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Orderbook fixes/optimization
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@ruixhuang
ruixhuang committed Aug 31, 2024
1 parent 8e4d1d7 commit b3aefd0
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Showing 11 changed files with 635 additions and 148 deletions.
42 changes: 38 additions & 4 deletions src/commonMain/kotlin/exchange.dydx.abacus/calculator/OrderbookCalculator.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -43,8 +43,42 @@ internal class OrderbookCalculator(

buildGroupingLookup(tickSize)
val groupingTickSize = getGroupingTickSizeDecimals(tickSize, groupingMultiplier)
val asks = createGroup(rawOrderbook.asks, groupingTickSize)
val bids = createGroup(rawOrderbook.bids, groupingTickSize)
val asks = if (groupingMultiplier != 1) {
createGroup(rawOrderbook.asks, groupingTickSize)
} else {
var asksDepth = 0.0
var depthSizeCost = 0.0
rawOrderbook.asks?.map {
asksDepth += it.size
val sizeCost = it.size * it.price
depthSizeCost += sizeCost
OrderbookLine(
size = it.size,
price = it.price,
depth = asksDepth,
sizeCost = sizeCost,
depthCost = depthSizeCost,
)
}
}
val bids = if (groupingMultiplier != 1) {
createGroup(rawOrderbook.bids, groupingTickSize)
} else {
var bidsDepth = 0.0
var depthSizeCost = 0.0
rawOrderbook.bids?.map {
bidsDepth += it.size
val sizeCost = it.size * it.price
depthSizeCost += sizeCost
OrderbookLine(
size = it.size,
price = it.price,
depth = bidsDepth,
sizeCost = sizeCost,
depthCost = depthSizeCost,
)
}
}

val firstAskPrice = asks?.firstOrNull()?.price
val firstBidPrice = bids?.firstOrNull()?.price
Expand Down Expand Up @@ -131,7 +165,7 @@ internal class OrderbookCalculator(
val result = mutableListOf<OrderbookLine>()

// properties of the current group
var curFloored = Rounder.round(firstPrice, grouping);
var curFloored = Rounder.quickRound2(firstPrice, grouping);
var groupMin = if (curFloored != firstPrice) curFloored else (if (shouldFloor) curFloored else curFloored - grouping)
var groupMax = groupMin + grouping
var size = Numeric.double.ZERO
Expand Down Expand Up @@ -161,7 +195,7 @@ internal class OrderbookCalculator(
depthCost = depthCost,
),
)
curFloored = Rounder.round(linePrice, grouping);
curFloored = Rounder.quickRound2(linePrice, grouping);
groupMin = if (curFloored != linePrice) curFloored else (if (shouldFloor) curFloored else curFloored - grouping)
groupMax = groupMin + grouping

Expand Down
2 changes: 1 addition & 1 deletion src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/OrderbookProcessor.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,7 @@ internal class OrderbookProcessor(
rawOrderbook = existing.rawOrderbook,
)
existing.groupedOrderbook = calculator.calculate(
rawOrderbook = existing.rawOrderbook,
rawOrderbook = existing.consolidatedOrderbook,
tickSize = tickSize ?: defaultTickSize,
groupingMultiplier = groupingMultiplier,
)
Expand Down
2 changes: 1 addition & 1 deletion src/commonMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+Markets.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -21,7 +21,7 @@ internal fun TradingStateMachine.receivedMarkets(
val marketsPayload = parser.asTypedStringMap<IndexerCompositeMarketObject>(markets)
marketsProcessor.processSubscribed(internalState.marketsSummary, marketsPayload)
}
// TODO remove deprecated

marketsSummary = marketsProcessor.subscribedDeprecated(marketsSummary, payload)
marketsSummary = marketsCalculator.calculate(parser.asMap(marketsSummary), assets, null)
val subaccountNumbers = MarginCalculator.getChangedSubaccountNumbersDeprecated(
Expand Down
28 changes: 14 additions & 14 deletions src/commonMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+Orderbook.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -26,12 +26,11 @@ internal fun TradingStateMachine.receivedOrderbook(
tickSize = market?.perpetualMarket?.configs?.tickSize,
content = orderbookPayload,
)
} else {
this.marketsSummary =
marketsProcessor.receivedOrderbookDeprecated(marketsSummary, marketId, payload)
}

// TODO: Remove after TradeCalculator is converted to static typing
this.marketsSummary =
marketsProcessor.receivedOrderbookDeprecated(marketsSummary, marketId, payload)

return StateChanges(
iListOf(Changes.orderbook, Changes.input),
iListOf(marketId),
Expand Down Expand Up @@ -69,13 +68,14 @@ internal fun TradingStateMachine.receivedBatchOrderbookChanges(
marketId = marketId,
content = orderbookUpdatePayload,
)
} else {
this.marketsSummary = marketsProcessor.receivedBatchOrderbookChangesDeprecated(
marketsSummary,
marketId,
payload,
)
}
// TODO: Remove after TradeCalculator is converted to static typing
this.marketsSummary = marketsProcessor.receivedBatchOrderbookChangesDeprecated(
marketsSummary,
marketId,
payload,
)

return StateChanges(
iListOf(Changes.orderbook, Changes.input),
iListOf(marketId),
Expand All @@ -96,12 +96,12 @@ internal fun TradingStateMachine.setOrderbookGrouping(
marketId = marketId,
groupingMultiplier = groupingMultiplier,
)
} else {
this.groupingMultiplier = groupingMultiplier
this.marketsSummary =
marketsProcessor.groupOrderbookDeprecated(marketsSummary, marketId)
}

// TODO: Remove after TradeCalculator is converted to static typing
this.groupingMultiplier = groupingMultiplier
this.marketsSummary = marketsProcessor.groupOrderbookDeprecated(marketsSummary, marketId)

val changes =
StateChanges(
iListOf(Changes.orderbook),
Expand Down
50 changes: 26 additions & 24 deletions src/commonMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+Rewards.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -14,15 +14,16 @@ internal fun TradingStateMachine.onChainRewardsParams(payload: String): StateCha
if (staticTyping) {
val rewardParamsObject = parser.asTypedObject<OnChainRewardsParamsResponse>(payload)
internalState.rewardsParams = rewardsProcessor.process(rewardParamsObject)
} else {
val json = parser.decodeJsonObject(payload)
val params = parser.asMap(json?.get("params"))
rewardsParams =
if (params != null) {
rewardsProcessor.received(parser.asMap(rewardsParams), params)
} else {
null
}
}
val json = parser.decodeJsonObject(payload)
val params = parser.asMap(json?.get("params"))
rewardsParams =
if (params != null) {
rewardsProcessor.received(parser.asMap(rewardsParams), params)
} else {
null
}
return StateChanges(iListOf())
}

Expand All @@ -33,23 +34,24 @@ internal fun TradingStateMachine.onChainRewardTokenPrice(payload: String): State
eixsting = internalState.rewardsParams,
payload = tokenPriceResponse,
)
}
val json = try {
Json.parseToJsonElement(payload).jsonObject.toMap()
} catch (exception: SerializationException) {
Logger.e {
"Failed to deserialize onChainRewardTokenPrice: $payload \n" +
"Exception: $exception"
}
null
}
val map = parser.asMap(json)
val price = parser.asMap(map?.get("marketPrice"))
rewardsParams =
if (price != null) {
rewardsProcessor.receivedTokenPrice(parser.asMap(rewardsParams), price)
} else {
} else {
val json = try {
Json.parseToJsonElement(payload).jsonObject.toMap()
} catch (exception: SerializationException) {
Logger.e {
"Failed to deserialize onChainRewardTokenPrice: $payload \n" +
"Exception: $exception"
}
null
}
val map = parser.asMap(json)
val price = parser.asMap(map?.get("marketPrice"))
rewardsParams =
if (price != null) {
rewardsProcessor.receivedTokenPrice(parser.asMap(rewardsParams), price)
} else {
null
}
}
return StateChanges(iListOf())
}
15 changes: 15 additions & 0 deletions src/commonMain/kotlin/exchange.dydx.abacus/utils/Rounder.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -68,6 +68,21 @@ class Rounder {
}
}

fun quickRound2(number: Double, stepSize: Double, roundingMode: RoundingMode = RoundingMode.TOWARDS_ZERO): Double {
if (stepSize > 0) {
val factor = stepSize
when (roundingMode) {
RoundingMode.TOWARDS_ZERO -> {
val sign = if (number < 0) -1 else 1
return kotlin.math.floor(number.abs() / factor) * factor * sign
}
RoundingMode.NEAREST -> return kotlin.math.round(number / factor) * factor
}
} else {
return number
}
}

fun round(number: Double, stepSize: Double, roundingMode: RoundingMode = RoundingMode.TOWARDS_ZERO): Double {
val roundedDecimal = roundDecimal(
number.toBigDecimal(null, Numeric.decimal.mode),
Expand Down
53 changes: 33 additions & 20 deletions src/commonTest/kotlin/exchange.dydx.abacus/payload/v3/V3MarketsDelayedTests.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -9,11 +9,17 @@ import kotlin.test.assertTrue
class V3MarketsDelayedTests : V3BaseTests() {
@Test
fun testOrderbookFirst() {
test(
{
loadOrderbook()
},
"""
if (perp.staticTyping) {
loadOrderbook()

val market = perp.internalState.marketsSummary.markets.get("ETH-USD")
assertTrue { market?.groupedOrderbook != null }
} else {
test(
{
loadOrderbook()
},
"""
{
"markets": {
"markets": {
Expand All @@ -24,11 +30,12 @@ class V3MarketsDelayedTests : V3BaseTests() {
}
}
}
""".trimIndent(),
{
assertNull(perp.state?.marketsSummary)
},
)
""".trimIndent(),
{
assertNull(perp.state?.marketsSummary)
},
)
}

if (perp.staticTyping) {
perp.loadTrades(mock)
Expand Down Expand Up @@ -58,11 +65,16 @@ class V3MarketsDelayedTests : V3BaseTests() {
)
}

test(
{
loadMarkets()
},
"""
if (perp.staticTyping) {
loadMarkets()
val market = perp.internalState.marketsSummary.markets.get("ETH-USD")
assertTrue { market?.groupedOrderbook != null }
} else {
test(
{
loadMarkets()
},
"""
{
"markets": {
"markets": {
Expand All @@ -73,11 +85,12 @@ class V3MarketsDelayedTests : V3BaseTests() {
}
}
}
""".trimIndent(),
{
assertNotNull(perp.state?.marketsSummary)
},
)
""".trimIndent(),
{
assertNotNull(perp.state?.marketsSummary)
},
)
}
}

@Test
Expand Down
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