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mango-v4
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Perps: Account for unsettled funding in health

This commit is contained in:
Christian Kamm 2022-09-05 18:41:20 +02:00
parent c714fb213d
commit 4795286dbd
2 changed files with 93 additions and 53 deletions
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124
programs/mango-v4/src/state/health.rs
View File

@ -498,12 +498,14 @@ impl PerpInfo {
let base_info = &token_infos[base_index];
let base_lot_size = I80F48::from(perp_market.base_lot_size);
let base_lots = cm!(perp_position.base_position_lots + perp_position.taker_base_lots);
let unsettled_funding = perp_position.unsettled_funding(&perp_market);
let taker_quote = I80F48::from(cm!(
perp_position.taker_quote_lots * perp_market.quote_lot_size
));
let quote_current = cm!(perp_position.quote_position_native + taker_quote);
let quote_current =
cm!(perp_position.quote_position_native - unsettled_funding + taker_quote);
// Two scenarios:
// 1. The price goes low and all bids execute, converting to base.
@ -1021,7 +1023,6 @@ pub fn new_health_cache(
});
}
// TODO: also account for perp funding in health
// health contribution from perp accounts
let mut perp_infos = Vec::with_capacity(account.active_perp_positions().count());
for (i, perp_position) in account.active_perp_positions().enumerate() {
@ -1158,6 +1159,35 @@ mod tests {
(bank, oracle)
}
fn mock_perp_market(
group: Pubkey,
market_index: PerpMarketIndex,
base_token: TokenIndex,
init_weights: f64,
maint_weights: f64,
) -> TestAccount<PerpMarket> {
let mut pm = TestAccount::<PerpMarket>::new_zeroed();
pm.data().group = group;
pm.data().perp_market_index = market_index;
pm.data().base_token_index = base_token;
pm.data().init_asset_weight = I80F48::from_num(1.0 - init_weights);
pm.data().init_liab_weight = I80F48::from_num(1.0 + init_weights);
pm.data().maint_asset_weight = I80F48::from_num(1.0 - maint_weights);
pm.data().maint_liab_weight = I80F48::from_num(1.0 + maint_weights);
pm.data().quote_lot_size = 100;
pm.data().base_lot_size = 10;
pm
}
fn health_eq(a: I80F48, b: f64) -> bool {
if (a - I80F48::from_num(b)).abs() < 0.001 {
true
} else {
println!("health is {}, but expected {}", a, b);
false
}
}
// Run a health test that includes all the side values (like referrer_rebates_accrued)
#[test]
fn test_health0() {
@ -1194,16 +1224,7 @@ mod tests {
oo1.data().native_coin_free = 3;
oo1.data().referrer_rebates_accrued = 2;
let mut perp1 = TestAccount::<PerpMarket>::new_zeroed();
perp1.data().group = group;
perp1.data().perp_market_index = 9;
perp1.data().base_token_index = 4;
perp1.data().init_asset_weight = I80F48::from_num(1.0 - 0.2f64);
perp1.data().init_liab_weight = I80F48::from_num(1.0 + 0.2f64);
perp1.data().maint_asset_weight = I80F48::from_num(1.0 - 0.1f64);
perp1.data().maint_liab_weight = I80F48::from_num(1.0 + 0.1f64);
perp1.data().quote_lot_size = 100;
perp1.data().base_lot_size = 10;
let mut perp1 = mock_perp_market(group, 9, 4, 0.2, 0.1);
let perpaccount = account.ensure_perp_position(9).unwrap().0;
perpaccount.base_position_lots = 3;
perpaccount.quote_position_native = -I80F48::from(310u16);
@ -1223,15 +1244,6 @@ mod tests {
let retriever = ScanningAccountRetriever::new(&ais, &group).unwrap();
let health_eq = |a: I80F48, b: f64| {
if (a - I80F48::from_num(b)).abs() < 0.001 {
true
} else {
println!("health is {}, but expected {}", a, b);
false
}
};
// for bank1/oracle1, including open orders (scenario: bids execute)
let health1 = (100.0 + 1.0 + 2.0 + (20.0 + 15.0 * 5.0)) * 0.8;
// for bank2/oracle2
@ -1260,9 +1272,7 @@ mod tests {
let oo1key = oo1.pubkey;
oo1.data().native_pc_total = 20;
let mut perp1 = TestAccount::<PerpMarket>::new_zeroed();
perp1.data().group = group;
perp1.data().perp_market_index = 9;
let mut perp1 = mock_perp_market(group, 9, 4, 0.2, 0.1);
let oracle2_account_info = oracle2.as_account_info();
let ais = vec![
@ -1386,16 +1396,7 @@ mod tests {
oo2.data().native_pc_total = testcase.oo_1_3.0;
oo2.data().native_coin_total = testcase.oo_1_3.1;
let mut perp1 = TestAccount::<PerpMarket>::new_zeroed();
perp1.data().group = group;
perp1.data().perp_market_index = 9;
perp1.data().base_token_index = 4;
perp1.data().init_asset_weight = I80F48::from_num(1.0 - 0.2f64);
perp1.data().init_liab_weight = I80F48::from_num(1.0 + 0.2f64);
perp1.data().maint_asset_weight = I80F48::from_num(1.0 - 0.1f64);
perp1.data().maint_liab_weight = I80F48::from_num(1.0 + 0.1f64);
perp1.data().quote_lot_size = 100;
perp1.data().base_lot_size = 10;
let mut perp1 = mock_perp_market(group, 9, 4, 0.2, 0.1);
let perpaccount = account.ensure_perp_position(9).unwrap().0;
perpaccount.base_position_lots = testcase.perp1.0;
perpaccount.quote_position_native = I80F48::from(testcase.perp1.1);
@ -1416,15 +1417,6 @@ mod tests {
let retriever = ScanningAccountRetriever::new(&ais, &group).unwrap();
let health_eq = |a: I80F48, b: f64| {
if (a - I80F48::from_num(b)).abs() < 0.001 {
true
} else {
println!("health is {}, but expected {}", a, b);
false
}
};
assert!(health_eq(
compute_health(&account.borrow(), HealthType::Init, &retriever).unwrap(),
testcase.expected_health
@ -1696,4 +1688,48 @@ mod tests {
check_max_swap_result(&health_cache, 0, 1, 4.0);
}
}
#[test]
fn test_health_perp_funding() {
let buffer = MangoAccount::default_for_tests().try_to_vec().unwrap();
let mut account = MangoAccountValue::from_bytes(&buffer).unwrap();
let group = Pubkey::new_unique();
let (mut bank1, mut oracle1) = mock_bank_and_oracle(group, 1, 1.0, 0.2, 0.1);
bank1
.data()
.change_without_fee(
account.ensure_token_position(1).unwrap().0,
I80F48::from(100),
)
.unwrap();
let mut perp1 = mock_perp_market(group, 9, 1, 0.2, 0.1);
perp1.data().long_funding = I80F48::from_num(10.1);
let perpaccount = account.ensure_perp_position(9).unwrap().0;
perpaccount.base_position_lots = 10; // 100 base native
perpaccount.quote_position_native = I80F48::from(-110);
perpaccount.long_settled_funding = I80F48::from_num(10.0);
let ais = vec![
bank1.as_account_info(),
oracle1.as_account_info(),
perp1.as_account_info(),
];
let retriever = ScanningAccountRetriever::new(&ais, &group).unwrap();
assert!(health_eq(
compute_health(&account.borrow(), HealthType::Init, &retriever).unwrap(),
// token
0.8 * 100.0
// perp base
+ 0.8 * 100.0
// perp quote
- 110.0
// perp funding (10 * (10.1 - 10.0))
- 1.0
));
}
}

22
programs/mango-v4/src/state/mango_account_components.rs
View File

@ -247,21 +247,25 @@ impl PerpPosition {
perp_market.open_interest += self.base_position_lots.abs() - start.abs();
}
/// Move unrealized funding payments into the quote_position
pub fn settle_funding(&mut self, perp_market: &PerpMarket) {
/// The amount of funding this account still needs to pay, in native quote
pub fn unsettled_funding(&self, perp_market: &PerpMarket) -> I80F48 {
match self.base_position_lots.cmp(&0) {
Ordering::Greater => {
self.quote_position_native -= (perp_market.long_funding
- self.long_settled_funding)
* I80F48::from_num(self.base_position_lots);
cm!((perp_market.long_funding - self.long_settled_funding)
* I80F48::from_num(self.base_position_lots))
}
Ordering::Less => {
self.quote_position_native -= (perp_market.short_funding
- self.short_settled_funding)
* I80F48::from_num(self.base_position_lots);
cm!((perp_market.short_funding - self.short_settled_funding)
* I80F48::from_num(self.base_position_lots))
}
Ordering::Equal => (),
Ordering::Equal => I80F48::ZERO,
}
}
/// Move unrealized funding payments into the quote_position
pub fn settle_funding(&mut self, perp_market: &PerpMarket) {
let funding = self.unsettled_funding(perp_market);
cm!(self.quote_position_native -= funding);
self.long_settled_funding = perp_market.long_funding;
self.short_settled_funding = perp_market.short_funding;
}