Market and Limit Oder Filling Logic (#40)

* Added cancel limit

* Added liquidity tracking to place/cancel limit

* Shortened get_expected_denom name

* Changed reply to use ensure

* Added order fulfilment process

* Added test for resolve_fulfilments

* Added test for market order [WIP]

* Added run market order tests

* Added run limit order test

* Added limits for tick bound in run market order

* fix typo fulfil -> fulfill across files

* Renamed fulfill method

* Remove run limit order

---------

Co-authored-by: alpo <[email protected]>

contracts/orderbook/src/error.rs

@@ -40,4 +40,16 @@ pub enum ContractError {
 
     #[error("Reply error: {id:?}, {error:?}")]
     ReplyError { id: u64, error: String },
+
+    #[error("Cannot fulfill order. Order ID: {order_id:?}, Book ID: {book_id:?}, Amount Required: {amount_required:?}, Amount Remaining: {amount_remaining:?} {reason:?}")]
+    InvalidFulfillment {
+        order_id: u64,
+        book_id: u64,
+        amount_required: Uint128,
+        amount_remaining: Uint128,
+        reason: Option<String>,
+    },
+
+    #[error("Mismatched order direction")]
+    MismatchedOrderDirection {},
 }

contracts/orderbook/src/order.rs

@@ -1,16 +1,18 @@
 use crate::error::ContractError;
 use crate::state::*;
 use crate::state::{MAX_TICK, MIN_TICK, ORDERBOOKS};
-use crate::types::{LimitOrder, OrderDirection, REPLY_ID_REFUND};
+use crate::types::{Fulfillment, LimitOrder, MarketOrder, OrderDirection, REPLY_ID_REFUND};
 use cosmwasm_std::{
-    coin, ensure, ensure_eq, BankMsg, DepsMut, Env, MessageInfo, Response, SubMsg, Uint128,
+    coin, ensure, ensure_eq, ensure_ne, BankMsg, Decimal, DepsMut, Env, MessageInfo, Order,
+    Response, Storage, SubMsg, Uint128,
 };
+use cw_storage_plus::Bound;
 use cw_utils::{must_pay, nonpayable};
 
 #[allow(clippy::manual_range_contains)]
 pub fn place_limit(
     deps: DepsMut,
-    env: Env,
+    _env: Env,
     info: MessageInfo,
     book_id: u64,
     tick_id: i64,
@@ -146,3 +148,168 @@ pub fn place_market(
         .add_attribute("method", "placeMarket")
         .add_attribute("owner", info.sender))
 }
+
+#[allow(clippy::manual_range_contains)]
+pub fn run_market_order(
+    storage: &mut dyn Storage,
+    order: &mut MarketOrder,
+    tick_bound: Option<i64>,
+) -> Result<(Vec<Fulfillment>, BankMsg), ContractError> {
+    let mut fulfillments: Vec<Fulfillment> = vec![];
+    let mut amount_fulfilled: Uint128 = Uint128::zero();
+    let orderbook = ORDERBOOKS.load(storage, &order.book_id)?;
+    let placed_order_denom = orderbook.get_expected_denom(&order.order_direction);
+
+    let (min_tick, max_tick, ordering) = match order.order_direction {
+        OrderDirection::Ask => {
+            if let Some(tick_bound) = tick_bound {
+                ensure!(
+                    tick_bound <= orderbook.next_bid_tick
+                        && tick_bound <= MAX_TICK
+                        && tick_bound >= MIN_TICK,
+                    ContractError::InvalidTickId {
+                        tick_id: tick_bound
+                    }
+                );
+            }
+            (tick_bound, Some(orderbook.next_bid_tick), Order::Descending)
+        }
+        OrderDirection::Bid => {
+            if let Some(tick_bound) = tick_bound {
+                ensure!(
+                    tick_bound >= orderbook.next_ask_tick
+                        && tick_bound <= MAX_TICK
+                        && tick_bound >= MIN_TICK,
+                    ContractError::InvalidTickId {
+                        tick_id: tick_bound
+                    }
+                );
+            }
+            (Some(orderbook.next_ask_tick), tick_bound, Order::Ascending)
+        }
+    };
+
+    // Create ticks iterator between first tick and requested tick
+    let ticks = TICK_LIQUIDITY.prefix(order.book_id).range(
+        storage,
+        min_tick.map(Bound::inclusive),
+        max_tick.map(Bound::inclusive),
+        ordering,
+    );
+
+    for maybe_current_tick in ticks {
+        let current_tick = maybe_current_tick?.0;
+
+        // Create orders iterator for all orders on current tick
+        let tick_orders = orders().prefix((order.book_id, current_tick)).range(
+            storage,
+            None,
+            None,
+            Order::Ascending,
+        );
+
+        for maybe_current_order in tick_orders {
+            let current_order = maybe_current_order?.1;
+            ensure_ne!(
+                current_order.order_direction,
+                order.order_direction,
+                ContractError::MismatchedOrderDirection {}
+            );
+            let fill_quantity = order.quantity.min(current_order.quantity);
+            // Add to total amount fulfilled from placed order
+            amount_fulfilled = amount_fulfilled.checked_add(fill_quantity)?;
+            // Generate fulfillment for current order
+            let fulfillment = Fulfillment::new(current_order, fill_quantity);
+            fulfillments.push(fulfillment);
+
+            // Update remaining order quantity
+            order.quantity = order.quantity.checked_sub(fill_quantity)?;
+            // TODO: Price detection
+            if order.quantity.is_zero() {
+                return Ok((
+                    fulfillments,
+                    BankMsg::Send {
+                        to_address: order.owner.to_string(),
+                        amount: vec![coin(amount_fulfilled.u128(), placed_order_denom)],
+                    },
+                ));
+            }
+        }
+
+        // TODO: Price detection
+        if order.quantity.is_zero() {
+            return Ok((
+                fulfillments,
+                BankMsg::Send {
+                    to_address: order.owner.to_string(),
+                    amount: vec![coin(amount_fulfilled.u128(), placed_order_denom)],
+                },
+            ));
+        }
+    }
+
+    // TODO: Price detection
+    Ok((
+        fulfillments,
+        BankMsg::Send {
+            to_address: order.owner.to_string(),
+            amount: vec![coin(amount_fulfilled.u128(), placed_order_denom)],
+        },
+    ))
+}
+
+pub fn resolve_fulfillments(
+    storage: &mut dyn Storage,
+    fulfillments: Vec<Fulfillment>,
+) -> Result<Vec<BankMsg>, ContractError> {
+    let mut msgs: Vec<BankMsg> = vec![];
+    let orderbook = ORDERBOOKS.load(storage, &fulfillments[0].order.book_id)?;
+    for mut fulfillment in fulfillments {
+        ensure_eq!(
+            fulfillment.order.book_id,
+            orderbook.book_id,
+            // TODO: Error not expressive
+            ContractError::InvalidFulfillment {
+                order_id: fulfillment.order.order_id,
+                book_id: fulfillment.order.book_id,
+                amount_required: fulfillment.amount,
+                amount_remaining: fulfillment.order.quantity,
+                reason: Some("Fulfillment is part of another order book".to_string()),
+            }
+        );
+        let denom = orderbook.get_expected_denom(&fulfillment.order.order_direction);
+        // TODO: Add price detection for tick
+        let msg = fulfillment
+            .order
+            .fill(&denom, fulfillment.amount, Decimal::one())?;
+        msgs.push(msg);
+        if fulfillment.order.quantity.is_zero() {
+            orders().remove(
+                storage,
+                &(
+                    fulfillment.order.book_id,
+                    fulfillment.order.tick_id,
+                    fulfillment.order.order_id,
+                ),
+            )?;
+        } else {
+            orders().save(
+                storage,
+                &(
+                    fulfillment.order.book_id,
+                    fulfillment.order.tick_id,
+                    fulfillment.order.order_id,
+                ),
+                &fulfillment.order,
+            )?;
+        }
+        // TODO: possible optimization by grouping tick/liquidity and calling this once per tick?
+        reduce_tick_liquidity(
+            storage,
+            fulfillment.order.book_id,
+            fulfillment.order.tick_id,
+            fulfillment.amount,
+        )?;
+    }
+    Ok(msgs)
+}