DeepBook 设计

池

在 DeepBook 的核心是一个超高效的每个当前交易对共享对象池结构。该架构最大程度地利用了 Sui 的 Narwhal 和 Bullshark 引擎，以最小化争用并实现高吞吐量。

对于每个基础和报价资产交易对，创建一个全局共享的池，用于 1) 记账订单簿上的未结订单和 2) 处理订单的下单、取消和结算。在这种架构下，涉及不同交易对的交易可以轻松并行化，以最大程度地提高吞吐量。

struct Pool<phantom BaseAsset, phantom QuoteAsset> has key {
    // The key to the following Critbit Tree are order prices.
    id: UID,
    // All open bid orders.
    bids: CritbitTree<TickLevel>,
    // All open ask orders.
    asks: CritbitTree<TickLevel>,
    // Order id of the next bid order, starting from 0.
    next_bid_order_id: u64,
    // Order id of the next ask order, starting from 1<<63.
    next_ask_order_id: u64,
    // Map from order id to price level for fast retrieval of orders upon canceling of orders.
    usr_open_orders: Table<ID, Table<u64, Order>>,
    // taker_fee_rate should be strictly greater than maker_rebate_rate.
    // The difference between taker_fee_rate and maker_rabate_rate goes to the protocol.
    // 10^9 scaling
    taker_fee_rate: u64,
    // 10^9 scaling
    maker_rebate_rate: u64,
    tick_size: u64,
    lot_size: u64,
    // other pool info
    base_custodian: Custodian<BaseAsset>,
    quote_custodian: Custodian<QuoteAsset>,
}

订单簿结构

DeepBook 采用了一种超高效的方法来存储订单。每个池存储未成交的挂单。吃单在提交订单的同一事务中即时成交。买单和卖单分别存储，每个都有一个两级嵌套的 Crit-bit 树。第一级 Crit-bit 树使用挂单的价格排序，第二级 Crit-bit 树使用挂单的订单 id 排序。

下单

DeepBook 支持市价单和限价单的下单。DeepBook 还支持一些限价单的配置，这将在 API 部分介绍。当用户提交市价单时，它将立即在提交市价单的同一事务中与订单簿上的现有挂单匹配。当用户提交限价单时，限价单首先作为吃单与现有的挂单匹配。如果订单无法完全成交，剩余数量可以作为挂单注入或丢弃，具体取决于限价单的配置。有关更多详细信息，请参见 API 部分。

struct Order has store, drop {
    // For each pool, order id is incremental and unique for each opening order.
    // Orders that are submitted earlier have lower order ids.
    // 64 bits are sufficient for order ids, whereas 32 bits are not.
    // Assuming a maximum TPS of 100K/s of Sui chain, it would take (1<<63) / 100000 / 3600 / 24 / 365 = 2924712 years to reach the full capacity.
    // The highest bit of the order id denotes the order type, 0 for bid, 1 for ask.
    order_id: u64,
    // Only used for limit orders.
    price: u64,
    quantity: u64,
    is_bid: bool,
    // Order can only be canceled by the owner.
    owner: ID,
    // Expiration timestamp in ms.
    expire_timestamp: u64,
}

订单

订单匹配

订单匹配发生在吃单订单提交到 CLOB 时，没有中央实体或曲柄参与。吃单订单与 CLOB 中的现有挂单在提交吃单订单的同一事务中匹配。

订单追踪

DeepBook 支持高效追踪挂单。每个未成交的挂单都与一个唯一的 u64 订单 id 关联，用户可以使用订单 id 与 Sui RPC 调用一起查询订单状态。用户还可以订阅 DeepBook 发出的与订单状态变化相关的事件流。DeepBook 目前支持以下事件，OrderPlaced、OrderFilled 和 OrderCanceled。

/// Emitted when a maker order is injected into the order book.
struct OrderPlaced<phantom BaseAsset, phantom QuoteAsset> has copy, store, drop {
    order_id: u64,
    is_bid: bool,
    owner: ID,
    base_asset_quantity_placed: u64,
    price: u64
}

/// Emitted when a maker order is canceled.
struct OrderCanceled<phantom BaseAsset, phantom QuoteAsset> has copy, store, drop {
    order_id: u64,
    is_bid: bool,
    owner: ID,
    base_asset_quantity_canceled: u64,
    price: u64
}

/// Emitted only when a maker order is filled.
struct OrderFilled<phantom BaseAsset, phantom QuoteAsset> has copy, store, drop {
    order_id: u64,
    is_bid: bool,
    owner: ID,
    total_quantity: u64,
    base_asset_quantity_filled: u64,
    base_asset_quantity_remaining: u64,
    price: u64
}