Added order volume limits

northwesternfintech · Oct 8, 2024 · f4cfcd6 · f4cfcd6
1 parent 2944d76
commit f4cfcd6
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Showing 23 changed files with 362 additions and 112 deletions.
diff --git a/.github/workflows/exchange-ci.yml b/.github/workflows/exchange-ci.yml
@@ -356,7 +356,7 @@ jobs:
       run: cmake --install build --config Release --prefix .
 
     - name: Move config file
-      run: cp -r config.yml build/test/config.yml
+      run: cp config.yml build/test/config.yml
 
     - name: Move test algo files
       run: cp -r -L test/src/integration/test_algos build/test/test_algos

diff --git a/exchange/config.yml b/exchange/config.yml
@@ -5,6 +5,7 @@ global:
 
     order_fee: .0000
     sandbox_trial_seconds: 300
+    max_cumulative_order_volume: 5000
 
 tickers:
   - ticker: "ETH"
@@ -20,28 +21,26 @@ tickers:
         std_dev_capital: 2000
 
         # perfect: 5/250000/5000, 25/1000/200
+  - ticker: "LTC"
+    start_price: 50
+    bots:
+      - type: "market_maker"
+        number_of_bots: 5
+        average_capital: 200000
+        std_dev_capital: 50000
+      - type: "retail"
+        number_of_bots: 25
+        average_capital: 5000
+        std_dev_capital: 2000
 
-  # - ticker: "LTC"
-  #   start_price: 200
-  #   bots:
-  #     - type: "market_maker"
-  #       number_of_bots: 10
-  #       average_capital: 100000
-  #       std_dev_capital: 25000
-  #
-  #     - type: "retail"
-  #       number_of_bots: 100
-  #       average_capital: 7500
-  #       std_dev_capital: 100
-  #
-  # - ticker: "BTC"
-  #   start_price: 50
-  #   bots:
-  #     - type: "market_maker"
-  #       number_of_bots: 10
-  #       average_capital: 100000
-  #       std_dev_capital: 10000
-  #     - type: "retail"
-  #       number_of_bots: 100
-  #       average_capital: 2000
-  #       std_dev_capital: 1000
+  - ticker: "BTC"
+    start_price: 200
+    bots:
+      - type: "market_maker"
+        number_of_bots: 25
+        average_capital: 200000
+        std_dev_capital: 50000
+      - type: "retail"
+        number_of_bots: 125
+        average_capital: 5000
+        std_dev_capital: 2000
diff --git a/exchange/src/common/types/decimal.cpp b/exchange/src/common/types/decimal.cpp
@@ -2,56 +2,56 @@
 
 namespace nutc::common {
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>
 Decimal<Scale>::operator-() const
 {
     return -value_;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 typename Decimal<Scale>::decimal_type
 Decimal<Scale>::get_underlying() const
 {
     return value_;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 void
 Decimal<Scale>::set_underlying(decimal_type value)
 {
     value_ = value;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>
 Decimal<Scale>::operator-(const Decimal& other) const
 {
     return value_ - other.value_;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>
 Decimal<Scale>::operator+(const Decimal& other) const
 {
     return value_ + other.value_;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>
 Decimal<Scale>::operator/(const Decimal& other) const
 {
     return value_ * MULTIPLIER / other.value_;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>
 Decimal<Scale>::operator*(const Decimal& other) const
 {
     return (value_ * other.value_) / MULTIPLIER;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>&
 Decimal<Scale>::operator*=(const Decimal& other)
 {
@@ -60,7 +60,7 @@ Decimal<Scale>::operator*=(const Decimal& other)
     return *this;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>&
 Decimal<Scale>::operator/=(const Decimal& other)
 {
@@ -69,34 +69,34 @@ Decimal<Scale>::operator/=(const Decimal& other)
     return *this;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>&
 Decimal<Scale>::operator+=(const Decimal& other)
 {
     value_ += other.value_;
     return *this;
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 bool
 Decimal<Scale>::operator==(double other) const
 {
     return value_ == static_cast<decimal_type>(other * MULTIPLIER);
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>::operator double() const
 {
     return static_cast<double>(value_) / static_cast<double>(MULTIPLIER);
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>::operator float() const
 {
     return static_cast<float>(value_) / static_cast<float>(MULTIPLIER);
 }
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 Decimal<Scale>
 Decimal<Scale>::difference(const Decimal& other) const
 {

diff --git a/exchange/src/common/types/decimal.hpp b/exchange/src/common/types/decimal.hpp
@@ -24,7 +24,7 @@ pow10(int pow)
 }
 } // namespace detail
 
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 class Decimal {
     using decimal_type = std::int64_t;
     static constexpr std::int64_t MULTIPLIER = detail::pow10<decimal_type>(Scale);
@@ -88,6 +88,7 @@ class Decimal {
     }
 
     friend std::hash<Decimal<Scale>>;
+    friend std::numeric_limits<Decimal<Scale>>;
     friend glz::meta<nutc::common::Decimal<Scale>>;
 };
 
@@ -97,18 +98,38 @@ using decimal_quantity = Decimal<QUANTITY_DECIMAL_PLACES>;
 } // namespace nutc::common
 
 namespace std {
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 struct hash<nutc::common::Decimal<Scale>> {
     std::size_t
     operator()(const nutc::common::Decimal<Scale>& obj) const
     {
         return std::hash<int64_t>{}(obj.value_);
     }
 };
+
+// TODO: add unit tests
+template <std::uint8_t Scale>
+class numeric_limits<nutc::common::Decimal<Scale>> {
+public:
+    static nutc::common::Decimal<Scale>
+    max()
+    {
+        return std::numeric_limits<
+            typename nutc::common::Decimal<Scale>::decimal_type>::max();
+    }
+
+    static nutc::common::Decimal<Scale>
+    min()
+    {
+        return std::numeric_limits<
+            typename nutc::common::Decimal<Scale>::decimal_type>::min();
+    }
+};
+
 } // namespace std
 
 /// \cond
-template <std::int8_t Scale>
+template <std::uint8_t Scale>
 struct glz::meta<nutc::common::Decimal<Scale>> {
     using t = nutc::common::Decimal<Scale>;
     static constexpr auto value = object(&t::value_);

diff --git a/exchange/src/exchange/config/dynamic/config.cpp b/exchange/src/exchange/config/dynamic/config.cpp
@@ -99,16 +99,22 @@ Config::get_global_config_(const YAML::Node& full_config)
     const auto& wait_secs = global["wait_secs"];
     const auto& sandbox_secs = global["sandbox_trial_seconds"];
     const auto& order_fee = global["order_fee"];
+    const auto& max_order_volume = global["max_cumulative_order_volume"];
+
     if (!starting_capital.IsDefined())
         throw_undef_err("global/starting_capital");
     if (!wait_secs.IsDefined())
         throw_undef_err("global/wait_secs");
     if (!sandbox_secs.IsDefined())
         throw_undef_err("global/sandbox_trial_seconds");
+    if (!max_order_volume.IsDefined())
+        throw_undef_err("global/max_cumulative_order_volume");
+
     return {
         common::decimal_price(starting_capital.as<double>()), wait_secs.as<size_t>(),
         sandbox_secs.as<unsigned int>(),
-        order_fee.IsDefined() ? order_fee.as<double>() : 0
+        order_fee.IsDefined() ? order_fee.as<double>() : 0,
+        common::decimal_quantity(max_order_volume.as<double>())
     };
 }
 

diff --git a/exchange/src/exchange/config/dynamic/config.hpp b/exchange/src/exchange/config/dynamic/config.hpp
@@ -17,6 +17,7 @@ struct global_config {
     const size_t WAIT_SECS;
     const unsigned int SANDBOX_TRIAL_SECS;
     const double ORDER_FEE;
+    const common::decimal_quantity MAX_CUMULATIVE_OPEN_ORDER_VOLUME;
 };
 
 class Config {

diff --git a/exchange/src/exchange/main.cpp b/exchange/src/exchange/main.cpp
@@ -24,15 +24,22 @@ create_cycle(TraderContainer& traders, const auto& mode)
     const auto& ticker_config = Config::get().get_tickers();
     double order_fee = Config::get().constants().ORDER_FEE;
     auto tickers = TickerContainer(ticker_config, traders);
+    auto max_order_volume = Config::get().constants().MAX_CUMULATIVE_OPEN_ORDER_VOLUME;
 
     switch (mode) {
         case Mode::normal:
-            return std::make_unique<BaseMatchingCycle>(tickers, traders, order_fee);
+            return std::make_unique<BaseMatchingCycle>(
+                tickers, traders, order_fee, max_order_volume
+            );
         case Mode::sandbox:
-            return std::make_unique<SandboxMatchingCycle>(tickers, traders, order_fee);
+            return std::make_unique<SandboxMatchingCycle>(
+                tickers, traders, order_fee, max_order_volume
+            );
         case Mode::bots_only:
         case Mode::dev:
-            return std::make_unique<DevMatchingCycle>(tickers, traders, order_fee);
+            return std::make_unique<DevMatchingCycle>(
+                tickers, traders, order_fee, max_order_volume
+            );
     }
 
     std::unreachable();

diff --git a/exchange/src/exchange/matching_cycle/base/base_cycle.cpp b/exchange/src/exchange/matching_cycle/base/base_cycle.cpp
@@ -55,20 +55,27 @@ BaseMatchingCycle::match_orders_(std::vector<OrderVariant> orders)
 {
     std::vector<common::match> matches;
 
-    for (OrderVariant& order_variant : orders) {
-        auto match_incoming_order = [&]<typename OrderT>(OrderT& order) {
-            auto& ticker_data = tickers_[order.ticker];
-            auto& orderbook = ticker_data.get_orderbook();
-            if constexpr (std::is_same_v<OrderT, common::cancel_order>) {
-                orderbook.remove_order(order.order_id);
-            }
-            else {
-                if (order.quantity <= 0.0)
-                    return;
-                auto tmp = match_order(order, orderbook, order_fee_);
-                std::copy(tmp.begin(), tmp.end(), std::back_inserter(matches));
+    auto match_incoming_order = [&]<typename OrderT>(OrderT& order) {
+        auto& ticker_data = tickers_[order.ticker];
+        auto& orderbook = ticker_data.get_orderbook();
+        if constexpr (std::is_same_v<OrderT, common::cancel_order>) {
+            orderbook.remove_order(order.order_id);
+        }
+        else {
+            if (order.quantity <= 0.0)
+                return;
+            // TODO: delegate elsewhere
+            if (order.quantity + order.trader->get_open_bids()
+                    + order.trader->get_open_asks()
+                > max_cumulative_order_volume_) {
+                return;
             }
-        };
+            auto tmp = match_order(order, orderbook, order_fee_);
+            std::copy(tmp.begin(), tmp.end(), std::back_inserter(matches));
+        }
+    };
+
+    for (OrderVariant& order_variant : orders) {
         std::visit(match_incoming_order, order_variant);
     }
     return matches;

diff --git a/exchange/src/exchange/matching_cycle/base/base_cycle.hpp b/exchange/src/exchange/matching_cycle/base/base_cycle.hpp
@@ -12,12 +12,16 @@ class BaseMatchingCycle : public MatchingCycleInterface {
     TickerContainer tickers_;
     TraderContainer& traders_;
     common::decimal_price order_fee_;
+    common::decimal_quantity max_cumulative_order_volume_;
 
 public:
     // Require transfer of ownership
     BaseMatchingCycle(
-        TickerContainer tickers, TraderContainer& traders, common::decimal_price order_fee
-    ) : tickers_(std::move(tickers)), traders_(traders), order_fee_(order_fee)
+        TickerContainer tickers, TraderContainer& traders,
+        common::decimal_price order_fee, common::decimal_quantity max_order_volume
+    ) :
+        tickers_(std::move(tickers)), traders_(traders), order_fee_(order_fee),
+        max_cumulative_order_volume_{max_order_volume}
     {}
 
 protected:

diff --git a/exchange/src/exchange/matching_cycle/dev/dev_cycle.hpp b/exchange/src/exchange/matching_cycle/dev/dev_cycle.hpp
@@ -13,8 +13,12 @@ class DevMatchingCycle : public BaseMatchingCycle {
     TickerMetricsPusher pusher;
 
 public:
-    DevMatchingCycle(TickerContainer tickers, TraderContainer& traders, common::decimal_price order_fee) :
-        BaseMatchingCycle(std::move(tickers), traders, order_fee), pusher(traders)
+    DevMatchingCycle(
+        TickerContainer tickers, TraderContainer& traders,
+        common::decimal_price order_fee, common::decimal_quantity max_order_volume
+    ) :
+        BaseMatchingCycle(std::move(tickers), traders, order_fee, max_order_volume),
+        pusher(traders)
     {}
 
 protected:

diff --git a/exchange/src/exchange/matching_cycle/sandbox/sandbox_cycle.hpp b/exchange/src/exchange/matching_cycle/sandbox/sandbox_cycle.hpp
@@ -8,8 +8,8 @@ namespace nutc::exchange {
 
 class SandboxMatchingCycle : public DevMatchingCycle {
 public:
-    SandboxMatchingCycle(TickerContainer tickers, TraderContainer& traders, common::decimal_price order_fee) :
-        DevMatchingCycle(std::move(tickers), traders, order_fee)
+    SandboxMatchingCycle(TickerContainer tickers, TraderContainer& traders, common::decimal_price order_fee, common::decimal_quantity max_order_volume) :
+        DevMatchingCycle(std::move(tickers), traders, order_fee, max_order_volume)
     {}
 
 private:

diff --git a/exchange/src/exchange/orders/orderbook/limit_orderbook.cpp b/exchange/src/exchange/orders/orderbook/limit_orderbook.cpp
@@ -2,6 +2,7 @@
 
 #include "common/types/decimal.hpp"
 #include "common/util.hpp"
+#include "exchange/config/dynamic/config.hpp"
 #include "exchange/orders/storage/order_storage.hpp"
 
 namespace nutc::exchange {