Update TWAP Parent Store when Suborder is a Maker (backport #3094) (#3236)

Co-authored-by: anmolagrawal345 <anmolagrawal345@gmail.com>

Author: mergify[bot]

protocol/x/clob/e2e/twap_orders_test.go

@@ -344,6 +344,170 @@ func TestTWAPOrderWithMatchingOrders(t *testing.T) {
 	require.Equal(t, ctx.BlockTime().Unix()+int64(twapOrder.TwapParameters.Interval), triggerTime)
 }
 
+func TestTWAPOrderWithMatchingOrdersWhereTWAPOrderIsMaker(t *testing.T) {
+	tApp := testapp.NewTestAppBuilder(t).Build()
+	ctx := tApp.InitChain()
+
+	// Place a TWAP order to buy 100B quantums over 4 legs
+	twapOrder := clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: constants.Alice_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_Twap,
+			ClobPairId:   0,
+		},
+		Side:     clobtypes.Order_SIDE_BUY,
+		Quantums: 100_000_000_000, // 100B quantums
+		Subticks: 200_000_000,     // $20,000 per oracle price
+		TwapParameters: &clobtypes.TwapParameters{
+			Duration:       320,
+			Interval:       80,
+			PriceTolerance: 10_000,
+		},
+		GoodTilOneof: &clobtypes.Order_GoodTilBlockTime{
+			GoodTilBlockTime: uint32(ctx.BlockTime().Unix() + 100),
+		},
+	}
+
+	// Place a matching sell order at the same price
+	matchingOrder := clobtypes.Order{
+		OrderId: clobtypes.OrderId{
+			SubaccountId: constants.Bob_Num0,
+			ClientId:     0,
+			OrderFlags:   clobtypes.OrderIdFlags_LongTerm,
+			ClobPairId:   0,
+		},
+		Side:     clobtypes.Order_SIDE_SELL,
+		Quantums: 50_000_000_000, // 50B quantums
+		Subticks: 200_000_000,    // $20,000 per oracle price
+		GoodTilOneof: &clobtypes.Order_GoodTilBlockTime{
+			GoodTilBlockTime: uint32(ctx.BlockTime().Unix() + 3600),
+		},
+	}
+
+	// Place the TWAP order so the first suborder is resting on the book
+	for _, checkTx := range testapp.MustMakeCheckTxsWithClobMsg(
+		ctx,
+		tApp.App,
+		*clobtypes.NewMsgPlaceOrder(twapOrder),
+	) {
+		resp := tApp.CheckTx(checkTx)
+		require.True(t, resp.IsOK(), "Expected CheckTx to succeed. Response: %+v", resp)
+	}
+
+	suborderId := clobtypes.OrderId{
+		SubaccountId: constants.Alice_Num0,
+		ClientId:     0,
+		OrderFlags:   clobtypes.OrderIdFlags_TwapSuborder,
+		ClobPairId:   0,
+	}
+
+	ctx = tApp.AdvanceToBlock(2, testapp.AdvanceToBlockOptions{})
+
+	// Place market order sell order as a taker order
+	for _, checkTx := range testapp.MustMakeCheckTxsWithClobMsg(
+		ctx,
+		tApp.App,
+		*clobtypes.NewMsgPlaceOrder(matchingOrder),
+	) {
+		resp := tApp.CheckTx(checkTx)
+		require.True(t, resp.IsOK(), "Expected CheckTx to succeed. Response: %+v", resp)
+	}
+
+	ctx = tApp.AdvanceToBlock(3, testapp.AdvanceToBlockOptions{})
+
+	ctx = tApp.AdvanceToBlock(4, testapp.AdvanceToBlockOptions{
+		BlockTime: ctx.BlockTime().Add(time.Second * 40),
+		RequestPrepareProposalTxsOverride: [][]byte{
+			testtx.MustGetTxBytes(&clobtypes.MsgProposedOperations{
+				OperationsQueue: []clobtypes.OperationRaw{
+					clobtestutils.NewMatchOperationRaw(
+						&clobtypes.Order{
+							OrderId:  matchingOrder.OrderId,
+							Side:     clobtypes.Order_SIDE_SELL,
+							Quantums: 50_000_000_000,
+							Subticks: 200_000_000,
+						},
+						[]clobtypes.MakerFill{
+							{
+								FillAmount:   25_000_000_000,
+								MakerOrderId: suborderId,
+							},
+						},
+					),
+				},
+			}),
+		},
+	})
+
+	// Verify TWAP order state is updated
+	twapOrderPlacement, found := tApp.App.ClobKeeper.GetTwapOrderPlacement(
+		ctx,
+		twapOrder.OrderId,
+	)
+	require.True(t, found, "TWAP order placement should exist")
+	require.Equal(t, uint32(3), twapOrderPlacement.RemainingLegs)
+	require.Equal(t, uint64(75_000_000_000), twapOrderPlacement.RemainingQuantums) // 100B - 25B filled
+
+	_, triggerTime, found1 := tApp.App.ClobKeeper.GetTwapTriggerPlacement(
+		ctx,
+		suborderId,
+	)
+	require.True(t, found1, "Second suborder should exist in trigger store")
+
+	require.Equal(t, int64(80), triggerTime)
+
+	_, placed_suborder1_found := tApp.App.ClobKeeper.MemClob.GetOrder(suborderId)
+	require.False(t, placed_suborder1_found, "Second suborder should not have been placed yet")
+
+	ctx = tApp.AdvanceToBlock(5, testapp.AdvanceToBlockOptions{
+		BlockTime: ctx.BlockTime().Add(time.Second * 40),
+	})
+
+	filled_amount := tApp.App.ClobKeeper.MemClob.GetOrderFilledAmount(ctx, suborderId)
+	require.Equal(t, uint64(25_000_000_000), filled_amount.ToUint64())
+
+	ctx = tApp.AdvanceToBlock(6, testapp.AdvanceToBlockOptions{
+		BlockTime: ctx.BlockTime().Add(time.Second * 0),
+		RequestPrepareProposalTxsOverride: [][]byte{
+			testtx.MustGetTxBytes(&clobtypes.MsgProposedOperations{
+				OperationsQueue: []clobtypes.OperationRaw{
+					clobtestutils.NewMatchOperationRaw(
+						&clobtypes.Order{
+							OrderId:  suborderId,
+							Side:     clobtypes.Order_SIDE_BUY,
+							Quantums: 25_000_000_000,
+							Subticks: 200_000_000,
+						},
+						[]clobtypes.MakerFill{
+							{
+								FillAmount:   25_000_000_000,
+								MakerOrderId: matchingOrder.OrderId,
+							},
+						},
+					),
+				},
+			}),
+		},
+	})
+
+	// Verify TWAP order state is updated again
+	twapOrderPlacement, found = tApp.App.ClobKeeper.GetTwapOrderPlacement(
+		ctx,
+		twapOrder.OrderId,
+	)
+	require.True(t, found, "TWAP order placement should still exist")
+	require.Equal(t, uint32(2), twapOrderPlacement.RemainingLegs)
+	require.Equal(t, uint64(50_000_000_000), twapOrderPlacement.RemainingQuantums) // 75B - 25B filled
+
+	_, triggerTime, found2 := tApp.App.ClobKeeper.GetTwapTriggerPlacement(
+		ctx,
+		suborderId,
+	)
+	require.True(t, found2, "Third suborder should exist in trigger store")
+	require.Equal(t, ctx.BlockTime().Unix()+int64(twapOrder.TwapParameters.Interval), triggerTime)
+}
+
 func TestTwapOrderStopsPlacingSubordersWhenCollateralIsDepleted(t *testing.T) {
 	tApp := testapp.NewTestAppBuilder(t).Build()
 	ctx := tApp.InitChain()

protocol/x/clob/keeper/process_single_match.go

@@ -299,25 +299,16 @@ func (k Keeper) ProcessSingleMatch(
 		curMakerPruneableBlockHeight,
 	)
 
+	// Check and update the remaining TWAP quantity for both maker and taker orders.
+	makerOrder := matchWithOrders.MakerOrder.MustGetOrder()
+	if err := k.checkAndUpdateTWAPOrderRemainingQuantity(ctx, makerOrder.OrderId, fillAmount); err != nil {
+		return false, takerUpdateResult, makerUpdateResult, affiliateRevSharesQuoteQuantums, err
+	}
+
 	if !matchWithOrders.TakerOrder.IsLiquidation() {
 		takerOrder := matchWithOrders.TakerOrder.MustGetOrder()
-		if takerOrder.OrderId.IsTwapSuborder() {
-			// Get the parent order ID by removing the TWAP suborder flag
-			parentOrderId := types.OrderId{
-				SubaccountId: takerOrder.OrderId.SubaccountId,
-				ClientId:     takerOrder.OrderId.ClientId,
-				OrderFlags:   types.OrderIdFlags_Twap, // Set directly to TWAP
-				ClobPairId:   takerOrder.OrderId.ClobPairId,
-			}
-
-			// Update the parent TWAP order state
-			if err := k.UpdateTWAPOrderRemainingQuantityOnFill(
-				ctx,
-				parentOrderId,
-				fillAmount.ToUint64(),
-			); err != nil {
-				return false, takerUpdateResult, makerUpdateResult, affiliateRevSharesQuoteQuantums, err
-			}
+		if err := k.checkAndUpdateTWAPOrderRemainingQuantity(ctx, takerOrder.OrderId, fillAmount); err != nil {
+			return false, takerUpdateResult, makerUpdateResult, affiliateRevSharesQuoteQuantums, err
 		}
 	}
 
@@ -707,3 +698,22 @@ func getUpdatedOrderFillAmount(
 
 	return satypes.BaseQuantums(bigNewFillAmount.Uint64()), nil
 }
+
+func (k Keeper) checkAndUpdateTWAPOrderRemainingQuantity(
+	ctx sdk.Context,
+	orderId types.OrderId,
+	fillAmount satypes.BaseQuantums,
+) error {
+	if orderId.IsTwapSuborder() {
+		parentOrderId := types.OrderId{
+			SubaccountId: orderId.SubaccountId,
+			ClientId:     orderId.ClientId,
+			OrderFlags:   types.OrderIdFlags_Twap, // Set directly to TWAP
+			ClobPairId:   orderId.ClobPairId,
+		}
+		if err := k.UpdateTWAPOrderRemainingQuantityOnFill(ctx, parentOrderId, fillAmount.ToUint64()); err != nil {
+			return err
+		}
+	}
+	return nil
+}