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Raw Blame History

BSIP: 0033
Title: Maker Orders With Better Prices Take Precedence
Author: Abit More <https://github.com/abitmore>
Status: Draft
Type: Protocol
Created: 2018-02-17
Discussion: https://github.com/bitshares/bitshares-core/issues/625
Replaces: -
Worker: To be done

Abstract

Currently, when matching taker limit orders with maker limit orders, the maker limit orders with better prices will always be matched first.

For example, if trader A has a limit order selling 100 BTS at 0.1 USD per BTS, trader B has a limit order selling 100 BTS at 0.09 USD per BTS, which means B's limit order has a better price for the opposite side to buy. Now if trader C placed an order that buys 10 BTS at 0.105 USD per BTS, B's limit order will take precedence, A's limit order won't be matched.

However, when there are margin call orders in the market which have met the requirements that to be matched, they always take precedence over limit orders on the same side, no matter whether the limit orders provided better price.

For example, if trader A's margin call order is selling 100 BTS at no less than 0.1 USD per BTS, trader B has a limit order selling 100 BTS at 0.09 USD per BTS, which means B's limit order has a better price for the opposite side to buy. Now if trader C placed an order that buys 10 BTS at 0.105 USD per BTS, A's margin call order will take precedence, B's limit order won't be matched. That means C is forced to "buy high" when have chance to "buy low".

This BSIP proposes a mechanism to change this behavior to: always match taker orders with maker orders with better prices first.

This BSIP also sets a principle for dealing with bitshares-core issue #453. In that issue, it's described that sometimes a taker margin call order may be matched with a maker limit order which is not on the top of the order book.

Motivation

Make the exchange system more user-friendly.

Rational

To attract more users, the system should be fair.

It's common sense that, in a continuous trading market, new orders should be matched with the orders on the opposite side which offerred best prices first.

Specifications

Matching a taker limit order

There is a parameter in price feed named MSSR, which stands for "maximum short squeeze ratio". Maker price of margin call orders is MSSP, which stands for "maximum short squeeze price", is calculated as feed_price / ( 100% + MSSR ). Note: feed_price here is in terms of debt/collateral, aka "how much debt per collateral".

New limit order is being processed in apply_order(...) function of database class.

Currently, in the function, firstly call orders will be checked and matched. After that, limit orders on the opposite side will be checked and matched.

Need to change the logic to:

match the new limit order with limit orders on the opposite side whose price is below MSSP first,
if the new order is still there, match it with call orders,
if the new order is still there, match it with rest limit orders.

Matching taker margin call orders

For bitshares-core issue #453, in check_call_orders(...) function of database class, iterator limit_itr will move forward when variable filled_limit is true. filled_limit will be set to true when a limit order get completely filled. However, since filled_limit is declared out of the while block, it doesn't get reset to false after limit_itr moved forward. That means after the first limit order get completedly filled, filled_limit will always be true, so limit_itr will always move forward no matter whether current limit order got completedly filled, so a taker call order may match with a limit order that is not on the top of the order book.

To fix this, need to change the code to make sure limit_itr always references the limit order on the top of the order book.

Discussion

[to be added if any]

Summary for Shareholders