program: add lp shares rebase (#568)

* start test * improve lp_delta_quote * improve per_lp_delta_quote * init per_lp_base * add rebase functions (wip) * rm err msg * add controller rebase to proper locations * add rebase cargo test * (wip) k out of wack * fix rebase test and add more asserts * format fix * incorp basic example to typescript tests * fix rebase math in position.rs (wip) * wip continue * working baseAssetAmountWithUnsettledLp * mvp encapsulation of update_lp_market_position * src/user.ts: add perLpBase to empty position * remove logs * simplify base unit logic more * add get_per_lp_base_unit * simplify per_lp_fee and add numbers to test * properly set per_lp_base for lp_share=0 in mint_lp_shares (and add sdk/test) * incorp feedback / format * tests/liquidityProvider.ts: work with sdk change * admin.rs: add constraint on per_lp_base range * add apply_lp_rebase_to_perp_position to simulate_settled_lp_position * use get_per_lp_base_unit consistently (wip sdk test for negative lp base) * cut excess return values in calculate_lp_delta * fix getPerpPositionWithLPSettle with negative perLpBase delta --------- Co-authored-by: Chris Heaney <[email protected]>
drift-labs · Aug 22, 2023 · fc5aa58 · fc5aa58
1 parent 8ffa1c5
commit fc5aa58
Show file tree

Hide file tree

Showing 19 changed files with 982 additions and 106 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -11,6 +11,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 - program: add reduce only user status ([#560](https://github.com/drift-labs/protocol-v2/pull/560))
 - program: add conditionally smaller conf_component logic for amm spread ([#577](https://github.com/drift-labs/protocol-v2/pull/577))
+- program: add per_lp_base on market/position ([#568](https://github.com/drift-labs/protocol-v2/pull/568))
 
 ### Fixes
 
@@ -25,7 +26,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 - program: add deposit_into_spot_market_revenue_pool ([#520](https://github.com/drift-labs/protocol-v2/pull/520))
 - program: make users w excessive withdraws pay fees ([#547](https://github.com/drift-labs/protocol-v2/pull/547))
-- program: allow settle pnl and spot fills via match when utilization is 100% ([#525](https://github.com/drift-labs/protocol-v2/pull/525)) 
+- program: allow settle pnl and spot fills via match when utilization is 100% ([#525](https://github.com/drift-labs/protocol-v2/pull/525))
 - program: new update_perp_bid_ask_twap ix ([#548](https://github.com/drift-labs/protocol-v2/pull/548))
 - program: dont check price bands for place order ([#556](https://github.com/drift-labs/protocol-v2/pull/556))
 

diff --git a/programs/drift/src/controller/lp.rs b/programs/drift/src/controller/lp.rs
@@ -26,6 +26,108 @@ use anchor_lang::prelude::Account;
 #[cfg(test)]
 mod tests;
 
+pub fn apply_lp_rebase_to_perp_market(
+    perp_market: &mut PerpMarket,
+    expo_diff: i8,
+) -> DriftResult<()> {
+    // target_base_asset_amount_per_lp is the only one that it doesnt get applied
+    // thus changing the base of lp and without changing target_base_asset_amount_per_lp
+    // causes an implied change
+
+    validate!(expo_diff != 0, ErrorCode::DefaultError, "expo_diff = 0")?;
+
+    perp_market.amm.per_lp_base = perp_market.amm.per_lp_base.safe_add(expo_diff)?;
+    let rebase_divisor: i128 = 10_i128.pow(expo_diff.abs().cast()?);
+
+    if expo_diff > 0 {
+        perp_market.amm.base_asset_amount_per_lp = perp_market
+            .amm
+            .base_asset_amount_per_lp
+            .safe_mul(rebase_divisor)?;
+
+        perp_market.amm.quote_asset_amount_per_lp = perp_market
+            .amm
+            .quote_asset_amount_per_lp
+            .safe_mul(rebase_divisor)?;
+
+        perp_market.amm.total_fee_earned_per_lp = perp_market
+            .amm
+            .total_fee_earned_per_lp
+            .safe_mul(rebase_divisor.cast()?)?;
+    } else {
+        perp_market.amm.base_asset_amount_per_lp = perp_market
+            .amm
+            .base_asset_amount_per_lp
+            .safe_div(rebase_divisor)?;
+
+        perp_market.amm.quote_asset_amount_per_lp = perp_market
+            .amm
+            .quote_asset_amount_per_lp
+            .safe_div(rebase_divisor)?;
+
+        perp_market.amm.total_fee_earned_per_lp = perp_market
+            .amm
+            .total_fee_earned_per_lp
+            .safe_div(rebase_divisor.cast()?)?;
+    }
+
+    msg!(
+        "rebasing perp market_index={} per_lp_base expo_diff={}",
+        perp_market.market_index,
+        expo_diff,
+    );
+
+    crate::validation::perp_market::validate_perp_market(perp_market)?;
+
+    Ok(())
+}
+
+pub fn apply_lp_rebase_to_perp_position(
+    perp_market: &PerpMarket,
+    perp_position: &mut PerpPosition,
+) -> DriftResult<()> {
+    let expo_diff = perp_market
+        .amm
+        .per_lp_base
+        .safe_sub(perp_position.per_lp_base)?;
+
+    if expo_diff > 0 {
+        let rebase_divisor: i64 = 10_i64.pow(expo_diff.cast()?);
+
+        perp_position.last_base_asset_amount_per_lp = perp_position
+            .last_base_asset_amount_per_lp
+            .safe_mul(rebase_divisor)?;
+        perp_position.last_quote_asset_amount_per_lp = perp_position
+            .last_quote_asset_amount_per_lp
+            .safe_mul(rebase_divisor)?;
+
+        msg!(
+            "rebasing perp position for market_index={} per_lp_base by expo_diff={}",
+            perp_market.market_index,
+            expo_diff,
+        );
+    } else if expo_diff < 0 {
+        let rebase_divisor: i64 = 10_i64.pow(expo_diff.abs().cast()?);
+
+        perp_position.last_base_asset_amount_per_lp = perp_position
+            .last_base_asset_amount_per_lp
+            .safe_div(rebase_divisor)?;
+        perp_position.last_quote_asset_amount_per_lp = perp_position
+            .last_quote_asset_amount_per_lp
+            .safe_div(rebase_divisor)?;
+
+        msg!(
+            "rebasing perp position for market_index={} per_lp_base by expo_diff={}",
+            perp_market.market_index,
+            expo_diff,
+        );
+    }
+
+    perp_position.per_lp_base = perp_position.per_lp_base.safe_add(expo_diff)?;
+
+    Ok(())
+}
+
 pub fn mint_lp_shares(
     position: &mut PerpPosition,
     market: &mut PerpMarket,
@@ -40,6 +142,7 @@ pub fn mint_lp_shares(
     } else {
         position.last_base_asset_amount_per_lp = amm.base_asset_amount_per_lp.cast()?;
         position.last_quote_asset_amount_per_lp = amm.quote_asset_amount_per_lp.cast()?;
+        position.per_lp_base = amm.per_lp_base;
     }
 
     // add share balance
@@ -78,6 +181,8 @@ pub fn settle_lp_position(
         )?;
     }
 
+    apply_lp_rebase_to_perp_position(market, position)?;
+
     let mut lp_metrics: crate::math::lp::LPMetrics =
         calculate_settle_lp_metrics(&market.amm, position)?;
 
@@ -184,9 +289,10 @@ pub fn burn_lp_shares(
         crate::validate!(
             unsettled_remainder.unsigned_abs() <= market.amm.order_step_size as u128,
             ErrorCode::UnableToBurnLPTokens,
-            "unsettled baa on final burn too big rel to stepsize {}: {}",
+            "unsettled baa on final burn too big rel to stepsize {}: {} (remainder:{})",
             market.amm.order_step_size,
             market.amm.base_asset_amount_with_unsettled_lp,
+            position.remainder_base_asset_amount
         )?;
 
         // sub bc lps take the opposite side of the user

diff --git a/programs/drift/src/controller/lp/tests.rs b/programs/drift/src/controller/lp/tests.rs
@@ -709,6 +709,8 @@ fn test_lp_margin_calc() {
     market.amm.cumulative_funding_rate_long *= 2;
     market.amm.cumulative_funding_rate_short *= 2;
 
+    apply_lp_rebase_to_perp_market(&mut market, 1).unwrap();
+
     let sim_user_pos = user.perp_positions[0]
         .simulate_settled_lp_position(&market, oracle_price_data.price)
         .unwrap();
@@ -718,7 +720,7 @@ fn test_lp_margin_calc() {
     );
     assert_eq!(sim_user_pos.base_asset_amount, 101000000000);
     assert_eq!(sim_user_pos.quote_asset_amount, -20000000000);
-    assert_eq!(sim_user_pos.last_cumulative_funding_rate, 0);
+    assert_eq!(sim_user_pos.last_cumulative_funding_rate, 16900000000);
 
     // 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) =

diff --git a/programs/drift/src/controller/position.rs b/programs/drift/src/controller/position.rs
@@ -6,11 +6,8 @@ use crate::controller;
 use crate::controller::amm::SwapDirection;
 use crate::error::{DriftResult, ErrorCode};
 use crate::math::casting::Cast;
-use crate::math::constants::{
-    AMM_RESERVE_PRECISION, AMM_RESERVE_PRECISION_I128, LP_FEE_SLICE_DENOMINATOR,
-    LP_FEE_SLICE_NUMERATOR, MAX_BASE_ASSET_AMOUNT_WITH_AMM, PERP_DECIMALS,
-};
-use crate::math::helpers::get_proportion_i128;
+use crate::math::constants::{MAX_BASE_ASSET_AMOUNT_WITH_AMM, PERP_DECIMALS};
+// use crate::math::helpers::get_proportion_i128;
 use crate::math::orders::{
     calculate_quote_asset_amount_for_maker_order, get_position_delta_for_fill,
     is_multiple_of_step_size,
@@ -383,42 +380,21 @@ pub fn update_lp_market_position(
     delta: &PositionDelta,
     fee_to_market: i128,
     liquidity_split: AMMLiquiditySplit,
-) -> DriftResult<(i128, i128, i128)> {
-    let user_lp_shares = market.amm.user_lp_shares;
-
-    if user_lp_shares == 0 || liquidity_split == AMMLiquiditySplit::ProtocolOwned {
-        return Ok((0, 0, 0)); // no need to split with LP
+) -> DriftResult<i128> {
+    if market.amm.user_lp_shares == 0 || liquidity_split == AMMLiquiditySplit::ProtocolOwned {
+        return Ok(0); // no need to split with LP
     }
 
-    let total_lp_shares = if liquidity_split == AMMLiquiditySplit::LPOwned {
-        market.amm.user_lp_shares
-    } else {
-        market.amm.sqrt_k
-    };
-
-    // update Market per lp position
-    let per_lp_delta_base = get_proportion_i128(
-        delta.base_asset_amount.cast()?,
-        AMM_RESERVE_PRECISION,
-        total_lp_shares,
-    )?;
+    let base_unit: i128 = market.amm.get_per_lp_base_unit()?;
 
-    let mut per_lp_delta_quote = get_proportion_i128(
-        delta.quote_asset_amount.cast()?,
-        AMM_RESERVE_PRECISION,
-        total_lp_shares,
-    )?;
+    let (per_lp_delta_base, per_lp_delta_quote, per_lp_fee) =
+        market
+            .amm
+            .calculate_per_lp_delta(delta, fee_to_market, liquidity_split, base_unit)?;
 
-    // user position delta is short => lp position delta is long
-    if per_lp_delta_base < 0 {
-        // add one => lp subtract 1
-        per_lp_delta_quote = per_lp_delta_quote.safe_add(1)?;
-    }
-
-    let lp_delta_base =
-        get_proportion_i128(per_lp_delta_base, user_lp_shares, AMM_RESERVE_PRECISION)?;
-    let lp_delta_quote =
-        get_proportion_i128(per_lp_delta_quote, user_lp_shares, AMM_RESERVE_PRECISION)?;
+    let lp_delta_base = market
+        .amm
+        .calculate_lp_base_delta(per_lp_delta_base, base_unit)?;
 
     market.amm.base_asset_amount_per_lp = market
         .amm
@@ -430,24 +406,6 @@ pub fn update_lp_market_position(
         .quote_asset_amount_per_lp
         .safe_add(-per_lp_delta_quote)?;
 
-    // 1/5 of fee auto goes to market
-    // the rest goes to lps/market proportional
-    let lp_fee = get_proportion_i128(
-        fee_to_market,
-        LP_FEE_SLICE_NUMERATOR,
-        LP_FEE_SLICE_DENOMINATOR,
-    )?
-    .safe_mul(user_lp_shares.cast::<i128>()?)?
-    .safe_div(total_lp_shares.cast::<i128>()?)?;
-
-    let per_lp_fee: i128 = if lp_fee > 0 {
-        lp_fee
-            .safe_mul(AMM_RESERVE_PRECISION_I128)?
-            .safe_div(user_lp_shares.cast::<i128>()?)?
-    } else {
-        0
-    };
-
     // track total fee earned by lps (to attribute breakdown of IL)
     market.amm.total_fee_earned_per_lp = market
         .amm
@@ -468,7 +426,7 @@ pub fn update_lp_market_position(
         .base_asset_amount_with_unsettled_lp
         .safe_add(lp_delta_base)?;
 
-    Ok((lp_delta_base, lp_delta_quote, lp_fee))
+    Ok(lp_delta_base)
 }
 
 pub fn update_position_with_base_asset_amount(