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LastPrices -> MidPrices
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@atvanguard
atvanguard committed Sep 29, 2023
1 parent d2e6d70 commit 48c6367
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Showing 9 changed files with 34 additions and 38 deletions.
4 changes: 2 additions & 2 deletions plugin/evm/orderbook/hubbleutils/margin_math.go
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Original file line number Diff line number Diff line change
Expand Up @@ -8,7 +8,7 @@ import (
type HubbleState struct {
Assets []Collateral
OraclePrices map[Market]*big.Int
LastPrices map[Market]*big.Int
MidPrices map[Market]*big.Int
ActiveMarkets []Market
MinAllowableMargin *big.Int
MaintenanceMargin *big.Int
Expand Down Expand Up @@ -63,7 +63,7 @@ func GetOptimalPnl(hState *HubbleState, position *Position, margin *big.Int, mar

// based on last price
notionalPosition, unrealizedPnl, lastPriceBasedMF := GetPositionMetadata(
hState.LastPrices[market],
hState.MidPrices[market],
position.OpenNotional,
position.Size,
margin,
Expand Down
2 changes: 1 addition & 1 deletion plugin/evm/orderbook/liquidations.go
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Original file line number Diff line number Diff line change
Expand Up @@ -67,7 +67,7 @@ func getTotalNotionalPositionAndUnrealizedPnl(trader *Trader, margin *big.Int, m
return hu.GetTotalNotionalPositionAndUnrealizedPnl(
&hu.HubbleState{
OraclePrices: oraclePrices,
LastPrices: lastPrices,
MidPrices: lastPrices,
ActiveMarkets: markets,
},
&hu.UserState{
Expand Down
28 changes: 14 additions & 14 deletions plugin/evm/orderbook/liquidations_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -40,7 +40,7 @@ func TestGetLiquidableTraders(t *testing.T) {
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(110))},
LastPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(100))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(100))},
ActiveMarkets: []hu.Market{market},
MaintenanceMargin: db.configService.getMaintenanceMargin(),
}
Expand Down Expand Up @@ -74,7 +74,7 @@ func TestGetLiquidableTraders(t *testing.T) {
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(49))},
LastPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(50))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(50))},
ActiveMarkets: []hu.Market{market},
MinAllowableMargin: db.configService.getMinAllowableMargin(),
MaintenanceMargin: db.configService.getMaintenanceMargin(),
Expand All @@ -91,7 +91,7 @@ func TestGetLiquidableTraders(t *testing.T) {
// oracle price: notional = 49 * 10 = 490, pnl = 490-900 = -410, mf = (500-42-410)/490 = 0.097

// for hu.Min_Allowable_Margin we select the min of 2 hence orale_mf
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginLong, pendingFundingLong), hu.Min_Allowable_Margin, oraclePrices, hState.LastPrices, []Market{market})
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginLong, pendingFundingLong), hu.Min_Allowable_Margin, oraclePrices, hState.MidPrices, []Market{market})
assert.Equal(t, hu.Mul1e6(big.NewInt(490)), notionalPosition)
assert.Equal(t, hu.Mul1e6(big.NewInt(-410)), unrealizePnL)

Expand All @@ -101,11 +101,11 @@ func TestGetLiquidableTraders(t *testing.T) {
assert.Equal(t, hu.Mul1e6(big.NewInt(-50)), availableMargin)

// for hu.Maintenance_Margin we select the max of 2 hence, last_mf
notionalPosition, unrealizePnL = getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginLong, pendingFundingLong), hu.Maintenance_Margin, oraclePrices, hState.LastPrices, []Market{market})
notionalPosition, unrealizePnL = getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginLong, pendingFundingLong), hu.Maintenance_Margin, oraclePrices, hState.MidPrices, []Market{market})
assert.Equal(t, hu.Mul1e6(big.NewInt(500)), notionalPosition)
assert.Equal(t, hu.Mul1e6(big.NewInt(-400)), unrealizePnL)

// marginFraction := calcMarginFraction(_trader, pendingFundingLong, assets, oraclePrices, hState.LastPrices, []Market{market})
// marginFraction := calcMarginFraction(_trader, pendingFundingLong, assets, oraclePrices, hState.MidPrices, []Market{market})
marginFraction := calcMarginFraction(_trader, hState)
assert.Equal(t, new(big.Int).Div(hu.Mul1e6(new(big.Int).Add(new(big.Int).Sub(marginLong, pendingFundingLong), unrealizePnL)), notionalPosition), marginFraction)

Expand All @@ -131,7 +131,7 @@ func TestGetLiquidableTraders(t *testing.T) {
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(50))},
LastPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(49))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(49))},
ActiveMarkets: []hu.Market{market},
MinAllowableMargin: db.configService.getMinAllowableMargin(),
MaintenanceMargin: db.configService.getMaintenanceMargin(),
Expand All @@ -149,7 +149,7 @@ func TestGetLiquidableTraders(t *testing.T) {
// oracle price: notional = 50 * 10 = 500, pnl = 500-900 = -400, mf = (500-42-400)/500 = 0.116

// for hu.Min_Allowable_Margin we select the min of 2 hence last_mf
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginLong, pendingFundingLong), hu.Min_Allowable_Margin, oraclePrices, hState.LastPrices, []Market{market})
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginLong, pendingFundingLong), hu.Min_Allowable_Margin, oraclePrices, hState.MidPrices, []Market{market})
assert.Equal(t, hu.Mul1e6(big.NewInt(490)), notionalPosition)
assert.Equal(t, hu.Mul1e6(big.NewInt(-410)), unrealizePnL)

Expand All @@ -158,7 +158,7 @@ func TestGetLiquidableTraders(t *testing.T) {
assert.Equal(t, hu.Mul1e6(big.NewInt(-50)), availableMargin)

// for hu.Maintenance_Margin we select the max of 2 hence, oracle_mf
notionalPosition, unrealizePnL = getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginLong, pendingFundingLong), hu.Maintenance_Margin, oraclePrices, hState.LastPrices, []Market{market})
notionalPosition, unrealizePnL = getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginLong, pendingFundingLong), hu.Maintenance_Margin, oraclePrices, hState.MidPrices, []Market{market})
assert.Equal(t, hu.Mul1e6(big.NewInt(500)), notionalPosition)
assert.Equal(t, hu.Mul1e6(big.NewInt(-400)), unrealizePnL)

Expand Down Expand Up @@ -195,7 +195,7 @@ func TestGetLiquidableTraders(t *testing.T) {
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(143))},
LastPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(142))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(142))},
ActiveMarkets: []hu.Market{market},
MinAllowableMargin: db.configService.getMinAllowableMargin(),
MaintenanceMargin: db.configService.getMaintenanceMargin(),
Expand All @@ -212,7 +212,7 @@ func TestGetLiquidableTraders(t *testing.T) {
// oracle price based notional = 143 * 20 = 2860, pnl = 2100-2860 = -760, mf = (1000+37-760)/2860 = 0.096

// for hu.Min_Allowable_Margin we select the min of 2 hence, oracle_mf
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginShort, pendingFundingShort), hu.Min_Allowable_Margin, oraclePrices, hState.LastPrices, []Market{market})
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginShort, pendingFundingShort), hu.Min_Allowable_Margin, oraclePrices, hState.MidPrices, []Market{market})
assert.Equal(t, hu.Mul1e6(big.NewInt(2860)), notionalPosition)
assert.Equal(t, hu.Mul1e6(big.NewInt(-760)), unrealizePnL)

Expand All @@ -221,7 +221,7 @@ func TestGetLiquidableTraders(t *testing.T) {
assert.Equal(t, hu.Mul1e6(big.NewInt(-295)), availableMargin)

// for hu.Maintenance_Margin we select the max of 2 hence, last_mf
notionalPosition, unrealizePnL = getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginShort, pendingFundingShort), hu.Maintenance_Margin, oraclePrices, hState.LastPrices, []Market{market})
notionalPosition, unrealizePnL = getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginShort, pendingFundingShort), hu.Maintenance_Margin, oraclePrices, hState.MidPrices, []Market{market})
assert.Equal(t, hu.Mul1e6(big.NewInt(2840)), notionalPosition)
assert.Equal(t, hu.Mul1e6(big.NewInt(-740)), unrealizePnL)

Expand Down Expand Up @@ -250,7 +250,7 @@ func TestGetLiquidableTraders(t *testing.T) {
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(142))},
LastPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(143))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(143))},
ActiveMarkets: []hu.Market{market},
MinAllowableMargin: db.configService.getMinAllowableMargin(),
MaintenanceMargin: db.configService.getMaintenanceMargin(),
Expand All @@ -267,7 +267,7 @@ func TestGetLiquidableTraders(t *testing.T) {
// oracle price: notional = 142 * 20 = 2840, pnl = 2100-2840 = -740, mf = (1000+37-740)/2840 = 0.104

// for hu.Min_Allowable_Margin we select the min of 2 hence, last_mf
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginShort, pendingFundingShort), hu.Min_Allowable_Margin, oraclePrices, hState.LastPrices, []Market{market})
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginShort, pendingFundingShort), hu.Min_Allowable_Margin, oraclePrices, hState.MidPrices, []Market{market})
assert.Equal(t, hu.Mul1e6(big.NewInt(2860)), notionalPosition)
assert.Equal(t, hu.Mul1e6(big.NewInt(-760)), unrealizePnL)

Expand All @@ -276,7 +276,7 @@ func TestGetLiquidableTraders(t *testing.T) {
assert.Equal(t, hu.Mul1e6(big.NewInt(-295)), availableMargin)

// for hu.Maintenance_Margin we select the max of 2 hence, oracle_mf
notionalPosition, unrealizePnL = getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginShort, pendingFundingShort), hu.Maintenance_Margin, oraclePrices, hState.LastPrices, []Market{market})
notionalPosition, unrealizePnL = getTotalNotionalPositionAndUnrealizedPnl(_trader, new(big.Int).Add(marginShort, pendingFundingShort), hu.Maintenance_Margin, oraclePrices, hState.MidPrices, []Market{market})
assert.Equal(t, hu.Mul1e6(big.NewInt(2840)), notionalPosition)
assert.Equal(t, hu.Mul1e6(big.NewInt(-740)), unrealizePnL)

Expand Down
2 changes: 1 addition & 1 deletion plugin/evm/orderbook/matching_pipeline.go
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Original file line number Diff line number Diff line change
Expand Up @@ -74,7 +74,7 @@ func (pipeline *MatchingPipeline) Run(blockNumber *big.Int) bool {
hState := &hu.HubbleState{
Assets: pipeline.GetCollaterals(),
OraclePrices: pipeline.GetUnderlyingPrices(),
LastPrices: pipeline.GetMidPrices(),
MidPrices: pipeline.GetMidPrices(),
ActiveMarkets: markets,
MinAllowableMargin: pipeline.configService.getMinAllowableMargin(),
MaintenanceMargin: pipeline.configService.getMaintenanceMargin(),
Expand Down
8 changes: 0 additions & 8 deletions plugin/evm/orderbook/memory_database.go
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Original file line number Diff line number Diff line change
Expand Up @@ -231,7 +231,6 @@ type LimitOrderDatabase interface {
UpdateNextSamplePITime(nextSamplePITime uint64)
GetNextSamplePITime() uint64
UpdateLastPrice(market Market, lastPrice *big.Int)
GetLastPrice(market Market) *big.Int
GetLastPrices() map[Market]*big.Int
GetAllTraders() map[common.Address]Trader
GetOrderBookData() InMemoryDatabase
Expand Down Expand Up @@ -817,13 +816,6 @@ func (db *InMemoryDatabase) UpdateLastPremiumFraction(market Market, trader comm
db.TraderMap[trader].Positions[market].UnrealisedFunding = hu.Div1e18(big.NewInt(0).Mul(big.NewInt(0).Sub(cumulativePremiumFraction, lastPremiumFraction), db.TraderMap[trader].Positions[market].Size))
}

func (db *InMemoryDatabase) GetLastPrice(market Market) *big.Int {
db.mu.RLock()
defer db.mu.RUnlock()

return big.NewInt(0).Set(db.LastPrice[market])
}

func (db *InMemoryDatabase) GetLastPrices() map[Market]*big.Int {
db.mu.RLock()
defer db.mu.RUnlock()
Expand Down
4 changes: 2 additions & 2 deletions plugin/evm/orderbook/memory_database_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -422,7 +422,7 @@ func TestGetCancellableOrders(t *testing.T) {
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: priceMap,
LastPrices: inMemoryDatabase.GetLastPrices(),
MidPrices: inMemoryDatabase.GetLastPrices(),
ActiveMarkets: []Market{market},
MinAllowableMargin: inMemoryDatabase.configService.getMinAllowableMargin(),
MaintenanceMargin: inMemoryDatabase.configService.getMaintenanceMargin(),
Expand Down Expand Up @@ -799,7 +799,7 @@ func TestGetLastPrice(t *testing.T) {
var market Market = 1
lastPrice := big.NewInt(20)
inMemoryDatabase.UpdateLastPrice(market, lastPrice)
assert.Equal(t, lastPrice, inMemoryDatabase.GetLastPrice(market))
assert.Equal(t, lastPrice, inMemoryDatabase.GetLastPrices()[market])
}

func TestUpdateReservedMargin(t *testing.T) {
Expand Down
16 changes: 10 additions & 6 deletions plugin/evm/orderbook/service.go
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Original file line number Diff line number Diff line change
Expand Up @@ -73,6 +73,7 @@ type GetDebugDataResponse struct {
UnrealizePnL map[common.Address]*big.Int
LastPrice map[Market]*big.Int
OraclePrice map[Market]*big.Int
MidPrice map[Market]*big.Int
}

func (api *OrderBookAPI) GetDebugData(ctx context.Context, trader string) GetDebugDataResponse {
Expand All @@ -97,32 +98,34 @@ func (api *OrderBookAPI) GetDebugData(ctx context.Context, trader string) GetDeb
}
}

minAllowableMargin := api.configService.getMinAllowableMargin()
prices := api.configService.GetUnderlyingPrices()
lastPrices := api.db.GetLastPrices()
mPrices := api.configService.GetMidPrices()

oraclePrices := map[Market]*big.Int{}
midPrices := map[Market]*big.Int{}
count := api.configService.GetActiveMarketsCount()
markets := make([]Market, count)
for i := int64(0); i < count; i++ {
markets[i] = Market(i)
oraclePrices[Market(i)] = prices[Market(i)]
midPrices[Market(i)] = mPrices[Market(i)]
}
assets := api.configService.GetCollaterals()
for addr, trader := range traderMap {
pendingFunding := getTotalFunding(&trader, markets)
margin := new(big.Int).Sub(getNormalisedMargin(&trader, assets), pendingFunding)
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(&trader, margin, hu.Min_Allowable_Margin, oraclePrices, lastPrices, markets)
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(&trader, margin, hu.Min_Allowable_Margin, oraclePrices, midPrices, markets)
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: oraclePrices,
LastPrices: lastPrices,
MidPrices: midPrices,
ActiveMarkets: markets,
MinAllowableMargin: api.configService.getMinAllowableMargin(),
MaintenanceMargin: api.configService.getMaintenanceMargin(),
}
marginFraction := calcMarginFraction(&trader, hState)
availableMargin := getAvailableMargin(&trader, hState)
utilisedMargin := hu.Div1e6(new(big.Int).Mul(notionalPosition, minAllowableMargin))
utilisedMargin := hu.Div1e6(new(big.Int).Mul(notionalPosition, hState.MinAllowableMargin))

response.MarginFraction[addr] = marginFraction
response.AvailableMargin[addr] = availableMargin
Expand All @@ -134,8 +137,9 @@ func (api *OrderBookAPI) GetDebugData(ctx context.Context, trader string) GetDeb
response.ReservedMargin[addr] = trader.Margin.Reserved
}

response.LastPrice = lastPrices
response.LastPrice = api.db.GetLastPrices()
response.OraclePrice = oraclePrices
response.MidPrice = midPrices
return response
}

Expand Down
6 changes: 3 additions & 3 deletions plugin/evm/orderbook/trading_apis.go
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Original file line number Diff line number Diff line change
Expand Up @@ -184,8 +184,8 @@ func (api *TradingAPI) GetMarginAndPositions(ctx context.Context, trader string)
response.ReservedMargin = utils.BigIntToDecimal(traderInfo.Margin.Reserved, 6, 8)

for market, position := range traderInfo.Positions {
lastPrice := api.db.GetLastPrice(market)
notionalPosition, uPnL, mf := getPositionMetadata(lastPrice, position.OpenNotional, position.Size, margin)
midPrice := api.configService.GetMidPrices()[market]
notionalPosition, uPnL, mf := getPositionMetadata(midPrice, position.OpenNotional, position.Size, margin)

response.Positions = append(response.Positions, TraderPosition{
Market: market,
Expand All @@ -197,7 +197,7 @@ func (api *TradingAPI) GetMarginAndPositions(ctx context.Context, trader string)
MarginFraction: utils.BigIntToDecimal(mf, 6, 8),
NotionalPosition: utils.BigIntToDecimal(notionalPosition, 6, 8),
LiquidationPrice: "0", // todo: calculate
MarkPrice: utils.BigIntToDecimal(lastPrice, 6, 8),
MarkPrice: utils.BigIntToDecimal(midPrice, 6, 8),
})
}

Expand Down
2 changes: 1 addition & 1 deletion precompile/contracts/bibliophile/clearing_house.go
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Original file line number Diff line number Diff line change
Expand Up @@ -87,7 +87,7 @@ func getNotionalPositionAndMargin(stateDB contract.StateDB, input *GetNotionalPo
&hu.HubbleState{
Assets: GetCollaterals(stateDB),
OraclePrices: underlyingPrices,
LastPrices: midPrices,
MidPrices: midPrices,
ActiveMarkets: activeMarketIds,
},
&hu.UserState{
Expand Down

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