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refactor!: refactor matching logic and add ranged liquidity pools #318

Merged
merged 84 commits into from
Jun 30, 2022
Merged

refactor!: refactor matching logic and add ranged liquidity pools #318

merged 84 commits into from
Jun 30, 2022

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hallazzang
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@hallazzang hallazzang commented Jun 9, 2022 •
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Description

Tasks

  • Apply new order amount distribution algorithm
  • Use two-phase matching
  • Apply new efficient logic to place pool orders in an order book
  • Add order book view API
  • Update Spec docs

hallazzang added 19 commits June 2, 2022 22:16
@hallazzang
refactor!: new matching logic (WIP)
a9d0475
@hallazzang
refactor: distribute order amount to tick
2cf6023
@hallazzang
test: update test
6a2bf05
@hallazzang
fix: remove unnecessary variables
7d2c5e3
@hallazzang
chore: apply micro optimization
9d14b9b
@hallazzang
feat: add Match method
8a6185c
@hallazzang
fix: use correct match price considering price direction
72d9ccd
@hallazzang
fix: drop last orders when distributing amount
39ffd43
@hallazzang
fix: consider previously matched amount
e2d4b90
@hallazzang
fix: implement HasPriority() for user/pool order
f8a70fb
@hallazzang
test: fix test
e154e38
@hallazzang
refactor!: new pool interface and remove old code
bc5a6f2
@hallazzang
fix: clean up code and switch buy/sell side in order book repr
d6d58dc
@hallazzang
fix: return match price
c128f4b
@hallazzang
refactor: use in-place matching again
7f1ae4e
@hallazzang
refactor: track offer/demand coin amount and generalize pool orders
22e8876
@hallazzang
fix: apply updated matching logic
5a89447
@hallazzang
fix: remove old order types
0e43d95
@hallazzang
chore: remove outdated code
db9a709
@hallazzang hallazzang self-assigned this Jun 9, 2022
@hallazzang hallazzang mentioned this pull request Jun 10, 2022
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jeonghoyeo7
jeonghoyeo7 reviewed Jun 30, 2022
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@hallazzang I left some more comments on amm/pool.go

@dongsam dongsam self-requested a review June 30, 2022 09:14
jaybxyz
jaybxyz approved these changes Jun 30, 2022
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I found no issue. Great work other than the docs/cli and docs/api need to be updated to include a ranged pool, which @jeonghoyeo7 mentioned offline and @hallazzang is already working on it.

@github-actions github-actions bot added the documentation Improvements or additions to documentation label Jun 30, 2022
@dongsam dongsam merged commit 42e024d into main Jun 30, 2022
@dongsam dongsam removed the c-sync label Jun 30, 2022
dongsam pushed a commit that referenced this pull request Aug 31, 2022
@kingcre @hallazzang
refactor!: refactor matching logic and add ranged liquidity pools #318 (
d462dfa 
#37)

* refactor!: new matching logic (WIP) (cherry-picked)

(cherry picked from commit a9d0475)

* refactor: distribute order amount to tick

(cherry picked from commit 2cf6023)

* test: update test

(cherry picked from commit 6a2bf05)

* fix: remove unnecessary variables

(cherry picked from commit 7d2c5e3)

* chore: apply micro optimization

(cherry picked from commit 9d14b9b)

* feat: add Match method (cherry-picked)

(cherry picked from commit 8a6185c)

* fix: use correct match price considering price direction

(cherry picked from commit 72d9ccd)

* fix: drop last orders when distributing amount

(cherry picked from commit 39ffd43)

* fix: consider previously matched amount

(cherry picked from commit e2d4b90)

* fix: implement HasPriority() for user/pool order

(cherry picked from commit f8a70fb)

* test: fix test

(cherry picked from commit e154e38)

* refactor!: new pool interface and remove old code (cherry-picked)

(cherry picked from commit bc5a6f2)

* fix: clean up code and switch buy/sell side in order book repr

(cherry picked from commit d6d58dc)

* fix: return match price

(cherry picked from commit c128f4b)

* refactor: use in-place matching again

(cherry picked from commit 7f1ae4e)

* refactor: track offer/demand coin amount and generalize pool orders

(cherry picked from commit 22e8876)

* fix: apply updated matching logic (cherry-picked)

(cherry picked from commit 5a89447)

* fix: remove old order types

(cherry picked from commit 0e43d95)

* chore: remove outdated code (cherry-picked)

(cherry picked from commit db9a709)

* fix: introduce MinPoolOrderPriceGapRatio param

this prevents pool to place orders too densely

(cherry picked from commit c120720)

* feat: add order books query (cherry-picked)

(cherry picked from commit 175e7e4)

* fix: add linear pool order price gap ratio function

(cherry picked from commit d7ed46b)

* fix: consider receiving quote coin truncation

(cherry picked from commit 41734ae)

* chore: add comments

(cherry picked from commit 2b35f79)

* fix: add missing order books grpc query

(cherry picked from commit 568f681)

* fix: pool places orders properly (cherry-picked)

(cherry picked from commit 350b990)

* feat: calculate quote coin diff

(cherry picked from commit fd08796)

* fix: uncomment previous logic

(cherry picked from commit 44cdb0e)

* feat: run single price auction when there's no last price

(cherry picked from commit c437e09)

* refactor: simplify match logic

(cherry picked from commit 27a19d4)

* style: refine code style

(cherry picked from commit 31d35ce)

* fix: place pool orders based on price ratio

(cherry picked from commit d3e7f67)

* fix: send quote coin dust to the collector

(cherry picked from commit 5215e3c)

* refactor: optimize BulkSendCoinsOperation

for the same sender and receiver, SendCoins will now happen
only once.

(cherry picked from commit cad91f9)

* fix: implement order books grpc api and query cmd (cherry-picked)

(cherry picked from commit 37f3f17)

* feat: add ranged pool (WIP) (cherry-picked)

(cherry picked from commit 6e825c6)

* refactor: implement ranged liqudity (cherry-picked)

(cherry picked from commit 2c6ecd6)

* fix: fix bugs

- when placing pool orders, reinitialize tmpPool with correct pool type
- correct IsDepleted condition for ranged pool

(cherry picked from commit 03529b3)

* test: add tests

(cherry picked from commit f74723e)

* fix: simplify equations

(cherry picked from commit 6c64809)

* feat: add migration

(cherry picked from commit 3100d40)

* fix: register codec

(cherry picked from commit 7b1367b)

* fix: update PoolResponse (cherry-picked)

(cherry picked from commit e25faa1)

* fix: limit the ranged pool's order amount based on its balances

(cherry picked from commit 304853f)

* fix: use correct pool type when returning order books

(cherry picked from commit 7688ee2)

* feat: add create-ranged-pool tx cmd

(cherry picked from commit ae71be8)

* fix: add new event type and update spec docs

(cherry picked from commit 311b6a2)

* test: uncomment and update old tests

(cherry picked from commit 77a06ed)

* feat: add ranged liquidity pools (#319) (cherry-picked)

* feat: add ranged pool (WIP)

* refactor: implement ranged liqudity

* fix: fix bugs

- when placing pool orders, reinitialize tmpPool with correct pool type
- correct IsDepleted condition for ranged pool

* test: add tests

* fix: simplify equations

* feat: add migration

* fix: register codec

* fix: update PoolResponse

* fix: limit the ranged pool's order amount based on its balances

* fix: use correct pool type when returning order books

* feat: add create-ranged-pool tx cmd

* fix: add new event type and update spec docs

* test: uncomment and update old tests

(cherry picked from commit c9762c1)

* fix: fix typo

* fix: only match matchable amount considering remaining offer coin

* fix: change pool order price gap ratio curve (cherry-picked)

* fix: remove MatchRecord

(cherry picked from commit 2f3ca6d)

* test: add tests

(cherry picked from commit b40eb18)

* feat: add more param getters

(cherry picked from commit 48725b8)

* refactor: use param getters

(cherry picked from commit 16774bf)

* fix: fix bug in poolOrderPriceGapRaio and add tests

(cherry picked from commit a2b6be3)

* refactor: optimize OrderBook.AddOrder

now orders are grouped and sorted only before matching

(cherry picked from commit 389af70)

* refactor: derive transX, transY when creating a ranged pool (cherry-picked)

these parameters are no longer stored in state

(cherry picked from commit ea6cdaf)

* chore: use amm.OrderView

(cherry picked from commit 0569710)

* fix: add more safe guards and add comments

(cherry picked from commit 65200d7)

* chore: add comments above equations

(cherry picked from commit 1e4838b)

* fix: add restrictions about min/max price

(cherry picked from commit a9b0494)

* fix: check min price against chain's tick precision

(cherry picked from commit 405227a)

* test: add MsgCreateRangedPool validation test

(cherry picked from commit 1705698)

* fix: handle single asset pool in Deposit (cherry-picked)

(cherry picked from commit 850cc20)

* test: add test for Withdraw

(cherry picked from commit ca8a4c5)

* test: add more testcases and fix typo in comment

(cherry picked from commit 733de74)

* fix: fix matching logic

- consider match price when matching orders at single price
- when remaining matchable amount is too small, skip the tick

(cherry picked from commit f480aa9)

* chore: remove unused method

(cherry picked from commit eeb2513)

* test: add more tests (cherry-picked)

(cherry picked from commit 0ea0689)

* fix: limit basic pool price

(cherry picked from commit c73c8f4)

* fix: prevent PoolOrders to panic, instead return empty orders

(cherry picked from commit b553dd7)

* fix: limit price range between MinPoolPrice and MaxPoolPrice

(cherry picked from commit 0e12c7a)

* fix: check price when pseudo-matching OrderView (cherry-picked)

(cherry picked from commit 7e8aaee)

* test: fix example test

* fix: fix bug in OrderBookView.Match

(cherry picked from commit decd873)

* fix: handle deposit in single sided ranged pool

(cherry picked from commit 9a419bc)

* fix: increment tick precision to 4 for mainnet upgrade

* fix: accept only 2 deposit coins in CreatePool

(cherry picked from commit fa6656c)

* fix: emit pool_order_matched event once for each pool in batch

(cherry picked from commit f888374)

* test: add tests

(cherry picked from commit 29349c0)

* fix: handle negative order amount returned from RangedPool (cherry-picked)

also add more tests

(cherry picked from commit 24a9408)

* fix!: calculate pool buy amount from dx and move guard

(cherry picked from commit e493484)

* chore: do not recalculate translation when calling Translation()

(cherry picked from commit 0684aea)

* test: add CreateRangedPool simulation operation

(cherry picked from commit 4a3219d)

* fix: accept prices on ticks and change DefaultTickPrecision to 4

also update broken tests

(cherry picked from commit 4cf088c)

* fix: fix DeriveTranslation equations

this reduces decimal error

(cherry picked from commit e0b259a)

* test: fix simulation test

(cherry picked from commit 7784284)

* chore: add comments

(cherry picked from commit 5a162d5)

* test: add test

(cherry picked from commit 826a840)

* test: add tests

(cherry picked from commit 8c7e208)

* fix: fix deposit request validation condition

(cherry picked from commit ace01c8)

* fix: fix test

(cherry picked from commit 6351532)

* test: add test

(cherry picked from commit 21158a3)

* fix: fix upgrade test

manually set tick precision to 3 since the default has been changed

* docs: update docs (cherry-picked)

(cherry picked from commit 0732b2a)

* fix: add OrderBooks query cmd and update cli docs (cherry-picked)

(cherry picked from commit ce0b85e)

* chore: update CHANGELOG.md

Co-authored-by: Hanjun Kim <[email protected]>
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@jeonghoyeo7 jeonghoyeo7 jeonghoyeo7 left review comments

@jaybxyz jaybxyz jaybxyz approved these changes

@dongsam dongsam dongsam approved these changes

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@hallazzang hallazzang

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@hallazzang @dongsam @jaybxyz @jeonghoyeo7