market 0.8
This file describes the market engine cleanup commits for 0.8.x.
638edfcec8a7505580055a06dcf98de2b240211a market_engine.cpp: Refactor get_next_ask() body into three separate functions
This commit simply reflows the three parts of get_next_ask() body into three sub-functions. At various points, the old version of get_next_ask() will return true. This return is passed through from the sub-function to the caller of get_next_ask(). The end of each sub-function returns false, and in this case get_next_ask will advance to the next sub-function.
6aac392a860cf99f34ef6c4cc5a0801711c6844a market_engine.cpp: Simplify unnecessary valid() checks
This commit reflows an if statement and a switch statement (the latter was left over from relative orders implementation). In addition there are two places where the optional field _current_ask is assigned a (non-optional) value, _current_ask.valid() must return true so we don't even need to bother calling it. Again no semantics changes here.
149bf83e24e9f8296e309bc2aa678a983c57833a market_engine.cpp: Simplify mtrx.bid_price computation for shorts
get_next_bid() doesn't return shorts if there is no feed. Thus if it returned a short, we simply FC_ASSERT the feed price is valid (this check should never fail). Then instead of unconditionally assigning mtrx.bid_price above and re-assigning it in the if statement, we instead assign it along both paths of the if statement.
a165663964bab4cc0fe94c5fd50b4747b0462214 market_engine.cpp: Use three passes to implement margin calls, expiration, and ask orders
This is the first semantics change. The get_next_ask() function will only call a single subfunction, but the market engine's main loop will re-execute. Match as far as you can using margin calls; then match as far as you can using expired margin orders; then match as far as you can using regular ask orders. This properly implements the intended prioritization semantics.
c07cf63f176996b83a696fd9fe544d0beb94f83a market_engine: Reflow three-way choice between called, expired and inactive margin positions
The minimum_ask() function is renamed to more descriptive minimum_cover_ask_price().
This commit cleans up the _current_ask->type == cover_order processing in the main loop, using the fact that we now have passes. When there are no bids that match the minimum_cover_ask_price(), we can simply terminate the current iteration.
The rest of the logic in this block attempts to be a three-way case selection between margin calls, expired covers and inactive covers. The previous logic is confusing and error-riddled. First of all a set of apparently missing brackets leaps out. Second we have confusing "inclusion-exclusion" logic where we first check for an expired cover, THEN check for a called-and-expired cover.
The new code flow uses an if / else if / else construct to emphasize the three-way choice. The only effect is to write the order's effective price into mtrx.ask_price, the actual termination of the loop is handled later (see next commit).
d08f0d5cd32fa85b2a95b90f0017f2064b5fec2f market_engine: Spread terminates current market engine pass regardless of order types
The algorithm in get_next_bid() returns bids in book order, i.e. if nothing matches the current bid then later bids will not match either.
Each of the subfunctions of get_next_ask() returns asks in book order, i.e. if nothing matches the current ask then later asks in the same pass will not match either.
Combining these, it is safe to terminate the current pass when there is a spread. I.e. if the top-of-book ask and bid cannot match, then the current pass is finished.
a60ea16b0624b46441363af737e203eaa72304c7 market_engine: Remove obsolete _short_itr
We had a short_itr which at one time walked through all shorts. However we never need to walk through all shorts, instead we do two separate walks, one through shorts at limit and another through shorts at feed. Indeed _short_itr is initialized but never used. So get rid of it!
25fbcfe7f85f6cc0d5c8a10aa2573099c2711d0d chain_database.cpp: Fix comparisons in _shorts_at_feed_index
This commit is a result of careful auditing of the reclassification logic moving shorts into and out of the _shorts_at_feed index. _shorts_at_feed contains order o if and only if o.limit_price >= feed.
We move all comparisons so the order is on the left and the feed is on the right. We find one place where the strictness of the inequality is wrong, and two places where the direction of the inequality is wrong.
7d6c563e9eed203eedf4c63d17d15a12faabbb71 market_engine: Initialize _short_at_limit_itr with current_pair instead of next_pair
This commit is a result of careful auditing of the iterator logic. In particular we want to go through shorts whose limit is less than the feed price, and the iterator must start in the current pair. This code was clearly copy-pasted from another iterator which starts at the next pair and goes in reverse.
7038f30f43a54d4fd7436776f110e3da180f1b00 market_engine: Fetch short balances from pending chain state instead of database
This commit is a result of careful auditing of directly talking to the database. In particular one spot where short orders were pulled out of the DB, when they should be pulled out of pending chain state instead.