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Matching Engine: swapped with peer order, should have swapped with own order #1206

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kilrau opened this issue Sep 7, 2019 · 1 comment · Fixed by #1454
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Matching Engine: swapped with peer order, should have swapped with own order #1206

kilrau opened this issue Sep 7, 2019 · 1 comment · Fixed by #1454
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@sangaman
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bug Something isn't working order book P2 mid priority

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@kilrau
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kilrau commented Sep 7, 2019 •
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Background

Matching engine should prio matching with own orders. It did not, matched with peer orders instead.

Your environment

  • version of xud: master
  • which operating system (uname -a on *Nix):
  • version of btcd, bitcoind, ltcd, litecoind, geth, parity, raiden, lnd or other chain backend: simnet
  • any other relevant environment details: simnet

Steps to reproduce

Trading pair: WETH/BTC
┌───────────────────────────────────────┬───────────────────────────────────────┐
│ Buy                                   │ Sell                                  │
├───────────────────┬───────────────────┼───────────────────┬───────────────────┤
│ Quantity          │ Price             │ Price             │ Quantity          │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 3.1               │ 0.021             │ 0.023             │ 2.1               │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 15.5              │ 0.02              │ 0.024             │ 13                │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 18                │ 0.019             │ 0.025             │ 15.6              │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 21.25             │ 0.018             │ 0.026             │ 18.1              │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 24                │ 0.017             │ 0.027             │ 22.3              │
└───────────────────┴───────────────────┴───────────────────┴───────────────────┘
simnet > buy 0.1 weth/btc 0.021
no matches found
remaining 0.1 WETH entered the order book as fbbbdc20-d15c-11e9-9107-7d92664f3f46
simnet > orderbook

Trading pair: WETH/BTC
┌───────────────────────────────────────┬───────────────────────────────────────┐
│ Buy                                   │ Sell                                  │
├───────────────────┬───────────────────┼───────────────────┬───────────────────┤
│ Quantity          │ Price             │ Price             │ Quantity          │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 3.2               │ 0.021             │ 0.023             │ 2.1               │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 15.5              │ 0.02              │ 0.024             │ 13                │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 18                │ 0.019             │ 0.025             │ 15.6              │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 21.25             │ 0.018             │ 0.026             │ 18.1              │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 24                │ 0.017             │ 0.027             │ 22.3              │
└───────────────────┴───────────────────┴───────────────────┴───────────────────┘
simnet > sell 0.1 weth/btc 0.021
swapped 0.1 WETH with peer order 1bc42180-d153-11e9-9d10-97467125afef
simnet > sell 0.1 weth/btc 0.021
swapped 0.1 WETH with peer order 1bc42180-d153-11e9-9d10-97467125afef
simnet > orderbook

Trading pair: WETH/BTC
┌───────────────────────────────────────┬───────────────────────────────────────┐
│ Buy                                   │ Sell                                  │
├───────────────────┬───────────────────┼───────────────────┬───────────────────┤
│ Quantity          │ Price             │ Price             │ Quantity          │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 3                 │ 0.021             │ 0.023             │ 2.1               │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 15.5              │ 0.02              │ 0.024             │ 13                │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 18                │ 0.019             │ 0.025             │ 15.6              │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 21.25             │ 0.018             │ 0.026             │ 18.1              │
├───────────────────┼───────────────────┼───────────────────┼───────────────────┤
│ 24                │ 0.017             │ 0.027             │ 22.3              │
└───────────────────┴───────────────────┴───────────────────┴───────────────────┘
simnet > listorders

Trading pair: WETH/BTC
┌────────────────────────────────────────────────────┬────────────────────────────────────────────────────┐
│ Buy                                                │ Sell                                               │
├───────────────────┬───────────────────┬────────────┼───────────────────┬───────────────────┬────────────┤
│ Quantity          │ Price             │ Own Order  │ Quantity          │ Price             │ Own Order  │
├───────────────────┼───────────────────┼────────────┼───────────────────┼───────────────────┼────────────┤
│ 0.1               │ 0.021             │ X          │ 2.1               │ 0.023             │            │
├───────────────────┼───────────────────┼────────────┼───────────────────┼───────────────────┼────────────┤
│ 2.9               │ 0.021             │            │ 13                │ 0.024             │            │
├───────────────────┼───────────────────┼────────────┼───────────────────┼───────────────────┼────────────┤
│ 15.5              │ 0.02              │            │ 15.6              │ 0.025             │            │
├───────────────────┼───────────────────┼────────────┼───────────────────┼───────────────────┼────────────┤
│ 18                │ 0.019             │            │ 18.1              │ 0.026             │            │
├───────────────────┼───────────────────┼────────────┼───────────────────┼───────────────────┼────────────┤
│ 21.25             │ 0.018             │            │ 22.3              │ 0.027             │            │
├───────────────────┼───────────────────┼────────────┼───────────────────┼───────────────────┼────────────┤
│ 24                │ 0.017             │            │                   │                   │            │
└───────────────────┴───────────────────┴────────────┴───────────────────┴───────────────────┴────────────┘
simnet >

Expected behaviour

Matching engine should have matched with own order

Actual behaviour

Matching engine matched with peer order
@kilrau kilrau added the bug Something isn't working label Sep 7, 2019
@kilrau kilrau assigned ghost Sep 7, 2019
@kilrau
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kilrau commented Oct 9, 2019

Very similar: #1113

@kilrau kilrau assigned moshababo and unassigned ghost Oct 9, 2019
@kilrau kilrau added the P2 mid priority label Oct 9, 2019
@kilrau kilrau assigned rsercano and unassigned moshababo Oct 9, 2019
@kilrau kilrau assigned sangaman and unassigned LePremierHomme Apr 1, 2020
sangaman added a commit that referenced this issue Apr 2, 2020
@sangaman
fix(orderbook): match own orders before peers'
eca7380 
This fixes the matching engine order book priority to prefer own orders
over peer orders when two orders have the same price. Previously, the
engine would take whichever order was seen first. This is now only
considered if two given orders at the same price point are either both
own orders or both peer orders.

Fixes #1206.
This was referenced Apr 2, 2020
Merged
Closed
sangaman added a commit that referenced this issue Apr 2, 2020
@sangaman
fix(orderbook): match own orders before peers'
ca9f26b 
This fixes the matching engine order book priority to prefer own orders
over peer orders when two orders have the same price. Previously, the
engine would take whichever order was seen first. This is now only
considered if two given orders at the same price point are either both
own orders or both peer orders.

Fixes #1206.
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fix(orderbook): match own orders before peers' ExchangeUnion/xud
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@sangaman @rsercano @moshababo @kilrau @LePremierHomme