Limit Order Tranches

An overview of limit order tranches on duality

LimitOrderTranches are used to store liquidity in the form of limit orders. In addition to the PairID, TokenIn and TickIndex fields, Pools Reserves also have TracheKey, ReservesTokenIn, ReservesTokenOut, TotalTokenIn, TotalTokenOut and an optional ExpirationTime field.

type LimitOrderTranche struct {
    PairID           *PairID
    TokenIn          string
    TickIndex        int64
    TrancheKey       string
    ReservesTokenIn sdk.Int
    ReservesTokenOut sdk.Int
    TotalTokenIn     sdk.Int
    TotalTokenOut    sdk.Int
    ExpirationTime *time.Time
}

TrancheKey is a unique identifier for each LimitOrderTranche. TrancheKeys also represent a lexicographically sortable order in which tranches with a common PairID, TokenIn and TickIndex will be traded through. Ie. A tranche with TrancheKey “A1” will be traded through before a tranche with TrancheKey “A2”. ReservesTokenIn is the available token that has been added to a limit order by the “maker” and represents the amount of TokenIn that can be traded against. ReservesTokenOut represents the filled amount of the limit order and can be withdrawn by the “maker”s. TotalTokenIn and TotalTokenOut are used to store the respective high watermarks for ReservesTokenIn and ReservesTokenOut and are used for the internal accounting of a limit order.

Lastly, ExpirationTime is an optional field used for Expiring limit orders (JUST_IN_TIME and GOOD_TIL_TIME). At the end of each block any LimitOrders with ExpirationTime <= ctx.BlockTime() is converted to an InactiveLimitOrderTranche where it can no longer be traded against.