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v0.74.0-preview.5 Latest Latest
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 Go to latest Published: Jan 24, 2024 License: AGPL-3.0 Imports: 37 Imported by: 0

Documentation

Index

Constants

View Source 
const (
	TradePriceIndex       = 0
	BookPriceIndex        = 1
	FirstOraclePriceIndex = 2
)

Variables

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")

Functions

func CalculateTimeWeightedAverageBookPrice added in v0.74.0 

func CalculateTimeWeightedAverageBookPrice(timeToPrice map[int64]*num.Uint, t int64, markPricePeriod int64) *num.Uint

CalculateTimeWeightedAverageBookPrice calculates the time weighted average of the timepoints where book price was calculated.

func CompositePriceByMedian added in v0.74.0 

func CompositePriceByMedian(prices []*num.Uint, lastUpdate []int64, delta []time.Duration, t int64) *num.Uint

CompositePriceByMedian returns the median mark price out of the non stale ones or nil if there is none.

func CompositePriceByWeight added in v0.74.0 

func CompositePriceByWeight(prices []*num.Uint, weights []num.Decimal, lastUpdateTime []int64, delta []time.Duration, t int64) *num.Uint

CompositePriceByWeight calculates the mid price out of the non-stale price by the weights assigned to each mid price.

func MedianPrice added in v0.74.0 

func MedianPrice(prices []*num.Uint) *num.Uint

MedianPrice returns the median of the given prices (pBook, pTrades, pOracle1..n).

func PriceFromBookAtTime added in v0.74.0 

func PriceFromBookAtTime(C *num.Uint, initialScalingFactor, slippageFactor, shortRiskFactor, longRiskFactor num.Decimal, orderBook *matching.CachedOrderBook) *num.Uint

PriceFromBookAtTime calculate the mark price as the average price of buying/selling the quantity implied by scaling C by the factors. If there is no bid or ask price for the required quantity, returns nil.

func PriceFromTrades added in v0.74.0 

func PriceFromTrades(trades []*types.Trade, decayWeight, lambda, decayPower num.Decimal, t int64) *num.Uint

PriceFromTrades calculates the mark price from trades in the current price frequency.

Types

type CompositePriceCalculator added in v0.74.0 

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

func NewCompositePriceCalculator added in v0.74.0 

func NewCompositePriceCalculator(ctx context.Context, config *types.CompositePriceConfiguration, oe products.OracleEngine, timeService excommon.TimeService) *CompositePriceCalculator

func NewCompositePriceCalculatorFromSnapshot added in v0.74.0 

func NewCompositePriceCalculatorFromSnapshot(ctx context.Context, mp *num.Uint, timeService excommon.TimeService, oe excommon.OracleEngine, mpc *snapshot.CompositePriceCalculator) *CompositePriceCalculator

func (*CompositePriceCalculator) CalculateBookMarkPriceAtTimeT added in v0.74.0 

func (mpc *CompositePriceCalculator) CalculateBookMarkPriceAtTimeT(initialScalingFactor, slippageFactor, shortRiskFactor, longRiskFactor num.Decimal, t int64, ob *matching.CachedOrderBook)

CalculateBookMarkPriceAtTimeT is called every interval (currently at the end of each block) to calculate the mark price implied by the book. If there is insufficient quantity in the book, ignore this price IF the market is in auction set the mark price to the indicative price if not zero.

func (*CompositePriceCalculator) CalculateMarkPrice added in v0.74.0 

func (mpc *CompositePriceCalculator) CalculateMarkPrice(t int64, ob *matching.CachedOrderBook, markPriceFrequency time.Duration, initialScalingFactor, slippageFactor, shortRiskFactor, longRiskFactor num.Decimal) *num.Uint

CalculateMarkPrice is called at the end of each mark price calculation interval and calculates the mark price using the mark price type methodology.

func (*CompositePriceCalculator) Close added in v0.74.0 

func (mpc *CompositePriceCalculator) Close(ctx context.Context)

func (*CompositePriceCalculator) GetUpdateOraclePriceFunc added in v0.74.0 

func (mpc *CompositePriceCalculator) GetUpdateOraclePriceFunc(oracleIndex int) func(ctx context.Context, data common.Data) error

UpdateOraclePrice is called when a new oracle price is available.

func (*CompositePriceCalculator) IntoProto added in v0.74.0 

func (mpc *CompositePriceCalculator) IntoProto() *snapshot.CompositePriceCalculator

func (*CompositePriceCalculator) NewTrade added in v0.74.0 

func (mpc *CompositePriceCalculator) NewTrade(trade *types.Trade)

NewTrade is called to inform the mark price calculator on a new trade. All the trades for a given mark price calculation interval are saved until the end of the interval.

func (*CompositePriceCalculator) UpdateConfig added in v0.74.0 

func (mpc *CompositePriceCalculator) UpdateConfig(ctx context.Context, oe excommon.OracleEngine, config *types.CompositePriceConfiguration) error

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 common.Collateral,
	oracleEngine products.OracleEngine,
	mkt *types.Market,
	timeService common.TimeService,
	broker common.Broker,
	auctionState *monitor.AuctionState,
	stateVarEngine common.StateVarEngine,
	marketActivityTracker *common.MarketActivityTracker,
	assetDetails *assets.Asset,
	peggedOrderNotify func(int64),
	referralDiscountRewardService fee.ReferralDiscountRewardService,
	volumeDiscountService fee.VolumeDiscountService,
	banking common.Banking,
) (*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 common.Collateral,
	oracleEngine products.OracleEngine,
	timeService common.TimeService,
	broker common.Broker,
	stateVarEngine common.StateVarEngine,
	assetDetails *assets.Asset,
	marketActivityTracker *common.MarketActivityTracker,
	peggedOrderNotify func(int64),
	referralDiscountRewardService fee.ReferralDiscountRewardService,
	volumeDiscountService fee.VolumeDiscountService,
	banking common.Banking,
) (*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 

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

func (*Market) BeginBlock added in v0.73.0 

func (m *Market) BeginBlock(ctx context.Context)

func (*Market) BlockEnd 

func (m *Market) BlockEnd(ctx context.Context)

BlockEnd notifies the market of the end of the block.

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) CancelAllStopOrders 

func (m *Market) CancelAllStopOrders(ctx context.Context, partyID string) 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 

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

func (*Market) CancelStopOrder 

func (m *Market) CancelStopOrder(
	ctx context.Context,
	partyID, orderID string,
) error

func (*Market) GetAssetForProposerBonus added in v0.73.0 

func (m *Market) GetAssetForProposerBonus() string

func (*Market) GetCPState 

func (m *Market) GetCPState() *types.CPMarketState

func (*Market) GetEquityShares 

func (m *Market) GetEquityShares() *common.EquityShares

func (*Market) GetID 

func (m *Market) GetID() string

GetID returns the id of the given market.

func (*Market) GetInsurancePoolFraction 

func (m *Market) GetInsurancePoolFraction() num.Decimal

func (*Market) GetMarketCounters added in v0.73.0 

func (m *Market) GetMarketCounters() *types.MarketCounters

func (*Market) GetMarketData 

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

func (*Market) GetMarketState 

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

func (*Market) GetNewStateProviders 

func (m *Market) GetNewStateProviders() []types.StateProvider

func (*Market) GetNextMTM 

func (m *Market) GetNextMTM() time.Time

func (*Market) GetParentMarketID 

func (m *Market) GetParentMarketID() string

func (*Market) GetPartiesStats added in v0.73.0 

func (m *Market) GetPartiesStats() (stats *types.MarketStats)

GetPartiesStats is called at the end of the epoch, only once to be sent to the activity streak engine. This is using the calculated at the end of the epoch based on the countrer in the position engine. This is never sent into a snapshot as it relies on the order the epoch callback are executed. We expect the market OnEpoch to be called first, and compute the data, then the activity tracker callback to be called next, and retrieve the data through this method. The stats are reseted before being returned.

func (*Market) GetRiskFactors added in v0.74.0 

func (m *Market) GetRiskFactors() *types.RiskFactor

func (*Market) GetSettlementAsset 

func (m *Market) GetSettlementAsset() string

func (*Market) GetState 

func (m *Market) GetState() *types.ExecMarket

func (*Market) GetTotalOpenPositionCount 

func (m *Market) GetTotalOpenPositionCount() uint64

GetTotalOpenPositionCount returns the total number of open positions.

func (*Market) GetTotalOrderBookLevelCount 

func (m *Market) GetTotalOrderBookLevelCount() uint64

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

func (*Market) GetTotalPeggedOrderCount 

func (m *Market) GetTotalPeggedOrderCount() uint64

GetTotalPeggedOrderCount returns the total number of pegged orders.

func (*Market) GetTotalStopOrderCount 

func (m *Market) GetTotalStopOrderCount() uint64

GetTotalStopOrderCount returns the total number of stop orders.

func (*Market) Hash 

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

func (*Market) InheritParent 

func (m *Market) InheritParent(ctx context.Context, pstate *types.CPMarketState)

func (*Market) IntoType 

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

func (*Market) IsOpeningAuction added in v0.73.0 

func (m *Market) IsOpeningAuction() bool

func (*Market) IsPerp added in v0.73.0 

func (m *Market) IsPerp() bool

func (*Market) IsSucceeded 

func (m *Market) IsSucceeded() bool

func (*Market) LoadCPState 

func (m *Market) LoadCPState(state *types.CPMarketState)

func (*Market) Mkt 

func (m *Market) Mkt() *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) OnEpochEvent added in v0.73.0 

func (m *Market) OnEpochEvent(ctx context.Context, epoch types.Epoch)

func (*Market) OnEpochRestore added in v0.73.0 

func (m *Market) OnEpochRestore(ctx context.Context, epoch types.Epoch)

func (*Market) OnFeeFactorsInfrastructureFeeUpdate 

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

func (*Market) OnFeeFactorsMakerFeeUpdate 

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

func (*Market) OnIndexPriceUpdateFrequency 

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

func (*Market) OnMarginScalingFactorsUpdate 

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

func (*Market) OnMarkPriceUpdateMaximumFrequency 

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

func (*Market) OnMarketAuctionMaximumDurationUpdate added in v0.73.0 

func (m *Market) OnMarketAuctionMaximumDurationUpdate(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) OnMarketLiquidityV2BondPenaltyFactorUpdate added in v0.73.0 

func (m *Market) OnMarketLiquidityV2BondPenaltyFactorUpdate(liquidityV2BondPenaltyFactor num.Decimal)

func (*Market) OnMarketLiquidityV2EarlyExitPenaltyUpdate added in v0.73.0 

func (m *Market) OnMarketLiquidityV2EarlyExitPenaltyUpdate(d num.Decimal)

func (*Market) OnMarketLiquidityV2MaximumLiquidityFeeFactorLevelUpdate added in v0.73.0 

func (m *Market) OnMarketLiquidityV2MaximumLiquidityFeeFactorLevelUpdate(d num.Decimal)

func (*Market) OnMarketLiquidityV2ProvidersFeeCalculationTimeStep added in v0.73.0 

func (m *Market) OnMarketLiquidityV2ProvidersFeeCalculationTimeStep(d time.Duration)

func (*Market) OnMarketLiquidityV2SLANonPerformanceBondPenaltyMaxUpdate added in v0.73.0 

func (m *Market) OnMarketLiquidityV2SLANonPerformanceBondPenaltyMaxUpdate(d num.Decimal)

func (*Market) OnMarketLiquidityV2SLANonPerformanceBondPenaltySlopeUpdate added in v0.73.0 

func (m *Market) OnMarketLiquidityV2SLANonPerformanceBondPenaltySlopeUpdate(d num.Decimal)

func (*Market) OnMarketLiquidityV2StakeToCCYVolume added in v0.73.0 

func (m *Market) OnMarketLiquidityV2StakeToCCYVolume(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) OnMarketPartiesMaximumStopOrdersUpdate 

func (m *Market) OnMarketPartiesMaximumStopOrdersUpdate(ctx context.Context, u *num.Uint)

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) 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) ResetParentIDAndInsurancePoolFraction 

func (m *Market) ResetParentIDAndInsurancePoolFraction()

func (*Market) RestoreELS 

func (m *Market) RestoreELS(ctx context.Context, pstate *types.CPMarketState)

func (*Market) RollbackInherit 

func (m *Market) RollbackInherit(ctx context.Context)

func (*Market) SetNextIndexPriceCalc 

func (m *Market) SetNextIndexPriceCalc(tm time.Time)

func (*Market) SetNextMTM 

func (m *Market) SetNextMTM(tm time.Time)

func (*Market) SetSucceeded 

func (m *Market) SetSucceeded()

func (*Market) SetSuccessorELS 

func (m *Market) SetSuccessorELS(state *types.CPMarketState)

func (*Market) StartOpeningAuction 

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

func (*Market) StopSnapshots 

func (m *Market) StopSnapshots()

func (*Market) SubmitLiquidityProvision 

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

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

SubmitOrder submits the given order.

func (*Market) SubmitStopOrdersWithIDGeneratorAndOrderIDs 

func (m *Market) SubmitStopOrdersWithIDGeneratorAndOrderIDs(
	ctx context.Context,
	submission *types.StopOrdersSubmission,
	party string,
	idgen common.IDGenerator,
	fallsBelowID, risesAboveID *string,
) (*types.OrderConfirmation, error)

func (*Market) Update 

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

func (*Market) UpdateMarginMode added in v0.74.0 

func (m *Market) UpdateMarginMode(ctx context.Context, party string, marginMode types.MarginMode, marginFactor num.Decimal) error

func (*Market) UpdateMarketState added in v0.73.0 

func (m *Market) UpdateMarketState(ctx context.Context, changes *types.MarketStateUpdateConfiguration) error

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.

Source Files

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