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AdalyatNazirovMartin-Molinero
AdalyatNazirov
and
Martin-Molinero
authored
Uncross OrderBook (#6)
* Handle crossed order book in `dYdXBrokerage`: add logic to uncross order book, validate bid-ask prices before emitting quote ticks, and improve illiquid asset handling. * Refactor `UncrossOrderBook`: simplify bid-ask comparison logic and improve order book state updates within processing loop. * Refactor `dYdXBrokerage`: remove `UncrossOrderBook` in favor of a new extension method, clean up bid-ask price logic, and update namespace resolution for consistency. * Add `UncrossOrderBook` extension method and unit tests to handle crossed order books in `dYdXBrokerage`. * Add license --------- Co-authored-by: Martin Molinero <[email protected]>
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‎QuantConnect.dYdXBrokerage.Tests/Extensions/OrderBookExtensionsTests.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using NUnit.Framework;
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using QuantConnect.Brokerages.dYdX.Extensions;
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namespace QuantConnect.Brokerages.dYdX.Tests.Extensions;
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[TestFixture]
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public class OrderBookExtensionsTests
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{
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[Test]
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public void UncrossOrderBook_WhenBidGreaterThanAsk_RemovesBothWhenSizesEqual()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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orderBook.UpdateBidRow(101m, 10m);
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orderBook.UpdateAskRow(100m, 10m);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(0, orderBook.BestBidPrice);
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Assert.AreEqual(0, orderBook.BestAskPrice);
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}
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[Test]
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public void UncrossOrderBook_WhenBidGreaterThanAsk_ReducesBidWhenBidSizeLarger()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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orderBook.UpdateBidRow(101m, 15m);
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orderBook.UpdateAskRow(100m, 10m);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(101m, orderBook.BestBidPrice);
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Assert.AreEqual(5m, orderBook.BestBidSize);
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Assert.AreEqual(0, orderBook.BestAskPrice);
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}
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[Test]
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public void UncrossOrderBook_WhenBidGreaterThanAsk_ReducesAskWhenAskSizeLarger()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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orderBook.UpdateBidRow(101m, 10m);
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orderBook.UpdateAskRow(100m, 15m);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(0, orderBook.BestBidPrice);
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Assert.AreEqual(100m, orderBook.BestAskPrice);
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Assert.AreEqual(5m, orderBook.BestAskSize);
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}
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[Test]
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public void UncrossOrderBook_WhenBidLessThanAsk_DoesNothing()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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orderBook.UpdateBidRow(99m, 10m);
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orderBook.UpdateAskRow(100m, 10m);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(99m, orderBook.BestBidPrice);
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Assert.AreEqual(10m, orderBook.BestBidSize);
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Assert.AreEqual(100m, orderBook.BestAskPrice);
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Assert.AreEqual(10m, orderBook.BestAskSize);
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}
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[Test]
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public void UncrossOrderBook_WhenMultipleCrossedLevels_UncrossesAll()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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// Add multiple crossed levels
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orderBook.UpdateBidRow(94m, 5m);
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orderBook.UpdateBidRow(102m, 10m);
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orderBook.UpdateBidRow(101m, 15m);
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orderBook.UpdateAskRow(100m, 8m);
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orderBook.UpdateAskRow(99m, 12m);
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orderBook.UpdateAskRow(98m, 20m);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(94m, orderBook.BestBidPrice);
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Assert.AreEqual(5m, orderBook.BestBidSize);
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Assert.AreEqual(99m, orderBook.BestAskPrice);
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Assert.AreEqual(7m, orderBook.BestAskSize);
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}
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[Test]
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public void UncrossOrderBook_WhenSingleCrossedLevels_UncrossesAll()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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// Add multiple crossed levels
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orderBook.UpdateBidRow(94m, 5m);
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orderBook.UpdateBidRow(95m, 10m);
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orderBook.UpdateBidRow(101m, 15m);
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orderBook.UpdateAskRow(100m, 8m);
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orderBook.UpdateAskRow(99m, 12m);
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orderBook.UpdateAskRow(98m, 20m);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(95m, orderBook.BestBidPrice);
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Assert.AreEqual(10m, orderBook.BestBidSize);
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Assert.AreEqual(98, orderBook.BestAskPrice);
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Assert.AreEqual(5, orderBook.BestAskSize);
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}
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[Test]
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public void UncrossOrderBook_WhenOrderBookEmpty_DoesNothing()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(0, orderBook.BestBidPrice);
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Assert.AreEqual(0, orderBook.BestAskPrice);
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}
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[Test]
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public void UncrossOrderBook_WhenOnlyBidsExist_DoesNothing()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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orderBook.UpdateBidRow(100m, 10m);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(100m, orderBook.BestBidPrice);
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Assert.AreEqual(10m, orderBook.BestBidSize);
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Assert.AreEqual(0, orderBook.BestAskPrice);
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}
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[Test]
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public void UncrossOrderBook_WhenOnlyAsksExist_DoesNothing()
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{
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// Arrange
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var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.dYdX);
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var orderBook = new DefaultOrderBook(symbol);
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orderBook.UpdateAskRow(100m, 10m);
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// Act
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orderBook.UncrossOrderBook();
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// Assert
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Assert.AreEqual(0, orderBook.BestBidPrice);
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Assert.AreEqual(100m, orderBook.BestAskPrice);
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Assert.AreEqual(10m, orderBook.BestAskSize);
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}
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}

‎QuantConnect.dYdXBrokerage/Extensions/OrderBookExtensions.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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namespace QuantConnect.Brokerages.dYdX.Extensions;
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public static class OrderBookExtensions
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{
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/// <summary>
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/// Crossed prices where best bid > best ask may happen.
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/// This happens because the dydx network is decentralized, operated by 42 validators where the order book updates can be sent by any of the validators and therefore may arrive out of sequence to the full node/indexer
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/// see ref https://docs.dydx.xyz/interaction/data/watch-orderbook#uncrossing-the-orderbook
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/// </summary>
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/// <param name="orderBook">Order book to uncross</param>
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public static void UncrossOrderBook(this DefaultOrderBook orderBook)
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{
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// Get sorted lists: bids descending (highest first), asks ascending (lowest first)
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var bidPrice = orderBook.BestBidPrice;
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var askPrice = orderBook.BestAskPrice;
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while (bidPrice != 0 && askPrice != 0 && bidPrice > askPrice)
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{
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var bidSize = orderBook.BestBidSize;
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var askSize = orderBook.BestAskSize;
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if (bidSize > askSize)
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{
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orderBook.UpdateBidRow(bidPrice, bidSize - askSize);
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orderBook.RemoveAskRow(askPrice);
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}
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else if (bidSize < askSize)
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{
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orderBook.UpdateAskRow(askPrice, askSize - bidSize);
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orderBook.RemoveBidRow(bidPrice);
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}
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else
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{
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orderBook.RemoveAskRow(askPrice);
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orderBook.RemoveBidRow(bidPrice);
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}
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bidPrice = orderBook.BestBidPrice;
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askPrice = orderBook.BestAskPrice;
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}
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}
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}

‎QuantConnect.dYdXBrokerage/dYdXBrokerage.Messaging.cs‎

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using System.Collections.Generic;
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using System.Linq;
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using Newtonsoft.Json.Linq;
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using QuantConnect.Brokerages.dYdX.Extensions;
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using QuantConnect.Brokerages.dYdX.Models;
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using QuantConnect.Brokerages.dYdX.Models.WebSockets;
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using QuantConnect.Data.Market;
@@ -489,7 +490,31 @@ private void UpdateOrderBook(DefaultOrderBook orderBook, Orderbook orderbook)
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private void OnBestBidAskUpdated(object sender, BestBidAskUpdatedEventArgs e)
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{
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EmitQuoteTick(e.Symbol, e.BestBidPrice, e.BestBidSize, e.BestAskPrice, e.BestAskSize);
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if (e.BestBidPrice < e.BestAskPrice)
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{
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EmitQuoteTick(e.Symbol, e.BestBidPrice, e.BestBidSize, e.BestAskPrice, e.BestAskSize);
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}
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// Orderbook got crossed, uncross it and then emit quote tick
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if (sender is DefaultOrderBook orderBook)
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{
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orderBook.BestBidAskUpdated -= OnBestBidAskUpdated;
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orderBook.UncrossOrderBook();
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orderBook.BestBidAskUpdated += OnBestBidAskUpdated;
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if (orderBook.BestBidPrice == 0 && orderBook.BestAskPrice == 0)
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{
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// nothing to emit, can happen with illiquid assets
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return;
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}
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EmitQuoteTick(e.Symbol,
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orderBook.BestBidPrice,
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orderBook.BestBidSize,
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orderBook.BestAskPrice,
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orderBook.BestAskSize);
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}
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}
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private void EmitQuoteTick(Symbol symbol, decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)

‎QuantConnect.dYdXBrokerage/dYdXBrokerage.cs‎

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string indexerRestUrl)
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{
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var weights = new Dictionary<Symbol, int>();
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var data = Extensions.DownloadData($"{indexerRestUrl}/perpetualMarkets");
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var data = QuantConnect.Extensions.DownloadData($"{indexerRestUrl}/perpetualMarkets");
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var markets = JsonConvert.DeserializeObject<ExchangeInfo>(data);
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var totalMarketVolume24H = markets.Symbols.Values
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.Select(x => x.Volume24H)

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