Feature/cross side order fees #1906
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@@ Coverage Diff @@
## feature/time-based-next-price #1906 +/- ##
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+ Coverage 95.02% 95.10% +0.08%
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Files 116 117 +1
Lines 2853 2900 +47
Branches 852 868 +16
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+ Hits 2711 2758 +47
Misses 142 142
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leomassazza
reviewed
Sep 29, 2022
leomassazza
approved these changes
Sep 29, 2022
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* use helper to reduce contracts size * add Pyth interfaces * add new params and interfaces * make test pass again * add Pyth Orders functionality * bootstrap pyth test * add mocked pyth * more tests * complete tests for exchange rate * add two missing test to exchange rate * fix some tests * fix tests * fix missing settings * use different price onchain than offchain * remove commented content * unify delayed orders * remove redundant code (reduce size) * Improve offchain timing control * Reduce submit order params * remove minFeedAge and latestPublishTime * prevent cancelations before time (offchain) * remove unnecessary pyth references in names
* First pass at SIP-279 new funding calc
No tests, no documentation, just Solidity changes (all entirely
untested)... but it compiles!
* Explicit types so runtime functions can be detected
* Emit new FundingRateRecomputed event after every recomputeFunding
* Extend emitFundingRecomputed to include fundingRate
(rather than adding a new event)
* Be more explicit when comparing events and resolve tests
All tests except for funding related changes are now fixed.
* 10 empty test cases for new funding to be implemented next
* Resolve native div truncating decimals and use divideDecimal
* Checkpoint to partially add unit tests for funding
Remaining tests are still failing. More resolutions to come in following
commits.
* UnrecordedFunding to be calc using {divide,multiply}Decimal
* Missing closing parenthesis was bothering me too much
* Further changes to resolve tests
- Various skew rates no longer relevant as funding rate flaots and not
instantaneous
- assert.bnClose as margin off by ~0.000001
- Add back a larger amount of margin to withdraw in transferMargin
* Refactor and add a clear example in docs
* Liquidation price tests now fixed to reflect new funding
* More passing testse with one leading to some questions
* Rename fundingRate to fundingRateLastRecopmuted
This also includes a bunch of debugging code. Please ignore them
* Add currentFundingRateVelocity as a view fn on markets
* Remove FUNDING_RATE and add FUNDING_VELOCITY
This also updates all references, including tests for perpsv2. It also
renames maxFundingRateVelocity to maxFundingVelocity.
* Fix more unit tests related to funding
* Formatting and shuffle units out of nested desc
* Ensure pSkew cannot be outside of -1 and 1
* More tests are passing
Pos/Neg in funding accrual is raising some eyebrows. Need to investigate
* Invert the funding only at the point of tracking unrecordedFunding
* proportional velocity and funding seq unit tests fixed
* All remaining PerpsV2Market unit tests are now passing
* Remove unused ethers import
* Update comments because english is hard :sadpanda:
* Simplify pSkew cap and rm irrelevant unit test
Co-authored-by: Leonardo Massazza <lmassazza@gmail.com>
leomassazza
added a commit
that referenced
this pull request
Nov 4, 2022
* Minor typo fixes * Pull nextPriceOrders into MArketState to ensure upgradeability * Explicitly destructure NextPriceOrder and pass as primitives * Resolved .nextPrice unit tests after adding upgradeability * Remove commented out test code * Add executableAtTime for time based delayed orders I'm going to also rename this to `deployedOrder` from `nextPriceOrder` since the order may be executed without the presence of a 'next price'. * All existing FuturesV2Market now pass * Renamed NextPriceOrder to DelayedOrder * Initial set of test amendments for delayed orders Next will be the final set of tests for the execution of delayed orders before or after a CL price update. * Formatting and more mv next-price -> delayed * Add delayed order time based test * Rename MIN_NEXT_PRICE_ORDER_DELAY -> MIN_ORDER_DELAY * Add missing delayedOrder fns to IFuturesV2MarketState post rebase * Post futuresV2 rebase fixes due to renames * Rename remaining nextPrice -> delayedOrder for FuturesV2* With the exception of the nextPriceConfirmationWindow. We may want to keep this alongisde a new delayedOrderConfirmationWindow to allow cancellations permissible on past round confirm XOR past time based confirm window. * Pull min/maxDelayTimeDelta into MarketSettings Additionally, further names next-price in comments, changes to avoid accessing over the 16th slot, resolved errors in futuresV2 branch (tests), and renamed maxTimeDelta to desiredTimeDelta to be more canonical. * Run lint:fix and mv missing maxTimeDelta * First round of post merge resolutions on DelayedOrders * Further post-merge resolutions, mainly around renaming next-price * .delayedOrder tests are passing again TODO: 1. Additional tests for delay upperbound 2. Changes to cancellations for keepers to cancel order if past delay 3. Pull delayOrderConfirmationWindow into params for SCCP control 4. Further unit tests * Fix remaining FuturesV2 tests * Add delayedOrderConfirmWindow (not yet used) * Cancellations and executions look an updated confirmationWindow Confirmation window has been updated to also look at the delayedOrderConfirmWindow SCCP controllable variable and an additional unit test has been added to account for cancellations. * Minor Next Price mv to Delayed Orders * Post crazy rename merge conflict resolution fixes * Minor doc updates to reflect DelayedOrder mv * SIP-281 set desiredTimeDelta = min if 0, tests, comments * Resolve broken tests after intro of Perps delayed order proxy * Add missing modifier post merge, missing arg, and rm .only * Additional perpsv2 renames and fix integration tests * A few additional missed PerpsV2 rename NextPrice renames * Separate futures and perps config Also updates config to include 3 additional params * DelayedOrders use the correct price on execution when target not reached * currentRoundId should be inclusive, meeting the targetRoundId * Always use the current price when executing delayedOrders Additionally, resolve typos identified during review. * Feature/cross side order fees (#1906) * _orderFee now looks at taker/maker fees when crossing over skew * Update orderFee tests to reflect cross side orders maker/taker * Avoid hardcoding fees in non orderFee specific tests * Fix minor formatting * Fix minor lint error * Feature/SIP-285 Offchain price feed (#1913) * use helper to reduce contracts size * add Pyth interfaces * add new params and interfaces * make test pass again * add Pyth Orders functionality * bootstrap pyth test * add mocked pyth * more tests * complete tests for exchange rate * add two missing test to exchange rate * fix some tests * fix tests * fix missing settings * use different price onchain than offchain * remove commented content * unify delayed orders * remove redundant code (reduce size) * Improve offchain timing control * Reduce submit order params * remove minFeedAge and latestPublishTime * prevent cancelations before time (offchain) * remove unnecessary pyth references in names * Feature/sip 279 new funding (#1914) * First pass at SIP-279 new funding calc No tests, no documentation, just Solidity changes (all entirely untested)... but it compiles! * Explicit types so runtime functions can be detected * Emit new FundingRateRecomputed event after every recomputeFunding * Extend emitFundingRecomputed to include fundingRate (rather than adding a new event) * Be more explicit when comparing events and resolve tests All tests except for funding related changes are now fixed. * 10 empty test cases for new funding to be implemented next * Resolve native div truncating decimals and use divideDecimal * Checkpoint to partially add unit tests for funding Remaining tests are still failing. More resolutions to come in following commits. * UnrecordedFunding to be calc using {divide,multiply}Decimal * Missing closing parenthesis was bothering me too much * Further changes to resolve tests - Various skew rates no longer relevant as funding rate flaots and not instantaneous - assert.bnClose as margin off by ~0.000001 - Add back a larger amount of margin to withdraw in transferMargin * Refactor and add a clear example in docs * Liquidation price tests now fixed to reflect new funding * More passing testse with one leading to some questions * Rename fundingRate to fundingRateLastRecopmuted This also includes a bunch of debugging code. Please ignore them * Add currentFundingRateVelocity as a view fn on markets * Remove FUNDING_RATE and add FUNDING_VELOCITY This also updates all references, including tests for perpsv2. It also renames maxFundingRateVelocity to maxFundingVelocity. * Fix more unit tests related to funding * Formatting and shuffle units out of nested desc * Ensure pSkew cannot be outside of -1 and 1 * More tests are passing Pos/Neg in funding accrual is raising some eyebrows. Need to investigate * Invert the funding only at the point of tracking unrecordedFunding * proportional velocity and funding seq unit tests fixed * All remaining PerpsV2Market unit tests are now passing * Remove unused ethers import * Update comments because english is hard :sadpanda: * Simplify pSkew cap and rm irrelevant unit test Co-authored-by: Leonardo Massazza <lmassazza@gmail.com> Co-authored-by: Leonardo Massazza <lmassazza@gmail.com> Co-authored-by: Leonardo Massazza <lmassazza@gmail.com>
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This PR resolves an issue in reference to how order fees are calculated. Currently, a trader is charged a
makerFeeif the size of their order reduces the market skew and atakerFeeif the order increases the skew. However, in certain situations, an order can decrease and increase the skew. In these scenarios, the proportion of size that decreases the skew should be charged amakerFeeand the remaining, atakerFee.For example,
Note: This PR should not be merged until both #1893 and #1899 are merged.
Please see comments in code and tests for more detail.