improve precision for BTC markets, can still improve precision further (related to #405)

Author: nikhilsaraf

model/number.go

@@ -4,6 +4,7 @@ import (
 	"fmt"
 	"log"
 	"math"
+	"math/big"
 	"strconv"
 
 	"github.com/stellar/go/price"
@@ -19,7 +20,8 @@ var NumberConstants = struct {
 }
 
 // InvertPrecision is the precision of the number after it is inverted
-const InvertPrecision = 15
+// this is only 11 becuase if we keep it larger such as 15 then inversions are inaccurate for larger numbers such as inverting 0.00002
+const InvertPrecision = 11
 
 // InternalCalculationsPrecision is the precision to be used for internal calculations in a function
 const InternalCalculationsPrecision = 15
@@ -157,7 +159,19 @@ func InvertNumber(n *Number) *Number {
 	if n == nil {
 		return nil
 	}
-	return NumberFromFloat(1.0/n.AsFloat(), InvertPrecision)
+
+	// return 0 for the inverse of 0 to keep it safe
+	if n.AsFloat() == 0 {
+		log.Printf("trying to invert the number 0, returning the same number to keep it safe")
+		return n
+	}
+
+	bigNum := big.NewRat(1, 1)
+	bigNum = bigNum.SetFloat64(n.AsFloat())
+	bigInv := bigNum.Inv(bigNum)
+
+	bigInvFloat64, _ := bigInv.Float64()
+	return NumberFromFloat(bigInvFloat64, InvertPrecision)
 }
 
 // NumberByCappingPrecision returns a number with a precision that is at max the passed in precision
@@ -174,8 +188,7 @@ func round(num float64, rounding Rounding) int64 {
 	} else if rounding == RoundTruncate {
 		return int64(num)
 	} else {
-		// error
-		return -1
+		panic(fmt.Sprintf("unknown rounding type %v", rounding))
 	}
 }
 
@@ -189,8 +202,26 @@ const (
 )
 
 func toFixed(num float64, precision int8, rounding Rounding) float64 {
-	output := math.Pow(10, float64(precision))
-	return float64(round(num*output, rounding)) / output
+	bigNum := big.NewRat(1, 1)
+	bigNum = bigNum.SetFloat64(num)
+	bigPow := big.NewRat(1, 1)
+	bigPow = bigPow.SetFloat64(math.Pow(10, float64(precision)))
+
+	// multiply
+	bigMultiply := bigNum.Mul(bigNum, bigPow)
+
+	// convert to int after rounding
+	bigMultiplyFloat64, _ := bigMultiply.Float64()
+	roundedInt64 := round(bigMultiplyFloat64, rounding)
+	bigMultiplyIntFloat64 := big.NewRat(1, 1)
+	bigMultiplyIntFloat64 = bigMultiplyIntFloat64.SetInt64(roundedInt64)
+
+	// divide it
+	bigPowInverse := bigPow.Inv(bigPow)
+	bigResult := bigMultiply.Mul(bigMultiplyIntFloat64, bigPowInverse)
+
+	br, _ := bigResult.Float64()
+	return br
 }
 
 func minPrecision(n1 Number, n2 Number) int8 {

model/number_test.go

@@ -39,6 +39,11 @@ func TestNumberFromFloat(t *testing.T) {
 			precision:  1,
 			wantString: "0.1",
 			wantFloat:  0.1,
+		}, {
+			f:          50000.0,
+			precision:  14,
+			wantString: "50000.00000000000000",
+			wantFloat:  50000.0,
 		},
 	}
 
@@ -103,6 +108,68 @@ func TestNumberFromFloatRoundTruncate(t *testing.T) {
 	}
 }
 
+func TestToFixed(t *testing.T) {
+	testCases := []struct {
+		num       float64
+		precision int8
+		rounding  Rounding
+		wantOut   float64
+	}{
+		// precision 5
+		{
+			num:       50000.12345,
+			precision: 5,
+			rounding:  RoundUp,
+			wantOut:   50000.12345,
+		}, {
+			num:       50000.12345,
+			precision: 5,
+			rounding:  RoundTruncate,
+			wantOut:   50000.12345,
+		}, {
+			num:       0.00002,
+			precision: 5,
+			rounding:  RoundUp,
+			wantOut:   0.00002,
+		}, {
+			num:       0.00002,
+			precision: 5,
+			rounding:  RoundTruncate,
+			wantOut:   0.00002,
+		},
+		// precision 4
+		{
+			num:       50000.12345,
+			precision: 4,
+			rounding:  RoundUp,
+			wantOut:   50000.1235,
+		}, {
+			num:       50000.12345,
+			precision: 4,
+			rounding:  RoundTruncate,
+			wantOut:   50000.1234,
+		}, {
+			num:       0.00002,
+			precision: 4,
+			rounding:  RoundUp,
+			wantOut:   0.0000, // we do not round the 2 up, if it was a 5 then we would round it up
+		}, {
+			num:       0.00002,
+			precision: 4,
+			rounding:  RoundTruncate,
+			wantOut:   0.0000,
+		},
+	}
+
+	for i, k := range testCases {
+		t.Run(fmt.Sprintf("%d", i), func(t *testing.T) {
+			actual := toFixed(k.num, k.precision, k.rounding)
+
+			assert.Equal(t, k.wantOut, actual)
+		})
+	}
+}
+
 func TestMath(t *testing.T) {
 	testCases := []struct {
 		n1                        *Number
@@ -301,7 +368,12 @@ func TestUnaryOperations(t *testing.T) {
 			n:          NumberFromFloat(0.2812, 3),
 			wantAbs:    0.281,
 			wantNegate: -0.281,
-			wantInvert: 3.558718861209964,
+			wantInvert: 3.55871886121,
+		}, {
+			n:          NumberFromFloat(0.00002, 10),
+			wantAbs:    0.00002,
+			wantNegate: -0.00002,
+			wantInvert: 50000.0,
 		},
 	}
 
@@ -321,7 +393,7 @@ func TestUnaryOperations(t *testing.T) {
 			if !assert.Equal(t, kase.wantInvert, inverted.AsFloat()) {
 				return
 			}
-			if !assert.Equal(t, int8(15), inverted.precision) {
+			if !assert.Equal(t, int8(11), inverted.precision) {
 				return
 			}
 		})

plugins/batchedExchange_test.go

@@ -0,0 +1,50 @@
+package plugins
+
+import (
+	"fmt"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/stellar/go/txnbuild"
+	"github.com/stellar/kelp/model"
+	"github.com/stellar/kelp/support/utils"
+)
+
+func TestManageOffer2Order(t *testing.T) {
+	testCases := []struct {
+		op         *txnbuild.ManageSellOffer
+		oc         *model.OrderConstraints
+		wantAction model.OrderAction
+		wantAmount float64
+		wantPrice  float64
+	}{
+		{
+			op:         makeSellOpAmtPrice(0.0018, 50500.0),
+			oc:         model.MakeOrderConstraints(2, 4, 0.001),
+			wantAction: model.OrderActionSell,
+			wantAmount: 0.0018,
+			wantPrice:  50500.0,
+		}, {
+			op:         makeBuyOpAmtPrice(0.0018, 50500.0),
+			oc:         model.MakeOrderConstraints(2, 4, 0.001),
+			wantAction: model.OrderActionBuy,
+			wantAmount: 0.0018,
+			// 1/50500.0 = 0.000019801980198, we need to reduce it to 7 decimals precision because of sdex op, giving 0.0000198 which when inverted is 50505.05 at price precision = 2
+			wantPrice: 50505.05,
+		},
+	}
+
+	for _, k := range testCases {
+		baseAsset := utils.Asset2Asset2(testBaseAsset)
+		quoteAsset := utils.Asset2Asset2(testQuoteAsset)
+		order, e := manageOffer2Order(k.op, baseAsset, quoteAsset, k.oc)
+		if !assert.NoError(t, e) {
+			return
+		}
+
+		assert.Equal(t, k.wantAction, order.OrderAction, fmt.Sprintf("expected '%s' but got '%s'", k.wantAction.String(), order.OrderAction.String()))
+		assert.Equal(t, k.wantPrice, order.Price.AsFloat())
+		assert.Equal(t, k.wantAmount, order.Volume.AsFloat())
+	}
+}