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Fix/issue 412 #445

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merged 2 commits into from
Mar 24, 2023
Merged

Fix/issue 412 #445

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d7cf829
modify: rename variable name and define type
mkXultra Mar 17, 2023
b985f75
Merge branch 'newDevelop' of https://github.com/UnUniFi/chain into fi…
mkXultra Mar 17, 2023
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5 changes: 4 additions & 1 deletion x/derivatives/abci.go
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Original file line number Diff line number Diff line change
Expand Up @@ -31,15 +31,18 @@ func BeginBlocker(ctx sdk.Context, k keeper.Keeper) {
func CheckPosition(ctx sdk.Context, k keeper.Keeper) {
positions := k.GetAllPositions(ctx)
params := k.GetParams(ctx)
quoteTicker := k.GetPoolQuoteTicker(ctx)
for _, position := range positions {
currentBaseUsdRate, currentQuoteUsdRate, err := k.GetPairUsdPriceFromMarket(ctx, position.Market)
baseMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.BaseDenom, currentBaseUsdRate)
quoteMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.QuoteDenom, currentQuoteUsdRate)
if err != nil {
// todo: user logger
fmt.Println("failed to get pair usd price from market")
fmt.Println(err)
continue
}
if position.NeedLiquidation(params.PerpetualFutures.MarginMaintenanceRate, currentBaseUsdRate, currentQuoteUsdRate) {
if position.NeedLiquidation(params.PerpetualFutures.MarginMaintenanceRate, baseMetricsRate, quoteMetricsRate) {
msg := types.MsgReportLiquidation{
Sender: position.Address,
PositionId: position.Id,
Expand Down
28 changes: 18 additions & 10 deletions x/derivatives/keeper/grpc_query.go
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Original file line number Diff line number Diff line change
Expand Up @@ -49,8 +49,9 @@ func (k Keeper) PerpetualFutures(c context.Context, req *types.QueryPerpetualFut
}
}

longUUsd := positions.EvaluateLongPositions(getPriceFunc(ctx))
shortUUsd := positions.EvaluateShortPositions(getPriceFunc(ctx))
quoteTicker := k.GetPoolQuoteTicker(ctx)
longUUsd := positions.EvaluateLongPositions(quoteTicker, getPriceFunc(ctx))
shortUUsd := positions.EvaluateShortPositions(quoteTicker, getPriceFunc(ctx))
// TODO: implement the handler logic
ctx.BlockHeight()
metricsQuoteTicker := "USD"
Expand Down Expand Up @@ -209,20 +210,23 @@ func (k Keeper) MakeQueriedPositions(ctx sdk.Context, positions types.Positions)
return nil, status.Error(codes.Internal, err.Error())
}

profit := perpetualFuturesPosition.ProfitAndLossInMetrics(currentBaseUsdRate, currentQuoteUsdRate)
quoteTicker := k.GetPoolQuoteTicker(ctx)
baseMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.BaseDenom, currentBaseUsdRate)
quoteMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.QuoteDenom, currentQuoteUsdRate)
profit := perpetualFuturesPosition.ProfitAndLossInMetrics(baseMetricsRate, quoteMetricsRate)
// fixme do not use sdk.Coin directly
positiveOrNegativeProfitCoin := sdk.Coin{
Denom: "uusd",
Amount: types.MicroToNormalDenom(profit),
}
positiveOrNegativeEffectiveMargin := sdk.Coin{
Denom: "uusd",
Amount: types.MicroToNormalDenom(perpetualFuturesPosition.EffectiveMarginInMetrics(currentBaseUsdRate, currentQuoteUsdRate)),
Amount: types.MicroToNormalDenom(perpetualFuturesPosition.EffectiveMarginInMetrics(baseMetricsRate, quoteMetricsRate)),
}
queriedPosition := types.QueriedPosition{
Position: position,
ValuationProfit: positiveOrNegativeProfitCoin,
MarginMaintenanceRate: perpetualFuturesPosition.MarginMaintenanceRate(currentBaseUsdRate, currentQuoteUsdRate),
MarginMaintenanceRate: perpetualFuturesPosition.MarginMaintenanceRate(baseMetricsRate, quoteMetricsRate),
EffectiveMargin: positiveOrNegativeEffectiveMargin,
}
queriedPositions = append(queriedPositions, queriedPosition)
Expand Down Expand Up @@ -253,13 +257,16 @@ func (k Keeper) Position(c context.Context, req *types.QueryPositionRequest) (*t
if err != nil {
panic(err)
}
quoteTicker := k.GetPoolQuoteTicker(ctx)
baseMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.BaseDenom, currentBaseUsdRate)
quoteMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.QuoteDenom, currentQuoteUsdRate)

profit := perpetualFuturesPosition.ProfitAndLossInMetrics(currentBaseUsdRate, currentQuoteUsdRate)
profit := perpetualFuturesPosition.ProfitAndLossInMetrics(baseMetricsRate, quoteMetricsRate)
return &types.QueryPositionResponse{
Position: position,
ValuationProfit: sdk.NewCoin("uusd", types.MicroToNormalDenom(profit)),
MarginMaintenanceRate: perpetualFuturesPosition.MarginMaintenanceRate(currentBaseUsdRate, currentQuoteUsdRate),
EffectiveMargin: sdk.NewCoin("uusd", types.MicroToNormalDenom(perpetualFuturesPosition.EffectiveMarginInMetrics(currentBaseUsdRate, currentQuoteUsdRate))),
MarginMaintenanceRate: perpetualFuturesPosition.MarginMaintenanceRate(baseMetricsRate, quoteMetricsRate),
EffectiveMargin: sdk.NewCoin("uusd", types.MicroToNormalDenom(perpetualFuturesPosition.EffectiveMarginInMetrics(baseMetricsRate, quoteMetricsRate))),
}, nil
}

Expand All @@ -280,10 +287,11 @@ func (k Keeper) PerpetualFuturesPositionSize(c context.Context, req *types.Query
}
}
var result sdk.Dec
quoteTicker := k.GetPoolQuoteTicker(ctx)
if req.PositionType == types.PositionType_LONG {
result = positions.EvaluateLongPositions(getPriceFunc(ctx))
result = positions.EvaluateLongPositions(quoteTicker, getPriceFunc(ctx))
} else if req.PositionType == types.PositionType_SHORT {
result = positions.EvaluateShortPositions(getPriceFunc(ctx))
result = positions.EvaluateShortPositions(quoteTicker, getPriceFunc(ctx))
} else {
return nil, status.Error(codes.InvalidArgument, "invalid position type")
}
Expand Down
15 changes: 12 additions & 3 deletions x/derivatives/keeper/perpetual_futures.go
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Original file line number Diff line number Diff line change
Expand Up @@ -74,7 +74,10 @@ func (k Keeper) OpenPerpetualFuturesPosition(ctx sdk.Context, positionId string,
}

params := k.GetParams(ctx)
if position.NeedLiquidation(params.PerpetualFutures.MarginMaintenanceRate, position.OpenedBaseRate, position.OpenedQuoteRate) {
quoteTicker := k.GetPoolQuoteTicker(ctx)
baseMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.BaseDenom, position.OpenedBaseRate)
quoteMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.QuoteDenom, position.OpenedQuoteRate)
if position.NeedLiquidation(params.PerpetualFutures.MarginMaintenanceRate, baseMetricsRate, quoteMetricsRate) {
return nil, types.ErrorInvalidPositionParams
}

Expand Down Expand Up @@ -121,7 +124,10 @@ func (k Keeper) ClosePerpetualFuturesPosition(ctx sdk.Context, position types.Pe
}
}

returningAmount, lossToLP := position.CalcReturningAmountAtClose(baseUsdPrice, quoteUsdPrice)
quoteTicker := k.GetPoolQuoteTicker(ctx)
baseMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.BaseDenom, baseUsdPrice)
quoteMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.QuoteDenom, quoteUsdPrice)
returningAmount, lossToLP := position.CalcReturningAmountAtClose(baseMetricsRate, quoteMetricsRate)

if !(lossToLP.IsNil()) {
// TODO: emit event to tell how much loss is taken by liquidity provider.
Expand Down Expand Up @@ -152,7 +158,10 @@ func (k Keeper) ReportLiquidationNeededPerpetualFuturesPosition(ctx sdk.Context,
panic(err)
}

if position.NeedLiquidation(params.PerpetualFutures.MarginMaintenanceRate, currentBaseUsdRate, currentQuoteUsdRate) {
quoteTicker := k.GetPoolQuoteTicker(ctx)
baseMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.BaseDenom, currentBaseUsdRate)
quoteMetricsRate := types.NewMetricsRateType(quoteTicker, position.Market.QuoteDenom, currentQuoteUsdRate)
if position.NeedLiquidation(params.PerpetualFutures.MarginMaintenanceRate, baseMetricsRate, quoteMetricsRate) {
k.ClosePerpetualFuturesPosition(ctx, position)

rewardAmount := sdk.NewDecFromInt(position.RemainingMargin.Amount).Mul(params.PoolParams.ReportLiquidationRewardRate).RoundInt()
Expand Down
83 changes: 49 additions & 34 deletions x/derivatives/types/positions.go
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Original file line number Diff line number Diff line change
Expand Up @@ -47,7 +47,7 @@ func MustUnpackPositionInstance(positionAny types.Any) PositionInstance {
return position
}

func (m Position) NeedLiquidation(MarginMaintenanceRate, currentBaseUsdRate, currentQuoteUsdRate sdk.Dec) bool {
func (m Position) NeedLiquidation(MarginMaintenanceRate sdk.Dec, currentBaseMetricsRate, currentQuoteMetricsRate MetricsRateType) bool {
ins, err := UnpackPositionInstance(m.PositionInstance)
if err != nil {
return false
Expand All @@ -56,7 +56,7 @@ func (m Position) NeedLiquidation(MarginMaintenanceRate, currentBaseUsdRate, cur
switch positionInstance := ins.(type) {
case *PerpetualFuturesPositionInstance:
perpetualFuturesPosition := NewPerpetualFuturesPosition(m, *positionInstance)
return perpetualFuturesPosition.NeedLiquidation(MarginMaintenanceRate, currentBaseUsdRate, currentQuoteUsdRate)
return perpetualFuturesPosition.NeedLiquidation(MarginMaintenanceRate, currentBaseMetricsRate, currentQuoteMetricsRate)
break
case *PerpetualOptionsPositionInstance:
panic("not implemented")
Expand Down Expand Up @@ -108,8 +108,8 @@ func NewPerpetualFuturesPositionFromPosition(position Position) (PerpetualFuture
return PerpetualFuturesPosition{}, fmt.Errorf("this Any doesn't have PerpetualFuturesPositionInstance value")
}

func (m PerpetualFuturesPosition) NeedLiquidation(minMarginMaintenanceRate, currentBaseUsdRate, currentQuoteUsdRate sdk.Dec) bool {
marginMaintenanceRate := m.MarginMaintenanceRate(currentBaseUsdRate, currentQuoteUsdRate)
func (m PerpetualFuturesPosition) NeedLiquidation(minMarginMaintenanceRate sdk.Dec, currentBaseMetricsRate, currentQuoteMetricsRate MetricsRateType) bool {
marginMaintenanceRate := m.MarginMaintenanceRate(currentBaseMetricsRate, currentQuoteMetricsRate)
if marginMaintenanceRate.LT(minMarginMaintenanceRate) {
return true
} else {
Expand All @@ -122,8 +122,8 @@ func (m PerpetualFuturesPosition) OpenedPairRate() sdk.Dec {
}

// todo make test
func (m PerpetualFuturesPosition) EvaluatePosition(currentBaseUsdRate sdk.Dec) sdk.Dec {
return currentBaseUsdRate.Mul(m.PositionInstance.Size_)
func (m PerpetualFuturesPosition) EvaluatePosition(currentBaseMetricsRate MetricsRateType) sdk.Dec {
return currentBaseMetricsRate.Amount.Amount.Mul(m.PositionInstance.Size_)
}

// TODO: consider to use sdk.DecCoin
Expand All @@ -135,9 +135,9 @@ func MicroToNormalDec(amount sdk.Dec) sdk.Dec {
return amount.Mul(sdk.MustNewDecFromStr("1000000"))
}

func (m PerpetualFuturesPosition) CalcReturningAmountAtClose(baseUSDRate, quoteUSDRate sdk.Dec) (returningAmount math.Int, lossToLP math.Int) {
func (m PerpetualFuturesPosition) CalcReturningAmountAtClose(baseMetricsRate, quoteMetricsRate MetricsRateType) (returningAmount math.Int, lossToLP math.Int) {
principal := m.RemainingMargin.Amount
pnlAmount := m.ProfitAndLossInMetrics(baseUSDRate, quoteUSDRate)
pnlAmount := m.ProfitAndLossInMetrics(baseMetricsRate, quoteMetricsRate)

returningAmount = principal.Add(pnlAmount.TruncateInt())

Expand All @@ -151,7 +151,7 @@ func (m PerpetualFuturesPosition) CalcReturningAmountAtClose(baseUSDRate, quoteU
}

// todo make test
func (m Positions) EvaluatePositions(posType PositionType, getCurrentPriceF func(denom string) (sdk.Dec, error)) sdk.Dec {
func (m Positions) EvaluatePositions(posType PositionType, quoteTicker string, getCurrentPriceF func(denom string) (sdk.Dec, error)) sdk.Dec {
usdMap := map[string]sdk.Dec{}
result := sdk.ZeroDec()
for _, position := range m {
Expand All @@ -174,7 +174,10 @@ func (m Positions) EvaluatePositions(posType PositionType, getCurrentPriceF func
if perpetualFuturesPosition.PositionInstance.PositionType != posType {
continue
}
result = result.Add(perpetualFuturesPosition.EvaluatePosition(usdMap[position.Market.BaseDenom]))

metricsRate := NewMetricsRateType(quoteTicker, position.Market.BaseDenom, usdMap[position.Market.BaseDenom])

result = result.Add(perpetualFuturesPosition.EvaluatePosition(metricsRate))
break
case *PerpetualOptionsPositionInstance:
panic("not implemented")
Expand All @@ -185,12 +188,12 @@ func (m Positions) EvaluatePositions(posType PositionType, getCurrentPriceF func
return result
}

func (m Positions) EvaluateLongPositions(getCurrentPriceF func(denom string) (sdk.Dec, error)) sdk.Dec {
return m.EvaluatePositions(PositionType_LONG, getCurrentPriceF)
func (m Positions) EvaluateLongPositions(quoteTicker string, getCurrentPriceF func(denom string) (sdk.Dec, error)) sdk.Dec {
return m.EvaluatePositions(PositionType_LONG, quoteTicker, getCurrentPriceF)
}

func (m Positions) EvaluateShortPositions(getCurrentPriceF func(denom string) (sdk.Dec, error)) sdk.Dec {
return m.EvaluatePositions(PositionType_SHORT, getCurrentPriceF)
func (m Positions) EvaluateShortPositions(quoteTicker string, getCurrentPriceF func(denom string) (sdk.Dec, error)) sdk.Dec {
return m.EvaluatePositions(PositionType_SHORT, quoteTicker, getCurrentPriceF)
}

func (m PerpetualFuturesPosition) RequiredMarginInQuote(baseQuoteRate sdk.Dec) sdk.Dec {
Expand All @@ -202,22 +205,22 @@ func (m PerpetualFuturesPosition) RequiredMarginInBase() sdk.Dec {
return m.PositionInstance.MarginRequirement(sdk.MustNewDecFromStr("1"))
}

// func (m PerpetualFuturesPosition) RequiredMarginInMetrics(requiredMarginInQuote, quoteUSDRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) RequiredMarginInMetrics(baseUSDRate, quoteUSDRate sdk.Dec) sdk.Dec {
// func (m PerpetualFuturesPosition) RequiredMarginInMetrics(requiredMarginInQuote, quoteMetricsRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) RequiredMarginInMetrics(baseMetricsRate, quoteMetricsRate MetricsRateType) sdk.Dec {
// 必要証拠金(USD単位) = 必要証拠金(quote単位) * 現在のquote/USDレート
// = 必要証拠金(base単位) * 現在のbase/USDレート
if m.RemainingMargin.Denom == m.Market.QuoteDenom {
baseQuoteRate := baseUSDRate.Quo(quoteUSDRate)
return m.RequiredMarginInQuote(baseQuoteRate).Mul(quoteUSDRate)
baseQuoteRate := baseMetricsRate.Amount.Amount.Quo(quoteMetricsRate.Amount.Amount)
return m.RequiredMarginInQuote(baseQuoteRate).Mul(quoteMetricsRate.Amount.Amount)
} else if m.RemainingMargin.Denom == m.Market.BaseDenom {
return m.RequiredMarginInBase().Mul(baseUSDRate)
return m.RequiredMarginInBase().Mul(baseMetricsRate.Amount.Amount)
} else {
panic("not supported denom")
}
}
func (m PerpetualFuturesPosition) ProfitAndLossInQuote(baseUSDRate, quoteUSDRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) ProfitAndLossInQuote(baseMetricsRate, quoteMetricsRate MetricsRateType) sdk.Dec {
// 損益(quote単位) = (longなら1,shortなら-1) * (現在のbase/quoteレート - ポジション開設時base/quoteレート) * ポジションサイズ(base単位)
baseQuoteRate := baseUSDRate.Quo(quoteUSDRate)
baseQuoteRate := baseMetricsRate.Amount.Amount.Quo(quoteMetricsRate.Amount.Amount)
profitOrLoss := baseQuoteRate.Sub(m.OpenedPairRate()).Mul(m.PositionInstance.Size_)
if m.PositionInstance.PositionType == PositionType_LONG {
return profitOrLoss
Expand All @@ -226,35 +229,47 @@ func (m PerpetualFuturesPosition) ProfitAndLossInQuote(baseUSDRate, quoteUSDRate
}
}

func (m PerpetualFuturesPosition) ProfitAndLossInMetrics(baseUSDRate, quoteUSDRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) ProfitAndLossInMetrics(baseMetricsRate, quoteMetricsRate MetricsRateType) sdk.Dec {
// 損益(USD単位) = 損益(quote単位) * 現在のquote/USDレート
return m.ProfitAndLossInQuote(baseUSDRate, quoteUSDRate).Mul(quoteUSDRate)
return m.ProfitAndLossInQuote(baseMetricsRate, quoteMetricsRate).Mul(quoteMetricsRate.Amount.Amount)
}
func (m PerpetualFuturesPosition) MarginMaintenanceRate(baseUSDRate, quoteUSDRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) MarginMaintenanceRate(baseMetricsRate, quoteMetricsRate MetricsRateType) sdk.Dec {
// 証拠金維持率 = 有効証拠金(USD単位) ÷ 必要証拠金(USD単位)
return m.EffectiveMarginInMetrics(baseUSDRate, quoteUSDRate).Quo(m.RequiredMarginInMetrics(baseUSDRate, quoteUSDRate))
return m.EffectiveMarginInMetrics(baseMetricsRate, quoteMetricsRate).Quo(m.RequiredMarginInMetrics(baseMetricsRate, quoteMetricsRate))
}
func (m PerpetualFuturesPosition) RemainingMarginInBase(baseUSDRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) RemainingMarginInBase(baseMetricsRate MetricsRateType) sdk.Dec {
// 残存証拠金(USD単位) = 残存証拠金(base単位) * 現在のbase/USDレート
return sdk.NewDecFromInt(m.RemainingMargin.Amount).Mul(baseUSDRate)
return sdk.NewDecFromInt(m.RemainingMargin.Amount).Mul(baseMetricsRate.Amount.Amount)
}
func (m PerpetualFuturesPosition) RemainingMarginInQuote(quoteUSDRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) RemainingMarginInQuote(quoteMetricsRate MetricsRateType) sdk.Dec {
// 残存証拠金(USD単位) = 残存証拠金(quote単位) * 現在のquote/USDレート
return sdk.NewDecFromInt(m.RemainingMargin.Amount).Mul(quoteUSDRate)
return sdk.NewDecFromInt(m.RemainingMargin.Amount).Mul(quoteMetricsRate.Amount.Amount)
}
func (m PerpetualFuturesPosition) RemainingMarginInMetrics(baseUSDRate, quoteUSDRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) RemainingMarginInMetrics(baseMetricsRate, quoteMetricsRate MetricsRateType) sdk.Dec {
// 残存証拠金(USD単位) = 残存証拠金(base単位) * 現在のbase/USDレート
// = 残存証拠金(quote単位) * 現在のquote/USDレート
if m.RemainingMargin.Denom == m.Market.BaseDenom {
return m.RemainingMarginInBase(baseUSDRate)
return m.RemainingMarginInBase(baseMetricsRate)
} else if m.RemainingMargin.Denom == m.Market.QuoteDenom {
return m.RemainingMarginInQuote(quoteUSDRate)
return m.RemainingMarginInQuote(quoteMetricsRate)
} else {
panic("not supported denom")
}
}

func (m PerpetualFuturesPosition) EffectiveMarginInMetrics(baseUSDRate, quoteUSDRate sdk.Dec) sdk.Dec {
func (m PerpetualFuturesPosition) EffectiveMarginInMetrics(baseMetricsRate, quoteMetricsRate MetricsRateType) sdk.Dec {
// 有効証拠金(USD単位) = 残存証拠金(USD単位) + 損益(USD単位)
return m.RemainingMarginInMetrics(baseUSDRate, quoteUSDRate).Add(m.ProfitAndLossInMetrics(baseUSDRate, quoteUSDRate))
return m.RemainingMarginInMetrics(baseMetricsRate, quoteMetricsRate).Add(m.ProfitAndLossInMetrics(baseMetricsRate, quoteMetricsRate))
}

func NewMetricsRateType(unit string, denom string, amount sdk.Dec) MetricsRateType {
return MetricsRateType{
MetricsUnit: unit,
Amount: sdk.NewDecCoinFromDec(denom, amount),
}
}

type MetricsRateType struct {
MetricsUnit string
Amount sdk.DecCoin
}