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bsip35: overall solution for rounding issues

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README.md
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@ -42,4 +42,4 @@ Number | Title |
[32](bsip-0032.md) | Always Match Orders At Maker Price | Abit More | Protocol | Draft
[33](bsip-0033.md) | Maker Orders With Better Prices Take Precedence | Abit More | Protocol | Draft
[34](bsip-0034.md) | Always Trigger Margin Call When Call Price Above Or At Price Feed | Abit More | Protocol | Draft
[35](bsip-0035.md) | A Solution To Something-For-Nothing Issue | Abit More | Protocol | Draft
[35](bsip-0035.md) | Mitigate Rounding Issue On Order Matching | Abit More | Protocol | Draft

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bsip-0035.md
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@ -1,5 +1,5 @@
BSIP: 0035
Title: A Solution To Something-For-Nothing Issue
Title: Mitigate Rounding Issue On Order Matching
Author: Abit More <https://github.com/abitmore>
Status: Draft
Type: Protocol
@ -12,17 +12,15 @@
# Abstract
Under some circumstances, when two orders get matched, due to rounding,
one order may be paying something but receiving nothing,
the other order may be paying nothing but receiving something.
This is the so-called something-for-nothing issue.
one order may be paying more than enough, even paying something but receiving
nothing. This looks unfair.
This looks clearly unfair.
This BSIP proposes an overall mechanism to mitigate rounding issue when matching
orders and avoid something-for-nothing issue completely.
This BSIP proposes an overall mechanism to avoid something-for-nothing issue
completely.
This BSIP also sets a principle: something-for-nothing shouldn't happen when
matching orders.
This BSIP also sets two principles for order matching:
* never pay more than enough, and
* something-for-nothing shouldn't happen.
# Motivation
@ -30,6 +28,9 @@ There are mechanisms in the system to try to avoid something-for-nothing issue,
however, not all scenarios are well-handled, see [bitshares-core
issue #184](https://github.com/bitshares/bitshares-core/issues/184) for example.
Other than that, rounding issue occurs frequently and has led to a lot of
confusion among market participants.
# Rationale
## Amounts, Prices and Rounding
@ -188,6 +189,10 @@ compare `X' = X * maker_b_amount` with `Y' = Y * maker_a_amount`.
`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.
## Issues With The Chosen Solution
### The Something-for-nothing Issue
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
@ -207,43 +212,101 @@ may be paying something for nothing in current system):
* when force settling after an asset has been globally settled, paying the force
settle order from global settlement fund, process the settle order
## The Improved Solution (This BSIP)
### The Broader Rounding Issue
The detailed rules proposes in this BSIP (new rules highlighted):
* match in favor of taker, or say, match at maker price
* round down receiving amounts when possible
* when matching two limit orders, round down the receiving amounts in favor
of bigger order, or say, try to fill the smaller order
* **if the smaller order would get nothing after the round-down, cancel it**
* when matching a limit order with a call order, in favor of call order,
round down receiving collateral amount
* **if the call order is receiving the whole debt amount (so the short
position will be closed) but paying nothing, let it pay 1 Satoshi
(round up);**
* **otherwise, if the limit order would get nothing after the round-down,
cancel it (it's smaller, so safe to cancel)**
* when matching a settle order with a call order, in favor of call order,
round down receiving collateral amount
* **if the call order is receiving the whole debt amount (so the short
position will be closed) but paying nothing, let it pay 1 Satoshi
(round up);**
* **otherwise, if the settle order would be completely filled but would
receive nothing, cancel it;**
* **otherwise, it means both orders won't be completely filled, which may
due to hitting `maximum_force_settlement_volume`, in this case, don't fill
any one of the two orders, and stop matching for this asset at this block;**
* **that said, only round up when the call order is completely filled, so
won't trigger a black swan event, nor need to check for it.**
* when globally settling, in favor of call order, round down receiving
collateral amount
* **when the asset is not a prediction market, if a call order would pay
nothing, let it pay 1 Satoshi (round up).**
* when paying a settle order from global settlement fund, in favor of global
settlement fund, round down receiving collateral amount
* If the settling amount is equal to total supply of that asset, pay the
Something-for-nothing is only a subset of rounding issues, it's the most extreme
one. There are much more scenarios that one of the matched parties would be
paying more than enough, although they're not paying something for nothing
overall. Some scenarios are discussed in [bitshares-core
issue #342](https://github.com/bitshares/bitshares-core/issues/342).
Take a scenario similar to the one described in the 4th comment of
[bitshare-core
issue #132](https://github.com/bitshares/bitshares-core/issues/132) as an
example:
* Alice's order: Sell CORE at `$3 / 80 = $0.0375`, balance `50 CORE`
* Bob's order: Buy CORE at `$19 / 500 = $0.038`, balance `$100`
Current system would process them as follows:
* If Alice's order is maker, use `$3 / 80` as match price; since Alice's order
is smaller, round in favor of Bob's order, so Alice will pay the whole `50
CORE` and get `round_down(50 CORE * $3 / 80 CORE) = round_down($1.6) = $1`,
the effective price would be `$1 / 50 = $0.02`;
* If Bob's order is maker, use `$19 / 500` as match price; since Alice's order
is smaller, round in favor of Bob's order, so Alice will pay the whole `50
CORE` and get `round_down(50 CORE * $19 / 500 CORE = round_down($1.9) = $1`,
the effective price would still be `$1 / 50 = $0.02`.
Both results are far from Alice's desired price `$0.0375`. Actually, according
to Bob's desired price, paying `round_up($1 * 500 CORE / $19) = 27 CORE` would
be enough, then the effective price would be `$1 / 27 = $0.037`, which is
still below Alice's desired price `$0.0375`, but much closer than `$0.02`.
## The Improved Solution Proposed By This BSIP
The detailed rules proposed by this BSIP with new rules highlighted:
* match in favor of taker, or say, match at maker price;
* round the receiving amounts according to rules below.
* When matching two limit orders, round down the receiving amount of the
smaller order,
* **if the smaller order would get nothing, cancel it;**
* **otherwise, calculate the amount that the smaller order would pay as
`round_up(receiving_amount * match_price)`.**
* **After filled both orders, for each remaining order (with a positive
amount remaining), check the remaining amount, if the amount is too small
so the order would receive nothing on next match, cancel the order.**
* When matching a limit order with a call order,
* **if the call order is receiving the whole debt amount, which means it's
smaller and the short position will be closed after the match, round up its
paying amount; otherwise, round down its paying amount.**
* **In the latter case, if the limit order would receive nothing, cancel it
(it's smaller, so safe to cancel).**
* When matching a settle order with a call order,
* **if the call order is receiving the whole debt amount, which means it's
smaller and the short position will be closed after the match, round up its
paying amount; otherwise, round down its paying amount.**
* **In the latter case,**
* **if the settle order would receive nothing,**
* **if the settle order would be completely filled, cancel it;**
* **otherwise, it means both orders won't be completely filled, which
may due to hitting `maximum_force_settlement_volume`, in this case,
don't fill any of the two orders, and stop matching for this asset at
this block;**
* **otherwise (if the settle order would not receive nothing), calculate
the amount that the settle order would pay as
`round_up(receiving_amount * match_price)`. After filled both orders,
match the settle order with the call order again. In the new match, either
the settle order will be cancelled due to too small, or we will stop
matching due to hitting `maximum_force_settlement_volume`.**
* **That said, only round up the collateral amount paid by the call order
when it is completely filled, so if the call order still exist after the
match, its collateral ratio won't be lower than before, which means we won't
trigger a black swan event, nor need to check whether a black swan event
would be triggered.**
* When globally settling, **in favor of global settlement fund, round up
collateral amount.**
* When paying a settle order from global settlement fund, for predition
markets, there would be no rounding issue, also no need to deal with
something-for-nothing issue; for other assets, apply rules below:
* if the settling amount is equal to total supply of that asset, pay the
whole remaining settlement fund to the settle order;
* **when the asset is not a prediction market, if the settle order would
receive nothing, raise an exception (aka let the operation fail).**
* otherwise, in favor of global settlement fund since its volume is bigger,
round down collateral amount. **If the settle order would receive nothing,
raise an exception (aka let the operation fail). Otherwise, calculate the
amount that the settle order would pay as
`round_up(receiving_amount * match_price)`; after filled the order, if there
is still some amount remaining in the order, return it to the owner.**
## Examples Of The Improved Solution
### Example 1
Take the example mentioned in the 4th comment of [bitshares-core
issue #132](https://github.com/bitshares/bitshares-core/issues/132):
@ -256,55 +319,106 @@ Process:
since Bob's order is smaller, round in favor of Alice's order,
so Bob will get
`round_down($10 * 8 CORE / $3) = round_down(26.67 CORE) = 26 CORE`,
and Alice will get
`round_up(26 CORE * $3 / 8 CORE) = round_up($9.75) = $10`,
the effective price would be `$10 / 26 CORE = $0.3846`.
* If Bob's order is maker, use `$19 / 50` as match price; since Bob's
order is smaller, round in favor of Alice's order, so Bob will get
`round_down($10 * 50 CORE / $19 = round_down(26.32 CORE) = 26 CORE`,
and Alice will get
`round_up(26 CORE * $19 / 50 CORE) = round_up($9.88) = $10`,
the effective price would still be `$10 / 26 CORE = $0.3846`.
* If Alice's order is a call order, always round in favor of it, we get
same results.
* If Alice's order is a call order, since it's bigger, round in favor of it,
we will get same results.
### Example 2
If we change the example to this:
* Alice's order: Buy CORE at `3 CORE / $8 = 0.375`, balance `$1000000`
* Bob's order: Sell CORE at `19 CORE / $50 = 0.38`, balance `10 CORE`
Process:
* If both orders are limit orders, we get same results as above
* If Bob's order is a call order, we should always round in favor of it,
however, it should have a debt amount which is an integer, for example
`$27`, then Alice would get
* `round_down(27 * 3 / 8) = round_down(10.125) = 10 CORE` as a maker, or
* `round_down(27 * 19 / 50) = round_down(10.26) = 10 CORE` as a taker.
* If both orders are limit orders, we get similar results as above.
* If Bob's order is a call order, it should have a debt amount which is an
integer, for example `$26`, then
* Alice would get
* `round_up(26 * 3 / 8) = round_up(9.75) = 10 CORE` as a maker, or
* `round_up(26 * 19 / 50) = round_up(9.88) = 10 CORE` as a taker.
* Bob would get the full debt amount which is `$26`.
* If Bob's order is a call order, but the debt amount is a bit high,
for example `$27`, then Alice would get
* `round_up(27 * 3 / 8) = round_up(10.125) = 11 CORE` as a maker, or
* `round_up(27 * 19 / 50) = round_up(10.26) = 11 CORE` as a taker.
However, since the collateral is only `10 CORE`, this match will fail and
trigger a black swan event.
### Example 3
If we change the example to that one used above:
* Alice's order: Sell CORE at `$3 / 80 = $0.0375`, balance `50 CORE`
* Bob's order: Buy CORE at `$19 / 500 = $0.038`, balance `$100`
Assuming both orders are limit orders, they'll be processed as follows:
* If Alice's order is maker, use `$3 / 80` as match price; since Alice's order
is smaller, round in favor of Bob's order, so Alice will get
`round_down(50 CORE * $3 / 80 CORE) = round_down($1.6) = $1`,
and Bob will get `round_up($1 * 80 CORE / $3) = round_up($26.67) = $27`,
the effective price would be `$1 / 27 = $0.037`;
* If Bob's order is maker, use `$19 / 500` as match price; since Alice's order
is smaller, round in favor of Bob's order, so Alice will get
`round_down(50 CORE * $19 / 500 CORE = round_down($1.9) = $1`,
and Bob will get `round_up($1 * 500 CORE / $19) = round_up($26.3) = $27`,
the effective price would also be `$1 / 27 = $0.037`.
# Specifications
## When Matching Two Limit Orders
### Handling Something-For-Nothing Issue
In `match( const limit_order_object&, OrderType ... )` function of `database`
class, after calculated `usd_receives` which is for the taker,
check if it is zero.
If the answer is `true`, skip filling and see the order is filled, return `1`,
so the order will be cancelled later.
### Handling Rounding Issue
In `match( const limit_order_object&, OrderType ... )` function of `database`
class, after calculated `receives` for the smaller order, if it isn't zero,
calculate `pays` for it as `round_up(receives * match_price)`.
If the smaller order is taker, after filled, even if there is still some amount
remaining in the order, see it as completely filled and set the lowest bit of
return value to `1`.
If the smaller order is maker, since it will be culled when filling,
no need to change the logic.
## When Matching A Limit Order With A Call Order
In `check_call_orders(...)` function of `database` class,
after calculated `order_receives`, check if it is zero.
If the answer is `true`,
* if `call_receives` is equal to `call_itr->debt`, set `order_receives` to `1`;
* otherwise, skip filling and cancel the limit order.
if the call order is smaller, round up `order_receives`,
otherwise round down `order_receives`.
In the latter case, if `order_receives` is zero, skip filling and cancel the
limit order.
## When Matching A Settle Order With A Call Order
In `match( const call_order_object&, ... )` function of `database` class,
after calculated `call_pays`, check if it is zero.
If the answer is `true`,
* if `call_receives` is equal to `call_debt`, set `call_pays` to `1`;
* otherwise, if `call_receives` is equal to `settle.balance`,
call `cancel_order(...)` with parameter set to `settle`,
then return a zero-amount collateral asset object;
* otherwise, return a zero-amount collateral asset object directly.
if the call order is smaller, round up `call_pays`,
otherwise round down `call_pays`.
In the latter case, check if `call_pays` is zero.
* If the answer is `true`,
* if `call_receives` is equal to `settle.balance`,
call `cancel_order(...)` with parameter set to `settle`,
then return a zero-amount collateral asset object;
* otherwise, return a zero-amount collateral asset object directly.
* Otherwise, calculate `call_receives` as `round_up(call_pays * match_price)`,
then fill both orders normally. If the settle order still exists after the
match, it will be processed again later but with different condition.
After returned, need to check the amount of returned asset at where calling the
`match(...)` function, specifically, `clear_expired_orders()` function of
@ -315,15 +429,22 @@ need to check the label, if found it's completed, process next asset.
## When Globally Settling
In `global_settle_asset(...)` function of `database` class, check each `pays`,
once it's zero, and the asset is not a prediction market, let it be `1`.
In `global_settle_asset(...)` function of `database` class, round up `pays`.
## When Paying A Settle Order From Global Settlement Fund
In `do_apply(...)` function of `asset_settle_evaluator` class,
after calculated `settled_amount` and adjusted it according to the "total
supply" rule, check if it's zero. If the answer is `true`,
and the asset is not a prediction maket, throw a `fc::exception`.
supply" rule, check if it's zero.
If the answer is `true`, and the asset is not a prediction market,
throw a `fc::exception`.
If the answer is `false`, and the asset is not a prediction market,
and `op.amount.amount` is not equal to `mia_dyn.current_supply`,
calculate `pays` as `round_up(settled_amount * bitasset.settlement_price)`,
then, only deduct `pays` from total supply, and refund
`op.amount.amount - pays` to the user.
# Discussion