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Simplify taking from order book functions for now
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@0xSamWitch
0xSamWitch committed Jan 27, 2024
1 parent 308d809 commit 221e7a2
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Showing 3 changed files with 83 additions and 191 deletions.
2 changes: 1 addition & 1 deletion contracts/BokkyPooBahsRedBlackTreeLibrary.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -154,7 +154,7 @@ library BokkyPooBahsRedBlackTreeLibrary {
if (doFixup) {
removeFixup(self, probe);
}
// Don't delete the node, so that we can re-use the tombstone offset if readding this price
// Don't delete the node, so that we can re-use the tombstone offset if re-adding this price
self.nodes[cursor].parent = EMPTY;
}

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201 changes: 47 additions & 154 deletions contracts/SamWitchOrderBook.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -465,12 +465,15 @@ contract SamWitchOrderBook is ISamWitchOrderBook, ERC1155Holder, UUPSUpgradeable

// TODO: editOrder

function _buyTakeFromOrderBook(
function _takeFromOrderBookSide(
uint _tokenId,
uint72 _price,
uint24 _quantity,
uint[] memory _orderIdsPool,
uint[] memory _quantitiesPool
uint[] memory _quantitiesPool,
OrderSide _side, // which side are you taking from
mapping(uint tokenId => mapping(uint price => bytes32[] packedOrders)) storage values,
mapping(uint tokenId => BokkyPooBahsRedBlackTreeLibrary.Tree) storage tree
) private returns (uint24 quantityRemaining_, uint cost_) {
quantityRemaining_ = _quantity;

Expand All @@ -480,26 +483,27 @@ contract SamWitchOrderBook is ISamWitchOrderBook, ERC1155Holder, UUPSUpgradeable
mstore(_quantitiesPool, MAX_ORDERS_HIT)
}

bool isTakingFromBuy = _side == OrderSide.Buy;
uint numberOfOrders;
while (quantityRemaining_ != 0) {
uint72 lowestAsk = getLowestAsk(_tokenId);
if (lowestAsk == 0 || lowestAsk > _price) {
uint72 bestPrice = isTakingFromBuy ? getHighestBid(_tokenId) : getLowestAsk(_tokenId);
if (bestPrice == 0 || isTakingFromBuy ? bestPrice < _price : bestPrice > _price) {
// No more orders left
break;
}

// Loop through all at this order
uint numSegmentsFullyConsumed = 0;
bytes32[] storage lowestAskValues = askValues[_tokenId][lowestAsk];
BokkyPooBahsRedBlackTreeLibrary.Node storage lowestAskNode = asks[_tokenId].getNode(lowestAsk);
bytes32[] storage packedOrders = values[_tokenId][bestPrice];
BokkyPooBahsRedBlackTreeLibrary.Node storage node = tree[_tokenId].getNode(bestPrice);

bool eatIntoLastOrder;
uint numOrdersWithinLastSegmentFullyConsumed;
bytes32 packed;
uint lastSegment;
for (uint i = lowestAskNode.tombstoneOffset; i < lowestAskValues.length; ++i) {
for (uint i = node.tombstoneOffset; i < packedOrders.length; ++i) {
lastSegment = i;
packed = lowestAskValues[i];
packed = packedOrders[i];
uint numOrdersWithinSegmentConsumed;
bool wholeSegmentConsumed;
for (uint offset; offset < NUM_ORDERS_PER_SEGMENT; ++offset) {
Expand Down Expand Up @@ -534,143 +538,13 @@ contract SamWitchOrderBook is ISamWitchOrderBook, ERC1155Holder, UUPSUpgradeable
quantityRemaining_ = 0;
eatIntoLastOrder = true;
}
cost_ += quantityNFTClaimable * lowestAsk;

brushClaimable[orderId] += uint80(quantityNFTClaimable * lowestAsk);

_orderIdsPool[numberOfOrders] = orderId;
_quantitiesPool[numberOfOrders] = quantityNFTClaimable;
numberOfOrders = numberOfOrders.inc();

if (numberOfOrders >= MAX_ORDERS_HIT) {
revert TooManyOrdersHit();
}
}

if (wholeSegmentConsumed) {
numSegmentsFullyConsumed = numSegmentsFullyConsumed.inc();
numOrdersWithinLastSegmentFullyConsumed = 0;
} else {
numOrdersWithinLastSegmentFullyConsumed = numOrdersWithinLastSegmentFullyConsumed.add(
numOrdersWithinSegmentConsumed
);
if (eatIntoLastOrder) {
break;
}
}
if (quantityRemaining_ == 0) {
break;
}
}

if (uint(packed) == 0) {
break; // Whole segment is empty
}
cost_ += quantityNFTClaimable * bestPrice;

if (numSegmentsFullyConsumed != 0) {
uint tombstoneOffset = lowestAskNode.tombstoneOffset;

// We consumed all orders at this price level, so remove all
if (numSegmentsFullyConsumed == lowestAskValues.length - tombstoneOffset) {
asks[_tokenId].remove(lowestAsk); // TODO: A ranged delete would be nice
} else {
asks[_tokenId].edit(lowestAsk, uint32(numSegmentsFullyConsumed));
}
}

if (eatIntoLastOrder || numOrdersWithinLastSegmentFullyConsumed != 0) {
// Clear the orders for this many
if (numOrdersWithinLastSegmentFullyConsumed != 0) {
for (uint i; i < numOrdersWithinLastSegmentFullyConsumed; ++i) {
packed &= _clearOrderMask(i);
}
}
lowestAskValues[lastSegment] = packed;
break;
}
}
if (numberOfOrders != 0) {
assembly ("memory-safe") {
mstore(_orderIdsPool, numberOfOrders)
mstore(_quantitiesPool, numberOfOrders)
}

emit OrdersMatched(_msgSender(), _orderIdsPool, _quantitiesPool);
}
}

function _sellTakeFromOrderBook(
uint _tokenId,
uint72 _price,
uint24 _quantity,
uint[] memory _orderIdsPool,
uint[] memory _quantitiesPool
) private returns (uint24 quantityRemaining_, uint cost_) {
quantityRemaining_ = _quantity;

// reset the size
assembly ("memory-safe") {
mstore(_orderIdsPool, MAX_ORDERS_HIT)
mstore(_quantitiesPool, MAX_ORDERS_HIT)
}
uint numberOfOrders;
while (quantityRemaining_ != 0) {
uint72 highestBid = getHighestBid(_tokenId);
if (highestBid == 0 || highestBid < _price) {
// No more orders left
break;
}

// Loop through all at this order
uint numSegmentsFullyConsumed = 0;
bytes32[] storage highestBidValues = bidValues[_tokenId][highestBid];
BokkyPooBahsRedBlackTreeLibrary.Node storage highestBidNode = bids[_tokenId].getNode(highestBid);

bool eatIntoLastOrder;
uint numOrdersWithinLastSegmentFullyConsumed;
bytes32 packed;
uint lastSegment;
for (uint i = highestBidNode.tombstoneOffset; i < highestBidValues.length; ++i) {
lastSegment = i;
packed = highestBidValues[i];
uint numOrdersWithinSegmentConsumed;
bool wholeSegmentConsumed;
for (uint offset; offset < NUM_ORDERS_PER_SEGMENT; ++offset) {
uint remainingSegment = uint(packed >> offset.mul(64));
uint40 orderId = uint40(remainingSegment);

if (orderId == 0) {
// Check if there are any order left in this segment
if (remainingSegment != 0) {
// Skip this order in the segment as it's been deleted
numOrdersWithinLastSegmentFullyConsumed = numOrdersWithinLastSegmentFullyConsumed.inc();
continue;
} else {
break;
}
}
uint24 quantityL3 = uint24(uint(packed >> offset.mul(64).add(40)));
uint quantityNFTClaimable = 0;
if (quantityRemaining_ >= quantityL3) {
// Consume this whole order
quantityRemaining_ -= quantityL3;
// Is the last one in the segment being fully consumed?
wholeSegmentConsumed = offset == NUM_ORDERS_PER_SEGMENT.dec();
numOrdersWithinSegmentConsumed = numOrdersWithinSegmentConsumed.inc();
quantityNFTClaimable = quantityL3;
if (isTakingFromBuy) {
tokenIdsClaimable[orderId][_tokenId] += quantityNFTClaimable;
} else {
// Eat into the order
packed = bytes32(
(uint(packed) & ~(uint(0xffffff) << offset.mul(64).add(40))) |
(uint(quantityL3 - quantityRemaining_) << offset.mul(64).add(40))
);
quantityNFTClaimable = quantityRemaining_;
quantityRemaining_ = 0;
eatIntoLastOrder = true;
brushClaimable[orderId] += uint80(quantityNFTClaimable * bestPrice);
}
cost_ += quantityNFTClaimable * highestBid;

tokenIdsClaimable[orderId][_tokenId] += quantityNFTClaimable;

_orderIdsPool[numberOfOrders] = orderId;
_quantitiesPool[numberOfOrders] = quantityNFTClaimable;
Expand Down Expand Up @@ -702,13 +576,13 @@ contract SamWitchOrderBook is ISamWitchOrderBook, ERC1155Holder, UUPSUpgradeable
}

if (numSegmentsFullyConsumed != 0) {
uint tombstoneOffset = highestBidNode.tombstoneOffset;
uint tombstoneOffset = node.tombstoneOffset;

// We consumed all orders at this price level, so remove all
if (numSegmentsFullyConsumed == highestBidValues.length - tombstoneOffset) {
bids[_tokenId].remove(highestBid); // TODO: A ranged delete would be nice
if (numSegmentsFullyConsumed == packedOrders.length - tombstoneOffset) {
tree[_tokenId].remove(bestPrice); // TODO: A ranged delete would be nice
} else {
bids[_tokenId].edit(highestBid, uint32(numSegmentsFullyConsumed));
tree[_tokenId].edit(bestPrice, uint32(numSegmentsFullyConsumed));
}
}

Expand All @@ -719,7 +593,7 @@ contract SamWitchOrderBook is ISamWitchOrderBook, ERC1155Holder, UUPSUpgradeable
packed &= _clearOrderMask(i);
}
}
highestBidValues[lastSegment] = packed;
packedOrders[lastSegment] = packed;
break;
}
}
Expand All @@ -743,9 +617,27 @@ contract SamWitchOrderBook is ISamWitchOrderBook, ERC1155Holder, UUPSUpgradeable
) private returns (uint24 quantityRemaining, uint cost) {
// Take as much as possible from the order book
if (_side == OrderSide.Buy) {
(quantityRemaining, cost) = _buyTakeFromOrderBook(_tokenId, _price, _quantity, _orderIdsPool, _quantitiesPool);
(quantityRemaining, cost) = _takeFromOrderBookSide(
_tokenId,
_price,
_quantity,
_orderIdsPool,
_quantitiesPool,
OrderSide.Sell,
askValues,
asks
);
} else {
(quantityRemaining, cost) = _sellTakeFromOrderBook(_tokenId, _price, _quantity, _orderIdsPool, _quantitiesPool);
(quantityRemaining, cost) = _takeFromOrderBookSide(
_tokenId,
_price,
_quantity,
_orderIdsPool,
_quantitiesPool,
OrderSide.Buy,
bidValues,
bids
);
}
}

Expand Down Expand Up @@ -859,7 +751,8 @@ contract SamWitchOrderBook is ISamWitchOrderBook, ERC1155Holder, UUPSUpgradeable
revert PriceNotMultipleOfTick(tick);
}

(quantityAddedToBook_, cost_) = _takeFromOrderBook(
uint24 quantityRemaining;
(quantityRemaining, cost_) = _takeFromOrderBook(
_limitOrder.side,
_limitOrder.tokenId,
_limitOrder.price,
Expand All @@ -869,11 +762,11 @@ contract SamWitchOrderBook is ISamWitchOrderBook, ERC1155Holder, UUPSUpgradeable
);

// Add the rest to the order book if has the minimum required, in order to keep order books healthy
if (quantityAddedToBook_ >= tokenIdInfo.minQuantity) {
if (quantityRemaining >= tokenIdInfo.minQuantity) {
quantityAddedToBook_ = quantityRemaining;
_addToBook(_newOrderId, tick, _limitOrder.side, _limitOrder.tokenId, _limitOrder.price, quantityAddedToBook_);
} else if (quantityAddedToBook_ != 0) {
failedQuantity_ = quantityAddedToBook_;
quantityAddedToBook_ = 0;
} else if (quantityRemaining != 0) {
failedQuantity_ = quantityRemaining;
emit FailedToAddToBook(_msgSender(), _limitOrder.side, _limitOrder.tokenId, _limitOrder.price, failedQuantity_);
}
}
Expand Down
71 changes: 35 additions & 36 deletions test/SamWitchOrderBook.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -199,7 +199,7 @@ describe("SamWitchOrderBook", function () {
});

it("Failed orders", async function () {
const {orderBook, erc1155, initialQuantity, alice, tokenId} = await loadFixture(deployContractsFixture);
const {orderBook, tokenId} = await loadFixture(deployContractsFixture);

// Set up order books
const price = 100;
Expand Down Expand Up @@ -268,7 +268,6 @@ describe("SamWitchOrderBook", function () {
},
]);
await orderBook.setTokenIdInfos([tokenId], [{tick: 1, minQuantity: 20}]);

await expect(
orderBook.limitOrders([
{
Expand Down Expand Up @@ -552,50 +551,50 @@ describe("SamWitchOrderBook", function () {
expect(await orderBook.getHighestBid(tokenId)).to.equal(0);
expect(await orderBook.getLowestAsk(tokenId)).to.equal(0);
});
});

it.skip("Consume a segment and whole check price level with a tombstone offset, and check it works as expected when re-added to the tree", async function () {
const {orderBook, tokenId} = await loadFixture(deployContractsFixture);
it.skip("Consume a segment and whole price level with a tombstone offset, and check it works as expected when re-added to the tree", async function () {
const {orderBook, tokenId} = await loadFixture(deployContractsFixture);

// Set up order books
const price = 100;
const quantity = 10;
// Set up order books
const price = 100;
const quantity = 10;

const limitOrder = {
side: OrderSide.Buy,
const limitOrder = {
side: OrderSide.Buy,
tokenId,
price,
quantity,
};

// 1 segment, 1 order in it
await orderBook.limitOrders([limitOrder]);
// Consume the order
await orderBook.limitOrders([
{
side: OrderSide.Sell,
tokenId,
price,
price: price,
quantity,
};

// 1 segment, 1 order in it
await orderBook.limitOrders([limitOrder]);
// Consume the order
await orderBook.limitOrders([
{
side: OrderSide.Sell,
tokenId,
price: price,
quantity,
},
]);
},
]);

expect(await orderBook.nodeExists(OrderSide.Buy, tokenId, price)).to.be.false;
expect(await orderBook.nodeExists(OrderSide.Buy, tokenId, price)).to.be.false;

// Re-add it, should start in the next segment
console.log("Re-add");
await orderBook.limitOrders([limitOrder]);
const node = await orderBook.getNode(OrderSide.Buy, tokenId, price);
expect(node.tombstoneOffset).to.eq(1);
// Re-add it, should start in the next segment
console.log("Re-add");
await orderBook.limitOrders([limitOrder]);
const node = await orderBook.getNode(OrderSide.Buy, tokenId, price);
expect(node.tombstoneOffset).to.eq(1);

let orders = await orderBook.allOrdersAtPrice(OrderSide.Buy, tokenId, price);
const orderId = 2;
expect(orders.length).to.eq(1);
expect(orders[0].id).to.eq(orderId);
let orders = await orderBook.allOrdersAtPrice(OrderSide.Buy, tokenId, price);
const orderId = 2;
expect(orders.length).to.eq(1);
expect(orders[0].id).to.eq(orderId);

// Consume it
// Consume it

// order ids for the limit orders: [1, 2, 3, 4], [5, 6, 7, 8], [9, 10, 11, 12], [13, 14, 15, 16]
});
// order ids for the limit orders: [1, 2, 3, 4], [5, 6, 7, 8], [9, 10, 11, 12], [13, 14, 15, 16]
});

it("Partial segment consumption, sell side", async function () {
Expand Down

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