Store price improvement fee (#2470)

# Description
Fixes #2478

# Changes

- [ ] `max_volume_factor` column is renamed to
`surplus_max_volume_factor` in order to align with the naming convention
- [ ] Postgres roundtrip tests
- [ ] Readme

crates/autopilot/src/database/fee_policies.rs

@@ -1,24 +1,34 @@
 use {
-    crate::infra::persistence::dto,
+    crate::{domain, infra::persistence::dto},
     sqlx::{PgConnection, QueryBuilder},
 };
 
 pub async fn insert_batch(
     ex: &mut PgConnection,
-    fee_policies: impl IntoIterator<Item = dto::FeePolicy>,
+    auction_id: domain::auction::Id,
+    fee_policies: impl IntoIterator<Item = (domain::OrderUid, Vec<domain::fee::Policy>)>,
 ) -> Result<(), sqlx::Error> {
     let mut query_builder = QueryBuilder::new(
         "INSERT INTO fee_policies (auction_id, order_uid, kind, surplus_factor, \
-         max_volume_factor, volume_factor) ",
+         surplus_max_volume_factor, volume_factor, price_improvement_factor, \
+         price_improvement_max_volume_factor)",
     );
 
+    let fee_policies = fee_policies.into_iter().flat_map(|(order_uid, policies)| {
+        policies
+            .into_iter()
+            .map(move |policy| dto::FeePolicy::from_domain(auction_id, order_uid, policy))
+    });
+
     query_builder.push_values(fee_policies, |mut b, fee_policy| {
         b.push_bind(fee_policy.auction_id)
             .push_bind(fee_policy.order_uid)
             .push_bind(fee_policy.kind)
             .push_bind(fee_policy.surplus_factor)
-            .push_bind(fee_policy.max_volume_factor)
-            .push_bind(fee_policy.volume_factor);
+            .push_bind(fee_policy.surplus_max_volume_factor)
+            .push_bind(fee_policy.volume_factor)
+            .push_bind(fee_policy.price_improvement_factor)
+            .push_bind(fee_policy.price_improvement_max_volume_factor);
     });
 
     query_builder.build().execute(ex).await.map(|_| ())
@@ -58,45 +68,85 @@ mod tests {
         // same primary key for all fee policies
         let (auction_id, order_uid) = (1, ByteArray([1; 56]));
 
+        // surplus fee policy without caps
+        let fee_policy_1 = domain::fee::Policy::Surplus {
+            factor: 0.1,
+            max_volume_factor: 1.0,
+        };
+        // surplus fee policy with caps
+        let fee_policy_2 = domain::fee::Policy::Surplus {
+            factor: 0.2,
+            max_volume_factor: 0.05,
+        };
+        // volume based fee policy
+        let fee_policy_3 = domain::fee::Policy::Volume { factor: 0.06 };
+        // price improvement fee policy
+        let fee_policy_4 = domain::fee::Policy::PriceImprovement {
+            factor: 0.1,
+            max_volume_factor: 1.0,
+            quote: domain::fee::Quote {
+                sell_amount: 10.into(),
+                buy_amount: 20.into(),
+                fee: 1.into(),
+            },
+        };
+        let input_policies = vec![fee_policy_1, fee_policy_2, fee_policy_3, fee_policy_4];
+
+        insert_batch(
+            &mut db,
+            auction_id,
+            vec![(domain::OrderUid(order_uid.0), input_policies)],
+        )
+        .await
+        .unwrap();
+
         // surplus fee policy without caps
         let fee_policy_1 = dto::FeePolicy {
             auction_id,
             order_uid,
             kind: dto::fee_policy::FeePolicyKind::Surplus,
             surplus_factor: Some(0.1),
-            max_volume_factor: Some(1.0),
+            surplus_max_volume_factor: Some(1.0),
             volume_factor: None,
+            price_improvement_factor: None,
+            price_improvement_max_volume_factor: None,
         };
         // surplus fee policy with caps
         let fee_policy_2 = dto::FeePolicy {
             auction_id,
             order_uid,
             kind: dto::fee_policy::FeePolicyKind::Surplus,
             surplus_factor: Some(0.2),
-            max_volume_factor: Some(0.05),
+            surplus_max_volume_factor: Some(0.05),
             volume_factor: None,
+            price_improvement_factor: None,
+            price_improvement_max_volume_factor: None,
         };
         // volume based fee policy
         let fee_policy_3 = dto::FeePolicy {
             auction_id,
             order_uid,
             kind: dto::fee_policy::FeePolicyKind::Volume,
             surplus_factor: None,
-            max_volume_factor: None,
+            surplus_max_volume_factor: None,
             volume_factor: Some(0.06),
+            price_improvement_factor: None,
+            price_improvement_max_volume_factor: None,
         };
-        insert_batch(
-            &mut db,
-            vec![
-                fee_policy_1.clone(),
-                fee_policy_2.clone(),
-                fee_policy_3.clone(),
-            ],
-        )
-        .await
-        .unwrap();
+        // price improvement fee policy
+        let fee_policy_4 = dto::FeePolicy {
+            auction_id,
+            order_uid,
+            kind: dto::fee_policy::FeePolicyKind::PriceImprovement,
+            surplus_factor: None,
+            surplus_max_volume_factor: None,
+            volume_factor: None,
+            price_improvement_factor: Some(0.1),
+            price_improvement_max_volume_factor: Some(1.0),
+        };
+        let expected = vec![fee_policy_1, fee_policy_2, fee_policy_3, fee_policy_4];
 
         let output = fetch(&mut db, 1, order_uid).await.unwrap();
-        assert_eq!(output, vec![fee_policy_1, fee_policy_2, fee_policy_3]);
+        assert_eq!(output, expected);
     }
 }

crates/autopilot/src/infra/persistence/dto/fee_policy.rs

@@ -6,8 +6,10 @@ pub struct FeePolicy {
     pub order_uid: boundary::database::OrderUid,
     pub kind: FeePolicyKind,
     pub surplus_factor: Option<f64>,
-    pub max_volume_factor: Option<f64>,
+    pub surplus_max_volume_factor: Option<f64>,
     pub volume_factor: Option<f64>,
+    pub price_improvement_factor: Option<f64>,
+    pub price_improvement_max_volume_factor: Option<f64>,
 }
 
 impl FeePolicy {
@@ -25,48 +27,39 @@ impl FeePolicy {
                 order_uid: boundary::database::byte_array::ByteArray(order_uid.0),
                 kind: FeePolicyKind::Surplus,
                 surplus_factor: Some(factor),
-                max_volume_factor: Some(max_volume_factor),
+                surplus_max_volume_factor: Some(max_volume_factor),
                 volume_factor: None,
+                price_improvement_factor: None,
+                price_improvement_max_volume_factor: None,
             },
             domain::fee::Policy::Volume { factor } => Self {
                 auction_id,
                 order_uid: boundary::database::byte_array::ByteArray(order_uid.0),
                 kind: FeePolicyKind::Volume,
                 surplus_factor: None,
-                max_volume_factor: None,
+                surplus_max_volume_factor: None,
                 volume_factor: Some(factor),
+                price_improvement_factor: None,
+                price_improvement_max_volume_factor: None,
             },
             domain::fee::Policy::PriceImprovement {
                 factor,
                 max_volume_factor,
-                ..
+                quote: _,
             } => Self {
                 auction_id,
                 order_uid: boundary::database::byte_array::ByteArray(order_uid.0),
                 kind: FeePolicyKind::PriceImprovement,
-                surplus_factor: Some(factor),
-                max_volume_factor: Some(max_volume_factor),
+                surplus_factor: None,
+                surplus_max_volume_factor: None,
                 volume_factor: None,
+                price_improvement_factor: Some(factor),
+                price_improvement_max_volume_factor: Some(max_volume_factor),
             },
         }
     }
 }
 
-impl From<FeePolicy> for domain::fee::Policy {
-    fn from(row: FeePolicy) -> domain::fee::Policy {
-        match row.kind {
-            FeePolicyKind::Surplus => domain::fee::Policy::Surplus {
-                factor: row.surplus_factor.expect("missing surplus factor"),
-                max_volume_factor: row.max_volume_factor.expect("missing max volume factor"),
-            },
-            FeePolicyKind::Volume => domain::fee::Policy::Volume {
-                factor: row.volume_factor.expect("missing volume factor"),
-            },
-            FeePolicyKind::PriceImprovement => todo!(),
-        }
-    }
-}
-
 #[derive(Debug, Clone, PartialEq, sqlx::Type)]
 #[sqlx(type_name = "PolicyKind", rename_all = "lowercase")]
 pub enum FeePolicyKind {

crates/autopilot/src/infra/persistence/mod.rs

@@ -2,7 +2,6 @@ use {
     crate::{boundary, database::Postgres, domain},
     anyhow::Context,
     chrono::Utc,
-    itertools::Itertools,
     std::sync::Arc,
     tokio::time::Instant,
     tracing::Instrument,
@@ -122,18 +121,9 @@ impl Persistence {
         auction_id: domain::auction::Id,
         fee_policies: Vec<(domain::OrderUid, Vec<domain::fee::Policy>)>,
     ) -> anyhow::Result<()> {
-        let fee_policies = fee_policies
-            .into_iter()
-            .flat_map(|(order_uid, policies)| {
-                policies
-                    .into_iter()
-                    .map(move |policy| dto::FeePolicy::from_domain(auction_id, order_uid, policy))
-            })
-            .collect_vec();
-
         let mut ex = self.postgres.pool.begin().await.context("begin")?;
         for chunk in fee_policies.chunks(self.postgres.config.insert_batch_size.get()) {
-            crate::database::fee_policies::insert_batch(&mut ex, chunk.iter().cloned())
+            crate::database::fee_policies::insert_batch(&mut ex, auction_id, chunk.iter().cloned())
                 .await
                 .context("fee_policies::insert_batch")?;
         }

database/README.md

@@ -239,15 +239,17 @@ Indexes:
 
 Contains all relevant data of fee policies applied to orders during auctions.
 
-Column                    | Type                         | Nullable | Details
---------------------------|------------------------------|----------|--------
- auction_id               | bigint                       | not null | unique identifier for the auction
- order_uid                | bytea                        | not null | 56 bytes identifier linking to the order in the `orders` table
- application_order        | serial                       | not null | the order in which the fee policies are inserted and applied
- kind                     | [PolicyKind](#policykind)    | not null | type of the fee policy, defined in the PolicyKind enum
- surplus_factor           | double precision             |          | percentage of the surplus for fee calculation; value is between 0 and 1
- max_volume_factor        | double precision             |          | cap for the fee as a percentage of the order volume; value is between 0 and 1
- volume_factor            | double precision             |          | fee percentage of the order volume; value is between 0 and 1
+Column                               | Type                         | Nullable | Details
+-------------------------------------|------------------------------|----------|--------
+ auction_id                          | bigint                       | not null | unique identifier for the auction
+ order_uid                           | bytea                        | not null | 56 bytes identifier linking to the order in the `orders` table
+ application_order                   | serial                       | not null | the order in which the fee policies are inserted and applied
+ kind                                | [PolicyKind](#policykind)    | not null | type of the fee policy, defined in the PolicyKind enum
+ surplus_factor                      | double precision             |          | percentage of the surplus for fee calculation; value is between 0 and 1
+ surplus_max_volume_factor           | double precision             |          | cap for the fee as a percentage of the order volume; value is between 0 and 1
+ volume_factor                       | double precision             |          | fee percentage of the order volume; value is between 0 and 1
+ price_improvement_factor            | double precision             |          | percentage of the price improvement over the best quote received during order creation; value is between 0 and 1
+ price_improvement_max_volume_factor | double precision             |          | cap for the fee as a percentage of the order volume; value is between 0 and 1
 
 Indexes:
 - PRIMARY KEY: composite key(`auction_id`, `order_uid`, `application_order`)
@@ -259,6 +261,7 @@ Indexes:
 
     Values:
     - `surplus`: The fee is based on the surplus achieved in the trade.
+    - `priceimprovement`: The fee is based on a better executed price than the top quote.
     - `volume`: The fee is based on the volume of the order.
 
 ### presignature\_events

database/sql/V063__price_improvement_policy_fee.sql

@@ -0,0 +1,11 @@
+-- Rename max_volume_factor column
+ALTER TABLE fee_policies
+    RENAME COLUMN max_volume_factor TO surplus_max_volume_factor;
+
+-- Add `price_improvement` policy fee kind
+ALTER TYPE PolicyKind ADD VALUE 'priceimprovement';
+
+-- Add price improvement fee columns
+ALTER TABLE fee_policies
+    ADD COLUMN price_improvement_factor double precision,
+    ADD COLUMN price_improvement_max_volume_factor double precision;