feat: Rewrite order matching strategy

Refactors the current trading component into a clearly separated orderbook component and a trade execution component. The linking part is the `ExecutableMatch` which can be derived from the matches stored into the database.

At the moment we assume optimistically that the trade execution will succeed. However, we should consider that a pending match may never get filled or it fails at execution in such a scenario we would need to rollback the matched orders.

Author: holzeis

coordinator/src/bin/coordinator.rs

@@ -25,13 +25,16 @@ use coordinator::run_migration;
 use coordinator::scheduler::NotificationScheduler;
 use coordinator::settings::Settings;
 use coordinator::storage::CoordinatorTenTenOneStorage;
+use coordinator::trade;
 use coordinator::trade::websocket::InternalPositionUpdateMessage;
 use diesel::r2d2;
 use diesel::r2d2::ConnectionManager;
 use diesel::PgConnection;
 use lnd_bridge::LndBridge;
 use rand::thread_rng;
 use rand::RngCore;
+use rust_decimal::prelude::FromPrimitive;
+use rust_decimal::Decimal;
 use std::backtrace::Backtrace;
 use std::net::IpAddr;
 use std::net::Ipv4Addr;
@@ -261,21 +264,22 @@ async fn main() -> Result<()> {
 
     let (tx_orderbook_feed, _rx) = broadcast::channel(100);
 
-    let (_handle, trading_sender) = trading::start(
-        node.clone(),
-        tx_orderbook_feed.clone(),
-        auth_users_notifier.clone(),
+    let trade_executor = trade::spawn_trade_executor(node.clone(), auth_users_notifier.clone())?;
+
+    let order_matching_fee_rate =
+        Decimal::from_f32(node.settings.read().await.order_matching_fee_rate).expect("to fit");
+
+    let orderbook_sender = trading::spawn_orderbook(
+        node.pool.clone(),
         notification_service.get_sender(),
-        network,
-        node.inner.oracle_pubkey,
-    );
-    let _handle = async_match::monitor(
-        node.clone(),
-        node_event_handler.subscribe(),
-        auth_users_notifier.clone(),
-        network,
-        node.inner.oracle_pubkey,
-    );
+        trade_executor.clone(),
+        tx_orderbook_feed.clone(),
+        order_matching_fee_rate,
+    )?;
+
+    let _handle =
+        async_match::monitor(node.clone(), node_event_handler.subscribe(), trade_executor);
+
     let _handle = rollover::monitor(
         pool.clone(),
         node_event_handler.subscribe(),
@@ -294,11 +298,12 @@ async fn main() -> Result<()> {
 
     tokio::spawn({
         let node = node.clone();
-        let trading_sender = trading_sender.clone();
+        let orderbook_sender = orderbook_sender.clone();
         async move {
             loop {
                 tokio::time::sleep(EXPIRED_POSITION_SYNC_INTERVAL).await;
-                if let Err(e) = expired_positions::close(node.clone(), trading_sender.clone()).await
+                if let Err(e) =
+                    expired_positions::close(node.clone(), orderbook_sender.clone()).await
                 {
                     tracing::error!("Failed to close expired positions! Error: {e:#}");
                 }
@@ -308,11 +313,11 @@ async fn main() -> Result<()> {
 
     tokio::spawn({
         let node = node.clone();
-        let trading_sender = trading_sender.clone();
+        let orderbook_sender = orderbook_sender.clone();
         async move {
             loop {
                 tokio::time::sleep(LIQUIDATED_POSITION_SYNC_INTERVAL).await;
-                liquidated_positions::monitor(node.clone(), trading_sender.clone()).await
+                liquidated_positions::monitor(node.clone(), orderbook_sender.clone()).await
             }
         }
     });
@@ -325,7 +330,7 @@ async fn main() -> Result<()> {
         settings.clone(),
         exporter,
         NODE_ALIAS,
-        trading_sender,
+        orderbook_sender,
         tx_orderbook_feed,
         tx_position_feed,
         tx_user_feed,

coordinator/src/node/expired_positions.rs

@@ -1,11 +1,9 @@
 use crate::db;
 use crate::node::Node;
 use crate::orderbook;
-use crate::orderbook::db::orders;
-use crate::orderbook::trading::NewOrderMessage;
+use crate::orderbook::trading::OrderbookMessage;
 use crate::position::models::Position;
 use crate::position::models::PositionState;
-use anyhow::anyhow;
 use anyhow::Context;
 use anyhow::Result;
 use rust_decimal::prelude::FromPrimitive;
@@ -18,14 +16,15 @@ use xxi_node::commons::average_execution_price;
 use xxi_node::commons::Match;
 use xxi_node::commons::MatchState;
 use xxi_node::commons::NewMarketOrder;
+use xxi_node::commons::NewOrder;
 use xxi_node::commons::OrderReason;
 use xxi_node::commons::OrderState;
 
 /// The timeout before we give up on closing an expired position collaboratively. This value should
 /// not be larger than our refund transaction time lock.
 pub const EXPIRED_POSITION_TIMEOUT: Duration = Duration::days(7);
 
-pub async fn close(node: Node, trading_sender: mpsc::Sender<NewOrderMessage>) -> Result<()> {
+pub async fn close(node: Node, orderbook_sender: mpsc::Sender<OrderbookMessage>) -> Result<()> {
     let mut conn = node.pool.get()?;
 
     let positions = db::positions::Position::get_all_open_positions(&mut conn)
@@ -50,8 +49,9 @@ pub async fn close(node: Node, trading_sender: mpsc::Sender<NewOrderMessage>) ->
 
             if order.expiry < OffsetDateTime::now_utc() {
                 tracing::warn!(trader_id, order_id, "Matched order expired! Giving up on that position, looks like the corresponding dlc channel has to get force closed.");
+                // TODO(holzeis): It's not ideal that the order and match are updated by the trade
+                // executor. This should rather get updated by the orderbook.
                 orderbook::db::orders::set_order_state(&mut conn, order.id, OrderState::Expired)?;
-
                 orderbook::db::matches::set_match_state_by_order_id(
                     &mut conn,
                     order.id,
@@ -75,11 +75,13 @@ pub async fn close(node: Node, trading_sender: mpsc::Sender<NewOrderMessage>) ->
 
         tracing::debug!(trader_pk=%position.trader, %position.expiry_timestamp, "Attempting to close expired position");
 
+        let order_id = uuid::Uuid::new_v4();
+        let trader_pubkey = position.trader;
         let new_order = NewMarketOrder {
-            id: uuid::Uuid::new_v4(),
+            id: order_id,
             contract_symbol: position.contract_symbol,
             quantity: Decimal::try_from(position.quantity).expect("to fit into decimal"),
-            trader_id: position.trader,
+            trader_id: trader_pubkey,
             direction: position.trader_direction.opposite(),
             leverage: Decimal::from_f32(position.trader_leverage).expect("to fit into decimal"),
             // This order can basically not expire, but if the user does not come back online within
@@ -89,18 +91,13 @@ pub async fn close(node: Node, trading_sender: mpsc::Sender<NewOrderMessage>) ->
             stable: position.stable,
         };
 
-        let order = orders::insert_market_order(&mut conn, new_order.clone(), OrderReason::Expired)
-            .map_err(|e| anyhow!(e))
-            .context("Failed to insert expired order into DB")?;
-
-        let message = NewOrderMessage {
-            order,
-            channel_opening_params: None,
+        let message = OrderbookMessage::NewOrder {
+            new_order: NewOrder::Market(new_order),
             order_reason: OrderReason::Expired,
         };
 
-        if let Err(e) = trading_sender.send(message).await {
-            tracing::error!(order_id=%new_order.id, trader_id=%new_order.trader_id, "Failed to submit new order for closing expired position. Error: {e:#}");
+        if let Err(e) = orderbook_sender.send(message).await {
+            tracing::error!(%trader_pubkey, %order_id, "Failed to submit new order for closing expired position. Error: {e:#}");
             continue;
         }
     }

coordinator/src/node/liquidated_positions.rs

@@ -1,8 +1,7 @@
 use crate::db;
 use crate::node::Node;
 use crate::orderbook;
-use crate::orderbook::db::orders;
-use crate::orderbook::trading::NewOrderMessage;
+use crate::orderbook::trading::OrderbookMessage;
 use anyhow::Result;
 use rust_decimal::prelude::FromPrimitive;
 use rust_decimal::Decimal;
@@ -17,16 +16,17 @@ use xxi_node::commons::Direction;
 use xxi_node::commons::Match;
 use xxi_node::commons::MatchState;
 use xxi_node::commons::NewMarketOrder;
+use xxi_node::commons::NewOrder;
 use xxi_node::commons::OrderReason;
 use xxi_node::commons::OrderState;
 
 /// The timeout before we give up on closing a liquidated position collaboratively. This value
 /// should not be larger than our refund transaction time lock.
 pub const LIQUIDATION_POSITION_TIMEOUT: Duration = Duration::days(7);
 
-pub async fn monitor(node: Node, trading_sender: mpsc::Sender<NewOrderMessage>) {
+pub async fn monitor(node: Node, orderbook_sender: mpsc::Sender<OrderbookMessage>) {
     if let Err(e) =
-        check_if_positions_need_to_get_liquidated(trading_sender.clone(), node.clone()).await
+        check_if_positions_need_to_get_liquidated(orderbook_sender.clone(), node.clone()).await
     {
         tracing::error!("Failed to check if positions need to get liquidated. Error: {e:#}");
     }
@@ -35,7 +35,7 @@ pub async fn monitor(node: Node, trading_sender: mpsc::Sender<NewOrderMessage>)
 /// For all open positions, check if the maintenance margin has been reached. Send a liquidation
 /// async match to the traders whose positions have been liquidated.
 async fn check_if_positions_need_to_get_liquidated(
-    trading_sender: mpsc::Sender<NewOrderMessage>,
+    orderbook_sender: mpsc::Sender<OrderbookMessage>,
     node: Node,
 ) -> Result<()> {
     let mut conn = node.pool.get()?;
@@ -121,11 +121,13 @@ async fn check_if_positions_need_to_get_liquidated(
                 }
             }
 
+            let trader_pubkey = position.trader;
+            let order_id = uuid::Uuid::new_v4();
             let new_order = NewMarketOrder {
-                id: uuid::Uuid::new_v4(),
+                id: order_id,
                 contract_symbol: position.contract_symbol,
                 quantity: Decimal::try_from(position.quantity).expect("to fit into decimal"),
-                trader_id: position.trader,
+                trader_id: trader_pubkey,
                 direction: position.trader_direction.opposite(),
                 leverage: Decimal::from_f32(position.trader_leverage).expect("to fit into decimal"),
                 // This order can basically not expire, but if the user does not come back online
@@ -140,26 +142,13 @@ async fn check_if_positions_need_to_get_liquidated(
                 false => OrderReason::CoordinatorLiquidated,
             };
 
-            let order = match orders::insert_market_order(
-                &mut conn,
-                new_order.clone(),
-                order_reason.clone(),
-            ) {
-                Ok(order) => order,
-                Err(e) => {
-                    tracing::error!("Failed to insert liquidation order into DB. Error: {e:#}");
-                    continue;
-                }
-            };
-
-            let message = NewOrderMessage {
-                order,
-                channel_opening_params: None,
+            let message = OrderbookMessage::NewOrder {
+                new_order: NewOrder::Market(new_order),
                 order_reason,
             };
 
-            if let Err(e) = trading_sender.send(message).await {
-                tracing::error!(order_id=%new_order.id, trader_id=%new_order.trader_id, "Failed to submit new order for closing liquidated position. Error: {e:#}");
+            if let Err(e) = orderbook_sender.send(message).await {
+                tracing::error!(%trader_pubkey, %order_id, "Failed to submit new order for closing liquidated position. Error: {e:#}");
                 continue;
             }
         }