[CLOB-1054] trigger conditional orders using traded price within the … (

#945) * [CLOB-1054] trigger conditional orders using traded price within the block * comments * fix lint
dydxprotocol · Jan 11, 2024 · 09ec109 · 09ec109
1 parent 04b7323
commit 09ec109
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Showing 12 changed files with 1,323 additions and 9 deletions.
diff --git a/protocol/app/app.go b/protocol/app/app.go
@@ -932,6 +932,7 @@ func New(
 		app.BankKeeper,
 		app.FeeTiersKeeper,
 		app.PerpetualsKeeper,
+		app.PricesKeeper,
 		app.StatsKeeper,
 		app.RewardsKeeper,
 		app.IndexerEventManager,

diff --git a/protocol/testutil/constants/orders.go b/protocol/testutil/constants/orders.go
@@ -813,6 +813,20 @@ var (
 		Subticks:     50_000_000_000,
 		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
 	}
+	Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price50003_GTB10 = clobtypes.Order{
+		OrderId:      clobtypes.OrderId{SubaccountId: Carl_Num1, ClientId: 0, ClobPairId: 0},
+		Side:         clobtypes.Order_SIDE_BUY,
+		Quantums:     100_000_000,
+		Subticks:     50_003_000_000,
+		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
+	}
+	Order_Carl_Num1_Id0_Clob0_Buy1BTC_Price50500_GTB10 = clobtypes.Order{
+		OrderId:      clobtypes.OrderId{SubaccountId: Carl_Num1, ClientId: 0, ClobPairId: 0},
+		Side:         clobtypes.Order_SIDE_BUY,
+		Quantums:     100_000_000,
+		Subticks:     50_500_000_000,
+		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
+	}
 	Order_Dave_Num0_Id2_Clob0_Sell1BTC_Price49500_GTB10 = clobtypes.Order{
 		OrderId:      clobtypes.OrderId{SubaccountId: Dave_Num0, ClientId: 2, ClobPairId: 0},
 		Side:         clobtypes.Order_SIDE_SELL,
@@ -961,6 +975,20 @@ var (
 		Subticks:     3_030_000_000,
 		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
 	}
+	Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price49500_GTB10 = clobtypes.Order{
+		OrderId:      clobtypes.OrderId{SubaccountId: Dave_Num1, ClientId: 0, ClobPairId: 0},
+		Side:         clobtypes.Order_SIDE_SELL,
+		Quantums:     100_000_000,
+		Subticks:     49_500_000_000,
+		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
+	}
+	Order_Dave_Num1_Id0_Clob0_Sell1BTC_Price49997_GTB10 = clobtypes.Order{
+		OrderId:      clobtypes.OrderId{SubaccountId: Dave_Num1, ClientId: 0, ClobPairId: 0},
+		Side:         clobtypes.Order_SIDE_SELL,
+		Quantums:     100_000_000,
+		Subticks:     49_997_000_000,
+		GoodTilOneof: &clobtypes.Order_GoodTilBlock{GoodTilBlock: 10},
+	}
 	Order_Dave_Num1_Id0_Clob0_Sell025BTC_Price49999_GTB10 = clobtypes.Order{
 		OrderId:      clobtypes.OrderId{SubaccountId: Dave_Num1, ClientId: 0, ClobPairId: 0},
 		Side:         clobtypes.Order_SIDE_SELL,

diff --git a/protocol/testutil/constants/stateful_orders.go b/protocol/testutil/constants/stateful_orders.go
@@ -862,6 +862,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
 		ConditionalOrderTriggerSubticks: 20,
 	}
+	ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49700 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_BUY,
+		Quantums:                        100_000_000,
+		Subticks:                        50_000_000_000,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 10},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
+		ConditionalOrderTriggerSubticks: 49_700_000_000,
+	}
 	ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49995 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Alice_Num0,
@@ -933,6 +947,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
 		ConditionalOrderTriggerSubticks: 50_005_000_000,
 	}
+	ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_SL_50300 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_BUY,
+		Quantums:                        100_000_000,
+		Subticks:                        50_000_000_000,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 10},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
+		ConditionalOrderTriggerSubticks: 50_300_000_000,
+	}
 	ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_50001 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Bob_Num0,
@@ -961,6 +989,34 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
 		ConditionalOrderTriggerSubticks: 50_005_000_000,
 	}
+	ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_TP_50300 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Bob_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_SELL,
+		Quantums:                        100_000_000,
+		Subticks:                        50_000_000_000,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 10},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
+		ConditionalOrderTriggerSubticks: 50_300_000_000,
+	}
+	ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_49700 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Bob_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_SELL,
+		Quantums:                        100_000_000,
+		Subticks:                        50_000_000_000,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 10},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
+		ConditionalOrderTriggerSubticks: 49_700_000_000,
+	}
 	ConditionalOrder_Bob_Num0_Id0_Clob0_Sell1BTC_Price50000_GTBT10_SL_49995 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Bob_Num0,

diff --git a/protocol/testutil/constants/subaccounts.go b/protocol/testutil/constants/subaccounts.go
@@ -283,6 +283,13 @@ var (
 		},
 		PerpetualPositions: []*satypes.PerpetualPosition{},
 	}
+	Carl_Num1_100000USD = satypes.Subaccount{
+		Id: &Carl_Num1,
+		AssetPositions: []*satypes.AssetPosition{
+			&Usdc_Asset_100_000,
+		},
+		PerpetualPositions: []*satypes.PerpetualPosition{},
+	}
 	Carl_Num1_Short_500USD = satypes.Subaccount{
 		Id: &Carl_Num1,
 		AssetPositions: []*satypes.AssetPosition{
@@ -529,6 +536,13 @@ var (
 		},
 		PerpetualPositions: []*satypes.PerpetualPosition{},
 	}
+	Dave_Num1_500000USD = satypes.Subaccount{
+		Id: &Dave_Num1,
+		AssetPositions: []*satypes.AssetPosition{
+			&Usdc_Asset_500_000,
+		},
+		PerpetualPositions: []*satypes.PerpetualPosition{},
+	}
 	Dave_Num1_025BTC_Long_50000USD = satypes.Subaccount{
 		Id: &Dave_Num1,
 		AssetPositions: []*satypes.AssetPosition{

diff --git a/protocol/testutil/keeper/clob.go b/protocol/testutil/keeper/clob.go
@@ -141,6 +141,7 @@ func NewClobKeepersTestContextWithUninitializedMemStore(
 			bankKeeper,
 			ks.FeeTiersKeeper,
 			ks.PerpetualsKeeper,
+			ks.PricesKeeper,
 			ks.StatsKeeper,
 			ks.RewardsKeeper,
 			ks.SubaccountsKeeper,
@@ -177,6 +178,7 @@ func createClobKeeper(
 	bankKeeper types.BankKeeper,
 	feeTiersKeeper types.FeeTiersKeeper,
 	perpKeeper *perpkeeper.Keeper,
+	pricesKeeper *priceskeeper.Keeper,
 	statsKeeper *statskeeper.Keeper,
 	rewardsKeeper types.RewardsKeeper,
 	saKeeper *subkeeper.Keeper,
@@ -207,6 +209,7 @@ func createClobKeeper(
 		bankKeeper,
 		feeTiersKeeper,
 		perpKeeper,
+		pricesKeeper,
 		statsKeeper,
 		rewardsKeeper,
 		indexerEventManager,