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Fix bug where a small base asset limit is not respected by closeAndOp…
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…enReversePosition (#512)
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@NibiruHeisenberg
NibiruHeisenberg authored May 31, 2022
1 parent 917e719 commit 706bb01
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Showing 2 changed files with 336 additions and 10 deletions.
22 changes: 14 additions & 8 deletions x/perp/keeper/clearing_house.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -559,21 +559,27 @@ func (k Keeper) closeAndOpenReversePosition(
return nil, fmt.Errorf("underwater position")
}

notionalValueMovement := leverage.Mul(quoteAssetAmount)
remainingOpenNotional := notionalValueMovement.Sub(
reverseNotionalValue := leverage.Mul(quoteAssetAmount)
remainingReverseNotionalValue := reverseNotionalValue.Sub(
closePositionResp.ExchangedQuoteAssetAmount)

if remainingOpenNotional.IsNegative() {
if remainingReverseNotionalValue.IsNegative() {
// should never happen as this should also be checked in the caller
return nil, fmt.Errorf(
"provided quote asset amount and leverage not large enough to close position. need %s but got %s",
closePositionResp.ExchangedQuoteAssetAmount.String(), notionalValueMovement.String())
} else if remainingOpenNotional.IsPositive() {
var updatedBaseAssetAmountLimit sdk.Dec
if baseAssetAmountLimit.GT(closePositionResp.ExchangedPositionSize) {
closePositionResp.ExchangedQuoteAssetAmount.String(), reverseNotionalValue.String())
} else if remainingReverseNotionalValue.IsPositive() {
updatedBaseAssetAmountLimit := baseAssetAmountLimit
if baseAssetAmountLimit.IsPositive() {
updatedBaseAssetAmountLimit = baseAssetAmountLimit.
Sub(closePositionResp.ExchangedPositionSize.Abs())
}
if updatedBaseAssetAmountLimit.IsNegative() {
return nil, fmt.Errorf(
"position size changed by greater than the specified base limit: %s",
baseAssetAmountLimit.String(),
)
}

var sideToTake types.Side
// flipped since we are going against the current position
Expand All @@ -592,7 +598,7 @@ func (k Keeper) closeAndOpenReversePosition(
ctx,
*newPosition,
sideToTake,
remainingOpenNotional,
remainingReverseNotionalValue,
updatedBaseAssetAmountLimit,
leverage,
)
Expand Down
324 changes: 322 additions & 2 deletions x/perp/keeper/clearing_house_test.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -2241,7 +2241,7 @@ func TestCloseAndOpenReversePosition(t *testing.T) {
},
})

t.Log("close position")
t.Log("close position and open reverse")
resp, err := perpKeeper.closeAndOpenReversePosition(
ctx,
currentPosition,
Expand Down Expand Up @@ -2431,6 +2431,166 @@ func TestCloseAndOpenReversePosition(t *testing.T) {
require.Nil(t, resp)
},
},
{
name: "existing long position, positive PnL, zero base asset limit",
// user bought in at 100 BTC for 10 NUSD at 10x leverage (1 BTC = 1 NUSD)
// notional value is 100 NUSD
// BTC doubles in value, now its price is 1 BTC = 2 NUSD
// user has position notional value of 200 NUSD and unrealized PnL of +100 NUSD
// user closes position and opens in reverse direction with 30*10 NUSD
test: func() {
perpKeeper, mocks, ctx := getKeeper(t)

t.Log("set up initial position")
currentPosition := types.Position{
TraderAddress: sample.AccAddress(),
Pair: "BTC:NUSD",
Size_: sdk.NewDec(100), // 100 BTC
Margin: sdk.NewDec(10), // 10 NUSD
OpenNotional: sdk.NewDec(100), // 100 NUSD
LastUpdateCumulativePremiumFraction: sdk.ZeroDec(),
BlockNumber: 0,
}
perpKeeper.SetPosition(
ctx,
currentPosition.GetAssetPair(),
currentPosition.TraderAddress,
&currentPosition,
)

t.Log("mock vpool")
mocks.mockVpoolKeeper.EXPECT().
GetBaseAssetPrice(
ctx,
BtcNusdPair,
vpooltypes.Direction_ADD_TO_POOL,
/*baseAssetAmount=*/ sdk.NewDec(100),
).
Return( /*quoteAssetAmount=*/ sdk.NewDec(200), nil)

mocks.mockVpoolKeeper.EXPECT().
SwapBaseForQuote(
ctx,
BtcNusdPair,
/*quoteAssetDirection=*/ vpooltypes.Direction_ADD_TO_POOL,
/*baseAssetAmount=*/ sdk.NewDec(100),
/*quoteAssetLimit=*/ sdk.ZeroDec(),
).Return( /*quoteAssetAmount=*/ sdk.NewDec(200), nil)

mocks.mockVpoolKeeper.EXPECT().
SwapQuoteForBase(
ctx,
BtcNusdPair,
/*quoteAssetDirection=*/ vpooltypes.Direction_REMOVE_FROM_POOL,
/*quoteAssetAmount=*/ sdk.NewDec(100),
/*baseAssetLimit=*/ sdk.ZeroDec(),
).Return( /*baseAssetLimit=*/ sdk.NewDec(50), nil)

t.Log("set up pair metadata and last cumulative premium fraction")
perpKeeper.PairMetadata().Set(ctx, &types.PairMetadata{
Pair: "BTC:NUSD",
CumulativePremiumFractions: []sdk.Dec{
sdk.ZeroDec(),
sdk.MustNewDecFromStr("0.02"), // 0.02 NUSD / BTC
},
})

t.Log("close position and open reverse")
resp, err := perpKeeper.closeAndOpenReversePosition(
ctx,
currentPosition,
/*quoteAssetAmount=*/ sdk.NewDec(30), // NUSD
/*leverage=*/ sdk.NewDec(10),
/*baseAssetLimit=*/ sdk.ZeroDec(),
)

require.NoError(t, err)
assert.EqualValues(t, sdk.NewDec(300).String(), resp.ExchangedQuoteAssetAmount.String()) // 30 * 10
assert.EqualValues(t, sdk.ZeroDec().String(), resp.BadDebt.String())
assert.EqualValues(t, sdk.NewDec(-150), resp.ExchangedPositionSize) // 100 original + 50 shorted
assert.EqualValues(t, sdk.NewDec(2).String(), resp.FundingPayment.String()) // 100 * 0.02
assert.EqualValues(t, sdk.NewDec(-98).String(), resp.MarginToVault.String()) // -1 * ( 10(oldMargin) + 100(unrealzedPnL) - 2(fundingPayment) ) + 10
assert.EqualValues(t, sdk.NewDec(100), resp.RealizedPnl)
assert.EqualValues(t, sdk.ZeroDec(), resp.UnrealizedPnlAfter) // always zero

assert.EqualValues(t, currentPosition.TraderAddress, resp.Position.TraderAddress)
assert.EqualValues(t, currentPosition.Pair, resp.Position.Pair)
assert.EqualValues(t, sdk.NewDec(-50), resp.Position.Size_)
assert.EqualValues(t, sdk.NewDec(10).String(), resp.Position.Margin.String())
assert.EqualValues(t, sdk.NewDec(100), resp.Position.OpenNotional)
assert.EqualValues(t, sdk.MustNewDecFromStr("0.02"), resp.Position.LastUpdateCumulativePremiumFraction)
assert.EqualValues(t, ctx.BlockHeight(), resp.Position.BlockNumber)
},
},
{
name: "existing long position, positive PnL, small base asset limit",
// user bought in at 100 BTC for 10 NUSD at 10x leverage (1 BTC = 1 NUSD)
// notional value is 100 NUSD
// BTC doubles in value, now its price is 1 BTC = 2 NUSD
// user has position notional value of 200 NUSD and unrealized PnL of +100 NUSD
// user closes position and opens in reverse direction with 30*10 NUSD
// user is unable to do so since the base asset limit is too small
test: func() {
perpKeeper, mocks, ctx := getKeeper(t)

t.Log("set up initial position")
currentPosition := types.Position{
TraderAddress: sample.AccAddress(),
Pair: "BTC:NUSD",
Size_: sdk.NewDec(100), // 100 BTC
Margin: sdk.NewDec(10), // 10 NUSD
OpenNotional: sdk.NewDec(100), // 100 NUSD
LastUpdateCumulativePremiumFraction: sdk.ZeroDec(),
BlockNumber: 0,
}
perpKeeper.SetPosition(
ctx,
currentPosition.GetAssetPair(),
currentPosition.TraderAddress,
&currentPosition,
)

t.Log("mock vpool")
mocks.mockVpoolKeeper.EXPECT().
GetBaseAssetPrice(
ctx,
BtcNusdPair,
vpooltypes.Direction_ADD_TO_POOL,
/*baseAssetAmount=*/ sdk.NewDec(100),
).
Return( /*quoteAssetAmount=*/ sdk.NewDec(200), nil)

mocks.mockVpoolKeeper.EXPECT().
SwapBaseForQuote(
ctx,
BtcNusdPair,
/*quoteAssetDirection=*/ vpooltypes.Direction_ADD_TO_POOL,
/*baseAssetAmount=*/ sdk.NewDec(100),
/*quoteAssetLimit=*/ sdk.ZeroDec(),
).Return( /*quoteAssetAmount=*/ sdk.NewDec(200), nil)

t.Log("set up pair metadata and last cumulative premium fraction")
perpKeeper.PairMetadata().Set(ctx, &types.PairMetadata{
Pair: "BTC:NUSD",
CumulativePremiumFractions: []sdk.Dec{
sdk.ZeroDec(),
sdk.MustNewDecFromStr("0.02"), // 0.02 NUSD / BTC
},
})

t.Log("close position and open reverse")
resp, err := perpKeeper.closeAndOpenReversePosition(
ctx,
currentPosition,
/*quoteAssetAmount=*/ sdk.NewDec(30), // NUSD
/*leverage=*/ sdk.NewDec(10),
/*baseAssetLimit=*/ sdk.NewDec(5),
)

require.Error(t, err)
require.Nil(t, resp)
},
},

/*==========================SHORT POSITIONS===========================*/
{
Expand Down Expand Up @@ -2497,7 +2657,7 @@ func TestCloseAndOpenReversePosition(t *testing.T) {
},
})

t.Log("close position")
t.Log("close position and open reverse")
resp, err := perpKeeper.closeAndOpenReversePosition(
ctx,
currentPosition,
Expand Down Expand Up @@ -2679,6 +2839,166 @@ func TestCloseAndOpenReversePosition(t *testing.T) {
/*baseAssetAmountLimit=*/ sdk.NewDec(200),
)

require.Error(t, err)
require.Nil(t, resp)
},
},
{
name: "close short position, positive PnL, no base amount limit",
// user opened position at 150 BTC for 15 NUSD at 10x leverage (1 BTC = 1 NUSD)
// position and open notional value is 150 NUSD
// BTC drops in value, now its price is 1.5 BTC = 1 NUSD
// user has position notional value of 100 NUSD and unrealized PnL of +50 NUSD
// user closes and opens position in reverse with 20*10 notional value
test: func() {
perpKeeper, mocks, ctx := getKeeper(t)

t.Log("set up initial position")
currentPosition := types.Position{
TraderAddress: sample.AccAddress(),
Pair: "BTC:NUSD",
Size_: sdk.NewDec(-150), // -150 BTC
Margin: sdk.NewDec(15), // 15 NUSD
OpenNotional: sdk.NewDec(150), // 150 NUSD
LastUpdateCumulativePremiumFraction: sdk.ZeroDec(),
BlockNumber: 0,
}
perpKeeper.SetPosition(
ctx,
currentPosition.GetAssetPair(),
currentPosition.TraderAddress,
&currentPosition,
)

t.Log("mock vpool")
mocks.mockVpoolKeeper.EXPECT().
GetBaseAssetPrice(
ctx,
BtcNusdPair,
vpooltypes.Direction_REMOVE_FROM_POOL,
/*baseAssetAmount=*/ sdk.NewDec(150),
).
Return( /*quoteAssetAmount=*/ sdk.NewDec(100), nil)

mocks.mockVpoolKeeper.EXPECT().
SwapBaseForQuote(
ctx,
BtcNusdPair,
/*baseAssetDirection=*/ vpooltypes.Direction_REMOVE_FROM_POOL,
/*baseAssetAmount=*/ sdk.NewDec(150),
/*quoteAssetLimit=*/ sdk.ZeroDec(),
).Return( /*quoteAssetAmount=*/ sdk.NewDec(100), nil)

mocks.mockVpoolKeeper.EXPECT().
SwapQuoteForBase(
ctx,
BtcNusdPair,
/*quoteAssetDirection=*/ vpooltypes.Direction_ADD_TO_POOL,
/*quoteAssetAmount=*/ sdk.NewDec(100),
/*baseAssetLimit=*/ sdk.ZeroDec(),
).Return( /*baseAssetAmount=*/ sdk.NewDec(150), nil)

t.Log("set up pair metadata and last cumulative premium fraction")
perpKeeper.PairMetadata().Set(ctx, &types.PairMetadata{
Pair: "BTC:NUSD",
CumulativePremiumFractions: []sdk.Dec{
sdk.ZeroDec(),
sdk.MustNewDecFromStr("0.02"), // 0.02 NUSD / BTC
},
})

t.Log("close position and open reverse")
resp, err := perpKeeper.closeAndOpenReversePosition(
ctx,
currentPosition,
/*quoteAssetAmount=*/ sdk.NewDec(20), // NUSD
/*leverage=*/ sdk.NewDec(10),
/*baseAssetAmountLimit=*/ sdk.ZeroDec(),
)

require.NoError(t, err)
assert.EqualValues(t, sdk.NewDec(200).String(), resp.ExchangedQuoteAssetAmount.String()) // 20 * 10
assert.EqualValues(t, sdk.ZeroDec().String(), resp.BadDebt.String())
assert.EqualValues(t, sdk.NewDec(300), resp.ExchangedPositionSize) // 150 + 150
assert.EqualValues(t, sdk.NewDec(-3).String(), resp.FundingPayment.String()) // -150 * 0.02
assert.EqualValues(t, sdk.NewDec(50), resp.RealizedPnl) // 150 - 100
assert.EqualValues(t, sdk.ZeroDec(), resp.UnrealizedPnlAfter)
assert.EqualValues(t, sdk.NewDec(-58).String(), resp.MarginToVault.String()) // -1 * ( 15(oldMargin) + 50(PnL) - (-3)(fundingPayment) ) + 10

assert.EqualValues(t, currentPosition.TraderAddress, resp.Position.TraderAddress)
assert.EqualValues(t, currentPosition.Pair, resp.Position.Pair)
assert.EqualValues(t, sdk.NewDec(150), resp.Position.Size_)
assert.EqualValues(t, sdk.NewDec(10).String(), resp.Position.Margin.String())
assert.EqualValues(t, sdk.NewDec(100), resp.Position.OpenNotional)
assert.EqualValues(t, sdk.MustNewDecFromStr("0.02"), resp.Position.LastUpdateCumulativePremiumFraction)
assert.EqualValues(t, ctx.BlockHeight(), resp.Position.BlockNumber)
},
},
{
name: "close short position, positive PnL, small base asset limit",
// user opened position at 150 BTC for 15 NUSD at 10x leverage (1 BTC = 1 NUSD)
// position and open notional value is 150 NUSD
// BTC drops in value, now its price is 1.5 BTC = 1 NUSD
// user has position notional value of 100 NUSD and unrealized PnL of +50 NUSD
// user closes and opens position in reverse with 20*10 notional value
// user is unable to do so since the base asset limit is too small
test: func() {
perpKeeper, mocks, ctx := getKeeper(t)

t.Log("set up initial position")
currentPosition := types.Position{
TraderAddress: sample.AccAddress(),
Pair: "BTC:NUSD",
Size_: sdk.NewDec(-150), // -150 BTC
Margin: sdk.NewDec(15), // 15 NUSD
OpenNotional: sdk.NewDec(150), // 150 NUSD
LastUpdateCumulativePremiumFraction: sdk.ZeroDec(),
BlockNumber: 0,
}
perpKeeper.SetPosition(
ctx,
currentPosition.GetAssetPair(),
currentPosition.TraderAddress,
&currentPosition,
)

t.Log("mock vpool")
mocks.mockVpoolKeeper.EXPECT().
GetBaseAssetPrice(
ctx,
BtcNusdPair,
vpooltypes.Direction_REMOVE_FROM_POOL,
/*baseAssetAmount=*/ sdk.NewDec(150),
).
Return( /*quoteAssetAmount=*/ sdk.NewDec(100), nil)

mocks.mockVpoolKeeper.EXPECT().
SwapBaseForQuote(
ctx,
BtcNusdPair,
/*baseAssetDirection=*/ vpooltypes.Direction_REMOVE_FROM_POOL,
/*baseAssetAmount=*/ sdk.NewDec(150),
/*quoteAssetLimit=*/ sdk.ZeroDec(),
).Return( /*quoteAssetAmount=*/ sdk.NewDec(100), nil)

t.Log("set up pair metadata and last cumulative premium fraction")
perpKeeper.PairMetadata().Set(ctx, &types.PairMetadata{
Pair: "BTC:NUSD",
CumulativePremiumFractions: []sdk.Dec{
sdk.ZeroDec(),
sdk.MustNewDecFromStr("0.02"), // 0.02 NUSD / BTC
},
})

t.Log("close position and open reverse")
resp, err := perpKeeper.closeAndOpenReversePosition(
ctx,
currentPosition,
/*quoteAssetAmount=*/ sdk.NewDec(20), // NUSD
/*leverage=*/ sdk.NewDec(10),
/*baseAssetAmountLimit=*/ sdk.NewDec(5),
)

require.Error(t, err)
require.Nil(t, resp)
},
Expand Down

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