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mango-v4
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Test: Max borrow with init asset weight scaling

This commit is contained in:
Christian Kamm 2024-01-22 12:56:37 +01:00
parent 43b9cac3a1
commit 40b6b49680
1 changed files with 87 additions and 29 deletions
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116
programs/mango-v4/src/health/client.rs
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@ -1461,27 +1461,49 @@ mod tests {
I80F48::ZERO
);
let find_max_borrow = |c: &HealthCache, ratio: f64| {
let max_borrow = c
.max_borrow_for_health_ratio(&account, bank0_data, I80F48::from_num(ratio))
.unwrap();
// compute the health ratio we'd get when executing the trade
let actual_ratio = {
let mut c = c.clone();
c.token_infos[0].balance_spot -= max_borrow;
c.health_ratio(HealthType::Init).to_num::<f64>()
};
// the ratio for borrowing one native token extra
let plus_ratio = {
let mut c = c.clone();
c.token_infos[0].balance_spot -= max_borrow + I80F48::ONE;
c.health_ratio(HealthType::Init).to_num::<f64>()
};
(max_borrow, actual_ratio, plus_ratio)
let now_ts = system_epoch_secs();
let cache_after_borrow = |account: &MangoAccountValue,
c: &HealthCache,
bank: &Bank,
amount: I80F48|
-> Result<HealthCache> {
let mut position = account.token_position(bank.token_index)?.clone();
let mut bank = bank.clone();
bank.withdraw_with_fee(&mut position, amount, now_ts)?;
bank.check_net_borrows(c.token_info(bank.token_index)?.prices.oracle)?;
let mut resulting_cache = c.clone();
resulting_cache.adjust_token_balance(&bank, -amount)?;
Ok(resulting_cache)
};
let check_max_borrow = |c: &HealthCache, ratio: f64| -> f64 {
let find_max_borrow =
|account: &MangoAccountValue, c: &HealthCache, ratio: f64, bank: &Bank| {
let max_borrow = c
.max_borrow_for_health_ratio(account, bank, I80F48::from_num(ratio))
.unwrap();
// compute the health ratio we'd get when executing the trade
let actual_ratio = {
let c = cache_after_borrow(account, c, bank, max_borrow).unwrap();
c.health_ratio(HealthType::Init).to_num::<f64>()
};
// the ratio for borrowing one native token extra
let plus_ratio = {
let c = cache_after_borrow(account, c, bank, max_borrow + I80F48::ONE).unwrap();
c.health_ratio(HealthType::Init).to_num::<f64>()
};
(max_borrow, actual_ratio, plus_ratio)
};
let check_max_borrow = |account: &MangoAccountValue,
c: &HealthCache,
ratio: f64,
bank: &Bank|
-> f64 {
let initial_ratio = c.health_ratio(HealthType::Init).to_num::<f64>();
let (max_borrow, actual_ratio, plus_ratio) = find_max_borrow(c, ratio);
let (max_borrow, actual_ratio, plus_ratio) = find_max_borrow(account, c, ratio, bank);
println!(
"checking target ratio {ratio}: initial ratio: {initial_ratio}, actual ratio: {actual_ratio}, plus ratio: {plus_ratio}, borrow: {max_borrow}",
);
@ -1496,30 +1518,66 @@ mod tests {
{
let mut health_cache = health_cache.clone();
health_cache.token_infos[0].balance_spot = I80F48::from_num(100.0);
assert_eq!(check_max_borrow(&health_cache, 50.0), 100.0);
assert_eq!(
check_max_borrow(&account, &health_cache, 50.0, bank0_data),
100.0
);
}
{
let mut health_cache = health_cache.clone();
health_cache.token_infos[1].balance_spot = I80F48::from_num(50.0); // price 2, so 2*50*0.8 = 80 health
check_max_borrow(&health_cache, 100.0);
check_max_borrow(&health_cache, 50.0);
check_max_borrow(&health_cache, 0.0);
check_max_borrow(&account, &health_cache, 100.0, bank0_data);
check_max_borrow(&account, &health_cache, 50.0, bank0_data);
check_max_borrow(&account, &health_cache, 0.0, bank0_data);
}
{
let mut health_cache = health_cache.clone();
health_cache.token_infos[0].balance_spot = I80F48::from_num(50.0);
health_cache.token_infos[1].balance_spot = I80F48::from_num(50.0);
check_max_borrow(&health_cache, 100.0);
check_max_borrow(&health_cache, 50.0);
check_max_borrow(&health_cache, 0.0);
check_max_borrow(&account, &health_cache, 100.0, bank0_data);
check_max_borrow(&account, &health_cache, 50.0, bank0_data);
check_max_borrow(&account, &health_cache, 0.0, bank0_data);
}
{
let mut health_cache = health_cache.clone();
health_cache.token_infos[0].balance_spot = I80F48::from_num(-50.0);
health_cache.token_infos[1].balance_spot = I80F48::from_num(50.0);
check_max_borrow(&health_cache, 100.0);
check_max_borrow(&health_cache, 50.0);
check_max_borrow(&health_cache, 0.0);
check_max_borrow(&account, &health_cache, 100.0, bank0_data);
check_max_borrow(&account, &health_cache, 50.0, bank0_data);
check_max_borrow(&account, &health_cache, 0.0, bank0_data);
}
// A test that includes init weight scaling
{
let mut account = account.clone();
let mut bank0 = bank0_data.clone();
let mut health_cache = health_cache.clone();
let tok0_deposits = I80F48::from_num(500.0);
health_cache.token_infos[0].balance_spot = tok0_deposits;
health_cache.token_infos[1].balance_spot = I80F48::from_num(-100.0); // 2 * 100 * 1.2 = 240 liab
// This test case needs the bank to know about the deposits
let position = account.token_position_mut(bank0.token_index).unwrap().0;
bank0.deposit(position, tok0_deposits, now_ts).unwrap();
// Set up scaling such that token0 health contrib is 500 * 1.0 * 1.0 * (600 / (500 + 300)) = 375
bank0.deposit_weight_scale_start_quote = 600.0;
bank0.potential_serum_tokens = 300;
health_cache.token_infos[0].init_scaled_asset_weight =
bank0.scaled_init_asset_weight(I80F48::ONE);
check_max_borrow(&account, &health_cache, 100.0, &bank0);
check_max_borrow(&account, &health_cache, 50.0, &bank0);
let max_borrow = check_max_borrow(&account, &health_cache, 0.0, &bank0);
// that borrow leaves 240 tokens in the account and <600 total in bank
assert!((260.0 - max_borrow).abs() < 0.3);
bank0.deposit_weight_scale_start_quote = 500.0;
let max_borrow = check_max_borrow(&account, &health_cache, 0.0, &bank0);
// 500 - 222.6 = 277.4 remaining token 0 deposits
// 277.4 * 500 / (277.4 + 300) = 240.2 (compensating the -240 liab)
assert!((222.6 - max_borrow).abs() < 0.3);
}
}