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added extra optional parameter "bid_amount_money" to "order.put_market_stock" RPC. #36

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added extra optional parameter "bid_amount_money" to "order.put_market_stock" RPC. #36

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5d0c773
make order.put_market (side = bid) behave like other orders.. that is
djpnewton Nov 14, 2017
5bbbd09
fix market bid order validation
djpnewton Nov 16, 2017
86edfec
fix order taker "amount left" calculation for market bids
djpnewton Nov 16, 2017
54531bd
added extra optional parameter "bid_amount_money" to "order.put_marke…
djpnewton Nov 17, 2017
b7b5e5e
update me_load.c
djpnewton Nov 22, 2018
3f789c2
move the cleanup of money_required to after its final use
djpnewton Aug 9, 2019
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13 changes: 11 additions & 2 deletions matchengine/me_load.c
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Original file line number Diff line number Diff line change
Expand Up @@ -262,7 +262,7 @@ static int load_limit_order(json_t *params)

static int load_market_order(json_t *params)
{
if (json_array_size(params) != 6)
if (json_array_size(params) != 6 && json_array_size(params) != 7)
return -__LINE__;

// user_id
Expand Down Expand Up @@ -313,7 +313,16 @@ static int load_market_order(json_t *params)
if (strlen(source) > SOURCE_MAX_LEN)
goto error;

int ret = market_put_market_order(false, NULL, market, user_id, side, amount, taker_fee, source);
// bid amount money (should the bid amount be treated as "money" or "stock")
// optional parameter, default is true
bool bid_amount_money = true;
if (json_array_size(params) == 7) {
if (!json_is_boolean(json_array_get(params, 6)))
goto error;
bid_amount_money = json_boolean_value(json_array_get(params, 6));
}

int ret = market_put_market_order(false, NULL, market, user_id, side, amount, taker_fee, source, bid_amount_money);

mpd_del(amount);
mpd_del(taker_fee);
Expand Down
147 changes: 110 additions & 37 deletions matchengine/me_market.c
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Original file line number Diff line number Diff line change
Expand Up @@ -751,7 +751,7 @@ static int execute_market_ask_order(bool real, market_t *m, order_t *taker)
return 0;
}

static int execute_market_bid_order(bool real, market_t *m, order_t *taker)
static int execute_market_bid_order(bool real, market_t *m, order_t *taker, bool bid_amount_money)
{
mpd_t *price = mpd_new(&mpd_ctx);
mpd_t *amount = mpd_new(&mpd_ctx);
Expand All @@ -770,24 +770,32 @@ static int execute_market_bid_order(bool real, market_t *m, order_t *taker)
order_t *maker = node->value;
mpd_copy(price, maker->price, &mpd_ctx);

mpd_div(amount, taker->left, price, &mpd_ctx);
mpd_rescale(amount, amount, -m->stock_prec, &mpd_ctx);
while (true) {
mpd_mul(result, amount, price, &mpd_ctx);
if (mpd_cmp(result, taker->left, &mpd_ctx) > 0) {
mpd_set_i32(result, -m->stock_prec, &mpd_ctx);
mpd_pow(result, mpd_ten, result, &mpd_ctx);
mpd_sub(amount, amount, result, &mpd_ctx);
} else {
break;
if (bid_amount_money) {
mpd_div(amount, taker->left, price, &mpd_ctx);
mpd_rescale(amount, amount, -m->stock_prec, &mpd_ctx);
while (true) {
mpd_mul(result, amount, price, &mpd_ctx);
if (mpd_cmp(result, taker->left, &mpd_ctx) > 0) {
mpd_set_i32(result, -m->stock_prec, &mpd_ctx);
mpd_pow(result, mpd_ten, result, &mpd_ctx);
mpd_sub(amount, amount, result, &mpd_ctx);
} else {
break;
}
}
}

if (mpd_cmp(amount, maker->left, &mpd_ctx) > 0) {
mpd_copy(amount, maker->left, &mpd_ctx);
}
if (mpd_cmp(amount, mpd_zero, &mpd_ctx) == 0) {
break;
if (mpd_cmp(amount, maker->left, &mpd_ctx) > 0) {
mpd_copy(amount, maker->left, &mpd_ctx);
}
if (mpd_cmp(amount, mpd_zero, &mpd_ctx) == 0) {
break;
}
} else {
if (mpd_cmp(taker->left, maker->left, &mpd_ctx) < 0) {
mpd_copy(amount, taker->left, &mpd_ctx);
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@HumanSwissArmyKnifeQP HumanSwissArmyKnifeQP May 25, 2018 •
edited
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(More of a stylistic and lower priority comment than anything else.)

For a file of this size, could we not replace many of the if/else blocks with a ternary operator, to improve code readability?

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sure but perhaps that kind of stylistic change should probably be in a dedicated PR

} else {
mpd_copy(amount, maker->left, &mpd_ctx);
}
}

mpd_mul(deal, price, amount, &mpd_ctx);
Expand All @@ -801,7 +809,11 @@ static int execute_market_bid_order(bool real, market_t *m, order_t *taker)
push_deal_message(taker->update_time, m->name, maker, taker, price, amount, ask_fee, bid_fee, MARKET_ORDER_SIDE_BID, deal_id, m->stock, m->money);
}

mpd_sub(taker->left, taker->left, deal, &mpd_ctx);
if (bid_amount_money) {
mpd_sub(taker->left, taker->left, deal, &mpd_ctx);
} else {
mpd_sub(taker->left, taker->left, amount, &mpd_ctx);
}
mpd_add(taker->deal_stock, taker->deal_stock, amount, &mpd_ctx);
mpd_add(taker->deal_money, taker->deal_money, deal, &mpd_ctx);
mpd_add(taker->deal_fee, taker->deal_fee, bid_fee, &mpd_ctx);
Expand Down Expand Up @@ -865,47 +877,108 @@ static int execute_market_bid_order(bool real, market_t *m, order_t *taker)
return 0;
}

int market_put_market_order(bool real, json_t **result, market_t *m, uint32_t user_id, uint32_t side, mpd_t *amount, mpd_t *taker_fee, const char *source)
int market_put_market_order(bool real, json_t **result, market_t *m, uint32_t user_id, uint32_t side, mpd_t *amount, mpd_t *taker_fee, const char *source, bool bid_amount_money)
{
if (side == MARKET_ORDER_SIDE_ASK) {
// validate user has the balance available to fulfil order
mpd_t *balance = balance_get(user_id, BALANCE_TYPE_AVAILABLE, m->stock);
if (!balance || mpd_cmp(balance, amount, &mpd_ctx) < 0) {
return -1;
}

// validate there are any market participants on the other side of the order
skiplist_iter *iter = skiplist_get_iterator(m->bids);
skiplist_node *node = skiplist_next(iter);
if (node == NULL) {
skiplist_release_iterator(iter);
return -3;
}
skiplist_release_iterator(iter);


// validate order amount is at least the minimum order amount
if (mpd_cmp(amount, m->min_amount, &mpd_ctx) < 0) {
return -2;
}
} else {
mpd_t *balance = balance_get(user_id, BALANCE_TYPE_AVAILABLE, m->money);
if (!balance || mpd_cmp(balance, amount, &mpd_ctx) < 0) {
return -1;
}
if (bid_amount_money) {
// validate user has the balance available to fulfil order
mpd_t *balance = balance_get(user_id, BALANCE_TYPE_AVAILABLE, m->money);
if (!balance || mpd_cmp(balance, amount, &mpd_ctx) < 0) {
return -1;
}

skiplist_iter *iter = skiplist_get_iterator(m->asks);
skiplist_node *node = skiplist_next(iter);
if (node == NULL) {
// validate there are any market participants on the other side of the order
skiplist_iter *iter = skiplist_get_iterator(m->asks);
skiplist_node *node = skiplist_next(iter);
if (node == NULL) {
skiplist_release_iterator(iter);
return -3;
}
skiplist_release_iterator(iter);
return -3;
}
skiplist_release_iterator(iter);

order_t *order = node->value;
mpd_t *require = mpd_new(&mpd_ctx);
mpd_mul(require, order->price, m->min_amount, &mpd_ctx);
if (mpd_cmp(amount, require, &mpd_ctx) < 0) {
// validate order amount is at least the minimum order amount
order_t *order = node->value;
mpd_t *require = mpd_new(&mpd_ctx);
mpd_mul(require, order->price, m->min_amount, &mpd_ctx);
if (mpd_cmp(amount, require, &mpd_ctx) < 0) {
mpd_del(require);
return -2;
}
mpd_del(require);
return -2;
} else {
// calculate money required and number of asks
mpd_t *money_required = mpd_new(&mpd_ctx);
mpd_t *left = mpd_new(&mpd_ctx);
mpd_t *amount_tx = mpd_new(&mpd_ctx);
mpd_t *price = mpd_new(&mpd_ctx);
mpd_t *deal = mpd_new(&mpd_ctx);
mpd_copy(money_required, mpd_zero, &mpd_ctx);
mpd_copy(left, amount, &mpd_ctx);
int ask_count = 0;
skiplist_node *node;
skiplist_iter *iter = skiplist_get_iterator(m->asks);
while ((node = skiplist_next(iter)) != NULL) {
ask_count++;
if (mpd_cmp(left, mpd_zero, &mpd_ctx) == 0) {
break;
}

order_t *maker = node->value;
mpd_copy(price, maker->price, &mpd_ctx);
if (mpd_cmp(maker->left, left, &mpd_ctx) < 0) {
mpd_copy(amount_tx, maker->left, &mpd_ctx);
} else {
mpd_copy(amount_tx, left, &mpd_ctx);
}

mpd_mul(deal, price, amount_tx, &mpd_ctx);
mpd_sub(left, left, amount_tx, &mpd_ctx);
mpd_add(money_required, money_required, deal, &mpd_ctx);
}
skiplist_release_iterator(iter);
mpd_del(left);
mpd_del(amount_tx);
mpd_del(price);
mpd_del(deal);

// validate user has the balance available to fulfil order
mpd_t *balance = balance_get(user_id, BALANCE_TYPE_AVAILABLE, m->money);
if (!balance || mpd_cmp(balance, money_required, &mpd_ctx) < 0) {
mpd_del(money_required);
return -1;
}
mpd_del(money_required);

// validate there are any market participants on the other side of the order
if (ask_count == 0) {
return -3;
}

// validate order amount is at least the minimum order amount
if (mpd_cmp(amount, m->min_amount, &mpd_ctx) < 0) {
return -2;
}
}
mpd_del(require);
}

order_t *order = malloc(sizeof(order_t));
Expand Down Expand Up @@ -945,7 +1018,7 @@ int market_put_market_order(bool real, json_t **result, market_t *m, uint32_t us
if (side == MARKET_ORDER_SIDE_ASK) {
ret = execute_market_ask_order(real, m, order);
} else {
ret = execute_market_bid_order(real, m, order);
ret = execute_market_bid_order(real, m, order, bid_amount_money);
}
if (ret < 0) {
log_error("execute order: %"PRIu64" fail: %d", order->id, ret);
Expand Down
2 changes: 1 addition & 1 deletion matchengine/me_market.h
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Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,7 @@ market_t *market_create(struct market *conf);
int market_get_status(market_t *m, size_t *ask_count, mpd_t *ask_amount, size_t *bid_count, mpd_t *bid_amount);

int market_put_limit_order(bool real, json_t **result, market_t *m, uint32_t user_id, uint32_t side, mpd_t *amount, mpd_t *price, mpd_t *taker_fee, mpd_t *maker_fee, const char *source);
int market_put_market_order(bool real, json_t **result, market_t *m, uint32_t user_id, uint32_t side, mpd_t *amount, mpd_t *taker_fee, const char *source);
int market_put_market_order(bool real, json_t **result, market_t *m, uint32_t user_id, uint32_t side, mpd_t *amount, mpd_t *taker_fee, const char *source, bool bid_amount_money);
int market_cancel_order(bool real, json_t **result, market_t *m, order_t *order);

int market_put_order(market_t *m, order_t *order);
Expand Down
13 changes: 11 additions & 2 deletions matchengine/me_server.c
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Original file line number Diff line number Diff line change
Expand Up @@ -457,7 +457,7 @@ static int on_cmd_order_put_limit(nw_ses *ses, rpc_pkg *pkg, json_t *params)

static int on_cmd_order_put_market(nw_ses *ses, rpc_pkg *pkg, json_t *params)
{
if (json_array_size(params) != 6)
if (json_array_size(params) != 6 && json_array_size(params) != 7)
return reply_error_invalid_argument(ses, pkg);

// user_id
Expand Down Expand Up @@ -504,8 +504,17 @@ static int on_cmd_order_put_market(nw_ses *ses, rpc_pkg *pkg, json_t *params)
if (strlen(source) >= SOURCE_MAX_LEN)
goto invalid_argument;

// bid amount money (should the bid amount be treated as "money" or "stock")
// optional parameter, default is true
bool bid_amount_money = true;
if (json_array_size(params) == 7) {
if (!json_is_boolean(json_array_get(params, 6)))
goto invalid_argument;
bid_amount_money = json_boolean_value(json_array_get(params, 6));
}

json_t *result = NULL;
int ret = market_put_market_order(true, &result, market, user_id, side, amount, taker_fee, source);
int ret = market_put_market_order(true, &result, market, user_id, side, amount, taker_fee, source, bid_amount_money);

mpd_del(amount);
mpd_del(taker_fee);
Expand Down