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| ### LIQUIDITY SORT: | |
| Get 0x bids/asks (remove all bids where gas fees are > max(5 cents, 1% of the trade's value), we should do this for all books on augur in v2) | |
| Fetch all orders to start and store them somewhere that get_orders_down_to_price and get_orders_up_to_price can easily access | |
| midpoint_liquidity = [] | |
| outcomes = 0 | |
| For outcome in market: | |
| best_bid = get_best_bid(market) | |
| best_ask = get_best_ask(market) | |
| if(no_bid_exists): best_bid = minPrice | |
| if(no_ask_exists): best_ask = maxPrice | |
| best_bid = best_bid / (1 - totalFee %) | |
| best_ask = best_ask / (1 + totalFee %) | |
| midpoint_price = (best_bid + best_ask)/2 | |
| ask_price = midpoint_price + spread % * range/2 | |
| bid_price = midpoint_price - spread % * range/2 | |
| bid_quantities = 0 | |
| ask_quantities = 0 | |
| // for bids we get orders from the midpoint down to and inclusive of the bid price. For asks we get the orders from the midpoint *up to* inclusive of the ask price. | |
| for order in get_orders_down_to_price(bids, bid_price): bid_quantities += order.quantity | |
| for order in get_orders_up_to_price(asks, ask_price): ask_quantities += order.quantity | |
| num_shares = min(ask_quantities, bid_quantities) | |
| bid_value = 0 | |
| ask_value = 0 | |
| raw_bid_value = 0 | |
| raw_ask_value = 0 | |
| // the getters return a dictionary of orders w/ quantity and price | |
| bid_quantity_gotten = 0 | |
| for order in get_orders_down_to_price(bids, bid_price): | |
| bid_num_shares = num_shares | |
| if(bid_num_shares == 0) | |
| break | |
| if(order.quantity + bid_quantity_gotten > bid_num_shares): | |
| order.quantity = bid_num_shares - quantity_gotten | |
| bid_value += order.quantity * order.price | |
| raw_bid_value += order.quantity * (order.price - min) | |
| bid_quantity_gotten += order.quantity | |
| ask_quantity_gotten = 0 | |
| for order in get_orders_up_to_price(asks, ask_price): | |
| ask_num_shares = num_shares | |
| if(ask_num_shares == 0) | |
| break | |
| if(order.quantity + ask_quantity_gotten > num_shares): | |
| order.quantity = num_shares - quantity_gotten | |
| ask_value += order.quantity * order.price | |
| raw_ask_value += order.quantity * (max - order.price) | |
| ask_quantity_gotten += order.quantity | |
| if(num_shares == 0): | |
| Spread[outcomes] = 1 | |
| midpoint_liquidity = 0 | |
| else: | |
| midpoint_liquidity[outcomes] = (raw_ask_value + raw_bid_value) | |
| Spread[outcomes] = (ask_value - bid_value) / ((max - min)*num_shares) | |
| outcomes += 1 | |
| // sum midpoint liquidity across all outcomes | |
| Liquidity = sum(midpoint_liquidity) | |
| Spread = min(Spread) | |
| Let user choose a spread % like in dropdown now, and it'll sort markets by liquidity within that spread % threshold where a market has a Spread < spread % and then rank them by the Liquidity metric |
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