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Updating the OrderBook class, adding #calculateObtainedQuote and #calculateRequiredBase methods

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This commit is contained in:
Nelson R. Perez 2017-11-17 16:46:26 -05:00
parent ab7f88d17c
commit 3796ed5f81
4 changed files with 141 additions and 87 deletions
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9
graphenej/src/main/java/cy/agorise/graphenej/LimitOrder.java
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@ -1,5 +1,6 @@
package cy.agorise.graphenej; package cy.agorise.graphenej;
import com.google.common.primitives.UnsignedLong;
import com.google.gson.JsonDeserializationContext; import com.google.gson.JsonDeserializationContext;
import com.google.gson.JsonDeserializer; import com.google.gson.JsonDeserializer;
import com.google.gson.JsonElement; import com.google.gson.JsonElement;
@ -28,7 +29,7 @@ public class LimitOrder extends GrapheneObject implements ByteSerializable {
private String expiration; private String expiration;
private UserAccount seller; private UserAccount seller;
private long forSale; private UnsignedLong forSale;
private long deferredFee; private long deferredFee;
private Price sellPrice; private Price sellPrice;
@ -52,11 +53,11 @@ public class LimitOrder extends GrapheneObject implements ByteSerializable {
this.seller = seller; this.seller = seller;
} }
public long getForSale() { public UnsignedLong getForSale() {
return forSale; return forSale;
} }
public void setForSale(long forSale) { public void setForSale(UnsignedLong forSale) {
this.forSale = forSale; this.forSale = forSale;
} }
@ -127,7 +128,7 @@ public class LimitOrder extends GrapheneObject implements ByteSerializable {
LimitOrder limitOrder = new LimitOrder(id); LimitOrder limitOrder = new LimitOrder(id);
limitOrder.setExpiration(expiration); limitOrder.setExpiration(expiration);
limitOrder.setSeller(seller); limitOrder.setSeller(seller);
limitOrder.setForSale(Long.parseLong(forSale)); limitOrder.setForSale(UnsignedLong.valueOf(forSale));
limitOrder.setSellPrice(price); limitOrder.setSellPrice(price);
limitOrder.setDeferredFee(deferredFee); limitOrder.setDeferredFee(deferredFee);
return limitOrder; return limitOrder;

107
graphenej/src/main/java/cy/agorise/graphenej/OrderBook.java
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@ -1,9 +1,7 @@
package cy.agorise.graphenej; package cy.agorise.graphenej;
import com.google.common.math.DoubleMath;
import com.google.common.primitives.UnsignedLong; import com.google.common.primitives.UnsignedLong;
import java.math.RoundingMode;
import java.util.List; import java.util.List;
import cy.agorise.graphenej.operations.LimitOrderCreateOperation; import cy.agorise.graphenej.operations.LimitOrderCreateOperation;
@ -14,9 +12,9 @@ import cy.agorise.graphenej.operations.LimitOrderCreateOperation;
* It also provides a handy method that should return the appropriate LimitOrderCreateOperation * It also provides a handy method that should return the appropriate LimitOrderCreateOperation
* object needed in case the user wants to perform market-priced operations. * object needed in case the user wants to perform market-priced operations.
* *
* It is important to keep the order book updated, ideally by listening to blockchain events, and calling the 'update' method. * It is important to keep the order book updated, ideally by listening to blockchain events,
* and calling the 'update' method.
* *
* Created by nelson on 3/25/17.
*/ */
public class OrderBook { public class OrderBook {
private List<LimitOrder> limitOrders; private List<LimitOrder> limitOrders;
@ -52,53 +50,86 @@ public class OrderBook {
* @return An instance of the LimitOrderCreateOperation class, which is ready to be broadcasted. * @return An instance of the LimitOrderCreateOperation class, which is ready to be broadcasted.
*/ */
public LimitOrderCreateOperation exchange(UserAccount seller, Asset myBaseAsset, AssetAmount myQuoteAmount, int expiration){ public LimitOrderCreateOperation exchange(UserAccount seller, Asset myBaseAsset, AssetAmount myQuoteAmount, int expiration){
AssetAmount toSell = new AssetAmount(UnsignedLong.valueOf(calculateRequiredBase(myQuoteAmount)), myBaseAsset); AssetAmount toSell = new AssetAmount(calculateRequiredBase(myQuoteAmount), myBaseAsset);
AssetAmount toReceive = myQuoteAmount; AssetAmount toReceive = myQuoteAmount;
LimitOrderCreateOperation buyOrder = new LimitOrderCreateOperation(seller, toSell, toReceive, expiration, true); LimitOrderCreateOperation buyOrder = new LimitOrderCreateOperation(seller, toSell, toReceive, expiration, true);
return buyOrder; return buyOrder;
} }
public LimitOrderCreateOperation exchange(UserAccount seller, AssetAmount baseAmount, Asset quoteAsset, int expiration){
AssetAmount minToReceive = new AssetAmount(calculateObtainedQuote(baseAmount), quoteAsset);
return new LimitOrderCreateOperation(seller, baseAmount, minToReceive, expiration, true);
}
/** /**
* Given a specific amount of a desired asset, this method will calculate how much of the corresponding * Method that calculates the amount of an asset that we will obtain (the quote amount) if we trade
* asset we need to offer to perform a successful transaction with the current order book. * a known fixed amount of the asset we already have (the base amount).
* @param quoteAmount: The amount of the desired asset. *
* @return: The minimum amount of the base asset that we need to give away * @param baseAmount The fixed amount of the asset we have and want to sell
* @return The equivalent amount to receive in exchange of the base amount
*/ */
public long calculateRequiredBase(AssetAmount quoteAmount){ public UnsignedLong calculateObtainedQuote(AssetAmount baseAmount){
long totalBought = 0; UnsignedLong myBase = baseAmount.getAmount();
long totalSold = 0; UnsignedLong obtainedQuote = UnsignedLong.ZERO;
for(int i = 0; i < this.limitOrders.size() && totalBought < quoteAmount.getAmount().longValue(); i++){ for(int i = 0; i < limitOrders.size() && myBase.compareTo(UnsignedLong.ZERO) > 0; i++){
LimitOrder order = this.limitOrders.get(i); LimitOrder order = limitOrders.get(i);
// If the base asset is the same as our quote asset, we have a match // Checking to make sure the order matches our needs
if(order.getSellPrice().base.getAsset().getObjectId().equals(quoteAmount.getAsset().getObjectId())){ if(order.getSellPrice().quote.getAsset().equals(baseAmount.getAsset())){
// My quote amount, is the order's base amount UnsignedLong orderBase = order.getSellPrice().base.getAmount();
long orderAmount = order.getForSale(); UnsignedLong orderQuote = order.getSellPrice().quote.getAmount();
UnsignedLong availableBase = order.getForSale();
// The amount of the quote asset we still need UnsignedLong myQuote = UnsignedLong.valueOf((long)(myBase.times(orderBase).doubleValue() / (orderQuote.doubleValue())));
long stillNeed = quoteAmount.getAmount().longValue() - totalBought; if(myQuote.compareTo(availableBase) > 0){
// We consume this order entirely
// If the offered amount is greater than what we still need, we exchange just what we need // myBase = myBase - (for_sale) * (order_quote / order_base)
if(orderAmount >= stillNeed) { myBase = myBase.minus(availableBase.times(orderQuote).dividedBy(orderBase));
totalBought += stillNeed; // We need more than this order can offer us, but have to take in consideration how much there really is.
double additionalRatio = (double) stillNeed / (double) order.getSellPrice().base.getAmount().longValue(); // (order base / order quote) x (available order base / order base)
double additionalAmount = order.getSellPrice().quote.getAmount().longValue() * additionalRatio; UnsignedLong thisBatch = UnsignedLong.valueOf((long)(orderBase.times(availableBase).doubleValue() / orderQuote.times(orderBase).doubleValue()));
long longAdditional = DoubleMath.roundToLong(additionalAmount, RoundingMode.HALF_UP); obtainedQuote = obtainedQuote.plus(thisBatch);
totalSold += longAdditional;
}else{ }else{
// If the offered amount is less than what we need, we exchange the whole order // This order consumes all our base asset
totalBought += orderAmount; // obtained_quote = obtained_quote + (my base * order_base / order_quote)
obtainedQuote = obtainedQuote.plus(myBase.times(orderBase.dividedBy(orderQuote)));
// The amount specified in the price ratio is not always all for sale. So in order to calculate myBase = UnsignedLong.ZERO;
// the amount actually sold we have to do:
// actually_sold = for_sale * quote / base
double sellRatio = ((double) orderAmount) / ((double) order.getSellPrice().base.getAmount().longValue());
totalSold += Math.floor(order.getSellPrice().quote.getAmount().doubleValue() * sellRatio);
} }
} }
} }
return totalSold; return obtainedQuote;
}
/**
* Method that calculates the amount of an asset that we will consume (the base amount) if we want to obtain
* a known fixed amount of another asset (the quote amount).
* @param quoteAmount The fixed amount of an asset that we want to obtain
* @return The amount of an asset we already have that will be consumed by the trade
*/
public UnsignedLong calculateRequiredBase(AssetAmount quoteAmount){
UnsignedLong myQuote = quoteAmount.getAmount();
UnsignedLong obtainedBase = UnsignedLong.ZERO;
for(int i = 0; i < limitOrders.size() && myQuote.compareTo(UnsignedLong.ZERO) > 0; i++){
LimitOrder order = limitOrders.get(i);
// Checking to make sure the order matches our needs
if(order.getSellPrice().base.getAsset().equals(quoteAmount.getAsset())){
UnsignedLong orderBase = order.getSellPrice().base.getAmount();
UnsignedLong orderQuote = order.getSellPrice().quote.getAmount();
UnsignedLong forSale = order.getForSale();
if(forSale.compareTo(myQuote) > 0){
// Found an order that fills our requirements
obtainedBase = obtainedBase.plus(UnsignedLong.valueOf((long) (myQuote.doubleValue() * orderQuote.doubleValue() / orderBase.doubleValue())));
myQuote = UnsignedLong.ZERO;
}else{
// Found an order that partially fills our needs
obtainedBase = obtainedBase.plus(UnsignedLong.valueOf((long) (forSale.doubleValue() * orderQuote.doubleValue() / orderBase.doubleValue())));
myQuote = myQuote.minus(forSale);
}
}
}
return obtainedBase;
} }
} }

64
graphenej/src/test/java/cy/agorise/graphenej/OrderBookTest.java Normal file
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@ -0,0 +1,64 @@
package cy.agorise.graphenej;
import com.google.common.primitives.UnsignedLong;
import com.google.gson.GsonBuilder;
import com.google.gson.reflect.TypeToken;
import org.junit.Assert;
import org.junit.Test;
import java.lang.reflect.Type;
import java.util.List;
import cy.agorise.graphenej.models.WitnessResponse;
/**
* Testing the {@link OrderBook} class
*/
public class OrderBookTest {
@Test
public void testRequiredBase(){
String serializedOrderBook = "{\"id\": 1,\"result\": [{\"id\": \"1.7.37284933\",\"expiration\": \"2018-11-17T00:03:49\",\"seller\": \"1.2.132823\",\"for_sale\": 10,\"sell_price\": {\"base\": {\"amount\": 1,\"asset_id\": \"1.3.121\"},\"quote\": {\"amount\": 10,\"asset_id\": \"1.3.0\"}},\"deferred_fee\": 0},{\"id\": \"1.7.37284933\",\"expiration\": \"2018-11-17T00:03:49\",\"seller\": \"1.2.132823\",\"for_sale\": 20,\"sell_price\": {\"base\": {\"amount\": 1,\"asset_id\": \"1.3.121\"},\"quote\": {\"amount\": 20,\"asset_id\": \"1.3.0\"}},\"deferred_fee\": 0}]}";
GsonBuilder builder = new GsonBuilder();
builder.registerTypeAdapter(AssetAmount.class, new AssetAmount.AssetAmountDeserializer());
builder.registerTypeAdapter(UserAccount.class, new UserAccount.UserAccountSimpleDeserializer());
builder.registerTypeAdapter(LimitOrder.class, new LimitOrder.LimitOrderDeserializer());
Type GetLimitOrdersResponse = new TypeToken<WitnessResponse<List<LimitOrder>>>() {}.getType();
WitnessResponse<List<LimitOrder>> witnessResponse = builder.create().fromJson(serializedOrderBook, GetLimitOrdersResponse);
List<LimitOrder> orders = witnessResponse.result;
OrderBook orderBook = new OrderBook(orders);
final Asset _quote = new Asset("1.3.121", "USD", 4);
final Asset _base = new Asset("1.3.0", "BTS", 5);
long _totalQuote = 14;
UnsignedLong _totalBase = orderBook.calculateRequiredBase(new AssetAmount(UnsignedLong.valueOf(_totalQuote), _quote));
Assert.assertEquals("Should buy 10 at 10 and 4 at 20, which sums up to 180",180, _totalBase.longValue());
System.out.println(String.format("Base: %s, Quote: %s", _base.getObjectId(), _quote.getObjectId()));
System.out.println(String.format("_totalQuote: %d, _totalBase: %d", _totalQuote, _totalBase.longValue()));
}
@Test
public void testRequiredQuote(){
String serializedOrderBook = "{\"id\":1,\"result\":[{\"id\":\"1.7.37284933\",\"expiration\":\"2018-11-17T00:03:49\",\"seller\":\"1.2.132823\",\"for_sale\":20,\"sell_price\":{\"base\":{\"amount\":20,\"asset_id\":\"1.3.0\"},\"quote\":{\"amount\":1,\"asset_id\":\"1.3.121\"}},\"deferred_fee\":0},{\"id\":\"1.7.37284933\",\"expiration\":\"2018-11-17T00:03:49\",\"seller\":\"1.2.132823\",\"for_sale\":100,\"sell_price\":{\"base\":{\"amount\":10,\"asset_id\":\"1.3.0\"},\"quote\":{\"amount\":1,\"asset_id\":\"1.3.121\"}},\"deferred_fee\":0}]}";
GsonBuilder builder = new GsonBuilder();
builder.registerTypeAdapter(AssetAmount.class, new AssetAmount.AssetAmountDeserializer());
builder.registerTypeAdapter(UserAccount.class, new UserAccount.UserAccountSimpleDeserializer());
builder.registerTypeAdapter(LimitOrder.class, new LimitOrder.LimitOrderDeserializer());
Type GetLimitOrdersResponse = new TypeToken<WitnessResponse<List<LimitOrder>>>() {}.getType();
WitnessResponse<List<LimitOrder>> witnessResponse = builder.create().fromJson(serializedOrderBook, GetLimitOrdersResponse);
List<LimitOrder> orders = witnessResponse.result;
OrderBook orderBook = new OrderBook(orders);
final Asset _base = new Asset("1.3.121", "USD", 4);
final Asset _quote = new Asset("1.3.0", "BTS", 5);
long _totalBase = 2;
UnsignedLong _totalQuote = orderBook.calculateObtainedQuote(new AssetAmount(UnsignedLong.valueOf(_totalBase), _base));
Assert.assertEquals("Should be able to buy 20 on the first order and 10 on the second, totalling 30",30, _totalQuote.longValue());
System.out.println(String.format("Base: %s, Quote: %s", _base.getObjectId(), _quote.getObjectId()));
System.out.println(String.format("_totalQuote: %d, _totalBase: %d", _totalQuote.longValue(), _totalQuote.longValue()));
}
}

48
graphenej/src/test/java/cy/agorise/graphenej/api/GetLimitOrdersTest.java
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@ -33,7 +33,9 @@ public class GetLimitOrdersTest extends BaseApiTest {
@Before @Before
public void setup(){ public void setup(){
System.out.println("Connecting to node: "+NODE_URL); if(NODE_URL != null){
System.out.println("Connecting to node: "+NODE_URL);
}
} }
@Test @Test
@ -141,50 +143,6 @@ public class GetLimitOrdersTest extends BaseApiTest {
} }
} }
@Test
public void testRequiredBase(){
try {
final Asset _quote = new Asset("1.3.121", "USD", 4);
final Asset _base = new Asset("1.3.0", "BTS", 5);
mWebSocket.addListener(new GetLimitOrders(_base.getObjectId(), _quote.getObjectId(), 100, new WitnessResponseListener() {
@Override
public void onSuccess(WitnessResponse response) {
List<LimitOrder> orders = (List<LimitOrder>) response.result;
OrderBook orderBook = new OrderBook(orders);
long _totalQuote = 1000;
long _totalBase = orderBook.calculateRequiredBase(new AssetAmount(UnsignedLong.valueOf(_totalQuote), _quote));
System.out.println(String.format("Base: %s, Quote: %s", _base.getObjectId(), _quote.getObjectId()));
System.out.println(String.format("_totalQuote: %d, _totalBase: %d", _totalQuote, _totalBase));
synchronized (GetLimitOrdersTest.this){
GetLimitOrdersTest.this.notifyAll();
}
}
@Override
public void onError(BaseResponse.Error error) {
System.out.println("onError. Msg: "+error.message);
synchronized (GetLimitOrdersTest.this){
GetLimitOrdersTest.this.notifyAll();
}
}
}));
mWebSocket.connect();
synchronized (this){
wait();
}
} catch (WebSocketException e) {
System.out.println("WebSocketException. Msg: " + e.getMessage());
} catch (InterruptedException e) {
System.out.println("InterruptedException. Msg: "+e.getMessage());
}
}
@After @After
public void tearDown() throws Exception { public void tearDown() throws Exception {
mWebSocket.disconnect(); mWebSocket.disconnect();