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[OTE-236] Evaluate subaccounts update end state with OIMF #1172

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merged 8 commits into from
Mar 22, 2024
Merged

[OTE-236] Evaluate subaccounts update end state with OIMF #1172

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d5d8f38
use OIMF to evaluate end state; need to fix e2e test
teddyding Mar 19, 2024
0cb4df5
Use branched context, added unit test
teddyding Mar 20, 2024
5a3ee0e
nits
teddyding Mar 21, 2024
95fef0c
fix test
teddyding Mar 21, 2024
d33d766
fix clob keeper unit test (OI setup)
teddyding Mar 22, 2024
ecd802a
fix liquidation config e2e
teddyding Mar 22, 2024
a458b7e
fix e2e test
teddyding Mar 22, 2024
b4ad946
fix e2e wind_down_market
teddyding Mar 22, 2024
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18 changes: 18 additions & 0 deletions protocol/mocks/PerpetualsKeeper.go
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53 changes: 53 additions & 0 deletions protocol/testutil/constants/perpetuals.go
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Original file line number Diff line number Diff line change
@@ -1,6 +1,8 @@
package constants

import (
"math/big"

"github.com/dydxprotocol/v4-chain/protocol/dtypes"
perptypes "github.com/dydxprotocol/v4-chain/protocol/x/perpetuals/types"
)
Expand Down Expand Up @@ -81,6 +83,15 @@ var LiquidityTiers = []perptypes.LiquidityTier{
MaintenanceFractionPpm: 1_000_000,
ImpactNotional: 50_454_000_000,
},
{
Id: 9,
Name: "9",
InitialMarginPpm: 200_000, // 20%
MaintenanceFractionPpm: 500_000, // 20% * 0.5 = 10%
ImpactNotional: 2_500_000_000,
OpenInterestUpperCap: 50_000_000_000_000, // 50mm USDC
OpenInterestLowerCap: 25_000_000_000_000, // 25mm USDC
},
{
Id: 101,
Name: "101",
Expand All @@ -90,6 +101,22 @@ var LiquidityTiers = []perptypes.LiquidityTier{
},
}

// Perpetual OI setup in tests
var (
BtcUsd_OpenInterest1_AtomicRes8 = perptypes.OpenInterestDelta{
PerpetualId: 0,
BaseQuantumsDelta: big.NewInt(100_000_000),
}
EthUsd_OpenInterest1_AtomicRes9 = perptypes.OpenInterestDelta{
PerpetualId: 1,
BaseQuantumsDelta: big.NewInt(1_000_000_000),
}
DefaultTestPerpOIs = []perptypes.OpenInterestDelta{
BtcUsd_OpenInterest1_AtomicRes8,
EthUsd_OpenInterest1_AtomicRes9,
}
)

// Perpetual genesis parameters.
const TestFundingRateClampFactorPpm = 6_000_000
const TestPremiumVoteClampFactorPpm = 60_000_000
Expand Down Expand Up @@ -237,6 +264,32 @@ var (
FundingIndex: dtypes.ZeroInt(),
OpenInterest: dtypes.ZeroInt(),
}
BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1 = 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),
MarketType: perptypes.PerpetualMarketType_PERPETUAL_MARKET_TYPE_CROSS,
},
FundingIndex: dtypes.ZeroInt(),
OpenInterest: dtypes.NewInt(100_000_000),
}
BtcUsd_20PercentInitial_10PercentMaintenance_25mmLowerCap_50mmUpperCap = 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(9),
MarketType: perptypes.PerpetualMarketType_PERPETUAL_MARKET_TYPE_CROSS,
},
FundingIndex: dtypes.ZeroInt(),
OpenInterest: dtypes.ZeroInt(),
}
BtcUsd_NoMarginRequirement = perptypes.Perpetual{
Params: perptypes.PerpetualParams{
Id: 0,
Expand Down
29 changes: 29 additions & 0 deletions protocol/testutil/perpetuals/perpetuals.go
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Original file line number Diff line number Diff line change
Expand Up @@ -2,8 +2,13 @@ package perpetuals

import (
"math/big"
"testing"

sdk "github.com/cosmos/cosmos-sdk/types"
"github.com/stretchr/testify/require"

"github.com/dydxprotocol/v4-chain/protocol/dtypes"
"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
perptypes "github.com/dydxprotocol/v4-chain/protocol/x/perpetuals/types"
)

Expand Down Expand Up @@ -114,3 +119,27 @@ func abs(n int64) int64 {
}
return n
}

// Helper function to set up default open interest for input perpetuals.
func SetUpDefaultPerpOIsForTest(
t *testing.T,
ctx sdk.Context,
k perptypes.PerpetualsKeeper,
perps []perptypes.Perpetual,
) {
for _, perpOI := range constants.DefaultTestPerpOIs {
for _, perp := range perps {
if perp.Params.Id != perpOI.PerpetualId {
continue
}
// If the perpetual exists in input, set up the open interest.
require.NoError(t,
k.ModifyOpenInterest(
ctx,
perp.Params.Id,
perpOI.BaseQuantumsDelta,
),
)
}
}
}
36 changes: 18 additions & 18 deletions protocol/x/clob/e2e/liquidation_deleveraging_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -65,7 +65,7 @@ func TestLiquidationConfig(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -115,7 +115,7 @@ func TestLiquidationConfig(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -163,7 +163,7 @@ func TestLiquidationConfig(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -225,7 +225,7 @@ func TestLiquidationConfig(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -287,7 +287,7 @@ func TestLiquidationConfig(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -353,7 +353,7 @@ func TestLiquidationConfig(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -425,7 +425,7 @@ func TestLiquidationConfig(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -498,7 +498,7 @@ func TestLiquidationConfig(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -670,7 +670,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -712,7 +712,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -771,7 +771,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -812,7 +812,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -869,7 +869,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -901,7 +901,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -957,7 +957,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -1022,7 +1022,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {

liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc},

Expand Down Expand Up @@ -1056,7 +1056,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {
liquidationConfig: constants.LiquidationsConfig_FillablePrice_Max_Smmr,
liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc_Final_Settlement},

Expand Down Expand Up @@ -1085,7 +1085,7 @@ func TestPlacePerpetualLiquidation_Deleveraging(t *testing.T) {
liquidationConfig: constants.LiquidationsConfig_FillablePrice_Max_Smmr,
liquidityTiers: constants.LiquidityTiers,
perpetuals: []perptypes.Perpetual{
constants.BtcUsd_20PercentInitial_10PercentMaintenance,
constants.BtcUsd_20PercentInitial_10PercentMaintenance_OpenInterest1,
},
clobPairs: []clobtypes.ClobPair{constants.ClobPair_Btc_Final_Settlement},

Expand Down
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