Merge pull request #57 from bitshares/bsip33
Add BSIP 33: Maker Orders With Better Prices Take Precedence
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bsip-0033.md
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bsip-0033.md
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BSIP: 0033
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Title: Maker Orders With Better Prices Take Precedence
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Author: Abit More <https://github.com/abitmore>
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Status: Draft
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Type: Protocol
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Created: 2018-02-17
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Discussion: https://github.com/bitshares/bitshares-core/issues/625,
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https://github.com/bitshares/bitshares-core/issues/453
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Replaces: -
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Worker: To be done
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# Abstract
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Currently, in BitShares, under certian circumstances, a taker order may be
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matched with a maker order which is not "on the top" of the order book.
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This behavior is unexpected and irritating for users.
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This BSIP proposes a principle: always match taker orders with maker orders
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with the best prices (aka on the top of the order book) first.
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# Motivation
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As expected, when matching taker limit orders with maker limit orders, the maker
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limit orders with better prices will always be matched first.
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For example, if trader A has a limit order selling 100 BTS at
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0.1 USD per BTS, trader B has a limit order selling 100 BTS at 0.09 USD per BTS,
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which means B's limit order has a better price for the opposite side to buy.
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Now if trader C placed an order that buys 10 BTS at 0.105 USD per BTS, B's
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limit order will take precedence, A's limit order won't be matched.
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However, when there are (maker) margin call orders in the market which have met
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the requirements that to be matched (able to be margin called), they always
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take precedence over the (maker) limit orders on the same side, no matter
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whether the limit orders provided better price.
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For example, if trader A's margin call order is selling 100 BTS at no less than
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0.1 USD per BTS, trader B has a limit order selling 100 BTS at 0.09 USD per BTS,
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which means B's limit order has a better price for the opposite side to buy.
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Now if trader C placed an order that buys 10 BTS at 0.105 USD per BTS, A's
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margin call order will take precedence, B's limit order won't be matched. That
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means C is forced to "buy high" when have chance to "buy low", which is
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unexpected.
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Users have been confused by this behavior, as discussed in [bitshares-core
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issue #625](https://github.com/bitshares/bitshares-core/issues/625) and other
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threads.
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Another scenario is described in [Bitshares-core
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issue #453](https://github.com/bitshares/bitshares-core/issues/453)
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that sometimes a taker margin call order may be matched with a maker limit order
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which is not on the top of the order book. This can be seen as a bug.
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# Rationale
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Always matching taker order (e.g. a buy) with a maker order which offered best
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price (aka lowest ask), is a simpler rule which most users would understand
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easily.
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There is a parameter in price feed named MSSR, which stands for "maximum short
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squeeze ratio". Maker price of margin call orders is MSSP, which stands for
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"maximum short squeeze price", is calculated as `feed_price / MSSR`.
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Note: `feed_price` here is in terms of debt/collateral, aka "how much debt per
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collateral".
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That said, the price that margin call orders are offering is MSSP. The prices
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those limit orders are offering are the limit prices.
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When placing a limit (e.g. buy) order with a price beyond the lowest sell,
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the order is expected to "walk the book", matching each order on the opposite
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side in turn, at that order's price, until the new limit order is completely
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filled, or there is no more sell order matching its price.
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To meet the expectation,
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* firstly, we need to match the limit buy order with the limit sell orders
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whose prices are lower than MSSP and prices can match the new order;
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* then, if the new limit buy order hasn't been completely filled, match it with
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the margin calls if MSSP can match the new order's price;
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* then, if the new limit buy order still hasn't been completely filled, match it
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with the rest sell orders until it's completely filled or no more sell order
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matching its price
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# Specifications
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## Matching a taker limit order
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New limit order is being processed in `apply_order(...)` function of `database`
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class.
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Currently, in the function, firstly call orders will be checked and matched.
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After that, limit orders on the opposite side will be checked and matched.
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Need to change the logic to:
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1. firstly, sort the limit orders on the opposite by `price`, best price first,
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end at MSSP; check them one by one, calls `match(...)` function until the
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return value is not `2` which means the new order is completely filled;
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2. if reach the end (MSSP), which means the new order is still unfilled,
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call `check_call_orders(..)` function or an equivalent;
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3. check if `new_order_object` still exist, if yes, redo step one but set the
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maximum possible price of the market as end price.
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## Matching taker margin call orders
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For [bitshares-core
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issue #453](https://github.com/bitshares/bitshares-core/issues/453),
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in `check_call_orders(...)` function of `database` class,
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iterator `limit_itr` will move forward when variable `filled_limit` is `true`.
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`filled_limit` will be set to `true` when a limit order get completely filled.
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However, since `filled_limit` is declared out of the `while` block,
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it doesn't get reset to `false` after `limit_itr` moved forward. That means
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after the first limit order get completedly filled, `filled_limit` will always
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be `true`, so `limit_itr` will always move forward no matter whether *current*
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limit order got completedly filled, so a taker call order may match
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with a limit order that is not on the top of the order book.
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To fix this, need to change the code to make sure `limit_itr` always references
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the limit order on the top of the order book when dereferencing.
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# Discussion
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[to be added if any]
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# Summary for Shareholders
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[to be added if any]
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# Copyright
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This document is placed in the public domain.
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# See Also
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* https://github.com/bitshares/bitshares-core/issues/625
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* https://github.com/bitshares/bitshares-core/issues/453
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* https://bitsharestalk.org/index.php?topic=25926.0
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