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engine.go
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// Copyright (C) 2023 Gobalsky Labs Limited
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU Affero General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU Affero General Public License for more details.
//
// You should have received a copy of the GNU Affero General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>.
package risk
import (
"context"
"errors"
"sort"
"sync"
"time"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/core/types/statevar"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
"golang.org/x/exp/maps"
)
//go:generate go run github.com/golang/mock/mockgen -destination mocks/mocks.go -package mocks code.vegaprotocol.io/vega/core/risk Orderbook,AuctionState,TimeService,StateVarEngine,Model
var (
ErrInsufficientFundsForInitialMargin = errors.New("insufficient funds for initial margin")
ErrRiskFactorsNotAvailableForAsset = errors.New("risk factors not available for the specified asset")
)
const RiskFactorStateVarName = "risk-factors"
// Orderbook represent an abstraction over the orderbook.
type Orderbook interface {
GetCloseoutPrice(volume uint64, side types.Side) (*num.Uint, error)
GetIndicativePrice() *num.Uint
}
// AuctionState represents the current auction state of the market, previously we got this information from the matching engine, but really... that's not its job.
type AuctionState interface {
InAuction() bool
CanLeave() bool
}
// TimeService.
type TimeService interface {
GetTimeNow() time.Time
}
// Broker the event bus broker.
type Broker interface {
Send(events.Event)
SendBatch([]events.Event)
}
type StateVarEngine interface {
RegisterStateVariable(asset, market, name string, converter statevar.Converter, startCalculation func(string, statevar.FinaliseCalculation), trigger []statevar.EventType, result func(context.Context, statevar.StateVariableResult) error) error
NewEvent(asset, market string, eventType statevar.EventType)
}
type marginChange struct {
events.Margin // previous event that caused this change
transfer *types.Transfer
margins *types.MarginLevels
}
// Engine is the risk engine.
type Engine struct {
Config
marginCalculator *types.MarginCalculator
scalingFactorsUint *scalingFactorsUint
log *logging.Logger
cfgMu sync.Mutex
model Model
factors *types.RiskFactor
waiting bool
ob Orderbook
as AuctionState
timeSvc TimeService
broker Broker
riskFactorsInitialised bool
mktID string
asset string
positionFactor num.Decimal
linearSlippageFactor num.Decimal
quadraticSlippageFactor num.Decimal
// a map of margin levels events to be send
// should be flushed after the processing of every transaction
// partyId -> MarginLevelsEvent
marginLevelsUpdates map[string]*events.MarginLevels
updateMarginLevels func(...*events.MarginLevels)
}
// NewEngine instantiate a new risk engine.
func NewEngine(log *logging.Logger,
config Config,
marginCalculator *types.MarginCalculator,
model Model,
ob Orderbook,
as AuctionState,
timeSvc TimeService,
broker Broker,
mktID string,
asset string,
stateVarEngine StateVarEngine,
positionFactor num.Decimal,
riskFactorsInitialised bool,
initialisedRiskFactors *types.RiskFactor, // if restored from snapshot, will be nil otherwise
linearSlippageFactor num.Decimal,
quadraticSlippageFactor num.Decimal,
) *Engine {
// setup logger
log = log.Named(namedLogger)
log.SetLevel(config.Level.Get())
sfUint := scalingFactorsUintFromDecimals(marginCalculator.ScalingFactors)
e := &Engine{
log: log,
Config: config,
marginCalculator: marginCalculator,
model: model,
waiting: false,
ob: ob,
as: as,
timeSvc: timeSvc,
broker: broker,
mktID: mktID,
asset: asset,
scalingFactorsUint: sfUint,
factors: model.DefaultRiskFactors(),
riskFactorsInitialised: riskFactorsInitialised,
positionFactor: positionFactor,
linearSlippageFactor: linearSlippageFactor,
quadraticSlippageFactor: quadraticSlippageFactor,
marginLevelsUpdates: map[string]*events.MarginLevels{},
}
stateVarEngine.RegisterStateVariable(asset, mktID, RiskFactorStateVarName, FactorConverter{}, e.startRiskFactorsCalculation, []statevar.EventType{statevar.EventTypeMarketEnactment, statevar.EventTypeMarketUpdated}, e.updateRiskFactor)
if initialisedRiskFactors != nil {
e.factors = initialisedRiskFactors
// we've restored from snapshot, we don't need want to trigger a MarketEnactment event
} else {
// trigger the calculation of risk factors for the market
stateVarEngine.NewEvent(asset, mktID, statevar.EventTypeMarketEnactment)
}
e.updateMarginLevels = e.bufferMarginLevels
if e.StreamMarginLevelsVerbose {
e.updateMarginLevels = e.sendMarginLevels
}
return e
}
func (e *Engine) FlushMarginLevelsEvents() {
if e.StreamMarginLevelsVerbose || len(e.marginLevelsUpdates) <= 0 {
return
}
e.sendBufferedMarginLevels()
}
func (e *Engine) sendBufferedMarginLevels() {
parties := maps.Keys(e.marginLevelsUpdates)
sort.Strings(parties)
evts := make([]events.Event, 0, len(parties))
for _, v := range parties {
evts = append(evts, e.marginLevelsUpdates[v])
}
e.broker.SendBatch(evts)
e.marginLevelsUpdates = make(map[string]*events.MarginLevels, len(e.marginLevelsUpdates))
}
func (e *Engine) sendMarginLevels(m ...*events.MarginLevels) {
evts := make([]events.Event, 0, len(m))
for _, ml := range m {
evts = append(evts, ml)
}
e.broker.SendBatch(evts)
}
func (e *Engine) bufferMarginLevels(mls ...*events.MarginLevels) {
for _, m := range mls {
e.marginLevelsUpdates[m.PartyID()] = m
}
}
func (e *Engine) OnMarginScalingFactorsUpdate(sf *types.ScalingFactors) error {
if sf.CollateralRelease.LessThan(sf.InitialMargin) || sf.InitialMargin.LessThanOrEqual(sf.SearchLevel) {
return errors.New("incompatible margins scaling factors")
}
e.marginCalculator.ScalingFactors = sf
e.scalingFactorsUint = scalingFactorsUintFromDecimals(sf)
return nil
}
func (e *Engine) UpdateModel(stateVarEngine StateVarEngine, calculator *types.MarginCalculator, model Model) {
e.scalingFactorsUint = scalingFactorsUintFromDecimals(calculator.ScalingFactors)
e.factors = model.DefaultRiskFactors()
e.model = model
stateVarEngine.NewEvent(e.asset, e.mktID, statevar.EventTypeMarketUpdated)
}
// ReloadConf update the internal configuration of the risk engine.
func (e *Engine) ReloadConf(cfg Config) {
e.log.Info("reloading configuration")
if e.log.GetLevel() != cfg.Level.Get() {
e.log.Info("updating log level",
logging.String("old", e.log.GetLevel().String()),
logging.String("new", cfg.Level.String()),
)
e.log.SetLevel(cfg.Level.Get())
}
e.cfgMu.Lock()
e.Config = cfg
e.cfgMu.Unlock()
}
// GetRiskFactors returns risk factors per specified asset.
func (e *Engine) GetRiskFactors() *types.RiskFactor {
return e.factors
}
func (e *Engine) UpdateMarginAuction(ctx context.Context, evts []events.Margin, price *num.Uint, increment num.Decimal) ([]events.Risk, []events.Margin) {
if len(evts) == 0 {
return nil, nil
}
revts := make([]events.Risk, 0, len(evts))
// parties with insufficient margin to meet required level, return the event passed as arg
low := []events.Margin{}
eventBatch := make([]*events.MarginLevels, 0, len(evts))
// for now, we can assume a single asset for all events
rFactors := *e.factors
nowTS := e.timeSvc.GetTimeNow().UnixNano()
for _, evt := range evts {
levels := e.calculateMargins(evt, price, rFactors, true, true, increment)
if levels == nil {
continue
}
levels.Party = evt.Party()
levels.Asset = e.asset // This is assuming there's a single asset at play here
levels.Timestamp = nowTS
levels.MarketID = e.mktID
curMargin := evt.MarginBalance()
if num.Sum(curMargin, evt.GeneralBalance()).LT(levels.InitialMargin) {
low = append(low, evt)
continue
}
eventBatch = append(eventBatch, events.NewMarginLevelsEvent(ctx, *levels))
// party has sufficient margin, no need to transfer funds
if curMargin.GTE(levels.InitialMargin) {
continue
}
minAmount := num.UintZero()
if levels.MaintenanceMargin.GT(curMargin) {
minAmount.Sub(levels.MaintenanceMargin, curMargin)
}
amt := num.UintZero().Sub(levels.InitialMargin, curMargin) // we know curBalace is less than initial
t := &types.Transfer{
Owner: evt.Party(),
Type: types.TransferTypeMarginLow,
Amount: &types.FinancialAmount{
Asset: e.asset,
Amount: amt,
},
MinAmount: minAmount,
}
revts = append(revts, &marginChange{
Margin: evt,
transfer: t,
margins: levels,
})
}
e.updateMarginLevels(eventBatch...)
return revts, low
}
// UpdateMarginOnNewOrder calculate the new margin requirement for a single order
// this is intended to be used when a new order is created in order to ensure the
// party margin account is at least at the InitialMargin level before the order is added to the book.
func (e *Engine) UpdateMarginOnNewOrder(ctx context.Context, evt events.Margin, markPrice *num.Uint, increment num.Decimal) (events.Risk, events.Margin, error) {
if evt == nil {
return nil, nil, nil
}
auction := e.as.InAuction() && !e.as.CanLeave()
margins := e.calculateMargins(evt, markPrice, *e.factors, true, auction, increment)
// no margins updates, nothing to do then
if margins == nil {
return nil, nil, nil
}
// update other fields for the margins
margins.Party = evt.Party()
margins.Asset = evt.Asset()
margins.Timestamp = e.timeSvc.GetTimeNow().UnixNano()
margins.MarketID = e.mktID
curMarginBalance := evt.MarginBalance()
if num.Sum(curMarginBalance, evt.GeneralBalance()).LT(margins.InitialMargin) {
// there's not enough monies in the accounts of the party
// and the order does not reduce party's exposure,
// we break from here. The minimum requirement is INITIAL.
return nil, nil, ErrInsufficientFundsForInitialMargin
}
// propagate margins levels to the buffer
e.updateMarginLevels(events.NewMarginLevelsEvent(ctx, *margins))
// margins are sufficient, nothing to update
if curMarginBalance.GTE(margins.InitialMargin) {
return nil, nil, nil
}
minAmount := num.UintZero()
if margins.MaintenanceMargin.GT(curMarginBalance) {
minAmount.Sub(margins.MaintenanceMargin, curMarginBalance)
}
// margin is < that InitialMargin so we create a transfer request to top it up.
trnsfr := &types.Transfer{
Owner: evt.Party(),
Type: types.TransferTypeMarginLow,
Amount: &types.FinancialAmount{
Asset: evt.Asset(),
Amount: num.UintZero().Sub(margins.InitialMargin, curMarginBalance),
},
MinAmount: minAmount, // minimal amount == maintenance
}
change := &marginChange{
Margin: evt,
transfer: trnsfr,
margins: margins,
}
// we don't have enough in general + margin accounts to cover initial margin level, so we'll be dipping into our bond account
// we have to return the margin event to signal that
nonBondFunds := num.Sum(curMarginBalance, evt.GeneralBalance())
nonBondFunds.Sub(nonBondFunds, evt.BondBalance())
if nonBondFunds.LT(margins.InitialMargin) {
return change, evt, nil
}
return change, nil, nil
}
// UpdateMarginsOnSettlement ensure the margin requirement over all positions.
// margins updates are based on the following requirement
//
// ---------------------------------------------------------------------------------------
//
// | 1 | SearchLevel < CurMargin < InitialMargin | nothing to do / no risk for the network |
// | 2 | CurMargin < SearchLevel | set margin to InitialLevel |
// | 3 | CurMargin > ReleaseLevel | release up to the InitialLevel |
//
// ---------------------------------------------------------------------------------------
//
// In the case where the CurMargin is smaller to the MaintenanceLevel after trying to
// move monies later, we'll need to close out the party but that cannot be figured out
// now only in later when we try to move monies from the general account.
func (e *Engine) UpdateMarginsOnSettlement(
ctx context.Context, evts []events.Margin, markPrice *num.Uint, increment num.Decimal,
) []events.Risk {
ret := make([]events.Risk, 0, len(evts))
now := e.timeSvc.GetTimeNow().UnixNano()
// var err error
// this will keep going until we've closed this channel
// this can be the result of an error, or being "finished"
for _, evt := range evts {
// before we do anything, see if the position is 0 now, but the margin balance is still set
// in which case the only response is to release the margin balance.
if evt.Size() == 0 && evt.Buy() == 0 && evt.Sell() == 0 && !evt.MarginBalance().IsZero() {
amt := evt.MarginBalance()
trnsfr := &types.Transfer{
Owner: evt.Party(),
Type: types.TransferTypeMarginHigh,
Amount: &types.FinancialAmount{
Asset: evt.Asset(),
Amount: amt,
},
MinAmount: amt.Clone(),
}
margins := types.MarginLevels{
MaintenanceMargin: num.UintZero(),
SearchLevel: num.UintZero(),
InitialMargin: num.UintZero(),
CollateralReleaseLevel: num.UintZero(),
Party: evt.Party(),
MarketID: evt.MarketID(),
Asset: evt.Asset(),
Timestamp: now,
}
e.updateMarginLevels(events.NewMarginLevelsEvent(ctx, margins))
ret = append(ret, &marginChange{
Margin: evt,
transfer: trnsfr,
margins: &margins,
})
continue
}
// channel is closed, and we've got a nil interface
auction := e.as.InAuction() && !e.as.CanLeave()
margins := e.calculateMargins(evt, markPrice, *e.factors, true, auction, increment)
// no margins updates, nothing to do then
if margins == nil {
continue
}
// update other fields for the margins
margins.Timestamp = now
margins.MarketID = e.mktID
margins.Party = evt.Party()
margins.Asset = evt.Asset()
if e.log.GetLevel() == logging.DebugLevel {
e.log.Debug("margins calculated on settlement",
logging.String("party-id", evt.Party()),
logging.String("market-id", evt.MarketID()),
logging.Reflect("margins", *margins),
)
}
curMargin := evt.MarginBalance()
// case 1 -> nothing to do margins are sufficient
if curMargin.GTE(margins.SearchLevel) && curMargin.LT(margins.CollateralReleaseLevel) {
// propagate margins then continue
e.updateMarginLevels(events.NewMarginLevelsEvent(ctx, *margins))
continue
}
var trnsfr *types.Transfer
minAmount := num.UintZero()
// case 2 -> not enough margin
if curMargin.LT(margins.SearchLevel) {
// first calculate minimal amount, which will be specified in the case we are under
// the maintenance level
if curMargin.LT(margins.MaintenanceMargin) {
minAmount.Sub(margins.MaintenanceMargin, curMargin)
}
// then the rest is common if we are before or after MaintenanceLevel,
// we try to reach the InitialMargin level
trnsfr = &types.Transfer{
Owner: evt.Party(),
Type: types.TransferTypeMarginLow,
Amount: &types.FinancialAmount{
Asset: evt.Asset(),
Amount: num.UintZero().Sub(margins.InitialMargin, curMargin),
},
MinAmount: minAmount,
}
} else { // case 3 -> release some collateral
// collateral not relased in auction
if e.as.InAuction() && !e.as.CanLeave() {
// propagate margins then continue
e.updateMarginLevels(events.NewMarginLevelsEvent(ctx, *margins))
continue
}
trnsfr = &types.Transfer{
Owner: evt.Party(),
Type: types.TransferTypeMarginHigh,
Amount: &types.FinancialAmount{
Asset: evt.Asset(),
Amount: num.UintZero().Sub(curMargin, margins.InitialMargin),
},
MinAmount: minAmount,
}
}
// propage margins to the buffers
e.updateMarginLevels(events.NewMarginLevelsEvent(ctx, *margins))
risk := &marginChange{
Margin: evt,
transfer: trnsfr,
margins: margins,
}
ret = append(ret, risk)
}
return ret
}
// ExpectMargins is used in the case some parties are in a distressed positions
// in this situation we will only check if the party margin is > to the maintenance margin.
func (e *Engine) ExpectMargins(
evts []events.Margin, markPrice *num.Uint, increment num.Decimal,
) (okMargins []events.Margin, distressedPositions []events.Margin) {
okMargins = make([]events.Margin, 0, len(evts)/2)
distressedPositions = make([]events.Margin, 0, len(evts)/2)
auction := e.as.InAuction() && !e.as.CanLeave()
for _, evt := range evts {
margins := e.calculateMargins(evt, markPrice, *e.factors, false, auction, increment)
// no margins updates, nothing to do then
if margins == nil {
okMargins = append(okMargins, evt)
continue
}
if e.log.GetLevel() == logging.DebugLevel {
e.log.Debug("margins calculated",
logging.String("party-id", evt.Party()),
logging.String("market-id", evt.MarketID()),
logging.Reflect("margins", *margins),
)
}
curMargin := evt.MarginBalance()
if curMargin.GT(margins.MaintenanceMargin) {
okMargins = append(okMargins, evt)
} else {
distressedPositions = append(distressedPositions, evt)
}
}
return okMargins, distressedPositions
}
func (m marginChange) Amount() *num.Uint {
if m.transfer == nil {
return nil
}
return m.transfer.Amount.Amount.Clone()
}
// Transfer - it's actually part of the embedded interface already, but we have to mask it, because this type contains another transfer.
func (m marginChange) Transfer() *types.Transfer {
return m.transfer
}
func (m marginChange) MarginLevels() *types.MarginLevels {
return m.margins
}