program: scale initial asset weight for spot markets based on total d…

…eposits (#575)

* initial logic to scale initial weight

* add cargo test

* add initial sdk logic

* tweak field comments

* program: add twap to initial asset weight calc

* inital work for worst case to account for free collateral contribution

* add strict oracle price

* tests work

* used cache values from calc worst case token amounts

* rm comment

* use free collateral contribution in place_spot_order

* use strict quote in calculate_perp_position_value_and_pnl

* remove w bounds from pnl calc

* expand worst case tests

* test the twap logic in worst case calc

* some simplifications

* add some tests for scaled asset weight using twap

* make calc max spot order size work

* tweak place_spot_order on how it checks if spot order is risk decreasing

* always do margin check in place order

* log margin type in meets_place_order_margin_requirement

* fix a bug

* better logic for deciding if trigger order is risk increasing

* sdk: rework calculateWorstCaseTokenAmounts

* place order params keep track of risk increasing

* tweaks

* tweak some tests

* add some comments

* tweak some tests

* calculate_max_withdrawable_amount use spot_market.get_asset_weight

* fix ts tests

* get_asset_weight just takes oracle price

* calculateAssetWeight doesn't look at twap

* add strictOraclePrice

* add strictOraclePrice

* add some sdk tests for worst case token amount calc

* add is riskier logic to OrderFillSimulation

* tweak to sdk

* add admin function to update scaleInitialAssetWeightStart

* CHANGELOG

CHANGELOG.md

@@ -12,6 +12,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - sdk: updated anchor to 0.28.1-beta.2
 - sdk: add priorityFeeSubscriber
 - program: allow up to 12500 users
+- program: scale initial asset weight for spot markets based on total deposits ([#575](https://github.com/drift-labs/protocol-v2/pull/575))
 
 ### Fixes
 

programs/drift/src/controller/liquidation/tests.rs

@@ -1815,8 +1815,8 @@ pub mod liquidate_spot {
         calculate_margin_requirement_and_total_collateral, MarginRequirementType,
     };
     use crate::math::spot_balance::{get_strict_token_value, get_token_amount, get_token_value};
-    use crate::state::oracle::HistoricalOracleData;
     use crate::state::oracle::OracleSource;
+    use crate::state::oracle::{HistoricalOracleData, StrictOraclePrice};
     use crate::state::oracle_map::OracleMap;
     use crate::state::perp_market_map::PerpMarketMap;
     use crate::state::spot_market::{SpotBalanceType, SpotMarket};
@@ -2267,27 +2267,26 @@ pub mod liquidate_spot {
         let token_value =
             get_token_value(token_amount as i128, 6, oracle_price_data.price).unwrap();
 
-        let strict_token_value_1 = get_strict_token_value(
-            token_amount as i128,
-            6,
-            oracle_price_data,
-            oracle_price_data.price / 10,
-        )
-        .unwrap();
-        let strict_token_value_2 = get_strict_token_value(
-            token_amount as i128,
-            6,
-            oracle_price_data,
-            oracle_price_data.price * 2,
-        )
-        .unwrap();
-        let strict_token_value_3 = get_strict_token_value(
-            -(token_amount as i128),
-            6,
-            oracle_price_data,
-            oracle_price_data.price * 2,
-        )
-        .unwrap();
+        let strict_price_1 = StrictOraclePrice {
+            current: oracle_price_data.price,
+            twap_5min: Some(oracle_price_data.price / 10),
+        };
+        let strict_token_value_1 =
+            get_strict_token_value(token_amount as i128, 6, &strict_price_1).unwrap();
+
+        let strict_price_2 = StrictOraclePrice {
+            current: oracle_price_data.price,
+            twap_5min: Some(oracle_price_data.price * 2),
+        };
+        let strict_token_value_2 =
+            get_strict_token_value(token_amount as i128, 6, &strict_price_2).unwrap();
+
+        let strict_price_3 = StrictOraclePrice {
+            current: oracle_price_data.price,
+            twap_5min: Some(oracle_price_data.price * 2),
+        };
+        let strict_token_value_3 =
+            get_strict_token_value(-(token_amount as i128), 6, &strict_price_3).unwrap();
 
         assert_eq!(token_amount, 406769);
         assert_eq!(token_value, 40676900);

programs/drift/src/controller/lp/tests.rs

@@ -19,8 +19,8 @@ use crate::math::margin::{
     calculate_margin_requirement_and_total_collateral, calculate_perp_position_value_and_pnl,
     meets_maintenance_margin_requirement, MarginRequirementType,
 };
-use crate::state::oracle::OraclePriceData;
 use crate::state::oracle::{HistoricalOracleData, OracleSource};
+use crate::state::oracle::{OraclePriceData, StrictOraclePrice};
 use crate::state::oracle_map::OracleMap;
 use crate::state::perp_market::{MarketStatus, PerpMarket, PoolBalance};
 use crate::state::perp_market_map::PerpMarketMap;
@@ -722,18 +722,16 @@ fn test_lp_margin_calc() {
     assert_eq!(sim_user_pos.quote_asset_amount, -20000000000);
     assert_eq!(sim_user_pos.last_cumulative_funding_rate, 16900000000);
 
+    let strict_quote_price = StrictOraclePrice::test(1000000);
     // ensure margin calc doesnt incorrectly count funding rate (funding pnl MUST come before settling lp)
     let (margin_requirement, weighted_unrealized_pnl, worse_case_base_asset_value) =
         calculate_perp_position_value_and_pnl(
             &user.perp_positions[0],
             &market,
             &oracle_price_data,
-            1000000,
-            1000000,
+            &strict_quote_price,
             crate::math::margin::MarginRequirementType::Initial,
             0,
-            false,
-            false,
         )
         .unwrap();