Volume matching

.circleci/config.yml

@@ -20,7 +20,11 @@ jobs:
           name: install dependencies
           # The "--editable" option is needed until we resolve issue #377.
           # See https://github.com/initc3/HoneyBadgerMPC/issues/377 for more info.
-          command: mkdir -p /var/log/hbmpc && pip install --editable .[docs]
+          command: |
+              make -C apps/asynchromix/cpp
+              pip install -v pairing/
+              mkdir -p /var/log/hbmpc
+              pip install --editable .[docs]
 
       - save_cache:
           paths:

.gitignore

@@ -141,3 +141,5 @@ sharedata/
 
 .ci/deploy_key
 .ci/deploy_key.pub
+# Intellij
+.idea/

Makefile

@@ -2,12 +2,8 @@
 .DEFAULT_GOAL := help
 
 define BROWSER_PYSCRIPT
-import os, webbrowser, sys
 
-try:
-	from urllib import pathname2url
-except:
-	from urllib.request import pathname2url
+import sys, webbrowser
 
 webbrowser.open("http://localhost:58888/" + sys.argv[1])
 endef
@@ -22,7 +18,9 @@ for line in sys.stdin:
 		target, help = match.groups()
 		print("%-20s %s" % (target, help))
 endef
+
 export PRINT_HELP_PYSCRIPT
+
 BROWSER := python -c "$$BROWSER_PYSCRIPT"
 
 help:

apps/auctions/volume_matching.py

@@ -0,0 +1,346 @@
+# Original code was written by Harjasleen Malvai
+
+"""
+In volume matching auction, buy and sell orders are matched only on volume
+while price is determined by reference to some external market.
+"""
+
+import asyncio
+import logging
+
+from honeybadgermpc.mpc import TaskProgramRunner
+from honeybadgermpc.preprocessing import (
+    PreProcessedElements as FakePreProcessedElements,
+)
+from honeybadgermpc.progs.fixedpoint import FixedPoint
+from honeybadgermpc.progs.mixins.share_arithmetic import (
+    BeaverMultiply,
+    BeaverMultiplyArrays,
+    MixinConstants,
+)
+
+config = {
+    MixinConstants.MultiplyShareArray: BeaverMultiplyArrays(),
+    MixinConstants.MultiplyShare: BeaverMultiply(),
+}
+
+
+async def compute_bids(ctx, balances, bids, price):
+    """Compute all valid bids for each user.
+    According to current market price, a bid becomes invalid
+    if the user doesn't have enough balance to pay for this bid.
+    We only keep valid bids and classify them into
+    buy bids(volume > 0) and sell bids(volume < 0).
+    Invalid bids will be discarded after executing this function.
+
+    Parameters
+    ----------
+    balances : dict of dict
+        Dictionary of the form: ``{address: {cointype: balance}}``.
+        Address is a string representing
+        the public address of the user.
+        Cointype is a string.
+        Now we only support two cointypes, 'eth' and 'erc20'.
+        Balance is a FixedPoint number.
+    bids : list of tuple
+        A list of bids.
+        Each bid is a tuple of two elements ``(address, volume)``,
+        the address of the owner and the volume of this bid.
+        Address is a string and volume is a FixedPoint number.
+        When volume is larger than zero, this bid is a buy bid,
+        which means the owner wants to buy 'volume' units of tokens
+        with 'volume * price' units of ETH.
+        When volume is less than zero, the bid is a sell bid,
+        which means the owner wants to sell 'volume' units of tokens
+        for 'volume * price' units of ETH.
+    price : FixedPoint
+        In volume matching, price is determined by reference
+        to some external lit market. Price is how many units of ETH
+        have the same value as one unit of token.
+
+    Returns
+    -------
+    buys : list of tuple
+        List of valid buy orders ``(address, volume)``.
+    sells : list of tuple
+        List of valid sell orders ``(address, volume)``.
+        Since we have separated buy and sell bids,
+        now every sell bid has volume larger than zero.
+    """
+
+    one = ctx.Share(1)
+    zero = ctx.Share(0)
+    fp_zero = FixedPoint(ctx, zero)
+
+    used_balances = {}
+    # TODO for key in balances:
+    for key in balances.keys():
+        used_balances[key] = {
+            "eth": create_clear_share(ctx, 0),
+            "erc20": create_clear_share(ctx, 0),
+        }
+
+    buys = []
+    sells = []
+
+    for bid in bids:
+        addr, vol = bid
+
+        is_sell = await vol.ltz()
+        is_buy = one - is_sell
+
+        sell_vol = fp_zero - FixedPoint(ctx, await (is_sell * vol.share))
+        buy_vol = FixedPoint(ctx, await (is_buy * vol.share))
+
+        is_sell_vol_valid = one - await balances[addr]["erc20"].lt(
+            sell_vol + used_balances[addr]["erc20"]
+        )
+        is_buy_vol_valid = one - await balances[addr]["eth"].lt(
+            (await buy_vol.__mul__(price)) + used_balances[addr]["eth"]
+        )
+
+        fp_is_sell_vol_valid = FixedPoint(ctx, is_sell_vol_valid * 2 ** 32)
+        fp_is_buy_vol_valid = FixedPoint(ctx, is_buy_vol_valid * 2 ** 32)
+
+        sell_vol = await fp_is_sell_vol_valid.__mul__(sell_vol)
+        buy_vol = await fp_is_buy_vol_valid.__mul__(buy_vol)
+
+        sells.append((addr, sell_vol))
+        buys.append((addr, buy_vol))
+
+        used_balances[addr]["erc20"] = used_balances[addr]["erc20"] + sell_vol
+        used_balances[addr]["eth"] = used_balances[addr]["eth"] + (
+            await buy_vol.__mul__(price)
+        )
+
+    return buys, sells
+
+
+async def volume_matching(ctx, buys, sells):
+    """Given all valid buy and sell bids,
+    this function runs the volume matching algorithm,
+    where buy and sell bids are matched only on volume
+    with no price information considered.
+    First we compute the total amount to be matched,
+    i.e., the smaller one between total buy volume
+    and total sell volume.
+    Then we match for buy bids and sell bids respectively.
+    After matching, each bid is split into matched and rest part.
+    This function returns four lists of bids,
+    where matched_buys + res_buys = buys and
+    matched_sells + res_sells = sells.
+
+    Parameters
+    ----------
+    buys : list of tuple
+        List of valid buy orders. An order is a 2-tuple:
+        ``(address, volume)``.
+    sells : list of tuple
+        List of valid sell orders. An order is a 2-tuple:
+        ``(address, volume)``.
+
+    Returns
+    -------
+    matched_buys : list of tuple
+        The matched part of each buy orders.
+    matched_sells : list of tuple
+        The matched part of each sell orders.
+    res_buys : list of tuple
+        The unmatched part of each buy orders.
+    res_sells : list of tuple
+        The unmatched part of each sell orders.
+    """
+
+    zero = ctx.Share(0)
+    fp_zero = FixedPoint(ctx, zero)
+
+    # compute total amount of volume to be matched
+    matched_buys, matched_sells = [], []
+    res_buys, res_sells = [], []
+
+    total_sells = fp_zero
+    for sell in sells:
+        total_sells = total_sells + sell[1]
+
+    total_buys = fp_zero
+    for buy in buys:
+        total_buys = total_buys + buy[1]
+
+    f = await total_buys.lt(total_sells)
+    fp_f = FixedPoint(ctx, f * 2 ** 32)
+    matching_volume = (await (total_buys - total_sells).__mul__(fp_f)) + total_sells
+
+    # match for sell bids
+    rest_volume = matching_volume
+    for sell in sells:
+        addr, sell_vol = sell
+
+        z1 = await fp_zero.lt(rest_volume)
+        fp_z1 = FixedPoint(ctx, z1 * 2 ** 32)
+        z2 = await rest_volume.lt(sell_vol)
+        fp_z2 = FixedPoint(ctx, z2 * 2 ** 32)
+
+        matched_vol = await (
+            (await (rest_volume - sell_vol).__mul__(fp_z2)) + sell_vol
+        ).__mul__(fp_z1)
+        rest_volume = rest_volume - matched_vol
+
+        matched_sells.append([addr, matched_vol])
+        res_sells.append([addr, sell_vol - matched_vol])
+
+    # match for buy bids
+    rest_volume = matching_volume
+    for buy in buys:
+        addr, buy_vol = buy
+
+        z1 = await fp_zero.lt(rest_volume)
+        fp_z1 = FixedPoint(ctx, z1 * 2 ** 32)
+        z2 = await rest_volume.lt(buy_vol)
+        fp_z2 = FixedPoint(ctx, z2 * 2 ** 32)
+
+        matched_vol = await (
+            (await (rest_volume - buy_vol).__mul__(fp_z2)) + buy_vol
+        ).__mul__(fp_z1)
+        rest_volume = rest_volume - matched_vol
+
+        matched_buys.append([addr, matched_vol])
+        res_buys.append([addr, buy_vol - matched_vol])
+
+    return matched_buys, matched_sells, res_buys, res_sells
+
+
+async def compute_new_balances(balances, matched_buys, matched_sells, price):
+    """Update balances for each user after volume matching
+
+    Parameters
+    ----------
+    balances : dict of dict
+        Balances of users before matching.
+        The dict is of the form: ``{address: {cointype: balance}}``,
+        same as in the :func:`compute_bids` function.
+    matched_buys : list of tuple
+        List of matched buy bids.
+    matched_sells : list of tuple
+        List of matched sell bids.
+    price: FixedPoint
+        External market price
+
+    Returns
+    -------
+    balances : dict of dict
+        Updated balances after matching.
+    """
+
+    for sell in matched_sells:
+        addr, vol = sell
+
+        balances[addr]["erc20"] = balances[addr]["erc20"] - vol
+        balances[addr]["eth"] = balances[addr]["eth"] + (await vol.__mul__(price))
+
+    for buy in matched_buys:
+        addr, vol = buy
+
+        balances[addr]["eth"] = balances[addr]["eth"] - (await vol.__mul__(price))
+        balances[addr]["erc20"] = balances[addr]["erc20"] + vol
+
+    return balances
+
+
+def create_secret_share(ctx, x):
+    return FixedPoint(ctx, ctx.Share(x * 2 ** 32) + ctx.preproc.get_zero(ctx))
+
+
+def create_clear_share(ctx, x):
+    return FixedPoint(ctx, ctx.Share(x * 2 ** 32))
+
+
+async def prog(ctx):
+    ctx.preproc = FakePreProcessedElements()
+
+    price = create_clear_share(ctx, 3)
+
+    balances = {}
+    balances["0x125"] = {
+        "eth": create_clear_share(ctx, 15),
+        "erc20": create_clear_share(ctx, 1),
+    }
+    balances["0x127"] = {
+        "eth": create_clear_share(ctx, 18),
+        "erc20": create_clear_share(ctx, 0),
+    }
+    balances["0x128"] = {
+        "eth": create_clear_share(ctx, 2),
+        "erc20": create_clear_share(ctx, 3),
+    }
+    balances["0x129"] = {
+        "eth": create_clear_share(ctx, 0),
+        "erc20": create_clear_share(ctx, 15),
+    }
+
+    _balances = [
+        (await x["eth"].open(), await x["erc20"].open()) for x in balances.values()
+    ]
+    logging.info(f"balances initial {_balances}")
+
+    bids = []
+    bids.append(["0x125", create_secret_share(ctx, 5)])
+    bids.append(["0x127", create_secret_share(ctx, 7)])
+    bids.append(["0x128", create_secret_share(ctx, -3)])
+    bids.append(["0x129", create_secret_share(ctx, -11)])
+    buys, sells = await compute_bids(ctx, balances, bids, price)
+
+    _buys = [await x[1].open() for x in buys]
+    _sells = [await x[1].open() for x in sells]
+    logging.info(f"buys initial: {_buys} and sells initial: {_sells}")
+
+    matched_buys, matched_sells, res_buys, res_sells = await volume_matching(
+        ctx, buys, sells
+    )
+
+    _matched_buys = [await x[1].open() for x in matched_buys]
+    _matched_sells = [await x[1].open() for x in matched_sells]
+    logging.info(f"buys matched: {_matched_buys} and sells matched: {_matched_sells}")
+
+    _res_buys = [await x[1].open() for x in res_buys]
+    _res_sells = [await x[1].open() for x in res_sells]
+    logging.info(f"buys rest: {_res_buys} and sells rest: {_res_sells}")
+
+    _balances = [
+        (await x["eth"].open(), await x["erc20"].open()) for x in balances.values()
+    ]
+    logging.info(f"balances rest {_balances}")
+
+    final_balances = await compute_new_balances(
+        balances, matched_buys, matched_sells, price
+    )
+
+    _final_balances = [
+        (await x["eth"].open(), await x["erc20"].open())
+        for x in final_balances.values()
+    ]
+    logging.info(f"balances rest {_final_balances}")
+
+    logging.info(f"[{ctx.myid}] done")
+
+
+async def dark_pewl():
+    n, t = 4, 1
+    k = 10000
+    pp = FakePreProcessedElements()
+    pp.generate_zeros(k, n, t)
+    pp.generate_triples(k, n, t)
+    pp.generate_bits(k, n, t)
+    program_runner = TaskProgramRunner(n, t, config)
+    program_runner.add(prog)
+    results = await program_runner.join()
+    return results
+
+
+def main():
+    asyncio.set_event_loop(asyncio.new_event_loop())
+    loop = asyncio.get_event_loop()
+    loop.run_until_complete(dark_pewl())
+
+
+if __name__ == "__main__":
+    main()

docs.yml

@@ -8,6 +8,7 @@ services:
       dockerfile: Dockerfile
     volumes:
       - .:/usr/src/HoneyBadgerMPC
+      - /usr/src/HoneyBadgerMPC/honeybadgermpc/ntl  # Directory _not_ mounted from host
     environment:
       - O=-W --keep-going
     command: make -C docs html