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fix: do not update matching height when there's no matching #179

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merged 1 commit into from
Aug 17, 2023
Merged

fix: do not update matching height when there's no matching #179

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42 changes: 19 additions & 23 deletions x/exchange/keeper/batch.go
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Original file line number Diff line number Diff line change
Expand Up @@ -29,33 +29,29 @@ func (k Keeper) RunBatchMatching(ctx sdk.Context, market types.Market) (err erro
PriceLimit: &bestBuyPrice,
}, escrow)

var lastPrice sdk.Dec
marketState := k.MustGetMarketState(ctx, market.Id)
defer func() {
// If there was an error, exit early.
if err != nil {
return
}
// If there was no matching, exit early, too.
if lastPrice.IsNil() {
return
}

// Apply the match results.
memOrders := append(append(([]*types.MemOrder)(nil), buyObs.Orders()...), sellObs.Orders()...)
if err = k.finalizeMatching(ctx, market, memOrders, escrow); err != nil {
return
}
marketState.LastPrice = &lastPrice
marketState.LastMatchingHeight = ctx.BlockHeight()
k.SetMarketState(ctx, market.Id, marketState)
}()

mCtx := types.NewMatchingContext(market, false)
var (
lastPrice sdk.Dec
matched bool
)
if marketState.LastPrice == nil {
lastPrice = mCtx.RunSinglePriceAuction(buyObs, sellObs)
lastPrice, matched = mCtx.RunSinglePriceAuction(buyObs, sellObs)
} else {
lastPrice = mCtx.BatchMatchOrderBookSides(buyObs, sellObs, *marketState.LastPrice)
lastPrice, matched = mCtx.BatchMatchOrderBookSides(buyObs, sellObs, *marketState.LastPrice)
}
// If there was no matching, exit early.
if !matched {
return
}

// Apply the match results.
memOrders := append(append(([]*types.MemOrder)(nil), buyObs.Orders()...), sellObs.Orders()...)
if err = k.finalizeMatching(ctx, market, memOrders, escrow); err != nil {
return
}
marketState.LastPrice = &lastPrice
marketState.LastMatchingHeight = ctx.BlockHeight()
k.SetMarketState(ctx, market.Id, marketState)
return nil
}
11 changes: 7 additions & 4 deletions x/exchange/types/matching.go
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Original file line number Diff line number Diff line change
Expand Up @@ -200,7 +200,7 @@ func (ctx *MatchingContext) ExecuteOrder(
return
}

func (ctx *MatchingContext) RunSinglePriceAuction(buyObs, sellObs *MemOrderBookSide) (matchPrice sdk.Dec) {
func (ctx *MatchingContext) RunSinglePriceAuction(buyObs, sellObs *MemOrderBookSide) (matchPrice sdk.Dec, matched bool) {
buyLevelIdx, sellLevelIdx := 0, 0
var buyLastPrice, sellLastPrice sdk.Dec
for buyLevelIdx < len(buyObs.levels) && sellLevelIdx < len(sellObs.levels) {
Expand Down Expand Up @@ -241,11 +241,12 @@ func (ctx *MatchingContext) RunSinglePriceAuction(buyObs, sellObs *MemOrderBookS
sellLevelIdx++
}
}
matched = true
}
return
}

func (ctx *MatchingContext) BatchMatchOrderBookSides(buyObs, sellObs *MemOrderBookSide, lastPrice sdk.Dec) (newLastPrice sdk.Dec) {
func (ctx *MatchingContext) BatchMatchOrderBookSides(buyObs, sellObs *MemOrderBookSide, lastPrice sdk.Dec) (newLastPrice sdk.Dec, matched bool) {
// Phase 1: Match orders with price below(or equal to) the last price and
// price above(or equal to) the last price.
// The execution price is the last price.
Expand All @@ -264,10 +265,11 @@ func (ctx *MatchingContext) BatchMatchOrderBookSides(buyObs, sellObs *MemOrderBo
if sellFull {
sellLevelIdx++
}
matched = true
}
// If there's no more levels to match, return earlier.
if buyLevelIdx >= len(buyObs.levels) || sellLevelIdx >= len(sellObs.levels) {
return lastPrice
return lastPrice, matched
}

// Phase 2: Match orders in traditional exchange's manner.
Expand Down Expand Up @@ -296,8 +298,9 @@ func (ctx *MatchingContext) BatchMatchOrderBookSides(buyObs, sellObs *MemOrderBo
if sellFull {
sellLevelIdx++
}
matched = true
}
return newLastPrice
return newLastPrice, matched
}

func PayReceiveDenoms(baseDenom, quoteDenom string, isBuy bool) (payDenom, receiveDenom string) {
Expand Down