1430 lines
57 KiB
Rust
1430 lines
57 KiB
Rust
use anchor_lang::prelude::*;
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use derivative::Derivative;
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use fixed::types::I80F48;
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use static_assertions::const_assert_eq;
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use std::cmp::Ordering;
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use std::mem::size_of;
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use crate::i80f48::ClampToInt;
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use crate::state::*;
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pub const FREE_ORDER_SLOT: PerpMarketIndex = PerpMarketIndex::MAX;
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#[zero_copy]
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#[derive(AnchorDeserialize, AnchorSerialize, Derivative, PartialEq)]
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#[derivative(Debug)]
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pub struct TokenPosition {
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// TODO: Why did we have deposits and borrows as two different values
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// if only one of them was allowed to be != 0 at a time?
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// todo: maybe we want to split collateral and lending?
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// todo: see https://github.com/blockworks-foundation/mango-v4/issues/1
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// todo: how does ftx do this?
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/// The deposit_index (if positive) or borrow_index (if negative) scaled position
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pub indexed_position: I80F48,
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/// index into Group.tokens
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pub token_index: TokenIndex,
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/// incremented when a market requires this position to stay alive
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pub in_use_count: u16,
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#[derivative(Debug = "ignore")]
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pub padding: [u8; 4],
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// bookkeeping variable for onchain interest calculation
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// either deposit_index or borrow_index at last indexed_position change
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pub previous_index: I80F48,
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// (Display only)
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// Cumulative deposit interest in token native units
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pub cumulative_deposit_interest: f64,
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// (Display only)
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// Cumulative borrow interest in token native units
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pub cumulative_borrow_interest: f64,
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#[derivative(Debug = "ignore")]
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pub reserved: [u8; 128],
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}
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const_assert_eq!(
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size_of::<TokenPosition>(),
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16 + 2 + 2 + 4 + 16 + 8 + 8 + 128
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);
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const_assert_eq!(size_of::<TokenPosition>(), 184);
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const_assert_eq!(size_of::<TokenPosition>() % 8, 0);
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impl Default for TokenPosition {
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fn default() -> Self {
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TokenPosition {
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indexed_position: I80F48::ZERO,
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token_index: TokenIndex::MAX,
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in_use_count: 0,
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cumulative_deposit_interest: 0.0,
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cumulative_borrow_interest: 0.0,
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previous_index: I80F48::ZERO,
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padding: Default::default(),
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reserved: [0; 128],
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}
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}
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}
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impl TokenPosition {
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pub fn is_active(&self) -> bool {
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self.token_index != TokenIndex::MAX
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}
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pub fn is_active_for_token(&self, token_index: TokenIndex) -> bool {
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self.token_index == token_index
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}
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pub fn native(&self, bank: &Bank) -> I80F48 {
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if self.indexed_position.is_positive() {
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self.indexed_position * bank.deposit_index
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} else {
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self.indexed_position * bank.borrow_index
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}
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}
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#[cfg(feature = "client")]
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pub fn ui(&self, bank: &Bank) -> I80F48 {
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if self.indexed_position.is_positive() {
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(self.indexed_position * bank.deposit_index)
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/ I80F48::from_num(10u64.pow(bank.mint_decimals as u32))
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} else {
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(self.indexed_position * bank.borrow_index)
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/ I80F48::from_num(10u64.pow(bank.mint_decimals as u32))
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}
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}
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pub fn is_in_use(&self) -> bool {
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self.in_use_count > 0
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}
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pub fn increment_in_use(&mut self) {
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self.in_use_count += 1; // panic on overflow
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}
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pub fn decrement_in_use(&mut self) {
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self.in_use_count = self.in_use_count.saturating_sub(1);
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}
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}
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#[zero_copy]
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#[derive(AnchorSerialize, AnchorDeserialize, Derivative, PartialEq)]
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#[derivative(Debug)]
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pub struct Serum3Orders {
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pub open_orders: Pubkey,
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/// Tracks the amount of borrows that have flowed into the serum open orders account.
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/// These borrows did not have the loan origination fee applied, and that may happen
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/// later (in serum3_settle_funds) if we can guarantee that the funds were used.
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/// In particular a place-on-book, cancel, settle should not cost fees.
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pub base_borrows_without_fee: u64,
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pub quote_borrows_without_fee: u64,
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pub market_index: Serum3MarketIndex,
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/// Store the base/quote token index, so health computations don't need
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/// to get passed the static SerumMarket to find which tokens a market
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/// uses and look up the correct oracles.
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pub base_token_index: TokenIndex,
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pub quote_token_index: TokenIndex,
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#[derivative(Debug = "ignore")]
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pub padding: [u8; 2],
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/// Track something like the highest open bid / lowest open ask, in native/native units.
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///
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/// Tracking it exactly isn't possible since we don't see fills. So instead track
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/// the min/max of the _placed_ bids and asks.
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///
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/// The value is reset in serum3_place_order when a new order is placed without an
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/// existing one on the book.
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///
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/// 0 is a special "unset" state.
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pub highest_placed_bid_inv: f64,
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pub lowest_placed_ask: f64,
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/// An overestimate of the amount of tokens that might flow out of the open orders account.
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///
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/// The bank still considers these amounts user deposits (see Bank::potential_serum_tokens)
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/// and that value needs to be updated in conjunction with these numbers.
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///
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/// This estimation is based on the amount of tokens in the open orders account
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/// (see update_bank_potential_tokens() in serum3_place_order and settle)
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pub potential_base_tokens: u64,
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pub potential_quote_tokens: u64,
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/// Track lowest bid/highest ask, same way as for highest bid/lowest ask.
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///
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/// 0 is a special "unset" state.
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pub lowest_placed_bid_inv: f64,
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pub highest_placed_ask: f64,
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#[derivative(Debug = "ignore")]
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pub reserved: [u8; 16],
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}
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const_assert_eq!(
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size_of::<Serum3Orders>(),
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32 + 8 * 2 + 2 * 3 + 2 + 6 * 8 + 16
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);
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const_assert_eq!(size_of::<Serum3Orders>(), 120);
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const_assert_eq!(size_of::<Serum3Orders>() % 8, 0);
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impl Serum3Orders {
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pub fn is_active(&self) -> bool {
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self.market_index != Serum3MarketIndex::MAX
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}
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pub fn is_active_for_market(&self, market_index: Serum3MarketIndex) -> bool {
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self.market_index == market_index
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}
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}
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impl Default for Serum3Orders {
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fn default() -> Self {
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Self {
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open_orders: Pubkey::default(),
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market_index: Serum3MarketIndex::MAX,
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base_token_index: TokenIndex::MAX,
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quote_token_index: TokenIndex::MAX,
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padding: Default::default(),
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base_borrows_without_fee: 0,
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quote_borrows_without_fee: 0,
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highest_placed_bid_inv: 0.0,
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lowest_placed_ask: 0.0,
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potential_base_tokens: 0,
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potential_quote_tokens: 0,
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lowest_placed_bid_inv: 0.0,
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highest_placed_ask: 0.0,
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reserved: [0; 16],
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}
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}
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}
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#[zero_copy]
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#[derive(AnchorSerialize, AnchorDeserialize, Derivative, PartialEq)]
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#[derivative(Debug)]
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pub struct PerpPosition {
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pub market_index: PerpMarketIndex,
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#[derivative(Debug = "ignore")]
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pub padding: [u8; 2],
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/// Index of the current settle pnl limit window
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pub settle_pnl_limit_window: u32,
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/// Amount of realized trade pnl and unrealized pnl that was already settled this window.
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///
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/// Will be negative when negative pnl was settled.
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///
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/// Note that this will be adjusted for bookkeeping reasons when the realized_trade settle
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/// limitchanges and is not useable for actually tracking how much pnl was settled
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/// on balance.
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pub settle_pnl_limit_settled_in_current_window_native: i64,
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/// Active position size, measured in base lots
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pub base_position_lots: i64,
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/// Active position in oracle quote native. At the same time this is 1:1 a settle_token native amount.
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///
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/// Example: Say there's a perp market on the BTC/USD price using SOL for settlement. The user buys
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/// one long contract for $20k, then base = 1, quote = -20k. The price goes to $21k. Now their
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/// unsettled pnl is (1 * 21k - 20k) __SOL__ = 1000 SOL. This is because the perp contract arbitrarily
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/// decides that each unit of price difference creates 1 SOL worth of settlement.
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/// (yes, causing 1 SOL of settlement for each $1 price change implies a lot of extra leverage; likely
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/// there should be an extra configurable scaling factor before we use this for cases like that)
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pub quote_position_native: I80F48,
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/// Tracks what the position is to calculate average entry & break even price
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pub quote_running_native: i64,
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/// Already settled long funding
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pub long_settled_funding: I80F48,
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/// Already settled short funding
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pub short_settled_funding: I80F48,
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/// Base lots in open bids
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pub bids_base_lots: i64,
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/// Base lots in open asks
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pub asks_base_lots: i64,
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/// Amount of base lots on the EventQueue waiting to be processed
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pub taker_base_lots: i64,
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/// Amount of quote lots on the EventQueue waiting to be processed
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pub taker_quote_lots: i64,
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/// Cumulative long funding in quote native units.
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/// If the user paid $1 in funding for a long position, this would be 1e6.
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/// Beware of the sign!
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///
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/// (Display only)
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pub cumulative_long_funding: f64,
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/// Cumulative short funding in quote native units
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/// If the user paid $1 in funding for a short position, this would be -1e6.
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///
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/// (Display only)
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pub cumulative_short_funding: f64,
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/// Cumulative maker volume in quote native units
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///
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/// (Display only)
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pub maker_volume: u64,
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/// Cumulative taker volume in quote native units
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///
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/// (Display only)
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pub taker_volume: u64,
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/// Cumulative number of quote native units transfered from the perp position
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/// to the settle token spot position.
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///
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/// For example, if the user settled $1 of positive pnl into their USDC spot
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/// position, this would be 1e6.
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///
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/// (Display only)
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pub perp_spot_transfers: i64,
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/// The native average entry price for the base lots of the current position.
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/// Reset to 0 when the base position reaches or crosses 0.
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pub avg_entry_price_per_base_lot: f64,
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/// Deprecated field: Amount of pnl that was realized by bringing the base position closer to 0.
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pub deprecated_realized_trade_pnl_native: I80F48,
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/// Amount of pnl that can be settled once.
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///
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/// - The value is signed: a negative number means negative pnl can be settled.
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/// - A settlement in the right direction will decrease this amount.
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///
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/// Typically added for fees, funding and liquidation.
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pub oneshot_settle_pnl_allowance: I80F48,
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/// Amount of pnl that can be settled in each settle window.
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///
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/// - Unsigned, the settlement can happen in both directions. Value is >= 0.
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/// - Previously stored a similar value that was signed, so in migration cases
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/// this value can be negative and should be .abs()ed.
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/// - If this value exceeds the current stable-upnl, it should be decreased,
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/// see apply_recurring_settle_pnl_allowance_constraint()
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///
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/// When the base position is reduced, the settle limit contribution from the reduced
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/// base position is materialized into this value. When the base position increases,
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/// some of the allowance is taken away.
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///
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/// This also gets increased when a liquidator takes over pnl.
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pub recurring_settle_pnl_allowance: i64,
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/// Trade pnl, fees, funding that were added over the current position's lifetime.
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///
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/// Reset when the position changes sign or goes to zero.
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/// Not decreased by settling.
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///
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/// This is tracked for display purposes: this value plus the difference between entry
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/// price and current price of the base position is the overall pnl.
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pub realized_pnl_for_position_native: I80F48,
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#[derivative(Debug = "ignore")]
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pub reserved: [u8; 88],
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}
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const_assert_eq!(
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size_of::<PerpPosition>(),
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2 + 2 + 4 + 8 + 8 + 16 + 8 + 16 * 2 + 8 * 2 + 8 * 2 + 8 * 5 + 8 + 2 * 16 + 8 + 16 + 88
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);
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const_assert_eq!(size_of::<PerpPosition>(), 304);
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const_assert_eq!(size_of::<PerpPosition>() % 8, 0);
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impl Default for PerpPosition {
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fn default() -> Self {
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Self {
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market_index: PerpMarketIndex::MAX,
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base_position_lots: 0,
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quote_position_native: I80F48::ZERO,
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quote_running_native: 0,
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bids_base_lots: 0,
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asks_base_lots: 0,
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taker_base_lots: 0,
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taker_quote_lots: 0,
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long_settled_funding: I80F48::ZERO,
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short_settled_funding: I80F48::ZERO,
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padding: Default::default(),
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cumulative_long_funding: 0.0,
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cumulative_short_funding: 0.0,
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maker_volume: 0,
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taker_volume: 0,
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perp_spot_transfers: 0,
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avg_entry_price_per_base_lot: 0.0,
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deprecated_realized_trade_pnl_native: I80F48::ZERO,
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oneshot_settle_pnl_allowance: I80F48::ZERO,
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settle_pnl_limit_window: 0,
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settle_pnl_limit_settled_in_current_window_native: 0,
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recurring_settle_pnl_allowance: 0,
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realized_pnl_for_position_native: I80F48::ZERO,
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reserved: [0; 88],
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}
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}
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}
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impl PerpPosition {
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/// Add taker trade after it has been matched but before it has been process on EventQueue
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pub fn add_taker_trade(&mut self, side: Side, base_lots: i64, quote_lots: i64) {
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match side {
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Side::Bid => {
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self.taker_base_lots += base_lots;
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self.taker_quote_lots -= quote_lots;
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}
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Side::Ask => {
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self.taker_base_lots -= base_lots;
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self.taker_quote_lots += quote_lots;
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}
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}
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}
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/// Remove taker trade after it has been processed on EventQueue
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pub fn remove_taker_trade(&mut self, base_change: i64, quote_change: i64) {
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self.taker_base_lots -= base_change;
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self.taker_quote_lots -= quote_change;
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}
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pub fn adjust_maker_lots(&mut self, side: Side, base_lots: i64) {
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match side {
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Side::Bid => {
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self.bids_base_lots += base_lots;
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}
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Side::Ask => {
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self.asks_base_lots += base_lots;
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}
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};
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}
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pub fn is_active(&self) -> bool {
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self.market_index != PerpMarketIndex::MAX
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}
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pub fn is_active_for_market(&self, market_index: PerpMarketIndex) -> bool {
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self.market_index == market_index
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}
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// Return base position in native units for a perp market
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pub fn base_position_native(&self, market: &PerpMarket) -> I80F48 {
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I80F48::from(self.base_position_lots * market.base_lot_size)
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}
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pub fn base_position_lots(&self) -> i64 {
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self.base_position_lots
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}
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// This takes into account base lots from unprocessed events, but not anything from open orders
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pub fn effective_base_position_lots(&self) -> i64 {
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self.base_position_lots + self.taker_base_lots
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}
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pub fn quote_position_native(&self) -> I80F48 {
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self.quote_position_native
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}
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/// This assumes settle_funding was already called
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fn change_base_position(&mut self, perp_market: &mut PerpMarket, base_change: i64) {
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let start = self.base_position_lots;
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self.base_position_lots += base_change;
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perp_market.open_interest += self.base_position_lots.abs() - start.abs();
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}
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/// The amount of funding this account still needs to pay, in native quote
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pub fn unsettled_funding(&self, perp_market: &PerpMarket) -> I80F48 {
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match self.base_position_lots.cmp(&0) {
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Ordering::Greater => {
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(perp_market.long_funding - self.long_settled_funding)
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* I80F48::from_num(self.base_position_lots)
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}
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Ordering::Less => {
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(perp_market.short_funding - self.short_settled_funding)
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* I80F48::from_num(self.base_position_lots)
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}
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Ordering::Equal => I80F48::ZERO,
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}
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}
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/// Move unrealized funding payments into the quote_position
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pub fn settle_funding(&mut self, perp_market: &PerpMarket) {
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let funding = self.unsettled_funding(perp_market);
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self.quote_position_native -= funding;
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self.oneshot_settle_pnl_allowance -= funding;
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self.realized_pnl_for_position_native -= funding;
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if self.base_position_lots.is_positive() {
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self.cumulative_long_funding += funding.to_num::<f64>();
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} else {
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self.cumulative_short_funding -= funding.to_num::<f64>();
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}
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self.long_settled_funding = perp_market.long_funding;
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self.short_settled_funding = perp_market.short_funding;
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}
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/// Updates avg entry price, breakeven price, realized pnl, realized pnl limit
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///
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/// Returns realized trade pnl
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fn update_trade_stats(
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&mut self,
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base_change: i64,
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quote_change_native: I80F48,
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perp_market: &PerpMarket,
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) -> I80F48 {
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if base_change == 0 {
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return I80F48::ZERO;
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}
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let old_position = self.base_position_lots;
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let new_position = old_position + base_change;
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// abs amount of lots that were reduced:
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// - going from -5 to 10 lots is a reduction of 5
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// - going from 10 to -5 is a reduction of 10
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let reduced_lots;
|
|
// same for increases
|
|
// - going from -5 to 10 lots is an increase of 10
|
|
// - going from 10 to -5 is an increase of 5
|
|
let increased_lots;
|
|
// amount of pnl that was realized by the reduction (signed)
|
|
let newly_realized_pnl;
|
|
|
|
if new_position == 0 {
|
|
reduced_lots = old_position.abs();
|
|
increased_lots = 0;
|
|
|
|
let avg_entry = I80F48::from_num(self.avg_entry_price_per_base_lot);
|
|
newly_realized_pnl = quote_change_native + I80F48::from(base_change) * avg_entry;
|
|
|
|
// clear out display fields that live only while the position lasts
|
|
self.avg_entry_price_per_base_lot = 0.0;
|
|
self.quote_running_native = 0;
|
|
self.realized_pnl_for_position_native = I80F48::ZERO;
|
|
} else if old_position.signum() != new_position.signum() {
|
|
// If the base position changes sign, we've crossed base_pos == 0 (or old_position == 0)
|
|
reduced_lots = old_position.abs();
|
|
increased_lots = new_position.abs();
|
|
let old_position = old_position as f64;
|
|
let new_position = new_position as f64;
|
|
let base_change = base_change as f64;
|
|
let old_avg_entry = self.avg_entry_price_per_base_lot;
|
|
let new_avg_entry = (quote_change_native.to_num::<f64>() / base_change).abs();
|
|
|
|
// Award realized pnl based on the old_position size
|
|
newly_realized_pnl = I80F48::from_num(old_position * (new_avg_entry - old_avg_entry));
|
|
|
|
// Set entry and break-even based on the new_position entered
|
|
self.avg_entry_price_per_base_lot = new_avg_entry;
|
|
self.quote_running_native = (-new_position * new_avg_entry) as i64;
|
|
|
|
// New position without realized pnl
|
|
self.realized_pnl_for_position_native = I80F48::ZERO;
|
|
} else {
|
|
// The old and new position have the same sign
|
|
|
|
self.quote_running_native += quote_change_native.round_to_zero().to_num::<i64>();
|
|
|
|
let is_increasing = old_position.signum() == base_change.signum();
|
|
if is_increasing {
|
|
// Increasing position: avg entry price updates, no new realized pnl
|
|
reduced_lots = 0;
|
|
increased_lots = base_change.abs();
|
|
newly_realized_pnl = I80F48::ZERO;
|
|
let old_position_abs = old_position.abs() as f64;
|
|
let new_position_abs = new_position.abs() as f64;
|
|
let old_avg_entry = self.avg_entry_price_per_base_lot;
|
|
let new_position_quote_value =
|
|
old_position_abs * old_avg_entry + quote_change_native.to_num::<f64>().abs();
|
|
self.avg_entry_price_per_base_lot = new_position_quote_value / new_position_abs;
|
|
} else {
|
|
// Decreasing position: pnl is realized, avg entry price does not change
|
|
reduced_lots = base_change.abs();
|
|
increased_lots = 0;
|
|
let avg_entry = I80F48::from_num(self.avg_entry_price_per_base_lot);
|
|
newly_realized_pnl = quote_change_native + I80F48::from(base_change) * avg_entry;
|
|
self.realized_pnl_for_position_native += newly_realized_pnl;
|
|
}
|
|
}
|
|
|
|
let net_base_increase = increased_lots - reduced_lots;
|
|
self.recurring_settle_pnl_allowance = self.recurring_settle_pnl_allowance.abs();
|
|
self.recurring_settle_pnl_allowance -=
|
|
(I80F48::from(net_base_increase * perp_market.base_lot_size)
|
|
* perp_market.stable_price()
|
|
* I80F48::from_num(perp_market.settle_pnl_limit_factor))
|
|
.clamp_to_i64();
|
|
self.recurring_settle_pnl_allowance = self.recurring_settle_pnl_allowance.max(0);
|
|
|
|
newly_realized_pnl
|
|
}
|
|
|
|
/// Returns the change in recurring settle allowance
|
|
fn apply_recurring_settle_pnl_allowance_constraint(&mut self, perp_market: &PerpMarket) -> i64 {
|
|
// deprecation/migration
|
|
self.recurring_settle_pnl_allowance = self.recurring_settle_pnl_allowance.abs();
|
|
self.deprecated_realized_trade_pnl_native = I80F48::ZERO;
|
|
|
|
let before = self.recurring_settle_pnl_allowance;
|
|
|
|
// The recurring allowance is always >= 0 and <= stable-upnl
|
|
let upnl = self
|
|
.unsettled_pnl(perp_market, perp_market.stable_price())
|
|
.unwrap();
|
|
let upnl_abs = upnl.abs().ceil().to_num::<i64>();
|
|
self.recurring_settle_pnl_allowance =
|
|
self.recurring_settle_pnl_allowance.min(upnl_abs).max(0);
|
|
|
|
self.recurring_settle_pnl_allowance - before
|
|
}
|
|
|
|
/// Change the base and quote positions as the result of a trade
|
|
///
|
|
/// Returns realized trade pnl
|
|
pub fn record_trade(
|
|
&mut self,
|
|
perp_market: &mut PerpMarket,
|
|
base_change: i64,
|
|
quote_change_native: I80F48,
|
|
) -> I80F48 {
|
|
assert_eq!(perp_market.perp_market_index, self.market_index);
|
|
let realized_pnl = self.update_trade_stats(base_change, quote_change_native, perp_market);
|
|
self.change_base_position(perp_market, base_change);
|
|
self.change_quote_position(quote_change_native);
|
|
self.apply_recurring_settle_pnl_allowance_constraint(perp_market);
|
|
realized_pnl
|
|
}
|
|
|
|
fn change_quote_position(&mut self, quote_change_native: I80F48) {
|
|
self.quote_position_native += quote_change_native;
|
|
}
|
|
|
|
/// Does the user have any orders on the book?
|
|
///
|
|
/// Note that it's possible they were matched already: This only becomes
|
|
/// false when the fill event is processed or the orders are cancelled.
|
|
pub fn has_open_orders(&self) -> bool {
|
|
self.asks_base_lots != 0 || self.bids_base_lots != 0
|
|
}
|
|
|
|
// Did the user take orders and hasn't been filled yet?
|
|
pub fn has_open_taker_fills(&self) -> bool {
|
|
self.taker_base_lots != 0 || self.taker_quote_lots != 0
|
|
}
|
|
|
|
/// Are there any open orders or fills that haven't been processed yet?
|
|
pub fn has_open_orders_or_fills(&self) -> bool {
|
|
self.has_open_orders() || self.has_open_taker_fills()
|
|
}
|
|
|
|
/// Calculate the average entry price of the position, in native/native units
|
|
pub fn avg_entry_price(&self, market: &PerpMarket) -> f64 {
|
|
assert_eq!(self.market_index, market.perp_market_index);
|
|
self.avg_entry_price_per_base_lot / (market.base_lot_size as f64)
|
|
}
|
|
|
|
/// Calculate the break even price of the position, in native/native units
|
|
pub fn break_even_price(&self, market: &PerpMarket) -> f64 {
|
|
if self.base_position_lots == 0 {
|
|
return 0.0;
|
|
}
|
|
assert_eq!(self.market_index, market.perp_market_index);
|
|
-(self.quote_running_native as f64)
|
|
/ ((self.base_position_lots * market.base_lot_size) as f64)
|
|
}
|
|
|
|
/// Calculate the PnL of the position for a given price
|
|
pub fn unsettled_pnl(&self, perp_market: &PerpMarket, price: I80F48) -> Result<I80F48> {
|
|
require_eq!(self.market_index, perp_market.perp_market_index);
|
|
let base_native = self.base_position_native(perp_market);
|
|
let pnl = self.quote_position_native() + base_native * price;
|
|
Ok(pnl)
|
|
}
|
|
|
|
/// Updates the perp pnl limit time windowing, resetting the amount
|
|
/// of used settle-pnl budget if necessary
|
|
pub fn update_settle_limit(&mut self, market: &PerpMarket, now_ts: u64) {
|
|
assert_eq!(self.market_index, market.perp_market_index);
|
|
let window_size = market.settle_pnl_limit_window_size_ts;
|
|
let window_start = self.settle_pnl_limit_window as u64 * window_size;
|
|
let window_end = window_start + window_size;
|
|
// now_ts < window_start can happen when window size is changed on the market
|
|
let new_window = now_ts >= window_end || now_ts < window_start;
|
|
if new_window {
|
|
self.settle_pnl_limit_window = (now_ts / window_size).try_into().unwrap();
|
|
self.settle_pnl_limit_settled_in_current_window_native = 0;
|
|
}
|
|
}
|
|
|
|
/// Returns the (min_pnl, max_pnl) range of quote-native pnl that can be settled this window.
|
|
///
|
|
/// 1. a fraction of the base position stable value, which gives settlement limit
|
|
/// equally in both directions
|
|
/// 2. the stored recurring settle allowance, which is mostly allowance from 1. that was
|
|
/// materialized when the position was reduced (see recurring_settle_pnl_allowance)
|
|
/// 3. once-only settlement allowance in a single direction (see oneshot_settle_pnl_allowance)
|
|
pub fn settle_limit(&self, market: &PerpMarket) -> (i64, i64) {
|
|
assert_eq!(self.market_index, market.perp_market_index);
|
|
if market.settle_pnl_limit_factor < 0.0 {
|
|
return (i64::MIN, i64::MAX);
|
|
}
|
|
|
|
let base_native = self.base_position_native(market);
|
|
let position_value = market.stable_price() * base_native;
|
|
|
|
let position_value_abs = position_value.abs().to_num::<f64>();
|
|
let unrealized =
|
|
(market.settle_pnl_limit_factor as f64 * position_value_abs).clamp_to_i64();
|
|
|
|
let upnl_abs = (self.quote_position_native() + position_value)
|
|
.abs()
|
|
.ceil()
|
|
.to_num::<i64>();
|
|
|
|
let mut max_pnl = unrealized
|
|
// .abs() because of potential migration
|
|
// .min() to do the same as apply_recurring_settle_pnl_allowance_constraint
|
|
+ self.recurring_settle_pnl_allowance.abs().min(upnl_abs);
|
|
let mut min_pnl = -max_pnl;
|
|
|
|
let oneshot = self.oneshot_settle_pnl_allowance;
|
|
if oneshot >= 0 {
|
|
max_pnl = max_pnl.saturating_add(oneshot.ceil().clamp_to_i64());
|
|
} else {
|
|
min_pnl = min_pnl.saturating_add(oneshot.floor().clamp_to_i64());
|
|
};
|
|
|
|
// the min/max here is just for safety
|
|
(min_pnl.min(0), max_pnl.max(0))
|
|
}
|
|
|
|
/// Returns the (min_pnl, max_pnl) range of quote-native pnl that may still be settled
|
|
/// this settle window.
|
|
///
|
|
/// The available settle limit is the settle_limit() adjusted for the amount of limit
|
|
/// that was already used up this window.
|
|
pub fn available_settle_limit(&self, market: &PerpMarket) -> (i64, i64) {
|
|
assert_eq!(self.market_index, market.perp_market_index);
|
|
if market.settle_pnl_limit_factor < 0.0 {
|
|
return (i64::MIN, i64::MAX);
|
|
}
|
|
|
|
let (mut min_pnl, mut max_pnl) = self.settle_limit(market);
|
|
let used = self.settle_pnl_limit_settled_in_current_window_native;
|
|
|
|
min_pnl = min_pnl.saturating_sub(used).min(0);
|
|
max_pnl = max_pnl.saturating_sub(used).max(0);
|
|
|
|
(min_pnl, max_pnl)
|
|
}
|
|
|
|
/// Given some pnl, applies the pnl settle limit and returns the reduced pnl.
|
|
pub fn apply_pnl_settle_limit(&self, market: &PerpMarket, pnl: I80F48) -> I80F48 {
|
|
if market.settle_pnl_limit_factor < 0.0 {
|
|
return pnl;
|
|
}
|
|
|
|
let (min_pnl, max_pnl) = self.available_settle_limit(market);
|
|
if pnl < 0 {
|
|
pnl.max(I80F48::from(min_pnl))
|
|
} else {
|
|
pnl.min(I80F48::from(max_pnl))
|
|
}
|
|
}
|
|
|
|
/// Update the perp position for pnl settlement
|
|
///
|
|
/// If `pnl` is positive, then that is settled away, deducting from the quote position.
|
|
pub fn record_settle(&mut self, settled_pnl: I80F48, perp_market: &PerpMarket) {
|
|
self.change_quote_position(-settled_pnl);
|
|
|
|
// Settlement reduces oneshot_settle_pnl_allowance if available.
|
|
// Reduction only happens if settled_pnl has the same sign as oneshot_settle_pnl_allowance.
|
|
let oneshot_reduction = if settled_pnl > 0 {
|
|
settled_pnl
|
|
.min(self.oneshot_settle_pnl_allowance)
|
|
.max(I80F48::ZERO)
|
|
} else {
|
|
settled_pnl
|
|
.max(self.oneshot_settle_pnl_allowance)
|
|
.min(I80F48::ZERO)
|
|
};
|
|
self.oneshot_settle_pnl_allowance -= oneshot_reduction;
|
|
|
|
// Consume settle limit budget:
|
|
// We don't track consumption of oneshot_settle_pnl_allowance because settling already
|
|
// reduces the available budget for subsequent settlesas well.
|
|
let mut used_settle_limit = (settled_pnl - oneshot_reduction)
|
|
.round_to_zero()
|
|
.clamp_to_i64();
|
|
|
|
// Similarly, if the recurring budget gets reduced (because stable-upnl is lower than it),
|
|
// don't also increase settle_pnl_limit_settled_in_current_window_native.
|
|
// Example: Settle 500 on a 1000 upnl, 1000 recurring limit account:
|
|
// -> 500 upnl and 500 recurring limit, if we also had 500 settled_in_current_window
|
|
// then no more settlement would be allowed
|
|
let recurring_allowance_change =
|
|
self.apply_recurring_settle_pnl_allowance_constraint(perp_market);
|
|
if recurring_allowance_change < 0 {
|
|
if used_settle_limit > 0 {
|
|
used_settle_limit = (used_settle_limit + recurring_allowance_change).max(0);
|
|
} else {
|
|
used_settle_limit = (used_settle_limit - recurring_allowance_change).min(0);
|
|
}
|
|
}
|
|
|
|
self.settle_pnl_limit_settled_in_current_window_native += used_settle_limit;
|
|
}
|
|
|
|
/// Update perp position for a maker/taker fee payment
|
|
pub fn record_trading_fee(&mut self, fee: I80F48) {
|
|
self.change_quote_position(-fee);
|
|
self.oneshot_settle_pnl_allowance -= fee;
|
|
self.realized_pnl_for_position_native -= fee;
|
|
}
|
|
|
|
/// Adds immediately-settleable realized pnl when a liqor takes over pnl during liquidation
|
|
pub fn record_liquidation_quote_change(&mut self, change: I80F48) {
|
|
self.change_quote_position(change);
|
|
self.oneshot_settle_pnl_allowance += change;
|
|
}
|
|
|
|
/// Takes over a quote position along with recurring and oneshot settle limit allowance
|
|
pub fn record_liquidation_pnl_takeover(
|
|
&mut self,
|
|
change: I80F48,
|
|
recurring_limit: i64,
|
|
oneshot_limit: i64,
|
|
) {
|
|
self.change_quote_position(change);
|
|
self.recurring_settle_pnl_allowance += recurring_limit;
|
|
self.oneshot_settle_pnl_allowance += I80F48::from(oneshot_limit);
|
|
}
|
|
}
|
|
|
|
#[zero_copy]
|
|
#[derive(AnchorSerialize, AnchorDeserialize, Derivative, PartialEq)]
|
|
#[derivative(Debug)]
|
|
pub struct PerpOpenOrder {
|
|
pub side_and_tree: u8, // SideAndOrderTree -- enums aren't POD
|
|
|
|
#[derivative(Debug = "ignore")]
|
|
pub padding1: [u8; 1],
|
|
|
|
pub market: PerpMarketIndex,
|
|
|
|
#[derivative(Debug = "ignore")]
|
|
pub padding2: [u8; 4],
|
|
|
|
pub client_id: u64,
|
|
pub id: u128,
|
|
|
|
pub quantity: i64,
|
|
|
|
// WARNING: When adding fields, take care of updating the clear() function
|
|
#[derivative(Debug = "ignore")]
|
|
pub reserved: [u8; 56],
|
|
}
|
|
const_assert_eq!(size_of::<PerpOpenOrder>(), 1 + 1 + 2 + 4 + 8 + 16 + 8 + 56);
|
|
const_assert_eq!(size_of::<PerpOpenOrder>(), 96);
|
|
const_assert_eq!(size_of::<PerpOpenOrder>() % 8, 0);
|
|
|
|
impl Default for PerpOpenOrder {
|
|
fn default() -> Self {
|
|
Self {
|
|
side_and_tree: SideAndOrderTree::BidFixed.into(),
|
|
padding1: Default::default(),
|
|
market: FREE_ORDER_SLOT,
|
|
padding2: Default::default(),
|
|
client_id: 0,
|
|
id: 0,
|
|
quantity: 0,
|
|
reserved: [0; 56],
|
|
}
|
|
}
|
|
}
|
|
|
|
impl PerpOpenOrder {
|
|
pub fn side_and_tree(&self) -> SideAndOrderTree {
|
|
SideAndOrderTree::try_from(self.side_and_tree).unwrap()
|
|
}
|
|
|
|
pub fn is_active_for_market(&self, perp_market_index: PerpMarketIndex) -> bool {
|
|
self.market == perp_market_index
|
|
}
|
|
|
|
pub fn is_active(&self) -> bool {
|
|
self.market != FREE_ORDER_SLOT
|
|
}
|
|
|
|
pub fn clear(&mut self) {
|
|
self.market = FREE_ORDER_SLOT;
|
|
self.side_and_tree = SideAndOrderTree::BidFixed.into();
|
|
self.id = 0;
|
|
self.client_id = 0;
|
|
self.quantity = 0;
|
|
}
|
|
}
|
|
|
|
#[macro_export]
|
|
macro_rules! account_seeds {
|
|
( $account:expr ) => {
|
|
&[
|
|
b"MangoAccount".as_ref(),
|
|
$account.group.as_ref(),
|
|
$account.owner.as_ref(),
|
|
&$account.account_num.to_le_bytes(),
|
|
&[$account.bump],
|
|
]
|
|
};
|
|
}
|
|
|
|
pub use account_seeds;
|
|
|
|
#[cfg(test)]
|
|
mod tests {
|
|
use crate::state::PerpMarket;
|
|
use fixed::types::I80F48;
|
|
use rand::Rng;
|
|
|
|
use super::PerpPosition;
|
|
|
|
fn create_perp_position(
|
|
market: &PerpMarket,
|
|
base_pos: i64,
|
|
entry_price_per_lot: i64,
|
|
) -> PerpPosition {
|
|
let mut pos = PerpPosition::default();
|
|
pos.market_index = market.perp_market_index;
|
|
pos.base_position_lots = base_pos;
|
|
pos.quote_position_native = I80F48::from(-base_pos * entry_price_per_lot);
|
|
pos.quote_running_native = -base_pos * entry_price_per_lot;
|
|
pos.avg_entry_price_per_base_lot = entry_price_per_lot as f64;
|
|
pos
|
|
}
|
|
|
|
fn test_perp_market(stable_price: f64) -> PerpMarket {
|
|
let mut m = PerpMarket::default_for_tests();
|
|
m.stable_price_model.stable_price = stable_price;
|
|
m
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_long_increasing_from_zero() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
// Go long 10 @ 10
|
|
let realized = pos.record_trade(&mut market, 10, I80F48::from(-100));
|
|
assert_eq!(pos.quote_running_native, -100);
|
|
assert_eq!(pos.avg_entry_price(&market), 10.0);
|
|
assert_eq!(pos.break_even_price(&market), 10.0);
|
|
assert_eq!(pos.realized_pnl_for_position_native, realized);
|
|
assert_eq!(realized, I80F48::ZERO);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 0);
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::from(0));
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_short_increasing_from_zero() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
// Go short 10 @ 10
|
|
let realized = pos.record_trade(&mut market, -10, I80F48::from(100));
|
|
assert_eq!(pos.quote_running_native, 100);
|
|
assert_eq!(pos.avg_entry_price(&market), 10.0);
|
|
assert_eq!(pos.break_even_price(&market), 10.0);
|
|
assert_eq!(pos.realized_pnl_for_position_native, realized);
|
|
assert_eq!(realized, I80F48::ZERO);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 0);
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::from(0));
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_long_increasing_from_long() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 10, 10);
|
|
// Go long 10 @ 30
|
|
let realized = pos.record_trade(&mut market, 10, I80F48::from(-300));
|
|
assert_eq!(pos.quote_running_native, -400);
|
|
assert_eq!(pos.avg_entry_price(&market), 20.0);
|
|
assert_eq!(pos.break_even_price(&market), 20.0);
|
|
assert_eq!(pos.realized_pnl_for_position_native, realized);
|
|
assert_eq!(realized, I80F48::ZERO);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 0);
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::from(0));
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_short_increasing_from_short() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, -10, 10);
|
|
// Go short 10 @ 30
|
|
let realized = pos.record_trade(&mut market, -10, I80F48::from(300));
|
|
assert_eq!(pos.quote_running_native, 400);
|
|
assert_eq!(pos.avg_entry_price(&market), 20.0);
|
|
assert_eq!(pos.break_even_price(&market), 20.0);
|
|
assert_eq!(pos.realized_pnl_for_position_native, realized);
|
|
assert_eq!(realized, I80F48::ZERO);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 0);
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::from(0));
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_long_decreasing_from_short() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, -10, 10);
|
|
// Go long 5 @ 50
|
|
let realized = pos.record_trade(&mut market, 5, I80F48::from(-250));
|
|
assert_eq!(pos.quote_running_native, -150);
|
|
assert_eq!(pos.avg_entry_price(&market), 10.0); // Entry price remains the same when decreasing
|
|
assert_eq!(pos.break_even_price(&market), -30.0); // The short can't break even anymore
|
|
assert_eq!(pos.realized_pnl_for_position_native, realized);
|
|
assert_eq!(realized, I80F48::from(-200));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 11); // 5 * 10 * 0.2 rounded up
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_short_decreasing_from_long() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 10, 10);
|
|
// Go short 5 @ 50
|
|
let realized = pos.record_trade(&mut market, -5, I80F48::from(250));
|
|
assert_eq!(pos.quote_running_native, 150);
|
|
assert_eq!(pos.avg_entry_price(&market), 10.0); // Entry price remains the same when decreasing
|
|
assert_eq!(pos.break_even_price(&market), -30.0); // Already broke even
|
|
assert_eq!(pos.realized_pnl_for_position_native, realized);
|
|
assert_eq!(realized, I80F48::from(200));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 11); // 5 * 10 * 0.2 rounded up
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_long_close_with_short() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 10, 10);
|
|
// Go short 10 @ 25
|
|
let realized = pos.record_trade(&mut market, -10, I80F48::from(250));
|
|
assert_eq!(pos.quote_running_native, 0);
|
|
assert_eq!(pos.avg_entry_price(&market), 0.0); // Entry price zero when no position
|
|
assert_eq!(pos.break_even_price(&market), 0.0);
|
|
assert_eq!(pos.realized_pnl_for_position_native, I80F48::from(0));
|
|
assert_eq!(realized, I80F48::from(150));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 21); // 10 * 10 * 0.2 rounded up
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_short_close_with_long() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, -10, 10);
|
|
// Go long 10 @ 25
|
|
let realized = pos.record_trade(&mut market, 10, I80F48::from(-250));
|
|
assert_eq!(pos.quote_running_native, 0);
|
|
assert_eq!(pos.avg_entry_price(&market), 0.0); // Entry price zero when no position
|
|
assert_eq!(pos.break_even_price(&market), 0.0);
|
|
assert_eq!(pos.realized_pnl_for_position_native, I80F48::from(0));
|
|
assert_eq!(realized, I80F48::from(-150));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 21); // 10 * 10 * 0.2 rounded up
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_long_close_short_with_overflow() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 10, 10);
|
|
// Go short 15 @ 20
|
|
let realized = pos.record_trade(&mut market, -15, I80F48::from(300));
|
|
assert_eq!(pos.quote_running_native, 100);
|
|
assert_eq!(pos.avg_entry_price(&market), 20.0);
|
|
assert_eq!(pos.break_even_price(&market), 20.0);
|
|
assert_eq!(pos.realized_pnl_for_position_native, I80F48::ZERO); // new position
|
|
assert_eq!(realized, I80F48::from(100));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 11); // 5 * 10 * 0.2 rounded up
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_short_close_long_with_overflow() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, -10, 10);
|
|
// Go long 15 @ 20
|
|
let realized = pos.record_trade(&mut market, 15, I80F48::from(-300));
|
|
assert_eq!(pos.quote_running_native, -100);
|
|
assert_eq!(pos.avg_entry_price(&market), 20.0);
|
|
assert_eq!(pos.break_even_price(&market), 20.0);
|
|
assert_eq!(pos.realized_pnl_for_position_native, I80F48::ZERO); // new position
|
|
assert_eq!(realized, I80F48::from(-100));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 11); // 5 * 10 * 0.2 rounded up
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_quote_entry_break_even_price() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
// Buy 11 @ 10,000
|
|
let realized_buy = pos.record_trade(&mut market, 11, I80F48::from(-11 * 10_000));
|
|
// Sell 1 @ 12,000
|
|
let realized_sell = pos.record_trade(&mut market, -1, I80F48::from(12_000));
|
|
assert_eq!(pos.quote_running_native, -98_000);
|
|
assert_eq!(pos.base_position_lots, 10);
|
|
assert_eq!(pos.break_even_price(&market), 9_800.0); // We made 2k on the trade, so we can sell our contract up to a loss of 200 each
|
|
assert_eq!(
|
|
pos.realized_pnl_for_position_native,
|
|
realized_buy + realized_sell
|
|
);
|
|
assert_eq!(realized_buy, I80F48::ZERO);
|
|
assert_eq!(realized_sell, I80F48::from(2_000));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 3); // 1 * 10 * 0.2 rounded up
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_entry_and_break_even_prices_with_lots() {
|
|
let mut market = test_perp_market(10.0);
|
|
market.base_lot_size = 10;
|
|
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
// Buy 110 @ 10,000
|
|
let realized_buy = pos.record_trade(&mut market, 11, I80F48::from(-11 * 10 * 10_000));
|
|
// Sell 10 @ 12,000
|
|
let realized_sell = pos.record_trade(&mut market, -1, I80F48::from(1 * 10 * 12_000));
|
|
assert_eq!(pos.quote_running_native, -980_000);
|
|
assert_eq!(pos.base_position_lots, 10);
|
|
assert_eq!(pos.avg_entry_price_per_base_lot, 100_000.0);
|
|
assert_eq!(pos.avg_entry_price(&market), 10_000.0);
|
|
assert_eq!(pos.break_even_price(&market), 9_800.0);
|
|
|
|
assert_eq!(
|
|
pos.realized_pnl_for_position_native,
|
|
realized_buy + realized_sell
|
|
);
|
|
assert_eq!(realized_buy, I80F48::ZERO);
|
|
assert_eq!(realized_sell, I80F48::from(20_000));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::ZERO);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 21); // 10 * 10 * 0.2 rounded up
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_perp_realized_settle_limit_no_reduction() {
|
|
let mut market = test_perp_market(10000.0);
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
// Buy 11 @ 10,000
|
|
pos.record_trade(&mut market, 11, I80F48::from(-11 * 10_000));
|
|
|
|
// Sell 1 @ 11,000
|
|
pos.record_trade(&mut market, -1, I80F48::from(11_000));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 1000); // 1 * 10000 * 0.2 rounded up, limited by upnl!
|
|
|
|
// Sell 1 @ 9,500 -- actually decreases because upnl goes down
|
|
pos.record_trade(&mut market, -1, I80F48::from(9_500));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 500);
|
|
|
|
// Sell 2 @ 20,000 each -- not limited this time
|
|
pos.record_trade(&mut market, -2, I80F48::from(40_000));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 4501);
|
|
|
|
// Buy 1 @ 9,000 -- decreases allowance
|
|
pos.record_trade(&mut market, 1, I80F48::from(-9_000));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 2501);
|
|
|
|
// Sell 1 @ 8,000 -- increases limit
|
|
market.stable_price_model.stable_price = 8000.0;
|
|
pos.record_trade(&mut market, -1, I80F48::from(8_000));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 4102);
|
|
|
|
assert_eq!(pos.deprecated_realized_trade_pnl_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_perp_trade_without_realized_pnl() {
|
|
let mut market = test_perp_market(10_000.0);
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
|
|
// Buy 11 @ 10,000
|
|
pos.record_trade(&mut market, 11, I80F48::from(-11 * 10_000));
|
|
|
|
// Sell 1 @ 10,000
|
|
let realized = pos.record_trade(&mut market, -1, I80F48::from(10_000));
|
|
assert_eq!(realized, I80F48::ZERO);
|
|
assert_eq!(pos.realized_pnl_for_position_native, I80F48::from(0));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 0);
|
|
|
|
// Sell 10 @ 10,000
|
|
let realized = pos.record_trade(&mut market, -10, I80F48::from(10 * 10_000));
|
|
assert_eq!(realized, I80F48::ZERO);
|
|
assert_eq!(pos.realized_pnl_for_position_native, I80F48::from(0));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 0);
|
|
|
|
assert_eq!(pos.base_position_lots, 0);
|
|
assert_eq!(pos.quote_position_native, I80F48::ZERO);
|
|
}
|
|
|
|
#[test]
|
|
fn test_perp_oneshot_settle_allowance() {
|
|
let mut market = test_perp_market(10_000.0);
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
|
|
pos.record_trading_fee(I80F48::from(-70));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(70));
|
|
|
|
pos.record_liquidation_quote_change(I80F48::from(30));
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(100));
|
|
|
|
// Buy 1 @ 10,000
|
|
pos.record_trade(&mut market, 1, I80F48::from(-1 * 10_000));
|
|
|
|
// Sell 1 @ 11,000
|
|
pos.record_trade(&mut market, -1, I80F48::from(11_000));
|
|
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(100));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 1100); // limited by upnl
|
|
|
|
pos.record_settle(I80F48::from(50), &market);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(50));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 1050);
|
|
|
|
pos.record_settle(I80F48::from(100), &market);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(0));
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 950);
|
|
}
|
|
|
|
#[test]
|
|
fn test_realized_pnl_fractional() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
pos.quote_position_native += I80F48::from_num(0.1);
|
|
|
|
// Buy 1 @ 1
|
|
pos.record_trade(&mut market, 1, I80F48::from(-1));
|
|
// Buy 2 @ 2
|
|
pos.record_trade(&mut market, 2, I80F48::from(-2 * 2));
|
|
|
|
assert!((pos.avg_entry_price(&market) - 1.66666).abs() < 0.001);
|
|
|
|
// Sell 2 @ 4
|
|
let realized1 = pos.record_trade(&mut market, -2, I80F48::from(2 * 4));
|
|
|
|
assert!((pos.avg_entry_price(&market) - 1.66666).abs() < 0.001);
|
|
assert!((realized1.to_num::<f64>() - 4.6666).abs() < 0.01);
|
|
|
|
// Sell 1 @ 2
|
|
let realized2 = pos.record_trade(&mut market, -1, I80F48::from(2));
|
|
|
|
assert_eq!(pos.avg_entry_price(&market), 0.0);
|
|
assert!((pos.quote_position_native.to_num::<f64>() - 5.1).abs() < 0.001);
|
|
assert!((realized2.to_num::<f64>() - 0.3333).abs() < 0.01);
|
|
}
|
|
|
|
#[test]
|
|
fn test_perp_entry_multiple_random_long() {
|
|
let mut market = test_perp_market(10.0);
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
|
|
// Generate array of random trades
|
|
let mut rng = rand::thread_rng();
|
|
let mut trades: Vec<[i64; 2]> = Vec::with_capacity(500);
|
|
for _ in 0..trades.capacity() {
|
|
let qty: i64 = rng.gen_range(1..=1000);
|
|
let px: f64 = rng.gen_range(0.1..=100.0);
|
|
let quote: i64 = (-qty as f64 * px).round() as i64;
|
|
trades.push([qty, quote]);
|
|
}
|
|
// Apply all of the trades going forward
|
|
let mut total_qty = 0;
|
|
let mut total_quote = 0;
|
|
trades.iter().for_each(|[qty, quote]| {
|
|
pos.record_trade(&mut market, *qty, I80F48::from(*quote));
|
|
total_qty += qty.abs();
|
|
total_quote += quote.abs();
|
|
let entry_actual = pos.avg_entry_price(&market);
|
|
let entry_expected = total_quote as f64 / total_qty as f64;
|
|
assert!(((entry_actual - entry_expected) / entry_expected).abs() < 10.0 * f64::EPSILON);
|
|
});
|
|
// base_position should be sum of all base quantities
|
|
assert_eq!(pos.base_position_lots, total_qty);
|
|
// Reverse out all the trades
|
|
trades.iter().for_each(|[qty, quote]| {
|
|
pos.record_trade(&mut market, -*qty, I80F48::from(-*quote));
|
|
});
|
|
assert_eq!(pos.base_position_lots, 0);
|
|
assert_eq!(pos.quote_running_native, 0);
|
|
assert_eq!(pos.avg_entry_price_per_base_lot, 0.0);
|
|
}
|
|
|
|
#[test]
|
|
fn test_perp_position_pnl_returns_correct_pnl_for_oracle_price() {
|
|
let mut market = test_perp_market(10.0);
|
|
market.base_lot_size = 10;
|
|
|
|
let long_pos = create_perp_position(&market, 50, 100);
|
|
let pnl = long_pos.unsettled_pnl(&market, I80F48::from(11)).unwrap();
|
|
assert_eq!(pnl, I80F48::from(50 * 10 * 1), "long profitable");
|
|
let pnl = long_pos.unsettled_pnl(&market, I80F48::from(9)).unwrap();
|
|
assert_eq!(pnl, I80F48::from(50 * 10 * -1), "long unprofitable");
|
|
|
|
let short_pos = create_perp_position(&market, -50, 100);
|
|
let pnl = short_pos.unsettled_pnl(&market, I80F48::from(11)).unwrap();
|
|
assert_eq!(pnl, I80F48::from(50 * 10 * -1), "short unprofitable");
|
|
let pnl = short_pos.unsettled_pnl(&market, I80F48::from(9)).unwrap();
|
|
assert_eq!(pnl, I80F48::from(50 * 10 * 1), "short profitable");
|
|
}
|
|
|
|
#[test]
|
|
fn test_perp_settle_limit_allowance_consumption() {
|
|
let market = test_perp_market(10.0);
|
|
|
|
let mut pos = create_perp_position(&market, 0, 0);
|
|
|
|
// setup some upnl so the recurring allowance isn't reduced immediately
|
|
pos.quote_position_native = I80F48::from(1100);
|
|
|
|
pos.recurring_settle_pnl_allowance = 1000;
|
|
pos.record_settle(I80F48::from(10), &market);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 1000);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 10);
|
|
|
|
pos.record_settle(I80F48::from(-2), &market);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 1000);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 8);
|
|
|
|
pos.record_settle(I80F48::from(492), &market);
|
|
assert_eq!(pos.recurring_settle_pnl_allowance, 600);
|
|
assert_eq!(
|
|
pos.settle_pnl_limit_settled_in_current_window_native,
|
|
8 + 492 - 400
|
|
);
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = 0;
|
|
pos.recurring_settle_pnl_allowance = 0;
|
|
pos.oneshot_settle_pnl_allowance = I80F48::from(4);
|
|
assert_eq!(pos.available_settle_limit(&market), (0, 4));
|
|
pos.record_settle(I80F48::from(-20), &market);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, -20);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(4));
|
|
assert_eq!(pos.available_settle_limit(&market), (0, 24));
|
|
|
|
pos.record_settle(I80F48::from(2), &market);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, -20);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(2));
|
|
assert_eq!(pos.available_settle_limit(&market), (0, 22));
|
|
|
|
pos.record_settle(I80F48::from(4), &market);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, -18);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(0));
|
|
assert_eq!(pos.available_settle_limit(&market), (0, 18));
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = 0;
|
|
pos.recurring_settle_pnl_allowance = 0;
|
|
pos.oneshot_settle_pnl_allowance = I80F48::from(-4);
|
|
assert_eq!(pos.available_settle_limit(&market), (-4, 0));
|
|
pos.record_settle(I80F48::from(20), &market);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 20);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(-4));
|
|
assert_eq!(pos.available_settle_limit(&market), (-24, 0));
|
|
|
|
pos.record_settle(I80F48::from(-2), &market);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 20);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(-2));
|
|
assert_eq!(pos.available_settle_limit(&market), (-22, 0));
|
|
|
|
pos.record_settle(I80F48::from(-4), &market);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 18);
|
|
assert_eq!(pos.oneshot_settle_pnl_allowance, I80F48::from(0));
|
|
assert_eq!(pos.available_settle_limit(&market), (-18, 0));
|
|
}
|
|
|
|
#[test]
|
|
fn test_perp_settle_limit_window() {
|
|
let mut market = PerpMarket::default_for_tests();
|
|
let mut pos = create_perp_position(&market, 100, -50);
|
|
|
|
market.settle_pnl_limit_window_size_ts = 100;
|
|
pos.settle_pnl_limit_settled_in_current_window_native = 10;
|
|
|
|
pos.update_settle_limit(&market, 505);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 0);
|
|
assert_eq!(pos.settle_pnl_limit_window, 5);
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = 10;
|
|
pos.update_settle_limit(&market, 550);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 10);
|
|
assert_eq!(pos.settle_pnl_limit_window, 5);
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = 10;
|
|
pos.update_settle_limit(&market, 600);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 0);
|
|
assert_eq!(pos.settle_pnl_limit_window, 6);
|
|
|
|
market.settle_pnl_limit_window_size_ts = 400;
|
|
pos.update_settle_limit(&market, 605);
|
|
assert_eq!(pos.settle_pnl_limit_settled_in_current_window_native, 0);
|
|
assert_eq!(pos.settle_pnl_limit_window, 1);
|
|
}
|
|
|
|
#[test]
|
|
fn test_perp_settle_limit() {
|
|
let mut market = test_perp_market(0.5);
|
|
|
|
let mut pos = create_perp_position(&market, 100, 1);
|
|
|
|
let limited_pnl = |pos: &PerpPosition, market: &PerpMarket, pnl: i64| {
|
|
pos.apply_pnl_settle_limit(market, I80F48::from(pnl))
|
|
.to_num::<f64>()
|
|
};
|
|
|
|
assert_eq!(pos.available_settle_limit(&market), (-10, 10)); // 0.2 factor * 0.5 stable price * 100 lots
|
|
assert_eq!(limited_pnl(&pos, &market, 100), 10.0);
|
|
assert_eq!(limited_pnl(&pos, &market, -100), -10.0);
|
|
|
|
pos.oneshot_settle_pnl_allowance = I80F48::from_num(-5);
|
|
assert_eq!(pos.available_settle_limit(&market), (-15, 10));
|
|
assert_eq!(limited_pnl(&pos, &market, 100), 10.0);
|
|
assert_eq!(limited_pnl(&pos, &market, -100), -15.0);
|
|
|
|
pos.oneshot_settle_pnl_allowance = I80F48::from_num(5);
|
|
assert_eq!(pos.available_settle_limit(&market), (-10, 15));
|
|
assert_eq!(limited_pnl(&pos, &market, 100), 15.0);
|
|
assert_eq!(limited_pnl(&pos, &market, -100), -10.0);
|
|
|
|
pos.recurring_settle_pnl_allowance = 11;
|
|
assert_eq!(pos.available_settle_limit(&market), (-21, 26));
|
|
assert_eq!(limited_pnl(&pos, &market, 100), 26.0);
|
|
assert_eq!(limited_pnl(&pos, &market, -100), -21.0);
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = 17;
|
|
assert_eq!(pos.available_settle_limit(&market), (-38, 9));
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = 27;
|
|
assert_eq!(pos.available_settle_limit(&market), (-48, 0));
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = -17;
|
|
assert_eq!(pos.available_settle_limit(&market), (-4, 43));
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = -27;
|
|
assert_eq!(pos.available_settle_limit(&market), (0, 53));
|
|
|
|
pos.settle_pnl_limit_settled_in_current_window_native = 0;
|
|
market.stable_price_model.stable_price = 1.0;
|
|
// because the upnl is 0 the recurring allowance doesn't count
|
|
assert_eq!(
|
|
pos.unsettled_pnl(&market, I80F48::from_num(1.0)).unwrap(),
|
|
I80F48::ZERO
|
|
);
|
|
assert_eq!(pos.available_settle_limit(&market), (-20, 25));
|
|
|
|
pos.quote_position_native += I80F48::from(7);
|
|
assert_eq!(pos.available_settle_limit(&market), (-27, 32));
|
|
}
|
|
}
|