Merge pull request #11366 from vegaprotocol/loss-socialisation-underflow

fix: underflow on win socialisation check
vegaprotocol · Jun 12, 2024 · 834c3e0 · 834c3e0
2 parents 2c13dcb + f1834e5
commit 834c3e0
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Showing 4 changed files with 137 additions and 7 deletions.
diff --git a/core/settlement/engine.go b/core/settlement/engine.go
@@ -345,7 +345,10 @@ func (e *Engine) SettleMTM(ctx context.Context, markPrice *num.Uint, positions [
 	}
 	// no need for this lock anymore
 	e.mu.Unlock()
-	delta := num.UintZero().Sub(lossTotal, winTotal)
+	delta := num.UintZero()
+	if lossTotal.GT(winTotal) {
+		delta.Sub(lossTotal, winTotal)
+	}
 	// make sure largests share is never nil
 	if largestShare == nil {
 		largestShare = &mtmTransfer{

diff --git a/core/settlement/engine_test.go b/core/settlement/engine_test.go
@@ -84,6 +84,7 @@ func TestMTMWinDistribution(t *testing.T) {
 	t.Run("A MTM loss party with a loss of value 1, with several parties needing a win", testMTMWinOneExcess)
 	t.Run("Distribute win excess in a scenario where no transfer amount is < 1", testMTMWinNoZero)
 	t.Run("Distribute loss excess in a scenario where no transfer amount is < 1", testMTMWinWithZero)
+	t.Run("A MTM case where win total > loss total", testMTMWinGTLoss)
 }
 
 func testSettlingAFundingPeriod(t *testing.T) {
@@ -1395,6 +1396,105 @@ func testMTMWinWithZero(t *testing.T) {
 	require.NotEmpty(t, transfers)
 }
 
+func testMTMWinGTLoss(t *testing.T) {
+	// cheat by setting the factor to some specific value, makes it easier to create a scenario where win/loss amounts don't match
+	engine := getTestEngineWithFactor(t, 5)
+	defer engine.Finish()
+
+	price := num.NewUint(100000)
+	one := num.NewUint(1)
+	two := num.Sum(one, one)
+	ctx := context.Background()
+
+	initPos := []testPos{
+		{
+			price: price.Clone(),
+			party: "party-1",
+			size:  10,
+		},
+		{
+			price: price.Clone(),
+			party: "party-2",
+			size:  -4,
+		},
+		{
+			price: price.Clone(),
+			party: "party-3",
+			size:  -1,
+		},
+		{
+			price: price.Clone(),
+			party: "party-4",
+			size:  -5,
+		},
+		{
+			price: price.Clone(),
+			party: "party-6",
+			size:  -1,
+		},
+		{
+			price: price.Clone(),
+			party: "party-7",
+			size:  1,
+		},
+	}
+	init := make([]events.MarketPosition, 0, len(initPos))
+	for _, p := range initPos {
+		init = append(init, p)
+	}
+
+	somePrice := num.Sum(price, two)
+	newPrice := num.Sum(price, one)
+	newParty := testPos{
+		size:  3,
+		price: newPrice.Clone(),
+		party: "party-5",
+	}
+
+	trades := []*types.Trade{
+		{
+			Size:   1,
+			Buyer:  newParty.party,
+			Seller: initPos[0].party,
+			Price:  somePrice.Clone(),
+		},
+		{
+			Size:   1,
+			Buyer:  newParty.party,
+			Seller: initPos[3].party,
+			Price:  somePrice.Clone(),
+		},
+		{
+			Size:   1,
+			Buyer:  newParty.party,
+			Seller: initPos[0].party,
+			Price:  newPrice.Clone(),
+		},
+	}
+	updates := make([]events.MarketPosition, 0, len(initPos)+1)
+	for _, trade := range trades {
+		for i, p := range initPos {
+			if p.party == trade.Seller {
+				p.size -= int64(trade.Size)
+				initPos[i] = p
+			}
+			p.price = trade.Price.Clone()
+		}
+	}
+	for _, p := range initPos {
+		updates = append(updates, p)
+	}
+	updates = append(updates, newParty)
+	engine.Update(init)
+	for _, trade := range trades {
+		engine.AddTrade(trade)
+	}
+	transfers := engine.SettleMTM(ctx, newPrice.Clone(), updates)
+	require.NotEmpty(t, transfers)
+	// just a single transfer of 2
+	require.True(t, transfers[0].Transfer().Amount.Amount.EQ(two))
+}
+
 // {{{.
 func (te *testEngine) getExpiryPositions(positions ...posValue) []events.MarketPosition {
 	te.positions = make([]*mocks.MockMarketPosition, 0, len(positions))

diff --git a/datanode/networkhistory/service_test.go b/datanode/networkhistory/service_test.go
@@ -379,12 +379,12 @@ func TestMain(t *testing.M) {
 		log.Infof("%s", goldenSourceHistorySegment[4000].HistorySegmentID)
 		log.Infof("%s", goldenSourceHistorySegment[5000].HistorySegmentID)
 
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[1000].HistorySegmentID, "QmRHcfKhp4XHAaXDKwEqKVrhTCJPT53pQ7RQEoAj423CA3", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2000].HistorySegmentID, "QmZPvVJj9P3yQxr9S4Ck5NFp1ncKmQN1HQzLt9h8A7Gxoz", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2500].HistorySegmentID, "QmPnhU8dxWJoMRUwwJZ35YnS9SV7PFFSE8PJuB5u9iscwR", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[3000].HistorySegmentID, "Qma4K4eug73JcwP9v5Cgrf4L9LkQ3W5H5TKQEb8zdqjpXM", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[4000].HistorySegmentID, "QmX3P7SKGNXma8be9c3Q94K6ycMuc67oRhAJAREntxzXUx", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[5000].HistorySegmentID, "QmUbgGpmRZi8mc3nmkGewwksSiSCR3gyhoa4JXa3ca9RxT", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[1000].HistorySegmentID, "Qmf5QzhfokNqFE7N5Kf1oUmrzA94tTJNRWxB9ULShf1uzV", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2000].HistorySegmentID, "QmbsusmxWeUxCHdJRznLbtcevgKhF4dkvL9yFnhpJS3wQa", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2500].HistorySegmentID, "QmPfUnXkuBzmMjB2rcdtGMNhdd6mc3cvYMfS9rnMXjfu6L", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[3000].HistorySegmentID, "QmRwtm3pUuUYG69tmbssFkYd2DafLELBeDfxuEjqjmXct8", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[4000].HistorySegmentID, "QmQmC4xrdSJMiJ9MLgWdU1mptVv9TdSsYyosusd8dCt8A4", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[5000].HistorySegmentID, "QmU3zDAHiQYWLyeYzwwCAynoh8A7g38ZaLpdV2h5pgkuL5", snapshots)
 	}, postgresRuntimePath, sqlFs)
 
 	if exitCode != 0 {

diff --git a/datanode/sqlstore/migrations/0112_fix_pnl.sql b/datanode/sqlstore/migrations/0112_fix_pnl.sql
@@ -0,0 +1,27 @@
+-- +goose Up
+
+WITH updated_pnl AS (
+    SELECT DISTINCT ON (pc.party_id) pc.party_id AS pid, pc.market_id AS mid, pc.loss - ph.loss AS correct_loss, pc.loss_socialisation_amount - ph.loss_socialisation_amount AS correct_loss_soc,
+		pc.realised_pnl - ph.realised_pnl AS correct_pnl,
+		pc.pending_realised_pnl - ph.pending_realised_pnl AS correct_ppnl,
+		pc.adjustment - ph.adjustment AS correct_adj
+	FROM positions_current AS pc
+	JOIN positions AS ph
+		ON pc.party_id = ph.party_id
+		AND pc.market_id = ph.market_id
+	WHERE pc.party_id IN ('\x947a700141e3d175304ee176d0beecf9ee9f462e09330e33c386952caf21f679', '\x15a8f372e255c6fa596a0b3acd62bc3be63b65188c23d33fc350f38ef52902e3', '\xaa1ce33b0b31a2e0f0a947ba83f64fa4a7e5d977fffb82c278c3b33fb0498113', '\x6527ffdd223ef2b4695ad90d832adc5493e9b8e25ad3185e67d873767f1f275e')
+		AND ph.vega_time >= '2024-06-08 19:38:49.89053+00'
+		AND pc.market_id = '\xe63a37edae8b74599d976f5dedbf3316af82579447f7a08ae0495a021fd44d13'
+	ORDER BY pc.party_id, ph.vega_time ASC
+)
+UPDATE positions_current
+SET loss = updated_pnl.correct_loss,
+    loss_socialisation_amount = updated_pnl.correct_loss_soc,
+    realised_pnl = updated_pnl.correct_pnl,
+    pending_realised_pnl = updated_pnl.correct_ppnl,
+	adjustment = updated_pnl.correct_adj
+FROM updated_pnl
+WHERE party_id = updated_pnl.pid AND market_id = updated_pnl.mid;
+
+-- +goose Down
+-- nothing