tatanka/trade: add order compatibility and matching functions

tatanka/client/trade/README.md

@@ -0,0 +1,13 @@
+# Trading Sequence
+
+1. User initiates an order by specifying a desired quantity that they want to
+buy or sell and an acceptable rate limit. This is the `DesiredTrade`.
+2. The backend receives the `DesiredTrade` and checks whether there are any
+orders on the order book to satisfy the trade using `MatchBook`. This generates
+a set of potential matches (`[]*MatchProposal`), but there might be some
+remaining quantity that we couldn't fulfill with the existing standing orders,
+the `remain`.
+3. Any `[]*MatchProposal` from `MatchBook` will generate match requests to
+the owners of the matched standing orders.
+4. If there is `remain`, we will generate our own standing order and broadcast
+it to all market subscribers.

tatanka/client/trade/compat.go

@@ -0,0 +1,68 @@
+// This code is available on the terms of the project LICENSE.md file,
+// also available online at https://blueoakcouncil.org/license/1.0.0.
+
+package trade
+
+import (
+	"math"
+
+	"decred.org/dcrdex/dex/calc"
+	"decred.org/dcrdex/tatanka/tanka"
+)
+
+// FeeParameters combines the user's fee exposure settings with the fees per
+// lot, which are based on current on-chain fee rates and other asset-specific
+// parameters e.g. swap tx size for utxo-based assets.
+type FeeParameters struct {
+	// MaxFeeExposure is the maximum fee losses we are willing to incur from a
+	// trade, as a ratio of the trade size.
+	MaxFeeExposure    float64
+	BaseFeesPerMatch  uint64
+	QuoteFeesPerMatch uint64
+}
+
+const (
+	ReasonOurQtyTooSmall   = "our order size is less than their lot size"
+	ReasonTheirQtyTooSmall = "their order size is less than our lot size"
+)
+
+// OrderIsMatchable determines whether a given standling limit order is
+// matchable for our desired quantity and fee parameters.
+func OrderIsMatchable(desiredQty uint64, theirOrd *tanka.Order, p *FeeParameters) (_ bool, reason string) {
+	// Can we satisfy their lot size?
+	if desiredQty < theirOrd.LotSize {
+		return false, ReasonOurQtyTooSmall
+	}
+	// Can they satisfy our lot size?
+	minLotSize := MinimumLotSize(theirOrd.Rate, p)
+	if theirOrd.Qty < minLotSize {
+		return false, ReasonTheirQtyTooSmall
+	}
+	return true, ""
+}
+
+// MinimumLotSize calculates the smallest lot size that satisfies the our
+// desired maximum fee exposure.
+func MinimumLotSize(msgRate uint64, p *FeeParameters) uint64 {
+	// fee_exposure = (lots * base_fees_per_lot / qty) + (lots * quote_fees_per_lot / quote_qty)
+	// quote_qty = qty * rate
+	// ## We want fee_exposure < max_fee_exposure
+	// (lots * base_fees_per_lot / qty) + (lots * quote_fees_per_lot / (qty * rate)) < max_fee_exposure
+	// ## multiplying both sides by qty
+	// (lots * base_fees_per_lot) + (lots * quote_fees_per_lot / rate) < max_fee_exposure * qty
+	// ## Factoring out lots
+	// lots * (base_fees_per_lot + (quote_fees_per_lot / rate)) < max_fee_exposure * qty
+	// ## isolating lots
+	// lots < (max_fee_exposure * qty) / (base_fees_per_lot + (quote_fees_per_lot / rate))
+	// ## Noting that lots = qty / lot_size
+	// qty / lot_size < (max_fee_exposure * qty) / (base_fees_per_lot + (quote_fees_per_lot / rate))
+	// ## Dividing both size by qty
+	// 1 / lot_size < max_fee_exposure / (base_fees_per_lot + (quote_fees_per_lot / rate))
+	// ## Fliparoo
+	// lot_size > (base_fees_per_lot + (quote_fees_per_lot / rate)) / max_fee_exposure
+	atomicRate := float64(msgRate) / calc.RateEncodingFactor
+	perfectLotSize := math.Ceil((float64(p.BaseFeesPerMatch) + float64(p.QuoteFeesPerMatch)/atomicRate) / float64(p.MaxFeeExposure))
+	// How many powers of 2?
+	n := math.Ceil(math.Log2(perfectLotSize))
+	return uint64(math.Round(math.Pow(2, n)))
+}

tatanka/client/trade/compat_test.go

@@ -0,0 +1,82 @@
+// This code is available on the terms of the project LICENSE.md file,
+// also available online at https://blueoakcouncil.org/license/1.0.0.
+
+package trade
+
+import (
+	"testing"
+
+	"decred.org/dcrdex/dex/calc"
+	"decred.org/dcrdex/tatanka/tanka"
+)
+
+func TestMinimumLotSize(t *testing.T) {
+	// Exchange rate of 1. 10 atoms lost to fees in the match. To stay under 1%,
+	// the lot size needs to be >= 1000, so 1024 is the closest power of 2.
+	p := &FeeParameters{
+		MaxFeeExposure:    0.01,
+		BaseFeesPerMatch:  5,
+		QuoteFeesPerMatch: 5,
+	}
+	var atomicRate uint64 = 1
+	msgRate := atomicRate * calc.RateEncodingFactor
+	if l := MinimumLotSize(msgRate, p); l != 1024 {
+		t.Fatal(p, l)
+	}
+	// Doubling the fees should double the lot size.
+	p.QuoteFeesPerMatch *= 2
+	p.BaseFeesPerMatch *= 2
+	if l := MinimumLotSize(msgRate, p); l != 2048 {
+		t.Fatal(p, l)
+	}
+	// Double the quote fees, but also double the rate (to halve the quote qty).
+	// The effects should offset.
+	p.QuoteFeesPerMatch *= 2
+	msgRate *= 2
+	if l := MinimumLotSize(msgRate, p); l != 2048 {
+		t.Fatal(p, l)
+	}
+}
+
+func TestOrderIsMatchable(t *testing.T) {
+	// Set up fee parameters with a min lot size of 1024.
+	p := &FeeParameters{
+		MaxFeeExposure:    0.01,
+		BaseFeesPerMatch:  5,
+		QuoteFeesPerMatch: 5,
+	}
+	var desiredQty uint64 = 1024
+	// Create a standing order that matches our lot size and has 2 lots
+	// available.
+	var atomicRate uint64 = 1
+	msgRate := atomicRate * calc.RateEncodingFactor
+	var lotSize uint64 = 1024
+	theirOrd := &tanka.Order{
+		LotSize: lotSize,
+		Rate:    msgRate,
+		Qty:     lotSize * 2,
+	}
+	// Should be matchable.
+	if matchable, reason := OrderIsMatchable(desiredQty, theirOrd, p); !matchable {
+		t.Fatal(reason)
+	}
+	// Quadrupling our min lot size should cause unmatchability.
+	p.MaxFeeExposure /= 4
+	matchable, reason := OrderIsMatchable(desiredQty, theirOrd, p)
+	if matchable {
+		t.Fatal("Their remaining qty should be too small")
+	}
+	if reason != ReasonTheirQtyTooSmall {
+		t.Fatal(reason)
+	}
+	p.MaxFeeExposure *= 4 // undoing
+	// Make our desired qty too small.
+	desiredQty /= 2
+	matchable, reason = OrderIsMatchable(desiredQty, theirOrd, p)
+	if matchable {
+		t.Fatal("Our desired qty should be too small")
+	}
+	if reason != ReasonOurQtyTooSmall {
+		t.Fatal(reason)
+	}
+}

tatanka/client/trade/match.go

@@ -0,0 +1,57 @@
+// This code is available on the terms of the project LICENSE.md file,
+// also available online at https://blueoakcouncil.org/license/1.0.0.
+
+package trade
+
+import (
+	"decred.org/dcrdex/tatanka/tanka"
+)
+
+// DesiredTrade is the parameters of a trade that the user wants to make.
+type DesiredTrade struct {
+	Qty  uint64
+	Rate uint64
+	Sell bool
+}
+
+// MatchProposal is a potential match based on our desired trade and the
+// current standing orders.
+type MatchProposal struct {
+	Order *tanka.Order
+	Qty   uint64
+}
+
+// MatchBook matches our desired trade with the order book side. It is assumed
+// that the order book side is correct for our choice of buy/sell, and that
+// the orders are ordered by rate, with low-to-high for sell orders, and
+// high-to-low for buy orders.
+func MatchBook(desire *DesiredTrade, p *FeeParameters, ords []*tanka.Order) (matches []*MatchProposal, remain uint64) {
+	remain = desire.Qty
+	for _, ord := range ords {
+		// Check rate compatibility.
+		if desire.Sell {
+			if ord.Rate < desire.Rate {
+				break
+			}
+		} else if ord.Rate > desire.Rate {
+			break
+		}
+		// Check lot size compatibility.
+		if compat, _ := OrderIsMatchable(desire.Qty, ord, p); !compat {
+			continue
+		}
+		// How much can we match?
+		maxQty := ord.Qty
+		if ord.Qty > remain {
+			maxQty = remain
+		}
+		lots := maxQty / ord.LotSize
+		qty := lots * ord.LotSize
+		matches = append(matches, &MatchProposal{Order: ord, Qty: qty})
+		remain -= qty
+		if remain == 0 {
+			break
+		}
+	}
+	return matches, remain
+}

tatanka/client/trade/match_test.go

@@ -0,0 +1,124 @@
+// This code is available on the terms of the project LICENSE.md file,
+// also available online at https://blueoakcouncil.org/license/1.0.0.
+
+package trade
+
+import (
+	"testing"
+
+	"decred.org/dcrdex/dex/calc"
+	"decred.org/dcrdex/tatanka/tanka"
+)
+
+func TestMatchBook(t *testing.T) {
+	// These can be varied before resetting.
+	weSell := false
+	var weWantLots uint64 = 1
+
+	// These will be initialized by reset.
+	var lotSize, atomicRate, msgRate, baseQty uint64
+	var desire *DesiredTrade
+	var ords []*tanka.Order
+	var p *FeeParameters
+
+	// A function to reset everything
+	reset := func() {
+		atomicRate = 1
+		lotSize = 1024
+		msgRate = atomicRate * calc.RateEncodingFactor
+		baseQty = weWantLots * lotSize
+		p = &FeeParameters{
+			MaxFeeExposure:    0.01,
+			BaseFeesPerMatch:  5,
+			QuoteFeesPerMatch: 5,
+		}
+		desire = &DesiredTrade{
+			Qty:  baseQty,
+			Rate: msgRate,
+			Sell: weSell,
+		}
+		ords = []*tanka.Order{
+			{
+				Rate:    msgRate,
+				Qty:     baseQty,
+				LotSize: lotSize,
+			},
+		}
+	}
+
+	// Our testing function
+	testMatches := func(expRemain uint64, expQtys []uint64) {
+		t.Helper()
+		matches, remain := MatchBook(desire, p, ords)
+		if remain != expRemain {
+			t.Fatal("wrong remain", remain, expRemain)
+		}
+		if len(matches) != len(expQtys) {
+			t.Fatal("wrong number of matches", matches, len(expQtys))
+		}
+		for i, m := range matches {
+			if m.Qty != expQtys[i] {
+				t.Fatal("wrong qty", i, m.Qty, expQtys[i])
+			}
+		}
+	}
+
+	// Basic 1-lot buy order that perfectly matches the 1 order on the book,
+	// leaving no remainder.
+	reset()
+	testMatches(0, []uint64{baseQty})
+	// Double the first order's qty. Shouldn't change anything.
+	ords[0].Qty *= 2
+	testMatches(0, []uint64{baseQty})
+	// Triple our ask. We'll get the whole (now-doubled) order, with some
+	// remainder.
+	desire.Qty *= 3
+	testMatches(baseQty, []uint64{2 * baseQty})
+	// Add another order to satisfy our needs.
+	ords = append(ords, &tanka.Order{
+		Rate:    msgRate,
+		Qty:     baseQty,
+		LotSize: lotSize,
+	})
+	testMatches(0, []uint64{2 * baseQty, baseQty})
+	// Double the rate of the new order though, and we're back to only getting
+	// the first order.
+	ords[1].Rate *= 2
+	testMatches(baseQty, []uint64{2 * baseQty})
+
+	// Make sure it works with multiple lots too.
+	weWantLots = 4
+	reset()
+	testMatches(0, []uint64{baseQty})
+
+	// Basic 1-lot sell order now.
+	weSell = true
+	reset()
+	testMatches(0, []uint64{baseQty})
+	// Doubling our ask should leave a remainder.
+	desire.Qty *= 2
+	testMatches(baseQty, []uint64{baseQty})
+	// Add another order to satisfy our needs.
+	ords = append(ords, &tanka.Order{
+		Rate:    msgRate,
+		Qty:     baseQty,
+		LotSize: lotSize,
+	})
+	testMatches(0, []uint64{baseQty, baseQty})
+	// But if the second order isn't offering enough, we can't match it.
+	ords[1].Rate -= 1
+	testMatches(baseQty, []uint64{baseQty})
+
+	// Back to buying 1 lot
+	weSell, weWantLots = false, 1
+	reset()
+	testMatches(0, []uint64{baseQty})
+
+	// Make the order incompatible because our maximum fee exposure is too low.
+	p.MaxFeeExposure /= 2
+	testMatches(baseQty, nil)
+
+	// Sanity check
+	reset()
+	testMatches(0, []uint64{baseQty})
+}