Perps: Limit overall health contribution from perp markets

We don't want to allow borrowing against unsettled pnl in perp markets.

This makes it safer to create perp markets for untrustworthy assets.

programs/mango-v4/src/state/health.rs

@@ -322,15 +322,33 @@ struct PerpInfo {
 }
 
 impl PerpInfo {
+    /// Total health contribution from perp balances
+    ///
+    /// Due to isolation of perp markets, only positive quote positions can lead to
+    /// positive perp-based health. Users need to settle their perp pnl with other
+    /// perp market participants in order to realize their gains if they want to use
+    /// them as collateral.
+    ///
+    /// This is because we don't trust the perp's base price to not suddenly jump to
+    /// zero (if users could borrow against their perp balances they might now
+    /// be bankrupt) or suddenly increase a lot (if users could borrow against perp
+    /// balances they could now borrow other assets).
     #[inline(always)]
     fn health_contribution(&self, health_type: HealthType) -> I80F48 {
-        let factor = match (health_type, self.base.is_negative()) {
+        let weight = match (health_type, self.base.is_negative()) {
             (HealthType::Init, true) => self.init_liab_weight,
             (HealthType::Init, false) => self.init_asset_weight,
             (HealthType::Maint, true) => self.maint_liab_weight,
             (HealthType::Maint, false) => self.maint_asset_weight,
         };
-        cm!(self.quote + factor * self.base)
+        // FUTURE: Allow v3-style "reliable" markets where we can return
+        // `self.quote + weight * self.base` here
+        if self.quote.is_positive() {
+            let limited_base_health = cm!(weight * self.base).min(I80F48::ZERO);
+            cm!(self.quote + limited_base_health)
+        } else {
+            cm!(self.quote + weight * self.base).min(I80F48::ZERO)
+        }
     }
 }
 
@@ -741,7 +759,7 @@ mod tests {
         perp1.data().base_lot_size = 10;
         let perpaccount = account.perps.get_account_mut_or_create(9).unwrap().0;
         perpaccount.base_position_lots = 3;
-        perpaccount.quote_position_native = I80F48::from(31u8);
+        perpaccount.quote_position_native = -I80F48::from(310u16);
         perpaccount.bids_base_lots = 7;
         perpaccount.asks_base_lots = 11;
         perpaccount.taker_base_lots = 1;
@@ -773,7 +791,7 @@ mod tests {
         let health2 = (-10.0 + 3.0) * 5.0 * 1.5;
         // for perp (scenario: bids execute)
         let health3 =
-            (3.0 + 7.0 + 1.0) * 10.0 * 5.0 * 0.8 + (31.0 + 2.0 * 100.0 - 7.0 * 10.0 * 5.0);
+            (3.0 + 7.0 + 1.0) * 10.0 * 5.0 * 0.8 + (-310.0 + 2.0 * 100.0 - 7.0 * 10.0 * 5.0);
         assert!(health_eq(
             compute_health(&account, HealthType::Init, &retriever).unwrap(),
             health1 + health2 + health3
@@ -831,6 +849,7 @@ mod tests {
         assert!(retriever.perp_market(&group, 1, 5).is_err());
     }
 
+    #[derive(Default)]
     struct TestHealth1Case {
         token1: i64,
         token2: i64,
@@ -913,32 +932,54 @@ mod tests {
     // Check some specific health constellations
     #[test]
     fn test_health1() {
+        let base_price = 5.0;
+        let base_lots_to_quote = 10.0 * base_price;
         let testcases = vec![
             TestHealth1Case {
                 token1: 100,
                 token2: -10,
                 oo_1_2: (20, 15),
-                perp1: (3, 31, 7, 11),
+                perp1: (3, -131, 7, 11),
                 expected_health:
                     // for token1, including open orders (scenario: bids execute)
-                    (100.0 + (20.0 + 15.0 * 5.0)) * 0.8
+                    (100.0 + (20.0 + 15.0 * base_price)) * 0.8
                     // for token2
-                    - 10.0 * 5.0 * 1.5
+                    - 10.0 * base_price * 1.5
                     // for perp (scenario: bids execute)
-                    + (3.0 + 7.0) * 10.0 * 5.0 * 0.8 + (31.0 - 7.0 * 10.0 * 5.0),
+                    + (3.0 + 7.0) * base_lots_to_quote * 0.8 + (-131.0 - 7.0 * base_lots_to_quote),
             },
             TestHealth1Case {
                 token1: -100,
                 token2: 10,
                 oo_1_2: (20, 15),
-                perp1: (-10, 31, 7, 11),
+                perp1: (-10, -131, 7, 11),
                 expected_health:
                     // for token1
                     -100.0 * 1.2
                     // for token2, including open orders (scenario: asks execute)
-                    + (10.0 * 5.0 + (20.0 + 15.0 * 5.0)) * 0.5
+                    + (10.0 * base_price + (20.0 + 15.0 * base_price)) * 0.5
                     // for perp (scenario: asks execute)
-                    + (-10.0 - 11.0) * 10.0 * 5.0 * 1.2 + (31.0 + 11.0 * 10.0 * 5.0),
+                    + (-10.0 - 11.0) * base_lots_to_quote * 1.2 + (-131.0 + 11.0 * base_lots_to_quote),
+            },
+            TestHealth1Case {
+                perp1: (-1, 100, 0, 0),
+                expected_health: 100.0 - 1.2 * 1.0 * base_lots_to_quote,
+                ..Default::default()
+            },
+            TestHealth1Case {
+                perp1: (1, -100, 0, 0),
+                expected_health: -100.0 + 0.8 * 1.0 * base_lots_to_quote,
+                ..Default::default()
+            },
+            TestHealth1Case {
+                perp1: (10, 100, 0, 0),
+                expected_health: 100.0, // no health gain from positive base pos above 0
+                ..Default::default()
+            },
+            TestHealth1Case {
+                perp1: (30, -100, 0, 0),
+                expected_health: 0.0, // no health gain from positive base pos above 0
+                ..Default::default()
             },
         ];