[OTE-529] feat(OE): Deprecate in-mem Untriggered Conditional Orders (#…

…1879)
dydxprotocol · Jul 26, 2024 · 749dff9 · 749dff9
1 parent 8932494
commit 749dff9
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Showing 10 changed files with 241 additions and 517 deletions.
diff --git a/protocol/testutil/constants/stateful_orders.go b/protocol/testutil/constants/stateful_orders.go
@@ -456,6 +456,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
 		ConditionalOrderTriggerSubticks: 20,
 	}
+	ConditionalOrder_Alice_Num1_Id0_Clob0_Buy5_Price20_GTBT15_StopLoss20 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num1,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_BUY,
+		Quantums:                        5,
+		Subticks:                        20,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 15},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
+		ConditionalOrderTriggerSubticks: 20,
+	}
 	ConditionalOrder_Alice_Num0_Id0_Clob0_Buy5_Price10_GTBT15_TakeProfit20 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Alice_Num0,
@@ -554,6 +568,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
 		ConditionalOrderTriggerSubticks: 25,
 	}
+	ConditionalOrder_Alice_Num1_Id1_Clob0_Buy15_Price25_GTBT15_StopLoss25 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num1,
+			ClientId:     1,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_BUY,
+		Quantums:                        15,
+		Subticks:                        25,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 15},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
+		ConditionalOrderTriggerSubticks: 25,
+	}
 	ConditionalOrder_Alice_Num0_Id1_Clob0_Buy15_Price10_GTBT15_TakeProfit20 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Alice_Num0,
@@ -624,6 +652,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
 		ConditionalOrderTriggerSubticks: 20,
 	}
+	ConditionalOrder_Alice_Num1_Id2_Clob0_Sell20_Price20_GTBT15_TakeProfit20 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num1,
+			ClientId:     2,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_SELL,
+		Quantums:                        20,
+		Subticks:                        20,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 15},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
+		ConditionalOrderTriggerSubticks: 20,
+	}
 	ConditionalOrder_Alice_Num0_Id2_Clob0_Buy20_Price10_GTBT15_TakeProfit10 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Alice_Num0,
@@ -666,6 +708,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
 		ConditionalOrderTriggerSubticks: 25,
 	}
+	ConditionalOrder_Alice_Num1_Id3_Clob0_Buy25_Price25_GTBT15_StopLoss25 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num1,
+			ClientId:     3,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   0,
+		},
+		Side:                            clobtypes.Order_SIDE_BUY,
+		Quantums:                        25,
+		Subticks:                        10,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 15},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
+		ConditionalOrderTriggerSubticks: 25,
+	}
 	ConditionalOrder_Alice_Num0_Id3_Clob0_Buy25_Price10_GTBT15_TakeProfit20 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Alice_Num0,
@@ -722,6 +778,20 @@ var (
 		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
 		ConditionalOrderTriggerSubticks: 20,
 	}
+	ConditionalOrder_Alice_Num0_Id1_Clob1_Buy5_Price10_GTBT15_StopLoss20 = clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: Alice_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Conditional,
+			ClobPairId:   1,
+		},
+		Side:                            clobtypes.Order_SIDE_BUY,
+		Quantums:                        5,
+		Subticks:                        10,
+		GoodTilOneof:                    &clobtypes.Order_GoodTilBlockTime{GoodTilBlockTime: 15},
+		ConditionType:                   clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
+		ConditionalOrderTriggerSubticks: 20,
+	}
 	ConditionalOrder_Alice_Num0_Id0_Clob1_Buy5_Price10_GTBT15_TakeProfit20 = clobtypes.Order{
 		OrderId: clobtypes.OrderId{
 			SubaccountId: Alice_Num0,

diff --git a/protocol/x/clob/abci.go b/protocol/x/clob/abci.go
@@ -89,30 +89,10 @@ func EndBlocker(
 		)
 	}
 
-	deliveredCancels := keeper.GetDeliveredCancelledOrderIds(ctx)
-	// Prune expired untriggered conditional orders from the in-memory UntriggeredConditionalOrders struct.
-	keeper.PruneUntriggeredConditionalOrders(
-		expiredStatefulOrderIds,
-		deliveredCancels,
-	)
-
 	// Update the memstore with expired order ids.
 	// These expired stateful order ids will be purged from the memclob in `Commit`.
 	processProposerMatchesEvents.ExpiredStatefulOrderIds = expiredStatefulOrderIds
 
-	// Before triggering conditional orders, add newly-placed conditional orders to the clob keeper's
-	// in-memory UntriggeredConditionalOrders data structure to allow conditional orders to
-	// trigger in the same block they are placed. Skip triggering orders which have been cancelled
-	// or expired.
-	// TODO(CLOB-773) Support conditional order replacements. Ensure replacements are de-duplicated.
-	conditionalOrdersIds := keeper.GetDeliveredConditionalOrderIds(ctx)
-	keeper.AddUntriggeredConditionalOrders(
-		ctx,
-		conditionalOrdersIds,
-		lib.UniqueSliceToSet(deliveredCancels),
-		lib.UniqueSliceToSet(expiredStatefulOrderIds),
-	)
-
 	// Poll out all triggered conditional orders from `UntriggeredConditionalOrders` and update state.
 	triggeredConditionalOrderIds := keeper.MaybeTriggerConditionalOrders(ctx)
 	// Update the memstore with conditional order ids triggered in the last block.