From dff7282cc9f15e286e3ba01a5fffeea71906fbc1 Mon Sep 17 00:00:00 2001
From: Pete Barrow <pete@vega.xyz>
Date: Thu, 24 Sep 2020 11:07:18 +0100
Subject: [PATCH 1/2] Fixing incorrect iterating order through sell price
 levels.

---
 matching/orderbook_test.go | 40 ++++++++++++++++++++++++++++++++++++++
 matching/side.go           | 10 +++++-----
 2 files changed, 45 insertions(+), 5 deletions(-)

diff --git a/matching/orderbook_test.go b/matching/orderbook_test.go
index 47bf8a994a..ff956d1f80 100644
--- a/matching/orderbook_test.go
+++ b/matching/orderbook_test.go
@@ -2640,6 +2640,46 @@ func TestOrderBook_IndicativePriceAndVolume8(t *testing.T) {
 	assert.Equal(t, len(cancels), 0)
 }
 
+func TestOrderBook_UncrossTest1(t *testing.T) {
+	market := "testOrderbook"
+	book := getTestOrderBook(t, market)
+	defer book.Finish()
+
+	logger := logging.NewTestLogger()
+	defer logger.Sync()
+
+	// Switch to auction mode
+	book.EnterAuction()
+
+	bo1 := getOrder(t, book, market, "BuyOrder01", types.Side_SIDE_BUY, 100, "party01", 5)
+	bo1.TimeInForce = types.Order_TIF_GFA
+	book.SubmitOrder(bo1)
+
+	so1 := getOrder(t, book, market, "SellOrder01", types.Side_SIDE_SELL, 100, "party02", 5)
+	so1.TimeInForce = types.Order_TIF_GFA
+	book.SubmitOrder(so1)
+
+	bo2 := getOrder(t, book, market, "BuyOrder02", types.Side_SIDE_BUY, 100, "party01", 5)
+	bo2.TimeInForce = types.Order_TIF_GFA
+	book.SubmitOrder(bo2)
+
+	so2 := getOrder(t, book, market, "SellOrder02", types.Side_SIDE_SELL, 101, "party02", 5)
+	so2.TimeInForce = types.Order_TIF_GFA
+	book.SubmitOrder(so2)
+
+	// Get indicative auction price and volume
+	price, volume, side := book.GetIndicativePriceAndVolume()
+	assert.Equal(t, price, uint64(100))
+	assert.Equal(t, volume, uint64(5))
+	assert.Equal(t, side, types.Side_SIDE_SELL)
+
+	// Leave auction and uncross the book
+	uncrossedOrders, cancels, err := book.LeaveAuction()
+	assert.Nil(t, err)
+	assert.Equal(t, len(uncrossedOrders), 1)
+	assert.Equal(t, len(cancels), 2)
+}
+
 // this is a test for issue 2060 to ensure we process FOK orders properly
 func TestOrderBook_NetworkOrderSuccess(t *testing.T) {
 	market := "testOrderbook"
diff --git a/matching/side.go b/matching/side.go
index bff095f5e1..60af871c63 100644
--- a/matching/side.go
+++ b/matching/side.go
@@ -177,8 +177,8 @@ func (s *OrderBookSide) ExtractOrders(price, volume uint64) ([]*types.Order, err
 			}
 		}
 	} else {
-		for len(s.levels) > 0 {
-			pricelevel := s.levels[0]
+		for index := len(s.levels) - 1; index >= 0; index-- {
+			pricelevel := s.levels[index]
 			for _, order := range pricelevel.orders {
 				// Check the price is good and the total volume will not be exceeded
 				if order.Price <= price && totalVolume+order.Remaining <= volume {
@@ -193,9 +193,9 @@ func (s *OrderBookSide) ExtractOrders(price, volume uint64) ([]*types.Order, err
 					return nil, ErrInvalidVolume
 				}
 			}
-			// Erase this price level which will be the start of the slice
-			s.levels[0] = nil
-			s.levels = s.levels[1:len(s.levels)]
+			// Erase this price level which will be the end of the slice
+			s.levels[index] = nil
+			s.levels = s.levels[:len(s.levels)-1]
 
 			// Check if we have done enough
 			if totalVolume == volume {

From 26eb37f939d7720fdb9691b419e055e5840b81f2 Mon Sep 17 00:00:00 2001
From: Pete Barrow <pete@vega.xyz>
Date: Thu, 24 Sep 2020 12:16:23 +0100
Subject: [PATCH 2/2] Shortened variable name

---
 matching/side.go | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

diff --git a/matching/side.go b/matching/side.go
index 60af871c63..2880a75c2b 100644
--- a/matching/side.go
+++ b/matching/side.go
@@ -150,8 +150,8 @@ func (s *OrderBookSide) ExtractOrders(price, volume uint64) ([]*types.Order, err
 	var totalVolume uint64
 
 	if s.side == types.Side_SIDE_BUY {
-		for index := len(s.levels) - 1; index >= 0; index-- {
-			pricelevel := s.levels[index]
+		for i := len(s.levels) - 1; i >= 0; i-- {
+			pricelevel := s.levels[i]
 			for _, order := range pricelevel.orders {
 				// Check the price is good and the total volume will not be exceeded
 				if order.Price >= price && totalVolume+order.Remaining <= volume {
@@ -168,7 +168,7 @@ func (s *OrderBookSide) ExtractOrders(price, volume uint64) ([]*types.Order, err
 				}
 			}
 			// Erase this price level which will be at the end of the slice
-			s.levels[index] = nil
+			s.levels[i] = nil
 			s.levels = s.levels[:len(s.levels)-1]
 
 			// Check if we have done enough
@@ -177,8 +177,8 @@ func (s *OrderBookSide) ExtractOrders(price, volume uint64) ([]*types.Order, err
 			}
 		}
 	} else {
-		for index := len(s.levels) - 1; index >= 0; index-- {
-			pricelevel := s.levels[index]
+		for i := len(s.levels) - 1; i >= 0; i-- {
+			pricelevel := s.levels[i]
 			for _, order := range pricelevel.orders {
 				// Check the price is good and the total volume will not be exceeded
 				if order.Price <= price && totalVolume+order.Remaining <= volume {
@@ -194,7 +194,7 @@ func (s *OrderBookSide) ExtractOrders(price, volume uint64) ([]*types.Order, err
 				}
 			}
 			// Erase this price level which will be the end of the slice
-			s.levels[index] = nil
+			s.levels[i] = nil
 			s.levels = s.levels[:len(s.levels)-1]
 
 			// Check if we have done enough