add more documentation

This commit is contained in:
Callum Waters
2022-11-18 16:49:33 +01:00
parent b76eb6906c
commit bd75306a93
3 changed files with 81 additions and 1 deletions

View File

@@ -1,4 +1,19 @@
//go:generate go install google.golang.org/protobuf/cmd/protoc-gen-go@latest
//go:generate protoc -I. -I../.. --go_out=. --go_opt=paths=source_relative wire.proto msgs.proto
// The orderbook presents a more advanced example of a Tendermint application than the simple kvstore
//
// An orderbook is a tool used in financial markets for enabling trading of various commodities. Without
// delving into too much detail, an orderbook is made of two types of transactions: Bids and Asks. An Ask
// is an offer by a seller for n amount of a commodity at an AskPrice and a bid is an offer from a buyer
// for m amount of a commodity at a BidPrice. When the bid price exceeds the ask price, and the buyer quantity
// is less than or equal to the sellers quantity, the order is matched. In actual terms, we neglect the
// underlying denomination (i.e. USD) and effectively both participants are simultaneously a buyer and seller.
//
// This example falls far short of being a decentralized orderbook, but demonstrates how one can build an
// app-side mempool, how one can use PrepareProposal and ProcessProposal to craft complex transactions,
// how we can use signatures and validate transactions against state. How applications can manage concurrency,
// and demonstrate the lifecycle of transactions from RPC -> CheckTx -> Mempool -> PrepareProposal -> ProcessProposal
// -> DeliverTx -> Commit -> Querying
package orderbook

View File

@@ -2,10 +2,14 @@ package orderbook
import (
"container/heap"
sync "sync"
)
type Market struct {
pair *Pair // i.e. EUR/USD (a market is bidirectional)
// immutable
pair *Pair // i.e. EUR/USD (a market is bidirectional)
mtx sync.RWMutex
askOrders *AskOrders // i.e. buying EUR for USD
lowestAsk float64
bidOrders *BidOrders // i.e. selling EUR for USD or buying USD for EUR
@@ -19,6 +23,8 @@ func NewMarket(p *Pair) *Market {
}
func (m *Market) AddBid(b *OrderBid) {
m.mtx.Lock()
defer m.mtx.Unlock()
heap.Push(m.bidOrders, b)
if b.MaxPrice > m.highestBid {
m.highestBid = b.MaxPrice
@@ -26,6 +32,8 @@ func (m *Market) AddBid(b *OrderBid) {
}
func (m *Market) AddAsk(a *OrderAsk) {
m.mtx.Lock()
defer m.mtx.Unlock()
heap.Push(m.askOrders, a)
if a.AskPrice < m.lowestAsk || m.lowestAsk == 0 {
m.lowestAsk = a.AskPrice
@@ -36,6 +44,8 @@ func (m *Market) AddAsk(a *OrderAsk) {
// A bid matches an ask when the MaxPrice is greater than the AskPrice
// and the MaxQuantity is greater than the quantity.
func (m *Market) Match() *TradeSet {
m.mtx.Lock()
defer m.mtx.Unlock()
// if one side doesn't have any orders than there is nothing to match
// and we return early
if m.askOrders.Len() == 0 || m.bidOrders.Len() == 0 {
@@ -147,13 +157,37 @@ OUTER_LOOP:
}
func (m Market) LowestAsk() float64 {
m.mtx.RLock()
defer m.mtx.RUnlock()
return m.lowestAsk
}
func (m Market) HighestBid() float64 {
m.mtx.RLock()
defer m.mtx.RUnlock()
return m.highestBid
}
func (m Market) GetBids() []OrderBid {
m.mtx.RLock()
defer m.mtx.RUnlock()
orders := make([]OrderBid, m.bidOrders.Len())
for idx, order := range *m.bidOrders {
orders[idx] = *order
}
return orders
}
func (m Market) GetAsks() []OrderAsk {
m.mtx.RLock()
defer m.mtx.RUnlock()
orders := make([]OrderAsk, m.askOrders.Len())
for idx, order := range *m.askOrders {
orders[idx] = *order
}
return orders
}
// Heap ordered by lowest price
type AskOrders []*OrderAsk

View File

@@ -0,0 +1,31 @@
package orderbook
// Query the state of an account (returns a concrete copy)
func (sm *StateMachine) Account(id uint64) Account {
if int(id) >= len(sm.accounts) {
return Account{}
}
return *sm.accounts[id]
}
// Query all the pairs that the orderbook has (returns a concrete copy)
func (sm *StateMachine) Pairs() []Pair {
pairs := make([]Pair, len(sm.pairs))
idx := 0
for _, pair := range sm.pairs {
pairs[idx] = *pair
idx++
}
return pairs
}
// Query the current orders for a pair (returns concrete copies)
func (sm *StateMachine) Orders(pair *Pair) ([]OrderBid, []OrderAsk) {
market, ok := sm.markets[pair.String()]
if !ok {
return nil, nil
}
return market.GetBids(), market.GetAsks()
}
func (sm *StateMachine) Height() int64 { return sm.lastHeight }