Merge pull request #829 from bitshares/201805-market-engine-change1

BSIP31-34 market engine improvements

libraries/chain/db_maint.cpp

@@ -766,6 +766,40 @@ void database::process_bids( const asset_bitasset_data_object& bad )
    _cancel_bids_and_revive_mpa( to_revive, bad );
 }
 
+void update_and_match_call_orders( database& db )
+{
+   // Update call_price
+   wlog( "Updating all call orders for hardfork core-343 at block ${n}", ("n",db.head_block_num()) );
+   asset_id_type current_asset;
+   const asset_bitasset_data_object* abd = nullptr;
+   // by_collateral index won't change after call_price updated, so it's safe to iterate
+   for( const auto& call_obj : db.get_index_type<call_order_index>().indices().get<by_collateral>() )
+   {
+      if( current_asset != call_obj.debt_type() ) // debt type won't be asset_id_type(), abd will always get initialized
+      {
+         current_asset = call_obj.debt_type();
+         abd = &current_asset(db).bitasset_data(db);
+      }
+      if( !abd || abd->is_prediction_market ) // nothing to do with PM's; check !abd just to be safe
+         continue;
+      db.modify( call_obj, [abd]( call_order_object& call ) {
+         call.call_price  =  price::call_price( call.get_debt(), call.get_collateral(),
+                                                abd->current_feed.maintenance_collateral_ratio );
+      });
+   }
+   // Match call orders
+   const auto& asset_idx = db.get_index_type<asset_index>().indices().get<by_type>();
+   auto itr = asset_idx.lower_bound( true /** market issued */ );
+   while( itr != asset_idx.end() )
+   {
+      const asset_object& a = *itr;
+      ++itr;
+      // be here, next_maintenance_time should have been updated already
+      db.check_call_orders( a, true, false ); // allow black swan, and call orders are taker
+   }
+   wlog( "Done updating all call orders for hardfork core-343 at block ${n}", ("n",db.head_block_num()) );
+}
+
 void database::perform_chain_maintenance(const signed_block& next_block, const global_property_object& global_props)
 {
    const auto& gpo = get_global_properties();
@@ -917,11 +951,20 @@ void database::perform_chain_maintenance(const signed_block& next_block, const g
    if( (dgpo.next_maintenance_time < HARDFORK_613_TIME) && (next_maintenance_time >= HARDFORK_613_TIME) )
       deprecate_annual_members(*this);
 
+   // To reset call_price of all call orders, then match by new rule
+   bool to_update_and_match_call_orders = false;
+   if( (dgpo.next_maintenance_time <= HARDFORK_CORE_343_TIME) && (next_maintenance_time > HARDFORK_CORE_343_TIME) )
+      to_update_and_match_call_orders = true;
+
    modify(dgpo, [next_maintenance_time](dynamic_global_property_object& d) {
       d.next_maintenance_time = next_maintenance_time;
       d.accounts_registered_this_interval = 0;
    });
 
+   // We need to do it after updated next_maintenance_time, to apply new rules here
+   if( to_update_and_match_call_orders )
+      update_and_match_call_orders(*this);
+
    // Reset all BitAsset force settlement volumes to zero
    for( const auto& d : get_index_type<asset_bitasset_data_index>().indices() )
    {

libraries/chain/db_update.cpp

@@ -209,6 +209,20 @@ bool database::check_for_blackswan( const asset_object& mia, bool enable_black_s
     const call_order_index& call_index = get_index_type<call_order_index>();
     const auto& call_price_index = call_index.indices().get<by_price>();
 
+    auto call_min = price::min( bitasset.options.short_backing_asset, mia.id );
+    auto call_max = price::max( bitasset.options.short_backing_asset, mia.id );
+    auto call_itr = call_price_index.lower_bound( call_min );
+    auto call_end = call_price_index.upper_bound( call_max );
+
+    if( call_itr == call_end ) return false;  // no call orders
+
+    price highest = settle_price;
+
+    auto maint_time = get_dynamic_global_properties().next_maintenance_time;
+    if( maint_time > HARDFORK_CORE_338_TIME )
+       // due to #338, we won't check for black swan on incoming limit order, so need to check with MSSP here
+       highest = bitasset.current_feed.max_short_squeeze_price();
+
     const limit_order_index& limit_index = get_index_type<limit_order_index>();
     const auto& limit_price_index = limit_index.indices().get<by_price>();
 
@@ -217,38 +231,35 @@ bool database::check_for_blackswan( const asset_object& mia, bool enable_black_s
     // stop when limit orders are selling too little USD for too much CORE
     auto lowest_possible_bid  = price::min( mia.id, bitasset.options.short_backing_asset );
 
-    assert( highest_possible_bid.base.asset_id == lowest_possible_bid.base.asset_id );
+    FC_ASSERT( highest_possible_bid.base.asset_id == lowest_possible_bid.base.asset_id );
     // NOTE limit_price_index is sorted from greatest to least
     auto limit_itr = limit_price_index.lower_bound( highest_possible_bid );
     auto limit_end = limit_price_index.upper_bound( lowest_possible_bid );
 
-    auto call_min = price::min( bitasset.options.short_backing_asset, mia.id );
-    auto call_max = price::max( bitasset.options.short_backing_asset, mia.id );
-    auto call_itr = call_price_index.lower_bound( call_min );
-    auto call_end = call_price_index.upper_bound( call_max );
-
-    if( call_itr == call_end ) return false;  // no call orders
-
-    price highest = settle_price;
     if( limit_itr != limit_end ) {
-       assert( settle_price.base.asset_id == limit_itr->sell_price.base.asset_id );
-       highest = std::max( limit_itr->sell_price, settle_price );
+       FC_ASSERT( highest.base.asset_id == limit_itr->sell_price.base.asset_id );
+       highest = std::max( limit_itr->sell_price, highest );
     }
 
     auto least_collateral = call_itr->collateralization();
     if( ~least_collateral >= highest  ) 
     {
+       wdump( (*call_itr) );
        elog( "Black Swan detected: \n"
              "   Least collateralized call: ${lc}  ${~lc}\n"
            //  "   Highest Bid:               ${hb}  ${~hb}\n"
-             "   Settle Price:              ${sp}  ${~sp}\n"
-             "   Max:                       ${h}   ${~h}\n",
+             "   Settle Price:              ${~sp}  ${sp}\n"
+             "   Max:                       ${~h}  ${h}\n",
             ("lc",least_collateral.to_real())("~lc",(~least_collateral).to_real())
           //  ("hb",limit_itr->sell_price.to_real())("~hb",(~limit_itr->sell_price).to_real())
             ("sp",settle_price.to_real())("~sp",(~settle_price).to_real())
             ("h",highest.to_real())("~h",(~highest).to_real()) );
        FC_ASSERT( enable_black_swan, "Black swan was detected during a margin update which is not allowed to trigger a blackswan" );
-       globally_settle_asset(mia, ~least_collateral );
+       if( maint_time > HARDFORK_CORE_338_TIME && ~least_collateral <= settle_price )
+          // global settle at feed price if possible
+          globally_settle_asset(mia, settle_price );
+       else
+          globally_settle_asset(mia, ~least_collateral );
        return true;
     } 
     return false;
@@ -257,20 +268,25 @@ bool database::check_for_blackswan( const asset_object& mia, bool enable_black_s
 void database::clear_expired_orders()
 { try {
          //Cancel expired limit orders
+         auto head_time = head_block_time();
+         auto maint_time = get_dynamic_global_properties().next_maintenance_time;
          auto& limit_index = get_index_type<limit_order_index>().indices().get<by_expiration>();
-         while( !limit_index.empty() && limit_index.begin()->expiration <= head_block_time() )
+         while( !limit_index.empty() && limit_index.begin()->expiration <= head_time )
          {
             const limit_order_object& order = *limit_index.begin();
             auto base_asset = order.sell_price.base.asset_id;
             auto quote_asset = order.sell_price.quote.asset_id;
             cancel_limit_order( order );
-            // check call orders
-            // Comments below are copied from limit_order_cancel_evaluator::do_apply(...)
-            // Possible optimization: order can be called by cancelling a limit order
-            //   if the canceled order was at the top of the book.
-            // Do I need to check calls in both assets?
-            check_call_orders( base_asset( *this ) );
-            check_call_orders( quote_asset( *this ) );
+            if( maint_time <= HARDFORK_CORE_606_TIME )
+            {
+               // check call orders
+               // Comments below are copied from limit_order_cancel_evaluator::do_apply(...)
+               // Possible optimization: order can be called by cancelling a limit order
+               //   if the canceled order was at the top of the book.
+               // Do I need to check calls in both assets?
+               check_call_orders( base_asset( *this ) );
+               check_call_orders( quote_asset( *this ) );
+            }
          }
 
    //Process expired force settlement orders
@@ -330,7 +346,7 @@ void database::clear_expired_orders()
          }
 
          // Has this order not reached its settlement date?
-         if( order.settlement_date > head_block_time() )
+         if( order.settlement_date > head_time )
          {
             if( next_asset() )
             {

libraries/chain/hardfork.d/CORE_338.hf

@@ -0,0 +1,4 @@
+// bitshares-core issue #338 Fix "margin call order fills at price of matching limit_order"
+#ifndef HARDFORK_CORE_338_TIME
+#define HARDFORK_CORE_338_TIME (fc::time_point_sec( 1600000000 ))
+#endif

libraries/chain/hardfork.d/CORE_343.hf

@@ -0,0 +1,5 @@
+// bitshares-core issue #343
+// Fix "Inconsistent sorting of call orders between matching against a limit order and a force settle order"
+#ifndef HARDFORK_CORE_343_TIME
+#define HARDFORK_CORE_343_TIME (fc::time_point_sec( 1600000000 ))
+#endif

libraries/chain/hardfork.d/CORE_453.hf

@@ -0,0 +1,4 @@
+// bitshares-core issue #453 Fix "Multiple limit order and call order matching issue"
+#ifndef HARDFORK_CORE_453_TIME
+#define HARDFORK_CORE_453_TIME (fc::time_point_sec( 1600000000 ))
+#endif

libraries/chain/hardfork.d/CORE_606.hf

@@ -0,0 +1,4 @@
+// bitshares-core issue #606 Fix "Undercollateralized short positions should be called regardless of asks"
+#ifndef HARDFORK_CORE_606_TIME
+#define HARDFORK_CORE_606_TIME (fc::time_point_sec( 1600000000 ))
+#endif

libraries/chain/hardfork.d/CORE_625.hf

@@ -0,0 +1,4 @@
+// bitshares-core issue #625 Fix "Potential erratic order matching issue involving margin call orders"
+#ifndef HARDFORK_CORE_625_TIME
+#define HARDFORK_CORE_625_TIME (fc::time_point_sec( 1600000000 ))
+#endif

libraries/chain/include/graphene/chain/database.hpp

@@ -351,22 +351,22 @@ namespace graphene { namespace chain {
           * This function takes a new limit order, and runs the markets attempting to match it with existing orders
           * already on the books.
           */
+         bool apply_order_before_hardfork_625(const limit_order_object& new_order_object, bool allow_black_swan = true);
          bool apply_order(const limit_order_object& new_order_object, bool allow_black_swan = true);
 
          /**
-          * Matches the two orders,
+          * Matches the two orders, the first parameter is taker, the second is maker.
           *
           * @return a bit field indicating which orders were filled (and thus removed)
           *
           * 0 - no orders were matched
-          * 1 - bid was filled
-          * 2 - ask was filled
+          * 1 - taker was filled
+          * 2 - maker was filled
           * 3 - both were filled
           */
          ///@{
-         template<typename OrderType>
-         int match( const limit_order_object& bid, const OrderType& ask, const price& match_price );
-         int match( const limit_order_object& bid, const limit_order_object& ask, const price& trade_price );
+         int match( const limit_order_object& taker, const limit_order_object& maker, const price& trade_price );
+         int match( const limit_order_object& taker, const call_order_object& maker, const price& trade_price );
          /// @return the amount of asset settled
          asset match(const call_order_object& call,
                    const force_settlement_object& settle,
@@ -378,12 +378,12 @@ namespace graphene { namespace chain {
          /**
           * @return true if the order was completely filled and thus freed.
           */
-         bool fill_order( const limit_order_object& order, const asset& pays, const asset& receives, bool cull_if_small,
-                          const price& fill_price, const bool is_maker );
-         bool fill_order( const call_order_object& order, const asset& pays, const asset& receives,
-                          const price& fill_price, const bool is_maker );
-         bool fill_order( const force_settlement_object& settle, const asset& pays, const asset& receives,
-                          const price& fill_price, const bool is_maker );
+         bool fill_limit_order( const limit_order_object& order, const asset& pays, const asset& receives, bool cull_if_small,
+                                const price& fill_price, const bool is_maker );
+         bool fill_call_order( const call_order_object& order, const asset& pays, const asset& receives,
+                               const price& fill_price, const bool is_maker );
+         bool fill_settle_order( const force_settlement_object& settle, const asset& pays, const asset& receives,
+                                 const price& fill_price, const bool is_maker );
 
          bool check_call_orders( const asset_object& mia, bool enable_black_swan = true, bool for_new_limit_order = false );
 

libraries/chain/include/graphene/chain/market_object.hpp

@@ -64,6 +64,8 @@ class limit_order_object : public abstract_object<limit_order_object>
 
       asset amount_for_sale()const   { return asset( for_sale, sell_price.base.asset_id ); }
       asset amount_to_receive()const { return amount_for_sale() * sell_price; }
+      asset_id_type sell_asset_id()const    { return sell_price.base.asset_id;  }
+      asset_id_type receive_asset_id()const { return sell_price.quote.asset_id; }
 };
 
 struct by_id;
@@ -115,12 +117,13 @@ class call_order_object : public abstract_object<call_order_object>
       asset get_debt()const { return asset( debt, debt_type() ); }
       asset amount_to_receive()const { return get_debt(); }
       asset_id_type debt_type()const { return call_price.quote.asset_id; }
+      asset_id_type collateral_type()const { return call_price.base.asset_id; }
       price collateralization()const { return get_collateral() / get_debt(); }
 
       account_id_type  borrower;
       share_type       collateral;  ///< call_price.base.asset_id, access via get_collateral
-      share_type       debt;        ///< call_price.quote.asset_id, access via get_collateral
-      price            call_price;  ///< Debt / Collateral
+      share_type       debt;        ///< call_price.quote.asset_id, access via get_debt
+      price            call_price;  ///< Collateral / Debt
 
       pair<asset_id_type,asset_id_type> get_market()const
       {

libraries/chain/market_evaluator.cpp

@@ -111,7 +111,11 @@ object_id_type limit_order_create_evaluator::do_apply(const limit_order_create_o
        obj.deferred_paid_fee = _deferred_paid_fee;
    });
    limit_order_id_type order_id = new_order_object.id; // save this because we may remove the object by filling it
-   bool filled = db().apply_order(new_order_object);
+   bool filled;
+   if( db().get_dynamic_global_properties().next_maintenance_time <= HARDFORK_CORE_625_TIME )
+      filled = db().apply_order_before_hardfork_625( new_order_object );
+   else
+      filled = db().apply_order( new_order_object );
 
    FC_ASSERT( !op.fill_or_kill || filled );
 
@@ -138,10 +142,13 @@ asset limit_order_cancel_evaluator::do_apply(const limit_order_cancel_operation&
 
    d.cancel_limit_order(*_order, false /* don't create a virtual op*/);
 
-   // Possible optimization: order can be called by canceling a limit order iff the canceled order was at the top of the book.
-   // Do I need to check calls in both assets?
-   d.check_call_orders(base_asset(d));
-   d.check_call_orders(quote_asset(d));
+   if( d.get_dynamic_global_properties().next_maintenance_time <= HARDFORK_CORE_606_TIME )
+   {
+      // Possible optimization: order can be called by canceling a limit order iff the canceled order was at the top of the book.
+      // Do I need to check calls in both assets?
+      d.check_call_orders(base_asset(d));
+      d.check_call_orders(quote_asset(d));
+   }
 
    return refunded;
 } FC_CAPTURE_AND_RETHROW( (o) ) }