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liquidation_calculation.go
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liquidation_calculation.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 (
"fmt"
"sort"
"code.vegaprotocol.io/vega/libs/num"
)
type OrderInfo struct {
Size uint64
Price num.Decimal
IsMarketOrder bool
}
func CalculateLiquidationPriceWithSlippageFactors(sizePosition int64, buyOrders, sellOrders []*OrderInfo, currentPrice, collateralAvailable num.Decimal, positionFactor, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort, fundingPaymentPerUnitPosition num.Decimal) (liquidationPriceForOpenVolume, liquidationPriceWithSellOrders, liquidationPriceWithBuyOrders num.Decimal, err error) {
openVolume := num.DecimalFromInt64(sizePosition).Div(positionFactor)
if sizePosition != 0 {
liquidationPriceForOpenVolume, err = calculateLiquidationPrice(openVolume, currentPrice, collateralAvailable, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort, fundingPaymentPerUnitPosition)
}
liquidationPriceWithSellOrders, liquidationPriceWithBuyOrders = liquidationPriceForOpenVolume, liquidationPriceForOpenVolume
if err != nil || len(buyOrders)+len(sellOrders) == 0 {
return
}
// assume market orders will trade immediately
for _, o := range buyOrders {
if o.IsMarketOrder {
o.Price = currentPrice
}
}
for _, o := range sellOrders {
if o.IsMarketOrder {
o.Price = currentPrice
}
}
sort.Slice(buyOrders, func(i, j int) bool {
return buyOrders[i].Price.GreaterThan(buyOrders[j].Price)
})
sort.Slice(sellOrders, func(i, j int) bool {
return sellOrders[i].Price.LessThan(sellOrders[j].Price)
})
liquidationPriceWithBuyOrders, err = calculateLiquidationPriceWithOrders(liquidationPriceForOpenVolume, buyOrders, true, openVolume, currentPrice, collateralAvailable, positionFactor, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort, fundingPaymentPerUnitPosition)
if err != nil {
liquidationPriceWithBuyOrders = num.DecimalZero()
return
}
liquidationPriceWithSellOrders, err = calculateLiquidationPriceWithOrders(liquidationPriceForOpenVolume, sellOrders, false, openVolume, currentPrice, collateralAvailable, positionFactor, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort, fundingPaymentPerUnitPosition)
if err != nil {
liquidationPriceWithSellOrders = num.DecimalZero()
return
}
return liquidationPriceForOpenVolume, liquidationPriceWithBuyOrders, liquidationPriceWithSellOrders, nil
}
func calculateLiquidationPrice(openVolume num.Decimal, currentPrice, collateralAvailable num.Decimal, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort, fundingPaymentPerUnitPosition num.Decimal) (num.Decimal, error) {
if openVolume.IsZero() {
return num.DecimalZero(), nil
}
rf := riskFactorLong
if openVolume.IsNegative() {
rf = riskFactorShort
}
denominator := calculateSlippageFactor(openVolume, linearSlippageFactor, quadraticSlippageFactor).Add(openVolume.Abs().Mul(rf)).Sub(openVolume)
if denominator.IsZero() {
return num.DecimalZero(), fmt.Errorf("liquidation price not defined")
}
numerator := collateralAvailable
if !openVolume.IsZero() {
numerator = numerator.Sub(openVolume.Mul(currentPrice))
if !fundingPaymentPerUnitPosition.IsZero() {
numerator = numerator.Sub(num.MaxD(num.DecimalZero(), openVolume.Mul(fundingPaymentPerUnitPosition)))
}
}
ret := numerator.Div(denominator)
if ret.IsNegative() {
return num.DecimalZero(), nil
}
return ret, nil
}
func calculateLiquidationPriceWithOrders(liquidationPriceOpenVolumeOnly num.Decimal, orders []*OrderInfo, buySide bool, openVolume num.Decimal, currentPrice, collateralAvailable num.Decimal, positionFactor, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort, constant num.Decimal) (num.Decimal, error) {
var err error
liquidationPrice := liquidationPriceOpenVolumeOnly
exposureWithOrders := openVolume
collateralWithOrders := collateralAvailable
for _, o := range orders {
if !exposureWithOrders.IsZero() && ((buySide && exposureWithOrders.IsPositive() && o.Price.LessThan(liquidationPrice)) || (!buySide && exposureWithOrders.IsNegative() && o.Price.GreaterThan(liquidationPrice))) {
// party gets marked for closeout before this order gets a chance to fill
break
}
mtm := exposureWithOrders.Mul(o.Price.Sub(currentPrice))
currentPrice = o.Price
collateralWithOrders = collateralWithOrders.Add(mtm)
if buySide {
exposureWithOrders = exposureWithOrders.Add(num.DecimalFromInt64(int64(o.Size)).Div(positionFactor))
} else {
exposureWithOrders = exposureWithOrders.Sub(num.DecimalFromInt64(int64(o.Size)).Div(positionFactor))
}
liquidationPrice, err = calculateLiquidationPrice(exposureWithOrders, o.Price, collateralWithOrders, linearSlippageFactor, quadraticSlippageFactor, riskFactorLong, riskFactorShort, constant)
if err != nil {
return num.DecimalZero(), err
}
}
return liquidationPrice, nil
}