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@moo-onthelawn
moo-onthelawn committed Aug 26, 2024
1 parent 46665dc commit 6aec143
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Showing 3 changed files with 241 additions and 35 deletions.
4 changes: 2 additions & 2 deletions src/commonMain/kotlin/exchange.dydx.abacus/validator/TradeInputValidator.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -16,7 +16,7 @@ import exchange.dydx.abacus.validator.trade.TradeAccountStateValidator
import exchange.dydx.abacus.validator.trade.TradeBracketOrdersValidator
import exchange.dydx.abacus.validator.trade.TradeFieldsValidator
import exchange.dydx.abacus.validator.trade.TradeInputDataValidator
import exchange.dydx.abacus.validator.trade.TradeMarketOrderInputValidator
import exchange.dydx.abacus.validator.trade.TradeOrderInputValidator
import exchange.dydx.abacus.validator.trade.TradePositionStateValidator
import exchange.dydx.abacus.validator.trade.TradeResctrictedValidator
import exchange.dydx.abacus.validator.trade.TradeTriggerPriceValidator
Expand All @@ -30,7 +30,7 @@ internal class TradeInputValidator(
TradeFieldsValidator(localizer, formatter, parser),
TradeResctrictedValidator(localizer, formatter, parser),
TradeInputDataValidator(localizer, formatter, parser),
TradeMarketOrderInputValidator(localizer, formatter, parser),
TradeOrderInputValidator(localizer, formatter, parser),
TradeBracketOrdersValidator(localizer, formatter, parser),
TradeTriggerPriceValidator(localizer, formatter, parser),
TradePositionStateValidator(localizer, formatter, parser),
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137 changes: 108 additions & 29 deletions ...r/trade/TradeMarketOrderInputValidator.kt → ...lidator/trade/TradeOrderInputValidator.kt
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Original file line number Diff line number Diff line change
@@ -1,27 +1,31 @@
package exchange.dydx.abacus.validator.trade

import abs
import exchange.dydx.abacus.calculator.CalculationPeriod
import exchange.dydx.abacus.output.input.ErrorType
import exchange.dydx.abacus.output.input.InputType
import exchange.dydx.abacus.output.input.MarginMode
import exchange.dydx.abacus.output.input.OrderType
import exchange.dydx.abacus.output.input.ValidationError
import exchange.dydx.abacus.protocols.LocalizerProtocol
import exchange.dydx.abacus.protocols.ParserProtocol
import exchange.dydx.abacus.state.app.helper.Formatter
import exchange.dydx.abacus.state.internalstate.InternalState
import exchange.dydx.abacus.state.internalstate.InternalSubaccountState
import exchange.dydx.abacus.state.internalstate.InternalTradeInputState
import exchange.dydx.abacus.state.manager.V4Environment
import exchange.dydx.abacus.validator.BaseInputValidator
import exchange.dydx.abacus.validator.PositionChange
import exchange.dydx.abacus.validator.TradeValidatorProtocol

internal class TradeMarketOrderInputValidator(
internal class TradeOrderInputValidator(
localizer: LocalizerProtocol?,
formatter: Formatter?,
parser: ParserProtocol,
) : BaseInputValidator(localizer, formatter, parser), TradeValidatorProtocol {
private val marketOrderErrorSlippage = 0.1
private val marketOrderWarningSlippage = 0.05
private val isolatedLimitOrderMinimumEquity = 20

override fun validateTrade(
internalState: InternalState,
Expand All @@ -30,23 +34,33 @@ internal class TradeMarketOrderInputValidator(
restricted: Boolean,
environment: V4Environment?
): List<ValidationError>? {
val subaccount = internalState.wallet.account.subaccounts[subaccountNumber] ?: return null
val trade = when (internalState.input.currentType) {
InputType.TRADE -> internalState.input.trade
InputType.CLOSE_POSITION -> internalState.input.closePosition
else -> return null
}
if (trade.type != OrderType.Market) {
return null
}

val errors = mutableListOf<ValidationError>()
validateLiquidity(trade)?.let {
errors.add(it)
}
validateOrderbookOrIndexSlippage(trade, restricted)?.let {
errors.add(it)
return when (trade.type) {
OrderType.Market -> {
val errors = mutableListOf<ValidationError>()
validateLiquidity(trade)?.let {
errors.add(it)
}
validateOrderbookOrIndexSlippage(trade, restricted)?.let {
errors.add(it)
}
errors
}
OrderType.Limit, OrderType.StopLimit, OrderType.TakeProfitLimit -> {
val errors = mutableListOf<ValidationError>()
validateIsolatedMarginMinSize(subaccount, trade)?.let {
errors.add(it)
}
errors
}
else -> null
}
return errors
}

override fun validateTradeDeprecated(
Expand All @@ -58,14 +72,18 @@ internal class TradeMarketOrderInputValidator(
restricted: Boolean,
environment: V4Environment?,
): List<Any>? {
return if (parser.asString(trade["type"]) == "MARKET") {
validateMarketOrder(
val tradeType = parser.asString(trade["type"])?.let {
OrderType.invoke(it)
}

return when (tradeType) {
OrderType.Market -> validateMarketOrder(
trade,
market,
restricted,
)
} else {
null
OrderType.Limit, OrderType.StopLimit, OrderType.TakeProfitLimit -> validateLimitOrder(subaccount, trade, restricted)

else -> null
}
}

Expand All @@ -75,24 +93,85 @@ internal class TradeMarketOrderInputValidator(

private fun validateMarketOrder(
trade: Map<String, Any>,
markets: Map<String, Any>?,
restricted: Boolean
): List<Any>? {
return if (parser.asString(trade["type"]) == "MARKET") {
val errors = mutableListOf<Any>()
val errors = mutableListOf<Any>()

var error = liquidity(trade, restricted)
if (error != null) {
errors.add(error)
}
error = orderbookOrIndexSlippage(trade, restricted)
if (error != null) {
errors.add(error)
var error = liquidity(trade, restricted)
if (error != null) {
errors.add(error)
}
error = orderbookOrIndexSlippage(trade, restricted)
if (error != null) {
errors.add(error)
}

return if (errors.size > 0) errors else null
}

private fun validateLimitOrder(
subaccount: Map<String, Any>?,
trade: Map<String, Any>,
restricted: Boolean
): List<Any>? {
val errors = mutableListOf<Any>()
var error = isolatedMarginMinSize(subaccount, trade, restricted)
if (error != null) {
errors.add(error)
}
return if (errors.size > 0) errors else null
}

private fun isolatedMarginMinSize(subaccount: Map<String, Any>?, trade: Map<String, Any>, restricted: Boolean): Map<String, Any>? {
/*
TODO: make a new error type
*/
val marginMode = parser.asString(trade.get("marginMode"))?.let {
MarginMode.invoke(it)
}

return when (marginMode) {
MarginMode.Isolated -> {
val currentFreeCollateral = parser.asDouble(parser.value(subaccount, "freeCollateral.current")) ?: return null
val postFreeCollateral = parser.asDouble(parser.value(subaccount, "freeCollateral.postOrder")) ?: return null
val orderEquity = postFreeCollateral - currentFreeCollateral

if (orderEquity < isolatedLimitOrderMinimumEquity) {
return createTradeBoxWarningOrErrorDeprecated(
errorLevel = if (restricted) "WARNING" else "ERROR",
errorCode = "MARKET_ORDER_NOT_ENOUGH_LIQUIDITY", // TODO: make a new error type
fields = listOf("size.size"),
actionStringKey = "APP.TRADE.MODIFY_SIZE_FIELD",
)
} else {
return null
}
}
else -> null
}
}

private fun validateIsolatedMarginMinSize(subaccount: InternalSubaccountState, trade: InternalTradeInputState): ValidationError? {
/*
TODO: make a new error type
*/
return when (trade.marginMode) {
MarginMode.Isolated -> {
val currentFreeCollateral = subaccount.calculated.get(CalculationPeriod.current)?.freeCollateral ?: return null
val postFreeCollateral = subaccount.calculated.get(CalculationPeriod.post)?.freeCollateral ?: return null
val orderEquity = postFreeCollateral - currentFreeCollateral

if (errors.size > 0) errors else null
} else {
null
if (orderEquity < isolatedLimitOrderMinimumEquity) {
return createTradeBoxWarningOrError(
errorLevel = if (accountRestricted()) ErrorType.warning else ErrorType.error,
errorCode = "MARKET_ORDER_NOT_ENOUGH_LIQUIDITY", // TODO: make a new error type
fields = listOf("size.size"),
actionStringKey = "APP.TRADE.MODIFY_SIZE_FIELD",
)
}
return null
}
else -> null
}
}

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