tranche fills

src/dexorder/base/orderlib.py

@@ -4,8 +4,7 @@ from dataclasses import dataclass
 from enum import Enum
 from typing import Optional
 
-from numpy.ma.core import filled
-
+from dexorder import timestamp
 from dexorder.util import hexbytes
 from dexorder.util.convert import decode_IEEE754
 
@@ -59,8 +58,10 @@ class Line:
     intercept: float
     slope: float
 
-    def value(self, timestamp):
-        return self.intercept + self.slope * timestamp
+    def value(self, time: int=None):
+        if time is None:
+            time = timestamp()
+        return self.intercept + self.slope * time
     
     @staticmethod
     def load_from_chain(obj: tuple[int,int]):
@@ -162,7 +163,7 @@ class ElaboratedTrancheStatus:
         ]
 
     @staticmethod
-    def load(obj: tuple[str,str,int,int,int]):
+    def load(obj: tuple[str,str,int,int,int,list]):
         filledIn, filledOut, activationTime, startTime, endTime, fillsObj = obj
         fills = [Fill.load(f) for f in fillsObj]
         return ElaboratedTrancheStatus(int(filledIn), int(filledOut), activationTime, startTime, endTime, fills)
@@ -347,11 +348,11 @@ class Tranche:
             if self.minLine.intercept or self.minLine.slope:
                 msg += f' >{self.minLine.intercept:.5g}'
                 if self.minLine.slope:
-                    msg += f'{self.minLine.slope:+.5g}/s'
+                    msg += f'{self.minLine.slope:+.5g}/s({self.minLine.value():5g})'
             if self.maxLine.intercept or self.maxLine.slope:
                 msg += f' <{self.maxLine.intercept:.5g}'
                 if self.maxLine.slope:
-                    msg += f'{self.maxLine.slope:+.5g}/s'
+                    msg += f'{self.maxLine.slope:+.5g}/s({self.maxLine.value():5g})'
         if self.rateLimitPeriod:
             msg += f' {self.rateLimitFraction/MAX_FRACTION:.1%} every {self.rateLimitPeriod/60:.0} minutes'
         return msg

src/dexorder/event_handler.py

@@ -80,7 +80,7 @@ async def handle_swap_filled(event: EventData):
         log.warning(f'No order triggers for fill of {TrancheKey(order.key.vault, order.key.order_index, tranche_index)}')
     else:
         time = await get_block_timestamp(event['blockHash'])
-        triggers.fill(hexstr(event['transactionHash']), time, tranche_index, amount_in, amount_out, fill_fee)
+        triggers.fill(hexstr(event['transactionHash']), time, tranche_index, amount_in, amount_out, fill_fee, next_execution_time)
 
 async def handle_order_canceled(event: EventData):
     # event DexorderCanceled (uint64 orderIndex);

src/dexorder/order/orderstate.py

@@ -19,23 +19,48 @@ log = logging.getLogger(__name__)
 # We split off the fill information for efficient communication to clients.
 
 @dataclass
-class OrderFilled:
-    tranche_fills: list[list[Fill]]
-
-    @property
-    def filledIn(self):
-        return sum(tf.filledIn for tfs in self.tranche_fills for tf in tfs)
-
-    @property
-    def filledOut(self):
-        return sum(tf.filledOut for tfs in self.tranche_fills for tf in tfs)
+class TrancheFilled:
+    activation_time: int  # updated next activation time due to any rate limit
+    fills: list[Fill]
 
     @staticmethod
     def load(obj):
-        return OrderFilled([[Fill.load(tf) for tf in tfs] for tfs in obj])
+        activation_time, fills = obj
+        return TrancheFilled(activation_time, [Fill.load(f) for f in fills])
 
     def dump(self):
-        return [[tf.dump() for tf in tfs] for tfs in self.tranche_fills]
+        return [self.activation_time, [f.dump() for f in self.fills]]
+
+    @property
+    def filledIn(self):
+        return sum(f.filledIn for f in self.fills)
+
+    @property
+    def filledOut(self):
+        return sum(f.filledOut for f in self.fills)
+
+
+@dataclass
+class OrderFilled:
+    # This class is used as a minimal datastructure for communicating updated fill information. In open orders, it is
+    # stored separately from the ElaboratedOrderStatus and pasted in dynamically on access. This allows the main
+    # part of the ElaboratedOrderStatus to remain static, providing a lighter weight update.
+    tranche_fills: list[TrancheFilled]
+
+    @property
+    def filledIn(self):
+        return sum(tf.filledIn for tf in self.tranche_fills)
+
+    @property
+    def filledOut(self):
+        return sum(tf.filledOut for tf in self.tranche_fills)
+
+    @staticmethod
+    def load(obj):
+        return OrderFilled([TrancheFilled.load(tf) for tf in obj])
+
+    def dump(self):
+        return [tf.dump() for tf in self.tranche_fills]
 
 
 # todo oco groups
@@ -65,6 +90,7 @@ class Order:
         try:
             return Order.instances[key]
         except KeyError:
+            pass
         return Order(key)
 
 
@@ -83,7 +109,9 @@ class Order:
             Order.vault_open_orders.listappend(key.vault, key.order_index)
             # Start with an empty set of fills, even if the chain says otherwise, because we will process the fill
             # events later and add them in
-            Order.order_filled[key] = OrderFilled([[] for _ in range(len(order.order.tranches))])
+            Order.order_filled[key] = OrderFilled([
+                TrancheFilled(ts.activationTime, [])  # empty fills
+                for ts in order.status.trancheStatus])
             order_log.debug(f'initialized order_filled[{key}]')
         order_log.debug(f'order created {key}')
         return order
@@ -127,11 +155,11 @@ class Order:
         return Order.order_filled[self.key].filledOut if self.is_open else self.status.filledOut
 
     def tranche_filled_in(self, tranche_index: int):
-        return sum(tf.filledIn for tf in Order.order_filled[self.key].tranche_fills[tranche_index]) if self.is_open \
+        return Order.order_filled[self.key].tranche_fills[tranche_index].filledIn if self.is_open \
             else self.status.trancheStatus[tranche_index].filledIn
 
     def tranche_filled_out(self, tranche_index: int):
-        return sum(tf.filledOut for tf in Order.order_filled[self.key].tranche_fills[tranche_index]) if self.is_open \
+        return Order.order_filled[self.key].tranche_fills[tranche_index].filledOut if self.is_open \
             else self.status.trancheStatus[tranche_index].filledOut
 
     def tranche_filled(self, tranche_index: int):
@@ -152,14 +180,16 @@ class Order:
     def is_open(self):
         return self.state.is_open
 
-    def add_fill(self, tx: str, time: int, tranche_index: int, filled_in: int, filled_out: int, fee: int):
+    def add_fill(self, tx: str, time: int, tranche_index: int, filled_in: int, filled_out: int, fee: int, next_activation_time: int):
         order_log.debug(f'tranche fill {self.key}|{tranche_index} in:{filled_in} out:{filled_out}')
         try:
             old = Order.order_filled[self.key]
         except KeyError:
             raise
         new = copy.deepcopy(old)
-        new.tranche_fills[tranche_index].append(Fill(tx, time, filled_in, filled_out, fee))
+        tranche_fill = new.tranche_fills[tranche_index]
+        tranche_fill.activationTime = next_activation_time
+        tranche_fill.fills.append(Fill(tx, time, filled_in, filled_out, fee))
         order_log.debug(f'updated order_filled: {new}')
         Order.order_filled[self.key] = new
 
@@ -180,18 +210,16 @@ class Order:
             else:
                 # order_log.debug(f'deleting order_filled[{self.key}]')
                 filledIn = filledOut = 0
-                for (i,fills) in enumerate(of.tranche_fills):
-                    fi = fo = 0
-                    for fill in fills:
-                        fill: Fill
-                        fi += fill.filledIn
-                        fo += fill.filledOut
+                for (i,tf) in enumerate(of.tranche_fills):
+                    tf: TrancheFilled
+                    fi = tf.filledIn
+                    fo = tf.filledOut
                     filledIn += fi
                     filledOut += fo
                     ts = status.trancheStatus[i]
-                    ts.fills = copy.deepcopy(fills)
                     ts.filledIn = fi
                     ts.filledOut = fo
+                    ts.fills = copy.deepcopy(tf.fills)
                 status.filledIn = filledIn
                 status.filledOut = filledOut
         Order.order_statuses[self.key] = status # set the status in order to save it

src/dexorder/order/triggers.py

@@ -77,9 +77,9 @@ class OrderTriggers:
             final_state = SwapOrderState.Filled if self.order.remaining == 0 or self.order.remaining < self.order.min_fill_amount else SwapOrderState.Expired
             close_order_and_disable_triggers(self.order, final_state)
 
-    def fill(self, tx: str, time: int, tranche_index, amount_in, amount_out, fee):
-        self.order.add_fill(tx, time, tranche_index, amount_in, amount_out, fee)
-        if self.triggers[tranche_index].fill(amount_in, amount_out):
+    def fill(self, tx: str, time: int, tranche_index, amount_in, amount_out, fee, next_activation_time):
+        self.order.add_fill(tx, time, tranche_index, amount_in, amount_out, fee, next_activation_time)
+        if self.triggers[tranche_index].fill(amount_in, amount_out, next_activation_time):
             self.check_complete()
 
     def expire_tranche(self, tranche_index):
@@ -215,6 +215,7 @@ async def input_amount_is_sufficient(order, token_balance):
     if price is None:
         return token_balance > 0  # we don't know the price so we allow any nonzero amount to be sufficient
     pool = await get_pool(order.pool_address)
+    price *= dec(10) ** dec(-pool['decimals'])
     inverted = order.order.tokenIn != pool['base']
     minimum = dec(order.min_fill_amount)*price if inverted else dec(order.min_fill_amount)/price
     log.debug(f'order minimum amount is {order.min_fill_amount} '+ ("input" if order.amount_is_input else f"output @ {price} = {minimum} ")+f'< {token_balance} balance')
@@ -275,9 +276,14 @@ class TimeTrigger (Trigger):
         self.set_time(time, current_clock.get().timestamp)
 
     def set_time(self, time: int, time_now: int):
+        if time == self._time:
+            return
         self._time = time
-        self.active = (time_now > time) is self.is_start
+        if self.active:
+            # remove old trigger
             TimeTrigger.all.remove(self)
+        self.active = (time_now > time) is self.is_start
+        if self.active:
             TimeTrigger.all.add(self)
 
     def update(self):
@@ -321,9 +327,9 @@ class PriceLineTrigger (Trigger):
         if is_barrier:
             log.warning('Barriers not supported')
         value_now = line.intercept + line.slope * current_clock.get().timestamp
-        price_above = price_now > value_now
-        # log.debug(f'initial price line {value_now} {">" if is_min else "<"} {price_now} {is_min is not price_above}')
-        super().__init__(3 if is_min else 4, tk, is_min is not price_above)
+        activated = value_now < price_now if is_min else value_now > price_now
+        log.debug(f'initial price line {value_now} {"<" if is_min else ">"} {price_now} {activated}')
+        super().__init__(3 if is_min else 4, tk, activated)
         self.line = line
         self.is_min = is_min
         self.is_barrier = is_barrier
@@ -370,8 +376,8 @@ class PriceLineTrigger (Trigger):
         line_value = m * time + b
         price_diff = sign * (y - line_value)
         activated = price_diff > 0
-        # for price, line, s, a in zip(y, line_value, sign, activated):
-        #     log.debug(f'price: {line} {">" if s == -1 else "<"} {price} {a}')
+        for price, line, s, a in zip(y, line_value, sign, activated):
+            log.debug(f'price: {line} {"<" if s == -1 else ">"} {price} {a}')
         for t, activated in zip(PriceLineTrigger.triggers, activated):
             t.handle_result(activated)
         PriceLineTrigger.clear_data()
@@ -436,6 +442,8 @@ class TrancheTrigger:
         if tranche.marketOrder:
             min_trigger = max_trigger = None
         else:
+            # tranche minLine and maxLine are relative to the pool and will be flipped from the orderspec if the
+            # order is selling the base and buying the quote.
             pool = await get_pool(order.pool_address)
             buy = pool['base'] == order.order.tokenOut
             min_trigger, max_trigger = await asyncio.gather(
@@ -476,7 +484,13 @@ class TrancheTrigger:
         log.debug(f'Tranche {tk} initial status {self.status} {self}')
 
 
-    def fill(self, _amount_in, _amount_out ):
+    def fill(self, _amount_in, _amount_out, _next_activation_time ):
+        if _next_activation_time != DISTANT_PAST:
+            # rate limit
+            if self.activation_trigger is None:
+                self.activation_trigger = TimeTrigger(True, self.tk, _next_activation_time, timestamp())
+            else:
+                self.activation_trigger.time = _next_activation_time
         remaining = self.order.tranche_remaining(self.tk.tranche_index)
         filled = remaining == 0 or remaining < self.order.min_fill_amount
         if filled:

src/dexorder/transactions.py

@@ -93,7 +93,7 @@ async def create_and_send_transactions():
             TransactionJob.chain == current_chain.get(),
             TransactionJob.state == TransactionJobState.Requested
     ):
-        log.info(f'building transaction request for {job.request.__class__.__name__} {job.id}')
+        # log.info(f'building transaction request for {job.request.__class__.__name__} {job.id}')
         try:
             handler = TransactionHandler.of(job.request.type)
         except KeyError:
@@ -125,7 +125,7 @@ async def create_and_send_transactions():
         job.tx_id = ctx.id_bytes
         job.tx_data = ctx.data
         db.session.add(job)
-        log.info(f'servicing transaction request {job.request.__class__.__name__} {job.id} with tx {ctx.id}')
+        log.info(f'servicing job {job.request.__class__.__name__} {job.id} with tx {ctx.id}')
         try:
             sent = await w3.eth.send_raw_transaction(job.tx_data)
         except: