623 lines
18 KiB
Rust
623 lines
18 KiB
Rust
use super::*;
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#[tokio::test]
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async fn test_liq_perps_base_and_bankruptcy() -> Result<(), TransportError> {
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let mut test_builder = TestContextBuilder::new();
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test_builder.test().set_compute_max_units(150_000); // PerpLiqBaseOrPositivePnl 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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// fund the insurance vault
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let insurance_vault_funding = 100;
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{
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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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insurance_vault_funding,
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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];
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let settle_token = &tokens[1];
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let base_token = &tokens[2];
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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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let settler =
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create_funded_account(&solana, group, owner, 251, &context.users[1], &[], 0, 0).await;
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let settler_owner = owner.clone();
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//
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// TEST: Create a perp market
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//
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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: 0,
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settle_token_index: 1,
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quote_lot_size: 10,
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base_lot_size: 100,
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maint_base_asset_weight: 0.7,
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init_base_asset_weight: 0.6,
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maint_base_liab_weight: 1.3,
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init_base_liab_weight: 1.4,
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base_liquidation_fee: 0.03,
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platform_liquidation_fee: 0.02,
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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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settle_pnl_limit_factor: 0.2,
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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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let price_lots = {
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let perp_market = solana.get_account::<PerpMarket>(perp_market).await;
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perp_market.native_price_to_lot(I80F48::ONE)
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};
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//
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// SETUP: Make an two accounts and deposit some quote
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//
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let context_ref = &context;
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let make_account = |idx: u32| async move {
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let deposit_amount = 1330;
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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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idx,
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&context_ref.users[1],
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&mints[0..1],
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deposit_amount,
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0,
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)
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.await;
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account
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};
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let account_0 = make_account(0).await;
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let account_1 = make_account(1).await;
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//
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// SETUP: Trade perps between accounts
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//
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send_tx(
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solana,
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PerpPlaceOrderInstruction {
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account: account_0,
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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: 20,
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..PerpPlaceOrderInstruction::default()
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},
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)
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.await
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.unwrap();
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send_tx(
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solana,
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PerpPlaceOrderInstruction {
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account: account_1,
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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: 20,
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..PerpPlaceOrderInstruction::default()
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},
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)
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.await
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.unwrap();
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send_tx(
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solana,
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PerpConsumeEventsInstruction {
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perp_market,
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mango_accounts: vec![account_0, account_1],
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},
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)
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.await
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.unwrap();
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// health was 1000 before;
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// after this order exchange it is changed by
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// 20*100*(0.6-1)*1.4 = -1120 for the long account0
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// 20*100*(1-1.4)*1.4 = -1120 for the short account1
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// (100 is base lot size)
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assert_eq!(
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account_init_health(solana, account_0).await.round(),
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1330.0 - 1120.0
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);
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assert_eq!(
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account_init_health(solana, account_1).await.round(),
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1330.0 - 1120.0
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);
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//
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// SETUP: Change the oracle to make health go negative for account_0
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// perp base health contrib decreases from 2000 * 0.6 * 1.4 to 2000 * 0.6 * 0.6 * 1.4, i.e. -672
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//
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set_bank_stub_oracle_price(solana, group, base_token, admin, 0.6).await;
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assert_eq!(
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account_init_health(solana, account_0).await.round(),
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210.0 - 672.0
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);
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//
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// TEST: Liquidate base position with limit
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//
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let perp_market_before = solana.get_account::<PerpMarket>(perp_market).await;
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send_tx(
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solana,
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PerpLiqBaseOrPositivePnlInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account_0,
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perp_market,
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max_base_transfer: 10,
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max_pnl_transfer: 0,
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},
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)
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.await
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.unwrap();
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let perp_market_after = solana.get_account::<PerpMarket>(perp_market).await;
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let liqor_amount = 10.0 * 100.0 * 0.6 * (1.0 - 0.03);
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let liqee_amount = 10.0 * 100.0 * 0.6 * (1.0 - 0.05);
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let liqor_data = solana.get_account::<MangoAccount>(liqor).await;
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assert_eq!(liqor_data.perps[0].base_position_lots(), 10);
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assert_eq_fixed_f64!(
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liqor_data.perps[0].quote_position_native(),
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-liqor_amount,
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0.1
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);
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let liqee_data = solana.get_account::<MangoAccount>(account_0).await;
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assert_eq!(liqee_data.perps[0].base_position_lots(), 10);
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assert_eq_fixed_f64!(
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liqee_data.perps[0].quote_position_native(),
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-20.0 * 100.0 + liqee_amount,
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0.1
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);
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assert_eq_fixed_f64!(
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liqee_data.perps[0].realized_pnl_for_position_native,
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liqee_amount - 1000.0,
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0.1
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);
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// stable price is 1.0, so 0.2 * 1000
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assert_eq!(liqee_data.perps[0].recurring_settle_pnl_allowance, 201);
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assert_eq_fixed_f64!(
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perp_market_after.fees_accrued - perp_market_before.fees_accrued,
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liqor_amount - liqee_amount,
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0.1,
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);
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assert_eq_fixed_f64!(
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perp_market_after.accrued_liquidation_fees - perp_market_before.accrued_liquidation_fees,
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liqor_amount - liqee_amount,
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0.1,
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);
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//
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// TEST: Liquidate base position max
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//
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send_tx(
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solana,
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PerpLiqBaseOrPositivePnlInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account_0,
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perp_market,
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max_base_transfer: i64::MAX,
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max_pnl_transfer: 0,
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},
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)
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.await
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.unwrap();
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let liqor_amount_2 = 6.0 * 100.0 * 0.6 * (1.0 - 0.03);
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let liqee_amount_2 = 6.0 * 100.0 * 0.6 * (1.0 - 0.05);
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let liqor_data = solana.get_account::<MangoAccount>(liqor).await;
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assert_eq!(liqor_data.perps[0].base_position_lots(), 10 + 6);
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assert_eq_fixed_f64!(
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liqor_data.perps[0].quote_position_native(),
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-liqor_amount - liqor_amount_2,
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0.1
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);
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let liqee_data = solana.get_account::<MangoAccount>(account_0).await;
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assert_eq!(liqee_data.perps[0].base_position_lots(), 4);
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assert_eq_fixed_f64!(
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liqee_data.perps[0].quote_position_native(),
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-20.0 * 100.0 + liqee_amount + liqee_amount_2,
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0.1
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);
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// verify health is good again
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send_tx(
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solana,
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TokenWithdrawInstruction {
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amount: 1,
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allow_borrow: false,
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account: account_0,
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owner,
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token_account: payer_mint_accounts[0],
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bank_index: 0,
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},
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)
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.await
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.unwrap();
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//
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// SETUP: Change the oracle to make health go negative for account_1
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//
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set_bank_stub_oracle_price(solana, group, base_token, admin, 1.32).await;
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// verify health is bad: can't withdraw
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assert!(send_tx(
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solana,
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TokenWithdrawInstruction {
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amount: 1,
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allow_borrow: false,
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account: account_1,
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owner,
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token_account: payer_mint_accounts[0],
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bank_index: 0,
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}
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)
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.await
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.is_err());
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//
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// TEST: Liquidate base position
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//
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let perp_market_before = solana.get_account::<PerpMarket>(perp_market).await;
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send_tx(
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solana,
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PerpLiqBaseOrPositivePnlInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account_1,
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perp_market,
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max_base_transfer: -10,
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max_pnl_transfer: 0,
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},
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)
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.await
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.unwrap();
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let perp_market_after = solana.get_account::<PerpMarket>(perp_market).await;
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let liqor_amount_3 = 10.0 * 100.0 * 1.32 * (1.0 + 0.03);
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let liqee_amount_3 = 10.0 * 100.0 * 1.32 * (1.0 + 0.05);
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let liqor_data = solana.get_account::<MangoAccount>(liqor).await;
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assert_eq!(liqor_data.perps[0].base_position_lots(), 16 - 10);
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assert_eq_fixed_f64!(
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liqor_data.perps[0].quote_position_native(),
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-liqor_amount - liqor_amount_2 + liqor_amount_3,
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0.1
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);
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let liqee_data = solana.get_account::<MangoAccount>(account_1).await;
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assert_eq!(liqee_data.perps[0].base_position_lots(), -10);
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assert_eq_fixed_f64!(
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liqee_data.perps[0].quote_position_native(),
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20.0 * 100.0 - liqee_amount_3,
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0.1
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);
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assert_eq_fixed_f64!(
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perp_market_after.fees_accrued - perp_market_before.fees_accrued,
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liqee_amount_3 - liqor_amount_3,
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0.1,
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);
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assert_eq_fixed_f64!(
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perp_market_after.accrued_liquidation_fees - perp_market_before.accrued_liquidation_fees,
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liqee_amount_3 - liqor_amount_3,
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0.1,
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);
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//
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// TEST: Liquidate base position max
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//
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send_tx(
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solana,
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PerpLiqBaseOrPositivePnlInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account_1,
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perp_market,
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max_base_transfer: i64::MIN,
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max_pnl_transfer: 0,
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},
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)
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.await
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.unwrap();
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let liqor_amount_4 = 7.0 * 100.0 * 1.32 * (1.0 + 0.03);
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let liqee_amount_4 = 7.0 * 100.0 * 1.32 * (1.0 + 0.05);
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let liqor_data = solana.get_account::<MangoAccount>(liqor).await;
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assert_eq!(liqor_data.perps[0].base_position_lots(), 6 - 7);
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assert_eq_fixed_f64!(
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liqor_data.perps[0].quote_position_native(),
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-liqor_amount - liqor_amount_2 + liqor_amount_3 + liqor_amount_4,
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0.1
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);
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let liqee_data = solana.get_account::<MangoAccount>(account_1).await;
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assert_eq!(liqee_data.perps[0].base_position_lots(), -3);
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assert_eq_fixed_f64!(
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liqee_data.perps[0].quote_position_native(),
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20.0 * 100.0 - liqee_amount_3 - liqee_amount_4,
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0.1
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);
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// verify health is good again
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send_tx(
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solana,
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TokenWithdrawInstruction {
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amount: 1,
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allow_borrow: false,
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account: account_1,
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owner,
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token_account: payer_mint_accounts[0],
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bank_index: 0,
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},
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)
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.await
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.unwrap();
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|
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//
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// SETUP: liquidate base position to 0, so bankruptcy can be tested
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//
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let perp_oracle_price = 2.0;
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set_bank_stub_oracle_price(solana, group, base_token, admin, perp_oracle_price).await;
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|
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//
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// TEST: Liquidate base position max
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//
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send_tx(
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solana,
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PerpLiqBaseOrPositivePnlInstruction {
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liqor,
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liqor_owner: owner,
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liqee: account_1,
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perp_market,
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max_base_transfer: i64::MIN,
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max_pnl_transfer: 0,
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},
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)
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.await
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.unwrap();
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let liqor_amount_5 = 3.0 * 100.0 * 2.0 * (1.0 + 0.03);
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let liqee_amount_5 = 3.0 * 100.0 * 2.0 * (1.0 + 0.05);
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let liqor_data = solana.get_account::<MangoAccount>(liqor).await;
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assert_eq!(liqor_data.perps[0].base_position_lots(), -1 - 3);
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assert_eq_fixed_f64!(
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liqor_data.perps[0].quote_position_native(),
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-liqor_amount - liqor_amount_2 + liqor_amount_3 + liqor_amount_4 + liqor_amount_5,
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0.1
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);
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let liqee_data = solana.get_account::<MangoAccount>(account_1).await;
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assert_eq!(liqee_data.perps[0].base_position_lots(), 0);
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assert_eq_fixed_f64!(
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liqee_data.perps[0].quote_position_native(),
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20.0 * 100.0 - liqee_amount_3 - liqee_amount_4 - liqee_amount_5,
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0.1
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);
|
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|
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//
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// TEST: Can settle-pnl even though health is negative
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//
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|
let liqor_data = solana.get_account::<MangoAccount>(liqor).await;
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let perp_market_data = solana.get_account::<PerpMarket>(perp_market).await;
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let liqor_max_settle = liqor_data.perps[0]
|
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.available_settle_limit(&perp_market_data)
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.1;
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send_tx(
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solana,
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PerpSettlePnlInstruction {
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settler,
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settler_owner,
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account_a: liqor,
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account_b: account_1,
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perp_market,
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},
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)
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.await
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.unwrap();
|
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|
|
let liqee_quote_deposits_before: f64 = 1329.0;
|
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// the liqor's settle limit means we can't settle everything
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|
let settle_amount = liqee_quote_deposits_before.min(liqor_max_settle as f64);
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let remaining_pnl =
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20.0 * 100.0 - liqee_amount_3 - liqee_amount_4 - liqee_amount_5 + settle_amount;
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assert!(remaining_pnl < 0.0);
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let liqee_data = solana.get_account::<MangoAccount>(account_1).await;
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assert_eq!(liqee_data.perps[0].base_position_lots(), 0);
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assert_eq_fixed_f64!(
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liqee_data.perps[0].quote_position_native(),
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remaining_pnl,
|
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0.1
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);
|
|
assert_eq!(
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account_position(solana, account_1, quote_token.bank).await,
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|
liqee_quote_deposits_before as i64
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);
|
|
assert_eq!(
|
|
account_position(solana, account_1, settle_token.bank).await,
|
|
-settle_amount as i64
|
|
);
|
|
|
|
//
|
|
// SETUP: Leave the account with a small positive quote pos and a bigger negative perp health
|
|
//
|
|
|
|
set_bank_stub_oracle_price(solana, group, quote_token, admin, 10.0).await;
|
|
|
|
// clear the negative settle token position, to avoid the liquidatable token position
|
|
send_tx(
|
|
solana,
|
|
TokenDepositInstruction {
|
|
amount: u64::MAX,
|
|
reduce_only: true,
|
|
account: account_1,
|
|
owner,
|
|
token_authority: payer,
|
|
token_account: payer_mint_accounts[1],
|
|
bank_index: 0,
|
|
},
|
|
)
|
|
.await
|
|
.unwrap();
|
|
|
|
// reduce the quote position so we still are liquidatable
|
|
send_tx(
|
|
solana,
|
|
TokenWithdrawInstruction {
|
|
amount: liqee_quote_deposits_before as u64 - 200,
|
|
allow_borrow: false,
|
|
account: account_1,
|
|
owner,
|
|
token_account: payer_mint_accounts[0],
|
|
bank_index: 0,
|
|
},
|
|
)
|
|
.await
|
|
.unwrap();
|
|
|
|
set_bank_stub_oracle_price(solana, group, quote_token, admin, 1.0).await;
|
|
|
|
//
|
|
// TEST: Can liquidate/bankruptcy away remaining negative pnl
|
|
//
|
|
let account0_before = solana.get_account::<MangoAccount>(account_0).await;
|
|
let liqee_before = solana.get_account::<MangoAccount>(account_1).await;
|
|
let liqor_before = solana.get_account::<MangoAccount>(liqor).await;
|
|
let liqee_settle_limit_before = liqee_before.perps[0]
|
|
.available_settle_limit(&perp_market_data)
|
|
.0;
|
|
send_tx(
|
|
solana,
|
|
PerpLiqNegativePnlOrBankruptcyInstruction {
|
|
liqor,
|
|
liqor_owner: owner,
|
|
liqee: account_1,
|
|
perp_market,
|
|
max_liab_transfer: u64::MAX,
|
|
},
|
|
)
|
|
.await
|
|
.unwrap();
|
|
let liqee_after = solana.get_account::<MangoAccount>(account_1).await;
|
|
let liqor_data = solana.get_account::<MangoAccount>(liqor).await;
|
|
let quote_bank = solana.get_account::<Bank>(quote_token.bank).await;
|
|
let settle_bank = solana.get_account::<Bank>(settle_token.bank).await;
|
|
|
|
// the amount of perp quote transfered
|
|
let liq_perp_quote_amount =
|
|
(insurance_vault_funding as f64) / 1.03 + (-liqee_settle_limit_before) as f64;
|
|
|
|
// insurance fund was depleted and the liqor received it
|
|
assert_eq!(solana.token_account_balance(insurance_vault).await, 0);
|
|
assert_eq_fixed_f64!(
|
|
liqor_data.tokens[0].native("e_bank),
|
|
liqor_before.tokens[0].native("e_bank).to_num::<f64>() + insurance_vault_funding as f64,
|
|
0.1
|
|
);
|
|
assert_eq_fixed_f64!(
|
|
liqor_data.tokens[1].native(&settle_bank),
|
|
liqor_before.tokens[1].native(&settle_bank).to_num::<f64>()
|
|
- liqee_settle_limit_before as f64,
|
|
0.1
|
|
);
|
|
|
|
// liqor took over the max possible negative pnl
|
|
assert_eq_fixed_f64!(
|
|
liqor_data.perps[0].quote_position_native(),
|
|
liqor_before.perps[0]
|
|
.quote_position_native()
|
|
.to_num::<f64>()
|
|
- liq_perp_quote_amount,
|
|
0.1
|
|
);
|
|
|
|
// liqee exited liquidation
|
|
assert!(account_init_health(solana, account_1).await >= 0.0);
|
|
assert_eq!(liqee_after.being_liquidated, 0);
|
|
|
|
// the remainder got socialized via funding payments
|
|
let perp_market = solana.get_account::<PerpMarket>(perp_market).await;
|
|
let pnl_before = liqee_before.perps[0]
|
|
.unsettled_pnl(&perp_market, I80F48::from_num(perp_oracle_price))
|
|
.unwrap();
|
|
let pnl_after = liqee_after.perps[0]
|
|
.unsettled_pnl(&perp_market, I80F48::from_num(perp_oracle_price))
|
|
.unwrap();
|
|
let socialized_amount = (pnl_after - pnl_before).to_num::<f64>() - liq_perp_quote_amount;
|
|
let open_interest = 2 * liqor_data.perps[0].base_position_lots.abs();
|
|
assert_eq_fixed_f64!(
|
|
perp_market.long_funding,
|
|
socialized_amount / open_interest as f64,
|
|
0.1
|
|
);
|
|
assert_eq_fixed_f64!(
|
|
perp_market.short_funding,
|
|
-socialized_amount / open_interest as f64,
|
|
0.1
|
|
);
|
|
assert_eq_fixed_f64!(
|
|
account0_before.perps[0].unsettled_funding(&perp_market),
|
|
socialized_amount / 2.0,
|
|
0.1
|
|
);
|
|
|
|
Ok(())
|
|
}
|