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Change the bookie plugin's binned order books to more closely match the

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behavior of the bet matching algorithm where the taker's bet is now
the limiting factor
This commit is contained in:
Eric Frias 2018-05-03 18:54:04 -04:00
parent 922bdec8d6
commit 8ef5335a70
2 changed files with 25 additions and 10 deletions
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14
libraries/plugins/bookie/bookie_api.cpp
View file

@ -61,8 +61,6 @@ binned_order_book bookie_api_impl::get_binned_order_book(graphene::chain::bettin
binned_order_book result;
// use a bet_object here for convenience. we really only use it to track the amount, odds, and back_or_lay
// note, the current bin is accumulating the matching bets, so it will be of type 'lay' when we're
// binning 'back' bets, and vice versa
fc::optional<bet_object> current_bin;
auto flush_current_bin = [&current_bin, &result]()
@ -72,9 +70,9 @@ binned_order_book bookie_api_impl::get_binned_order_book(graphene::chain::bettin
order_bin current_order_bin;
current_order_bin.backer_multiplier = current_bin->backer_multiplier;
current_order_bin.amount_to_bet = current_bin->get_approximate_matching_amount(true /* round up */);
current_order_bin.amount_to_bet = current_bin->amount_to_bet.amount;
//idump((*current_bin)(current_order_bin));
if (current_bin->back_or_lay == bet_type::lay)
if (current_bin->back_or_lay == bet_type::back)
result.aggregated_back_bets.emplace_back(std::move(current_order_bin));
else // current_bin is aggregating back positions
result.aggregated_lay_bets.emplace_back(std::move(current_order_bin));
@ -89,7 +87,7 @@ binned_order_book bookie_api_impl::get_binned_order_book(graphene::chain::bettin
++bet_odds_iter)
{
if (current_bin &&
(bet_odds_iter->back_or_lay == current_bin->back_or_lay /* we have switched from back to lay bets */ ||
(bet_odds_iter->back_or_lay != current_bin->back_or_lay /* we have switched from back to lay bets */ ||
(bet_odds_iter->back_or_lay == bet_type::back ? bet_odds_iter->backer_multiplier > current_bin->backer_multiplier :
bet_odds_iter->backer_multiplier < current_bin->backer_multiplier)))
flush_current_bin();
@ -105,19 +103,19 @@ binned_order_book bookie_api_impl::get_binned_order_book(graphene::chain::bettin
{
current_bin->backer_multiplier = (bet_odds_iter->backer_multiplier + bin_size - 1) / bin_size * bin_size;
current_bin->backer_multiplier = std::min<graphene::chain::bet_multiplier_type>(current_bin->backer_multiplier, current_params.max_bet_multiplier);
current_bin->back_or_lay = bet_type::lay;
current_bin->back_or_lay = bet_type::back;
}
else
{
current_bin->backer_multiplier = bet_odds_iter->backer_multiplier / bin_size * bin_size;
current_bin->backer_multiplier = std::max<graphene::chain::bet_multiplier_type>(current_bin->backer_multiplier, current_params.min_bet_multiplier);
current_bin->back_or_lay = bet_type::back;
current_bin->back_or_lay = bet_type::lay;
}
current_bin->amount_to_bet.amount = 0;
}
current_bin->amount_to_bet.amount += bet_odds_iter->get_exact_matching_amount();
current_bin->amount_to_bet.amount += bet_odds_iter->amount_to_bet.amount;
}
if (current_bin)
flush_current_bin();

21
tests/betting/betting_tests.cpp
View file

@ -356,12 +356,14 @@ BOOST_AUTO_TEST_CASE(binned_order_books)
// the binned orders returned should be chosen so that we if we assume those orders are real and we place
// matching lay orders, we will completely consume the underlying orders and leave no orders on the books
//
// for the bets bob placed above, we should get: 200 @ 1.6, 300 @ 1.7
BOOST_CHECK_EQUAL(binned_orders_point_one.aggregated_back_bets.size(), 2u);
BOOST_CHECK_EQUAL(binned_orders_point_one.aggregated_lay_bets.size(), 0u);
for (const graphene::bookie::order_bin& binned_order : binned_orders_point_one.aggregated_back_bets)
{
// compute the matching lay order
share_type lay_amount = bet_object::get_approximate_matching_amount(binned_order.amount_to_bet, binned_order.backer_multiplier, bet_type::back, false /* round down */);
share_type lay_amount = bet_object::get_approximate_matching_amount(binned_order.amount_to_bet, binned_order.backer_multiplier, bet_type::back, true /* round up */);
ilog("Alice is laying with ${lay_amount} at odds ${odds} to match the binned back amount ${back_amount}", ("lay_amount", lay_amount)("odds", binned_order.backer_multiplier)("back_amount", binned_order.amount_to_bet));
place_bet(alice_id, capitals_win_market.id, bet_type::lay, asset(lay_amount, asset_id_type()), binned_order.backer_multiplier);
}
@ -377,6 +379,7 @@ BOOST_AUTO_TEST_CASE(binned_order_books)
BOOST_CHECK(bet_odds_idx.lower_bound(std::make_tuple(capitals_win_market.id)) == bet_odds_idx.end());
// place lay bets at decimal odds of 1.55, 1.6, 1.65, 1.66, and 1.67
// these bets will get rounded down, actual amounts are 99, 99, 91, 99, and 67
place_bet(bob_id, capitals_win_market.id, bet_type::lay, asset(100, asset_id_type()), 155 * GRAPHENE_BETTING_ODDS_PRECISION / 100);
place_bet(bob_id, capitals_win_market.id, bet_type::lay, asset(100, asset_id_type()), 16 * GRAPHENE_BETTING_ODDS_PRECISION / 10);
place_bet(bob_id, capitals_win_market.id, bet_type::lay, asset(100, asset_id_type()), 165 * GRAPHENE_BETTING_ODDS_PRECISION / 100);
@ -388,16 +391,30 @@ BOOST_AUTO_TEST_CASE(binned_order_books)
// the binned orders returned should be chosen so that we if we assume those orders are real and we place
// matching lay orders, we will completely consume the underlying orders and leave no orders on the books
//
// for the bets bob placed above, we shoudl get 356 @ 1.6, 99 @ 1.5
BOOST_CHECK_EQUAL(binned_orders_point_one.aggregated_back_bets.size(), 0u);
BOOST_CHECK_EQUAL(binned_orders_point_one.aggregated_lay_bets.size(), 2u);
for (const graphene::bookie::order_bin& binned_order : binned_orders_point_one.aggregated_lay_bets)
{
// compute the matching lay order
share_type back_amount = bet_object::get_approximate_matching_amount(binned_order.amount_to_bet, binned_order.backer_multiplier, bet_type::lay, false /* round down */);
share_type back_amount = bet_object::get_approximate_matching_amount(binned_order.amount_to_bet, binned_order.backer_multiplier, bet_type::lay, true /* round up */);
ilog("Alice is backing with ${back_amount} at odds ${odds} to match the binned lay amount ${lay_amount}", ("back_amount", back_amount)("odds", binned_order.backer_multiplier)("lay_amount", binned_order.amount_to_bet));
place_bet(alice_id, capitals_win_market.id, bet_type::back, asset(back_amount, asset_id_type()), binned_order.backer_multiplier);
ilog("After alice's bet, order book is:");
bet_iter = bet_odds_idx.lower_bound(std::make_tuple(capitals_win_market.id));
while (bet_iter != bet_odds_idx.end() &&
bet_iter->betting_market_id == capitals_win_market.id)
{
idump((*bet_iter));
++bet_iter;
}
}
bet_iter = bet_odds_idx.lower_bound(std::make_tuple(capitals_win_market.id));
while (bet_iter != bet_odds_idx.end() &&
bet_iter->betting_market_id == capitals_win_market.id)