Merge pull request #3331 from vegaprotocol/feature/more-caching-orderbook

add a GetCloseoutPrice method to the caching

Author: jeremyletang

risk/engine.go

@@ -22,6 +22,7 @@ var (
 //go:generate go run github.com/golang/mock/mockgen -destination mocks/orderbook_mock.go -package mocks code.vegaprotocol.io/vega/risk Orderbook
 type Orderbook interface {
 	GetCloseoutPrice(volume uint64, side types.Side) (uint64, error)
+	GetIndicativePrice() uint64
 }
 
 // AuctionState represents the current auction state of the market, previously we got this information from the matching engine, but really... that's not its job

risk/margins_calculation.go

@@ -77,10 +77,18 @@ func (e *Engine) calculateMargins(m events.Margin, markPrice int64, rf types.Ris
 			slippagePerUnit int64
 		)
 		if slippageVolume > 0 {
-			exitPrice, err := e.ob.GetCloseoutPrice(uint64(slippageVolume), types.Side_SIDE_BUY)
-			if err != nil && e.log.GetLevel() == logging.DebugLevel {
-				e.log.Debug("got non critical error from GetCloseoutPrice for Buy side",
-					logging.Error(err))
+			var (
+				exitPrice uint64
+				err       error
+			)
+			if auction {
+				exitPrice = e.ob.GetIndicativePrice()
+			} else {
+				exitPrice, err = e.ob.GetCloseoutPrice(uint64(slippageVolume), types.Side_SIDE_BUY)
+				if err != nil && e.log.GetLevel() == logging.DebugLevel {
+					e.log.Debug("got non critical error from GetCloseoutPrice for Buy side",
+						logging.Error(err))
+				}
 			}
 			slippagePerUnit = markPrice - int64(exitPrice)
 		}
@@ -101,10 +109,18 @@ func (e *Engine) calculateMargins(m events.Margin, markPrice int64, rf types.Ris
 		)
 		// slippageVolume would be negative we abs it in the next phase
 		if slippageVolume < 0 {
-			exitPrice, err := e.ob.GetCloseoutPrice(uint64(-slippageVolume), types.Side_SIDE_SELL)
-			if err != nil && e.log.GetLevel() == logging.DebugLevel {
-				e.log.Debug("got non critical error from GetCloseoutPrice for Sell side",
-					logging.Error(err))
+			var (
+				exitPrice uint64
+				err       error
+			)
+			if auction {
+				exitPrice = e.ob.GetIndicativePrice()
+			} else {
+				exitPrice, err = e.ob.GetCloseoutPrice(uint64(-slippageVolume), types.Side_SIDE_SELL)
+				if err != nil && e.log.GetLevel() == logging.DebugLevel {
+					e.log.Debug("got non critical error from GetCloseoutPrice for Sell side",
+						logging.Error(err))
+				}
 			}
 			slippagePerUnit = -1 * (markPrice - int64(exitPrice))
 		}