use optimistic execution price

dydxprotocol · Apr 11, 2024 · 1718d08 · 1718d08
1 parent ec506bd
commit 1718d08
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Showing 10 changed files with 157 additions and 122 deletions.
diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/calculator/AccountTransformer.kt b/src/commonMain/kotlin/exchange.dydx.abacus/calculator/AccountTransformer.kt
@@ -13,7 +13,8 @@ class AccountTransformer() {
         market: Map<String, Any>?,
         parser: ParserProtocol,
         period: String,
-        usePessimisticCollateralCheck: Boolean
+        usePessimisticCollateralCheck: Boolean,
+        useOptimisticCollateralCheck: Boolean
     ): Map<String, Any>? {
         val modified = account?.mutable() ?: return null
         val subaccount = if (subaccountNumber != null) {
@@ -27,7 +28,15 @@ class AccountTransformer() {
             null
         }
         val modifiedSubaccount =
-            subaccountTransformer.applyTradeToSubaccount(subaccount, trade, market, parser, period, usePessimisticCollateralCheck)
+            subaccountTransformer.applyTradeToSubaccount(
+                subaccount,
+                trade,
+                market,
+                parser,
+                period,
+                usePessimisticCollateralCheck,
+                useOptimisticCollateralCheck,
+            )
         modified.safeSet("subaccounts.$subaccountNumber", modifiedSubaccount)
         return modified
     }

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/calculator/SubaccountTransformer.kt b/src/commonMain/kotlin/exchange.dydx.abacus/calculator/SubaccountTransformer.kt
@@ -29,15 +29,22 @@ internal class SubaccountTransformer {
         limitPrice: Double?,
         isBuying: Boolean,
         usePessimisticPrice: Boolean,
+        useOptimisticPrice: Boolean,
     ): Double? {
-        if (usePessimisticPrice) {
-            oraclePrice?.let { oraclePrice ->
-                limitPrice?.let { limitPrice ->
+        oraclePrice?.let { oraclePrice ->
+            limitPrice?.let { limitPrice ->
+                if (usePessimisticPrice) {
                     return if (isBuying) {
                         max(oraclePrice, limitPrice)
                     } else {
                         min(oraclePrice, limitPrice)
                     }
+                } else if (useOptimisticPrice) {
+                    return if (isBuying) {
+                        min(oraclePrice, limitPrice)
+                    } else {
+                        max(oraclePrice, limitPrice)
+                    }
                 }
             }
         }
@@ -49,6 +56,7 @@ internal class SubaccountTransformer {
         trade: Map<String, Any>,
         market: Map<String, Any>?,
         usePessimisticCollateralCheck: Boolean,
+        useOptimisticCollateralCheck: Boolean,
     ): Map<String, Any>? {
         val marketId = parser.asString(trade["marketId"])
         val side = parser.asString(trade["side"])
@@ -64,6 +72,7 @@ internal class SubaccountTransformer {
                             originalPrice,
                             side == "BUY",
                             usePessimisticCollateralCheck,
+                            useOptimisticCollateralCheck,
                         )
                     } ?: originalPrice
                     val size = (
@@ -196,10 +205,17 @@ internal class SubaccountTransformer {
         market: Map<String, Any>?,
         parser: ParserProtocol,
         period: String,
-        usePessimisticCollateralCheck: Boolean
+        usePessimisticCollateralCheck: Boolean,
+        useOptimisticCollateralCheck: Boolean,
     ): Map<String, Any>? {
         if (subaccount != null) {
-            val delta = deltaFromTrade(parser, trade, market, usePessimisticCollateralCheck)
+            val delta = deltaFromTrade(
+                parser,
+                trade,
+                market,
+                usePessimisticCollateralCheck,
+                useOptimisticCollateralCheck,
+            )
             return applyDeltaToSubaccount(subaccount, delta, parser, period)
         }
         return subaccount

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/calculator/TradeInputCalculator.kt b/src/commonMain/kotlin/exchange.dydx.abacus/calculator/TradeInputCalculator.kt
@@ -118,6 +118,7 @@ internal class TradeInputCalculator(
                     parser,
                     "postOrder",
                     featureFlags.usePessimisticCollateralCheck,
+                    featureFlags.useOptimisticCollateralCheck,
                 ),
             )
             modified

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/state/manager/Enviroment.kt b/src/commonMain/kotlin/exchange.dydx.abacus/state/manager/Enviroment.kt
@@ -103,6 +103,7 @@ data class EnvironmentLinks(
 data class EnvironmentFeatureFlags(
     val reduceOnlySupported: Boolean,
     val usePessimisticCollateralCheck: Boolean,
+    val useOptimisticCollateralCheck: Boolean,
     val withdrawalSafetyEnabled: Boolean,
 ) {
     companion object {
@@ -112,11 +113,13 @@ data class EnvironmentFeatureFlags(
         ): EnvironmentFeatureFlags {
             val reduceOnlySupported = parser.asBool(data?.get("reduceOnlySupported")) ?: false
             val usePessimisticCollateralCheck = parser.asBool(data?.get("usePessimisticCollateralCheck")) ?: false
+            val useOptimisticCollateralCheck = parser.asBool(data?.get("useOptimisticCollateralCheck")) ?: false
             val withdrawalSafetyEnabled = parser.asBool(data?.get("withdrawalSafetyEnabled")) ?: false
 
             return EnvironmentFeatureFlags(
                 reduceOnlySupported,
                 usePessimisticCollateralCheck,
+                useOptimisticCollateralCheck,
                 withdrawalSafetyEnabled,
             )
         }

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/utils/AnalyticsUtils.kt b/src/commonMain/kotlin/exchange.dydx.abacus/utils/AnalyticsUtils.kt
@@ -41,7 +41,10 @@ class AnalyticsUtils {
      * @param payload HumanReadableCancelOrderPayload
      * @param fromSlTpDialog Boolean
      */
-    fun formatCancelOrderPayload(payload: HumanReadableCancelOrderPayload, fromSlTpDialog: Boolean? = false,): IMap<String, Any>? {
+    fun formatCancelOrderPayload(
+        payload: HumanReadableCancelOrderPayload,
+        fromSlTpDialog: Boolean? = false,
+    ): IMap<String, Any>? {
         return iMapOf(
             "fromSlTpDialog" to fromSlTpDialog,
             "subaccountNumber" to payload.subaccountNumber,