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rename order_size_ppm to order_size_pct_ppm in vault params (#1271)
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@tqin7
tqin7 authored Mar 28, 2024
1 parent 16bc93a commit 31a0fb7
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Showing 13 changed files with 62 additions and 61 deletions.
14 changes: 7 additions & 7 deletions indexer/packages/v4-protos/src/codegen/dydxprotocol/vault/params.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -23,7 +23,7 @@ export interface Params {
skewFactorPpm: number;
/** The percentage of vault equity that each order is sized at. */

orderSizePpm: number;
orderSizePctPpm: number;
/** The duration that a vault's orders are valid for. */

orderExpirationSeconds: number;
Expand Down Expand Up @@ -51,7 +51,7 @@ export interface ParamsSDKType {
skew_factor_ppm: number;
/** The percentage of vault equity that each order is sized at. */

order_size_ppm: number;
order_size_pct_ppm: number;
/** The duration that a vault's orders are valid for. */

order_expiration_seconds: number;
Expand All @@ -63,7 +63,7 @@ function createBaseParams(): Params {
spreadMinPpm: 0,
spreadBufferPpm: 0,
skewFactorPpm: 0,
orderSizePpm: 0,
orderSizePctPpm: 0,
orderExpirationSeconds: 0
};
}
Expand All @@ -86,8 +86,8 @@ export const Params = {
writer.uint32(32).uint32(message.skewFactorPpm);
}

if (message.orderSizePpm !== 0) {
writer.uint32(40).uint32(message.orderSizePpm);
if (message.orderSizePctPpm !== 0) {
writer.uint32(40).uint32(message.orderSizePctPpm);
}

if (message.orderExpirationSeconds !== 0) {
Expand Down Expand Up @@ -123,7 +123,7 @@ export const Params = {
break;

case 5:
message.orderSizePpm = reader.uint32();
message.orderSizePctPpm = reader.uint32();
break;

case 6:
Expand All @@ -145,7 +145,7 @@ export const Params = {
message.spreadMinPpm = object.spreadMinPpm ?? 0;
message.spreadBufferPpm = object.spreadBufferPpm ?? 0;
message.skewFactorPpm = object.skewFactorPpm ?? 0;
message.orderSizePpm = object.orderSizePpm ?? 0;
message.orderSizePctPpm = object.orderSizePctPpm ?? 0;
message.orderExpirationSeconds = object.orderExpirationSeconds ?? 0;
return message;
}
Expand Down
2 changes: 1 addition & 1 deletion proto/dydxprotocol/vault/params.proto
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Original file line number Diff line number Diff line change
Expand Up @@ -21,7 +21,7 @@ message Params {
uint32 skew_factor_ppm = 4;

// The percentage of vault equity that each order is sized at.
uint32 order_size_ppm = 5;
uint32 order_size_pct_ppm = 5;

// The duration that a vault's orders are valid for.
uint32 order_expiration_seconds = 6;
Expand Down
2 changes: 1 addition & 1 deletion protocol/app/testdata/default_genesis_state.json
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Original file line number Diff line number Diff line change
Expand Up @@ -461,7 +461,7 @@
"spread_min_ppm": 3000,
"spread_buffer_ppm": 1500,
"skew_factor_ppm": 500000,
"order_size_ppm": 100000,
"order_size_pct_ppm": 100000,
"order_expiration_seconds": 2
}
},
Expand Down
2 changes: 1 addition & 1 deletion protocol/scripts/genesis/sample_pregenesis.json
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Original file line number Diff line number Diff line change
Expand Up @@ -1810,7 +1810,7 @@
"params": {
"layers": 2,
"order_expiration_seconds": 2,
"order_size_ppm": 100000,
"order_size_pct_ppm": 100000,
"skew_factor_ppm": 500000,
"spread_buffer_ppm": 1500,
"spread_min_ppm": 3000
Expand Down
2 changes: 1 addition & 1 deletion protocol/testutil/constants/genesis.go
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Original file line number Diff line number Diff line change
Expand Up @@ -1498,7 +1498,7 @@ const GenesisState = `{
"spread_min_ppm": 3000,
"spread_buffer_ppm": 1500,
"skew_factor_ppm": 500000,
"order_size_ppm": 100000,
"order_size_pct_ppm": 100000,
"order_expiration_seconds": 2
}
},
Expand Down
4 changes: 2 additions & 2 deletions protocol/x/vault/keeper/msg_server_update_params_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -41,11 +41,11 @@ func TestMsgUpdateParams(t *testing.T) {
SpreadMinPpm: 4_000,
SpreadBufferPpm: 2_000,
SkewFactorPpm: 500_000,
OrderSizePpm: 0, // invalid
OrderSizePctPpm: 0, // invalid
OrderExpirationSeconds: 5,
},
},
expectedErr: types.ErrInvalidOrderSizePpm.Error(),
expectedErr: types.ErrInvalidOrderSizePctPpm.Error(),
},
}

Expand Down
4 changes: 2 additions & 2 deletions protocol/x/vault/keeper/orders.go
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Original file line number Diff line number Diff line change
Expand Up @@ -189,7 +189,7 @@ func (k Keeper) GetVaultClobOrders(
// = order_size_pct * equity / (price * 10^(exponent - quote_atomic_resolution + base_atomic_resolution))
orderSizeBaseQuantums := lib.BigRatMulPpm(
new(big.Rat).SetInt(equity),
params.OrderSizePpm,
params.OrderSizePctPpm,
)
orderSizeBaseQuantums = orderSizeBaseQuantums.Quo(
orderSizeBaseQuantums,
Expand Down Expand Up @@ -228,7 +228,7 @@ func (k Keeper) GetVaultClobOrders(
) *clobtypes.Order {
// Calculate size that will have been filled before this layer is matched.
sizeFilledByThisLayer := new(big.Rat).SetFrac(
new(big.Int).SetUint64(uint64(params.OrderSizePpm*layer)),
new(big.Int).SetUint64(uint64(params.OrderSizePctPpm*layer)),
lib.BigIntOneMillion(),
)

Expand Down
8 changes: 4 additions & 4 deletions protocol/x/vault/keeper/orders_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -254,7 +254,7 @@ func TestGetVaultClobOrders(t *testing.T) {
SpreadMinPpm: 3_000, // 30 bps
SpreadBufferPpm: 1_500, // 15 bps
SkewFactorPpm: 500_000, // 0.5
OrderSizePpm: 100_000, // 10%
OrderSizePctPpm: 100_000, // 10%
OrderExpirationSeconds: 2, // 2 seconds
},
vaultId: constants.Vault_Clob_0,
Expand All @@ -273,7 +273,7 @@ func TestGetVaultClobOrders(t *testing.T) {
// b_i = oracle_price * (1 + skew_i) / (1 + spread)^{i+1}
// 6. subticks needs to be a multiple of subticks_per_tick (round up for asks, round down for bids)
// To calculate size of each order
// 1. `order_size_ppm * equity / oracle_price`.
// 1. `order_size_pct_ppm * equity / oracle_price`.
expectedOrderSubticks: []uint64{
// spreadPpm = max(3_000, 1_500 + 50) = 3_000
// spread = 0.003
Expand Down Expand Up @@ -312,7 +312,7 @@ func TestGetVaultClobOrders(t *testing.T) {
SpreadMinPpm: 3_000, // 30 bps
SpreadBufferPpm: 8_500, // 85 bps
SkewFactorPpm: 900_000, // 0.9
OrderSizePpm: 200_000, // 20%
OrderSizePctPpm: 200_000, // 20%
OrderExpirationSeconds: 4, // 4 seconds
},
vaultId: constants.Vault_Clob_1,
Expand All @@ -331,7 +331,7 @@ func TestGetVaultClobOrders(t *testing.T) {
// b_i = oracle_price * (1 + skew_i) / (1 + spread)^{i+1}
// 6. subticks needs to be a multiple of subticks_per_tick (round up for asks, round down for bids)
// To calculate size of each order
// 1. `order_size_ppm * equity / oracle_price`.
// 1. `order_size_pct_ppm * equity / oracle_price`.
expectedOrderSubticks: []uint64{
// spreadPpm = max(3_000, 8_500 + 50) = 8_550
// spread = 0.00855
Expand Down
4 changes: 2 additions & 2 deletions protocol/x/vault/keeper/params_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -23,7 +23,7 @@ func TestGetSetParams(t *testing.T) {
SpreadMinPpm: 4_000,
SpreadBufferPpm: 2_000,
SkewFactorPpm: 999_999,
OrderSizePpm: 200_000,
OrderSizePctPpm: 200_000,
OrderExpirationSeconds: 10,
}
err := k.SetParams(ctx, newParams)
Expand All @@ -36,7 +36,7 @@ func TestGetSetParams(t *testing.T) {
SpreadMinPpm: 4_000,
SpreadBufferPpm: 2_000,
SkewFactorPpm: 1_000_000,
OrderSizePpm: 200_000,
OrderSizePctPpm: 200_000,
OrderExpirationSeconds: 0, // invalid
}
err = k.SetParams(ctx, invalidParams)
Expand Down
4 changes: 2 additions & 2 deletions protocol/x/vault/types/errors.go
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Original file line number Diff line number Diff line change
Expand Up @@ -40,10 +40,10 @@ var (
7,
"Fraction is nil",
)
ErrInvalidOrderSizePpm = errorsmod.Register(
ErrInvalidOrderSizePctPpm = errorsmod.Register(
ModuleName,
8,
"OrderSizePpm must be strictly greater than 0",
"OrderSizePctPpm must be strictly greater than 0",
)
ErrInvalidOrderExpirationSeconds = errorsmod.Register(
ModuleName,
Expand Down
6 changes: 3 additions & 3 deletions protocol/x/vault/types/params.go
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Original file line number Diff line number Diff line change
Expand Up @@ -9,7 +9,7 @@ func DefaultParams() Params {
SpreadMinPpm: 3_000, // 30 bps
SpreadBufferPpm: 1_500, // 15 bps
SkewFactorPpm: 500_000, // 0.5
OrderSizePpm: 100_000, // 10%
OrderSizePctPpm: 100_000, // 10%
OrderExpirationSeconds: 2, // 2 seconds
}
}
Expand All @@ -25,8 +25,8 @@ func (p Params) Validate() error {
return ErrInvalidSpreadMinPpm
}
// Order size must be positive.
if p.OrderSizePpm == 0 {
return ErrInvalidOrderSizePpm
if p.OrderSizePctPpm == 0 {
return ErrInvalidOrderSizePctPpm
}
// Order expiration seconds must be positive.
if p.OrderExpirationSeconds == 0 {
Expand Down
59 changes: 30 additions & 29 deletions protocol/x/vault/types/params.pb.go
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12 changes: 6 additions & 6 deletions protocol/x/vault/types/params_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -24,7 +24,7 @@ func TestValidate(t *testing.T) {
SpreadMinPpm: 3_000,
SpreadBufferPpm: 1_500,
SkewFactorPpm: 500_000,
OrderSizePpm: 100_000,
OrderSizePctPpm: 100_000,
OrderExpirationSeconds: 5,
},
expectedErr: types.ErrInvalidLayers,
Expand All @@ -35,29 +35,29 @@ func TestValidate(t *testing.T) {
SpreadMinPpm: 0,
SpreadBufferPpm: 1_500,
SkewFactorPpm: 500_000,
OrderSizePpm: 100_000,
OrderSizePctPpm: 100_000,
OrderExpirationSeconds: 5,
},
expectedErr: types.ErrInvalidSpreadMinPpm,
},
"Failure - OrderSizePpm is 0": {
"Failure - OrderSizePctPpm is 0": {
params: types.Params{
Layers: 2,
SpreadMinPpm: 3_000,
SpreadBufferPpm: 1_500,
SkewFactorPpm: 500_000,
OrderSizePpm: 0,
OrderSizePctPpm: 0,
OrderExpirationSeconds: 5,
},
expectedErr: types.ErrInvalidOrderSizePpm,
expectedErr: types.ErrInvalidOrderSizePctPpm,
},
"Failure - OrderExpirationSeconds is 0": {
params: types.Params{
Layers: 2,
SpreadMinPpm: 3_000,
SpreadBufferPpm: 1_500,
SkewFactorPpm: 500_000,
OrderSizePpm: 100_000,
OrderSizePctPpm: 100_000,
OrderExpirationSeconds: 0,
},
expectedErr: types.ErrInvalidOrderExpirationSeconds,
Expand Down

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