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[chore] Move perpetuals/keeper helper functions to perpetuals/lib
#1678
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,106 @@ | ||
| package lib | ||
|
|
||
| import ( | ||
| "math/big" | ||
|
|
||
| "github.com/dydxprotocol/v4-chain/protocol/lib" | ||
| "github.com/dydxprotocol/v4-chain/protocol/x/perpetuals/types" | ||
| pricestypes "github.com/dydxprotocol/v4-chain/protocol/x/prices/types" | ||
| ) | ||
|
|
||
| // GetSettlementPpm returns the net settlement amount ppm (in quote quantums) given | ||
| // the perpetual and position size (in base quantums). | ||
| func GetSettlementPpmWithPerpetual( | ||
| perpetual types.Perpetual, | ||
| quantums *big.Int, | ||
| index *big.Int, | ||
| ) ( | ||
| bigNetSettlementPpm *big.Int, | ||
| newFundingIndex *big.Int, | ||
| ) { | ||
| indexDelta := new(big.Int).Sub(perpetual.FundingIndex.BigInt(), index) | ||
|
|
||
| // if indexDelta is zero, then net settlement is zero. | ||
| if indexDelta.Sign() == 0 { | ||
| return big.NewInt(0), perpetual.FundingIndex.BigInt() | ||
| } | ||
|
|
||
| bigNetSettlementPpm = new(big.Int).Mul(indexDelta, quantums) | ||
|
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| // `bigNetSettlementPpm` carries sign. `indexDelta` is the increase in `fundingIndex`, so if | ||
| // the position is long (positive), the net settlement should be short (negative), and vice versa. | ||
| // Thus, always negate `bigNetSettlementPpm` here. | ||
| bigNetSettlementPpm = bigNetSettlementPpm.Neg(bigNetSettlementPpm) | ||
|
|
||
| return bigNetSettlementPpm, perpetual.FundingIndex.BigInt() | ||
| } | ||
|
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||
| // GetNetNotionalInQuoteQuantums returns the net notional in quote quantums, which can be | ||
| // represented by the following equation: | ||
| // | ||
| // `quantums / 10^baseAtomicResolution * marketPrice * 10^marketExponent * 10^quoteAtomicResolution`. | ||
| // Note that longs are positive, and shorts are negative. | ||
| func GetNetNotionalInQuoteQuantums( | ||
| perpetual types.Perpetual, | ||
| marketPrice pricestypes.MarketPrice, | ||
| bigQuantums *big.Int, | ||
| ) ( | ||
| bigNetNotionalQuoteQuantums *big.Int, | ||
| ) { | ||
| bigQuoteQuantums := lib.BaseToQuoteQuantums( | ||
| bigQuantums, | ||
| perpetual.Params.AtomicResolution, | ||
| marketPrice.Price, | ||
| marketPrice.Exponent, | ||
| ) | ||
|
|
||
| return bigQuoteQuantums | ||
| } | ||
|
|
||
| // GetMarginRequirementsInQuoteQuantums returns initial and maintenance margin requirements | ||
| // in quote quantums, given the position size in base quantums. | ||
| func GetMarginRequirementsInQuoteQuantums( | ||
| perpetual types.Perpetual, | ||
| marketPrice pricestypes.MarketPrice, | ||
| liquidityTier types.LiquidityTier, | ||
| bigQuantums *big.Int, | ||
| ) ( | ||
| bigInitialMarginQuoteQuantums *big.Int, | ||
| bigMaintenanceMarginQuoteQuantums *big.Int, | ||
| ) { | ||
| // Always consider the magnitude of the position regardless of whether it is long/short. | ||
| bigAbsQuantums := new(big.Int).Abs(bigQuantums) | ||
|
|
||
| // Calculate the notional value of the position in quote quantums. | ||
| bigQuoteQuantums := lib.BaseToQuoteQuantums( | ||
| bigAbsQuantums, | ||
| perpetual.Params.AtomicResolution, | ||
| marketPrice.Price, | ||
| marketPrice.Exponent, | ||
| ) | ||
| // Calculate the perpetual's open interest in quote quantums. | ||
| openInterestQuoteQuantums := lib.BaseToQuoteQuantums( | ||
| perpetual.OpenInterest.BigInt(), // OpenInterest is represented as base quantums. | ||
| perpetual.Params.AtomicResolution, | ||
| marketPrice.Price, | ||
| marketPrice.Exponent, | ||
| ) | ||
|
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| // Initial margin requirement quote quantums = size in quote quantums * initial margin PPM. | ||
| bigBaseInitialMarginQuoteQuantums := liquidityTier.GetInitialMarginQuoteQuantums( | ||
| bigQuoteQuantums, | ||
| big.NewInt(0), // pass in 0 as open interest to get base IMR. | ||
| ) | ||
| // Maintenance margin requirement quote quantums = IM in quote quantums * maintenance fraction PPM. | ||
| bigMaintenanceMarginQuoteQuantums = lib.BigMulPpm( | ||
| bigBaseInitialMarginQuoteQuantums, | ||
| lib.BigU(liquidityTier.MaintenanceFractionPpm), | ||
| true, | ||
| ) | ||
|
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||
| bigInitialMarginQuoteQuantums = liquidityTier.GetInitialMarginQuoteQuantums( | ||
| bigQuoteQuantums, | ||
| openInterestQuoteQuantums, // pass in current OI to get scaled IMR. | ||
| ) | ||
| return bigInitialMarginQuoteQuantums, bigMaintenanceMarginQuoteQuantums | ||
| } | ||
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The
GetMarginRequirementsInQuoteQuantumsfunction is comprehensive and handles both initial and maintenance margin calculations. It correctly considers the absolute value of quantums to ensure that the direction of the position does not affect the margin requirements. The use of helper functions likeBaseToQuoteQuantumsandBigMulPpmhelps maintain modularity and reusability. However, consider adding more comments to explain the logic, especially around the calculations involving open interest caps.Consider adding detailed comments to explain the logic behind the calculations, especially how the open interest affects the margin requirements.