Fix taker fee lots vs native #251
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mschneider
reviewed
Apr 16, 2024
| @@ -267,16 +267,16 @@ impl<'a> Orderbook<'a> { | |||
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| // Record the taker trade in the account already, even though it will only be | |||
| // realized when the fill event gets executed | |||
| let mut taker_fees = 0_u64; | |||
| let mut taker_fees_native = 0_u64; | |||
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why not calculate taker_fees_lots here as well?
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I think it makes sense to compute the fees in native units to have high resolution on them. Otherwise sub-lot fees would need to be rounded: but can't round up (otherwise openbook would possibly charge 1 lot taker fees on a 1 lot order), and rounding down would unnecessarily reduce collected fees.
We could compute lots and native taker_fees independently, but imo the correctness is clearer to see when the low-resolution value is derived from the high-resolution one.
mschneider
approved these changes
Apr 21, 2024
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