Merge pull request #3378 from vegaprotocol/release/v0.35.0

Release v0.35.0

Author: jeremyletang

.spelling

@@ -11,6 +11,7 @@ base64
 blockchain
 Buf
 codegen
+cyclomatic
 datestamps
 datetime
 denylist
@@ -31,13 +32,15 @@ hotfix
 Ilya
 init
 lifecycle
+linters
 MacOSX
 MarkToMarket
 multisig
 mutex
 mutexes
 nodewallet
 notarising
+Prometheus
 proto
 protobuf
 protobufs

CHANGELOG.md

@@ -1,5 +1,33 @@
 # Changelog
 
+## 0.35.0
+*2021-04-21*
+
+### Improvements
+- [#3341](https://github.com/vegaprotocol/vega/pull/3341) - Add logging for transactions rejected for having no accounts
+- [#3339](https://github.com/vegaprotocol/vega/pull/3339) - Reimplement amending LPs not to be cancel and replace
+- [#3371](https://github.com/vegaprotocol/vega/pull/3371) - Optimise calculation of cumulative price levels
+- [#3339](https://github.com/vegaprotocol/vega/pull/3339) - Reuse LP orders IDs when they are re-created
+- [#3385](https://github.com/vegaprotocol/vega/pull/3385) - Track the time spent in auction via Prometheus metrics
+- [#3376](https://github.com/vegaprotocol/vega/pull/3376) - Implement a simple benchmarking framework for the core trading
+- [#3371](https://github.com/vegaprotocol/vega/pull/3371) - Optimize indicative price and volume calculation
+
+### Fixes
+- [#3356](https://github.com/vegaprotocol/vega/pull/3356) - Auctions are extended if exiting auction would leave either side of the book empty
+- [#3348](https://github.com/vegaprotocol/vega/pull/3348) - Correctly set time when liquidity engine is created
+- [#3321](https://github.com/vegaprotocol/vega/pull/3321) - Fix bond account use on LP submission
+- [#3369](https://github.com/vegaprotocol/vega/pull/3369) - Reimplement amending LPs not to be cancel and replace
+- [#3358](https://github.com/vegaprotocol/vega/pull/3358) - Improve event bus stability
+- [#3363](https://github.com/vegaprotocol/vega/pull/3363) - Fix behaviour when leaving auctions
+- [#3321](https://github.com/vegaprotocol/vega/pull/3321) - Do not slash bond accounts on LP submission
+- [#3350](https://github.com/vegaprotocol/vega/pull/3350) - Fix equity like share in the market data
+- [#3363](https://github.com/vegaprotocol/vega/pull/3363) - Ensure leaving an auction cannot trigger another auction / auction leave
+- [#3369](https://github.com/vegaprotocol/vega/pull/3369) - Fix LP order deployments
+- [#3366](https://github.com/vegaprotocol/vega/pull/3366) - Set the fee paid in uncrossing auction trades
+- [#3364](https://github.com/vegaprotocol/vega/pull/3364) - Improve / fix positions tracking
+- [#3358](https://github.com/vegaprotocol/vega/pull/3358) - Fix event bus by deep cloning all messages
+- [#3374](https://github.com/vegaprotocol/vega/pull/3374) - Check trades in integration tests
+
 ## 0.34.1
 
 *2021-04-08*

codingstyle.md CODING_STYLE.mdcodingstyle.md renamed to CODING_STYLE.md

@@ -1,6 +1,6 @@
 # Vega
 
-Version 0.34.1.
+Version 0.35.0.
 
 A decentralised trading platform that allows pseudo-anonymous trading of derivatives on a blockchain.
 

README.md

@@ -7,16 +7,37 @@ This document is an attempt to get the team on the same page about the refactori
   * Make the code easier to deal with.
   * Ease the addition (or update) of features.
 
+* Remove technical limitation
+* Maintainability:  Clean code / SOLID philosophy
+* Make it easier to understand
+* [The Pony philosophy](https://www.ponylang.io/discover/#the-pony-philosophy)
+
 ## How?
 * Defined how we can reach that goal.
-  * Which techniques? More domain-oriented and less "algorithmic".
+  * Which techniques?
+    * More domain-oriented and less "algorithmic". `order.IsUncrossed()` instead of `order.offet < -1`
+    * avoid graph style code, more like tree structure.
+    * SOLID
+    * clean code
+    * avoid coupling: Better interfaces, or event driven packages.
 * Defined critical code path for maximum impact.
-  * Identify the hottest path of code change.
+  * Identify the hottest path of code change :
+    * compare results with cyclomatic complexity (`gocyclo`).
+    * rate of changes of the code and files 
+    * number of import inside a file -> reveal a code smell ?
 * Defined medium to share the knowledge.
   * Create workshops on specific problems to find a solution, and be on the same page.
   * Save our decisions into a file.
+  * Use external articles on the matter. file with "do this" and "don't do this".
 
 ## When?
+
+Be discussed before being addressed.
+
+Verify the test coverage (coverage is not everything) before refactor.
+
+Beware of refactoring scope to not go too far, and cause conflict.
+
 ### Opportunistic refactoring
 It's done along the way.
 
@@ -43,3 +64,10 @@ Basically, the boy scout's rule.
 
 * How to avoid overlapping with someone else?
 * Into the same PR as the one of the feature or a different one?
+
+## Planing
+
+1. find a tool to highlight hot code path
+2. Bootstrap files for coding style, convention and stuff.
+3. Find the biggest offenders and start from there to build our guideline.
+4. `golangci` : Use linters to get more insight on smells.

REFACTORING.md

@@ -15,7 +15,7 @@ type Config struct {
 
 // NewDefaultConfig creates an instance of the package specific configuration, given a
 // pointer to a logger instance to be used for logging within the package.
-func NewDefaultConfig(defaultRootPath string) Config {
+func NewDefaultConfig() Config {
 	return Config{
 		Level: encoding.LogLevel{Level: logging.InfoLevel},
 	}

assets/config.go

@@ -0,0 +1,92 @@
+{
+  "id": "076BB86A5AA41E3E",
+  "tradableInstrument": {
+    "instrument": {
+      "id": "unused-id",
+      "code": "BTCUSD.MF21",
+      "name": "BTCUSD Monthly (30 Jun 2021)",
+      "metadata": {
+        "tags": [
+          "base:BTC",
+          "quote:USD",
+          "class:fx/crypto",
+          "monthly",
+          "sector:crypto"
+        ]
+      },
+      "future": {
+        "maturity": "2021-06-30T23:59:59Z",
+        "settlementAsset": "fDAI",
+        "quoteName": "USD",
+        "oracleSpec": {
+          "pubKeys": [
+            "0x51a3a77554709b5db7b769d4376560ad6398c7b08380b5a3e49bda1236697f4f"
+          ],
+          "filters": [
+            {
+              "key": {
+                "name": "prices.BTC.value",
+                "type": "TYPE_INTEGER"
+              },
+              "conditions": [
+              ]
+            }
+          ]
+        },
+        "oracleSpecBinding": {
+          "settlementPriceProperty": "prices.BTC.value"
+        }
+      }
+    },
+    "marginCalculator": {
+      "scalingFactors": {
+        "searchLevel": 1.1,
+        "initialMargin": 1.2,
+        "collateralRelease": 1.5
+      }
+    },
+    "logNormalRiskModel": {
+      "riskAversionParameter": 0.0001,
+      "tau": 0.0000190129,
+      "params": {
+        "mu": 0,
+        "r": 0.016,
+        "sigma": 1.25
+      }
+    }
+  },
+  "decimalPlaces": "5",
+  "fees": {
+    "factors": {
+      "makerFee": "0.00075",
+      "infrastructureFee": "0.00175",
+      "liquidityFee": "0.0025"
+    }
+  },
+  "openingAuction": {
+    "duration": "10",
+    "volume": "0"
+  },
+  "priceMonitoringSettings": {
+    "parameters": {
+      "triggers": [
+        {
+          "horizon": 43200,
+          "probability": 0.9999999,
+          "auctionExtension": 600
+        }
+      ]
+    },
+    "updateFrequency": "1"
+  },
+  "continuous": {
+    "tickSize": "0.00001"
+  },
+  "liquidityMonitoringParameters": {
+    "targetStakeParameters": {
+      "timeWindow": "3600",
+      "scalingFactor": 10
+    },
+    "triggeringRatio": 0
+  }
+}

cmd/vegabenchmark/configs/076BB86A5AA41E3E.json

@@ -0,0 +1,92 @@
+{
+  "id": "1F0BB6EB5703B099",
+  "tradableInstrument": {
+    "instrument": {
+      "id": "unused-id",
+      "code": "ETHBTC.QM21",
+      "name": "ETHBTC Quarterly (30 Jun 2021)",
+      "metadata": {
+        "tags": [
+          "base:ETH",
+          "quote:BTC",
+          "class:fx/crypto",
+          "quarterly",
+          "sector:crypto"
+        ]
+      },
+      "future": {
+        "maturity": "2021-06-30T23:59:59Z",
+        "settlementAsset": "fBTC",
+        "quoteName": "BTC",
+        "oracleSpec": {
+          "pubKeys": [
+            "0x51a3a77554709b5db7b769d4376560ad6398c7b08380b5a3e49bda1236697f4f"
+          ],
+          "filters": [
+            {
+              "key": {
+                "name": "prices.ETH.value",
+                "type": "TYPE_INTEGER"
+              },
+              "conditions": [
+              ]
+            }
+          ]
+        },
+        "oracleSpecBinding": {
+          "settlementPriceProperty": "prices.ETH.value"
+        }
+      }
+    },
+    "marginCalculator": {
+      "scalingFactors": {
+        "searchLevel": 1.025,
+        "initialMargin": 1.05,
+        "collateralRelease": 1.1
+      }
+    },
+    "logNormalRiskModel": {
+      "riskAversionParameter": 0.01,
+      "tau": 0.0001140771161,
+      "params": {
+        "mu": 0,
+        "r": 0.016,
+        "sigma": 0.3
+      }
+    }
+  },
+  "decimalPlaces": "5",
+  "fees": {
+    "factors": {
+      "makerFee": "0.00075",
+      "infrastructureFee": "0.00175",
+      "liquidityFee": "0.0025"
+    }
+  },
+  "openingAuction": {
+    "duration": "10",
+    "volume": "0"
+  },
+  "priceMonitoringSettings": {
+    "parameters": {
+      "triggers": [
+        {
+          "horizon": 43200,
+          "probability": 0.9999999,
+          "auctionExtension": 600
+        }
+      ]
+    },
+    "updateFrequency": "1"
+  },
+  "continuous": {
+    "tickSize": "0.00001"
+  },
+  "liquidityMonitoringParameters": {
+    "targetStakeParameters": {
+      "timeWindow": "3600",
+      "scalingFactor": 10
+    },
+    "triggeringRatio": 0
+  }
+}