forked from ava-labs/subnet-evm
-
Notifications
You must be signed in to change notification settings - Fork 3
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
* 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]>
- Loading branch information
1 parent
68774e3
commit 9d06705
Showing
15 changed files
with
395 additions
and
141 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| 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" | ||
| ) | ||
|
|
||
| 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) | ||
|
|
||
| normalisedMargin := GetNormalizedMargin(assets, margins) | ||
| assert.Equal(t, expectedWeighted, normalisedMargin) | ||
|
|
||
| } | ||
|
|
||
| func TestGetNotionalPosition(t *testing.T) { | ||
| price := Scale(big.NewInt(1200), 6) | ||
| size := Scale(big.NewInt(5), 18) | ||
| expected := Scale(big.NewInt(6000), 6) | ||
|
|
||
| result := GetNotionalPosition(price, size) | ||
|
|
||
| assert.Equal(t, expected, result) | ||
| } | ||
|
|
||
| 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 | ||
|
|
||
| notionalPosition, unrealisedPnl, marginFraction := GetPositionMetadata(price, openNotional, size, margin) | ||
|
|
||
| expectedNotionalPosition := big.NewInt(82498500) // 82.4985 | ||
| expectedUnrealisedPnl := big.NewInt(7129500) // 7.1295 | ||
| expectedMarginFraction := big.NewInt(328848) // 0.328848 | ||
|
|
||
| assert.Equal(t, expectedNotionalPosition, notionalPosition) | ||
| assert.Equal(t, expectedUnrealisedPnl, unrealisedPnl) | ||
| assert.Equal(t, expectedMarginFraction, marginFraction) | ||
|
|
||
| // ------ 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) | ||
|
|
||
| expectedNotionalPosition = big.NewInt(82498500) // 82.4985 | ||
| expectedUnrealisedPnl = big.NewInt(-7129500) // -7.1295 | ||
| expectedMarginFraction = big.NewInt(156008) // 0.156008 | ||
|
|
||
| assert.Equal(t, expectedNotionalPosition, notionalPosition) | ||
| assert.Equal(t, expectedUnrealisedPnl, unrealisedPnl) | ||
| assert.Equal(t, expectedMarginFraction, marginFraction) | ||
| } | ||
|
|
||
| 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 | ||
|
|
||
| notionalPosition, uPnL := GetOptimalPnl(hState, position, margin, market, marginMode) | ||
|
|
||
| expectedNotionalPosition := big.NewInt(89938788) | ||
| expectedUPnL := big.NewInt(2438788) | ||
|
|
||
| assert.Equal(t, expectedNotionalPosition, notionalPosition) | ||
| assert.Equal(t, expectedUPnL, uPnL) | ||
|
|
||
| // ------ when marginMode is Min_Allowable_Margin ------ | ||
|
|
||
| marginMode = Min_Allowable_Margin | ||
|
|
||
| notionalPosition, uPnL = GetOptimalPnl(hState, position, margin, market, marginMode) | ||
|
|
||
| expectedNotionalPosition = big.NewInt(89931222) | ||
| expectedUPnL = big.NewInt(2431222) | ||
|
|
||
| assert.Equal(t, expectedNotionalPosition, notionalPosition) | ||
| assert.Equal(t, expectedUPnL, uPnL) | ||
| } |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Oops, something went wrong.