You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
When a market enters an auction, we expand all AMM's into discrete orders in the crossed region. This allows us to use the existing code in the orderbook for finding the volume maximising range and an uncrossing price.
Currently, when we uncross the book we will take those expanded AMM orders and shoot them against the other side of the book one buy one. Given that the number of expanded orders could be in the 1000s for each AMM this adds a lot of churn, and also a lot of order and trade events.
What we really only require here is for the AMM to trade the combined volume of all those expanded orders for it to ended up uncrossed. So we should stick the orders all together into one big order and uncross with just that and shift the AMM's position in one go. The price of the combined order doesn't really matter, because after uncrossing all trades are priced at pre-calculate uncrossing price.
Feature Overview
When a market enters an auction, we expand all AMM's into discrete orders in the crossed region. This allows us to use the existing code in the orderbook for finding the volume maximising range and an uncrossing price.
Currently, when we uncross the book we will take those expanded AMM orders and shoot them against the other side of the book one buy one. Given that the number of expanded orders could be in the 1000s for each AMM this adds a lot of churn, and also a lot of order and trade events.
What we really only require here is for the AMM to trade the combined volume of all those expanded orders for it to ended up uncrossed. So we should stick the orders all together into one big order and uncross with just that and shift the AMM's position in one go. The price of the combined order doesn't really matter, because after uncrossing all trades are priced at pre-calculate uncrossing price.
Specs
Tasks
A checklist of the tasks that are needed to develop the feature and meet the acceptance criteria and feature test scenarios.
Feature test scenarios
Detailed scenarios that can be executed as feature tests to verify that the feature has been implemented as expected.
GIVEN (setup/context)
WHEN (action)
THEN (assertion) For example...
See here for more format information and examples.
Additional Details (optional)
Any additional information that provides context or gives information that will help us develop the feature.
The text was updated successfully, but these errors were encountered: