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[DEC-2196] deprecate non-linear margin requirements
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@jayy04
jayy04 committed Dec 5, 2023
1 parent 5901af4 commit c626e7d
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Showing 27 changed files with 238 additions and 736 deletions.
2 changes: 1 addition & 1 deletion proto/dydxprotocol/indexer/events/events.proto
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Expand Up @@ -369,7 +369,7 @@ message LiquidityTierUpsertEventV1 {
// The maximum position size at which the margin requirements are
// not increased over the default values. Above this position size,
// the margin requirements increase at a rate of sqrt(size).
uint64 base_position_notional = 5;
uint64 base_position_notional = 5 [ deprecated = true ];
}

// UpdateClobPairEventV1 message contains all the information about an update to
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2 changes: 1 addition & 1 deletion proto/dydxprotocol/perpetuals/perpetual.proto
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Expand Up @@ -96,7 +96,7 @@ message LiquidityTier {
// The maximum position size at which the margin requirements are
// not increased over the default values. Above this position size,
// the margin requirements increase at a rate of sqrt(size).
uint64 base_position_notional = 5;
uint64 base_position_notional = 5 [ deprecated = true ];

// The impact notional amount (in quote quantums) is used to determine impact
// bid/ask prices and its recommended value is 500 USDC / initial margin
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249 changes: 125 additions & 124 deletions protocol/indexer/events/events.pb.go
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2 changes: 0 additions & 2 deletions protocol/indexer/events/liquidity_tier.go
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Expand Up @@ -7,13 +7,11 @@ func NewLiquidityTierUpsertEvent(
name string,
initialMarginPpm uint32,
maintenanceFractionPpm uint32,
basePositionNotional uint64,
) *LiquidityTierUpsertEventV1 {
return &LiquidityTierUpsertEventV1{
Id: id,
Name: name,
InitialMarginPpm: initialMarginPpm,
MaintenanceFractionPpm: maintenanceFractionPpm,
BasePositionNotional: basePositionNotional,
}
}
2 changes: 0 additions & 2 deletions protocol/indexer/events/liquidity_tier_test.go
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Expand Up @@ -12,14 +12,12 @@ func TestNewLiquidityTierUpsertEvent_Success(t *testing.T) {
"Large-Cap",
50000,
600000,
1000000000000,
)
expectedLiquidityTierUpsertEventProto := &LiquidityTierUpsertEventV1{
Id: 0,
Name: "Large-Cap",
InitialMarginPpm: 50000,
MaintenanceFractionPpm: 600000,
BasePositionNotional: 1000000000000,
}
require.Equal(t, expectedLiquidityTierUpsertEventProto, liquidityTierUpsertEvent)
}
14 changes: 7 additions & 7 deletions protocol/mocks/PerpetualsKeeper.go
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21 changes: 0 additions & 21 deletions protocol/testing/e2e/gov/perpetuals_test.go
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Expand Up @@ -31,7 +31,6 @@ var (
Name: "Test Tier",
InitialMarginPpm: 765_432,
MaintenanceFractionPpm: 345_678,
BasePositionNotional: 123_456,
ImpactNotional: 654_321,
}
)
Expand Down Expand Up @@ -355,7 +354,6 @@ func TestSetLiquidityTier(t *testing.T) {
Name: TEST_LIQUIDITY_TIER.Name,
InitialMarginPpm: TEST_LIQUIDITY_TIER.InitialMarginPpm,
MaintenanceFractionPpm: TEST_LIQUIDITY_TIER.MaintenanceFractionPpm,
BasePositionNotional: TEST_LIQUIDITY_TIER.BasePositionNotional,
ImpactNotional: TEST_LIQUIDITY_TIER.ImpactNotional,
},
},
Expand All @@ -369,7 +367,6 @@ func TestSetLiquidityTier(t *testing.T) {
Name: TEST_LIQUIDITY_TIER.Name,
InitialMarginPpm: TEST_LIQUIDITY_TIER.InitialMarginPpm,
MaintenanceFractionPpm: TEST_LIQUIDITY_TIER.MaintenanceFractionPpm,
BasePositionNotional: TEST_LIQUIDITY_TIER.BasePositionNotional,
ImpactNotional: TEST_LIQUIDITY_TIER.ImpactNotional,
},
},
Expand All @@ -384,7 +381,6 @@ func TestSetLiquidityTier(t *testing.T) {
Name: TEST_LIQUIDITY_TIER.Name,
InitialMarginPpm: 1_000_001,
MaintenanceFractionPpm: TEST_LIQUIDITY_TIER.MaintenanceFractionPpm,
BasePositionNotional: TEST_LIQUIDITY_TIER.BasePositionNotional,
ImpactNotional: TEST_LIQUIDITY_TIER.ImpactNotional,
},
},
Expand All @@ -398,21 +394,6 @@ func TestSetLiquidityTier(t *testing.T) {
Name: TEST_LIQUIDITY_TIER.Name,
InitialMarginPpm: TEST_LIQUIDITY_TIER.InitialMarginPpm,
MaintenanceFractionPpm: 1_000_001,
BasePositionNotional: TEST_LIQUIDITY_TIER.BasePositionNotional,
ImpactNotional: TEST_LIQUIDITY_TIER.ImpactNotional,
},
},
expectCheckTxFails: true,
},
"Failure: base position notional is 0": {
msg: &perptypes.MsgSetLiquidityTier{
Authority: authtypes.NewModuleAddress(perptypes.ModuleName).String(),
LiquidityTier: perptypes.LiquidityTier{
Id: 5678,
Name: TEST_LIQUIDITY_TIER.Name,
InitialMarginPpm: TEST_LIQUIDITY_TIER.InitialMarginPpm,
MaintenanceFractionPpm: TEST_LIQUIDITY_TIER.MaintenanceFractionPpm,
BasePositionNotional: 0,
ImpactNotional: TEST_LIQUIDITY_TIER.ImpactNotional,
},
},
Expand All @@ -426,7 +407,6 @@ func TestSetLiquidityTier(t *testing.T) {
Name: TEST_LIQUIDITY_TIER.Name,
InitialMarginPpm: TEST_LIQUIDITY_TIER.InitialMarginPpm,
MaintenanceFractionPpm: TEST_LIQUIDITY_TIER.MaintenanceFractionPpm,
BasePositionNotional: TEST_LIQUIDITY_TIER.BasePositionNotional,
ImpactNotional: 0,
},
},
Expand All @@ -440,7 +420,6 @@ func TestSetLiquidityTier(t *testing.T) {
Name: "Test Tier",
InitialMarginPpm: 765_432,
MaintenanceFractionPpm: 345_678,
BasePositionNotional: 123_456,
ImpactNotional: 654_321,
},
},
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13 changes: 0 additions & 13 deletions protocol/testutil/constants/perpetuals.go
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Original file line number Diff line number Diff line change
Expand Up @@ -23,79 +23,69 @@ var LiquidityTiers = []perptypes.LiquidityTier{
Name: "0",
InitialMarginPpm: 1_000_000,
MaintenanceFractionPpm: 1_000_000,
BasePositionNotional: 1_000_000,
ImpactNotional: 500_000_000,
},
{
Id: 1,
Name: "1",
InitialMarginPpm: 1_000_000,
MaintenanceFractionPpm: 750_000,
BasePositionNotional: 1_000_000,
ImpactNotional: 500_000_000,
},
{
Id: 2,
Name: "2",
InitialMarginPpm: 1_000_000,
MaintenanceFractionPpm: 0,
BasePositionNotional: 1_000_000,
ImpactNotional: 500_000_000,
},
{
Id: 3,
Name: "3",
InitialMarginPpm: 200_000,
MaintenanceFractionPpm: 500_000,
BasePositionNotional: 100_000_000_000,
ImpactNotional: 2_500_000_000,
},
{
Id: 4,
Name: "4",
InitialMarginPpm: 500_000,
MaintenanceFractionPpm: 800_000,
BasePositionNotional: 100_000_000_000,
ImpactNotional: 1_000_000_000,
},
{
Id: 5,
Name: "5",
InitialMarginPpm: 500_000,
MaintenanceFractionPpm: 600_000,
BasePositionNotional: 1_000_000,
ImpactNotional: 1_000_000_000,
},
{
Id: 6,
Name: "6",
InitialMarginPpm: 200_000,
MaintenanceFractionPpm: 900_000,
BasePositionNotional: 1_000_000,
ImpactNotional: 2_500_000_000,
},
{
Id: 7,
Name: "7",
InitialMarginPpm: 0,
MaintenanceFractionPpm: 0,
BasePositionNotional: 100_000_000_000,
ImpactNotional: 1_000_000_000,
},
{
Id: 8,
Name: "8",
InitialMarginPpm: 9_910, // 0.9910%
MaintenanceFractionPpm: 1_000_000,
BasePositionNotional: 100_000_000_000,
ImpactNotional: 50_454_000_000,
},
{
Id: 101,
Name: "101",
InitialMarginPpm: 200_000,
MaintenanceFractionPpm: 500_000,
BasePositionNotional: 1_000_000,
ImpactNotional: 2_500_000_000,
},
}
Expand Down Expand Up @@ -331,23 +321,20 @@ var (
Name: "Large-Cap",
InitialMarginPpm: 200_000,
MaintenanceFractionPpm: 500_000,
BasePositionNotional: 1000_000_000,
ImpactNotional: 2_500_000_000,
},
{
Id: uint32(1),
Name: "Mid-Cap",
InitialMarginPpm: 300_000,
MaintenanceFractionPpm: 600_000,
BasePositionNotional: 500_000_000,
ImpactNotional: 1_667_000_000,
},
{
Id: uint32(2),
Name: "Small-Cap",
InitialMarginPpm: 400_000,
MaintenanceFractionPpm: 700_000,
BasePositionNotional: 250_000_000,
ImpactNotional: 1_250_000_000,
},
},
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4 changes: 2 additions & 2 deletions protocol/testutil/keeper/perpetuals.go
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Original file line number Diff line number Diff line change
Expand Up @@ -2,9 +2,10 @@ package keeper

import (
"fmt"
"github.com/dydxprotocol/v4-chain/protocol/lib"
"testing"

"github.com/dydxprotocol/v4-chain/protocol/lib"

pricefeedserver_types "github.com/dydxprotocol/v4-chain/protocol/daemons/server/types/pricefeed"
"github.com/dydxprotocol/v4-chain/protocol/indexer/common"
indexerevents "github.com/dydxprotocol/v4-chain/protocol/indexer/events"
Expand Down Expand Up @@ -174,7 +175,6 @@ func CreateTestLiquidityTiers(t *testing.T, ctx sdk.Context, k *keeper.Keeper) {
l.Name,
l.InitialMarginPpm,
l.MaintenanceFractionPpm,
l.BasePositionNotional,
l.ImpactNotional,
)

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7 changes: 0 additions & 7 deletions protocol/testutil/liquidity_tier/liquidity_tier.go
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Original file line number Diff line number Diff line change
Expand Up @@ -30,12 +30,6 @@ func WithMaintenanceFractionPpm(maintenanceFractionPpm uint32) LtModifierOption
}
}

func WithBasePositionNotional(basePositionNotional uint64) LtModifierOption {
return func(lt *perptypes.LiquidityTier) {
lt.BasePositionNotional = basePositionNotional
}
}

func WithImpactNotional(impactNotional uint64) LtModifierOption {
return func(lt *perptypes.LiquidityTier) {
lt.ImpactNotional = impactNotional
Expand All @@ -57,7 +51,6 @@ func GenerateLiquidityTier(optionalModifications ...LtModifierOption) *perptypes
Name: "Large-Cap",
InitialMarginPpm: 1_000_000,
MaintenanceFractionPpm: 1_000_000,
BasePositionNotional: 1_000_000,
ImpactNotional: 500_000_000,
}

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9 changes: 0 additions & 9 deletions protocol/testutil/sim_helpers/genesis_parameters.go
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Expand Up @@ -133,15 +133,6 @@ var (
Valid: MaxNumPerpetuals.Valid,
}

MinBasePositionNotional = GenesisParameters[int]{
Reasonable: 10_000_000_000, // 10_000 USDC
Valid: 50_000_000_000, // 50_000 USDC
}
MaxBasePositionNotional = GenesisParameters[int]{
Reasonable: MinBasePositionNotional.Reasonable * 100,
Valid: MinBasePositionNotional.Valid * 100,
}

MinFundingRateClampFactorPpm = GenesisParameters[int]{
Reasonable: 4_000_000, // 400%
Valid: 1_000_000, // 100%
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