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fix: update open price for short positions (#390)
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@cosmic-vagabond
cosmic-vagabond authored Feb 28, 2024
1 parent 9769a0a commit e116dbc
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Showing 3 changed files with 111 additions and 12 deletions.
35 changes: 34 additions & 1 deletion x/perpetual/keeper/open_long_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -545,7 +545,7 @@ func TestOpenLong_BaseCurrency_Collateral(t *testing.T) {
FundingFeePaidCustody: sdk.NewInt(0),
FundingFeeReceivedCollateral: sdk.NewInt(0),
FundingFeeReceivedCustody: sdk.NewInt(0),
OpenPrice: sdk.MustNewDecFromStr("10.00000000000000000"),
OpenPrice: sdk.MustNewDecFromStr("10.050000157785002477"),
}, mtp)
}

Expand Down Expand Up @@ -651,4 +651,37 @@ func TestOpenLong_ATOM_Collateral(t *testing.T) {

err = mk.InvariantCheck(ctx)
require.Equal(t, err, nil)

mtp := mtps[0]

// Check MTP
require.Equal(t, types.MTP{
Address: addr[0].String(),
CollateralAsset: "uatom",
TradingAsset: "uatom",
LiabilitiesAsset: "uusdc",
CustodyAsset: "uatom",
Collateral: sdk.NewInt(10000000),
Liabilities: sdk.NewInt(416666667),
BorrowInterestPaidCollateral: sdk.NewInt(0),
BorrowInterestPaidCustody: sdk.NewInt(0),
BorrowInterestUnpaidCollateral: sdk.NewInt(0),
Custody: sdk.NewInt(50000000),
TakeProfitLiabilities: sdk.NewInt(476190476),
TakeProfitCustody: sdk.NewInt(50000000),
Leverage: sdk.NewDec(5),
MtpHealth: sdk.MustNewDecFromStr("1.263157894989473684"),
Position: types.Position_LONG,
Id: uint64(1),
AmmPoolId: uint64(1),
ConsolidateLeverage: sdk.NewDec(4),
SumCollateral: sdk.NewInt(101010102),
TakeProfitPrice: sdk.MustNewDecFromStr(types.TakeProfitPriceDefault),
TakeProfitBorrowRate: sdk.MustNewDecFromStr("1.0"),
FundingFeePaidCollateral: sdk.NewInt(0),
FundingFeePaidCustody: sdk.NewInt(0),
FundingFeeReceivedCollateral: sdk.NewInt(0),
FundingFeeReceivedCustody: sdk.NewInt(0),
OpenPrice: sdk.MustNewDecFromStr("10.313531340000000000"),
}, mtp)
}
64 changes: 55 additions & 9 deletions x/perpetual/keeper/open_short_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -8,6 +8,7 @@ import (
"cosmossdk.io/math"
sdk "github.com/cosmos/cosmos-sdk/types"
ammtypes "github.com/elys-network/elys/x/amm/types"
assetprofiletypes "github.com/elys-network/elys/x/assetprofile/types"
"github.com/elys-network/elys/x/perpetual/keeper"
"github.com/elys-network/elys/x/perpetual/types"
"github.com/elys-network/elys/x/perpetual/types/mocks"
Expand Down Expand Up @@ -395,14 +396,26 @@ func TestOpenShort_BaseCurrency_Collateral(t *testing.T) {
// Setup coin prices
SetupStableCoinPrices(ctx, oracle)

// Set asset profile
app.AssetprofileKeeper.SetEntry(ctx, assetprofiletypes.Entry{
BaseDenom: ptypes.BaseCurrency,
Denom: ptypes.BaseCurrency,
Decimals: 6,
})
app.AssetprofileKeeper.SetEntry(ctx, assetprofiletypes.Entry{
BaseDenom: ptypes.ATOM,
Denom: ptypes.ATOM,
Decimals: 6,
})

// Generate 1 random account with 1000stake balanced
addr := simapp.AddTestAddrs(app, ctx, 1, sdk.NewInt(1000000000000))

// Create a pool
// Mint 100000USDC
usdcToken := []sdk.Coin{sdk.NewCoin(ptypes.BaseCurrency, sdk.NewInt(100000000000))}
usdcToken := []sdk.Coin{sdk.NewCoin(ptypes.BaseCurrency, sdk.NewInt(200000000000))}
// Mint 100000ATOM
atomToken := []sdk.Coin{sdk.NewCoin(ptypes.ATOM, sdk.NewInt(100000000000))}
atomToken := []sdk.Coin{sdk.NewCoin(ptypes.ATOM, sdk.NewInt(200000000000))}

err := app.BankKeeper.MintCoins(ctx, ammtypes.ModuleName, usdcToken)
require.NoError(t, err)
Expand All @@ -417,11 +430,11 @@ func TestOpenShort_BaseCurrency_Collateral(t *testing.T) {
poolAssets := []ammtypes.PoolAsset{
{
Weight: sdk.NewInt(50),
Token: sdk.NewCoin(ptypes.ATOM, sdk.NewInt(100000000000)),
Token: sdk.NewCoin(ptypes.ATOM, sdk.NewInt(10000000000)),
},
{
Weight: sdk.NewInt(50),
Token: sdk.NewCoin(ptypes.BaseCurrency, sdk.NewInt(10000000000)),
Token: sdk.NewCoin(ptypes.BaseCurrency, sdk.NewInt(100000000000)),
},
}

Expand Down Expand Up @@ -460,14 +473,14 @@ func TestOpenShort_BaseCurrency_Collateral(t *testing.T) {

// Balance check before create a perpetual position
balances := app.BankKeeper.GetAllBalances(ctx, poolAddress)
require.Equal(t, balances.AmountOf(ptypes.BaseCurrency), sdk.NewInt(10000000000))
require.Equal(t, balances.AmountOf(ptypes.ATOM), sdk.NewInt(100000000000))
require.Equal(t, balances.AmountOf(ptypes.BaseCurrency), sdk.NewInt(100000000000))
require.Equal(t, balances.AmountOf(ptypes.ATOM), sdk.NewInt(10000000000))

// Create a perpetual position open msg
msg2 := types.NewMsgOpen(
addr[0].String(),
types.Position_SHORT,
sdk.NewDec(2),
sdk.NewDec(5),
ptypes.ATOM,
sdk.NewCoin(ptypes.BaseCurrency, sdk.NewInt(100000000)),
sdk.MustNewDecFromStr(types.TakeProfitPriceDefault),
Expand All @@ -480,14 +493,47 @@ func TestOpenShort_BaseCurrency_Collateral(t *testing.T) {
require.Equal(t, len(mtps), 1)

balances = app.BankKeeper.GetAllBalances(ctx, poolAddress)
require.Equal(t, balances.AmountOf(ptypes.BaseCurrency), sdk.NewInt(10100000000))
require.Equal(t, balances.AmountOf(ptypes.ATOM), sdk.NewInt(100000000000))
require.Equal(t, balances.AmountOf(ptypes.BaseCurrency), sdk.NewInt(100100000000))
require.Equal(t, balances.AmountOf(ptypes.ATOM), sdk.NewInt(10000000000))

_, found = mk.OpenShortChecker.GetPool(ctx, pool.PoolId)
require.Equal(t, found, true)

err = mk.InvariantCheck(ctx)
require.Equal(t, err, nil)

mtp := mtps[0]

// Check MTP
require.Equal(t, types.MTP{
Address: addr[0].String(),
CollateralAsset: "uusdc",
TradingAsset: "uatom",
LiabilitiesAsset: "uatom",
CustodyAsset: "uusdc",
Collateral: sdk.NewInt(100000000),
Liabilities: sdk.NewInt(39840637),
BorrowInterestPaidCollateral: sdk.NewInt(0),
BorrowInterestPaidCustody: sdk.NewInt(0),
BorrowInterestUnpaidCollateral: sdk.NewInt(0),
Custody: sdk.NewInt(500000000),
TakeProfitLiabilities: sdk.NewInt(497512437),
TakeProfitCustody: sdk.NewInt(500000000),
Leverage: sdk.NewDec(5),
MtpHealth: sdk.MustNewDecFromStr("1.250000012500000125"),
Position: types.Position_SHORT,
Id: uint64(1),
AmmPoolId: uint64(1),
ConsolidateLeverage: sdk.NewDec(0),
SumCollateral: sdk.NewInt(100000000),
TakeProfitPrice: sdk.MustNewDecFromStr(types.TakeProfitPriceDefault),
TakeProfitBorrowRate: sdk.MustNewDecFromStr("1.0"),
FundingFeePaidCollateral: sdk.NewInt(0),
FundingFeePaidCustody: sdk.NewInt(0),
FundingFeeReceivedCollateral: sdk.NewInt(0),
FundingFeeReceivedCustody: sdk.NewInt(0),
OpenPrice: sdk.MustNewDecFromStr("9.986190535983191415"),
}, mtp)
}

func TestOpenShort_ATOM_Collateral(t *testing.T) {
Expand Down
24 changes: 22 additions & 2 deletions x/perpetual/keeper/update_open_price.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -15,14 +15,34 @@ func (k Keeper) UpdateOpenPrice(ctx sdk.Context, mtp *types.MTP, ammPool ammtype
if mtp.CollateralAsset != baseCurrency {
C, err := k.EstimateSwap(ctx, sdk.NewCoin(mtp.CollateralAsset, mtp.Collateral), baseCurrency, ammPool)
if err != nil {
return errors.Wrap(err, fmt.Sprintf("error estimating swap: %s", mtp.CustodyAsset))
return errors.Wrap(err, fmt.Sprintf("error estimating swap: %s %s", mtp.CollateralAsset, mtp.Collateral))
}
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 errors.Wrap(err, fmt.Sprintf("error estimating swap: %s %s", mtp.LiabilitiesAsset, mtp.Liabilities))
}
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 errors.Wrap(err, fmt.Sprintf("error estimating swap: %s %s", mtp.CustodyAsset, mtp.Custody))
}
custodyAmountInTradingAsset = C
}

// open price = (collateral + liabilities) / custody
mtp.OpenPrice = math.LegacyNewDecFromBigInt(
collateralAmountInBaseCurrency.Add(mtp.Liabilities).Quo(mtp.Custody).BigInt(),
collateralAmountInBaseCurrency.Add(liabilitiesAmountInBaseCurrency).BigInt(),
).Quo(
math.LegacyNewDecFromBigInt(custodyAmountInTradingAsset.BigInt()),
)

err := k.SetMTP(ctx, mtp)
Expand Down

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