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mango-v4
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dont process orders which have 0 lots; dont return early, we still want to apply ioc penalty (#404) 

* skip iteration if the incoming order has no lots to process

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>

* fixes from review

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>
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microwavedcola1 2023-01-19 11:29:00 +01:00 committed by GitHub
parent 8fb231f2fc
commit 44f599ca62
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1 changed files with 4 additions and 6 deletions
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10
programs/mango-v4/src/state/orderbook/book.rs
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@ -84,6 +84,10 @@ impl<'a> Orderbook<'a> {
let opposing_bookside = self.bookside_mut(other_side);
for best_opposing in opposing_bookside.iter_all_including_invalid(now_ts, oracle_price_lots)
{
if remaining_base_lots == 0 || remaining_quote_lots == 0 {
break;
}
if !best_opposing.is_valid() {
// Remove the order from the book unless we've done that enough
if number_of_dropped_expired_orders < DROP_EXPIRED_ORDER_LIMIT {
@ -121,8 +125,6 @@ impl<'a> Orderbook<'a> {
let match_base_lots = remaining_base_lots
.min(best_opposing.node.quantity)
.min(max_match_by_quote);
let done =
match_base_lots == max_match_by_quote || match_base_lots == remaining_base_lots;
let match_quote_lots = cm!(match_base_lots * best_opposing_price);
cm!(remaining_base_lots -= match_base_lots);
@ -161,10 +163,6 @@ impl<'a> Orderbook<'a> {
);
event_queue.push_back(cast(fill)).unwrap();
limit -= 1;
if done {
break;
}
}
let total_quote_lots_taken = cm!(order.max_quote_lots - remaining_quote_lots);