/
perpetuals.go
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/
perpetuals.go
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package constants
import (
"github.com/dydxprotocol/v4-chain/protocol/dtypes"
perptypes "github.com/dydxprotocol/v4-chain/protocol/x/perpetuals/types"
)
func init() {
_ = TestTxBuilder.SetMsgs(EmptyMsgAddPremiumVotes)
EmptyMsgAddPremiumVotesTxBytes, _ = TestEncodingCfg.TxConfig.TxEncoder()(TestTxBuilder.GetTx())
_ = TestTxBuilder.SetMsgs(ValidMsgAddPremiumVotes)
ValidMsgAddPremiumVotesTxBytes, _ = TestEncodingCfg.TxConfig.TxEncoder()(TestTxBuilder.GetTx())
_ = TestTxBuilder.SetMsgs(InvalidMsgAddPremiumVotes)
InvalidMsgAddPremiumVotesTxBytes, _ = TestEncodingCfg.TxConfig.TxEncoder()(TestTxBuilder.GetTx())
}
// LiquidityTier objects.
var LiquidityTiers = []perptypes.LiquidityTier{
{
Id: 0,
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,
},
}
// Perpetual genesis parameters.
const TestFundingRateClampFactorPpm = 6_000_000
const TestPremiumVoteClampFactorPpm = 60_000_000
const TestMinNumVotesPerSample = 15
var PerpetualsGenesisParams = perptypes.Params{
FundingRateClampFactorPpm: TestFundingRateClampFactorPpm,
PremiumVoteClampFactorPpm: TestPremiumVoteClampFactorPpm,
MinNumVotesPerSample: TestMinNumVotesPerSample,
}
var Perpetuals_GenesisState_ParamsOnly = perptypes.GenesisState{
Params: PerpetualsGenesisParams,
}
// Perpetual objects.
var (
BtcUsd_InvalidMarketId = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD invalid market Id",
MarketId: uint32(9999),
AtomicResolution: int32(-10),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(0),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_0DefaultFunding_0AtomicResolution = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD 0 percent default funding, 0 atomic resolution",
MarketId: uint32(0),
AtomicResolution: int32(0),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(2),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_NegativeDefaultFunding_10AtomicResolution = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD -0.001 percent percent default funding",
MarketId: uint32(0),
AtomicResolution: int32(-10),
DefaultFundingPpm: int32(-1_000),
LiquidityTier: uint32(1),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_0DefaultFunding_10AtomicResolution = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD 0 percent default funding",
MarketId: uint32(0),
AtomicResolution: int32(-10),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(1),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_0DefaultFunding_10AtomicResolution_20IM_18MM = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD 0 percent default funding, 20% IM, 18% MM",
MarketId: uint32(0),
AtomicResolution: int32(-10),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(6),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_0_001Percent_DefaultFunding_10AtomicResolution = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 10000,
Ticker: "BTC-USD 0.001 percent default funding",
MarketId: uint32(0),
AtomicResolution: int32(-10),
DefaultFundingPpm: int32(1000), // 0.001%
LiquidityTier: uint32(1),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_SmallMarginRequirement = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD small margin requirement",
MarketId: uint32(0),
AtomicResolution: int32(-8),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(8),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_100PercentMarginRequirement = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD 100% margin requirement",
MarketId: uint32(0),
AtomicResolution: int32(-8),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(0),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_50PercentInitial_40PercentMaintenance = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD 50/40 margin requirements",
MarketId: uint32(0),
AtomicResolution: int32(-8),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(4),
},
FundingIndex: dtypes.ZeroInt(),
}
BtcUsd_20PercentInitial_10PercentMaintenance = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD 20/10 margin requirements",
MarketId: uint32(0),
AtomicResolution: int32(-8),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(3),
},
}
BtcUsd_NoMarginRequirement = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Ticker: "BTC-USD no margin requirement",
MarketId: uint32(0),
AtomicResolution: int32(-8),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(7),
},
FundingIndex: dtypes.ZeroInt(),
}
EthUsd_0DefaultFunding_9AtomicResolution = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 1,
Ticker: "ETH-USD default fundingm, -9 atomic resolution",
MarketId: uint32(1),
AtomicResolution: int32(-9),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(5),
},
FundingIndex: dtypes.ZeroInt(),
}
EthUsd_NoMarginRequirement = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 1,
Ticker: "ETH-USD no margin requirement",
MarketId: uint32(1),
AtomicResolution: int32(-9),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(7),
},
FundingIndex: dtypes.ZeroInt(),
}
EthUsd_20PercentInitial_10PercentMaintenance = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 1,
Ticker: "ETH-USD 20/10 margin requirements",
MarketId: uint32(1),
AtomicResolution: int32(-9),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(3),
},
FundingIndex: dtypes.ZeroInt(),
}
EthUsd_100PercentMarginRequirement = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 1,
Ticker: "ETH-USD 100/100 margin requirements",
MarketId: uint32(1),
AtomicResolution: int32(-9),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(0),
},
FundingIndex: dtypes.ZeroInt(),
}
SolUsd_20PercentInitial_10PercentMaintenance = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 2,
Ticker: "SOL-USD 20/10 margin requirements",
MarketId: uint32(2),
AtomicResolution: int32(-9),
DefaultFundingPpm: int32(0),
LiquidityTier: uint32(3),
},
FundingIndex: dtypes.ZeroInt(),
}
)
// AddPremiumVotes messages.
var (
TestAddPremiumVotesMsg = &perptypes.MsgAddPremiumVotes{
Votes: []perptypes.FundingPremium{
{
PerpetualId: 0,
PremiumPpm: 1000,
},
},
}
EmptyMsgAddPremiumVotes = &perptypes.MsgAddPremiumVotes{}
EmptyMsgAddPremiumVotesTxBytes []byte
ValidMsgAddPremiumVotes = &perptypes.MsgAddPremiumVotes{
Votes: []perptypes.FundingPremium{
{PerpetualId: 1, PremiumPpm: 1_000},
{PerpetualId: 2, PremiumPpm: 2_000},
},
}
ValidMsgAddPremiumVotesTxBytes []byte
InvalidMsgAddPremiumVotes = &perptypes.MsgAddPremiumVotes{
Votes: []perptypes.FundingPremium{
{PerpetualId: 3, PremiumPpm: 3_000}, // descending order is incorrect.
{PerpetualId: 2, PremiumPpm: 2_000},
},
}
InvalidMsgAddPremiumVotesTxBytes []byte
Perpetuals_DefaultGenesisState = perptypes.GenesisState{
LiquidityTiers: []perptypes.LiquidityTier{
{
Id: uint32(0),
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,
},
},
Params: PerpetualsGenesisParams,
Perpetuals: []perptypes.Perpetual{
{
Params: perptypes.PerpetualParams{
Id: uint32(0),
Ticker: "genesis_test_ticker_0",
LiquidityTier: 0,
},
FundingIndex: dtypes.ZeroInt(),
},
{
Params: perptypes.PerpetualParams{
Id: uint32(1),
Ticker: "genesis_test_ticker_1",
LiquidityTier: 1,
},
FundingIndex: dtypes.ZeroInt(),
},
},
}
)
// Return a list of `count` constant funding premiums equal to `value`.
func GenerateConstantFundingPremiums(
value int32,
count uint32,
) (
result []int32,
) {
result = make([]int32, count)
for i := uint32(0); i < count; i += 1 {
result[i] = value
}
return result
}
// Returns a funding sample list of length `n = sum(counts)`, where
// each `values[i]` appears `counts[i]` times.
func GenerateFundingSamplesWithValues(
values []int32,
counts []uint32,
) (
result []int32,
) {
for i, count := range counts {
result = append(result, GenerateConstantFundingPremiums(values[i], count)...)
}
return result
}
// Return a list of 60 funding premium samples, with 30 equal to
// 0.001% or 1000 in ppm, 15 equal to -0.1% and 15 equal to 0.1%.
func FundingSamples_Constant_0_001_Percent_Length_60_With_Noises() (
result []int32,
) {
result = make([]int32, 60)
for i := 0; i < 30; i += 1 {
result[i] = 1000
}
for i := 30; i < 45; i += 1 {
result[i] = 100000
}
for i := 45; i < 60; i += 1 {
result[i] = -100000
}
return result
}