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fix op_underfunded error when replenishing top offer (#253), fixes #250
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* 1 - add log line for greater visibility into creation of preceding offers

* 2 - update comment to clarify what we do after adding preceding levels

* 3 - rename currentLevels -> desiredLevels in sellSideStrategy.go

* 4 - log buy/sell action when creating preceding levels

* 5 - remove padding of offers and use existingOfferIndex instead to be more logically explicit and to keep level logging more accurate

* 6 - the fix: we should not return an extra level consumed because we may want to delete or modify it, whereas it currently skips that level entirely
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@nikhilsaraf
nikhilsaraf authored Aug 20, 2019
1 parent fb6f4d4 commit b56d7b5
Showing 1 changed file with 33 additions and 27 deletions.
60 changes: 33 additions & 27 deletions plugins/sellSideStrategy.go
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Original file line number Diff line number Diff line change
Expand Up @@ -28,7 +28,7 @@ type sellSideStrategy struct {
action string

// uninitialized
currentLevels []api.Level // levels for current iteration
desiredLevels []api.Level // levels for current iteration
maxAssetBase float64
maxAssetQuote float64
}
Expand Down Expand Up @@ -69,7 +69,7 @@ func makeSellSideStrategy(
// PruneExistingOffers impl
func (s *sellSideStrategy) PruneExistingOffers(offers []hProtocol.Offer) ([]build.TransactionMutator, []hProtocol.Offer) {
// figure out which offers we want to prune
shouldPrune := computeOffersToPrune(offers, s.currentLevels)
shouldPrune := computeOffersToPrune(offers, s.desiredLevels)

pruneOps := []build.TransactionMutator{}
updatedOffers := []hProtocol.Offer{}
Expand Down Expand Up @@ -139,14 +139,14 @@ func (s *sellSideStrategy) PreUpdate(maxAssetBase float64, maxAssetQuote float64
nothingToSell := maxAssetBase == 0
lineFull := maxAssetQuote == trustQuote
if nothingToSell || lineFull {
s.currentLevels = []api.Level{}
s.desiredLevels = []api.Level{}
log.Printf("no capacity to place sell orders (nothingToSell = %v, lineFull = %v)\n", nothingToSell, lineFull)
return nil
}

// load currentLevels only once here
// load desiredLevels only once here
var e error
s.currentLevels, e = s.levelsProvider.GetLevels(s.maxAssetBase, s.maxAssetQuote)
s.desiredLevels, e = s.levelsProvider.GetLevels(s.maxAssetBase, s.maxAssetQuote)
if e != nil {
log.Printf("levels couldn't be loaded: %s\n", e)
return e
Expand Down Expand Up @@ -219,9 +219,8 @@ func (s *sellSideStrategy) createPrecedingOffers(

for i := 0; i < len(precedingLevels); i++ {
if hitCapacityLimit {
// we consider the ith level consumed because we don't want to create an offer for it anyway since we hit the capacity limit
log.Printf("hitCapacityLimit in preceding level loop, returning numLevelsConsumed=%d\n", i+1)
return (i + 1), true, ops, newTopOffer, nil
log.Printf("%s, hitCapacityLimit in preceding level loop, returning numLevelsConsumed=%d\n", s.action, i)
return i, true, ops, newTopOffer, nil
}

targetPrice, targetAmount, e := s.computeTargets(precedingLevels[i])
Expand All @@ -246,36 +245,42 @@ func (s *sellSideStrategy) createPrecedingOffers(
}
}

numLevelsConsumed := len(precedingLevels)
newTopOfferPrice := "<nil>"
if newTopOffer != nil {
newTopOfferPrice = newTopOffer.AsString()
}
log.Printf("%s, done creating preceding offers (numLevelsConsumed=%d, hitCapacityLimit=%v, numOps=%d, newTopOfferPrice=%s)",
s.action, numLevelsConsumed, hitCapacityLimit, len(ops), newTopOfferPrice,
)

// hitCapacityLimit can be updated after the check inside the for loop
return len(precedingLevels), hitCapacityLimit, ops, newTopOffer, nil
return numLevelsConsumed, hitCapacityLimit, ops, newTopOffer, nil
}

// UpdateWithOps impl
func (s *sellSideStrategy) UpdateWithOps(offers []hProtocol.Offer) (ops []build.TransactionMutator, newTopOffer *model.Number, e error) {
deleteOps := []build.TransactionMutator{}

// first we want to re-create any offers that precede our existing offers and are additions to the existing offers that we have
precedingLevels := computePrecedingLevels(offers, s.currentLevels)
precedingLevels := computePrecedingLevels(offers, s.desiredLevels)
var hitCapacityLimit bool
var numLevelsConsumed int
numLevelsConsumed, hitCapacityLimit, ops, newTopOffer, e = s.createPrecedingOffers(precedingLevels)
if e != nil {
return nil, nil, fmt.Errorf("unable to create preceding offers: %s", e)
}
// pad the offers so it lines up correctly with numLevelsConsumed.
// alternatively we could chop off the beginning of s.currentLevels but then that affects the logging of levels downstream
for i := 0; i < numLevelsConsumed; i++ {
offers = append([]hProtocol.Offer{{}}, offers...)
}

// next we want to adjust our remaining offers to be in line with what is desired, creating new offers that may not exist at the end of our existing offers
for i := numLevelsConsumed; i < len(s.currentLevels); i++ {
isModify := i < len(offers)
// next we want to adjust our remaining offers to be in line with what is desired
// either modifying the existing offers, or creating new offers at the end of our existing offers
for i := numLevelsConsumed; i < len(s.desiredLevels); i++ {
existingOffersIdx := i - numLevelsConsumed
isModify := existingOffersIdx < len(offers)
// we only want to delete offers after we hit the capacity limit which is why we perform this check in the beginning
if hitCapacityLimit {
if isModify {
delOp := s.sdex.DeleteOffer(offers[i])
log.Printf("deleting offer because we previously hit the capacity limit, offerId=%d\n", offers[i].ID)
delOp := s.sdex.DeleteOffer(offers[existingOffersIdx])
log.Printf("deleting offer because we previously hit the capacity limit, offerId=%d\n", offers[existingOffersIdx].ID)
deleteOps = append(deleteOps, delOp)
continue
} else {
Expand All @@ -285,23 +290,23 @@ func (s *sellSideStrategy) UpdateWithOps(offers []hProtocol.Offer) (ops []build.
}

// hitCapacityLimit can be updated below
targetPrice, targetAmount, e := s.computeTargets(s.currentLevels[i])
targetPrice, targetAmount, e := s.computeTargets(s.desiredLevels[i])
if e != nil {
return nil, nil, fmt.Errorf("could not compute targets: %s", e)
}

var offerPrice *model.Number
var op *build.ManageOfferBuilder
if isModify {
offerPrice, hitCapacityLimit, op, e = s.modifySellLevel(offers, i, *targetPrice, *targetAmount)
offerPrice, hitCapacityLimit, op, e = s.modifySellLevel(offers, existingOffersIdx, i, *targetPrice, *targetAmount)
} else {
offerPrice, hitCapacityLimit, op, e = s.createSellLevel(i, *targetPrice, *targetAmount)
}
if e != nil {
return nil, nil, fmt.Errorf("unable to update existing offers or create new offers: %s", e)
}
if op != nil {
reducedOrderSize := isModify && targetAmount.AsFloat() < utils.AmountStringAsFloat(offers[i].Amount)
reducedOrderSize := isModify && targetAmount.AsFloat() < utils.AmountStringAsFloat(offers[existingOffersIdx].Amount)
hitCapacityLimitModify := isModify && hitCapacityLimit
if reducedOrderSize || hitCapacityLimitModify {
// prepend operations that reduce the size of an existing order because they decrease our liabilities
Expand Down Expand Up @@ -382,7 +387,7 @@ func (s *sellSideStrategy) createSellLevel(index int, targetPrice model.Number,
priceLogged = 1 / price
amountLogged = amount * price
}
log.Printf("%s | create | level=%d | priceQuote=%.8f | amtBase=%.8f\n", s.action, index+1, priceLogged, amountLogged)
log.Printf("%s | create | new level=%d | priceQuote=%.8f | amtBase=%.8f\n", s.action, index+1, priceLogged, amountLogged)
return s.sdex.CreateSellOffer(*s.assetBase, *s.assetQuote, price, amount, incrementalNativeAmountRaw)
},
*s.assetBase,
Expand All @@ -392,7 +397,7 @@ func (s *sellSideStrategy) createSellLevel(index int, targetPrice model.Number,
}

// modifySellLevel returns offerPrice, hitCapacityLimit, op, error.
func (s *sellSideStrategy) modifySellLevel(offers []hProtocol.Offer, index int, targetPrice model.Number, targetAmount model.Number) (*model.Number, bool, *build.ManageOfferBuilder, error) {
func (s *sellSideStrategy) modifySellLevel(offers []hProtocol.Offer, index int, newIndex int, targetPrice model.Number, targetAmount model.Number) (*model.Number, bool, *build.ManageOfferBuilder, error) {
highestPrice := targetPrice.AsFloat() + targetPrice.AsFloat()*s.priceTolerance
lowestPrice := targetPrice.AsFloat() - targetPrice.AsFloat()*s.priceTolerance
minAmount := targetAmount.AsFloat() - targetAmount.AsFloat()*s.amountTolerance
Expand All @@ -409,6 +414,7 @@ func (s *sellSideStrategy) modifySellLevel(offers []hProtocol.Offer, index int,
if !priceTrigger && !amountTrigger {
// always add back the current offer in the cached liabilities when we don't modify it
s.ieif.AddLiabilities(offers[index].Selling, offers[index].Buying, curAmount, curAmount*curPrice, incrementalNativeAmountRaw)
log.Printf("%s | modify | unmodified original level = %d | newLevel number = %d\n", s.action, index+1, newIndex+1)
offerPrice := model.NumberFromFloat(curPrice, s.orderConstraints.PricePrecision)
return offerPrice, false, nil, nil
}
Expand Down Expand Up @@ -439,8 +445,8 @@ func (s *sellSideStrategy) modifySellLevel(offers []hProtocol.Offer, index int,
lowestPriceLogged = 1 / highestPrice
highestPriceLogged = 1 / lowestPrice
}
log.Printf("%s | modify | level=%d | targetPriceQuote=%.8f | targetAmtBase=%.8f | curPriceQuote=%.8f | lowPriceQuote=%.8f | highPriceQuote=%.8f | curAmtBase=%.8f | minAmtBase=%.8f | maxAmtBase=%.8f\n",
s.action, index+1, priceLogged, amountLogged, curPriceLogged, lowestPriceLogged, highestPriceLogged, curAmountLogged, minAmountLogged, maxAmountLogged)
log.Printf("%s | modify | old level=%d | new level = %d | targetPriceQuote=%.8f | targetAmtBase=%.8f | curPriceQuote=%.8f | lowPriceQuote=%.8f | highPriceQuote=%.8f | curAmtBase=%.8f | minAmtBase=%.8f | maxAmtBase=%.8f\n",
s.action, index+1, newIndex+1, priceLogged, amountLogged, curPriceLogged, lowestPriceLogged, highestPriceLogged, curAmountLogged, minAmountLogged, maxAmountLogged)
return s.sdex.ModifySellOffer(offers[index], price, amount, incrementalNativeAmountRaw)
},
offers[index].Selling,
Expand Down

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