sdk: contract tier funding rate clamp (#785)

* bigz/sdk-contract-tier-funding-rate-clamp * add sdk test * tweak * CHANGELOG --------- Co-authored-by: Chris Heaney <[email protected]>
drift-labs · Jan 5, 2024 · 7396049 · 7396049
1 parent 2863b8b
commit 7396049
Show file tree

Hide file tree

Showing 3 changed files with 180 additions and 3 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -14,7 +14,8 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Fixes
 
-- ts-sd: fix oracle is valid ([#806](https://github.com/drift-labs/protocol-v2/pull/806))
+- ts-sdk: contract tier funding rate clamp ([#785](https://github.com/drift-labs/protocol-v2/pull/785))
+- ts-sdk: fix oracle is valid ([#806](https://github.com/drift-labs/protocol-v2/pull/806))
 
 ### Breaking
 

diff --git a/sdk/src/math/funding.ts b/sdk/src/math/funding.ts
@@ -7,10 +7,11 @@ import {
 	ONE,
 	FUNDING_RATE_OFFSET_DENOMINATOR,
 } from '../constants/numericConstants';
-import { PerpMarketAccount, isVariant } from '../types';
+import { ContractTier, PerpMarketAccount, isVariant } from '../types';
 import { OraclePriceData } from '../oracles/types';
 import { calculateBidAskPrice } from './amm';
 import { calculateLiveOracleTwap } from './oracles';
+import { clampBN } from './utils';
 
 function calculateLiveMarkTwap(
 	market: PerpMarketAccount,
@@ -160,8 +161,15 @@ export async function calculateAllEstimatedFundingRate(
 	const twapSpreadWithOffset = twapSpread.add(
 		oracleTwap.abs().div(FUNDING_RATE_OFFSET_DENOMINATOR)
 	);
+	const maxSpread = getMaxPriceDivergenceForFundingRate(market, oracleTwap);
 
-	const twapSpreadPct = twapSpreadWithOffset
+	const clampedSpreadWithOffset = clampBN(
+		twapSpreadWithOffset,
+		maxSpread.mul(new BN(-1)),
+		maxSpread
+	);
+
+	const twapSpreadPct = clampedSpreadWithOffset
 		.mul(PRICE_PRECISION)
 		.mul(new BN(100))
 		.div(oracleTwap);
@@ -234,6 +242,25 @@ export async function calculateAllEstimatedFundingRate(
 	return [markTwap, oracleTwap, lowerboundEst, cappedAltEst, interpEst];
 }
 
+function getMaxPriceDivergenceForFundingRate(
+	market: PerpMarketAccount,
+	oracleTwap: BN
+) {
+	if (isVariant(market.contractTier, 'a')) {
+		return oracleTwap.divn(33);
+	} else if (isVariant(market.contractTier, 'b')) {
+		return oracleTwap.divn(33);
+	} else if (isVariant(market.contractTier, 'c')) {
+		return oracleTwap.divn(20);
+	} else if (isVariant(market.contractTier, 'speculative')) {
+		return oracleTwap.divn(10);
+	} else if (isVariant(market.contractTier, 'isolated')) {
+		return oracleTwap.divn(10);
+	} else {
+		return oracleTwap.divn(10);
+	}
+}
+
 /**
  *
  * @param market

diff --git a/sdk/tests/amm/test.ts b/sdk/tests/amm/test.ts
@@ -28,6 +28,7 @@ import {
 	squareRootBN,
 	calculateReferencePriceOffset,
 	calculateInventoryLiquidityRatio,
+	ContractTier,
 	isOracleValid,
 	OracleGuardRails,
 } from '../../src';
@@ -1189,6 +1190,154 @@ describe('AMM Tests', () => {
 		assert(est2.eq(new BN('-719')));
 	});
 
+	it('predicted funding rate mock clamp', async () => {
+		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
+		const mockMarket1 = myMockPerpMarkets[0];
+
+		// make it like OP
+		const now = new BN(1688881915);
+
+		mockMarket1.amm.fundingPeriod = new BN(3600);
+		mockMarket1.amm.lastFundingRateTs = new BN(1688864415);
+
+		const currentMarkPrice = new BN(1.2242 * PRICE_PRECISION.toNumber()); // trading at a premium
+		const oraclePriceData: OraclePriceData = {
+			price: new BN(1.924 * PRICE_PRECISION.toNumber()),
+			slot: new BN(0),
+			confidence: new BN(1),
+			hasSufficientNumberOfDataPoints: true,
+		};
+		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+			1.9535 * PRICE_PRECISION.toNumber()
+		);
+
+		// mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3);
+
+		mockMarket1.amm.lastMarkPriceTwap = new BN(
+			1.218363 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.lastBidPriceTwap = new BN(
+			1.218363 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.lastAskPriceTwap = new BN(
+			1.218364 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688878815);
+
+		mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN(
+			1.820964 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN(
+			1688879991
+		);
+		mockMarket1.contractTier = ContractTier.A;
+
+		const [
+			_markTwapLive,
+			_oracleTwapLive,
+			_lowerboundEst,
+			_cappedAltEst,
+			_interpEst,
+		] = await calculateAllEstimatedFundingRate(
+			mockMarket1,
+			oraclePriceData,
+			currentMarkPrice,
+			now
+		);
+
+		// console.log(_markTwapLive.toString());
+		// console.log(_oracleTwapLive.toString());
+		// console.log(_lowerboundEst.toString());
+		// console.log(_cappedAltEst.toString());
+		// console.log(_interpEst.toString());
+		// console.log('-----');
+
+		let [markTwapLive, oracleTwapLive, est1, est2] =
+			await calculateLongShortFundingRateAndLiveTwaps(
+				mockMarket1,
+				oraclePriceData,
+				currentMarkPrice,
+				now
+			);
+
+		console.log(
+			'markTwapLive:',
+			mockMarket1.amm.lastMarkPriceTwap.toString(),
+			'->',
+			markTwapLive.toString()
+		);
+		console.log(
+			'oracTwapLive:',
+			mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(),
+			'->',
+			oracleTwapLive.toString()
+		);
+		console.log('pred funding:', est1.toString(), est2.toString());
+
+		assert(markTwapLive.eq(new BN('1680634')));
+		assert(oracleTwapLive.eq(new BN('1876031')));
+		assert(est1.eq(est2));
+		assert(est2.eq(new BN('-126261')));
+
+		mockMarket1.contractTier = ContractTier.C;
+
+		[markTwapLive, oracleTwapLive, est1, est2] =
+			await calculateLongShortFundingRateAndLiveTwaps(
+				mockMarket1,
+				oraclePriceData,
+				currentMarkPrice,
+				now
+			);
+
+		console.log(
+			'markTwapLive:',
+			mockMarket1.amm.lastMarkPriceTwap.toString(),
+			'->',
+			markTwapLive.toString()
+		);
+		console.log(
+			'oracTwapLive:',
+			mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(),
+			'->',
+			oracleTwapLive.toString()
+		);
+		console.log('pred funding:', est1.toString(), est2.toString());
+
+		assert(markTwapLive.eq(new BN('1680634')));
+		assert(oracleTwapLive.eq(new BN('1876031')));
+		assert(est1.eq(est2));
+		assert(est2.eq(new BN('-208332')));
+
+		mockMarket1.contractTier = ContractTier.SPECULATIVE;
+
+		[markTwapLive, oracleTwapLive, est1, est2] =
+			await calculateLongShortFundingRateAndLiveTwaps(
+				mockMarket1,
+				oraclePriceData,
+				currentMarkPrice,
+				now
+			);
+
+		console.log(
+			'markTwapLive:',
+			mockMarket1.amm.lastMarkPriceTwap.toString(),
+			'->',
+			markTwapLive.toString()
+		);
+		console.log(
+			'oracTwapLive:',
+			mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(),
+			'->',
+			oracleTwapLive.toString()
+		);
+		console.log('pred funding:', est1.toString(), est2.toString());
+
+		assert(markTwapLive.eq(new BN('1680634')));
+		assert(oracleTwapLive.eq(new BN('1876031')));
+		assert(est1.eq(est2));
+		assert(est2.eq(new BN('-416666')));
+	});
+
 	it('orderbook L2 gen (no topOfBookQuoteAmounts, 10 numOrders, low liquidity)', async () => {
 		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);