, []types.StateProvider, error)

func (*SnapshotEngine) Keys 

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

func (*SnapshotEngine) LoadState 

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

func (*SnapshotEngine) Namespace 

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

func (*SnapshotEngine) OnMarketLiquidityProvisionShapesMaxSizeUpdate 

func (e *SnapshotEngine) OnMarketLiquidityProvisionShapesMaxSizeUpdate(v int64) error

func (*SnapshotEngine) OnMaximumLiquidityFeeFactorLevelUpdate 

func (e *SnapshotEngine) OnMaximumLiquidityFeeFactorLevelUpdate(f num.Decimal)

func (*SnapshotEngine) OnSuppliedStakeToObligationFactorUpdate 

func (e *SnapshotEngine) OnSuppliedStakeToObligationFactorUpdate(v num.Decimal)

func (*SnapshotEngine) StopSnapshots 

func (e *SnapshotEngine) StopSnapshots()

func (*SnapshotEngine) Stopped 

func (e *SnapshotEngine) Stopped() bool

func (*SnapshotEngine) UpdateMarketConfig 

func (e *SnapshotEngine) UpdateMarketConfig(model risk.Model, monitor PriceMonitor)

type SnapshotablePendingProvisions 

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

func (*SnapshotablePendingProvisions) Add 

func (s *SnapshotablePendingProvisions) Add(key string)

func (*SnapshotablePendingProvisions) Delete 

func (s *SnapshotablePendingProvisions) Delete(key string)

func (*SnapshotablePendingProvisions) Exists 

func (s *SnapshotablePendingProvisions) Exists(key string) bool

type SnapshotableProvisionsPerParty 

type SnapshotableProvisionsPerParty struct {
	ProvisionsPerParty
}

func (*SnapshotableProvisionsPerParty) Delete 

func (s *SnapshotableProvisionsPerParty) Delete(key string)

func (*SnapshotableProvisionsPerParty) Get 

func (s *SnapshotableProvisionsPerParty) Get(key string) (*types.LiquidityProvision, bool)

func (*SnapshotableProvisionsPerParty) Set 

func (s *SnapshotableProvisionsPerParty) Set(key string, p *types.LiquidityProvision)

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
}

type TimeService 

type TimeService interface {
	GetTimeNow() time.Time
}

TimeService provide the time of the vega node using the tm time.

type ToCancel 

type ToCancel struct {
	Party    string
	OrderIDs []string
}

func (*ToCancel) Add 

func (c *ToCancel) Add(id string)

func (*ToCancel) Empty 

func (c *ToCancel) Empty() bool

func (*ToCancel) Merge 

func (c *ToCancel) Merge(oth *ToCancel) *ToCancel

Source Files

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Directories

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