program: dynamic liq fee (#601)

* 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 MarginCalculation struct * add get_margin_ratio to MarginCalculation * make strict() modifier for MarginContext * dont deconstruct margin calculation in liq ix * apply max if fee * make margin_requirement_with_buffer private * if fee for spot liquidation still lets user outta liq territory * rm comment * add new max if fee calcs * remove calculate_if_fee fn * remove logic to track margin ratio * tweak language for tracking mkt margin requirement * add test for calculate_perp_if_fee * calculate_spot_if_fee tests * fix bug w tracked_market_margin_shortage * change how margin is check in fills * extra safety check in MarginCalculation * make MarketIdentifier a struct * add back isolated liability * fix tests/liquidateSpotSocialLoss.ts (no if liq fee) * fix sdk/src/user.ts * fix tests/insuranceFundStake.ts * prettify tests/insuranceFundStake.ts * try fix liq perp tests * yarn prettify:fix * fix merge * try fix insurance fund stake test * CHANGELOG --------- Co-authored-by: 0xbigz <[email protected]>
drift-labs · Sep 15, 2023 · ce80b36 · ce80b36
1 parent 383574c
commit ce80b36
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -9,6 +9,8 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Features
 
+- program: add dynamic liquidation fee ([#601](https://github.com/drift-labs/protocol-v2/pull/601))
+
 ### Fixes
 
 ### Breaking

diff --git a/programs/drift/src/controller/liquidation.rs b/programs/drift/src/controller/liquidation.rs
diff --git a/programs/drift/src/controller/liquidation/tests.rs b/programs/drift/src/controller/liquidation/tests.rs
diff --git a/programs/drift/src/controller/lp/tests.rs b/programs/drift/src/controller/lp/tests.rs
@@ -16,9 +16,11 @@ use crate::math::constants::{
     SPOT_BALANCE_PRECISION_U64, SPOT_CUMULATIVE_INTEREST_PRECISION, SPOT_WEIGHT_PRECISION,
 };
 use crate::math::margin::{
-    calculate_margin_requirement_and_total_collateral, calculate_perp_position_value_and_pnl,
-    meets_maintenance_margin_requirement, MarginRequirementType,
+    calculate_margin_requirement_and_total_collateral_and_liability_info,
+    calculate_perp_position_value_and_pnl, meets_maintenance_margin_requirement,
+    MarginRequirementType,
 };
+use crate::state::margin_calculation::{MarginCalculation, MarginContext};
 use crate::state::oracle::{HistoricalOracleData, OracleSource};
 use crate::state::oracle::{OraclePriceData, StrictOraclePrice};
 use crate::state::oracle_map::OracleMap;
@@ -529,16 +531,18 @@ pub fn test_lp_settle_pnl() {
         ..State::default()
     };
 
-    let (margin_requirement1, total_collateral1, _, _) =
-        calculate_margin_requirement_and_total_collateral(
-            &user,
-            &market_map,
-            MarginRequirementType::Initial,
-            &spot_market_map,
-            &mut oracle_map,
-            None,
-        )
-        .unwrap();
+    let MarginCalculation {
+        total_collateral: total_collateral1,
+        margin_requirement: margin_requirement1,
+        ..
+    } = calculate_margin_requirement_and_total_collateral_and_liability_info(
+        &user,
+        &market_map,
+        &spot_market_map,
+        &mut oracle_map,
+        MarginContext::standard(MarginRequirementType::Initial),
+    )
+    .unwrap();
 
     assert_eq!(total_collateral1, 49999988);
     assert_eq!(margin_requirement1, 2099020); // $2+ for margin req

diff --git a/programs/drift/src/controller/orders.rs b/programs/drift/src/controller/orders.rs
@@ -58,6 +58,7 @@ use crate::print_error;
 use crate::state::events::{emit_stack, get_order_action_record, OrderActionRecord, OrderRecord};
 use crate::state::events::{OrderAction, OrderActionExplanation};
 use crate::state::fulfillment::{PerpFulfillmentMethod, SpotFulfillmentMethod};
+use crate::state::margin_calculation::MarginContext;
 use crate::state::oracle::{OraclePriceData, StrictOraclePrice};
 use crate::state::oracle_map::OracleMap;
 use crate::state::perp_market::{AMMLiquiditySplit, MarketStatus, PerpMarket};
@@ -1608,47 +1609,46 @@ fn fulfill_perp_order(
         quote_asset_amount
     )?;
 
-    let (taker_margin_requirement, taker_total_collateral, _, _) =
-        calculate_margin_requirement_and_total_collateral(
+    let taker_margin_calculation =
+        calculate_margin_requirement_and_total_collateral_and_liability_info(
             user,
             perp_market_map,
-            if user_order_position_decreasing {
+            spot_market_map,
+            oracle_map,
+            MarginContext::standard(if user_order_position_decreasing {
                 MarginRequirementType::Maintenance
             } else {
                 MarginRequirementType::Fill
-            },
-            spot_market_map,
-            oracle_map,
-            None,
+            }),
         )?;
-    if taker_total_collateral < taker_margin_requirement.cast()? {
+
+    if !taker_margin_calculation.meets_margin_requirement() {
         msg!(
             "taker breached fill requirements (margin requirement {}) (total_collateral {})",
-            taker_margin_requirement,
-            taker_total_collateral
+            taker_margin_calculation.margin_requirement,
+            taker_margin_calculation.total_collateral
         );
         return Err(ErrorCode::InsufficientCollateral);
     }
 
     for (maker_key, _) in makers_filled {
         let maker = makers_and_referrer.get_ref(&maker_key)?;
 
-        let (maker_margin_requirement, maker_total_collateral, _, _) =
-            calculate_margin_requirement_and_total_collateral(
+        let maker_margin_calculation =
+            calculate_margin_requirement_and_total_collateral_and_liability_info(
                 &maker,
                 perp_market_map,
-                MarginRequirementType::Fill,
                 spot_market_map,
                 oracle_map,
-                None,
+                MarginContext::standard(MarginRequirementType::Fill),
             )?;
 
-        if maker_total_collateral < maker_margin_requirement.cast()? {
+        if !maker_margin_calculation.meets_margin_requirement() {
             msg!(
                 "maker ({}) breached fill requirements (margin requirement {}) (total_collateral {})",
                 maker_key,
-                maker_margin_requirement,
-                maker_total_collateral
+                maker_margin_calculation.margin_requirement,
+                maker_margin_calculation.total_collateral
             );
             return Err(ErrorCode::InsufficientCollateral);
         }
@@ -3662,42 +3662,40 @@ fn fulfill_spot_order(
     drop(base_market);
     drop(quote_market);
 
-    let (taker_margin_requirement, taker_total_collateral, _, _) =
-        calculate_margin_requirement_and_total_collateral(
+    let taker_margin_calculation =
+        calculate_margin_requirement_and_total_collateral_and_liability_info(
             user,
             perp_market_map,
-            margin_type,
             spot_market_map,
             oracle_map,
-            None,
+            MarginContext::standard(margin_type),
         )?;
 
-    if taker_total_collateral < taker_margin_requirement.cast()? {
+    if !taker_margin_calculation.meets_margin_requirement() {
         msg!(
             "taker breached maintenance requirements (margin requirement {}) (total_collateral {})",
-            taker_margin_requirement,
-            taker_total_collateral
+            taker_margin_calculation.margin_requirement,
+            taker_margin_calculation.total_collateral
         );
         return Err(ErrorCode::InsufficientCollateral);
     }
 
     if let Some(maker) = maker {
-        let (maker_margin_requirement, maker_total_collateral, _, _) =
-            calculate_margin_requirement_and_total_collateral(
+        let maker_margin_calculation =
+            calculate_margin_requirement_and_total_collateral_and_liability_info(
                 maker,
                 perp_market_map,
-                MarginRequirementType::Fill,
                 spot_market_map,
                 oracle_map,
-                None,
+                MarginContext::standard(MarginRequirementType::Fill),
             )?;
 
-        if maker_total_collateral < maker_margin_requirement.cast()? {
+        if !maker_margin_calculation.meets_margin_requirement() {
             msg!(
                 "maker ({}) breached maintenance requirements (margin requirement {}) (total_collateral {})",
                 maker_key.safe_unwrap()?,
-                maker_margin_requirement,
-                maker_total_collateral
+                maker_margin_calculation.margin_requirement,
+                maker_margin_calculation.total_collateral
             );
             return Err(ErrorCode::InsufficientCollateral);
         }