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[CLOB-1028] allow settlement at oracle price in ProcessDeleveraging #835

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merged 7 commits into from
Dec 6, 2023
Merged

[CLOB-1028] allow settlement at oracle price in ProcessDeleveraging #835

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64598c8
add functionality in ProcessDeleveraging to allow settlement at oracl…
jakob-dydx Dec 4, 2023
81bd4b7
Merge branch 'main' into jakob-dydx/oracle-price-deleveraging
jakob-dydx Dec 5, 2023
b2e6b2e
pull deltaQuoteQuantums out of ProcessDeleveraging
jakob-dydx Dec 5, 2023
f81ad94
fix lint
jakob-dydx Dec 5, 2023
25bcb31
fix issue with test
jakob-dydx Dec 6, 2023
64503ff
pr nits
jakob-dydx Dec 6, 2023
b469e2e
update getDeleveragingQuoteQuantumsDelta helper
jakob-dydx Dec 6, 2023
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42 changes: 27 additions & 15 deletions protocol/x/clob/keeper/deleveraging.go
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Original file line number Diff line number Diff line change
Expand Up @@ -3,11 +3,12 @@ package keeper
import (
"errors"
"fmt"
indexerevents "github.com/dydxprotocol/v4-chain/protocol/indexer/events"
"github.com/dydxprotocol/v4-chain/protocol/indexer/indexer_manager"
"math/big"
"time"

indexerevents "github.com/dydxprotocol/v4-chain/protocol/indexer/events"
"github.com/dydxprotocol/v4-chain/protocol/indexer/indexer_manager"

errorsmod "cosmossdk.io/errors"

gometrics "github.com/armon/go-metrics"
Expand Down Expand Up @@ -241,6 +242,7 @@ func (k Keeper) OffsetSubaccountPerpetualPosition(
*offsettingSubaccount.Id,
perpetualId,
deltaQuantums,
false,
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); err == nil {
// Update the remaining liquidatable quantums.
deltaQuantumsRemaining = new(big.Int).Sub(
Expand Down Expand Up @@ -323,6 +325,7 @@ func (k Keeper) ProcessDeleveraging(
offsettingSubaccountId satypes.SubaccountId,
perpetualId uint32,
deltaQuantums *big.Int,
fillPriceIsOraclePrice bool,
) (
err error,
) {
Expand Down Expand Up @@ -354,20 +357,29 @@ func (k Keeper) ProcessDeleveraging(
)
}

// Calculate the bankruptcy price of the liquidated position. This is the price at which both positions
// are closed.
bankruptcyPriceQuoteQuantums, err := k.GetBankruptcyPriceInQuoteQuantums(
ctx,
liquidatedSubaccountId,
perpetualId,
deltaQuantums,
)
if err != nil {
return err
fillPriceDeltaQuoteQuantums := new(big.Int)
if fillPriceIsOraclePrice { // Flow used for final settlement deleveraging events
fillPriceDeltaQuoteQuantums, err = k.perpetualsKeeper.GetNetNotional(ctx, perpetualId, deltaQuantums)
fillPriceDeltaQuoteQuantums.Neg(fillPriceDeltaQuoteQuantums)
if err != nil {
return err
}
} else { // Regular deleveraging flow
// Calculate the bankruptcy price of the liquidated position. This is the price at which both positions
// are closed.
fillPriceDeltaQuoteQuantums, err = k.GetBankruptcyPriceInQuoteQuantums(
ctx,
liquidatedSubaccountId,
perpetualId,
deltaQuantums,
)
if err != nil {
return err
}
}

deleveragedSubaccountQuoteBalanceDelta := bankruptcyPriceQuoteQuantums
offsettingSubaccountQuoteBalanceDelta := new(big.Int).Neg(bankruptcyPriceQuoteQuantums)
deleveragedSubaccountQuoteBalanceDelta := fillPriceDeltaQuoteQuantums
offsettingSubaccountQuoteBalanceDelta := new(big.Int).Neg(fillPriceDeltaQuoteQuantums)
deleveragedSubaccountPerpetualQuantumsDelta := deltaQuantums
offsettingSubaccountPerpetualQuantumsDelta := new(big.Int).Neg(deltaQuantums)

Expand Down Expand Up @@ -465,7 +477,7 @@ func (k Keeper) ProcessDeleveraging(
offsettingSubaccountId,
perpetualId,
satypes.BaseQuantums(new(big.Int).Abs(deltaQuantums).Uint64()),
satypes.BaseQuantums(bankruptcyPriceQuoteQuantums.Uint64()),
satypes.BaseQuantums(fillPriceDeltaQuoteQuantums.Uint64()),
deltaQuantums.Sign() > 0,
),
),
Expand Down
211 changes: 209 additions & 2 deletions protocol/x/clob/keeper/deleveraging_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -2,13 +2,14 @@ package keeper_test

import (
"errors"
indexerevents "github.com/dydxprotocol/v4-chain/protocol/indexer/events"
"github.com/dydxprotocol/v4-chain/protocol/indexer/indexer_manager"
"math"
"math/big"
"testing"
"time"

indexerevents "github.com/dydxprotocol/v4-chain/protocol/indexer/events"
"github.com/dydxprotocol/v4-chain/protocol/indexer/indexer_manager"

sdkmath "cosmossdk.io/math"

sdk "github.com/cosmos/cosmos-sdk/types"
Expand Down Expand Up @@ -1095,6 +1096,211 @@ func TestProcessDeleveraging(t *testing.T) {
*tc.offsettingSubaccount.GetId(),
uint32(0),
tc.deltaQuantums,
false,
)
if tc.expectedErr == nil {
require.NoError(t, err)

actualLiquidated := ks.SubaccountsKeeper.GetSubaccount(ks.Ctx, *tc.liquidatedSubaccount.GetId())
require.Equal(
t,
tc.expectedLiquidatedSubaccount,
actualLiquidated,
)

actualOffsetting := ks.SubaccountsKeeper.GetSubaccount(ks.Ctx, *tc.offsettingSubaccount.GetId())
require.Equal(
t,
tc.expectedOffsettingSubaccount,
actualOffsetting,
)
} else {
require.ErrorContains(t, err, tc.expectedErr.Error())
}
})
}
}

func TestProcessDeleveragingAtOraclePrice(t *testing.T) {
tests := map[string]struct {
// Setup.
liquidatedSubaccount satypes.Subaccount
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offsettingSubaccount satypes.Subaccount
deltaQuantums *big.Int

// Expectations.
expectedLiquidatedSubaccount satypes.Subaccount
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expectedOffsettingSubaccount satypes.Subaccount
expectedErr error
}{
"Liquidated: well-collateralized, offsetting: well-collateralized": {
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liquidatedSubaccount: constants.Carl_Num0_1BTC_Short_100000USD,
offsettingSubaccount: constants.Dave_Num0_1BTC_Long_50000USD,
deltaQuantums: big.NewInt(100_000_000), // 1 BTC

expectedLiquidatedSubaccount: satypes.Subaccount{
Id: &constants.Carl_Num0,
AssetPositions: keepertest.CreateUsdcAssetPosition(
big.NewInt(100_000_000_000 - 50_000_000_000),
),
},
expectedOffsettingSubaccount: satypes.Subaccount{
Id: &constants.Dave_Num0,
AssetPositions: keepertest.CreateUsdcAssetPosition(
big.NewInt(50_000_000_000 + 50_000_000_000),
),
},
},
"Liquidated: well-collateralized, offsetting: under-collateralized, TNC > 0": {
liquidatedSubaccount: constants.Dave_Num0_1BTC_Long_50000USD,
offsettingSubaccount: constants.Carl_Num0_1BTC_Short_54999USD,
deltaQuantums: big.NewInt(-100_000_000), // 1 BTC

expectedLiquidatedSubaccount: satypes.Subaccount{
Id: &constants.Dave_Num0,
AssetPositions: keepertest.CreateUsdcAssetPosition(
big.NewInt(50_000_000_000 + 50_000_000_000),
),
},
expectedOffsettingSubaccount: satypes.Subaccount{
Id: &constants.Carl_Num0,
AssetPositions: keepertest.CreateUsdcAssetPosition(
big.NewInt(54_999_000_000 - 50_000_000_000),
),
},
},
"Liquidated: well-collateralized, offsetting: under-collateralized, TNC == 0": {
liquidatedSubaccount: constants.Carl_Num0_1BTC_Short_100000USD,
offsettingSubaccount: constants.Dave_Num0_1BTC_Long_50000USD_Short,
deltaQuantums: big.NewInt(100_000_000), // 1 BTC

expectedLiquidatedSubaccount: satypes.Subaccount{
Id: &constants.Carl_Num0,
AssetPositions: keepertest.CreateUsdcAssetPosition(
big.NewInt(100_000_000_000 - 50_000_000_000),
),
},
expectedOffsettingSubaccount: satypes.Subaccount{
Id: &constants.Dave_Num0,
},
},
"Liquidated: well-collateralized, offsetting: under-collateralized, TNC < 0": {
liquidatedSubaccount: constants.Carl_Num0_1BTC_Short_100000USD,
offsettingSubaccount: constants.Dave_Num0_1BTC_Long_50001USD_Short,
deltaQuantums: big.NewInt(100_000_000), // 1 BTC

// Negative TNC account closing at oracle price is an invalid state transition.
expectedErr: satypes.ErrFailedToUpdateSubaccounts,
},
"Liquidated: under-collateralized, TNC > 0, offsetting: well-collateralized": {
liquidatedSubaccount: constants.Carl_Num0_1BTC_Short_54999USD,
offsettingSubaccount: constants.Dave_Num0_1BTC_Long_50000USD,
deltaQuantums: big.NewInt(100_000_000), // 1 BTC

expectedLiquidatedSubaccount: satypes.Subaccount{
Id: &constants.Carl_Num0,
AssetPositions: keepertest.CreateUsdcAssetPosition(
big.NewInt(54_999_000_000 - 50_000_000_000),
),
},
expectedOffsettingSubaccount: satypes.Subaccount{
Id: &constants.Dave_Num0,
AssetPositions: keepertest.CreateUsdcAssetPosition(
big.NewInt(50_000_000_000 + 50_000_000_000),
),
},
},
"Liquidated: under-collateralized, TNC == 0, offsetting: under-collateralized, TNC < 0": {
liquidatedSubaccount: constants.Carl_Num0_1BTC_Short_50000USD,
offsettingSubaccount: constants.Dave_Num0_1BTC_Long_50001USD_Short,
deltaQuantums: big.NewInt(100_000_000), // 1 BTC

// Negative TNC account closing at oracle price is an invalid state transition.
expectedErr: satypes.ErrFailedToUpdateSubaccounts,
},
"Liquidated: under-collateralized, TNC < 0, offsetting: under-collateralized, TNC > 0": {
liquidatedSubaccount: constants.Carl_Num0_1BTC_Short_49999USD,
offsettingSubaccount: constants.Dave_Num0_1BTC_Long_45001USD_Short,
deltaQuantums: big.NewInt(100_000_000), // 1 BTC

// Negative TNC account closing at oracle price is an invalid state transition.
expectedErr: satypes.ErrFailedToUpdateSubaccounts,
},
"Liquidated: under-collateralized, TNC < 0, offsetting: well-collateralized": {
liquidatedSubaccount: constants.Carl_Num0_1BTC_Short_49999USD,
offsettingSubaccount: constants.Dave_Num0_1BTC_Long_50000USD,
deltaQuantums: big.NewInt(100_000_000), // 1 BTC

// Negative TNC account closing at oracle price is an invalid state transition.
expectedErr: satypes.ErrFailedToUpdateSubaccounts,
},
}

for name, tc := range tests {
t.Run(name, func(t *testing.T) {
memClob := memclob.NewMemClobPriceTimePriority(false)
mockIndexerEventManager := &mocks.IndexerEventManager{}
ks := keepertest.NewClobKeepersTestContext(t, memClob, &mocks.BankKeeper{}, mockIndexerEventManager)

// Create the default markets.
keepertest.CreateTestMarkets(t, ks.Ctx, ks.PricesKeeper)

// Create liquidity tiers.
keepertest.CreateTestLiquidityTiers(t, ks.Ctx, ks.PerpetualsKeeper)

err := keepertest.CreateUsdcAsset(ks.Ctx, ks.AssetsKeeper)
require.NoError(t, err)

for _, p := range []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.EthUsd_20PercentInitial_10PercentMaintenance,
} {
_, err := ks.PerpetualsKeeper.CreatePerpetual(
ks.Ctx,
p.Params.Id,
p.Params.Ticker,
p.Params.MarketId,
p.Params.AtomicResolution,
p.Params.DefaultFundingPpm,
p.Params.LiquidityTier,
)
require.NoError(t, err)
}

ks.SubaccountsKeeper.SetSubaccount(ks.Ctx, tc.liquidatedSubaccount)
ks.SubaccountsKeeper.SetSubaccount(ks.Ctx, tc.offsettingSubaccount)

if tc.expectedErr == nil {
fillPriceQuoteQuantums, err := ks.PerpetualsKeeper.GetNetNotional(
ks.Ctx,
uint32(0),
tc.deltaQuantums,
)
fillPriceQuoteQuantums.Neg(fillPriceQuoteQuantums)
require.NoError(t, err)
mockIndexerEventManager.On("AddTxnEvent",
ks.Ctx,
indexerevents.SubtypeDeleveraging,
indexerevents.DeleveragingEventVersion,
indexer_manager.GetBytes(
indexerevents.NewDeleveragingEvent(
*tc.liquidatedSubaccount.GetId(),
*tc.offsettingSubaccount.GetId(),
uint32(0),
satypes.BaseQuantums(new(big.Int).Abs(tc.deltaQuantums).Uint64()),
satypes.BaseQuantums(fillPriceQuoteQuantums.Uint64()),
tc.deltaQuantums.Sign() > 0,
),
),
).Return()
}
err = ks.ClobKeeper.ProcessDeleveraging(
ks.Ctx,
*tc.liquidatedSubaccount.GetId(),
*tc.offsettingSubaccount.GetId(),
uint32(0),
tc.deltaQuantums,
true,
)
if tc.expectedErr == nil {
require.NoError(t, err)
Expand Down Expand Up @@ -1252,6 +1458,7 @@ func TestProcessDeleveraging_Rounding(t *testing.T) {
*tc.offsettingSubaccount.GetId(),
uint32(0),
tc.deltaQuantums,
false,
)
if tc.expectedErr == nil {
require.NoError(t, err)
Expand Down
1 change: 1 addition & 0 deletions protocol/x/clob/keeper/process_operations.go
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Original file line number Diff line number Diff line change
Expand Up @@ -665,6 +665,7 @@ func (k Keeper) PersistMatchDeleveragingToState(
fill.OffsettingSubaccountId,
perpetualId,
deltaQuantums,
false,
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); err != nil {
return errorsmod.Wrapf(
types.ErrInvalidDeleveragingFill,
Expand Down
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