supplied

Documentation

Index

• Variables
• type Engine
  • func NewEngine(riskModel RiskModel, priceMonitor PriceMonitor, asset, marketID string, ...) *Engine
  • func (e *Engine) CalculateLiquidityScore(orders []*types.Order, bestBid, bestAsk num.Decimal, ...) num.Decimal
  • func (e *Engine) IsProbabilityOfTradingInitialised() bool
  • func (e *Engine) OnMinProbabilityOfTradingLPOrdersUpdate(v num.Decimal)
  • func (e *Engine) OnProbabilityOfTradingTauScalingUpdate(v num.Decimal)
  • func (e *Engine) Payload() *snapshotpb.Payload
  • func (e *Engine) Reload(ls *snapshotpb.LiquiditySupplied) error
  • func (e *Engine) SetGetStaticPricesFunc(f func() (num.Decimal, num.Decimal, error))
  • func (e *Engine) UpdateMarketConfig(riskModel RiskModel, monitor PriceMonitor)
• type PriceMonitor
• type RiskModel
• type StateVarEngine

Variables

var (
	OffsetIncrement          = uint32(1000) // the increment of offsets in the offset slice - 1/PriceIncrementFactor as integer
	OffsetIncrementAsDecimal = num.DecimalFromInt64(int64(OffsetIncrement))
	OffsetOneDecimal         = OffsetIncrementAsDecimal.Mul(OffsetIncrementAsDecimal)             // an offset of 100%
	PriceIncrementFactor     = num.DecimalOne().Div(num.DecimalFromInt64(int64(OffsetIncrement))) // we calculate the probability of trading in increments of 0.001 from of the best bid/ask

)

var (
	ErrNoValidOrders = errors.New("no valid orders to cover the liquidity obligation with")
)

ErrNoValidOrders informs that there weren't any valid orders to cover the liquidity obligation with. This could happen when for a given side (buy or sell) limit orders don't supply enough liquidity and there aren't any valid pegged orders (all the prives are invalid) to cover it with.

Types

type Engine

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

Engine provides functionality related to supplied liquidity.

func NewEngine

func NewEngine(riskModel RiskModel, priceMonitor PriceMonitor, asset, marketID string, stateVarEngine StateVarEngine, log *logging.Logger, positionFactor num.Decimal) *Engine

NewEngine returns a reference to a new supplied liquidity calculation engine.

func (*Engine) CalculateLiquidityScore

func (e *Engine) CalculateLiquidityScore(
	orders []*types.Order,
	bestBid, bestAsk num.Decimal,
	minLpPrice, maxLpPrice *num.Uint,
) num.Decimal

CalculateLiquidityScore returns the current liquidity scores (volume-weighted probability of trading).

func (*Engine) IsProbabilityOfTradingInitialised

func (e *Engine) IsProbabilityOfTradingInitialised() bool

func (*Engine) OnMinProbabilityOfTradingLPOrdersUpdate

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

func (*Engine) OnProbabilityOfTradingTauScalingUpdate

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

func (*Engine) Payload

func (e *Engine) Payload() *snapshotpb.Payload

func (*Engine) Reload

func (e *Engine) Reload(ls *snapshotpb.LiquiditySupplied) error

func (*Engine) SetGetStaticPricesFunc

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

func (*Engine) UpdateMarketConfig

func (e *Engine) UpdateMarketConfig(riskModel RiskModel, monitor PriceMonitor)

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 RiskModel

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

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

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
}