Merge pull request #11727 from vegaprotocol/amm-combine-expanded-for-…

…uncross feat: combine AMM uncrossing orders to increase performance an reduce…
vegaprotocol · Oct 1, 2024 · 0e458e3 · 0e458e3
2 parents 7949197 + 0f99c0a
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -17,6 +17,7 @@
 - [11714](https://github.com/vegaprotocol/vega/issues/11714) - Improve `AMM` performance by caching best prices and volumes.
 - [11642](https://github.com/vegaprotocol/vega/issues/11642) - `AMMs` with empty price levels are now allowed.
 - [11685](https://github.com/vegaprotocol/vega/issues/11685) - Automated purchase support added.  
+- [11726](https://github.com/vegaprotocol/vega/issues/11726) - Combined `AMM` uncrossing orders for better performance when uncrossing the book.
 - [11711](https://github.com/vegaprotocol/vega/issues/11711) - Manage closed team membership by updating the allow list.
 - [11722](https://github.com/vegaprotocol/vega/issues/11722) - Expose active protocol automated purchase identifier in market data API. 
 

diff --git a/core/integration/features/amm/0090-VAMM-auction.feature b/core/integration/features/amm/0090-VAMM-auction.feature
@@ -98,7 +98,7 @@ Feature: vAMM rebasing when created or amended
    When the opening auction period ends for market "ETH/MAR22"
     Then the following trades should be executed:
       | buyer     | price | size | seller    | is amm |
-      | vamm1-id  | 100   | 46   | vamm2-id  | true   |
+      | vamm1-id  | 100   | 91   | vamm2-id  | true   |
 
     Then the network moves ahead "1" blocks
 
@@ -406,7 +406,7 @@ Feature: vAMM rebasing when created or amended
     When the opening auction period ends for market "ETH/MAR22"
     Then the following trades should be executed:
       | buyer     | price | size | seller    | is amm |
-      | vamm2-id  | 100   | 46   | vamm1-id  | true   |
+      | vamm2-id  | 100   | 91   | vamm1-id  | true   |
 
 
     Then the network moves ahead "1" blocks
@@ -548,4 +548,50 @@ Feature: vAMM rebasing when created or amended
 
     And the market data for the market "ETH/MAR22" should be:
       | mark price | trading mode             | best bid price | best offer price |
-      | 155        | TRADING_MODE_CONTINUOUS  | 109            | 0                |
+      | 155        | TRADING_MODE_CONTINUOUS  | 109            | 0                |
+
+
+    @VAMM3
+  Scenario: Two AMMs crossed with large order expansion
+
+    Then the parties submit the following AMM:
+      | party | market id | amount   | slippage | base | lower bound | upper bound | proposed fee |
+      | vamm1 | ETH/MAR22 | 1000000  | 0.05     | 150  | 100         | 200         | 0.03         |
+    Then the AMM pool status should be:
+      | party | market id | amount  | status        | base | lower bound | upper bound | 
+      | vamm1 | ETH/MAR22 | 1000000 | STATUS_ACTIVE | 150  | 100         | 200         | 
+
+    And the market data for the market "ETH/MAR22" should be:
+      | trading mode                 | indicative price | indicative volume |
+      | TRADING_MODE_OPENING_AUCTION | 0                | 0                 |
+
+    Then the parties submit the following AMM:
+      | party | market id | amount   | slippage | base  | lower bound | upper bound | proposed fee |
+      | vamm2 | ETH/MAR22 | 1000000  | 0.05     | 250   | 200         | 300         | 0.03         |
+    Then the AMM pool status should be:
+      | party | market id | amount  | status        | base | lower bound | upper bound | 
+      | vamm2 | ETH/MAR22 | 1000000 | STATUS_ACTIVE |  250  | 200        | 300         | 
+
+
+    And set the following AMM sub account aliases:
+      | party | market id | alias    |
+      | vamm1 | ETH/MAR22 | vamm1-id |
+      | vamm2 | ETH/MAR22 | vamm2-id |
+
+   And the market data for the market "ETH/MAR22" should be:
+      | trading mode                 | indicative price | indicative volume |
+      | TRADING_MODE_OPENING_AUCTION | 201              | 2238              |
+
+   When the opening auction period ends for market "ETH/MAR22"
+
+   # note that this is one big order instead of a hundred small orders
+   Then the following trades should be executed:
+      | buyer     | price | size   | seller    | is amm |
+      | vamm2-id  | 201   | 2238   | vamm1-id  | true   |
+
+    Then the network moves ahead "1" blocks
+
+    # two AMMs are now prices at ~100 which is between their base values
+    And the market data for the market "ETH/MAR22" should be:
+      | mark price | trading mode             | best bid price | best offer price |
+      | 201        | TRADING_MODE_CONTINUOUS  | 202            | 204              |
diff --git a/core/matching/indicative_price_and_volume.go b/core/matching/indicative_price_and_volume.go
@@ -492,11 +492,30 @@ func (ipv *IndicativePriceAndVolume) ExtractOffbookOrders(price *num.Uint, side
 			cpm = func(p *num.Uint) bool { return p.GT(price) }
 		}
 
+		var combined *types.Order
 		for _, o := range oo {
 			if cpm(o.Price) {
 				continue
 			}
-			orders = append(orders, o)
+
+			// we want to combine all the uncrossing orders into one big one of the combined volume so that
+			// we only uncross with 1 order and not 1000s of expanded ones for a single AMM. We can take the price
+			// to the best of the lot so that it trades -- it'll get overridden by the uncrossing price after uncrossing
+			// anyway.
+			if combined == nil {
+				combined = o.Clone()
+				orders = append(orders, combined)
+			} else {
+				combined.Size += o.Size
+				combined.Remaining += o.Remaining
+
+				if side == types.SideBuy {
+					combined.Price = num.Max(combined.Price, o.Price)
+				} else {
+					combined.Price = num.Min(combined.Price, o.Price)
+				}
+			}
+
 			volume += o.Size
 
 			// if we're extracted enough we can stop now

diff --git a/core/matching/orderbook_amm_test.go b/core/matching/orderbook_amm_test.go
@@ -305,17 +305,19 @@ func TestIndicativeTradesAMMOnly(t *testing.T) {
 	expectCrossedAMMs(t, tst, 100, 150)
 	tst.book.EnterAuction()
 
-	ret := []*types.Order{createOrder(t, tst, 100, num.NewUint(100))}
+	ret := createOrder(t, tst, 10, num.NewUint(100))
 	tst.obs.EXPECT().SubmitOrder(gomock.Any(), gomock.Any(), gomock.Any()).AnyTimes().DoAndReturn(
 		func(o *types.Order, _, _ *num.Uint) []*types.Order {
-			o.Remaining = 0
-			return ret
+			ret.Size = o.Remaining
+			ret.Remaining = o.Remaining
+			return []*types.Order{ret.Clone()}
 		},
 	)
 
 	trades, err := tst.book.GetIndicativeTrades()
 	require.NoError(t, err)
-	assert.Equal(t, 26, len(trades))
+	assert.Equal(t, 1, len(trades))
+	assert.Equal(t, 260, int(trades[0].Size))
 }
 
 func TestIndicativeTradesAMMOrderbookNotCrosses(t *testing.T) {
@@ -337,17 +339,19 @@ func TestIndicativeTradesAMMOrderbookNotCrosses(t *testing.T) {
 	_, err = tst.book.SubmitOrder(o)
 	require.NoError(t, err)
 
-	ret := []*types.Order{createOrder(t, tst, 100, num.NewUint(100))}
-	tst.obs.EXPECT().SubmitOrder(gomock.Any(), gomock.Any(), gomock.Any()).Times(26).DoAndReturn(
+	ret := createOrder(t, tst, 10, num.NewUint(100))
+	tst.obs.EXPECT().SubmitOrder(gomock.Any(), gomock.Any(), gomock.Any()).AnyTimes().DoAndReturn(
 		func(o *types.Order, _, _ *num.Uint) []*types.Order {
-			o.Remaining = 0
-			return ret
+			ret.Size = o.Remaining
+			ret.Remaining = o.Remaining
+			return []*types.Order{ret.Clone()}
 		},
 	)
 
 	trades, err := tst.book.GetIndicativeTrades()
 	require.NoError(t, err)
-	assert.Equal(t, 26, len(trades))
+	assert.Equal(t, 1, len(trades))
+	assert.Equal(t, 260, int(trades[0].Size))
 }
 
 func TestIndicativeTradesAMMCrossedOrders(t *testing.T) {
@@ -358,34 +362,29 @@ func TestIndicativeTradesAMMCrossedOrders(t *testing.T) {
 	expectCrossedAMMs(t, tst, 100, 150)
 	tst.book.EnterAuction()
 
-	// submit an order each side outside of the crossed region
-	o := createOrder(t, tst, 10, num.NewUint(110))
-	o.Side = types.SideBuy
-	_, err := tst.book.SubmitOrder(o)
-	require.NoError(t, err)
-
-	o = createOrder(t, tst, 5, num.NewUint(125))
+	o := createOrder(t, tst, 5, num.NewUint(125))
 	o.Side = types.SideSell
-	_, err = tst.book.SubmitOrder(o)
+	_, err := tst.book.SubmitOrder(o)
 	require.NoError(t, err)
 
 	o = createOrder(t, tst, 5, num.NewUint(126))
 	o.Side = types.SideSell
 	_, err = tst.book.SubmitOrder(o)
 	require.NoError(t, err)
 
-	ret := []*types.Order{createOrder(t, tst, 100, num.NewUint(100))}
-	tst.obs.EXPECT().SubmitOrder(gomock.Any(), gomock.Any(), gomock.Any()).Times(2).Return(ret)
+	ret := createOrder(t, tst, 250, num.NewUint(100))
+	tst.obs.EXPECT().SubmitOrder(gomock.Any(), gomock.Any(), gomock.Any()).Times(1).Return([]*types.Order{ret.Clone()})
 
-	ret = []*types.Order{createOrder(t, tst, 5, num.NewUint(100))}
-	tst.obs.EXPECT().SubmitOrder(gomock.Any(), gomock.Any(), gomock.Any()).Times(1).Return(ret)
-
-	ret = []*types.Order{createOrder(t, tst, 100, num.NewUint(100))}
-	tst.obs.EXPECT().SubmitOrder(gomock.Any(), gomock.Any(), gomock.Any()).Times(23).Return(ret)
+	tst.obs.EXPECT().SubmitOrder(gomock.Any(), gomock.Any(), gomock.Any()).Times(1).Return(nil)
 
 	trades, err := tst.book.GetIndicativeTrades()
 	require.NoError(t, err)
-	assert.Equal(t, 27, len(trades))
+	assert.Equal(t, 3, len(trades))
+	var total int
+	for _, t := range trades {
+		total += int(t.Size)
+	}
+	assert.Equal(t, 260, total)
 }
 
 func TestUncrossedBookDoesNotExpandAMMs(t *testing.T) {