feat(perp): settle markets (#1573)

* feat(perp): impl AMM.SettlementPrice func #wip * refactor(perp): rename amm.MarkPrice -> amm.InstMarkPrice to reflect that it's instantaneous * remove unused param * add settlement * open position on disabled market * close market and don't allow to close positions on close market * add settlement tests part 1 * add get amm * temp commit for refactoring position to include versioning * make versioned positions * add check when position does not exist * feat: implement setllement price calculation on close market * fix: changelog * fix: lint * fix: lint --------- Co-authored-by: Jonathan Gimeno <[email protected]> Co-authored-by: Matthias <[email protected]>
NibiruChain · Oct 10, 2023 · a7c9447 · a7c9447
1 parent ef307eb
commit a7c9447
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Showing 60 changed files with 8,940 additions and 363 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -48,6 +48,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
     transaction messages for CreateDenom, ChangeAdmin, and UpdateModuleParams 
   * [#1620](https://github.com/NibiruChain/nibiru/pull/1620) - Token factory
     transaction messages for Mint and Burn
+* [#1573](https://github.com/NibiruChain/nibiru/pull/1573) - feat(perp): Close markets and compute settlement price
 
 ### State Machine Breaking 
 

diff --git a/contrib/make/lint.mk b/contrib/make/lint.mk
@@ -4,4 +4,4 @@
 
 .PHONY: lint
 lint:
-	docker run -v $(CURDIR):/code --rm -w /code golangci/golangci-lint:v1.52.2-alpine golangci-lint run --timeout 10m
+	docker run -v $(CURDIR):/code --rm -w /code golangci/golangci-lint:v1.52.2-alpine golangci-lint run --timeout 30m
diff --git a/proto/nibiru/perp/v2/genesis.proto b/proto/nibiru/perp/v2/genesis.proto
@@ -17,8 +17,7 @@ message GenesisState {
 
   repeated nibiru.perp.v2.AMM amms = 3 [ (gogoproto.nullable) = false ];
 
-  repeated nibiru.perp.v2.Position positions = 4
-      [ (gogoproto.nullable) = false ];
+  repeated GenesisPosition positions = 4 [ (gogoproto.nullable) = false ];
 
   repeated nibiru.perp.v2.ReserveSnapshot reserve_snapshots = 5
       [ (gogoproto.nullable) = false ];
@@ -71,3 +70,15 @@ message GenesisMarketLastVersion {
 
   uint64 version = 2;
 }
+
+message GenesisPosition {
+  string pair = 1 [
+    (gogoproto.customtype) =
+        "github.com/NibiruChain/nibiru/x/common/asset.Pair",
+    (gogoproto.nullable) = false
+  ];
+
+  uint64 version = 2;
+
+  Position position = 3 [ (gogoproto.nullable) = false ];
+}
diff --git a/proto/nibiru/perp/v2/state.proto b/proto/nibiru/perp/v2/state.proto
@@ -171,6 +171,13 @@ message AMM {
     (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
     (gogoproto.nullable) = false
   ];
+
+  // The settlement price if the AMM is settled.
+  string settlement_price = 9 [
+    (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
+    (gogoproto.stdduration) = true,
+    (gogoproto.nullable) = false
+  ];
 }
 
 message Position {

diff --git a/wasmbinding/bindings/marshalling_test.go b/wasmbinding/bindings/marshalling_test.go
@@ -68,7 +68,7 @@ func (s *TestSuiteBindingJsonTypes) TestToAppMarket() {
 			ammMarket.Market,
 			ammMarket.Amm,
 			"index price",
-			ammMarket.Amm.MarkPrice().String(),
+			ammMarket.Amm.InstMarkPrice().String(),
 			dummyBlockHeight,
 		)
 

diff --git a/wasmbinding/bindings/query.go b/wasmbinding/bindings/query.go
@@ -114,7 +114,7 @@ func NewMarket(appMarket perpv2types.Market, appAmm perpv2types.AMM, indexPrice,
 			MaintenanceMarginRatio: appMarket.MaintenanceMarginRatio,
 			MaxLeverage:            appMarket.MaxLeverage,
 		},
-		MarkPrice:   appAmm.MarkPrice(),
+		MarkPrice:   appAmm.InstMarkPrice(),
 		IndexPrice:  indexPrice,
 		TwapMark:    twapMark,
 		BlockNumber: sdk.NewInt(blockNumber),

diff --git a/wasmbinding/exec_perp.go b/wasmbinding/exec_perp.go
@@ -189,6 +189,7 @@ func (exec *ExecutorPerp) InsuranceFundWithdraw(
 	)
 }
 
+// TODO: rename to CloseMarket
 func (exec *ExecutorPerp) SetMarketEnabled(
 	cwMsg *bindings.SetMarketEnabled, ctx sdk.Context,
 ) (err error) {
@@ -201,7 +202,7 @@ func (exec *ExecutorPerp) SetMarketEnabled(
 		return err
 	}
 
-	return exec.PerpV2.ChangeMarketEnabledParameter(ctx, pair, cwMsg.Enabled)
+	return exec.PerpV2.CloseMarket(ctx, pair)
 }
 
 func (exec *ExecutorPerp) CreateMarket(

diff --git a/wasmbinding/exec_perp_test.go b/wasmbinding/exec_perp_test.go
@@ -6,7 +6,6 @@ import (
 	"time"
 
 	sdkmath "cosmossdk.io/math"
-	"github.com/NibiruChain/collections"
 	tmproto "github.com/cometbft/cometbft/proto/tendermint/types"
 	sdk "github.com/cosmos/cosmos-sdk/types"
 	"github.com/stretchr/testify/suite"
@@ -114,9 +113,7 @@ func (s *TestSuitePerpExecutor) DoMarketOrderTest(pair asset.Pair) error {
 	}
 
 	// Verify position exists with PerpKeeper
-	_, err = s.exec.PerpV2.Positions.Get(
-		s.ctx, collections.Join(pair, s.contractPerp),
-	)
+	_, err = s.exec.PerpV2.GetPosition(s.ctx, pair, 1, s.contractPerp)
 	if err != nil {
 		return err
 	}

diff --git a/wasmbinding/querier.go b/wasmbinding/querier.go
@@ -173,7 +173,7 @@ func (perpExt *PerpQuerier) AllMarkets(
 				MaintenanceMarginRatio: pbMarket.Market.MaintenanceMarginRatio,
 				MaxLeverage:            pbMarket.Market.MaxLeverage,
 			},
-			MarkPrice:   pbMarket.Amm.MarkPrice(),
+			MarkPrice:   pbMarket.Amm.InstMarkPrice(),
 			BlockNumber: sdk.NewInt(ctx.BlockHeight()),
 		}
 	}

diff --git a/wasmbinding/querier_test.go b/wasmbinding/querier_test.go
@@ -214,7 +214,7 @@ func (s *TestSuiteQuerier) TestQueryAllMarkets() {
 		s.Assert().EqualValues(marketAmm.Amm.TotalLong, cwMarket.TotalLong)
 		s.Assert().EqualValues(marketAmm.Amm.TotalShort, cwMarket.TotalShort)
 		s.Assert().EqualValues(marketAmm.Amm.PriceMultiplier.String(), cwMarket.PegMult.String())
-		s.Assert().EqualValues(marketAmm.Amm.MarkPrice().String(), cwMarket.MarkPrice.String())
+		s.Assert().EqualValues(marketAmm.Amm.InstMarkPrice().String(), cwMarket.MarkPrice.String())
 		s.Assert().EqualValues(s.ctx.BlockHeight(), cwMarket.BlockNumber.Int64())
 	}
 }

diff --git a/x/common/testutil/genesis/perp_genesis.go b/x/common/testutil/genesis/perp_genesis.go
@@ -122,7 +122,7 @@ func AddPerpV2Genesis(gen app.GenesisState) app.GenesisState {
 		Markets:            marketsv2,
 		MarketLastVersions: marketLastVersions,
 		Amms:               ammsv2,
-		Positions:          []perpv2types.Position{},
+		Positions:          []perpv2types.GenesisPosition{},
 		ReserveSnapshots:   []perpv2types.ReserveSnapshot{},
 	}
 
@@ -226,7 +226,7 @@ func PerpV2Genesis() *perpv2types.GenesisState {
 				TotalShort:      sdk.ZeroDec(),
 			},
 		},
-		Positions:        []perpv2types.Position{},
+		Positions:        []perpv2types.GenesisPosition{},
 		ReserveSnapshots: []perpv2types.ReserveSnapshot{},
 	}
 }
diff --git a/x/common/testutil/mock/perp_amm.go b/x/common/testutil/mock/perp_amm.go
@@ -19,6 +19,7 @@ func TestAMMDefault() *types.AMM {
 		PriceMultiplier: sdk.OneDec(),
 		TotalLong:       sdk.ZeroDec(),
 		TotalShort:      sdk.ZeroDec(),
+		SettlementPrice: sdk.ZeroDec(),
 	}
 }
 

diff --git a/x/perp/v2/client/cli/cli_test.go b/x/perp/v2/client/cli/cli_test.go
@@ -4,13 +4,12 @@ import (
 	"fmt"
 	"testing"
 
-	"github.com/NibiruChain/collections"
+	"cosmossdk.io/errors"
+
 	abcitypes "github.com/cometbft/cometbft/abci/types"
 	sdk "github.com/cosmos/cosmos-sdk/types"
 	bankcli "github.com/cosmos/cosmos-sdk/x/bank/client/cli"
 	"github.com/stretchr/testify/suite"
-	"google.golang.org/grpc/codes"
-	"google.golang.org/grpc/status"
 
 	"github.com/NibiruChain/nibiru/app"
 	"github.com/NibiruChain/nibiru/x/common"
@@ -364,11 +363,8 @@ func (s *IntegrationTestSuite) TestMarketOrdersAndCloseCmd() {
 	s.T().Log("F. check trader position")
 	queryResp, err = testutilcli.QueryPositionV2(val.ClientCtx, asset.Registry.Pair(denoms.BTC, denoms.NUSD), user)
 	s.Error(err)
+	errors.IsOf(err, types.ErrPositionNotFound)
 	s.T().Logf("query response: %+v", queryResp)
-
-	status, ok := status.FromError(err)
-	s.True(ok)
-	s.EqualValues(codes.InvalidArgument, status.Code())
 }
 
 func (s *IntegrationTestSuite) TestPartialCloseCmd() {
@@ -469,7 +465,7 @@ func (s *IntegrationTestSuite) TestPositionEmptyAndClose() {
 	_, err = s.network.ExecTxCmd(cli.ClosePositionCmd(), user, []string{
 		asset.Registry.Pair(denoms.ETH, denoms.NUSD).String(),
 	})
-	s.Contains(err.Error(), collections.ErrNotFound.Error())
+	s.Contains(err.Error(), types.ErrPositionNotFound.Error())
 }
 
 // user[0] opens a position and removes margin to trigger bad debt
@@ -540,7 +536,7 @@ func (s *IntegrationTestSuite) TestX_AddMargin() {
 				asset.Registry.Pair(denoms.BTC, denoms.NUSD).String(),
 				fmt.Sprintf("10000%s", denoms.NUSD),
 			},
-			expectedCode: 1,
+			expectedCode: types.ErrPositionNotFound.ABCICode(),
 			expectFail:   false,
 		},
 		{
@@ -642,7 +638,7 @@ func (s *IntegrationTestSuite) TestX_RemoveMargin() {
 				asset.Registry.Pair(denoms.BTC, denoms.NUSD).String(),
 				fmt.Sprintf("10000%s", denoms.NUSD),
 			},
-			expectedCode: 1,
+			expectedCode: types.ErrPositionNotFound.ABCICode(),
 			expectFail:   false,
 		},
 		{

diff --git a/x/perp/v2/integration/action/margin.go b/x/perp/v2/integration/action/margin.go
@@ -2,6 +2,7 @@ package action
 
 import (
 	"errors"
+	"fmt"
 
 	sdkmath "cosmossdk.io/math"
 	sdk "github.com/cosmos/cosmos-sdk/types"
@@ -68,7 +69,7 @@ func (a addMarginFailAction) Do(app *app.NibiruApp, ctx sdk.Context) (sdk.Contex
 		ctx, a.Pair, a.Account, sdk.NewCoin(a.Pair.QuoteDenom(), a.Margin),
 	)
 	if !errors.Is(err, a.ExpectedErr) {
-		return ctx, err, false
+		return ctx, fmt.Errorf("expected error %v, got %v", a.ExpectedErr, err), false
 	}
 
 	return ctx, nil, false
@@ -129,7 +130,7 @@ func (a removeMarginActionFail) Do(app *app.NibiruApp, ctx sdk.Context) (sdk.Con
 		ctx, a.Pair, a.Account, sdk.NewCoin(a.Pair.QuoteDenom(), a.Margin),
 	)
 	if !errors.Is(err, a.ExpectedErr) {
-		return ctx, err, false
+		return ctx, fmt.Errorf("expected error %v, got %v", a.ExpectedErr, err), false
 	}
 
 	return ctx, nil, false

diff --git a/x/perp/v2/integration/action/market.go b/x/perp/v2/integration/action/market.go
@@ -16,7 +16,6 @@ import (
 	"github.com/NibiruChain/nibiru/x/perp/v2/types"
 )
 
-// Logger
 type logger struct {
 	log string
 }

diff --git a/x/perp/v2/integration/action/params.go b/x/perp/v2/integration/action/params.go
@@ -4,19 +4,13 @@ import (
 	sdk "github.com/cosmos/cosmos-sdk/types"
 
 	"github.com/NibiruChain/nibiru/app"
-	"github.com/NibiruChain/nibiru/x/common/asset"
 	"github.com/NibiruChain/nibiru/x/common/testutil/action"
 )
 
 type changeLiquidationFeeRatio struct {
 	LiquidationFeeRatio sdk.Dec
 }
 
-type setMarketEnabled struct {
-	Enable bool
-	Pair   asset.Pair
-}
-
 func (c changeLiquidationFeeRatio) Do(app *app.NibiruApp, ctx sdk.Context) (sdk.Context, error, bool) {
 	// TODO(k-yang): implement
 
@@ -28,20 +22,3 @@ func ChangeLiquidationFeeRatio(liquidationFeeRatio sdk.Dec) action.Action {
 		LiquidationFeeRatio: liquidationFeeRatio,
 	}
 }
-
-// Enable market
-func SetMarketEnabled(pair asset.Pair, enable bool) action.Action {
-	return setMarketEnabled{
-		Enable: enable,
-		Pair:   pair,
-	}
-}
-
-func (c setMarketEnabled) Do(app *app.NibiruApp, ctx sdk.Context) (sdk.Context, error, bool) {
-	err := app.PerpKeeperV2.ChangeMarketEnabledParameter(ctx, c.Pair, c.Enable)
-	if err != nil {
-		return ctx, err, true
-	}
-
-	return ctx, nil, true
-}
diff --git a/x/perp/v2/integration/action/position.go b/x/perp/v2/integration/action/position.go
@@ -8,8 +8,6 @@ import (
 
 	sdk "github.com/cosmos/cosmos-sdk/types"
 
-	"github.com/NibiruChain/collections"
-
 	"github.com/NibiruChain/nibiru/app"
 	"github.com/NibiruChain/nibiru/x/common/asset"
 	"github.com/NibiruChain/nibiru/x/common/denoms"
@@ -238,15 +236,39 @@ func ClosePosition(account sdk.AccAddress, pair asset.Pair) action.Action {
 	}
 }
 
-// Manually insert position, skipping open position logic
+type closePositionFailsAction struct {
+	Account sdk.AccAddress
+	Pair    asset.Pair
+
+	expectedErr error
+}
+
+func (c closePositionFailsAction) Do(app *app.NibiruApp, ctx sdk.Context) (sdk.Context, error, bool) {
+	_, err := app.PerpKeeperV2.ClosePosition(ctx, c.Pair, c.Account)
 
+	if !errors.Is(err, c.expectedErr) {
+		return ctx, fmt.Errorf("expected error %s, got %s", c.expectedErr, err), true
+	}
+
+	return ctx, nil, true
+}
+
+func ClosePositionFails(account sdk.AccAddress, pair asset.Pair, expectedErr error) action.Action {
+	return &closePositionFailsAction{
+		Account:     account,
+		Pair:        pair,
+		expectedErr: expectedErr,
+	}
+}
+
+// Manually insert position, skipping open position logic
 type insertPosition struct {
 	position types.Position
 }
 
 func (i insertPosition) Do(app *app.NibiruApp, ctx sdk.Context) (sdk.Context, error, bool) {
 	traderAddr := sdk.MustAccAddressFromBech32(i.position.TraderAddress)
-	app.PerpKeeperV2.Positions.Insert(ctx, collections.Join(i.position.Pair, traderAddr), i.position)
+	app.PerpKeeperV2.SavePosition(ctx, i.position.Pair, 1, traderAddr, i.position)
 	return ctx, nil, true
 }
 

diff --git a/x/perp/v2/integration/action/query.go b/x/perp/v2/integration/action/query.go
@@ -7,8 +7,6 @@ import (
 	sdk "github.com/cosmos/cosmos-sdk/types"
 	sdkquery "github.com/cosmos/cosmos-sdk/types/query"
 
-	"github.com/NibiruChain/collections"
-
 	"github.com/NibiruChain/nibiru/app"
 	"github.com/NibiruChain/nibiru/x/common/asset"
 	"github.com/NibiruChain/nibiru/x/common/testutil/action"
@@ -130,7 +128,7 @@ func (q queryPositionNotFound) Do(app *app.NibiruApp, ctx sdk.Context) (sdk.Cont
 		Pair:   q.pair,
 		Trader: q.traderAddress.String(),
 	})
-	if !errors.Is(err, collections.ErrNotFound) {
+	if !errors.Is(err, types.ErrPositionNotFound) {
 		return ctx, fmt.Errorf(
 			"expected position not found, but found a position for pair %s, trader %s",
 			q.pair,

diff --git a/x/perp/v2/integration/action/settlement.go b/x/perp/v2/integration/action/settlement.go
@@ -0,0 +1,26 @@
+package action
+
+import (
+	sdk "github.com/cosmos/cosmos-sdk/types"
+
+	"github.com/NibiruChain/nibiru/app"
+	"github.com/NibiruChain/nibiru/x/common/asset"
+	"github.com/NibiruChain/nibiru/x/common/testutil/action"
+)
+
+type closeMarket struct {
+	pair asset.Pair
+}
+
+func (c closeMarket) Do(app *app.NibiruApp, ctx sdk.Context) (sdk.Context, error, bool) {
+	err := app.PerpKeeperV2.CloseMarket(ctx, c.pair)
+	if err != nil {
+		return ctx, err, false
+	}
+
+	return ctx, nil, true
+}
+
+func CloseMarket(pair asset.Pair) action.Action {
+	return closeMarket{pair: pair}
+}
diff --git a/x/perp/v2/integration/assertion/market.go b/x/perp/v2/integration/assertion/market.go
@@ -163,3 +163,12 @@ func AMM_VersionShouldBeEqual(expectedVersion uint64) AMMChecker {
 		return nil
 	}
 }
+
+func AMM_SettlementPriceShoulBeEqual(expectedPrice sdk.Dec) AMMChecker {
+	return func(amm types.AMM) error {
+		if !amm.SettlementPrice.Equal(expectedPrice) {
+			return fmt.Errorf("expected settlement price to be %s, got %s", expectedPrice, amm.SettlementPrice)
+		}
+		return nil
+	}
+}