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Remove equity tier validation #397

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merged 5 commits into from
May 29, 2024
Merged

Remove equity tier validation #397

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9e52b77
add equity limit tiers in configs output
aforaleka May 28, 2024
5192c6c
remove equity tier validations
aforaleka May 28, 2024
24236cf
nit
aforaleka May 29, 2024
cb2cecf
nit
aforaleka May 29, 2024
890491a
Bump version
mobile-build-bot May 29, 2024
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2 changes: 1 addition & 1 deletion build.gradle.kts
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Original file line number Diff line number Diff line change
Expand Up @@ -51,7 +51,7 @@ allprojects {
}

group = "exchange.dydx.abacus"
version = "1.7.35"
version = "1.7.36"

repositories {
google()
Expand Down
194 changes: 12 additions & 182 deletions src/commonMain/kotlin/exchange.dydx.abacus/validator/TriggerOrdersInputValidator.kt
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Original file line number Diff line number Diff line change
@@ -1,8 +1,6 @@
package exchange.dydx.abacus.validator
import abs
import exchange.dydx.abacus.output.input.OrderSide
import exchange.dydx.abacus.output.input.OrderStatus
import exchange.dydx.abacus.output.input.OrderTimeInForce
import exchange.dydx.abacus.output.input.OrderType
import exchange.dydx.abacus.protocols.LocalizerProtocol
import exchange.dydx.abacus.protocols.ParserProtocol
Expand All @@ -11,8 +9,6 @@ import exchange.dydx.abacus.state.manager.BlockAndTime
import exchange.dydx.abacus.state.manager.V4Environment
import exchange.dydx.abacus.state.model.TriggerOrdersInputField
import exchange.dydx.abacus.utils.Rounder
import exchange.dydx.abacus.validator.trade.EquityTier
import exchange.dydx.abacus.validator.trade.SubaccountLimitConstants.MAX_NUM_OPEN_UNTRIGGERED_ORDERS

enum class RelativeToPrice(val rawValue: String) {
ABOVE("ABOVE"),
Expand Down Expand Up @@ -47,7 +43,8 @@ internal class TriggerOrdersInputValidator(

val marketId = parser.asString(transaction["marketId"]) ?: return null
val market = parser.asNativeMap(markets?.get(marketId))
val position = parser.asNativeMap(parser.value(subaccount, "openPositions.$marketId")) ?: return null
val position = parser.asNativeMap(parser.value(subaccount, "openPositions.$marketId"))
?: return null
val tickSize = parser.asString(parser.value(market, "configs.tickSize")) ?: "0.01"
val oraclePrice = parser.asDouble(
parser.value(
Expand All @@ -56,7 +53,7 @@ internal class TriggerOrdersInputValidator(
),
) ?: return null

validateTriggerOrders(transaction, market, subaccount, configs, environment)?.let {
validateTriggerOrders(transaction, market)?.let {
errors.addAll(it)
}

Expand Down Expand Up @@ -103,17 +100,8 @@ internal class TriggerOrdersInputValidator(
private fun validateTriggerOrders(
triggerOrders: Map<String, Any>,
market: Map<String, Any>?,
subaccount: Map<String, Any>?,
configs: Map<String, Any>?,
environment: V4Environment?,
): MutableList<Any>? {
val triggerErrors = mutableListOf<Any>()
validateOrderCount(triggerOrders, subaccount, configs, environment)?.let {
/*
USER_MAX_ORDERS
*/
triggerErrors.addAll(it)
}
validateSize(parser.asDouble(triggerOrders["size"]), market)?.let {
/*
AMOUNT_INPUT_STEP_SIZE
Expand Down Expand Up @@ -206,6 +194,7 @@ internal class TriggerOrdersInputValidator(
null
}
}

RelativeToPrice.BELOW -> {
if (triggerPrice >= liquidationPrice) {
liquidationPriceError(
Expand All @@ -219,6 +208,7 @@ internal class TriggerOrdersInputValidator(
null
}
}

else -> null
}
}
Expand Down Expand Up @@ -249,137 +239,6 @@ internal class TriggerOrdersInputValidator(
)
}

private fun validateOrderCount(
triggerOrders: Map<String, Any>,
subaccount: Map<String, Any>?,
configs: Map<String, Any>?,
environment: V4Environment?,
): List<Any>? {
val equityTier = equityTier(subaccount, configs)

val fallbackMaxNumOrders = MAX_NUM_OPEN_UNTRIGGERED_ORDERS

val equityTierLimit = equityTier?.maxOrders ?: fallbackMaxNumOrders
val nextLevelRequiredTotalNetCollateralUSD =
equityTier?.nextLevelRequiredTotalNetCollateralUSD
val numOrders = orderCount(subaccount)
var numOrdersToCreate = 0
var numOrdersToCancel = 0

if (parser.value(triggerOrders, "stopLossOrder.price.triggerPrice") != null && parser.value(triggerOrders, "stopLossOrder.orderId") == null) {
numOrdersToCreate += 1
} else if (parser.value(triggerOrders, "stopLossOrder.price.triggerPrice") == null && parser.value(triggerOrders, "stopLossOrder.orderId") != null) {
numOrdersToCancel += 1
}
if (parser.value(triggerOrders, "takeProfitOrder.price.triggerPrice") != null && parser.value(triggerOrders, "takeProfitOrder.orderId") == null) {
numOrdersToCreate += 1
} else if (parser.value(triggerOrders, "takeProfitOrder.price.triggerPrice") == null && parser.value(triggerOrders, "takeProfitOrder.orderId") != null) {
numOrdersToCancel += 1
}

val documentation = environment?.links?.documentation
val link = if (documentation != null) "$documentation/trading/other_limits" else null

return if ((numOrders + numOrdersToCreate - numOrdersToCancel) > equityTierLimit) {
listOf(
if (nextLevelRequiredTotalNetCollateralUSD != null) {
error(
"ERROR",
"USER_MAX_ORDERS",
null, // No input field since the error is not related to a specific field
null,
"ERRORS.TRADE_BOX_TITLE.USER_MAX_ORDERS",
"ERRORS.TRADE_BOX.USER_MAX_ORDERS_FOR_CURRENT_EQUITY_TIER",
mapOf(
"EQUITY" to mapOf(
"value" to nextLevelRequiredTotalNetCollateralUSD,
"format" to "price",
),
"LIMIT" to mapOf(
"value" to equityTierLimit,
"format" to "string",
),
),
null,
link,
)
} else {
error(
"ERROR",
"USER_MAX_ORDERS",
null, // No input field since the error is not related to a specific field
null,
"ERRORS.TRADE_BOX_TITLE.USER_MAX_ORDERS",
"ERRORS.TRADE_BOX.USER_MAX_ORDERS_FOR_TOP_EQUITY_TIER",
mapOf(
"LIMIT" to mapOf(
"value" to equityTierLimit,
"format" to "string",
),
),
null,
link,
)
},
)
} else {
null
}
}

private fun equityTier(
subaccount: Map<String, Any>?,
configs: Map<String, Any>?
): EquityTier? {
var equityTier: EquityTier? = null
val equity: Double = parser.asDouble(parser.value(subaccount, "equity.current")) ?: 0.0
parser.asNativeMap(parser.value(configs, "equityTiers"))?.let { equityTiers ->
parser.asNativeList(equityTiers["statefulOrderEquityTiers"])?.let { tiers ->
if (tiers.isEmpty()) return null
for (tier in tiers) {
parser.asNativeMap(tier)?.let { item ->
val requiredTotalNetCollateralUSD =
parser.asDouble(item["requiredTotalNetCollateralUSD"]) ?: 0.0
if (requiredTotalNetCollateralUSD <= equity) {
val maxNumOrders = parser.asInt(item["maxOrders"]) ?: 0
equityTier = EquityTier(
requiredTotalNetCollateralUSD,
maxNumOrders,
)
} else if (equityTier?.nextLevelRequiredTotalNetCollateralUSD == null) {
equityTier?.nextLevelRequiredTotalNetCollateralUSD =
requiredTotalNetCollateralUSD
}
}
}
}
} ?: run {
return null
}
return equityTier
}

private fun orderCount(
subaccount: Map<String, Any>?,
): Int {
var count = 0
parser.asNativeMap(subaccount?.get("orders"))?.let { orders ->
for ((_, item) in orders) {
parser.asNativeMap(item)?.let { order ->
val status = parser.asString(order["status"])?.let { OrderStatus.invoke(it) }
val orderType = parser.asString(order["type"])?.let { OrderType.invoke(it) }
val timeInForce = parser.asString(order["timeInForce"])?.let { OrderTimeInForce.invoke(it) }
if (orderType != null && timeInForce != null && status != null) {
if (isOrderIncludedInEquityTierLimit(orderType, timeInForce, status)) {
count += 1
}
}
}
}
}
return count
}

private fun validateRequiredInput(
triggerOrder: Map<String, Any>,
): List<Any>? {
Expand All @@ -390,7 +249,11 @@ internal class TriggerOrdersInputValidator(

if (triggerPrice == null && limitPrice != null) {
errors.add(
required("REQUIRED_TRIGGER_PRICE", "price.triggerPrice", "APP.TRADE.ENTER_TRIGGER_PRICE"),
required(
"REQUIRED_TRIGGER_PRICE",
"price.triggerPrice",
"APP.TRADE.ENTER_TRIGGER_PRICE",
),
)
}

Expand Down Expand Up @@ -553,6 +416,7 @@ internal class TriggerOrdersInputValidator(
}
}
}

else -> null
}
}
Expand Down Expand Up @@ -585,8 +449,7 @@ internal class TriggerOrdersInputValidator(
parser.asNativeMap(market?.get("configs"))?.let { configs ->
val errors = mutableListOf<Map<String, Any>>()

parser.asDouble(configs["stepSize"])?.let {
stepSize ->
parser.asDouble(configs["stepSize"])?.let { stepSize ->
if (Rounder.round(size, stepSize) != size) {
errors.add(
error(
Expand Down Expand Up @@ -695,39 +558,6 @@ internal class TriggerOrdersInputValidator(
}
}

private fun isOrderIncludedInEquityTierLimit(
orderType: OrderType,
timeInForce: OrderTimeInForce,
status: OrderStatus
): Boolean {
val isCurrentOrderStateful = isStatefulOrder(orderType, timeInForce)
// Short term with IOC or FOK should not be counted
val isShortTermAndRequiresImmediateExecution =
!isCurrentOrderStateful && (timeInForce == OrderTimeInForce.IOC || timeInForce == OrderTimeInForce.FOK)

return if (!isShortTermAndRequiresImmediateExecution) {
when (status) {
OrderStatus.open, OrderStatus.pending, OrderStatus.untriggered, OrderStatus.partiallyFilled -> true
else -> false
}
} else {
false
}
}

private fun isStatefulOrder(orderType: OrderType, timeInForce: OrderTimeInForce): Boolean {
return when (orderType) {
OrderType.market -> false
OrderType.limit -> {
when (timeInForce) {
OrderTimeInForce.GTT -> true
else -> false
}
}
else -> true
}
}

private fun requiredTriggerToLiquidationPrice(type: OrderType?, side: OrderSide): RelativeToPrice? {
return when (type) {
OrderType.stopMarket ->
Expand Down
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