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[OTE-200] OIMF protos (dydxprotocol#1125)
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* OIMF protos

* add default genesis value, modify methods interface

* fix genesis file

* fix integration test

* lint

Signed-off-by: Eric <eric.warehime@gmail.com>
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@teddyding @Eric-Warehime
teddyding authored and Eric-Warehime committed Mar 12, 2024
1 parent 2a062b1 commit 41a3a41
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Showing 20 changed files with 430 additions and 68 deletions.
66 changes: 64 additions & 2 deletions indexer/packages/v4-protos/src/codegen/dydxprotocol/perpetuals/perpetual.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -69,6 +69,9 @@ export interface Perpetual {
*/

fundingIndex: Uint8Array;
/** Total size of open long contracts, measured in base_quantums. */

openInterest: Uint8Array;
}
/** Perpetual represents a perpetual on the dYdX exchange. */

Expand All @@ -81,6 +84,9 @@ export interface PerpetualSDKType {
*/

funding_index: Uint8Array;
/** Total size of open long contracts, measured in base_quantums. */

open_interest: Uint8Array;
}
/**
* PerpetualParams represents the parameters of a perpetual on the dYdX
Expand Down Expand Up @@ -280,6 +286,19 @@ export interface LiquidityTier {
*/

impactNotional: Long;
/**
* Lower cap for Open Interest Margin Fracton (OIMF), in quote quantums.
* IMF is not affected when OI <= open_interest_lower_cap.
*/

openInterestLowerCap: Long;
/**
* Upper cap for Open Interest Margin Fracton (OIMF), in quote quantums.
* IMF scales linearly to 100% as OI approaches open_interest_upper_cap.
* If zero, then the IMF does not scale with OI.
*/

openInterestUpperCap: Long;
}
/** LiquidityTier stores margin information. */

Expand Down Expand Up @@ -323,12 +342,26 @@ export interface LiquidityTierSDKType {
*/

impact_notional: Long;
/**
* Lower cap for Open Interest Margin Fracton (OIMF), in quote quantums.
* IMF is not affected when OI <= open_interest_lower_cap.
*/

open_interest_lower_cap: Long;
/**
* Upper cap for Open Interest Margin Fracton (OIMF), in quote quantums.
* IMF scales linearly to 100% as OI approaches open_interest_upper_cap.
* If zero, then the IMF does not scale with OI.
*/

open_interest_upper_cap: Long;
}

function createBasePerpetual(): Perpetual {
return {
params: undefined,
fundingIndex: new Uint8Array()
fundingIndex: new Uint8Array(),
openInterest: new Uint8Array()
};
}

Expand All @@ -342,6 +375,10 @@ export const Perpetual = {
writer.uint32(18).bytes(message.fundingIndex);
}

if (message.openInterest.length !== 0) {
writer.uint32(26).bytes(message.openInterest);
}

return writer;
},

Expand All @@ -362,6 +399,10 @@ export const Perpetual = {
message.fundingIndex = reader.bytes();
break;

case 3:
message.openInterest = reader.bytes();
break;

default:
reader.skipType(tag & 7);
break;
Expand All @@ -375,6 +416,7 @@ export const Perpetual = {
const message = createBasePerpetual();
message.params = object.params !== undefined && object.params !== null ? PerpetualParams.fromPartial(object.params) : undefined;
message.fundingIndex = object.fundingIndex ?? new Uint8Array();
message.openInterest = object.openInterest ?? new Uint8Array();
return message;
}

Expand Down Expand Up @@ -614,7 +656,9 @@ function createBaseLiquidityTier(): LiquidityTier {
initialMarginPpm: 0,
maintenanceFractionPpm: 0,
basePositionNotional: Long.UZERO,
impactNotional: Long.UZERO
impactNotional: Long.UZERO,
openInterestLowerCap: Long.UZERO,
openInterestUpperCap: Long.UZERO
};
}

Expand Down Expand Up @@ -644,6 +688,14 @@ export const LiquidityTier = {
writer.uint32(48).uint64(message.impactNotional);
}

if (!message.openInterestLowerCap.isZero()) {
writer.uint32(56).uint64(message.openInterestLowerCap);
}

if (!message.openInterestUpperCap.isZero()) {
writer.uint32(64).uint64(message.openInterestUpperCap);
}

return writer;
},

Expand Down Expand Up @@ -680,6 +732,14 @@ export const LiquidityTier = {
message.impactNotional = (reader.uint64() as Long);
break;

case 7:
message.openInterestLowerCap = (reader.uint64() as Long);
break;

case 8:
message.openInterestUpperCap = (reader.uint64() as Long);
break;

default:
reader.skipType(tag & 7);
break;
Expand All @@ -697,6 +757,8 @@ export const LiquidityTier = {
message.maintenanceFractionPpm = object.maintenanceFractionPpm ?? 0;
message.basePositionNotional = object.basePositionNotional !== undefined && object.basePositionNotional !== null ? Long.fromValue(object.basePositionNotional) : Long.UZERO;
message.impactNotional = object.impactNotional !== undefined && object.impactNotional !== null ? Long.fromValue(object.impactNotional) : Long.UZERO;
message.openInterestLowerCap = object.openInterestLowerCap !== undefined && object.openInterestLowerCap !== null ? Long.fromValue(object.openInterestLowerCap) : Long.UZERO;
message.openInterestUpperCap = object.openInterestUpperCap !== undefined && object.openInterestUpperCap !== null ? Long.fromValue(object.openInterestUpperCap) : Long.UZERO;
return message;
}

Expand Down
16 changes: 16 additions & 0 deletions proto/dydxprotocol/perpetuals/perpetual.proto
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Original file line number Diff line number Diff line change
Expand Up @@ -17,6 +17,13 @@ message Perpetual {
"github.com/dydxprotocol/v4-chain/protocol/dtypes.SerializableInt",
(gogoproto.nullable) = false
];

// Total size of open long contracts, measured in base_quantums.
bytes open_interest = 3 [
(gogoproto.customtype) =
"github.com/dydxprotocol/v4-chain/protocol/dtypes.SerializableInt",
(gogoproto.nullable) = false
];
}

enum PerpetualMarketType {
Expand Down Expand Up @@ -120,4 +127,13 @@ message LiquidityTier {
// - Impact ask price = average execution price for a market buy of the
// impact notional value.
uint64 impact_notional = 6;

// Lower cap for Open Interest Margin Fracton (OIMF), in quote quantums.
// IMF is not affected when OI <= open_interest_lower_cap.
uint64 open_interest_lower_cap = 7;

// Upper cap for Open Interest Margin Fracton (OIMF), in quote quantums.
// IMF scales linearly to 100% as OI approaches open_interest_upper_cap.
// If zero, then the IMF does not scale with OI.
uint64 open_interest_upper_cap = 8;
}
18 changes: 9 additions & 9 deletions protocol/mocks/PerpetualsKeeper.go
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18 changes: 13 additions & 5 deletions protocol/scripts/genesis/sample_pregenesis.json
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Original file line number Diff line number Diff line change
Expand Up @@ -862,31 +862,39 @@
"impact_notional": 10000000000,
"initial_margin_ppm": 50000,
"maintenance_fraction_ppm": 600000,
"name": "Large-Cap"
"name": "Large-Cap",
"open_interest_lower_cap": 0,
"open_interest_upper_cap": 0
},
{
"base_position_notional": 250000000000,
"id": 1,
"impact_notional": 5000000000,
"initial_margin_ppm": 100000,
"maintenance_fraction_ppm": 500000,
"name": "Mid-Cap"
"name": "Mid-Cap",
"open_interest_lower_cap": 25000000000000,
"open_interest_upper_cap": 50000000000000
},
{
"base_position_notional": 100000000000,
"id": 2,
"impact_notional": 2500000000,
"initial_margin_ppm": 200000,
"maintenance_fraction_ppm": 500000,
"name": "Long-Tail"
"name": "Long-Tail",
"open_interest_lower_cap": 10000000000000,
"open_interest_upper_cap": 20000000000000
},
{
"base_position_notional": 1000000000,
"id": 3,
"impact_notional": 2500000000,
"initial_margin_ppm": 1000000,
"maintenance_fraction_ppm": 200000,
"name": "Safety"
"name": "Safety",
"open_interest_lower_cap": 0,
"open_interest_upper_cap": 0
}
],
"params": {
Expand Down Expand Up @@ -1816,7 +1824,7 @@
]
}
},
"app_version": "4.0.0-dev0-59-g5530ea29",
"app_version": "4.0.0-dev0-62-g95853be5",
"chain_id": "dydx-sample-1",
"consensus": {
"params": {
Expand Down
11 changes: 11 additions & 0 deletions protocol/testing/genesis.sh
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Original file line number Diff line number Diff line change
Expand Up @@ -125,6 +125,7 @@ function edit_genesis() {

# Update perpetuals module.
# Liquidity Tiers.
# TODO(OTE-208): Finalize default values for open interest caps.
dasel put -t json -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers' -v "[]"
# Liquidity Tier: Large-Cap
dasel put -t json -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[]' -v "{}"
Expand All @@ -134,6 +135,8 @@ function edit_genesis() {
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[0].maintenance_fraction_ppm' -v '600000' # 60% of IM
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[0].base_position_notional' -v '1000000000000' # 1_000_000 USDC
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[0].impact_notional' -v '10000000000' # 10_000 USDC (500 USDC / 5%)
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[0].open_interest_lower_cap' -v '0' # OIMF doesn't apply to Large-Cap
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[0].open_interest_upper_cap' -v '0' # OIMF doesn't apply to Large-Cap

# Liquidity Tier: Mid-Cap
dasel put -t json -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[]' -v "{}"
Expand All @@ -143,6 +146,8 @@ function edit_genesis() {
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[1].maintenance_fraction_ppm' -v '500000' # 50% of IM
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[1].base_position_notional' -v '250000000000' # 250_000 USDC
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[1].impact_notional' -v '5000000000' # 5_000 USDC (500 USDC / 10%)
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[1].open_interest_lower_cap' -v '25000000000000' # 25 million USDC
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[1].open_interest_upper_cap' -v '50000000000000' # 50 million USDC

# Liquidity Tier: Long-Tail
dasel put -t json -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[]' -v "{}"
Expand All @@ -152,6 +157,8 @@ function edit_genesis() {
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[2].maintenance_fraction_ppm' -v '500000' # 50% of IM
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[2].base_position_notional' -v '100000000000' # 100_000 USDC
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[2].impact_notional' -v '2500000000' # 2_500 USDC (500 USDC / 20%)
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[2].open_interest_lower_cap' -v '10000000000000' # 10 million USDC
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[2].open_interest_upper_cap' -v '20000000000000' # 20 million USDC

# Liquidity Tier: Safety
dasel put -t json -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[]' -v "{}"
Expand All @@ -161,6 +168,10 @@ function edit_genesis() {
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[3].maintenance_fraction_ppm' -v '200000' # 20% of IM
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[3].base_position_notional' -v '1000000000' # 1_000 USDC
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[3].impact_notional' -v '2500000000' # 2_500 USDC (2_500 USDC / 100%)
# OIMF doesn't apply to `Safety`, since IMF is already at 100%.
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[3].open_interest_lower_cap' -v '0'
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.liquidity_tiers.[3].open_interest_upper_cap' -v '0'


# Params.
dasel put -t int -f "$GENESIS" '.app_state.perpetuals.params.funding_rate_clamp_factor_ppm' -v '6000000' # 600 % (same as 75% on hourly rate)
Expand Down
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