Feature: market close order

daemon/src/lib.rs

@@ -3,7 +3,6 @@
 use crate::bitcoin::util::psbt::PartiallySignedTransaction;
 use crate::bitcoin::Txid;
 use crate::listen_protocols::TAKER_LISTEN_PROTOCOLS;
-use anyhow::bail;
 use anyhow::Context as _;
 use anyhow::Result;
 pub use bdk;
@@ -23,7 +22,6 @@ use model::Identity;
 use model::Leverage;
 use model::OfferId;
 use model::OrderId;
-use model::Price;
 use model::Role;
 use online_status::ConnectionStatus;
 use parse_display::Display;
@@ -33,12 +31,10 @@ use seed::Identities;
 use std::collections::HashSet;
 use std::sync::Arc;
 use std::time::Duration;
-use time::ext::NumericalDuration;
 use tokio::sync::watch;
 use tokio_extras::Tasks;
 use tracing::instrument;
 use xtra::prelude::*;
-use xtra_bitmex_price_feed::QUOTE_INTERVAL_MINUTES;
 use xtra_libp2p::dialer;
 use xtra_libp2p::endpoint;
 use xtra_libp2p::multiaddress_ext::MultiaddrExt;
@@ -387,40 +383,8 @@ where
 
     #[instrument(skip(self), err)]
     pub async fn propose_settlement(&self, order_id: OrderId) -> Result<()> {
-        let contract_symbol = self
-            .executor
-            .query(order_id, |cfd| Ok(cfd.contract_symbol()))
-            .await?;
-
-        let latest_quote = *self
-            .price_feed_actor
-            .send(xtra_bitmex_price_feed::GetLatestQuotes)
-            .await
-            .context("Price feed not available")?
-            .get(&into_price_feed_symbol(contract_symbol))
-            .context("No quote available")?;
-
-        let quote_timestamp = latest_quote
-            .timestamp
-            .format(&time::format_description::well_known::Rfc3339)
-            .context("Failed to format timestamp")?;
-
-        let threshold = QUOTE_INTERVAL_MINUTES.minutes() * 2;
-
-        if latest_quote.is_older_than(threshold) {
-            bail!(
-                "Latest quote is older than {} minutes. Refusing to settle with old price.",
-                threshold.whole_minutes()
-            )
-        }
-
         self.cfd_actor
-            .send(taker_cfd::ProposeSettlement {
-                order_id,
-                bid: Price::new(latest_quote.bid())?,
-                ask: Price::new(latest_quote.ask())?,
-                quote_timestamp,
-            })
+            .send(taker_cfd::ProposeSettlement { order_id })
             .await?
     }
 
@@ -482,13 +446,6 @@ pub fn version() -> String {
     VERSION.to_string()
 }
 
-fn into_price_feed_symbol(symbol: model::ContractSymbol) -> xtra_bitmex_price_feed::ContractSymbol {
-    match symbol {
-        model::ContractSymbol::BtcUsd => xtra_bitmex_price_feed::ContractSymbol::BtcUsd,
-        model::ContractSymbol::EthUsd => xtra_bitmex_price_feed::ContractSymbol::EthUsd,
-    }
-}
-
 #[cfg(test)]
 mod tests {
     use super::*;

daemon/src/taker_cfd.rs

@@ -7,15 +7,13 @@ use anyhow::Context;
 use anyhow::Result;
 use async_trait::async_trait;
 use model::libp2p::PeerId;
-use model::market_closing_price;
 use model::Cfd;
 use model::Contracts;
 use model::Identity;
 use model::Leverage;
 use model::OfferId;
 use model::OrderId;
-use model::Price;
-use model::Role;
+use model::{ContractSymbol, Position};
 use sqlite_db;
 use std::collections::HashMap;
 use time::OffsetDateTime;
@@ -29,12 +27,9 @@ pub struct PlaceOrder {
     pub leverage: Leverage,
 }
 
-#[derive(Clone)]
+#[derive(Clone, Copy)]
 pub struct ProposeSettlement {
     pub order_id: OrderId,
-    pub bid: Price,
-    pub ask: Price,
-    pub quote_timestamp: String,
 }
 
 pub struct Actor {
@@ -43,6 +38,7 @@ pub struct Actor {
     collab_settlement_actor: xtra::Address<collab_settlement::taker::Actor>,
     order_actor: xtra::Address<order::taker::Actor>,
     offers: Offers,
+    latest_offers: HashMap<(ContractSymbol, Position), model::Offer>,
     maker_identity: Identity,
     maker_peer_id: PeerId,
 }
@@ -64,6 +60,7 @@ impl Actor {
             offers: Offers::default(),
             maker_identity,
             maker_peer_id,
+            latest_offers: HashMap::new(),
         }
     }
 }
@@ -73,24 +70,44 @@ impl Actor {
     async fn handle_latest_offers(&mut self, msg: offer::taker::LatestOffers) {
         self.offers.insert(msg.0.clone());
 
+        for i in msg.0.iter() {
+            tracing::info!(
+                "Received new offer: {:?} with price {}",
+                i.position_maker.counter_position(),
+                i.price
+            );
+            self.latest_offers.insert(
+                (i.contract_symbol, i.position_maker.counter_position()),
+                i.clone(),
+            );
+        }
+
         if let Err(e) = self.projection_actor.send(projection::Update(msg.0)).await {
             tracing::warn!("Failed to send current offers to projection actor: {e:#}");
         };
     }
 
     async fn handle_propose_settlement(&mut self, msg: ProposeSettlement) -> Result<()> {
-        let ProposeSettlement {
-            order_id,
-            bid,
-            ask,
-            quote_timestamp,
-        } = msg;
+        let ProposeSettlement { order_id } = msg;
 
         let cfd = self.db.load_open_cfd::<Cfd>(order_id, ()).await?;
 
-        let proposal_closing_price = market_closing_price(bid, ask, Role::Taker, cfd.position());
+        let offer = self
+            .latest_offers
+            .get(&(cfd.contract_symbol(), cfd.position().counter_position()))
+            .context("Cannot propose settlement without price")?;
+
+        if !offer.is_safe_to_take(OffsetDateTime::now_utc()) {
+            bail!("The maker's offer appears to be outdated, cannot close position");
+        }
+
+        let proposal_closing_price = offer.price;
+        let offer_timestamp = offer
+            .creation_timestamp_maker
+            .format()
+            .context("Failed to format timestamp")?;
 
-        tracing::debug!(%order_id, %proposal_closing_price, %bid, %ask, %quote_timestamp, "Proposing settlement of contract");
+        tracing::debug!(%order_id, %proposal_closing_price, %offer_timestamp, "Proposing settlement of contract");
 
         // Wait for the response to check for invariants (ie. whether it is possible to settle)
         self.collab_settlement_actor

model/src/lib.rs

@@ -487,6 +487,13 @@ impl Timestamp {
         let out = self.0.try_into().context("Unable to convert i64 to u64")?;
         Ok(out)
     }
+
+    pub fn format(&self) -> Result<String> {
+        let formatted = OffsetDateTime::from_unix_timestamp(self.0)
+            .context("Could not parse timestamp")?
+            .format(&time::format_description::well_known::Rfc3339)?;
+        Ok(formatted)
+    }
 }
 
 /// Funding rate per SETTLEMENT_INTERVAL