code.vegaprotocol.io/vega@v0.79.0/core/execution/future/reference_price_moves.go (about)

     1  // Copyright (C) 2023 Gobalsky Labs Limited
     2  //
     3  // This program is free software: you can redistribute it and/or modify
     4  // it under the terms of the GNU Affero General Public License as
     5  // published by the Free Software Foundation, either version 3 of the
     6  // License, or (at your option) any later version.
     7  //
     8  // This program is distributed in the hope that it will be useful,
     9  // but WITHOUT ANY WARRANTY; without even the implied warranty of
    10  // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
    11  // GNU Affero General Public License for more details.
    12  //
    13  // You should have received a copy of the GNU Affero General Public License
    14  // along with this program.  If not, see <http://www.gnu.org/licenses/>.
    15  
    16  package future
    17  
    18  import (
    19  	"context"
    20  
    21  	"code.vegaprotocol.io/vega/core/execution/common"
    22  	"code.vegaprotocol.io/vega/core/types"
    23  )
    24  
    25  func (m *Market) checkForReferenceMoves(
    26  	ctx context.Context, orderUpdates []*types.Order, forceUpdate bool,
    27  ) {
    28  	if m.as.InAuction() {
    29  		return
    30  	}
    31  
    32  	newBestBid, _ := m.getBestStaticBidPrice()
    33  	newBestAsk, _ := m.getBestStaticAskPrice()
    34  	newMidBuy, _ := m.getStaticMidPrice(types.SideBuy)
    35  	newMidSell, _ := m.getStaticMidPrice(types.SideSell)
    36  
    37  	// Look for a move
    38  	var changes uint8
    39  	if !forceUpdate {
    40  		if newMidBuy.NEQ(m.lastMidBuyPrice) || newMidSell.NEQ(m.lastMidSellPrice) {
    41  			changes |= common.PriceMoveMid
    42  		}
    43  		if newBestBid.NEQ(m.lastBestBidPrice) {
    44  			changes |= common.PriceMoveBestBid
    45  		}
    46  		if newBestAsk.NEQ(m.lastBestAskPrice) {
    47  			changes |= common.PriceMoveBestAsk
    48  		}
    49  	} else {
    50  		changes = common.PriceMoveAll
    51  	}
    52  
    53  	// now we can start all special order repricing...
    54  	orderUpdates = m.repriceAllSpecialOrders(ctx, changes, orderUpdates)
    55  
    56  	// Update the last price values
    57  	// no need to clone the prices, they're not used in calculations anywhere in this function
    58  	m.lastMidBuyPrice = newMidBuy
    59  	m.lastMidSellPrice = newMidSell
    60  	m.lastBestBidPrice = newBestBid
    61  	m.lastBestAskPrice = newBestAsk
    62  
    63  	// now we had new orderUpdates while processing those,
    64  	// that would means someone got distressed, so some order
    65  	// got uncrossed, so we need to check all these again.
    66  	// we do not use the forceUpdate field here as it's
    67  	// not required that prices moved though
    68  	if len(orderUpdates) > 0 {
    69  		m.checkForReferenceMoves(ctx, orderUpdates, false)
    70  	}
    71  }