liquidity

package
v0.72.14 Latest Latest
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 Go to latest Published: Aug 30, 2023 License: MIT Imports: 13 Imported by: 0

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")
)
View Source 
var ErrPartyHaveNoLiquidityProvision = errors.New("party have no liquidity provision")

Functions

func NewSliceRing 

func NewSliceRing[T any](size uint) *sliceRing[T]

Types

type AuctionState 

type AuctionState interface {
	InAuction() bool
	IsOpeningAuction() bool
}

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,
	auctionState AuctionState,
	asset string,
	marketID string,
	stateVarEngine StateVarEngine,
	positionFactor num.Decimal,
	stakeToCcyVolume num.Decimal,
	priceRange num.Decimal,
	commitmentMinTimeFraction num.Decimal,
	slaCompetitionFactor num.Decimal,
	nonPerformanceBondPenaltySlope num.Decimal,
	nonPerformanceBondPenaltyMax num.Decimal,
	performanceHysteresisEpochs uint,
	getTargetStake TargetStateFunc,
) *Engine

NewEngine returns a new Liquidity Engine.

func (*Engine) AmendLiquidityProvision 

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

func (*Engine) ApplyPendingProvisions 

func (e *Engine) ApplyPendingProvisions(ctx context.Context, now time.Time) map[string]*types.LiquidityProvision

func (*Engine) CalculateSLAPenalties 

func (e *Engine) CalculateSLAPenalties(now time.Time) SlaPenalties

CalculateSLAPenalties should be called at the and of epoch to calculate SLA penalties based on LP performance in the epoch.

func (*Engine) CalculateSuppliedStake 

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

CalculateSuppliedStake returns the sum of commitment amounts from all the liquidity providers. Includes pending commitment if they are greater then the original one.

func (*Engine) CalculateSuppliedStakeWithoutPending 

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

CalculateSuppliedStake returns the sum of commitment amounts from all the liquidity providers. Dost not include pending commitments.

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) EndBlock 

func (e *Engine) EndBlock(markPrice *num.Uint, midPrice *num.Uint, positionFactor num.Decimal)

func (*Engine) GetAverageLiquidityScores 

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

func (*Engine) GetCurrentLiquidityScores 

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) IsLiquidityProvider 

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

IsLiquidityProvider returns true if the party hold any liquidity commitment.

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) OnCommitmentMinTimeFractionUpdate 

func (e *Engine) OnCommitmentMinTimeFractionUpdate(commitmentMinTimeFraction num.Decimal)

func (*Engine) OnMaximumLiquidityFeeFactorLevelUpdate 

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

func (*Engine) OnMinProbabilityOfTradingLPOrdersUpdate 

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

func (*Engine) OnNonPerformanceBondPenaltyMaxUpdate 

func (e *Engine) OnNonPerformanceBondPenaltyMaxUpdate(nonPerformanceBondPenaltyMax num.Decimal)

func (*Engine) OnNonPerformanceBondPenaltySlopeUpdate 

func (e *Engine) OnNonPerformanceBondPenaltySlopeUpdate(nonPerformanceBondPenaltySlope num.Decimal)

func (*Engine) OnPerformanceHysteresisEpochsUpdate 

func (e *Engine) OnPerformanceHysteresisEpochsUpdate(performanceHysteresisEpochs uint)

func (*Engine) OnPriceRangeUpdate 

func (e *Engine) OnPriceRangeUpdate(priceRange num.Decimal)

func (*Engine) OnProbabilityOfTradingTauScalingUpdate 

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

func (*Engine) OnSlaCompetitionFactorUpdate 

func (e *Engine) OnSlaCompetitionFactorUpdate(slaCompetitionFactor num.Decimal)

func (*Engine) OnStakeToCcyVolumeUpdate 

func (e *Engine) OnStakeToCcyVolumeUpdate(stakeToCcyVolume num.Decimal)

func (*Engine) PendingProvision 

func (e *Engine) PendingProvision() map[string]*types.LiquidityProvision

func (*Engine) PendingProvisionByPartyID 

func (e *Engine) PendingProvisionByPartyID(party string) *types.LiquidityProvision

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) ResetAverageLiquidityScores 

func (e *Engine) ResetAverageLiquidityScores()

func (*Engine) ResetSLAEpoch 

func (e *Engine) ResetSLAEpoch(
	ctx context.Context,
	now time.Time,
	markPrice *num.Uint,
	midPrice *num.Uint,
	positionFactor num.Decimal,
)

ResetSLAEpoch should be called at the beginning of epoch to reset per epoch performance calculations. Returns a newly added/amended liquidity provisions (pending provisions are automatically applied and the start of a new epoch).

func (*Engine) SetGetStaticPricesFunc 

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

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,
) (bool, error)

SubmitLiquidityProvision handles a new liquidity provision submission. Returns whether or not submission has been applied immediately.

func (*Engine) UpdateAverageLiquidityScores 

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) UpdatePartyCommitment 

func (e *Engine) UpdatePartyCommitment(partyID string, newCommitment *num.Uint) (*types.LiquidityProvision, error)

UpdatePartyCommitment allows to change party commitment. It should be used for synchronizing commitment with bond account.

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 {
	GetOrdersPerParty(party string) []*types.Order
	GetBestStaticBidPrice() (*num.Uint, error)
	GetBestStaticAskPrice() (*num.Uint, error)
	GetIndicativePrice() *num.Uint
	GetLastTradedPrice() *num.Uint
}

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 PendingProvision 

type PendingProvision map[string]*types.LiquidityProvision

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 

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 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 SlaPenalties 

type SlaPenalties struct {
	AllPartiesHaveFullFeePenalty bool
	PenaltiesPerParty            map[string]*SlaPenalty
}

type SlaPenalty 

type SlaPenalty struct {
	Fee, Bond num.Decimal
}

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 TargetStateFunc 

type TargetStateFunc func() *num.Uint

type TimeService 

type TimeService interface {
	GetTimeNow() time.Time
}

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

Source Files

View all Source files

Directories

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

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