[Perpetual]: Implement on chain liquidation price (#860)

* add liquidation price

* add to query

* liq price

* fix test

* add test

proto/elys/perpetual/query.proto

@@ -103,6 +103,10 @@ message MtpAndPrice {
     (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
     (gogoproto.nullable) = false
   ];
+  string liquidation_price = 4 [
+    (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
+    (gogoproto.nullable) = false
+  ];
 }
 
 // ParamsRequest is request type for the Query/Params RPC method.

x/perpetual/client/cli/query_mtp_test.go

@@ -63,6 +63,7 @@ func networkWithMTPObjects(t *testing.T, n int) (*network.Network, []*types.MtpA
 			},
 			TradingAssetPrice: sdk.ZeroDec(),
 			Pnl:               sdk.ZeroDec(),
+			LiquidationPrice:  sdk.ZeroDec(),
 		}
 
 		mtps = append(mtps, &mtp)

x/perpetual/keeper/mtp.go

@@ -4,6 +4,7 @@ import (
 	"fmt"
 	gomath "math"
 
+	"cosmossdk.io/math"
 	"github.com/cosmos/cosmos-sdk/store/prefix"
 	sdk "github.com/cosmos/cosmos-sdk/types"
 	"github.com/cosmos/cosmos-sdk/types/query"
@@ -161,6 +162,7 @@ func (k Keeper) GetMTPs(ctx sdk.Context, pagination *query.PageRequest) ([]*type
 		}
 
 		pnl := sdk.ZeroDec()
+		liquidationPrice := sdk.ZeroDec()
 		if realTime {
 			mtpHealth, err := k.GetMTPHealth(ctx, mtp, ammPool, baseCurrency)
 			if err == nil {
@@ -173,6 +175,7 @@ func (k Keeper) GetMTPs(ctx sdk.Context, pagination *query.PageRequest) ([]*type
 			if err != nil {
 				return err
 			}
+			liquidationPrice = k.GetLiquidationPrice(ctx, mtp, ammPool, baseCurrency)
 		}
 
 		info, found := k.oracleKeeper.GetAssetInfo(ctx, mtp.TradingAsset)
@@ -190,6 +193,7 @@ func (k Keeper) GetMTPs(ctx sdk.Context, pagination *query.PageRequest) ([]*type
 			Mtp:               &mtp,
 			TradingAssetPrice: asset_price,
 			Pnl:               pnl,
+			LiquidationPrice:  liquidationPrice,
 		})
 		return nil
 	})
@@ -225,6 +229,7 @@ func (k Keeper) GetMTPsForPool(ctx sdk.Context, ammPoolId uint64, pagination *qu
 		var mtp types.MTP
 		k.cdc.MustUnmarshal(value, &mtp)
 		pnl := sdk.ZeroDec()
+		liquidationPrice := sdk.ZeroDec()
 		if accumulate && mtp.AmmPoolId == ammPoolId {
 			if realTime {
 				// Interest
@@ -239,6 +244,7 @@ func (k Keeper) GetMTPsForPool(ctx sdk.Context, ammPoolId uint64, pagination *qu
 				if err != nil {
 					return false, err
 				}
+				liquidationPrice = k.GetLiquidationPrice(ctx, mtp, ammPool, baseCurrency)
 			}
 
 			info, found := k.oracleKeeper.GetAssetInfo(ctx, mtp.TradingAsset)
@@ -255,6 +261,7 @@ func (k Keeper) GetMTPsForPool(ctx sdk.Context, ammPoolId uint64, pagination *qu
 				Mtp:               &mtp,
 				TradingAssetPrice: asset_price,
 				Pnl:               pnl,
+				LiquidationPrice:  liquidationPrice,
 			})
 			return true, nil
 		}
@@ -314,6 +321,7 @@ func (k Keeper) GetMTPsForAddressWithPagination(ctx sdk.Context, mtpAddress sdk.
 		}
 
 		pnl := sdk.ZeroDec()
+		liquidationPrice := sdk.ZeroDec()
 		if realTime {
 			mtpHealth, err := k.GetMTPHealth(ctx, mtp, ammPool, baseCurrency)
 			if err == nil {
@@ -326,6 +334,7 @@ func (k Keeper) GetMTPsForAddressWithPagination(ctx sdk.Context, mtpAddress sdk.
 			if err != nil {
 				return err
 			}
+			liquidationPrice = k.GetLiquidationPrice(ctx, mtp, ammPool, baseCurrency)
 		}
 
 		info, found := k.oracleKeeper.GetAssetInfo(ctx, mtp.TradingAsset)
@@ -343,6 +352,7 @@ func (k Keeper) GetMTPsForAddressWithPagination(ctx sdk.Context, mtpAddress sdk.
 			Mtp:               &mtp,
 			TradingAssetPrice: asset_price,
 			Pnl:               pnl,
+			LiquidationPrice:  liquidationPrice,
 		})
 		return nil
 	})
@@ -491,6 +501,58 @@ func (k Keeper) GetPnL(ctx sdk.Context, mtp types.MTP, ammPool ammtypes.Pool, ba
 	return estimatedPnL, nil
 }
 
+func (k Keeper) GetLiquidationPrice(ctx sdk.Context, mtp types.MTP, ammPool ammtypes.Pool, baseCurrency string) sdk.Dec {
+	collateralAmountInBaseCurrency := mtp.Collateral
+	if mtp.CollateralAsset != baseCurrency {
+		C, err := k.EstimateSwap(ctx, sdk.NewCoin(mtp.CollateralAsset, mtp.Collateral), baseCurrency, ammPool)
+		if err != nil {
+			return sdk.ZeroDec()
+		}
+		collateralAmountInBaseCurrency = C
+	}
+
+	liabilitiesAmountInBaseCurrency := mtp.Liabilities
+	if mtp.LiabilitiesAsset != baseCurrency {
+		L, err := k.EstimateSwap(ctx, sdk.NewCoin(mtp.LiabilitiesAsset, mtp.Liabilities), baseCurrency, ammPool)
+		if err != nil {
+			return sdk.ZeroDec()
+		}
+		liabilitiesAmountInBaseCurrency = L
+	}
+
+	custodyAmountInTradingAsset := mtp.Custody
+	if mtp.CustodyAsset != mtp.TradingAsset {
+		C, err := k.EstimateSwap(ctx, sdk.NewCoin(mtp.CustodyAsset, mtp.Custody), mtp.TradingAsset, ammPool)
+		if err != nil {
+			return sdk.ZeroDec()
+		}
+		custodyAmountInTradingAsset = C
+	}
+
+	// open price = (collateral + liabilities) / custody
+	mtp.OpenPrice = math.LegacyNewDecFromBigInt(
+		collateralAmountInBaseCurrency.Add(liabilitiesAmountInBaseCurrency).BigInt(),
+	).Quo(
+		math.LegacyNewDecFromBigInt(custodyAmountInTradingAsset.BigInt()),
+	)
+
+	// calculate liquidation price
+	// liquidation_price = open_price_value - collateral_amount / custody_amount
+	liquidationPrice := mtp.OpenPrice.Sub(
+		sdk.NewDecFromBigInt(collateralAmountInBaseCurrency.BigInt()).Quo(sdk.NewDecFromBigInt(mtp.Custody.BigInt())),
+	)
+
+	// if position is short then liquidation price is open price + collateral amount / (custody amount / open price)
+	if mtp.Position == types.Position_SHORT {
+		positionSizeInTradingAsset := sdk.NewDecFromBigInt(mtp.Custody.BigInt()).Quo(mtp.OpenPrice)
+		liquidationPrice = mtp.OpenPrice.Add(
+			sdk.NewDecFromBigInt(collateralAmountInBaseCurrency.BigInt()).Quo(positionSizeInTradingAsset),
+		)
+	}
+
+	return liquidationPrice
+}
+
 func (k Keeper) DeleteLegacyMTP(ctx sdk.Context, mtpaddress string, id uint64) error {
 	store := ctx.KVStore(k.storeKey)
 	key := types.GetMTPKey(sdk.MustAccAddressFromBech32(mtpaddress), id)

x/perpetual/keeper/open_long_test.go

@@ -21,6 +21,12 @@ import (
 	"github.com/stretchr/testify/require"
 )
 
+// isCloseTo checks if two sdk.Dec values are within a given tolerance.
+func isCloseTo(a, b sdk.Dec, tolerance sdk.Dec) bool {
+	diff := a.Sub(b).Abs()
+	return diff.LTE(tolerance)
+}
+
 func TestOpenLong_PoolNotFound(t *testing.T) {
 	// Setup the mock checker
 	mockChecker := new(mocks.OpenDefineAssetsChecker)
@@ -635,6 +641,9 @@ func TestOpenLong_ATOM_Collateral(t *testing.T) {
 		OpenPrice:                      sdk.MustNewDecFromStr("1.017016260000000000"),
 		StopLossPrice:                  sdk.NewDec(100),
 	}, mtp)
+
+	liq := mk.GetLiquidationPrice(ctx, mtp, pool, ptypes.BaseCurrency)
+	require.Equal(t, liq, sdk.MustNewDecFromStr("0.81810862"))
 }
 
 func TestOpenLong_Long10XAtom1000Usdc(t *testing.T) {
@@ -744,6 +753,17 @@ func TestOpenLong_Long10XAtom1000Usdc(t *testing.T) {
 	require.Equal(t, balances.AmountOf(ptypes.BaseCurrency), sdk.NewInt(10_000_000_000000))
 	require.Equal(t, balances.AmountOf(ptypes.ATOM), sdk.NewInt(10_000_000_000000))
 
+	res, err := mk.OpenEstimation(ctx, &types.QueryOpenEstimationRequest{
+		Position:        types.Position_LONG,
+		Leverage:        sdk.MustNewDecFromStr("10"),
+		TradingAsset:    ptypes.ATOM,
+		Collateral:      sdk.NewCoin(ptypes.BaseCurrency, sdk.NewInt(1_000_000000)),
+		Discount:        sdk.MustNewDecFromStr("0.0"),
+		TakeProfitPrice: sdk.MustNewDecFromStr("5.0"),
+	})
+	require.NoError(t, err)
+	estimatedLiqPrice := res.LiquidationPrice
+
 	// Create a perpetual position open msg
 	msg2 := types.NewMsgOpen(
 		addr[0].String(),
@@ -802,6 +822,10 @@ func TestOpenLong_Long10XAtom1000Usdc(t *testing.T) {
 		StopLossPrice:                  sdk.ZeroDec(),
 	}, mtp)
 
+	liq := mk.GetLiquidationPrice(ctx, mtp, pool, ptypes.BaseCurrency)
+	tolerance := sdk.MustNewDecFromStr("0.02").Mul(liq) // 2% tolerance
+	require.True(t, isCloseTo(liq, estimatedLiqPrice, tolerance), "liquidation price is not within 2% tolerance")
+
 	oracle.SetPrice(ctx, oracletypes.Price{
 		Asset:     "USDC",
 		Price:     sdk.NewDec(1),