program: add spot borrow insurance limits (#1080)

* program: add-spot-borrow-insurance-limits * add sdk functions * rename validate to validate_max_token_deposits_and_borrows * use smaller amount of spot market state * add tests * update sdk and use padding1 on spot account * formatting * CHANGELOG --------- Co-authored-by: Chris Heaney <[email protected]>
drift-labs · Jun 20, 2024 · 2cfed8f · 2cfed8f
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -9,6 +9,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Features
 
+- program: add spot borrow insurance limits ([#1080](https://github.com/drift-labs/protocol-v2/pull/1080))
 - program: maker can be rewarded filler returns when amm gets fill ([#1093](https://github.com/drift-labs/protocol-v2/pull/1093))
 - program: avoid overwriting 0 duration auction ([#1097](https://github.com/drift-labs/protocol-v2/pull/1097))
 - program: add pyth pull oracles ([#1067](https://github.com/drift-labs/protocol-v2/pull/1067))

diff --git a/programs/drift/src/controller/orders.rs b/programs/drift/src/controller/orders.rs
@@ -3675,7 +3675,7 @@ pub fn fill_spot_order(
 
     spot_market_map
         .get_ref(&order_market_index)?
-        .validate_max_token_deposits()?;
+        .validate_max_token_deposits_and_borrows()?;
 
     user.update_last_active_slot(slot);
 

diff --git a/programs/drift/src/controller/spot_balance/tests.rs b/programs/drift/src/controller/spot_balance/tests.rs
@@ -1671,3 +1671,141 @@ fn check_usdc_spot_market_twap() {
         966501
     );
 }
+
+#[test]
+fn check_spot_market_max_borrow_fraction() {
+    let _now = 30_i64;
+    let _slot = 0_u64;
+
+    let _oracle_price = get_pyth_price(1, 6);
+    let mut spot_market = SpotMarket {
+        market_index: 0,
+        oracle_source: OracleSource::QuoteAsset,
+        cumulative_deposit_interest: SPOT_CUMULATIVE_INTEREST_PRECISION,
+        cumulative_borrow_interest: SPOT_CUMULATIVE_INTEREST_PRECISION,
+        decimals: 6,
+        initial_asset_weight: SPOT_WEIGHT_PRECISION,
+        maintenance_asset_weight: SPOT_WEIGHT_PRECISION,
+        deposit_balance: 100_000_000 * SPOT_BALANCE_PRECISION, //$100M usdc
+        borrow_balance: 0,
+        deposit_token_twap: QUOTE_PRECISION_U64 / 2,
+        historical_oracle_data: HistoricalOracleData::default_quote_oracle(),
+        status: MarketStatus::Active,
+        min_borrow_rate: 0,
+        max_token_borrows_fraction: 1,
+        ..SpotMarket::default()
+    };
+
+    assert_eq!(
+        spot_market.get_deposits().unwrap(),
+        100_000_000 * QUOTE_PRECISION
+    );
+
+    assert!(spot_market
+        .validate_max_token_deposits_and_borrows()
+        .is_ok());
+
+    spot_market.borrow_balance = spot_market.deposit_balance;
+    assert!(spot_market
+        .validate_max_token_deposits_and_borrows()
+        .is_ok());
+
+    spot_market.max_token_deposits = (100_000_000 * QUOTE_PRECISION) as u64;
+
+    assert!(spot_market
+        .validate_max_token_deposits_and_borrows()
+        .is_err());
+    spot_market.borrow_balance = spot_market.deposit_balance / 100;
+    assert!(spot_market
+        .validate_max_token_deposits_and_borrows()
+        .is_err());
+
+    spot_market.borrow_balance = spot_market.deposit_balance / (10000 - 2); // just above 10000th
+    assert!(spot_market
+        .validate_max_token_deposits_and_borrows()
+        .is_err());
+
+    spot_market.borrow_balance = spot_market.deposit_balance / (10000); // exactly 10000th of deposit
+    assert!(spot_market
+        .validate_max_token_deposits_and_borrows()
+        .is_ok());
+
+    spot_market.borrow_balance = spot_market.deposit_balance / (10000 + 1); // < 10000th of deposit
+    assert!(spot_market
+        .validate_max_token_deposits_and_borrows()
+        .is_ok());
+
+    spot_market.borrow_balance = spot_market.deposit_balance / 100000; // 1/10th of 10000
+    assert!(spot_market
+        .validate_max_token_deposits_and_borrows()
+        .is_ok());
+}
+
+#[test]
+fn check_spot_market_min_borrow_rate() {
+    let now = 30_i64;
+    let _slot = 0_u64;
+
+    let _oracle_price = get_pyth_price(1, 6);
+    let mut spot_market = SpotMarket {
+        market_index: 0,
+        oracle_source: OracleSource::QuoteAsset,
+        cumulative_deposit_interest: SPOT_CUMULATIVE_INTEREST_PRECISION,
+        cumulative_borrow_interest: SPOT_CUMULATIVE_INTEREST_PRECISION,
+        decimals: 6,
+        initial_asset_weight: SPOT_WEIGHT_PRECISION,
+        maintenance_asset_weight: SPOT_WEIGHT_PRECISION,
+        deposit_balance: 100_000_000 * SPOT_BALANCE_PRECISION, //$100M usdc
+        borrow_balance: 0,
+        deposit_token_twap: QUOTE_PRECISION_U64 / 2,
+        historical_oracle_data: HistoricalOracleData::default_quote_oracle(),
+        status: MarketStatus::Active,
+        min_borrow_rate: 0,
+        ..SpotMarket::default()
+    };
+
+    assert_eq!(
+        spot_market.get_deposits().unwrap(),
+        100_000_000 * QUOTE_PRECISION
+    );
+
+    let accum_interest = calculate_accumulated_interest(&spot_market, now + 10000).unwrap();
+
+    assert_eq!(accum_interest.borrow_interest, 0);
+    assert_eq!(accum_interest.deposit_interest, 0);
+
+    spot_market.min_borrow_rate = 1; // .5%
+
+    let accum_interest = calculate_accumulated_interest(&spot_market, now + 10000).unwrap();
+
+    assert_eq!(accum_interest.borrow_interest, 0);
+    assert_eq!(accum_interest.deposit_interest, 0);
+
+    spot_market.min_borrow_rate = 1; // .5%
+    spot_market.borrow_balance = spot_market.deposit_balance / 100;
+    let accum_interest = calculate_accumulated_interest(&spot_market, now + 10000).unwrap();
+
+    assert_eq!(accum_interest.borrow_interest, 15903);
+    assert_eq!(accum_interest.deposit_interest, 159);
+
+    spot_market.min_borrow_rate = 10; // 5%
+    spot_market.borrow_balance = spot_market.deposit_balance / 100;
+    let accum_interest = calculate_accumulated_interest(&spot_market, now + 10000).unwrap();
+
+    assert_eq!(accum_interest.borrow_interest, 159025);
+    assert_eq!(accum_interest.deposit_interest, 1590);
+
+    spot_market.min_borrow_rate = 10; // 5%
+    spot_market.borrow_balance = spot_market.deposit_balance / 100;
+    let accum_interest = calculate_accumulated_interest(&spot_market, now + 1000000).unwrap();
+
+    assert_eq!(accum_interest.borrow_interest, 15855372);
+    assert_eq!(accum_interest.deposit_interest, 158553);
+
+    spot_market.min_borrow_rate = 200; // 100%
+    spot_market.borrow_balance = spot_market.deposit_balance / 100;
+    let accum_interest = calculate_accumulated_interest(&spot_market, now + 1000000).unwrap();
+
+    assert_eq!(accum_interest.borrow_interest, 317107433);
+    assert_eq!(accum_interest.deposit_interest, 3171074);
+}
diff --git a/programs/drift/src/error.rs b/programs/drift/src/error.rs
@@ -541,6 +541,8 @@ pub enum ErrorCode {
     OracleStaleForAMM,
     #[msg("Unable to parse pull oracle message")]
     UnableToParsePullOracleMessage,
+    #[msg("Can not borow more than max borrows")]
+    MaxBorrows,
 }
 
 #[macro_export]

diff --git a/programs/drift/src/instructions/admin.rs b/programs/drift/src/instructions/admin.rs
@@ -16,7 +16,7 @@ use crate::math::constants::{
     DEFAULT_LIQUIDATION_MARGIN_BUFFER_RATIO, FEE_POOL_TO_REVENUE_POOL_THRESHOLD,
     IF_FACTOR_PRECISION, INSURANCE_A_MAX, INSURANCE_B_MAX, INSURANCE_C_MAX,
     INSURANCE_SPECULATIVE_MAX, LIQUIDATION_FEE_PRECISION, MAX_CONCENTRATION_COEFFICIENT,
-    MAX_SQRT_K, MAX_UPDATE_K_PRICE_CHANGE, QUOTE_SPOT_MARKET_INDEX,
+    MAX_SQRT_K, MAX_UPDATE_K_PRICE_CHANGE, PERCENTAGE_PRECISION, QUOTE_SPOT_MARKET_INDEX,
     SPOT_CUMULATIVE_INTEREST_PRECISION, SPOT_IMF_PRECISION, SPOT_WEIGHT_PRECISION, THIRTEEN_DAY,
     TWENTY_FOUR_HOUR,
 };
@@ -128,7 +128,7 @@ pub fn handle_initialize_spot_market(
         return Err(ErrorCode::InvalidInsuranceFundAuthority.into());
     }
 
-    validate_borrow_rate(optimal_utilization, optimal_borrow_rate, max_borrow_rate)?;
+    validate_borrow_rate(optimal_utilization, optimal_borrow_rate, max_borrow_rate, 0)?;
 
     let spot_market_index = get_then_update_id!(state, number_of_spot_markets);
 
@@ -273,12 +273,13 @@ pub fn handle_initialize_spot_market(
         paused_operations: 0,
         if_paused_operations: 0,
         fee_adjustment: 0,
-        padding1: [0; 2],
+        max_token_borrows_fraction: 0,
         flash_loan_amount: 0,
         flash_loan_initial_token_amount: 0,
         total_swap_fee: 0,
         scale_initial_asset_weight_start,
-        padding: [0; 48],
+        min_borrow_rate: 0,
+        padding: [0; 47],
         insurance_fund: InsuranceFund {
             vault: *ctx.accounts.insurance_fund_vault.to_account_info().key,
             unstaking_period: THIRTEEN_DAY,
@@ -2296,9 +2297,18 @@ pub fn handle_update_spot_market_borrow_rate(
     optimal_utilization: u32,
     optimal_borrow_rate: u32,
     max_borrow_rate: u32,
+    min_borrow_rate: Option<u8>,
 ) -> Result<()> {
     let spot_market = &mut load_mut!(ctx.accounts.spot_market)?;
-    validate_borrow_rate(optimal_utilization, optimal_borrow_rate, max_borrow_rate)?;
+    validate_borrow_rate(
+        optimal_utilization,
+        optimal_borrow_rate,
+        max_borrow_rate,
+        min_borrow_rate
+            .unwrap_or(spot_market.min_borrow_rate)
+            .cast::<u32>()?
+            * ((PERCENTAGE_PRECISION / 200) as u32),
+    )?;
 
     msg!(
         "spot_market.optimal_utilization: {:?} -> {:?}",
@@ -2321,6 +2331,16 @@ pub fn handle_update_spot_market_borrow_rate(
     spot_market.optimal_utilization = optimal_utilization;
     spot_market.optimal_borrow_rate = optimal_borrow_rate;
     spot_market.max_borrow_rate = max_borrow_rate;
+
+    if let Some(min_borrow_rate) = min_borrow_rate {
+        msg!(
+            "spot_market.min_borrow_rate: {:?} -> {:?}",
+            spot_market.min_borrow_rate,
+            min_borrow_rate
+        );
+        spot_market.min_borrow_rate = min_borrow_rate
+    }
+
     Ok(())
 }
 
@@ -2343,6 +2363,39 @@ pub fn handle_update_spot_market_max_token_deposits(
     Ok(())
 }
 
+#[access_control(
+    spot_market_valid(&ctx.accounts.spot_market)
+)]
+pub fn handle_update_spot_market_max_token_borrows(
+    ctx: Context<AdminUpdateSpotMarket>,
+    max_token_borrows_fraction: u16,
+) -> Result<()> {
+    let spot_market = &mut load_mut!(ctx.accounts.spot_market)?;
+
+    msg!(
+        "spot_market.max_token_borrows_fraction: {:?} -> {:?}",
+        spot_market.max_token_borrows_fraction,
+        max_token_borrows_fraction
+    );
+
+    let current_spot_tokens_borrows: u64 = spot_market.get_borrows()?.cast()?;
+    let new_max_token_borrows = spot_market
+        .max_token_deposits
+        .safe_mul(max_token_borrows_fraction.cast()?)?
+        .safe_div(10000)?;
+
+    validate!(
+        current_spot_tokens_borrows <= new_max_token_borrows,
+        ErrorCode::InvalidSpotMarketInitialization,
+        "spot borrows {} > max_token_borrows {}",
+        current_spot_tokens_borrows,
+        max_token_borrows_fraction
+    )?;
+
+    spot_market.max_token_borrows_fraction = max_token_borrows_fraction;
+    Ok(())
+}
+
 #[access_control(
 spot_market_valid(&ctx.accounts.spot_market)
 )]

diff --git a/programs/drift/src/instructions/user.rs b/programs/drift/src/instructions/user.rs
@@ -408,7 +408,7 @@ pub fn handle_deposit<'c: 'info, 'info>(
     };
     emit!(deposit_record);
 
-    spot_market.validate_max_token_deposits()?;
+    spot_market.validate_max_token_deposits_and_borrows()?;
 
     Ok(())
 }
@@ -2003,7 +2003,7 @@ pub fn handle_deposit_into_spot_market_revenue_pool(
         amount,
     )?;
 
-    spot_market.validate_max_token_deposits()?;
+    spot_market.validate_max_token_deposits_and_borrows()?;
     ctx.accounts.spot_market_vault.reload()?;
     math::spot_withdraw::validate_spot_market_vault_amount(
         &spot_market,
@@ -2873,7 +2873,7 @@ pub fn handle_end_swap<'c: 'info, 'info>(
     out_spot_market.flash_loan_initial_token_amount = 0;
     out_spot_market.flash_loan_amount = 0;
 
-    out_spot_market.validate_max_token_deposits()?;
+    out_spot_market.validate_max_token_deposits_and_borrows()?;
 
     let in_strict_price = StrictOraclePrice::new(
         in_oracle_price,

diff --git a/programs/drift/src/lib.rs b/programs/drift/src/lib.rs
@@ -919,12 +919,14 @@ pub mod drift {
         optimal_utilization: u32,
         optimal_borrow_rate: u32,
         max_borrow_rate: u32,
+        min_borrow_rate: Option<u8>,
     ) -> Result<()> {
         handle_update_spot_market_borrow_rate(
             ctx,
             optimal_utilization,
             optimal_borrow_rate,
             max_borrow_rate,
+            min_borrow_rate,
         )
     }
 

diff --git a/programs/drift/src/math/spot_balance.rs b/programs/drift/src/math/spot_balance.rs
@@ -158,7 +158,8 @@ pub fn calculate_accumulated_interest(
         utilization
             .safe_mul(borrow_rate_slope)?
             .safe_div(SPOT_UTILIZATION_PRECISION)?
-    };
+    }
+    .max(spot_market.get_min_borrow_rate()?.cast()?);
 
     let time_since_last_update = now
         .cast::<u64>()