Closed ericsharma closed 1 year ago
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Looks good. Assuming you tested this as well?
Yeah I tested it so say you were executing a taker buy order of 953.5202 algo
, for the taker execution section we will increase the price to 953.5202009999999
that way we don't miss any potential trades when filtering the orderbook. If there is any remainder after taker execution we set the price back to the original, user inputted price of 953.5202 algo
The interesting thing about this is that the compile step normalizes the variations in the unformatted price so when you look at the actual orderbookentry and compare the n
and d
they are the same. We just happen to do some preliminary filtering with the unformatted price before normalizing with compile.
ℹ Overview
Temporarily bump the unformatted price of taker orders because taker execution does an initial filtering of potential orders based on the unformatted price and the unformatted price of bot orders could be of a higher precision than that of unformatted prices placed on the front end.
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