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Mid price #121

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merged 7 commits into from
Sep 30, 2023
Merged

Mid price #121

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d7f9217
calcMarginFraction -> hu.GetMarginFraction
atvanguard Sep 29, 2023
d2e6d70
lastPrice -> midPrice in precompile
atvanguard Sep 29, 2023
48c6367
LastPrices -> MidPrices
atvanguard Sep 29, 2023
b226baf
fix e2e tests
atvanguard Sep 29, 2023
19117d0
review/safer code
atvanguard Sep 30, 2023
320e63d
Add margin_math tests
lumos42 Sep 30, 2023
4efffd4
review comments
atvanguard Sep 30, 2023
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5 changes: 5 additions & 0 deletions plugin/evm/orderbook/config_service.go
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Original file line number Diff line number Diff line change
Expand Up @@ -18,6 +18,7 @@ type IConfigService interface {
getMinSizeRequirement(market Market) *big.Int
GetActiveMarketsCount() int64
GetUnderlyingPrices() []*big.Int
GetMidPrices() []*big.Int
GetCollaterals() []hu.Collateral
GetLastPremiumFraction(market Market, trader *common.Address) *big.Int
GetCumulativePremiumFraction(market Market) *big.Int
Expand Down Expand Up @@ -84,6 +85,10 @@ func (cs *ConfigService) GetUnderlyingPrices() []*big.Int {
return bibliophile.GetUnderlyingPrices(cs.getStateAtCurrentBlock())
}

func (cs *ConfigService) GetMidPrices() []*big.Int {
return bibliophile.GetMidPrices(cs.getStateAtCurrentBlock())
}

func (cs *ConfigService) GetCollaterals() []hu.Collateral {
return bibliophile.GetCollaterals(cs.getStateAtCurrentBlock())
}
Expand Down
3 changes: 0 additions & 3 deletions plugin/evm/orderbook/hubbleutils/data_structures.go
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Original file line number Diff line number Diff line change
Expand Up @@ -23,9 +23,6 @@ type Market = int
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"`
}

type Trader struct {
Expand Down
16 changes: 13 additions & 3 deletions plugin/evm/orderbook/hubbleutils/margin_math.go
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Original file line number Diff line number Diff line change
@@ -1,15 +1,17 @@
package hubbleutils

import (
"math"
"math/big"
)

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
}

type UserState struct {
Expand All @@ -29,6 +31,14 @@ func GetAvailableMargin_(notionalPosition, margin, reservedMargin, minAllowableM
return Sub(Sub(margin, utilisedMargin), reservedMargin)
}

func GetMarginFraction(hState *HubbleState, userState *UserState) *big.Int {
notionalPosition, margin := GetNotionalPositionAndMargin(hState, userState, Maintenance_Margin)
if notionalPosition.Sign() == 0 {
return big.NewInt(math.MaxInt64)
}
return Div(Mul1e6(margin), notionalPosition)
}

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)
Expand All @@ -53,7 +63,7 @@ func GetOptimalPnl(hState *HubbleState, position *Position, margin *big.Int, mar

// based on last price
notionalPosition, unrealizedPnl, lastPriceBasedMF := GetPositionMetadata(
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hState.LastPrices[market],
hState.MidPrices[market],
position.OpenNotional,
position.Size,
margin,
Expand Down Expand Up @@ -90,7 +100,7 @@ func GetPositionMetadata(price *big.Int, openNotional *big.Int, size *big.Int, m
}

func GetNotionalPosition(price *big.Int, size *big.Int) *big.Int {
return big.NewInt(0).Abs(Div1e18(Mul(size, price)))
return big.NewInt(0).Abs(Div1e18(Mul(price, size)))
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}

func GetNormalizedMargin(assets []Collateral, margins []*big.Int) *big.Int {
Expand Down
16 changes: 8 additions & 8 deletions plugin/evm/orderbook/liquidations.go
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Expand Up @@ -22,14 +22,14 @@ func (liq LiquidablePosition) GetUnfilledSize() *big.Int {
return big.NewInt(0).Sub(liq.Size, liq.FilledSize)
}

func calcMarginFraction(trader *Trader, pendingFunding *big.Int, assets []hu.Collateral, oraclePrices map[Market]*big.Int, lastPrices map[Market]*big.Int, markets []Market) *big.Int {
margin := new(big.Int).Sub(getNormalisedMargin(trader, assets), pendingFunding)
notionalPosition, unrealizePnL := getTotalNotionalPositionAndUnrealizedPnl(trader, margin, hu.Maintenance_Margin, oraclePrices, lastPrices, markets)
if notionalPosition.Sign() == 0 {
return big.NewInt(math.MaxInt64)
func calcMarginFraction(trader *Trader, hState *hu.HubbleState) *big.Int {
userState := &hu.UserState{
Positions: translatePositions(trader.Positions),
Margins: getMargins(trader, len(hState.Assets)),
PendingFunding: getTotalFunding(trader, hState.ActiveMarkets),
ReservedMargin: trader.Margin.Reserved,
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}
margin.Add(margin, unrealizePnL)
return new(big.Int).Div(hu.Mul1e6(margin), notionalPosition)
return hu.GetMarginFraction(hState, userState)
}

func sortLiquidableSliceByMarginFraction(positions []LiquidablePosition) []LiquidablePosition {
Expand Down 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,
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ActiveMarkets: markets,
},
&hu.UserState{
Expand Down
105 changes: 72 additions & 33 deletions plugin/evm/orderbook/liquidations_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -15,8 +15,12 @@ func TestGetLiquidableTraders(t *testing.T) {
assets := []hu.Collateral{{Price: big.NewInt(1e6), Weight: big.NewInt(1e6), Decimals: 6}}
t.Run("When no trader exist", func(t *testing.T) {
db := getDatabase()
oraclePrices := map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(110))}
liquidablePositions, _ := db.GetNaughtyTraders(oraclePrices, assets, []Market{market})
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(110))},
ActiveMarkets: []hu.Market{market},
}
liquidablePositions, _ := db.GetNaughtyTraders(hState)
assert.Equal(t, 0, len(liquidablePositions))
})

Expand All @@ -33,9 +37,14 @@ func TestGetLiquidableTraders(t *testing.T) {
Positions: map[Market]*Position{},
},
}
db.LastPrice = map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(100))}
oraclePrices := map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(110))}
liquidablePositions, _ := db.GetNaughtyTraders(oraclePrices, assets, []Market{market})
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(110))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(100))},
ActiveMarkets: []hu.Market{market},
MaintenanceMargin: db.configService.getMaintenanceMargin(),
}
liquidablePositions, _ := db.GetNaughtyTraders(hState)
assert.Equal(t, 0, len(liquidablePositions))
})

Expand All @@ -61,9 +70,16 @@ func TestGetLiquidableTraders(t *testing.T) {
db.TraderMap = map[common.Address]*Trader{
longTraderAddress: &longTrader,
}
db.LastPrice = map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(50))}
oraclePrices := map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(49))}

hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(49))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(50))},
ActiveMarkets: []hu.Market{market},
MinAllowableMargin: db.configService.getMinAllowableMargin(),
MaintenanceMargin: db.configService.getMaintenanceMargin(),
}
oraclePrices := hState.OraclePrices
// assertions begin
// for long trader
_trader := &longTrader
Expand All @@ -75,23 +91,25 @@ 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, db.GetLastPrices(), []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)

availableMargin := getAvailableMargin(_trader, pendingFundingLong, assets, oraclePrices, db.GetLastPrices(), db.configService.getMinAllowableMargin(), []Market{market})
hState.MinAllowableMargin = db.configService.getMinAllowableMargin()
availableMargin := getAvailableMargin(_trader, hState)
// availableMargin = 500 - 42 (pendingFundingLong) - 410 (uPnL) - 490/5 = -50
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, db.GetLastPrices(), []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, db.GetLastPrices(), []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)

liquidablePositions, _ := db.GetNaughtyTraders(oraclePrices, assets, []Market{market})
liquidablePositions, _ := db.GetNaughtyTraders(hState)
assert.Equal(t, 0, len(liquidablePositions))
})

Expand All @@ -110,8 +128,15 @@ func TestGetLiquidableTraders(t *testing.T) {
db.TraderMap = map[common.Address]*Trader{
longTraderAddress: &longTrader,
}
db.LastPrice = map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(49))}
oraclePrices := map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(50))}
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(50))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(49))},
ActiveMarkets: []hu.Market{market},
MinAllowableMargin: db.configService.getMinAllowableMargin(),
MaintenanceMargin: db.configService.getMaintenanceMargin(),
}
oraclePrices := hState.OraclePrices

// assertions begin
// for long trader
Expand All @@ -124,23 +149,23 @@ 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, db.GetLastPrices(), []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)

availableMargin := getAvailableMargin(_trader, pendingFundingLong, assets, oraclePrices, db.GetLastPrices(), db.configService.getMinAllowableMargin(), []Market{market})
availableMargin := getAvailableMargin(_trader, hState)
// availableMargin = 500 - 42 (pendingFundingLong) - 410 (uPnL) - 490/5 = -50
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, db.GetLastPrices(), []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, db.GetLastPrices(), []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)

liquidablePositions, _ := db.GetNaughtyTraders(oraclePrices, assets, []Market{market})
liquidablePositions, _ := db.GetNaughtyTraders(hState)
assert.Equal(t, 0, len(liquidablePositions))
})
})
Expand All @@ -167,8 +192,15 @@ func TestGetLiquidableTraders(t *testing.T) {
db.TraderMap = map[common.Address]*Trader{
shortTraderAddress: &shortTrader,
}
db.LastPrice = map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(142))}
oraclePrices := map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(143))}
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(143))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(142))},
ActiveMarkets: []hu.Market{market},
MinAllowableMargin: db.configService.getMinAllowableMargin(),
MaintenanceMargin: db.configService.getMaintenanceMargin(),
}
oraclePrices := hState.OraclePrices

// assertions begin
_trader := &shortTrader
Expand All @@ -180,23 +212,23 @@ 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, db.GetLastPrices(), []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)

availableMargin := getAvailableMargin(_trader, pendingFundingShort, assets, oraclePrices, db.GetLastPrices(), db.configService.getMinAllowableMargin(), []Market{market})
availableMargin := getAvailableMargin(_trader, hState)
// availableMargin = 1000 + 37 (pendingFundingShort) -760 (uPnL) - 2860/5 = -295
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, db.GetLastPrices(), []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)

marginFraction := calcMarginFraction(_trader, pendingFundingShort, assets, oraclePrices, db.GetLastPrices(), []Market{market})
marginFraction := calcMarginFraction(_trader, hState)
assert.Equal(t, new(big.Int).Div(hu.Mul1e6(new(big.Int).Add(new(big.Int).Sub(marginShort, pendingFundingShort), unrealizePnL)), notionalPosition), marginFraction)

liquidablePositions, _ := db.GetNaughtyTraders(oraclePrices, assets, []Market{market})
liquidablePositions, _ := db.GetNaughtyTraders(hState)
assert.Equal(t, 0, len(liquidablePositions))
})

Expand All @@ -215,8 +247,15 @@ func TestGetLiquidableTraders(t *testing.T) {
db.TraderMap = map[common.Address]*Trader{
shortTraderAddress: &shortTrader,
}
db.LastPrice = map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(143))}
oraclePrices := map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(142))}
hState := &hu.HubbleState{
Assets: assets,
OraclePrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(142))},
MidPrices: map[Market]*big.Int{market: hu.Mul1e6(big.NewInt(143))},
ActiveMarkets: []hu.Market{market},
MinAllowableMargin: db.configService.getMinAllowableMargin(),
MaintenanceMargin: db.configService.getMaintenanceMargin(),
}
oraclePrices := hState.OraclePrices

// assertions begin
_trader := &shortTrader
Expand All @@ -228,23 +267,23 @@ 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, db.GetLastPrices(), []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)

availableMargin := getAvailableMargin(_trader, pendingFundingShort, assets, oraclePrices, db.GetLastPrices(), db.configService.getMinAllowableMargin(), []Market{market})
availableMargin := getAvailableMargin(_trader, hState)
// availableMargin = 1000 + 37 (pendingFundingShort) - 760 (uPnL) - 2860/5 = -295
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, db.GetLastPrices(), []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)

marginFraction := calcMarginFraction(_trader, pendingFundingShort, assets, oraclePrices, db.GetLastPrices(), []Market{market})
marginFraction := calcMarginFraction(_trader, hState)
assert.Equal(t, new(big.Int).Div(hu.Mul1e6(new(big.Int).Add(new(big.Int).Sub(marginShort, pendingFundingShort), unrealizePnL)), notionalPosition), marginFraction)

liquidablePositions, _ := db.GetNaughtyTraders(oraclePrices, assets, []Market{market})
liquidablePositions, _ := db.GetNaughtyTraders(hState)
assert.Equal(t, 0, len(liquidablePositions))
})
})
Expand Down
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