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rippled/src/ripple/basics/tests/cross_offer.test.cpp
Vinnie Falco 5d42604efd Refactor the structure of source files: 
* New src/ripple/crypto and src/ripple/protocol directories
* Merged src/ripple/common into src/ripple/basics
* Move resource/api files up a level
* Add headers for "include what you use"
* Normalized include guards
* Renamed to JsonFields.h
* Remove obsolete files
* Remove net.h unity header
* Remove resource.h unity header
* Removed some deprecated unity includes
2014-11-07 13:40:43 -08:00

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//------------------------------------------------------------------------------
/*
This file is part of rippled: https://github.com/ripple/rippled
Copyright (c) 2012, 2013 Ripple Labs Inc.
Permission to use, copy, modify, and/or distribute this software for any
purpose with or without fee is hereby granted, provided that the above
copyright notice and this permission notice appear in all copies.
THE SOFTWARE IS PROVIDED "AS IS" AND THE AUTHOR DISCLAIMS ALL WARRANTIES
WITH REGARD TO THIS SOFTWARE INCLUDING ALL IMPLIED WARRANTIES OF
MERCHANTABILITY AND FITNESS. IN NO EVENT SHALL THE AUTHOR BE LIABLE FOR
ANY SPECIAL , DIRECT, INDIRECT, OR CONSEQUENTIAL DAMAGES OR ANY DAMAGES
WHATSOEVER RESULTING FROM LOSS OF USE, DATA OR PROFITS, WHETHER IN AN
ACTION OF CONTRACT, NEGLIGENCE OR OTHER TORTIOUS ACTION, ARISING OUT OF
OR IN CONNECTION WITH THE USE OR PERFORMANCE OF THIS SOFTWARE.
*/
//==============================================================================
#include <beast/unit_test/suite.h>
#include <beast/utility/noexcept.h>
#include <algorithm>
#include <cassert>
#include <iostream>
#include <iterator>
#include <beast/cxx14/type_traits.h> // <type_traits>
#include <utility>
#include <vector>
namespace ripple {
namespace core {
/** Represents both a quality and amounts of currencies for trade.
Quality is the ratio of output currency to input currency, where
higher means better for the offer taker. The first element of
the pair is the amount of currency available for input into
the offer. The second element of the pair is the amount of currency
that comes out if the full amount of the input currency is provided.
This pair also represents a fraction, for example for specifying a
minimum quality.
Offer requirements:
`X` is the type `Offer`
`a`, `b` are values of type `X`
`X::amount_type`
The return type of `in` and `out`
`X a;`
Constructs an uninitialized offer
`a.in();`
`a.out();
*/
/** Returns `true` if the offer is consumed. */
template <class Offer>
bool
is_offer_consumed (Offer const& offer) noexcept
{
assert ((offer.in() != 0 && offer.out() != 0) ||
(offer.in() == 0 && offer.out() == 0));
return offer.in() == 0 || offer.out() == 0;
}
//------------------------------------------------------------------------------
template <class Amount>
struct AmountTraits
{
/** Returns `true` if `lhs` is of lower quality than `rhs`. */
template <class Offer>
static
bool
less (Offer const& lhs, Offer const& rhs) noexcept
{
assert (! is_offer_consumed (lhs));
assert (! is_offer_consumed (rhs));
assert (lhs.out() != 0);
assert (rhs.out() != 0);
return (lhs.out() / lhs.in()) < (rhs.out() / rhs.in());
}
/** Calculates the result of multiplying amount by the implied ratio. */
template <class Offer>
static
typename Offer::amount_type
multiply (typename Offer::amount_type const& amount, Offer const& rate)
{
// Avoid math when result is exact
if (amount == rate.in())
return rate.out();
typename Offer::amount_type const result (
amount * (rate.out() / rate.in()));
if (result > rate.out())
return rate.out();
return result;
}
template <class Offer>
static
Offer
inverse (Offer const& value) noexcept
{
return Offer (value.out(), value.in());
}
};
/** Returns the offer that would result if the input amount is applied. */
template <class Offer>
Offer
consume_offer (
typename Offer::amount_type const& input,
Offer offer)
{
using Amount = typename Offer::amount_type;
// We need to calculate the most that we can take:
Amount const input_used (std::min (input, offer.in()));
Amount const output (AmountTraits<Amount>::multiply (input_used, offer));
offer.in() -= input_used;
offer.out() -= output;
return offer;
}
/** Fills an order amount in an order book.
@return The resulting amount of currency in and out.
*/
template <class BookIter>
typename std::iterator_traits<BookIter>::value_type
cross_offer_in (
typename std::iterator_traits<BookIter>::value_type::amount_type const& in,
typename std::iterator_traits<BookIter>::value_type const& minimum_quality,
BookIter first, BookIter last)
{
using Amount =
typename std::iterator_traits<BookIter>::value_type::amount_type;
using Offer =
typename std::iterator_traits<BookIter>::value_type;
Offer result {0, 0};
Amount remain (in);
for (auto iter (first); (result.in() < in) && (iter != last); ++iter)
{
Offer const offer (*iter);
if (AmountTraits<Amount>::less (offer, minimum_quality))
break;
Offer const offer_out (consume_offer (remain, offer));
result.in() += offer.in() - offer_out.in();
result.out() += offer.out() - offer_out.out();
*iter = offer_out;
}
return result;
}
//------------------------------------------------------------------------------
/** Returns the composite A->C from offers A->B and B->C, equal liquidity. */
template <class Offer>
Offer
make_bridged_offer (Offer const& leg1, Offer const& leg2)
{
using Amount = typename Offer::amount_type;
// Skip math if both legs can be fully consumed
if (leg1.out() == leg2.in())
return Offer (leg1.in(), leg2.out());
// If leg2 has less liquidity, scale down by leg2
if (leg1.out() > leg2.in())
return Offer (
AmountTraits<Amount>::multiply (leg2.in(),
AmountTraits<Amount>::inverse (leg1)),
leg2.out());
// leg1 has less liquidity
return Offer (leg1.in(),
AmountTraits<Amount>::multiply (leg1.out(), leg2));
}
namespace detail {
/** Presents a set of order books as a single bridged order book. */
template <class BookIter>
class MultiBookIterator
{
private:
using Amount =
typename std::iterator_traits<BookIter>::value_type::amount_type;
using Offer =
typename std::iterator_traits<BookIter>::value_type;
typedef std::is_const <
typename std::iterator_traits<BookIter>::reference
> IsConst;
struct forward_iterator_base_tag
: std::output_iterator_tag
, std::forward_iterator_tag
{
forward_iterator_base_tag()
{
}
};
struct forward_const_iterator_base_tag
: std::forward_iterator_tag
{
forward_const_iterator_base_tag()
{
}
};
template <class>
friend class MultiBookIterator;
BookIter m_direct;
BookIter m_direct_end;
BookIter m_leg1;
BookIter m_leg1_end;
BookIter m_leg2;
BookIter m_leg2_end;
bool m_bridged;
Offer m_offer;
class Proxy : public Offer
{
private:
bool m_bridged;
BookIter m_direct;
BookIter m_leg1;
BookIter m_leg2;
public:
explicit Proxy (BookIter direct)
: Offer (*direct)
, m_bridged (false)
, m_direct (direct)
{
}
Proxy (BookIter leg1, BookIter leg2)
: Offer (make_bridged_offer (*leg1, *leg2))
, m_bridged (true)
, m_leg1 (leg1)
, m_leg2 (leg2)
{
}
Proxy&
operator= (Offer const& offer)
{
if (m_bridged)
{
Offer const result (consume_offer (
offer.in(), *m_leg1));
*m_leg2 = consume_offer (
m_leg1->in() - result.in(), *m_leg2);
*m_leg1 = result;
}
else
{
*m_direct = offer;
}
((Offer&)*this) = offer;
return *this;
}
};
// Returns true if this iterator has reached the one past the end marker
bool
past_end() const noexcept
{
return
(m_direct == m_direct_end) &&
(m_leg1 == m_leg1_end || m_leg2 == m_leg2_end);
}
void
throw_if_past()
{
if (past_end())
throw std::out_of_range ("invalid iterator dereferenced");
}
// Returns true if the iterators are both equal, or both past the end
template <class Iter1, class Iter2>
static
bool
iter_eq (Iter1 iter1, Iter1 iter1_end,
Iter2 iter2, Iter2 iter2_end) noexcept
{
if (iter1 == iter1_end)
return iter2 == iter2_end;
if (iter2 == iter2_end)
return false;
return iter1 == iter2;
}
// Stores the best offer (if any) in m_offer
void
calc_offer()
{
if (past_end())
return;
// FIXME rewrite this - having 3 nested if's is overkill...
if ((m_leg1 != m_leg1_end) && (m_leg2 != m_leg2_end))
{
Offer const bridged (
make_bridged_offer (*m_leg1, *m_leg2));
if (m_direct != m_direct_end)
{
if (AmountTraits<Amount>::less (*m_direct, bridged))
{
m_bridged = true;
m_offer = bridged;
}
else
{
m_bridged = false;
m_offer = *m_direct;
}
}
else
{
m_bridged = true;
m_offer = bridged;
}
}
else
{
m_bridged = false;
m_offer = *m_direct;
}
}
public:
typedef std::ptrdiff_t difference_type;
typedef typename std::iterator_traits <
BookIter>::value_type value_type;
typedef value_type* pointer;
typedef value_type& reference;
typedef std::conditional_t <
std::is_const <std::remove_reference_t <reference>>::value,
forward_const_iterator_base_tag,
forward_iterator_base_tag> iterator_category;
MultiBookIterator () = default;
template <
class OtherBookIter,
class = std::enable_if_t <
std::is_same <value_type, typename OtherBookIter::value_type>::value
>
>
MultiBookIterator (MultiBookIterator <OtherBookIter> const& other)
: m_direct (other.m_direct)
, m_direct_end (other.m_direct_end)
, m_leg1 (other.m_leg1)
, m_leg1_end (other.m_leg1_end)
, m_leg2 (other.m_leg2)
, m_leg2_end (other.m_leg2_end)
{
}
template <
class OtherBookIter,
class = std::enable_if_t <
std::is_same <value_type, typename OtherBookIter::value_type>::value
>
>
MultiBookIterator (
OtherBookIter direct_first, OtherBookIter direct_last,
OtherBookIter leg1_first, OtherBookIter leg1_last,
OtherBookIter leg2_first, OtherBookIter leg2_last)
: m_direct (direct_first)
, m_direct_end (direct_last)
, m_leg1 (leg1_first)
, m_leg1_end (leg1_last)
, m_leg2 (leg2_first)
, m_leg2_end (leg2_last)
{
calc_offer();
}
MultiBookIterator&
operator++()
{
throw_if_past ();
if (m_direct != m_direct_end)
++m_direct;
if (m_leg1 != m_leg1_end)
++m_leg1;
if (m_leg2 != m_leg2_end)
++m_leg2;
calc_offer();
return *this;
}
MultiBookIterator
operator++(int)
{
MultiBookIterator prev (*this);
this->operator++();
return prev;
}
template <class OtherBookIter>
bool
operator== (
MultiBookIterator <OtherBookIter> const& other) const noexcept
{
if (! iter_eq (m_direct, m_direct_end,
other.m_direct, other.m_direct_end))
return false;
if (! iter_eq (m_leg1, m_leg1_end,
other.m_leg1, other.m_leg1_end))
return false;
if (! iter_eq (m_leg2, m_leg2_end,
other.m_leg2, other.m_leg2_end))
return false;
return true;
}
Offer const*
operator->() const
{
throw_if_past();
return &m_offer;
}
Offer const&
operator*() const
{
throw_if_past();
return m_offer;
}
#ifndef _MSC_VER
// This blows up Visual Studio
template <
bool MaybeConst = IsConst::value,
class = std::enable_if_t <! MaybeConst>
>
#endif
Proxy
operator*()
{
static_assert (! IsConst::value,
"invalid call of non-const member function");
throw_if_past();
if (m_bridged)
return Proxy (m_leg1, m_leg2);
return Proxy (m_direct);
}
};
template <class LeftBookIter, class RightBookIter>
bool
operator!= (
MultiBookIterator <LeftBookIter> const& lhs,
MultiBookIterator <RightBookIter> const& rhs) noexcept
{
return !(rhs == lhs);
}
} // detail
//------------------------------------------------------------------------------
// TODO Allow const Book
//
template <class Book>
class MultiBook
{
private:
static_assert (! std::is_const <Book>::value,
"Book cannot be const");
std::reference_wrapper<Book> m_direct;
std::reference_wrapper<Book> m_leg1;
std::reference_wrapper<Book> m_leg2;
public:
typedef typename Book::value_type value_type;
typedef typename Book::reference reference;
typedef typename Book::const_reference const_reference;
typedef detail::MultiBookIterator <
typename Book::iterator> iterator;
typedef detail::MultiBookIterator <
typename Book::const_iterator> const_iterator;
typedef typename Book::difference_type difference_type;
typedef typename Book::size_type size_type;
MultiBook (Book& direct, Book& leg1, Book& leg2)
: m_direct (direct)
, m_leg1 (leg1)
, m_leg2 (leg2)
{
}
bool
empty() const noexcept
{
return cbegin() == cend();
}
// Complexity: linear
size_type
size() const noexcept
{
return std::distance (cbegin(), cend());
}
iterator
begin() noexcept
{
return iterator (
m_direct.get().begin(), m_direct.get().end(),
m_leg1.get().begin(), m_leg1.get().end(),
m_leg2.get().begin(), m_leg2.get().end());
}
iterator
end() noexcept
{
return iterator (
m_direct.get().end(), m_direct.get().end(),
m_leg1.get().end(), m_leg1.get().end(),
m_leg2.get().end(), m_leg2.get().end());
}
const_iterator
begin() const noexcept
{
return const_iterator (
m_direct.get().cbegin(), m_direct.get().cend(),
m_leg1.get().cbegin(), m_leg1.get().cend(),
m_leg2.get().cbegin(), m_leg2.get().cend());
}
const_iterator
end() const noexcept
{
return const_iterator (
m_direct.get().cend(), m_direct.get().cend(),
m_leg1.get().cend(), m_leg1.get().cend(),
m_leg2.get().cend(), m_leg2.get().cend());
}
const_iterator
cbegin() const noexcept
{
return const_iterator (
m_direct.get().cbegin(), m_direct.get().cend(),
m_leg1.get().cbegin(), m_leg1.get().cend(),
m_leg2.get().cbegin(), m_leg2.get().cend());
}
const_iterator
cend() const noexcept
{
return const_iterator (
m_direct.get().cend(), m_direct.get().cend(),
m_leg1.get().cend(), m_leg1.get().cend(),
m_leg2.get().cend(), m_leg2.get().cend());
}
};
//------------------------------------------------------------------------------
template <class Book>
typename std::iterator_traits<typename Book::iterator>::value_type
cross_offer_in (
typename std::iterator_traits<
typename Book::iterator>::value_type::amount_type const& in,
typename std::iterator_traits <
typename Book::iterator>::value_type const& minimum_quality,
Book& book)
{
return cross_offer_in (in, minimum_quality, book.begin(), book.end());
}
template <class Book>
typename std::iterator_traits<typename Book::iterator>::value_type
cross_offer_in (
typename std::iterator_traits<
typename Book::iterator>::value_type::amount_type const& in,
typename std::iterator_traits<typename Book::iterator>::value_type
const& minimum_quality,
Book& direct, Book& leg1, Book& leg2)
{
MultiBook <Book> book (direct, leg1, leg2);
return cross_offer_in (in, minimum_quality, book);
}
//------------------------------------------------------------------------------
class cross_offers_test : public beast::unit_test::suite
{
public:
template <class Amount>
class OfferType
{
private:
Amount m_in;
Amount m_out;
public:
typedef Amount amount_type;
OfferType() = default;
OfferType (Amount const& in, Amount const& out) noexcept
: m_in (in)
, m_out (out)
{
assert ((m_in != 0 && m_out != 0) || (m_in == 0 && m_out == 0));
}
Amount const&
in() const noexcept
{
return m_in;
}
Amount&
in() noexcept
{
return m_in;
}
Amount const&
out() const noexcept
{
return m_out;
}
Amount&
out() noexcept
{
return m_out;
}
};
typedef double Amount;
typedef OfferType<Amount> Offer;
typedef std::vector <Offer> Book;
template <class Amount>
OfferType<Amount>
static make_offer (Amount from, Amount rate)
{
return OfferType<Amount> (from, from * rate);
}
template <class Book>
void
check_iterators (Book& b)
{
using Offer = typename Book::value_type;
// These make sure that expressions are well-formed
std::for_each (b.begin(), b.end(), [](Offer){});
std::for_each (b.cbegin(), b.cend(), [](Offer){});
{
Book const& cb (b);
std::for_each (cb.begin(), cb.end(), [](Offer){});
// Should not compile
//*cb.begin() = Book::value_type();
expect (cb.begin() == cb.end());
expect (cb.begin() == cb.cend());
}
expect (b.cbegin() == b.cend());
expect (b.begin() == b.cend());
typename Book::iterator iter;
typename Book::const_iterator citer (iter);
citer = typename Book::iterator();
}
void
test_iterators()
{
{
Book b;
check_iterators (b);
}
{
Book b1, b2, b3;
MultiBook <Book> b (b1, b2, b3);
check_iterators (b);
}
}
void
test_full_cross_auto_direct ()
{
testcase ("Autobridge (Full Direct Crossing)");
Book a_to_b;
a_to_b.push_back(make_offer(300., 2.0));
Book a_to_x;
a_to_x.push_back(make_offer(300., 0.5));
Book x_to_b;
x_to_b.push_back(make_offer(150., 0.5));
auto const rate = make_offer(50.0, 1.5);
Offer result = cross_offer_in (
50.0,
rate,
a_to_b, a_to_x, x_to_b);
expect ((result.in() == 50.0) && (result.out() == 100.0),
"Expected { 50.0 : 100.0 }");
}
void
test_full_cross_auto_bridge ()
{
testcase ("Autobridge (Full Bridge Crossing)");
Book a_to_b;
a_to_b.push_back(make_offer(300.00, 1.0));
Book a_to_x;
a_to_x.push_back(make_offer(300.00, 2.0));
Book x_to_b;
x_to_b.push_back(make_offer(300.00, 1.0));
auto const rate = make_offer(50.0, 1.5);
Offer result = cross_offer_in (
50.0,
rate,
a_to_b, a_to_x, x_to_b);
expect ((result.in() == 50.0) && (result.out() == 100.0),
"Expected { 50.0 : 100.0 }");
}
void
test_full_cross_direct ()
{
testcase ("Direct (Full Crossing)");
Book a_to_b;
a_to_b.push_back(make_offer(300.00, 2.0));
auto const rate = make_offer(50.0, 1.5);
Offer result = cross_offer_in (
50.0,
rate,
a_to_b);
expect ((result.in() == 50.0) && (result.out() == 100.0),
"Expected { 50.0 : 100.0 }");
}
void
test_partial_cross_direct ()
{
testcase ("Direct (Partial Crossing)");
Book a_to_b;
a_to_b.push_back(make_offer(25.00, 2.0));
auto const rate = make_offer(50.0, 1.5);
Offer result = cross_offer_in (
50.0,
rate,
a_to_b);
expect ((result.in() == 25.0) && (result.out() == 50.0),
"Expected { 25.0 : 50.0 }");
}
void
run()
{
test_iterators();
test_full_cross_direct ();
test_full_cross_auto_direct ();
test_full_cross_auto_bridge ();
test_partial_cross_direct ();
}
};
BEAST_DEFINE_TESTSUITE_MANUAL(cross_offers,orderbook_logic,ripple);
}
}
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