enable disable TakeProfitCustodyLiabilities (#885)

* enable disable TakeProfitCustodyLiabilities * correcting TakeProfitBorrowFactor for short * fixing unit test case
elys-network · Oct 26, 2024 · 6c3996c · 6c3996c
1 parent 215f6de
commit 6c3996c
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Showing 17 changed files with 205 additions and 86 deletions.
diff --git a/proto/elys/perpetual/params.proto b/proto/elys/perpetual/params.proto
@@ -78,4 +78,5 @@ message Params {
     (gogoproto.nullable) = false
   ];
   // No need for minimumShortTakeProfitPriceRatio as it will be 0, checked in validate message
+  bool enable_take_profit_custody_liabilities = 22;
 }
diff --git a/x/accountedpool/keeper/accounted_pool_update_test.go b/x/accountedpool/keeper/accounted_pool_update_test.go
@@ -90,15 +90,15 @@ func TestAccountedPoolUpdate(t *testing.T) {
 		},
 	}
 	// Update accounted pool
-	err := apk.PerpetualUpdates(ctx, ammPool, perpetualPool)
+	err := apk.PerpetualUpdates(ctx, ammPool, perpetualPool, false)
 	require.NoError(t, err)
 
 	apool, found := apk.GetAccountedPool(ctx, (uint64)(0))
 	require.Equal(t, found, true)
 	require.Equal(t, apool.PoolId, (uint64)(0))
 
 	usdcBalance := apk.GetAccountedBalance(ctx, (uint64)(0), ptypes.BaseCurrency)
-	require.Equal(t, usdcBalance, sdk.NewInt(1000+400-50+400-70+10-20))
+	require.Equal(t, usdcBalance, sdk.NewInt(1000+400-50+400-70))
 	atomBalance := apk.GetAccountedBalance(ctx, (uint64)(0), ptypes.ATOM)
 	require.Equal(t, atomBalance, sdk.NewInt(5000-50-50))
 }
diff --git a/x/accountedpool/keeper/hooks_perpetual.go b/x/accountedpool/keeper/hooks_perpetual.go
@@ -7,7 +7,7 @@ import (
 	perpetualtypes "github.com/elys-network/elys/x/perpetual/types"
 )
 
-func (k Keeper) PerpetualUpdates(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool) error {
+func (k Keeper) PerpetualUpdates(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool, EnableTakeProfitCustodyLiabilities bool) error {
 	// Get accounted pool
 	accountedPool, found := k.GetAccountedPool(ctx, ammPool.PoolId)
 	if !found {
@@ -22,7 +22,10 @@ func (k Keeper) PerpetualUpdates(ctx sdk.Context, ammPool ammtypes.Pool, perpetu
 			return err
 		}
 		totalLiabilities, totalCustody, totalTakeProfitCustody, totalTakeProfitLiabilities := perpetualPool.GetPerpetualPoolBalances(asset.Token.Denom)
-		accountedPoolAmt := ammBalance.Add(totalLiabilities).Sub(totalCustody).Add(totalTakeProfitCustody).Sub(totalTakeProfitLiabilities)
+		accountedPoolAmt := ammBalance.Add(totalLiabilities).Sub(totalCustody)
+		if EnableTakeProfitCustodyLiabilities {
+			accountedPoolAmt = accountedPoolAmt.Add(totalTakeProfitCustody).Sub(totalTakeProfitLiabilities)
+		}
 		accountedPool.PoolAssets[i].Token = sdk.NewCoin(asset.Token.Denom, accountedPoolAmt)
 
 		for j, nonAmmToken := range accountedPool.NonAmmPoolTokens {
@@ -50,14 +53,18 @@ func (k Keeper) PerpetualHooks() PerpetualHooks {
 	return PerpetualHooks{k}
 }
 
-func (h PerpetualHooks) AfterPerpetualPositionOpen(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool, sender sdk.AccAddress) error {
-	return h.k.PerpetualUpdates(ctx, ammPool, perpetualPool)
+func (h PerpetualHooks) AfterParamsChange(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool, EnableTakeProfitCustodyLiabilities bool) error {
+	return h.k.PerpetualUpdates(ctx, ammPool, perpetualPool, EnableTakeProfitCustodyLiabilities)
+}
+
+func (h PerpetualHooks) AfterPerpetualPositionOpen(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error {
+	return h.k.PerpetualUpdates(ctx, ammPool, perpetualPool, EnableTakeProfitCustodyLiabilities)
 }
 
-func (h PerpetualHooks) AfterPerpetualPositionModified(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool, sender sdk.AccAddress) error {
-	return h.k.PerpetualUpdates(ctx, ammPool, perpetualPool)
+func (h PerpetualHooks) AfterPerpetualPositionModified(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error {
+	return h.k.PerpetualUpdates(ctx, ammPool, perpetualPool, EnableTakeProfitCustodyLiabilities)
 }
 
-func (h PerpetualHooks) AfterPerpetualPositionClosed(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool, sender sdk.AccAddress) error {
-	return h.k.PerpetualUpdates(ctx, ammPool, perpetualPool)
+func (h PerpetualHooks) AfterPerpetualPositionClosed(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool perpetualtypes.Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error {
+	return h.k.PerpetualUpdates(ctx, ammPool, perpetualPool, EnableTakeProfitCustodyLiabilities)
 }
diff --git a/x/perpetual/keeper/calc_mtp_take_profit_borrow_rate.go b/x/perpetual/keeper/calc_mtp_take_profit_borrow_rate.go
@@ -1,6 +1,7 @@
 package keeper
 
 import (
+	"cosmossdk.io/math"
 	sdk "github.com/cosmos/cosmos-sdk/types"
 	"github.com/elys-network/elys/x/perpetual/types"
 )
@@ -20,12 +21,20 @@ func (k Keeper) CalcMTPTakeProfitBorrowFactor(mtp types.MTP) (sdk.Dec, error) {
 		return sdk.ZeroDec(), types.ErrZeroCustodyAmount
 	}
 
+	// infinite for long, 0 for short
 	if types.IsTakeProfitPriceInfinite(mtp) || mtp.TakeProfitPrice.IsZero() {
 		return sdk.OneDec(), nil
 	}
 
-	// takeProfitBorrowFactor = 1 - (liabilities / (custody * take profit price))
-	takeProfitBorrowFactor := sdk.OneDec().Sub(mtp.Liabilities.ToLegacyDec().Quo(mtp.Custody.ToLegacyDec().Mul(mtp.TakeProfitPrice)))
+	takeProfitBorrowFactor := math.LegacyOneDec()
+	if mtp.Position == types.Position_LONG {
+		// takeProfitBorrowFactor = 1 - (liabilities / (custody * take profit price))
+		takeProfitBorrowFactor = sdk.OneDec().Sub(mtp.Liabilities.ToLegacyDec().Quo(mtp.Custody.ToLegacyDec().Mul(mtp.TakeProfitPrice)))
+	} else {
+		// takeProfitBorrowFactor = 1 - ((liabilities  * take profit price) / custody)
+		takeProfitBorrowFactor = sdk.OneDec().Sub((mtp.Liabilities.ToLegacyDec().Mul(mtp.TakeProfitPrice)).Quo(mtp.Custody.ToLegacyDec()))
+
+	}
 
 	return takeProfitBorrowFactor, nil
 }
diff --git a/x/perpetual/keeper/close_position.go b/x/perpetual/keeper/close_position.go
@@ -69,7 +69,8 @@ func (k Keeper) ClosePosition(ctx sdk.Context, msg *types.MsgClose, baseCurrency
 
 	// EpochHooks after perpetual position closed
 	if k.hooks != nil {
-		err = k.hooks.AfterPerpetualPositionClosed(ctx, ammPool, pool, creator)
+		params := k.GetParams(ctx)
+		err = k.hooks.AfterPerpetualPositionClosed(ctx, ammPool, pool, creator, params.EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return nil, math.Int{}, err
 		}

diff --git a/x/perpetual/keeper/force_close_long.go b/x/perpetual/keeper/force_close_long.go
@@ -30,7 +30,8 @@ func (k Keeper) ForceCloseLong(ctx sdk.Context, mtp *types.MTP, pool *types.Pool
 	// EpochHooks after perpetual position closed
 	address := sdk.MustAccAddressFromBech32(mtp.Address)
 	if k.hooks != nil {
-		err = k.hooks.AfterPerpetualPositionClosed(ctx, ammPool, *pool, address)
+		params := k.GetParams(ctx)
+		err = k.hooks.AfterPerpetualPositionClosed(ctx, ammPool, *pool, address, params.EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return math.Int{}, err
 		}

diff --git a/x/perpetual/keeper/force_close_short.go b/x/perpetual/keeper/force_close_short.go
@@ -30,7 +30,8 @@ func (k Keeper) ForceCloseShort(ctx sdk.Context, mtp *types.MTP, pool *types.Poo
 	address := sdk.MustAccAddressFromBech32(mtp.Address)
 	// EpochHooks after perpetual position closed
 	if k.hooks != nil {
-		err = k.hooks.AfterPerpetualPositionClosed(ctx, ammPool, *pool, address)
+		params := k.GetParams(ctx)
+		err = k.hooks.AfterPerpetualPositionClosed(ctx, ammPool, *pool, address, params.EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return math.Int{}, err
 		}

diff --git a/x/perpetual/keeper/msg_server_update_params.go b/x/perpetual/keeper/msg_server_update_params.go
@@ -2,6 +2,7 @@ package keeper
 
 import (
 	"context"
+	"fmt"
 
 	errorsmod "cosmossdk.io/errors"
 	sdk "github.com/cosmos/cosmos-sdk/types"
@@ -22,5 +23,19 @@ func (k msgServer) UpdateParams(goCtx context.Context, msg *types.MsgUpdateParam
 		return nil, err
 	}
 
+	if k.hooks != nil {
+		pools := k.GetAllPools(ctx)
+		for _, pool := range pools {
+			ammPool, err := k.GetAmmPool(ctx, pool.AmmPoolId)
+			if err != nil {
+				return nil, fmt.Errorf("amm pool %d not found", pool.AmmPoolId)
+			}
+
+			err = k.hooks.AfterParamsChange(ctx, ammPool, pool, msg.Params.EnableTakeProfitCustodyLiabilities)
+			if err != nil {
+				return nil, err
+			}
+		}
+	}
 	return &types.MsgUpdateParamsResponse{}, nil
 }
diff --git a/x/perpetual/keeper/msg_server_update_take_profit_price.go b/x/perpetual/keeper/msg_server_update_take_profit_price.go
@@ -66,7 +66,8 @@ func (k msgServer) UpdateTakeProfitPrice(goCtx context.Context, msg *types.MsgUp
 	}
 
 	if k.hooks != nil {
-		err = k.hooks.AfterPerpetualPositionModified(ctx, ammPool, pool, creator)
+		params := k.GetParams(ctx)
+		err = k.hooks.AfterPerpetualPositionModified(ctx, ammPool, pool, creator, params.EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return nil, err
 		}

diff --git a/x/perpetual/keeper/open.go b/x/perpetual/keeper/open.go
@@ -121,7 +121,7 @@ func (k Keeper) Open(ctx sdk.Context, msg *types.MsgOpen, isBroker bool) (*types
 			return nil, errorsmod.Wrap(types.ErrPoolDoesNotExist, fmt.Sprintf("poolId: %d", poolId))
 		}
 
-		err = k.hooks.AfterPerpetualPositionOpen(ctx, ammPool, pool, creator)
+		err = k.hooks.AfterPerpetualPositionOpen(ctx, ammPool, pool, creator, params.EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return nil, err
 		}

diff --git a/x/perpetual/keeper/open_consolidate.go b/x/perpetual/keeper/open_consolidate.go
@@ -62,8 +62,9 @@ func (k Keeper) OpenConsolidate(ctx sdk.Context, existingMtp *types.MTP, newMtp
 
 	creator := sdk.MustAccAddressFromBech32(msg.Creator)
 	if k.hooks != nil {
-		// The pool value aboce was sent in pointer so its updated
-		err = k.hooks.AfterPerpetualPositionModified(ctx, ammPool, pool, creator)
+		params := k.GetParams(ctx)
+		// The pool value above was sent in pointer so its updated
+		err = k.hooks.AfterPerpetualPositionModified(ctx, ammPool, pool, creator, params.EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return nil, err
 		}

diff --git a/x/perpetual/migrations/v11_migration.go b/x/perpetual/migrations/v11_migration.go
@@ -0,0 +1,20 @@
+package migrations
+
+import (
+	sdk "github.com/cosmos/cosmos-sdk/types"
+	"github.com/elys-network/elys/x/perpetual/types"
+)
+
+func (m Migrator) V11Migration(ctx sdk.Context) error {
+	m.keeper.NukeDB(ctx)
+	params := types.DefaultParams()
+	err := m.keeper.SetParams(ctx, &params)
+	if err != nil {
+		return err
+	}
+
+	// using previous values
+	params.IncrementalBorrowInterestPaymentFundAddress = "elys1qqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqnrec2l"
+	params.ForceCloseFundAddress = "elys1qqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqnrec2l"
+	return nil
+}
diff --git a/x/perpetual/module.go b/x/perpetual/module.go
@@ -117,7 +117,7 @@ func (am AppModule) RegisterServices(cfg module.Configurator) {
 	types.RegisterMsgServer(cfg.MsgServer(), keeper.NewMsgServerImpl(am.keeper))
 	types.RegisterQueryServer(cfg.QueryServer(), am.keeper)
 	m := migrations.NewMigrator(am.keeper)
-	err := cfg.RegisterMigration(types.ModuleName, 9, m.V10Migration)
+	err := cfg.RegisterMigration(types.ModuleName, 10, m.V11Migration)
 	if err != nil {
 		panic(err)
 	}
@@ -144,7 +144,7 @@ func (am AppModule) ExportGenesis(ctx sdk.Context, cdc codec.JSONCodec) json.Raw
 }
 
 // ConsensusVersion is a sequence number for state-breaking change of the module. It should be incremented on each consensus-breaking change introduced by the module. To avoid wrong/empty versions, the initial version should be set to 1
-func (AppModule) ConsensusVersion() uint64 { return 10 }
+func (AppModule) ConsensusVersion() uint64 { return 11 }
 
 // BeginBlock contains the logic that is automatically triggered at the beginning of each block
 func (am AppModule) BeginBlock(ctx sdk.Context, _ abci.RequestBeginBlock) {

diff --git a/x/perpetual/types/hooks.go b/x/perpetual/types/hooks.go
@@ -6,17 +6,18 @@ import (
 )
 
 type PerpetualHooks interface {
+	AfterParamsChange(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, EnableTakeProfitCustodyLiabilities bool) error
 	// AfterPerpetualPositionOpen is called after OpenLong or OpenShort position.
 	// This should be used to update pool health
-	AfterPerpetualPositionOpen(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress) error
+	AfterPerpetualPositionOpen(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error
 
 	// AfterPerpetualPositionModified is called after a position gets modified.
 	// This should be used to update pool health
-	AfterPerpetualPositionModified(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress) error
+	AfterPerpetualPositionModified(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error
 
 	// AfterPerpetualPositionClosed is called after a position gets closed.
 	// This should be used to update pool health
-	AfterPerpetualPositionClosed(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress) error
+	AfterPerpetualPositionClosed(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error
 }
 
 var _ PerpetualHooks = MultiPerpetualHooks{}
@@ -29,29 +30,39 @@ func NewMultiPerpetualHooks(hooks ...PerpetualHooks) MultiPerpetualHooks {
 	return hooks
 }
 
-func (h MultiPerpetualHooks) AfterPerpetualPositionOpen(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress) error {
+func (h MultiPerpetualHooks) AfterParamsChange(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, EnableTakeProfitCustodyLiabilities bool) error {
 	for i := range h {
-		err := h[i].AfterPerpetualPositionOpen(ctx, ammPool, perpetualPool, sender)
+		err := h[i].AfterParamsChange(ctx, ammPool, perpetualPool, EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return err
 		}
 	}
 	return nil
 }
 
-func (h MultiPerpetualHooks) AfterPerpetualPositionModified(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress) error {
+func (h MultiPerpetualHooks) AfterPerpetualPositionOpen(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error {
 	for i := range h {
-		err := h[i].AfterPerpetualPositionModified(ctx, ammPool, perpetualPool, sender)
+		err := h[i].AfterPerpetualPositionOpen(ctx, ammPool, perpetualPool, sender, EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return err
 		}
 	}
 	return nil
 }
 
-func (h MultiPerpetualHooks) AfterPerpetualPositionClosed(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress) error {
+func (h MultiPerpetualHooks) AfterPerpetualPositionModified(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error {
 	for i := range h {
-		err := h[i].AfterPerpetualPositionClosed(ctx, ammPool, perpetualPool, sender)
+		err := h[i].AfterPerpetualPositionModified(ctx, ammPool, perpetualPool, sender, EnableTakeProfitCustodyLiabilities)
+		if err != nil {
+			return err
+		}
+	}
+	return nil
+}
+
+func (h MultiPerpetualHooks) AfterPerpetualPositionClosed(ctx sdk.Context, ammPool ammtypes.Pool, perpetualPool Pool, sender sdk.AccAddress, EnableTakeProfitCustodyLiabilities bool) error {
+	for i := range h {
+		err := h[i].AfterPerpetualPositionClosed(ctx, ammPool, perpetualPool, sender, EnableTakeProfitCustodyLiabilities)
 		if err != nil {
 			return err
 		}

diff --git a/x/perpetual/types/params.go b/x/perpetual/types/params.go
@@ -46,11 +46,11 @@ func ParamKeyTable() paramtypes.KeyTable {
 func NewParams() Params {
 	return Params{
 		PerpetualSwapFee:                               math.LegacyMustNewDecFromStr("0.001"), // 0.1%
-		FixedFundingRate:                               math.LegacyMustNewDecFromStr("0.3"),   // 30%
-		BorrowInterestRateDecrease:                     math.LegacyMustNewDecFromStr("0.000000003300000000"),
-		BorrowInterestRateIncrease:                     math.LegacyMustNewDecFromStr("0.000000003300000000"),
-		BorrowInterestRateMax:                          math.LegacyMustNewDecFromStr("0.000002700000000000"),
-		BorrowInterestRateMin:                          math.LegacyMustNewDecFromStr("0.000000030000000000"),
+		FixedFundingRate:                               math.LegacyMustNewDecFromStr("0.5"),   // 50%
+		BorrowInterestRateDecrease:                     math.LegacyMustNewDecFromStr("0.0003"),
+		BorrowInterestRateIncrease:                     math.LegacyMustNewDecFromStr("0.0003"),
+		BorrowInterestRateMax:                          math.LegacyMustNewDecFromStr("0.3"),
+		BorrowInterestRateMin:                          math.LegacyMustNewDecFromStr("0.1"),
 		ForceCloseFundAddress:                          authtypes.NewModuleAddress("zero").String(),
 		ForceCloseFundPercentage:                       math.LegacyOneDec(),
 		HealthGainFactor:                               math.LegacyMustNewDecFromStr("0.000000220000000000"),
@@ -63,9 +63,10 @@ func NewParams() Params {
 		SafetyFactor:                                   math.LegacyMustNewDecFromStr("1.050000000000000000"), // 5%
 		WhitelistingEnabled:                            false,
 		MaxLimitOrder:                                  (int64)(500),
-		MinimumLongTakeProfitPriceRatio:                math.LegacyMustNewDecFromStr("1.1"),
+		MinimumLongTakeProfitPriceRatio:                math.LegacyMustNewDecFromStr("1.02"),
 		MaximumLongTakeProfitPriceRatio:                math.LegacyMustNewDecFromStr("11"),
-		MaximumShortTakeProfitPriceRatio:               math.LegacyMustNewDecFromStr("0.9"),
+		MaximumShortTakeProfitPriceRatio:               math.LegacyMustNewDecFromStr("0.98"),
+		EnableTakeProfitCustodyLiabilities:             false,
 	}
 }