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margins_calculation.go
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margins_calculation.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 risk
import (
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
)
var (
exp = num.UintZero().Exp(num.NewUint(10), num.NewUint(5))
expDec = num.DecimalFromUint(exp)
)
type scalingFactorsUint struct {
search *num.Uint
initial *num.Uint
release *num.Uint
}
func scalingFactorsUintFromDecimals(sf *types.ScalingFactors) *scalingFactorsUint {
search, _ := num.UintFromDecimal(sf.SearchLevel.Mul(expDec))
initial, _ := num.UintFromDecimal(sf.InitialMargin.Mul(expDec))
release, _ := num.UintFromDecimal(sf.CollateralRelease.Mul(expDec))
return &scalingFactorsUint{
search: search,
initial: initial,
release: release,
}
}
func newMarginLevels(maintenance num.Decimal, scalingFactors *scalingFactorsUint) *types.MarginLevels {
umaintenance, _ := num.UintFromDecimal(maintenance.Ceil())
return &types.MarginLevels{
MaintenanceMargin: umaintenance,
SearchLevel: num.UintZero().Div(num.UintZero().Mul(scalingFactors.search, umaintenance), exp),
InitialMargin: num.UintZero().Div(num.UintZero().Mul(scalingFactors.initial, umaintenance), exp),
CollateralReleaseLevel: num.UintZero().Div(num.UintZero().Mul(scalingFactors.release, umaintenance), exp),
}
}
// Implementation of the margin calculator per specs:
// https://github.com/vegaprotocol/product/blob/master/specs/0019-margin-calculator.md
func (e *Engine) calculateMargins(m events.Margin, markPrice *num.Uint, rf types.RiskFactor, withPotentialBuyAndSell, auction bool) *types.MarginLevels {
var (
marginMaintenanceLng num.Decimal
marginMaintenanceSht num.Decimal
)
// convert volumn to a decimal number from a * 10^pdp
openVolume := num.DecimalFromInt64(m.Size()).Div(e.positionFactor)
var (
riskiestLng = openVolume
riskiestSht = openVolume
)
if withPotentialBuyAndSell {
// calculate both long and short riskiest positions
riskiestLng = riskiestLng.Add(num.DecimalFromInt64(m.Buy()).Div(e.positionFactor))
riskiestSht = riskiestSht.Sub(num.DecimalFromInt64(m.Sell()).Div(e.positionFactor))
}
mPriceDec := markPrice.ToDecimal()
// calculate margin maintenance long only if riskiest is > 0
// marginMaintenanceLng will be 0 by default
if riskiestLng.IsPositive() {
var (
slippageVolume = num.MaxD(openVolume, num.DecimalZero())
slippagePerUnit = num.UintZero()
noExit = true
)
if slippageVolume.IsPositive() {
if !auction {
svol, _ := num.UintFromDecimal(slippageVolume.Abs().Mul(e.positionFactor))
exitPrice, err := e.ob.GetCloseoutPrice(svol.Uint64(), types.SideBuy)
if err != nil {
if e.log.IsDebug() {
e.log.Debug("got non critical error from GetCloseoutPrice for Buy side",
logging.Error(err))
}
} else {
noExit = false
var negative bool
slippagePerUnit, negative = num.UintZero().Delta(markPrice, exitPrice)
if negative {
slippagePerUnit = num.UintZero()
}
}
}
}
minV := mPriceDec.Mul(e.linearSlippageFactor.Mul(slippageVolume).Add(e.quadraticSlippageFactor.Mul(slippageVolume.Mul(slippageVolume))))
if auction {
marginMaintenanceLng = minV.Add(slippageVolume.Mul(mPriceDec.Mul(rf.Long)))
if withPotentialBuyAndSell {
maintenanceMarginLongOpenOrders := m.BuySumProduct().ToDecimal().Div(e.positionFactor).Mul(rf.Long)
marginMaintenanceLng = marginMaintenanceLng.Add(maintenanceMarginLongOpenOrders)
}
} else {
// maintenance_margin_long_open_position =
// max(
// min(
// slippage_volume * slippage_per_unit,
// mark_price * (slippage_volume * market.maxSlippageFraction[1] + slippage_volume^2 * market.maxSlippageFraction[2])
// ),
// 0
// ) + slippage_volume * [ quantitative_model.risk_factors_long ] . [ Product.value(market_observable) ]
//
// maintenance_margin_long_open_orders = buy_orders * [ quantitative_model.risk_factors_long ] . [ Product.value(market_observable) ]
//
// if we don't have an exit price, the min() part of the formula above =
//
// mark_price * (slippage_volume * market.maxSlippageFraction[1] + slippage_volume^2 * market.maxSlippageFraction[2])
// changing the formula to:
// maintenance_margin_long_open_position =
// max(
// mark_price * (slippage_volume * market.linearSlippageFactor + slippage_volume^2 * market.quadraticSlippageFactor),
// 0
// ) + slippage_volume * [quantitative_model.risk_factors_long] . [ Product.value(market_observable) ]
if !noExit {
slip := slippagePerUnit.ToDecimal().Mul(slippageVolume)
minV = num.MinD(
slip,
minV,
)
}
marginMaintenanceLng = num.MaxD(
num.DecimalZero(),
minV,
).Add(slippageVolume.Mul(rf.Long).Mul(mPriceDec))
if withPotentialBuyAndSell {
bDec := num.DecimalFromInt64(m.Buy()).Div(e.positionFactor)
maintenanceMarginLongOpenOrders := bDec.Mul(rf.Long).Mul(mPriceDec)
marginMaintenanceLng = marginMaintenanceLng.Add(maintenanceMarginLongOpenOrders)
}
}
}
// calculate margin maintenance short only if riskiest is < 0
// marginMaintenanceSht will be 0 by default
if riskiestSht.IsNegative() {
var (
slippageVolume = num.MinD(openVolume, num.DecimalZero())
slippagePerUnit = num.UintZero()
noExit = true
)
// slippageVolume would be negative we abs it in the next phase
if slippageVolume.IsNegative() {
if !auction {
// convert back into vol * 10^pdp
svol, _ := num.UintFromDecimal(slippageVolume.Abs().Mul(e.positionFactor))
exitPrice, err := e.ob.GetCloseoutPrice(svol.Uint64(), types.SideSell)
if err != nil {
if e.log.IsDebug() {
e.log.Debug("got non critical error from GetCloseoutPrice for Sell side",
logging.Error(err))
}
} else {
noExit = false
var negative bool
slippagePerUnit, negative = num.UintZero().Delta(exitPrice, markPrice)
if negative {
slippagePerUnit = num.UintZero()
}
}
}
}
absSlippageVolume := slippageVolume.Abs()
linearSlippage := absSlippageVolume.Mul(e.linearSlippageFactor)
quadraticSlipage := absSlippageVolume.Mul(absSlippageVolume).Mul(e.quadraticSlippageFactor)
minV := mPriceDec.Mul(linearSlippage.Add(quadraticSlipage))
if auction {
marginMaintenanceSht = minV.Add(absSlippageVolume.Mul(mPriceDec.Mul(rf.Short)))
if withPotentialBuyAndSell {
maintenanceMarginShortOpenOrders := m.SellSumProduct().ToDecimal().Div(e.positionFactor).Mul(rf.Short)
marginMaintenanceSht = marginMaintenanceSht.Add(maintenanceMarginShortOpenOrders)
}
} else {
// maintenance_margin_short_open_position =
// max(
// min(
// abs(slippage_volume) * slippage_per_unit,
// mark_price * market.maxSlippageFraction[1] + abs(slippage_volume)^2 * market.maxSlippageFraction[2])
// ),
// 0
// ) + abs(slippage_volume) * [ quantitative_model.risk_factors_short ] . [ Product.value(market_observable) ]
//
// maintenance_margin_short_open_orders = abs(sell_orders) * [ quantitative_model.risk_factors_short ] . [ Product.value(market_observable) ]
//
// again the same applies here if the exit_price is invalid (+Infinity, or some other error):
// we replace the min part in the formula above, ignoring abs(slippage_volume) * slippage_per_unit:
// max(
// mark_price * market.maxSlippageFraction[1] + abs(slippage_volume)^2 * market.maxSlippageFraction[2])
// 0
// ) + abs(slippage_volume) * [ quantitative_model.risk_factors_short ] . [ Product.value(market_observable) ]
//
// maintenance_margin_short_open_orders = abs(sell_orders) * [ quantitative_model.risk_factors_short ] . [ Product.value(market_observable) ]
if !noExit {
minV = num.MinD(
absSlippageVolume.Mul(slippagePerUnit.ToDecimal()),
minV,
)
}
marginMaintenanceSht = num.MaxD(
num.DecimalZero(),
minV,
).Add(absSlippageVolume.Mul(mPriceDec).Mul(rf.Short))
if withPotentialBuyAndSell {
sDec := num.DecimalFromInt64(m.Sell()).Div(e.positionFactor)
maintenanceMarginShortOpenOrders := sDec.Abs().Mul(mPriceDec).Mul(rf.Short)
marginMaintenanceSht = marginMaintenanceSht.Add(maintenanceMarginShortOpenOrders)
}
}
}
// the greatest liability is the most positive number
if marginMaintenanceLng.GreaterThan(marginMaintenanceSht) && marginMaintenanceLng.IsPositive() {
return newMarginLevels(marginMaintenanceLng, e.scalingFactorsUint)
}
if marginMaintenanceSht.IsPositive() {
return newMarginLevels(marginMaintenanceSht, e.scalingFactorsUint)
}
return &types.MarginLevels{
MaintenanceMargin: num.UintZero(),
SearchLevel: num.UintZero(),
InitialMargin: num.UintZero(),
CollateralReleaseLevel: num.UintZero(),
}
}
func CalculateMaintenanceMarginWithSlippageFactors(sizePosition int64, buyOrders, sellOrders []*OrderInfo, marketObservable, positionFactor, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort num.Decimal, auction bool) num.Decimal {
buySumProduct, sellSumProduct := num.DecimalZero(), num.DecimalZero()
sizeSells, sizeBuys := int64(0), int64(0)
for _, o := range buyOrders {
size := int64(o.Size)
if o.IsMarketOrder {
// assume market order fills
sizePosition += size
} else {
buySumProduct = buySumProduct.Add(num.DecimalFromInt64(size).Mul(o.Price))
sizeBuys += size
}
}
for _, o := range sellOrders {
size := int64(o.Size)
if o.IsMarketOrder {
// assume market order fills
sizePosition -= size
} else {
sellSumProduct = sellSumProduct.Add(num.DecimalFromInt64(size).Mul(o.Price))
sizeSells += size
}
}
return computeMaintenanceMargin(sizePosition, sizeBuys, sizeSells, buySumProduct, sellSumProduct, marketObservable, positionFactor, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort, auction, true, true, num.MaxUint(), num.MaxUint())
}
func calculateSlippageFactor(slippageVolume, linearSlippageFactor, quadraticSlippageFactor num.Decimal) num.Decimal {
return linearSlippageFactor.Mul(slippageVolume.Abs()).Add(quadraticSlippageFactor.Mul(slippageVolume.Mul(slippageVolume)))
}
func computeMaintenanceMargin(sizePosition, buySize, sellSize int64, buySumProduct, sellSumProduct, marketObservable, positionFactor, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort num.Decimal, auction, longNoExit, shortNoExit bool, longSlippagePerUnit, shortSlippagePerUnit *num.Uint) num.Decimal {
var (
marginMaintenanceLng num.Decimal
marginMaintenanceSht num.Decimal
)
// convert volumn to a decimal number from a * 10^pdp
openVolume := num.DecimalFromInt64(sizePosition).Div(positionFactor)
// calculate both long and short riskiest positions
var (
riskiestLng = openVolume.Add(num.DecimalFromInt64(buySize).Div(positionFactor))
riskiestSht = openVolume.Sub(num.DecimalFromInt64(sellSize).Div(positionFactor))
)
// calculate margin maintenance long only if riskiest is > 0
// marginMaintenanceLng will be 0 by default
if riskiestLng.IsPositive() {
slippageVolume := num.MaxD(openVolume, num.DecimalZero())
slippageCap := marketObservable.Mul(calculateSlippageFactor(slippageVolume, linearSlippageFactor, quadraticSlippageFactor))
if auction {
marginMaintenanceLng = slippageCap.Add(slippageVolume.Mul(marketObservable.Mul(riskFactorLong)))
maintenanceMarginLongOpenOrders := buySumProduct.Div(positionFactor).Mul(riskFactorLong)
marginMaintenanceLng = marginMaintenanceLng.Add(maintenanceMarginLongOpenOrders)
} else {
if !longNoExit {
slippageCap = num.MinD(
longSlippagePerUnit.ToDecimal().Mul(slippageVolume),
slippageCap,
)
}
marginMaintenanceLng = num.MaxD(
num.DecimalZero(),
slippageCap,
).Add(slippageVolume.Mul(riskFactorLong).Mul(marketObservable))
if buySize > 0 {
maintenanceMarginLongOpenOrders := num.DecimalFromInt64(buySize).Div(positionFactor).Mul(riskFactorLong).Mul(marketObservable)
marginMaintenanceLng = marginMaintenanceLng.Add(maintenanceMarginLongOpenOrders)
}
}
}
// calculate margin maintenance short only if riskiest is < 0
// marginMaintenanceSht will be 0 by default
if riskiestSht.IsNegative() {
slippageVolume := num.MinD(openVolume, num.DecimalZero())
absSlippageVolume := slippageVolume.Abs()
slippageCap := marketObservable.Mul(calculateSlippageFactor(slippageVolume, linearSlippageFactor, quadraticSlippageFactor))
if auction {
marginMaintenanceSht = slippageCap.Add(absSlippageVolume.Mul(marketObservable.Mul(riskFactorShort)))
maintenanceMarginShortOpenOrders := sellSumProduct.Div(positionFactor).Mul(riskFactorShort)
marginMaintenanceSht = marginMaintenanceSht.Add(maintenanceMarginShortOpenOrders)
} else {
if !shortNoExit {
slippageCap = num.MinD(
absSlippageVolume.Mul(shortSlippagePerUnit.ToDecimal()),
slippageCap,
)
}
marginMaintenanceSht = num.MaxD(
num.DecimalZero(),
slippageCap,
).Add(absSlippageVolume.Mul(marketObservable).Mul(riskFactorShort))
if sellSize > 0 {
maintenanceMarginShortOpenOrders := num.DecimalFromInt64(sellSize).Div(positionFactor).Abs().Mul(marketObservable).Mul(riskFactorShort)
marginMaintenanceSht = marginMaintenanceSht.Add(maintenanceMarginShortOpenOrders)
}
}
}
// the greatest liability is the most positive number
if marginMaintenanceLng.GreaterThan(marginMaintenanceSht) && marginMaintenanceLng.IsPositive() {
return marginMaintenanceLng
}
if marginMaintenanceSht.IsPositive() {
return marginMaintenanceSht
}
return num.DecimalZero()
}