[OTE-214] Calculate current OI and pass to GetMarginRequirements calculation
#1161
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WalkthroughThe recent update enhances the perpetuals module by improving the financial mechanics of perpetual contracts. It now includes features to calculate notional values and open interest in quote quantums. Margin requirement calculations have been adjusted to account for these quantums and open interest levels. Additionally, a new method allows for the modification of open interest, with thorough testing to validate these changes and ensure the accuracy of margin requirements across various open interest scenarios. Changes
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teddyding
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GetMarginRequirements calculation
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| @@ -1222,6 +1234,30 @@ func (k Keeper) ModifyFundingIndex( | |||
| return nil | |||
| } | |||
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| func (k Keeper) ModifyOpenInterest( | |||
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Only used for test in this PR, but in a future will be used for actually updating open interest of a perp.
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Review Status
Actionable comments generated: 1
Configuration used: CodeRabbit UI
Files selected for processing (2)
- protocol/x/perpetuals/keeper/perpetual.go (2 hunks)
- protocol/x/perpetuals/keeper/perpetual_test.go (5 hunks)
Check Runs (6)
install-runsim completed (5)
build completed (1)
golangci-lint completed (1)
check-sample-pregenesis-up-to-date completed (1)
validate-yaml completed (1)
labeler completed (1)
Additional comments: 1
protocol/x/perpetuals/keeper/perpetual.go (1)
- 1011-1043: The calculation of initial and maintenance margin requirements based on the notional value of a position and open interest is a critical part of the perpetuals trading system. The logic for calculating these requirements appears to be correctly implemented, taking into account the perpetual's parameters, market price, and liquidity tier. However, it's essential to ensure that the calculations align with the financial models and risk management strategies of the protocol. Additionally, consider adding more detailed comments explaining the rationale behind the formulas used for these calculations, especially for the scaling of initial margin requirements with open interest, as this can be complex and is crucial for understanding the risk management mechanisms in place.
| func (k Keeper) ModifyOpenInterest( | ||
| ctx sdk.Context, | ||
| perpetualId uint32, | ||
| openInterestDeltaBaseQuantums *big.Int, | ||
| ) ( | ||
| err error, | ||
| ) { | ||
| // Get perpetual. | ||
| perpetual, err := k.GetPerpetual(ctx, perpetualId) | ||
| if err != nil { | ||
| return err | ||
| } | ||
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| bigOpenInterest := perpetual.OpenInterest.BigInt() | ||
| bigOpenInterest.Add( | ||
| bigOpenInterest, // reuse pointer for efficiency | ||
| openInterestDeltaBaseQuantums, | ||
| ) | ||
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| perpetual.OpenInterest = dtypes.NewIntFromBigInt(bigOpenInterest) | ||
| k.SetPerpetual(ctx, perpetual) | ||
| return nil | ||
| } |
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The ModifyOpenInterest function is introduced to dynamically adjust the open interest for a perpetual based on trading activities. This is a crucial addition for accurately reflecting the current market conditions in financial calculations and risk management. The implementation correctly updates the open interest by adding the delta to the existing value. However, it's important to ensure that this function is called in all relevant places where trades can affect the open interest, such as trade execution and position liquidation. Additionally, consider adding validation to prevent the open interest from becoming negative, as this would represent an invalid state.
+ if bigOpenInterest.Sign() < 0 {
+ return errorsmod.Wrap(types.ErrNegativeOpenInterest, "open interest cannot be negative")
+ }Committable suggestion
‼️ IMPORTANT
Carefully review the code before committing. Ensure that it accurately replaces the highlighted code, contains no missing lines, and has no issues with indentation.
| func (k Keeper) ModifyOpenInterest( | |
| ctx sdk.Context, | |
| perpetualId uint32, | |
| openInterestDeltaBaseQuantums *big.Int, | |
| ) ( | |
| err error, | |
| ) { | |
| // Get perpetual. | |
| perpetual, err := k.GetPerpetual(ctx, perpetualId) | |
| if err != nil { | |
| return err | |
| } | |
| bigOpenInterest := perpetual.OpenInterest.BigInt() | |
| bigOpenInterest.Add( | |
| bigOpenInterest, // reuse pointer for efficiency | |
| openInterestDeltaBaseQuantums, | |
| ) | |
| perpetual.OpenInterest = dtypes.NewIntFromBigInt(bigOpenInterest) | |
| k.SetPerpetual(ctx, perpetual) | |
| return nil | |
| } | |
| func (k Keeper) ModifyOpenInterest( | |
| ctx sdk.Context, | |
| perpetualId uint32, | |
| openInterestDeltaBaseQuantums *big.Int, | |
| ) ( | |
| err error, | |
| ) { | |
| // Get perpetual. | |
| perpetual, err := k.GetPerpetual(ctx, perpetualId) | |
| if err != nil { | |
| return err | |
| } | |
| bigOpenInterest := perpetual.OpenInterest.BigInt() | |
| bigOpenInterest.Add( | |
| bigOpenInterest, // reuse pointer for efficiency | |
| openInterestDeltaBaseQuantums, | |
| ) | |
| if bigOpenInterest.Sign() < 0 { | |
| return errorsmod.Wrap(types.ErrNegativeOpenInterest, "open interest cannot be negative") | |
| } | |
| perpetual.OpenInterest = dtypes.NewIntFromBigInt(bigOpenInterest) | |
| k.SetPerpetual(ctx, perpetual) | |
| return nil | |
| } |
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Review Status
Actionable comments generated: 0
Configuration used: CodeRabbit UI
Files selected for processing (1)
- protocol/x/perpetuals/keeper/perpetual.go (2 hunks)
Check Runs (10)
build completed (2)
liveness-test completed (2)
test-race completed (2)
test-coverage-upload completed (2)
unit-end-to-end-and-integration completed (2)
golangci-lint completed (2)
container-tests completed (2)
validate-yaml completed (1)
check-sample-pregenesis-up-to-date completed (2)
labeler completed (1)
Files skipped from review as they are similar to previous changes (1)
- protocol/x/perpetuals/keeper/perpetual.go
There was a problem hiding this comment.
Review Status
Actionable comments generated: 0
Configuration used: CodeRabbit UI
Files selected for processing (3)
- protocol/x/perpetuals/keeper/perpetual.go (2 hunks)
- protocol/x/perpetuals/keeper/perpetual_test.go (5 hunks)
- protocol/x/perpetuals/types/errors.go (1 hunks)
Check Runs (6)
install-runsim completed (5)
validate-yaml completed (1)
check-sample-pregenesis-up-to-date completed (1)
golangci-lint completed (1)
build completed (1)
labeler completed (1)
Files skipped from review as they are similar to previous changes (1)
- protocol/x/perpetuals/keeper/perpetual.go
Additional comments: 1
protocol/x/perpetuals/types/errors.go (1)
- 120-124: The addition of
ErrOpenInterestWouldBecomeNegativeis clear and directly supports the PR's objectives related to handling open interest calculations. The error is well-defined and follows the existing pattern of error definitions in the module.
Changelist
Calculate current OI and pass to GetMarginRequirements calculation
Test Plan
Unit tests
Author/Reviewer Checklist
state-breakinglabel.indexer-postgres-breakinglabel.PrepareProposalorProcessProposal, manually add the labelproposal-breaking.feature:[feature-name].backport/[branch-name].refactor,chore,bug.