bsip35: add definition of smaller order

bsip53
abitmore 2018-02-22 14:35:23 +00:00
parent 58e11a7397
commit 259fbe05ac
1 changed files with 32 additions and 1 deletions

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@ -155,7 +155,38 @@ filled at a less favorable price. It's the least bad compromise since it has
the most efficiency (highest traded volume while not hard to implement) among
the solutions.
However, when filling a small order at a less favorable price, the receiving
The algorithm can be described as follows (sample code is
[here](https://github.com/bitshares/bitshares-core/blob/2.0.171105a/libraries/chain/db_market.cpp#L311-L324)):
Assuming the maker order is selling amount `X` of asset A, with price
`maker_price = maker_b_amount / maker_a_amount`; assuming the taker is buying
asset A with amount `Y` of asset B, with price
`taker_price = taker_b_amount / taker_a_amount`. Anyway, since the two orders
will be matched at maker price, the taker price doesn't matter here as long
as it's higher than or equal to maker price. Note: currently all limit orders
are implemented as sell limit orders, so in the example, the taker order can
only specify amount of asset B but not amount of asset A.
Now compare `X * maker_price` with `Y`. To be accurate (avoid rounding),
compare `X' = X * maker_b_amount` with `Y' = Y * maker_a_amount`.
* The best scenario is when `X' == Y'`, which means both orders can be
completely filled at `maker_price`.
* If `X' < Y'`, it means the maker order can be completely filled but the
taker order can't, aka the maker order is smaller.
In this case, maker pay amount `X` of asset A to taker, taker pay amount
`Y" = round_down( X' / maker_a_amount )` of asset B to maker.
Note: after rounded down, `Y"` may be smaller than the rational number
`X * maker_price`, which means `Y" / X` may be lower than `maker_price`,
that said, the maker order may has been filled at a less favorable price.
* If `X' > Y'`, it means the taker order can be completely filled but the
maker order can't, aka the taker order is smaller.
In this case, taker pay amount `Y` of asset B to maker, maker pay amount
`X" = round_down( Y' / maker_b_amount )` of asset A to taker.
Note: after rounded down, `X"` may be smaller than the rational number
`Y / taker_price`, which means `Y / X"` may be higher than `taker_price`,
that said, the taker order may has been filled at a less favorable price.
When filling a small order at a less favorable price, the receiving
amount is often rounded down to zero, thus causes the something-for-nothing
issue. Current code tried to solve the issue by cancelling the smaller order
when it would receive nothing, but only applied this rule in a few senarios