Previously, we tried to keep track of "other" and "trade" realized pnl.
An issue occured when a perp base position went to zero: the way we
computed the trade pnl included potential non-trade unsettled pnl.
That caused follow-up trouble because the value could change sign and
reset the settle limit for trade pnl.
This change aims to simplify in some ways:
- explicitly talk about oneshot-settleable pnl (fees, funding,
liquidation) and recurring-settleable pnl (materialization of settle
limit derived from the stable value of the base position when reducing
the base position)
- instead of directly tracking realized settleable amounts (which
doesn't really work), just decrease the recurring settleable amount
when it exceeds the remaining unsettled pnl
- get rid of the directionality to avoid bugs of that kind
- stop tracking unsettled-realized trade pnl (it was wrong before, and
no client uses it) - we already track position-lifetime realized trade
pnl
- Rename to perp_liq_base_or_positive_pnl and perp_liq_negative_pnl_or_bankruptcy
- Deal with situations where overall asset weight is zero and base position reduction
would not improve liqee health
- Add ability for liqors to take over positive unsettled pnl if that improves liqee health
Christian Kamm
Maximilian Schneider