454 lines
14 KiB
Rust
454 lines
14 KiB
Rust
use super::*;
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#[tokio::test]
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async fn test_liq_perps_bankruptcy() -> Result<(), TransportError> {
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let mut test_builder = TestContextBuilder::new();
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test_builder.test().set_compute_max_units(200_000); // PerpLiqNegativePnlOrBankruptcy takes a lot of CU
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let context = test_builder.start_default().await;
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let solana = &context.solana.clone();
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let admin = TestKeypair::new();
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let owner = context.users[0].key;
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let payer = context.users[1].key;
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let mints = &context.mints[0..3];
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let payer_mint_accounts = &context.users[1].token_accounts[0..3];
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//
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// SETUP: Create a group and an account to fill the vaults
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//
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let GroupWithTokens {
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group,
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tokens,
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insurance_vault,
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..
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} = GroupWithTokensConfig {
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admin,
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payer,
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mints: mints.to_vec(),
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zero_token_is_quote: true,
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..GroupWithTokensConfig::default()
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}
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.create(solana)
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.await;
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send_tx(
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solana,
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TokenEditWeights {
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group,
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admin,
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mint: mints[2].pubkey,
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maint_liab_weight: 1.0,
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maint_asset_weight: 1.0,
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init_liab_weight: 1.0,
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init_asset_weight: 1.0,
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},
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)
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.await
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.unwrap();
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let fund_insurance = |amount: u64| async move {
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let mut tx = ClientTransaction::new(solana);
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tx.add_instruction_direct(
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spl_token::instruction::transfer(
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&spl_token::ID,
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&payer_mint_accounts[0],
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&insurance_vault,
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&payer.pubkey(),
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&[&payer.pubkey()],
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amount,
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)
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.unwrap(),
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);
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tx.add_signer(payer);
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tx.send().await.unwrap();
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};
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let quote_token = &tokens[0]; // USDC, 1/1 weights, price 1, never changed
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let base_token = &tokens[1]; // used for perp market
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let collateral_token = &tokens[2]; // used for adjusting account health
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// deposit some funds, to the vaults aren't empty
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let liqor = create_funded_account(
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&solana,
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group,
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owner,
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250,
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&context.users[1],
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mints,
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10000,
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0,
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)
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.await;
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// all perp markets used here default to price = 1.0, base_lot_size = 100
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let price_lots = 100;
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let context_ref = &context;
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let mut perp_market_index: PerpMarketIndex = 0;
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let setup_perp_inner = |perp_market_index: PerpMarketIndex,
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health: i64,
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pnl: i64,
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settle_limit: i64| async move {
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// price used later to produce negative pnl with a short:
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// doubling the price leads to -100 pnl
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let adj_price = 1.0 + pnl as f64 / -100.0;
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let adj_price_lots = (price_lots as f64 * adj_price) as i64;
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let mango_v4::accounts::PerpCreateMarket { perp_market, .. } = send_tx(
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solana,
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PerpCreateMarketInstruction {
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group,
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admin,
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payer,
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perp_market_index,
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quote_lot_size: 1,
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base_lot_size: 100,
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maint_base_asset_weight: 0.8,
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init_base_asset_weight: 0.6,
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maint_base_liab_weight: 1.2,
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init_base_liab_weight: 1.4,
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base_liquidation_fee: 0.05,
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maker_fee: 0.0,
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taker_fee: 0.0,
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group_insurance_fund: true,
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// adjust this factur such that we get the desired settle limit in the end
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settle_pnl_limit_factor: (settle_limit as f32 + 0.1).min(0.0)
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/ (-1.0 * 100.0 * adj_price) as f32,
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settle_pnl_limit_window_size_ts: 24 * 60 * 60,
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..PerpCreateMarketInstruction::with_new_book_and_queue(&solana, base_token).await
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},
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)
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.await
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.unwrap();
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set_perp_stub_oracle_price(solana, group, perp_market, &base_token, admin, 1.0).await;
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set_bank_stub_oracle_price(solana, group, &collateral_token, admin, 1.0).await;
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//
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// SETUP: accounts
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//
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let deposit_amount = 1000;
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let helper_account = create_funded_account(
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&solana,
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group,
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owner,
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perp_market_index as u32 * 2,
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&context_ref.users[1],
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&mints[2..3],
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deposit_amount,
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0,
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)
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.await;
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let account = create_funded_account(
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&solana,
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group,
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owner,
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perp_market_index as u32 * 2 + 1,
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&context_ref.users[1],
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&mints[2..3],
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deposit_amount,
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0,
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)
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.await;
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//
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// SETUP: Trade perps between accounts twice to generate pnl, settle_limit
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//
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let mut tx = ClientTransaction::new(solana);
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tx.add_instruction(PerpPlaceOrderInstruction {
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account: helper_account,
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perp_market,
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owner,
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side: Side::Bid,
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price_lots,
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max_base_lots: 1,
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..PerpPlaceOrderInstruction::default()
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})
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.await;
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tx.add_instruction(PerpPlaceOrderInstruction {
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account: account,
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perp_market,
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owner,
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side: Side::Ask,
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price_lots,
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max_base_lots: 1,
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..PerpPlaceOrderInstruction::default()
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})
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.await;
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tx.add_instruction(PerpConsumeEventsInstruction {
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perp_market,
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mango_accounts: vec![account, helper_account],
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})
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.await;
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tx.send().await.unwrap();
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set_perp_stub_oracle_price(solana, group, perp_market, &base_token, admin, adj_price).await;
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let mut tx = ClientTransaction::new(solana);
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tx.add_instruction(PerpPlaceOrderInstruction {
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account: helper_account,
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perp_market,
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owner,
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side: Side::Ask,
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price_lots: adj_price_lots,
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max_base_lots: 1,
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..PerpPlaceOrderInstruction::default()
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})
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.await;
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tx.add_instruction(PerpPlaceOrderInstruction {
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account: account,
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perp_market,
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owner,
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side: Side::Bid,
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price_lots: adj_price_lots,
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max_base_lots: 1,
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..PerpPlaceOrderInstruction::default()
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})
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.await;
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tx.add_instruction(PerpConsumeEventsInstruction {
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perp_market,
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mango_accounts: vec![account, helper_account],
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})
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.await;
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tx.send().await.unwrap();
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set_perp_stub_oracle_price(solana, group, perp_market, &base_token, admin, 1.0).await;
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// Adjust target health:
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// full health = 1000 * collat price * 1.0 + pnl
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set_bank_stub_oracle_price(
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solana,
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group,
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&collateral_token,
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admin,
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(health - pnl) as f64 / 1000.0,
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)
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.await;
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// Verify we got it right
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let account_data = solana.get_account::<MangoAccount>(account).await;
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assert_eq!(account_data.perps[0].quote_position_native(), pnl);
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assert_eq!(
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account_data.perps[0].settle_pnl_limit_realized_trade,
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settle_limit
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);
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assert_eq!(
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account_init_health(solana, account).await.round(),
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health as f64
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);
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(perp_market, account)
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};
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let mut setup_perp = |health: i64, pnl: i64, settle_limit: i64| {
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let out = setup_perp_inner(perp_market_index, health, pnl, settle_limit);
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perp_market_index += 1;
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out
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};
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let limit_prec = |f: f64| (f * 1000.0).round() / 1000.0;
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let liq_event_amounts = || {
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let settlement = solana
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.program_log_events::<mango_v4::logs::PerpLiqNegativePnlOrBankruptcyLog>()
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.pop()
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.map(|v| limit_prec(I80F48::from_bits(v.settlement).to_num::<f64>()))
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.unwrap_or(0.0);
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let (insur, loss) = solana
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.program_log_events::<mango_v4::logs::PerpLiqBankruptcyLog>()
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.pop()
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.map(|v| {
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(
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I80F48::from_bits(v.insurance_transfer).to_num::<u64>(),
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limit_prec(I80F48::from_bits(v.socialized_loss).to_num::<f64>()),
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)
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})
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.unwrap_or((0, 0.0));
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(settlement, insur, loss)
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};
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let liqor_info = |perp_market: Pubkey| async move {
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let perp_market = solana.get_account::<PerpMarket>(perp_market).await;
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let liqor_data = solana.get_account::<MangoAccount>(liqor).await;
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let liqor_perp = liqor_data
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.perps
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.iter()
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.find(|p| p.market_index == perp_market.perp_market_index)
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.unwrap()
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.clone();
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(liqor_data, liqor_perp)
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};
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{
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let (perp_market, account) = setup_perp(-28, -50, -10).await;
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let liqor_quote_before = account_position(solana, liqor, quote_token.bank).await;
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send_tx(
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solana,
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PerpLiqNegativePnlOrBankruptcyInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account,
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perp_market,
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max_liab_transfer: 1,
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},
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)
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.await
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.unwrap();
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assert_eq!(liq_event_amounts(), (1.0, 0, 0.0));
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assert_eq!(
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account_position(solana, account, quote_token.bank).await,
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-1
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);
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assert_eq!(
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account_position(solana, liqor, quote_token.bank).await,
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liqor_quote_before + 1
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);
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let acc_data = solana.get_account::<MangoAccount>(account).await;
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assert_eq!(acc_data.perps[0].quote_position_native(), -49);
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assert_eq!(acc_data.being_liquidated, 1);
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let (_liqor_data, liqor_perp) = liqor_info(perp_market).await;
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assert_eq!(liqor_perp.quote_position_native(), -1);
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}
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{
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let (perp_market, account) = setup_perp(-28, -50, -10).await;
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fund_insurance(2).await;
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let liqor_quote_before = account_position(solana, liqor, quote_token.bank).await;
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send_tx(
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solana,
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PerpLiqNegativePnlOrBankruptcyInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account,
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perp_market,
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max_liab_transfer: 11,
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},
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)
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.await
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.unwrap();
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assert_eq!(liq_event_amounts(), (10.0, 2, 27.0));
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assert_eq!(
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account_position(solana, account, quote_token.bank).await,
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-10
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);
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assert_eq!(
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account_position(solana, liqor, quote_token.bank).await,
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liqor_quote_before + 12
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);
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let acc_data = solana.get_account::<MangoAccount>(account).await;
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assert!(assert_equal(
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acc_data.perps[0].quote_position_native(),
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-50.0 + 11.0 + 27.0,
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0.1
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));
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assert_eq!(acc_data.being_liquidated, 0);
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let (_liqor_data, liqor_perp) = liqor_info(perp_market).await;
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assert_eq!(liqor_perp.quote_position_native(), -11);
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}
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{
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let (perp_market, account) = setup_perp(-28, -50, -10).await;
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fund_insurance(5).await;
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send_tx(
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solana,
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PerpLiqNegativePnlOrBankruptcyInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account,
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perp_market,
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max_liab_transfer: 16,
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},
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)
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.await
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.unwrap();
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assert_eq!(
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liq_event_amounts(),
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(10.0, 5, limit_prec(28.0 - 5.0 / 1.05))
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);
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}
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// no insurance
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{
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let (perp_market, account) = setup_perp(-28, -50, -10).await;
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send_tx(
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solana,
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PerpLiqNegativePnlOrBankruptcyInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account,
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perp_market,
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max_liab_transfer: u64::MAX,
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},
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)
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.await
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.unwrap();
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assert_eq!(liq_event_amounts(), (10.0, 0, limit_prec(28.0)));
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}
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// no settlement: no settle health
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{
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let (perp_market, account) = setup_perp(-200, -50, -10).await;
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fund_insurance(5).await;
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send_tx(
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solana,
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PerpLiqNegativePnlOrBankruptcyInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account,
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perp_market,
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max_liab_transfer: u64::MAX,
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},
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)
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.await
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.unwrap();
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assert_eq!(liq_event_amounts(), (0.0, 5, limit_prec(50.0 - 5.0 / 1.05)));
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}
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// no settlement: no settle limit
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{
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let (perp_market, account) = setup_perp(-40, -50, 0).await;
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// no insurance
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send_tx(
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solana,
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PerpLiqNegativePnlOrBankruptcyInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account,
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perp_market,
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max_liab_transfer: u64::MAX,
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},
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)
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.await
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.unwrap();
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assert_eq!(liq_event_amounts(), (0.0, 0, limit_prec(40.0)));
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}
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// no socialized loss: fully covered by insurance fund
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{
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let (perp_market, account) = setup_perp(-40, -50, -5).await;
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fund_insurance(42).await;
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send_tx(
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solana,
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PerpLiqNegativePnlOrBankruptcyInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account,
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perp_market,
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max_liab_transfer: u64::MAX,
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},
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)
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.await
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.unwrap();
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assert_eq!(liq_event_amounts(), (5.0, 42, 0.0));
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}
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Ok(())
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}
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