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Support multi-collateral in getNormalizedMargin functions + refactor (#…
…118) * getNormalisedMargin * refactor GetAvailableMargin * fix tests * update slot * rename vars * cleanup comments * baseSlot for collateral idx*3 * userState/hubbleState in margin_math * hu.Position * ticks.getQuote * misc changes
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,39 @@ | ||
| package hubbleutils | ||
|
|
||
| import ( | ||
| // "encoding/json" | ||
| "math/big" | ||
| ) | ||
|
|
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| type MarginMode = uint8 | ||
|
|
||
| const ( | ||
| Maintenance_Margin MarginMode = iota | ||
| Min_Allowable_Margin | ||
| ) | ||
|
|
||
| type Collateral struct { | ||
| Price *big.Int // scaled by 1e6 | ||
| Weight *big.Int // scaled by 1e6 | ||
| Decimals uint8 | ||
| } | ||
|
|
||
| type Market = int | ||
|
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| type Position struct { | ||
| OpenNotional *big.Int `json:"open_notional"` | ||
| Size *big.Int `json:"size"` | ||
| // UnrealisedFunding *big.Int `json:"unrealised_funding"` | ||
| // LastPremiumFraction *big.Int `json:"last_premium_fraction"` | ||
| // LiquidationThreshold *big.Int `json:"liquidation_threshold"` | ||
| } | ||
|
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| type Trader struct { | ||
| Positions map[Market]*Position `json:"positions"` // position for every market | ||
| Margin Margin `json:"margin"` // available margin/balance for every market | ||
| } | ||
|
|
||
| type Margin struct { | ||
| Reserved *big.Int `json:"reserved"` | ||
| Deposited map[Collateral]*big.Int `json:"deposited"` | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,113 @@ | ||
| package hubbleutils | ||
|
|
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| import ( | ||
| "math/big" | ||
| ) | ||
|
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| type HubbleState struct { | ||
| Assets []Collateral | ||
| OraclePrices map[Market]*big.Int | ||
| LastPrices map[Market]*big.Int | ||
| ActiveMarkets []Market | ||
| MinAllowableMargin *big.Int | ||
| } | ||
|
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| type UserState struct { | ||
| Positions map[Market]*Position | ||
| Margins []*big.Int | ||
| PendingFunding *big.Int | ||
| ReservedMargin *big.Int | ||
| } | ||
|
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| func GetAvailableMargin(hState *HubbleState, userState *UserState) *big.Int { | ||
| notionalPosition, margin := GetNotionalPositionAndMargin(hState, userState, Min_Allowable_Margin) | ||
| return GetAvailableMargin_(notionalPosition, margin, userState.ReservedMargin, hState.MinAllowableMargin) | ||
| } | ||
|
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| func GetAvailableMargin_(notionalPosition, margin, reservedMargin, minAllowableMargin *big.Int) *big.Int { | ||
| utilisedMargin := Div1e6(Mul(notionalPosition, minAllowableMargin)) | ||
| return Sub(Sub(margin, utilisedMargin), reservedMargin) | ||
| } | ||
|
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| func GetNotionalPositionAndMargin(hState *HubbleState, userState *UserState, marginMode MarginMode) (*big.Int, *big.Int) { | ||
| margin := Sub(GetNormalizedMargin(hState.Assets, userState.Margins), userState.PendingFunding) | ||
| notionalPosition, unrealizedPnl := GetTotalNotionalPositionAndUnrealizedPnl(hState, userState, margin, marginMode) | ||
| return notionalPosition, Add(margin, unrealizedPnl) | ||
| } | ||
|
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| func GetTotalNotionalPositionAndUnrealizedPnl(hState *HubbleState, userState *UserState, margin *big.Int, marginMode MarginMode) (*big.Int, *big.Int) { | ||
| notionalPosition := big.NewInt(0) | ||
| unrealizedPnl := big.NewInt(0) | ||
| for _, market := range hState.ActiveMarkets { | ||
| _notionalPosition, _unrealizedPnl := GetOptimalPnl(hState, userState.Positions[market], margin, market, marginMode) | ||
| notionalPosition.Add(notionalPosition, _notionalPosition) | ||
| unrealizedPnl.Add(unrealizedPnl, _unrealizedPnl) | ||
| } | ||
| return notionalPosition, unrealizedPnl | ||
| } | ||
|
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| func GetOptimalPnl(hState *HubbleState, position *Position, margin *big.Int, market Market, marginMode MarginMode) (notionalPosition *big.Int, uPnL *big.Int) { | ||
| if position == nil || position.Size.Sign() == 0 { | ||
| return big.NewInt(0), big.NewInt(0) | ||
| } | ||
|
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| // based on last price | ||
| notionalPosition, unrealizedPnl, lastPriceBasedMF := GetPositionMetadata( | ||
| hState.LastPrices[market], | ||
| position.OpenNotional, | ||
| position.Size, | ||
| margin, | ||
| ) | ||
|
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| // based on oracle price | ||
| oracleBasedNotional, oracleBasedUnrealizedPnl, oracleBasedMF := GetPositionMetadata( | ||
| hState.OraclePrices[market], | ||
| position.OpenNotional, | ||
| position.Size, | ||
| margin, | ||
| ) | ||
|
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| if (marginMode == Maintenance_Margin && oracleBasedMF.Cmp(lastPriceBasedMF) == 1) || // for liquidations | ||
| (marginMode == Min_Allowable_Margin && oracleBasedMF.Cmp(lastPriceBasedMF) == -1) { // for increasing leverage | ||
| return oracleBasedNotional, oracleBasedUnrealizedPnl | ||
| } | ||
| return notionalPosition, unrealizedPnl | ||
| } | ||
|
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| func GetPositionMetadata(price *big.Int, openNotional *big.Int, size *big.Int, margin *big.Int) (notionalPosition *big.Int, unrealisedPnl *big.Int, marginFraction *big.Int) { | ||
| notionalPosition = GetNotionalPosition(price, size) | ||
| uPnL := new(big.Int) | ||
| if notionalPosition.Sign() == 0 { | ||
| return big.NewInt(0), big.NewInt(0), big.NewInt(0) | ||
| } | ||
| if size.Cmp(big.NewInt(0)) > 0 { | ||
| uPnL = Sub(notionalPosition, openNotional) | ||
| } else { | ||
| uPnL = Sub(openNotional, notionalPosition) | ||
| } | ||
| mf := Div(Mul1e6(Add(margin, uPnL)), notionalPosition) | ||
| return notionalPosition, uPnL, mf | ||
| } | ||
|
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| func GetNotionalPosition(price *big.Int, size *big.Int) *big.Int { | ||
| return big.NewInt(0).Abs(Div1e18(Mul(size, price))) | ||
| } | ||
|
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| func GetNormalizedMargin(assets []Collateral, margins []*big.Int) *big.Int { | ||
| weighted, _ := WeightedAndSpotCollateral(assets, margins) | ||
| return weighted | ||
| } | ||
|
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| func WeightedAndSpotCollateral(assets []Collateral, margins []*big.Int) (weighted, spot *big.Int) { | ||
| weighted = big.NewInt(0) | ||
| spot = big.NewInt(0) | ||
| for i, asset := range assets { | ||
| if margins[i] == nil || margins[i].Sign() == 0 { | ||
| continue | ||
| } | ||
| numerator := Mul(margins[i], asset.Price) // margin[i] is scaled by asset.Decimal | ||
| spot.Add(spot, Unscale(numerator, asset.Decimals)) | ||
| weighted.Add(weighted, Unscale(Mul(numerator, asset.Weight), asset.Decimals+6)) | ||
| } | ||
| return weighted, spot | ||
| } |
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