Merge pull request #44 from crescent-network/cherry-pick/333

fix: return as many ticks as `numTicks` in `MakeOrderBookResponse` #333
cosmosquad-labs · Jul 13, 2022 · 2341cfb · 2341cfb
2 parents 576e5e9 + 3a9f1f5
commit 2341cfb
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Showing 5 changed files with 40 additions and 21 deletions.
diff --git a/x/liquidity/keeper/grpc_query.go b/x/liquidity/keeper/grpc_query.go
@@ -580,7 +580,7 @@ func (k Querier) OrderBooks(c context.Context, req *types.QueryOrderBooksRequest
 		}
 
 		for _, tickPrec := range req.TickPrecisions {
-			obs = append(obs, types.MakeOrderBookResponse(ov, int(tickPrec), int(req.NumTicks)))
+			obs = append(obs, types.MakeOrderBookResponse(ov, lowestPrice, highestPrice, int(tickPrec), int(req.NumTicks)))
 		}
 		pairs = append(pairs, types.OrderBookPairResponse{
 			PairId:     pairId,

diff --git a/x/liquidity/keeper/swap_test.go b/x/liquidity/keeper/swap_test.go
@@ -938,9 +938,11 @@ func (s *KeeperTestSuite) TestOrderBooks_edgecase1() {
 	s.Require().Len(resp.Pairs, 1)
 	s.Require().Len(resp.Pairs[0].OrderBooks, 1)
 
-	s.Require().Len(resp.Pairs[0].OrderBooks[0].Buys, 1)
+	s.Require().Len(resp.Pairs[0].OrderBooks[0].Buys, 2)
 	s.Require().True(decEq(utils.ParseDec("0.6321"), resp.Pairs[0].OrderBooks[0].Buys[0].Price))
 	s.Require().True(intEq(sdk.NewInt(1178846737645), resp.Pairs[0].OrderBooks[0].Buys[0].UserOrderAmount))
+	s.Require().True(decEq(utils.ParseDec("0.5187"), resp.Pairs[0].OrderBooks[0].Buys[1].Price))
+	s.Require().True(intEq(sdk.NewInt(13340086), resp.Pairs[0].OrderBooks[0].Buys[1].UserOrderAmount))
 	s.Require().Len(resp.Pairs[0].OrderBooks[0].Sells, 0)
 }
 

diff --git a/x/liquidity/types/example_orderbook_test.go b/x/liquidity/types/example_orderbook_test.go
@@ -23,7 +23,9 @@ func ExampleMakeOrderBookResponse() {
 	ov := ob.MakeView()
 	ov.Match()
 	tickPrec := 1
-	resp := types.MakeOrderBookResponse(ov, tickPrec, 20)
+	lowestPrice := utils.ParseDec("0")
+	highestPrice := utils.ParseDec("20")
+	resp := types.MakeOrderBookResponse(ov, lowestPrice, highestPrice, tickPrec, 20)
 	basePrice, found := types.OrderBookBasePrice(ov, tickPrec)
 	if !found {
 		panic("base price not found")
@@ -64,7 +66,7 @@ func ExampleMakeOrderBookResponse_pool() {
 	ov := ob.MakeView()
 	ov.Match()
 	tickPrec := 2
-	resp := types.MakeOrderBookResponse(ov, tickPrec, 10)
+	resp := types.MakeOrderBookResponse(ov, lowestPrice, highestPrice, tickPrec, 10)
 	basePrice, found := types.OrderBookBasePrice(ov, tickPrec)
 	if !found {
 		panic("base price not found")
@@ -73,6 +75,11 @@ func ExampleMakeOrderBookResponse_pool() {
 
 	// Output:
 	// +------------------------------------------------------------------------+
+	// |            2299835 |         1.011000000000000000 |                    |
+	// |            2342262 |         1.008000000000000000 |                    |
+	// |            2170367 |         1.005000000000000000 |                    |
+	// |            2059733 |         1.003000000000000000 |                    |
+	// |            1914496 |         1.000000000000000000 |                    |
 	// |            1846587 |         0.998000000000000000 |                    |
 	// |            1729430 |         0.995000000000000000 |                    |
 	// |            1674921 |         0.993000000000000000 |                    |
@@ -85,6 +92,12 @@ func ExampleMakeOrderBookResponse_pool() {
 	// |                    |         0.985000000000000000 | 1520420            |
 	// |                    |         0.982000000000000000 | 1671594            |
 	// |                    |         0.979000000000000000 | 1672618            |
+	// |                    |         0.975000000000000000 | 1836801            |
+	// |                    |         0.972000000000000000 | 1839965            |
+	// |                    |         0.968000000000000000 | 2017741            |
+	// |                    |         0.965000000000000000 | 2023466            |
+	// |                    |         0.961000000000000000 | 2215515            |
+	// |                    |         0.957000000000000000 | 2224296            |
 	// +------------------------------------------------------------------------+
 }
 
@@ -108,7 +121,7 @@ func ExampleMakeOrderBookResponse_userOrder() {
 	ov := ob.MakeView()
 	ov.Match()
 	tickPrec := 3
-	resp := types.MakeOrderBookResponse(ov, tickPrec, 10)
+	resp := types.MakeOrderBookResponse(ov, lowestPrice, highestPrice, tickPrec, 10)
 	basePrice, found := types.OrderBookBasePrice(ov, tickPrec)
 	if !found {
 		panic("base price not found")
@@ -154,7 +167,7 @@ func ExampleMakeOrderBookResponse_match() {
 	ov := ob.MakeView()
 	ov.Match()
 	tickPrec := 3
-	resp := types.MakeOrderBookResponse(ov, tickPrec, 10)
+	resp := types.MakeOrderBookResponse(ov, utils.ParseDec("0.9"), utils.ParseDec("1.1"), tickPrec, 10)
 	basePrice, found := types.OrderBookBasePrice(ov, tickPrec)
 	if !found {
 		panic("base price not found")
@@ -183,7 +196,7 @@ func ExampleMakeOrderBookResponse_zigzag() {
 	ov.Match()
 
 	basePrice, _ := types.OrderBookBasePrice(ov, 4)
-	resp := types.MakeOrderBookResponse(ov, 3, 20)
+	resp := types.MakeOrderBookResponse(ov, utils.ParseDec("0.9"), utils.ParseDec("1.1"), 3, 20)
 	types.PrintOrderBookResponse(resp, basePrice)
 
 	// Output:
@@ -212,7 +225,7 @@ func ExampleMakeOrderBookResponse_edgecase1() {
 	ov.Match()
 
 	basePrice, _ := types.OrderBookBasePrice(ov, 4)
-	resp := types.MakeOrderBookResponse(ov, 3, 10)
+	resp := types.MakeOrderBookResponse(ov, lowestPrice, highestPrice, 3, 10)
 	types.PrintOrderBookResponse(resp, basePrice)
 
 	// Output:
@@ -256,7 +269,7 @@ func ExampleMakeOrderBookResponse_edgecase2() {
 	ov.Match()
 
 	basePrice, _ := types.OrderBookBasePrice(ov, 4)
-	resp := types.MakeOrderBookResponse(ov, 3, 10)
+	resp := types.MakeOrderBookResponse(ov, utils.ParseDec("0.9"), utils.ParseDec("1.1"), 3, 10)
 	types.PrintOrderBookResponse(resp, basePrice)
 
 	// Output:
@@ -280,7 +293,7 @@ func ExampleMakeOrderBookResponse_edgecase3() {
 	ov.Match()
 
 	basePrice, _ := types.OrderBookBasePrice(ov, 4)
-	resp := types.MakeOrderBookResponse(ov, 3, 10)
+	resp := types.MakeOrderBookResponse(ov, utils.ParseDec("0.9"), utils.ParseDec("1.1"), 3, 10)
 	types.PrintOrderBookResponse(resp, basePrice)
 
 	// Output:

diff --git a/x/liquidity/types/orderbook.go b/x/liquidity/types/orderbook.go
@@ -24,7 +24,7 @@ func OrderBookBasePrice(ov amm.OrderView, tickPrec int) (sdk.Dec, bool) {
 	}
 }
 
-func MakeOrderBookResponse(ov amm.OrderView, tickPrec, numTicks int) OrderBookResponse {
+func MakeOrderBookResponse(ov amm.OrderView, lowestPrice, highestPrice sdk.Dec, tickPrec, numTicks int) OrderBookResponse {
 	ammTickPrec := amm.TickPrecision(tickPrec)
 	resp := OrderBookResponse{TickPrecision: uint32(tickPrec)}
 
@@ -45,7 +45,7 @@ func MakeOrderBookResponse(ov amm.OrderView, tickPrec, numTicks int) OrderBookRe
 		startPrice := FitPriceToTickGap(highestBuyPrice, tickGap, true)
 		currentPrice := startPrice
 		accAmt := sdk.ZeroInt()
-		for i := 0; i < numTicks && !currentPrice.IsNegative(); i++ {
+		for i := 0; i < numTicks && currentPrice.GTE(lowestPrice) && !currentPrice.IsNegative(); {
 			amt := ov.BuyAmountOver(currentPrice, true).Sub(accAmt)
 			if amt.IsPositive() {
 				resp.Buys = append(resp.Buys, OrderBookTickResponse{
@@ -54,6 +54,7 @@ func MakeOrderBookResponse(ov amm.OrderView, tickPrec, numTicks int) OrderBookRe
 					PoolOrderAmount: sdk.ZeroInt(),
 				})
 				accAmt = accAmt.Add(amt)
+				i++
 			}
 			currentPrice = currentPrice.Sub(tickGap)
 		}
@@ -62,7 +63,7 @@ func MakeOrderBookResponse(ov amm.OrderView, tickPrec, numTicks int) OrderBookRe
 		startPrice := FitPriceToTickGap(lowestSellPrice, tickGap, false)
 		currentPrice := startPrice
 		accAmt := sdk.ZeroInt()
-		for i := 0; i < numTicks; i++ {
+		for i := 0; i < numTicks && currentPrice.LTE(highestPrice); {
 			amt := ov.SellAmountUnder(currentPrice, true).Sub(accAmt)
 			if amt.IsPositive() {
 				resp.Sells = append(resp.Sells, OrderBookTickResponse{
@@ -71,6 +72,7 @@ func MakeOrderBookResponse(ov amm.OrderView, tickPrec, numTicks int) OrderBookRe
 					PoolOrderAmount: sdk.ZeroInt(),
 				})
 				accAmt = accAmt.Add(amt)
+				i++
 			}
 			currentPrice = currentPrice.Add(tickGap)
 		}

diff --git a/x/liquidity/types/orderbook_test.go b/x/liquidity/types/orderbook_test.go
@@ -16,9 +16,10 @@ func newOrder(dir amm.OrderDirection, price sdk.Dec, amt sdk.Int) amm.Order {
 }
 
 func TestMakeOrderBookResponse(t *testing.T) {
-	pool := amm.NewBasicPool(sdk.NewInt(862431695563), sdk.NewInt(37852851767), sdk.Int{})
-	lowestPrice := pool.Price().Mul(sdk.NewDecWithPrec(9, 1))
-	highestPrice := pool.Price().Mul(sdk.NewDecWithPrec(11, 1))
+	pool := amm.NewBasicPool(sdk.NewInt(1000_000000), sdk.NewInt(1000_000000), sdk.Int{})
+	lastPrice := utils.ParseDec("1")
+	lowestPrice := lastPrice.Mul(utils.ParseDec("0.9"))
+	highestPrice := lastPrice.Mul(utils.ParseDec("1.1"))
 
 	ob := amm.NewOrderBook()
 	ob.AddOrder(amm.PoolOrders(pool, amm.DefaultOrderer, lowestPrice, highestPrice, 4)...)
@@ -29,13 +30,13 @@ func TestMakeOrderBookResponse(t *testing.T) {
 		panic("base price not found")
 	}
 
-	resp := types.MakeOrderBookResponse(ov, 3, 20)
+	resp := types.MakeOrderBookResponse(ov, lowestPrice, highestPrice, 4, 20)
 	types.PrintOrderBookResponse(resp, basePrice)
 }
 
 func BenchmarkMakeOrderBookResponse(b *testing.B) {
 	for i := 0; i < b.N; i++ {
-		makeOrderBookPairResponse(100, 10, 20, 4)
+		makeOrderBookPairResponse(100, 2, 20, 4)
 	}
 }
 
@@ -55,11 +56,12 @@ func makeOrderBookPairResponse(numOrders, numPools, numTicks, tickPrec int) *typ
 		ob.AddOrder(newOrder(dir, price, amt))
 	}
 
+	lowestPrice, highestPrice := utils.ParseDec("0.9"), utils.ParseDec("1.1")
 	for i := 0; i < numPools; i++ {
 		rx := utils.RandomInt(r, sdk.NewInt(10000_000000), sdk.NewInt(11000_000000))
 		ry := utils.RandomInt(r, sdk.NewInt(10000_000000), sdk.NewInt(11000_000000))
 		pool := amm.NewBasicPool(rx, ry, sdk.Int{})
-		ob.AddOrder(amm.PoolOrders(pool, amm.DefaultOrderer, utils.ParseDec("0.9"), utils.ParseDec("1.1"), tickPrec)...)
+		ob.AddOrder(amm.PoolOrders(pool, amm.DefaultOrderer, lowestPrice, highestPrice, tickPrec)...)
 	}
 
 	ov := ob.MakeView()
@@ -74,8 +76,8 @@ func makeOrderBookPairResponse(numOrders, numPools, numTicks, tickPrec int) *typ
 		PairId:    1,
 		BasePrice: basePrice,
 	}
-	for _, tickPrec := range []int{1, 2, 3, 4} {
-		resp.OrderBooks = append(resp.OrderBooks, types.MakeOrderBookResponse(ov, tickPrec, numTicks))
+	for _, tickPrec := range []int{2, 3, 4} {
+		resp.OrderBooks = append(resp.OrderBooks, types.MakeOrderBookResponse(ov, lowestPrice, highestPrice, tickPrec, numTicks))
 	}
 	return resp
 }