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* calcMarginFraction -> hu.GetMarginFraction * lastPrice -> midPrice in precompile * LastPrices -> MidPrices * fix e2e tests * review/safer code * Add margin_math tests * review comments --------- Co-authored-by: Shubham Goyal <[email protected]>
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,134 @@ | ||
| package hubbleutils | ||
|
|
||
| import ( | ||
| "fmt" | ||
| "math/big" | ||
| "testing" | ||
|
|
||
| "github.com/stretchr/testify/assert" | ||
| ) | ||
|
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| func TestWeightedAndSpotCollateral(t *testing.T) { | ||
| assets := []Collateral{ | ||
| { | ||
| Price: big.NewInt(80500000), // 80.5 | ||
| Weight: big.NewInt(800000), // 0.8 | ||
| Decimals: 6, | ||
| }, | ||
| { | ||
| Price: big.NewInt(410000), // 0.41 | ||
| Weight: big.NewInt(900000), // 0.9 | ||
| Decimals: 6, | ||
| }, | ||
| } | ||
| margins := []*big.Int{ | ||
| big.NewInt(3500000), // 3.5 | ||
| big.NewInt(1040000000), // 1040 | ||
| } | ||
| expectedWeighted := big.NewInt(609160000) // 609.16 | ||
| expectedSpot := big.NewInt(708150000) // 708.15 | ||
| resultWeighted, resultSpot := WeightedAndSpotCollateral(assets, margins) | ||
| fmt.Println(resultWeighted, resultSpot) | ||
| assert.Equal(t, expectedWeighted, resultWeighted) | ||
| assert.Equal(t, expectedSpot, resultSpot) | ||
|
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| normalisedMargin := GetNormalizedMargin(assets, margins) | ||
| assert.Equal(t, expectedWeighted, normalisedMargin) | ||
|
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| } | ||
|
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| func TestGetNotionalPosition(t *testing.T) { | ||
| price := Scale(big.NewInt(1200), 6) | ||
| size := Scale(big.NewInt(5), 18) | ||
| expected := Scale(big.NewInt(6000), 6) | ||
|
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| result := GetNotionalPosition(price, size) | ||
|
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| assert.Equal(t, expected, result) | ||
| } | ||
|
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| func TestGetPositionMetadata(t *testing.T) { | ||
| price := big.NewInt(20250000) // 20.25 | ||
| openNotional := big.NewInt(75369000) // 75.369 (size * 18.5) | ||
| size := Scale(big.NewInt(40740), 14) // 4.074 | ||
| margin := big.NewInt(20000000) // 20 | ||
|
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| notionalPosition, unrealisedPnl, marginFraction := GetPositionMetadata(price, openNotional, size, margin) | ||
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| expectedNotionalPosition := big.NewInt(82498500) // 82.4985 | ||
| expectedUnrealisedPnl := big.NewInt(7129500) // 7.1295 | ||
| expectedMarginFraction := big.NewInt(328848) // 0.328848 | ||
|
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| assert.Equal(t, expectedNotionalPosition, notionalPosition) | ||
| assert.Equal(t, expectedUnrealisedPnl, unrealisedPnl) | ||
| assert.Equal(t, expectedMarginFraction, marginFraction) | ||
|
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| // ------ when size is negative ------ | ||
| size = Scale(big.NewInt(-40740), 14) // -4.074 | ||
| openNotional = big.NewInt(75369000) // 75.369 (size * 18.5) | ||
| notionalPosition, unrealisedPnl, marginFraction = GetPositionMetadata(price, openNotional, size, margin) | ||
| fmt.Println("notionalPosition", notionalPosition, "unrealisedPnl", unrealisedPnl, "marginFraction", marginFraction) | ||
|
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| expectedNotionalPosition = big.NewInt(82498500) // 82.4985 | ||
| expectedUnrealisedPnl = big.NewInt(-7129500) // -7.1295 | ||
| expectedMarginFraction = big.NewInt(156008) // 0.156008 | ||
|
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| assert.Equal(t, expectedNotionalPosition, notionalPosition) | ||
| assert.Equal(t, expectedUnrealisedPnl, unrealisedPnl) | ||
| assert.Equal(t, expectedMarginFraction, marginFraction) | ||
| } | ||
|
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| func TestGetOptimalPnl(t *testing.T) { | ||
| hState := &HubbleState{ | ||
| Assets: []Collateral{ | ||
| { | ||
| Price: big.NewInt(101000000), // 101 | ||
| Weight: big.NewInt(900000), // 0.9 | ||
| Decimals: 6, | ||
| }, | ||
| { | ||
| Price: big.NewInt(54360000), // 54.36 | ||
| Weight: big.NewInt(700000), // 0.7 | ||
| Decimals: 6, | ||
| }, | ||
| }, | ||
| MidPrices: map[Market]*big.Int{ | ||
| 0: big.NewInt(1545340000), // 1545.34 | ||
| }, | ||
| OraclePrices: map[Market]*big.Int{ | ||
| 0: big.NewInt(1545210000), // 1545.21 | ||
| }, | ||
| ActiveMarkets: []Market{ | ||
| 0, | ||
| }, | ||
| MinAllowableMargin: big.NewInt(100000), // 0.1 | ||
| MaintenanceMargin: big.NewInt(200000), // 0.2 | ||
| } | ||
| position := &Position{ | ||
| Size: Scale(big.NewInt(582), 14), // 0.0582 | ||
| OpenNotional: big.NewInt(87500000), // 87.5 | ||
| } | ||
| margin := big.NewInt(20000000) // 20 | ||
| market := 0 | ||
| marginMode := Maintenance_Margin | ||
|
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| notionalPosition, uPnL := GetOptimalPnl(hState, position, margin, market, marginMode) | ||
|
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| expectedNotionalPosition := big.NewInt(89938788) | ||
| expectedUPnL := big.NewInt(2438788) | ||
|
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| assert.Equal(t, expectedNotionalPosition, notionalPosition) | ||
| assert.Equal(t, expectedUPnL, uPnL) | ||
|
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| // ------ when marginMode is Min_Allowable_Margin ------ | ||
|
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| marginMode = Min_Allowable_Margin | ||
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| notionalPosition, uPnL = GetOptimalPnl(hState, position, margin, market, marginMode) | ||
|
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| expectedNotionalPosition = big.NewInt(89931222) | ||
| expectedUPnL = big.NewInt(2431222) | ||
|
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| assert.Equal(t, expectedNotionalPosition, notionalPosition) | ||
| assert.Equal(t, expectedUPnL, uPnL) | ||
| } |
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