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collateral.go
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collateral.go
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// Copyright (c) 2022 Gobalsky Labs Limited
//
// Use of this software is governed by the Business Source License included
// in the LICENSE.VEGA file and at https://www.mariadb.com/bsl11.
//
// Change Date: 18 months from the later of the date of the first publicly
// available Distribution of this version of the repository, and 25 June 2022.
//
// On the date above, in accordance with the Business Source License, use
// of this software will be governed by version 3 or later of the GNU General
// Public License.
package execution
import (
"context"
"errors"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
)
// ErrBondSlashing - just indicates that we had to penalize the party due to insufficient funds, and as such, we have to cancel their LP.
var ErrBondSlashing = errors.New("bond slashing")
// this will transfer funds calculated for a party amending a liquidity
// provision during auction.
func (m *Market) transferMarginsLiquidityProvisionAmendAuction(
ctx context.Context, risk events.Risk,
) error {
market := m.GetID()
// This is ultimately the same behaviour than update on order
// all or nothing of margin needsto be transferred
tsfr, _, err := m.collateral.MarginUpdateOnOrder(ctx, market, risk)
if err != nil {
return err
}
m.broker.Send(events.NewLedgerMovements(ctx, []*types.LedgerMovement{tsfr}))
return nil
}
func (m *Market) transferMargins(ctx context.Context, risk []events.Risk, closed []events.MarketPosition) error {
if m.as.InAuction() {
return m.transferMarginsAuction(ctx, risk, closed)
}
return m.transferMarginsContinuous(ctx, risk)
}
func (m *Market) transferMarginsAuction(ctx context.Context, risk []events.Risk, distressed []events.MarketPosition) error {
evts := make([]events.Event, 0, len(risk))
mID := m.GetID()
// first, update the margin accounts for all parties who have enough balance
for _, re := range risk {
tr, _, err := m.collateral.MarginUpdateOnOrder(ctx, mID, re)
if err != nil {
// @TODO handle this
return err
}
evts = append(evts, events.NewLedgerMovements(ctx, []*types.LedgerMovement{tr}))
}
m.broker.SendBatch(evts)
rmorders, err := m.matching.RemoveDistressedOrders(distressed)
if err != nil {
return err
}
evts = make([]events.Event, 0, len(rmorders))
for _, o := range rmorders {
// cancel order
o.Status = types.OrderStatusCancelled
o.Reason = types.OrderErrorInsufficientAssetBalance
// create event
evts = append(evts, events.NewOrderEvent(ctx, o))
// remove order from positions
_ = m.position.UnregisterOrder(ctx, o)
}
m.broker.SendBatch(evts)
return nil
}
func (m *Market) transferRecheckMargins(ctx context.Context, risk []events.Risk) {
if len(risk) == 0 {
return
}
mID := m.GetID()
evts := make([]events.Event, 0, len(risk))
for _, r := range risk {
var tr *types.LedgerMovement
responses := make([]*types.LedgerMovement, 0, 1)
tr, closed, err := m.collateral.MarginUpdateOnOrder(ctx, mID, r)
if err != nil {
m.log.Warn("margin recheck failed",
logging.MarketID(m.GetID()),
logging.PartyID(r.Party()),
logging.Error(err))
}
if tr != nil {
responses = append(responses, tr)
}
if closed != nil && !closed.MarginShortFall().IsZero() {
if !m.liquidity.IsPending(closed.Party()) {
resp, err := m.bondSlashing(ctx, closed)
if err != nil {
m.log.Panic("Bond slashing for non-distressed LP failed",
logging.String("party", closed.Party()),
logging.Error(err),
)
}
responses = append(responses, resp...)
}
}
evts = append(evts, events.NewLedgerMovements(ctx, responses))
}
m.broker.SendBatch(evts)
}
func (m *Market) transferMarginsContinuous(ctx context.Context, risk []events.Risk) error {
if len(risk) > 1 {
return errors.New("transferMarginsContinuous should not be possible when len(risk) > 1")
}
if len(risk) == 0 {
return nil
}
mID := m.GetID()
tr, closed, err := m.collateral.MarginUpdateOnOrder(ctx, mID, risk[0])
if err != nil {
return err
}
// if LP shortfall is not empty, this party will have to pay the LP penalty
responses := make([]*types.LedgerMovement, 0, len(risk))
if tr != nil {
responses = append(responses, tr)
}
// margin shortfall && liquidity provider -> bond slashing
if closed != nil && !closed.MarginShortFall().IsZero() {
// we pay the bond penalty if the order was not pending
if !m.liquidity.IsPending(closed.Party()) {
// get bond penalty
resp, err := m.bondSlashing(ctx, closed)
if err != nil {
return err
}
responses = append(responses, resp...)
}
}
m.broker.Send(events.NewLedgerMovements(ctx, responses))
return nil
}
func (m *Market) bondSlashing(ctx context.Context, closed ...events.Margin) ([]*types.LedgerMovement, error) {
mID := m.GetID()
asset, _ := m.mkt.GetAsset()
ret := make([]*types.LedgerMovement, 0, len(closed))
for _, c := range closed {
penalty, _ := num.UintFromDecimal(
num.DecimalFromUint(c.MarginShortFall()).Mul(m.bondPenaltyFactor).Floor(),
)
resp, err := m.collateral.BondUpdate(ctx, mID, &types.Transfer{
Owner: c.Party(),
Amount: &types.FinancialAmount{
Amount: penalty,
Asset: asset,
},
Type: types.TransferTypeBondSlashing,
MinAmount: num.UintZero(),
})
if err != nil {
return nil, err
}
ret = append(ret, resp)
}
return ret, nil
}