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Add test for exact_out orders #22

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Add test for exact_out orders #22

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1758749
Add test for exact_out orders
eugene-chen Mar 3, 2023
63b2243
comment out expected failure
eugene-chen Mar 6, 2023
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130 changes: 121 additions & 9 deletions src/state/markets/test_market.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -155,7 +155,7 @@ fn test_market_simple() {
) = market
.place_order(
&taker,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Bid,
price.as_u64(),
size.as_u64(),
Expand Down Expand Up @@ -194,7 +194,7 @@ fn test_market_simple() {
) = market
.place_order(
&taker,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Ask,
price.as_u64(),
size.as_u64(),
Expand Down Expand Up @@ -222,7 +222,7 @@ fn test_market_simple() {
market
.place_order(
&taker,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Ask,
ladder.asks[0].price_in_ticks.as_u64(),
ladder.asks[0].size_in_base_lots.as_u64(),
Expand Down Expand Up @@ -264,7 +264,7 @@ fn test_market_simple() {
) = market
.place_order(
&taker,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Ask,
price.as_u64(),
size.as_u64(),
Expand Down Expand Up @@ -903,7 +903,7 @@ fn test_orders_with_only_free_funds() {
assert!(market
.place_order(
&taker,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Ask,
100,
5,
Expand All @@ -919,7 +919,7 @@ fn test_orders_with_only_free_funds() {
assert!(market
.place_order(
&taker,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Ask,
100,
5,
Expand Down Expand Up @@ -985,7 +985,7 @@ fn test_orders_with_only_free_funds() {
assert!(market
.place_order(
&trader,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Bid,
100,
6,
Expand Down Expand Up @@ -1614,6 +1614,118 @@ fn test_fok_with_slippage_3() {
assert!(ladder.bids[0].size_in_base_lots == prev_ladder.bids[0].size_in_base_lots);
}

#[test]
fn test_exact_out_order() {
let mut rng = StdRng::seed_from_u64(2);
let mut market = setup_market_with_params(10000, 100, 2);
let mut event_recorder = VecDeque::new();
let mut record_event_fn = |e: MarketEvent<TraderId>| event_recorder.push_back(e);

let maker = rng.gen::<u128>();
let bid_start = rng.gen_range(9996, 10_000);
let bid_end = rng.gen_range(9900, 9978);
let ask_start = rng.gen_range(10_001, 10_005);
let ask_end = rng.gen_range(10_033, 10_100);
let start_size = rng.gen_range(10, 20);
let size_step = rng.gen_range(1, 5);
layer_orders(
&mut market,
maker,
bid_start,
bid_end,
1,
start_size,
size_step,
Side::Bid,
&mut record_event_fn,
);
layer_orders(
&mut market,
maker,
ask_start,
ask_end,
1,
start_size,
size_step,
Side::Ask,
&mut record_event_fn,
);

let ladder = market.get_typed_ladder(5);
let taker = rng.gen::<u128>();

// Send IOC buy order specifying exact number of base lots out
let price = ladder.asks[0].price_in_ticks;
let base_lots_to_fill = BaseLots::new(ladder.asks[0].size_in_base_lots.as_u64() / 2); // don't take the whole level

let (
_,
MatchingEngineResponse {
num_quote_lots_in: num_quote_lots,
num_base_lots_out: num_base_lots,
..
},
) = market
.place_order(
&taker,
OrderPacket::new_ioc_by_base_lots(
Side::Bid,
price.as_u64() + 10, // supply limit price higher than the best ask
base_lots_to_fill.as_u64(),
SelfTradeBehavior::DecrementTake,
None,
rng.gen::<u128>(),
false,
),
&mut record_event_fn,
)
.unwrap();

// check that the exact number of base lots was filled, and that they were filled at the expected price
assert_eq!(base_lots_to_fill, num_base_lots);
// assert_eq!(
// num_quote_lots * market.base_lots_per_base_unit,
// market.tick_size_in_quote_lots_per_base_unit * price * base_lots_to_fill
// );

// Send IOC sell order specifying exact number of quote lots out
let price = ladder.bids[0].price_in_ticks;
let mut quote_lots_to_fill =
market.tick_size_in_quote_lots_per_base_unit * price * ladder.bids[0].size_in_base_lots
/ market.base_lots_per_base_unit;
quote_lots_to_fill = QuoteLots::new(quote_lots_to_fill.as_u64() / 2); // don't take the whole level

let (
_,
MatchingEngineResponse {
num_quote_lots_out: num_quote_lots,
num_base_lots_in: num_base_lots,
..
},
) = market
.place_order(
&taker,
OrderPacket::new_ioc_by_quote_lots(
Side::Ask,
price.as_u64() - 10, // supply limit price lower than the best bid
quote_lots_to_fill.as_u64(),
SelfTradeBehavior::DecrementTake,
None,
rng.gen::<u128>(),
false,
),
&mut record_event_fn,
)
.unwrap();

// check that the exact number of quote lots was filled, and that they were filled at the expected price
assert_eq!(quote_lots_to_fill, num_quote_lots);
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This test currently fails because of fees, cc @jarry-xiao

assert_eq!(
num_quote_lots * market.base_lots_per_base_unit,
market.tick_size_in_quote_lots_per_base_unit * price * num_base_lots
);
}

#[test]
fn test_fees_basic() {
let mut rng = StdRng::seed_from_u64(2);
Expand Down Expand Up @@ -1649,7 +1761,7 @@ fn test_fees_basic() {
let (o_id, release_quantities) = market
.place_order(
&taker,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Bid,
10100,
10,
Expand All @@ -1675,7 +1787,7 @@ fn test_fees_basic() {
let (o_id, release_quantities) = market
.place_order(
&taker,
OrderPacket::new_ioc_by_lots(
OrderPacket::new_ioc_by_base_lots(
Side::Ask,
9900,
10,
Expand Down
25 changes: 24 additions & 1 deletion src/state/order_schema/order_packet.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -359,7 +359,7 @@ impl OrderPacket {
)
}

pub fn new_ioc_by_lots(
pub fn new_ioc_by_base_lots(
side: Side,
price_in_ticks: u64,
base_lot_budget: u64,
Expand All @@ -382,6 +382,29 @@ impl OrderPacket {
)
}

pub fn new_ioc_by_quote_lots(
side: Side,
price_in_ticks: u64,
quote_lot_budget: u64,
self_trade_behavior: SelfTradeBehavior,
match_limit: Option<u64>,
client_order_id: u128,
use_only_deposited_funds: bool,
) -> Self {
Self::new_ioc(
side,
Some(price_in_ticks),
0,
quote_lot_budget,
0,
0,
self_trade_behavior,
match_limit,
client_order_id,
use_only_deposited_funds,
)
}

pub fn new_ioc_buy_with_slippage(quote_lots_in: u64, min_base_lots_out: u64) -> Self {
Self::new_ioc(
Side::Bid,
Expand Down
26 changes: 13 additions & 13 deletions tests/test_phoenix.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -973,7 +973,7 @@ async fn test_phoenix_admin() {
.is_ok(),
"Should be able to claim authority if you are the successor"
);
let params = OrderPacket::new_ioc_by_lots(
let params = OrderPacket::new_ioc_by_base_lots(
Side::Bid,
sdk.float_price_to_ticks(102.0),
1,
Expand Down Expand Up @@ -1312,7 +1312,7 @@ async fn test_phoenix_basic() {
.await;
sdk.set_payer(clone_keypair(&default_taker.user));

let params = OrderPacket::new_ioc_by_lots(
let params = OrderPacket::new_ioc_by_base_lots(
Side::Ask,
sdk.float_price_to_ticks(39.7),
sdk.raw_base_units_to_base_lots(10.0),
Expand Down Expand Up @@ -1820,7 +1820,7 @@ async fn test_phoenix_orders_with_free_funds() {
sdk.set_payer(clone_keypair(&default_taker.user));

//Attempt to use free funds to trade, will reject because the taker has no seat
let sell_params = OrderPacket::new_ioc_by_lots(
let sell_params = OrderPacket::new_ioc_by_base_lots(
Side::Ask,
sdk.float_price_to_ticks(31.0),
sdk.raw_base_units_to_base_lots(55.0),
Expand All @@ -1843,7 +1843,7 @@ async fn test_phoenix_orders_with_free_funds() {
.is_err());

//Trade through the first 10 levels of the book and self trade the last level on each side
let sell_params = OrderPacket::new_ioc_by_lots(
let sell_params = OrderPacket::new_ioc_by_base_lots(
Side::Ask,
sdk.float_price_to_ticks(31.0),
sdk.raw_base_units_to_base_lots(55.0),
Expand All @@ -1853,7 +1853,7 @@ async fn test_phoenix_orders_with_free_funds() {
false,
);

let buy_params = OrderPacket::new_ioc_by_lots(
let buy_params = OrderPacket::new_ioc_by_base_lots(
Side::Bid,
sdk.float_price_to_ticks(59.0),
sdk.raw_base_units_to_base_lots(55.0),
Expand All @@ -1863,7 +1863,7 @@ async fn test_phoenix_orders_with_free_funds() {
false,
);

let self_trade_bid_params = OrderPacket::new_ioc_by_lots(
let self_trade_bid_params = OrderPacket::new_ioc_by_base_lots(
Side::Ask,
sdk.float_price_to_ticks(30.0),
sdk.raw_base_units_to_base_lots(11.0),
Expand All @@ -1873,7 +1873,7 @@ async fn test_phoenix_orders_with_free_funds() {
false,
);

let self_trade_offer_params = OrderPacket::new_ioc_by_lots(
let self_trade_offer_params = OrderPacket::new_ioc_by_base_lots(
Side::Bid,
sdk.float_price_to_ticks(60.0),
sdk.raw_base_units_to_base_lots(11.0),
Expand Down Expand Up @@ -1953,7 +1953,7 @@ async fn test_phoenix_orders_with_free_funds() {
sdk.raw_base_units_to_base_lots(10.0),
);

let ioc_buy_params = OrderPacket::new_ioc_by_lots(
let ioc_buy_params = OrderPacket::new_ioc_by_base_lots(
Side::Bid,
sdk.float_price_to_ticks(34.1),
sdk.raw_base_units_to_base_lots(10.0),
Expand All @@ -1963,7 +1963,7 @@ async fn test_phoenix_orders_with_free_funds() {
true,
);

let ioc_sell_params = OrderPacket::new_ioc_by_lots(
let ioc_sell_params = OrderPacket::new_ioc_by_base_lots(
Side::Ask,
sdk.float_price_to_ticks(30.0),
sdk.raw_base_units_to_base_lots(10.0),
Expand Down Expand Up @@ -2051,7 +2051,7 @@ async fn test_phoenix_orders_with_free_funds() {
let new_order_ix = create_new_order_with_free_funds_instruction(
&sdk.core.active_market_key,
&second_maker.user.pubkey(),
&OrderPacket::new_ioc_by_lots(
&OrderPacket::new_ioc_by_base_lots(
Side::Bid,
sdk.float_price_to_ticks(250.0),
sdk.raw_base_units_to_base_lots(10.0),
Expand Down Expand Up @@ -3060,7 +3060,7 @@ async fn test_phoenix_place_multiple_memory_management() {
&default_taker.user.pubkey(),
&sdk.base_mint,
&sdk.quote_mint,
&OrderPacket::new_ioc_by_lots(
&OrderPacket::new_ioc_by_base_lots(
Side::Ask,
0,
u64::MAX,
Expand Down Expand Up @@ -3133,7 +3133,7 @@ async fn test_phoenix_place_multiple_limit_orders_adversarial() {
// Normally this would crash due to compute usage, but we now coalesce the orders
// at the same price in place multiple orders
sdk.set_payer(clone_keypair(&default_taker.user));
let order_packet = OrderPacket::new_ioc_by_lots(
let order_packet = OrderPacket::new_ioc_by_base_lots(
Side::Bid,
sdk.float_price_to_ticks(101.0),
700,
Expand Down Expand Up @@ -3265,7 +3265,7 @@ async fn test_phoenix_basic_with_raw_base_unit_adjustment() {
let second_cross_price = sdk.float_price_to_ticks(*bid_price_range.first().unwrap()); // Takes the last price in the bid price_range (40.0)
let second_cross_size = sdk.raw_base_units_to_base_lots(1000_f64);

let params = OrderPacket::new_ioc_by_lots(
let params = OrderPacket::new_ioc_by_base_lots(
Side::Ask,
second_cross_price,
first_cross_size + second_cross_size,
Expand Down