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Bigz/update amm revenue pool logic #398

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merged 11 commits into from
Mar 22, 2023
Merged

Bigz/update amm revenue pool logic #398

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75c7835
bigz/update-amm-revenue-pool-logic
0xbigz Mar 13, 2023
0cb3d63
Merge branch 'master' into bigz/update-amm-revenue-pool-logic
0xbigz Mar 17, 2023
1259b77
amm.rs: throttle liq fees to if
0xbigz Mar 20, 2023
66663fa
add test / fix test
0xbigz Mar 20, 2023
b4110f2
Merge branch 'master' into bigz/update-amm-revenue-pool-logic
0xbigz Mar 20, 2023
4568788
amm.rs update threshold
0xbigz Mar 21, 2023
969f29a
cleanup
0xbigz Mar 21, 2023
94791c2
Merge branch 'master' into bigz/update-amm-revenue-pool-logic
crispheaney Mar 22, 2023
2e7e101
fix tests/imbalancePerpPnl.ts
crispheaney Mar 22, 2023
0564ecd
try fix test again
crispheaney Mar 22, 2023
d1769a5
CHANGELOG
crispheaney Mar 22, 2023
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1 change: 1 addition & 0 deletions CHANGELOG.md
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Original file line number Diff line number Diff line change
Expand Up @@ -11,6 +11,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
### Features

- sdk: add isUserBankrupt ([#399](https://github.com/drift-labs/protocol-v2/pull/399))
- program: update revenue pool fund settlement logic ([#398](https://github.com/drift-labs/protocol-v2/pull/398))

### Fixes

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54 changes: 43 additions & 11 deletions programs/drift/src/controller/amm.rs
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Expand Up @@ -466,7 +466,7 @@ pub fn update_pool_balances(
.total_fee_minus_distributions
.safe_sub(market.amm.total_fee_withdrawn.cast()?)?;

if terminal_state_surplus < 0 {
if terminal_state_surplus < FEE_POOL_TO_REVENUE_POOL_THRESHOLD.cast()? {
// market can perform withdraw from revenue pool
if spot_market.insurance_fund.last_revenue_settle_ts
> market.insurance_claim.last_revenue_withdraw_ts
Expand All @@ -484,6 +484,7 @@ pub fn update_pool_balances(
let max_revenue_withdraw_allowed = market
.insurance_claim
.max_revenue_withdraw_per_period
.cast::<i64>()?
.safe_sub(market.insurance_claim.revenue_withdraw_since_last_settle)?
.cast::<u128>()?;

Expand Down Expand Up @@ -518,28 +519,59 @@ pub fn update_pool_balances(
market.insurance_claim.last_revenue_withdraw_ts = now;
}
} else {
let revenue_pool_transfer = get_total_fee_lower_bound(market)?
.cast::<i128>()?
.safe_add(market.amm.total_liquidation_fee.cast()?)?
.safe_sub(market.amm.total_fee_withdrawn.cast()?)?
let fee_pool_threshold = amm_fee_pool_token_amount_after
.saturating_sub(
FEE_POOL_TO_REVENUE_POOL_THRESHOLD.safe_add(market.amm.total_social_loss)?,
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why do you add social loss here?

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if a market has had social loss, its indication it needs to maintain a larger fee pool for internal insurance (rather than giving to external insurance)

)
.cast()?;

let total_liq_fees_for_revenue_pool: i128 = market
.amm
.total_liquidation_fee
.min(
amm_fee_pool_token_amount_after
.saturating_sub(FEE_POOL_TO_REVENUE_POOL_THRESHOLD)
market
.insurance_claim
.quote_settled_insurance
.safe_add(market.insurance_claim.quote_max_insurance)?
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why is this add?

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both numbers are positive cumulative numbers for insurance

cumulative liquidation fees are only given for revenue pool up to the current external insurance levels provided + net losses already paid for by external insurance

.cast()?,
)
.max(0)
.unsigned_abs();
.cast()?;

let max_revenue_to_settle = market
.insurance_claim
.revenue_withdraw_since_last_settle
.safe_add(
market
.insurance_claim
.max_revenue_withdraw_per_period
.cast()?,
)?
.min(market.amm.net_revenue_since_last_funding)
.max(0);

let total_fee_for_if = get_total_fee_lower_bound(market)?.cast::<i128>()?;

let revenue_pool_transfer = total_fee_for_if
.safe_add(total_liq_fees_for_revenue_pool)?
.safe_sub(market.amm.total_fee_withdrawn.cast()?)?
.min(fee_pool_threshold)
.min(max_revenue_to_settle.cast()?);

transfer_spot_balance_to_revenue_pool(
revenue_pool_transfer,
revenue_pool_transfer.unsigned_abs(),
spot_market,
&mut market.amm.fee_pool,
)?;

market.insurance_claim.revenue_withdraw_since_last_settle = market
.insurance_claim
.revenue_withdraw_since_last_settle
.safe_sub(revenue_pool_transfer.cast()?)?;

market.amm.total_fee_withdrawn = market
.amm
.total_fee_withdrawn
.safe_add(revenue_pool_transfer)?;
.safe_add(revenue_pool_transfer.unsigned_abs())?;
}
}

Expand Down
146 changes: 138 additions & 8 deletions programs/drift/src/controller/amm/tests.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -4,7 +4,7 @@ use crate::math::constants::{
AMM_RESERVE_PRECISION, MAX_CONCENTRATION_COEFFICIENT, PRICE_PRECISION_I64, QUOTE_PRECISION,
QUOTE_SPOT_MARKET_INDEX, SPOT_BALANCE_PRECISION, SPOT_CUMULATIVE_INTEREST_PRECISION,
};
use crate::state::perp_market::PoolBalance;
use crate::state::perp_market::{InsuranceClaim, PoolBalance};

#[test]
fn concentration_coef_tests() {
Expand Down Expand Up @@ -556,7 +556,7 @@ fn update_pool_balances_fee_to_revenue_test() {
total_mm_fee: 990 * QUOTE_PRECISION as i128,
total_fee_minus_distributions: 1000 * QUOTE_PRECISION as i128,
total_liquidation_fee: QUOTE_PRECISION,

net_revenue_since_last_funding: 10000 * QUOTE_PRECISION as i64,
curve_update_intensity: 100,

fee_pool: PoolBalance {
Expand All @@ -571,6 +571,11 @@ fn update_pool_balances_fee_to_revenue_test() {
market_index: QUOTE_SPOT_MARKET_INDEX,
..PoolBalance::default()
},
insurance_claim: InsuranceClaim {
quote_max_insurance: 0, // no liq fees for revenue pool
max_revenue_withdraw_per_period: 1000 * QUOTE_PRECISION as u64,
..InsuranceClaim::default()
},
..PerpMarket::default()
};
let now = 33928058;
Expand Down Expand Up @@ -627,14 +632,139 @@ fn update_pool_balances_fee_to_revenue_test() {
market.amm.fee_pool.scaled_balance = prev_fee_pool_2;
update_pool_balances(&mut market, &mut spot_market, &spot_position, 0, now).unwrap();

assert_eq!(market.amm.fee_pool.scaled_balance, 294000000000000000); // > FEE_POOL_TO_REVENUE_POOL_THRESHOLD
assert_eq!(market.pnl_pool.scaled_balance, 50000000000000000);
assert_eq!(spot_market.revenue_pool.scaled_balance, 6000000000000000);
assert_eq!(market.amm.total_fee_withdrawn, 5000000);
assert_eq!(spot_market.revenue_pool.scaled_balance, 5000000000000000);
assert_eq!(market.amm.fee_pool.scaled_balance, 295000000000000000); // > FEE_POOL_TO_REVENUE_POOL_THRESHOLD

assert!(market.amm.fee_pool.scaled_balance < prev_fee_pool_2);
assert_eq!(market.pnl_pool.scaled_balance, prev_pnl_pool);
assert!(spot_market.revenue_pool.scaled_balance > prev_rev_pool);

market.insurance_claim.quote_max_insurance = 1; // add min insurance
update_pool_balances(&mut market, &mut spot_market, &spot_position, 0, now).unwrap();
assert_eq!(market.amm.total_fee_withdrawn, 5000001);
assert_eq!(spot_market.revenue_pool.scaled_balance, 5000001000000000);

market.insurance_claim.quote_max_insurance = 100000000; // add lots of insurance
update_pool_balances(&mut market, &mut spot_market, &spot_position, 0, now).unwrap();
assert_eq!(market.amm.total_fee_withdrawn, 6000000);
assert_eq!(spot_market.revenue_pool.scaled_balance, 6000000000000000);
}

#[test]
fn update_pool_balances_fee_to_revenue_low_amm_revenue_test() {
let mut market = PerpMarket {
amm: AMM {
base_asset_reserve: 5122950819670000,
quote_asset_reserve: 488 * AMM_RESERVE_PRECISION,
sqrt_k: 500 * AMM_RESERVE_PRECISION,
peg_multiplier: 50000,
base_asset_amount_with_amm: -122950819670000,

total_exchange_fee: 10 * QUOTE_PRECISION,
total_fee: 10 * QUOTE_PRECISION as i128,
total_mm_fee: 990 * QUOTE_PRECISION as i128,
total_fee_minus_distributions: 1000 * QUOTE_PRECISION as i128,
total_liquidation_fee: QUOTE_PRECISION,
net_revenue_since_last_funding: QUOTE_PRECISION as i64,
curve_update_intensity: 100,

fee_pool: PoolBalance {
scaled_balance: 50 * QUOTE_PRECISION * SPOT_BALANCE_PRECISION,
market_index: QUOTE_SPOT_MARKET_INDEX,
..PoolBalance::default()
},
..AMM::default()
},
pnl_pool: PoolBalance {
scaled_balance: 50 * QUOTE_PRECISION * SPOT_BALANCE_PRECISION,
market_index: QUOTE_SPOT_MARKET_INDEX,
..PoolBalance::default()
},
insurance_claim: InsuranceClaim {
quote_max_insurance: 0, // no liq fees for revenue pool
max_revenue_withdraw_per_period: 1000 * QUOTE_PRECISION as u64,
..InsuranceClaim::default()
},
..PerpMarket::default()
};
let now = 33928058;

let mut spot_market = SpotMarket {
deposit_balance: 100 * QUOTE_PRECISION * SPOT_BALANCE_PRECISION,
cumulative_deposit_interest: SPOT_CUMULATIVE_INTEREST_PRECISION,
cumulative_borrow_interest: SPOT_CUMULATIVE_INTEREST_PRECISION,
revenue_pool: PoolBalance::default(),
..SpotMarket::default()
};

let prev_fee_pool = market.amm.fee_pool.scaled_balance;
let prev_pnl_pool = market.amm.fee_pool.scaled_balance;
let prev_rev_pool = spot_market.revenue_pool.scaled_balance;

assert_eq!(market.amm.total_fee_withdrawn, 0);

assert_eq!(
get_token_amount(
market.amm.fee_pool.balance(),
&spot_market,
&SpotBalanceType::Deposit
)
.unwrap(),
50 * QUOTE_PRECISION
);

assert_eq!(
get_token_amount(
spot_market.deposit_balance,
&spot_market,
&SpotBalanceType::Deposit
)
.unwrap(),
100 * QUOTE_PRECISION
);

let spot_position = SpotPosition::default();
update_pool_balances(&mut market, &mut spot_market, &spot_position, 0, now).unwrap();

assert_eq!(market.amm.fee_pool.scaled_balance, 50000000000000000); // under FEE_POOL_TO_REVENUE_POOL_THRESHOLD
assert_eq!(market.pnl_pool.scaled_balance, 50000000000000000);
assert_eq!(spot_market.revenue_pool.scaled_balance, 0);
assert_eq!(market.amm.total_fee_withdrawn, 0);

assert!(market.amm.fee_pool.scaled_balance == prev_fee_pool);
assert_eq!(market.pnl_pool.scaled_balance, prev_pnl_pool);
assert!(spot_market.revenue_pool.scaled_balance == prev_rev_pool);

// add FEE_POOL_TO_REVENUE_POOL_THRESHOLD
let prev_fee_pool_2 =
(FEE_POOL_TO_REVENUE_POOL_THRESHOLD + 50 * QUOTE_PRECISION) * SPOT_BALANCE_PRECISION;
market.amm.fee_pool.scaled_balance = prev_fee_pool_2;
update_pool_balances(&mut market, &mut spot_market, &spot_position, 0, now).unwrap();

assert_eq!(market.pnl_pool.scaled_balance, 50000000000000000);
assert_eq!(market.amm.total_fee_withdrawn, 1000000);
assert_eq!(spot_market.revenue_pool.scaled_balance, 1000000000000000);
assert_eq!(market.amm.fee_pool.scaled_balance, 299000000000000000); // > FEE_POOL_TO_REVENUE_POOL_THRESHOLD

assert!(market.amm.fee_pool.scaled_balance < prev_fee_pool_2);
assert_eq!(market.pnl_pool.scaled_balance, prev_pnl_pool);
assert!(spot_market.revenue_pool.scaled_balance > prev_rev_pool);

market.insurance_claim.quote_max_insurance = 1; // add min insurance
market.amm.net_revenue_since_last_funding = 1;

update_pool_balances(&mut market, &mut spot_market, &spot_position, 0, now).unwrap();
assert_eq!(market.amm.total_fee_withdrawn, 1000001);
assert_eq!(spot_market.revenue_pool.scaled_balance, 1000001000000000);

market.insurance_claim.quote_max_insurance = 100000000; // add lots of insurance
market.amm.net_revenue_since_last_funding = 100000000;

update_pool_balances(&mut market, &mut spot_market, &spot_position, 0, now).unwrap();
assert_eq!(market.amm.total_fee_withdrawn, 6000000);
assert_eq!(spot_market.revenue_pool.scaled_balance, 6000000000000000);
}

#[test]
Expand Down Expand Up @@ -817,7 +947,7 @@ fn update_pool_balances_revenue_to_fee_test() {
assert_eq!(market.amm.total_fee_withdrawn, 0);
assert_eq!(
market.insurance_claim.revenue_withdraw_since_last_settle,
market.insurance_claim.max_revenue_withdraw_per_period
market.insurance_claim.max_revenue_withdraw_per_period as i64
);
assert_eq!(market.insurance_claim.last_revenue_withdraw_ts, 33928058);

Expand All @@ -830,7 +960,7 @@ fn update_pool_balances_revenue_to_fee_test() {
assert_eq!(spot_market.revenue_pool.scaled_balance, 9800000001000);
assert_eq!(
market.insurance_claim.revenue_withdraw_since_last_settle,
market.insurance_claim.max_revenue_withdraw_per_period
market.insurance_claim.max_revenue_withdraw_per_period as i64
);
assert_eq!(market.insurance_claim.last_revenue_withdraw_ts, 33928058);

Expand All @@ -843,7 +973,7 @@ fn update_pool_balances_revenue_to_fee_test() {
assert_eq!(spot_market.revenue_pool.scaled_balance, 9800000001000);
assert_eq!(
market.insurance_claim.revenue_withdraw_since_last_settle,
market.insurance_claim.max_revenue_withdraw_per_period
market.insurance_claim.max_revenue_withdraw_per_period as i64
);
assert_eq!(market.insurance_claim.last_revenue_withdraw_ts, 33928058);

Expand Down Expand Up @@ -909,6 +1039,6 @@ fn update_pool_balances_revenue_to_fee_test() {
assert_eq!(spot_market.revenue_pool.scaled_balance, 9600000001000);
assert_eq!(
market.insurance_claim.revenue_withdraw_since_last_settle,
market.insurance_claim.max_revenue_withdraw_per_period
market.insurance_claim.max_revenue_withdraw_per_period as i64
);
}
10 changes: 8 additions & 2 deletions programs/drift/src/controller/insurance.rs
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Expand Up @@ -580,7 +580,7 @@ pub fn settle_revenue_to_insurance_fund(
.max(1),
)?
.cast::<u128>()?;
let capped_token_pct_amount = token_amount.safe_div(5)?;
let capped_token_pct_amount = token_amount.safe_div(10)?;
token_amount = capped_token_pct_amount.min(capped_apr_amount);
}

Expand Down Expand Up @@ -695,7 +695,13 @@ pub fn resolve_perp_pnl_deficit(
let max_revenue_withdraw_per_period = market
.insurance_claim
.max_revenue_withdraw_per_period
.safe_sub(market.insurance_claim.revenue_withdraw_since_last_settle)?
.cast::<i128>()?
.safe_sub(
market
.insurance_claim
.revenue_withdraw_since_last_settle
.cast()?,
)?
.cast::<i128>()?;
validate!(
max_revenue_withdraw_per_period > 0,
Expand Down
2 changes: 1 addition & 1 deletion programs/drift/src/state/perp_market.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -311,7 +311,7 @@ impl PerpMarket {
#[derive(Default, Eq, PartialEq, Debug)]
#[repr(C)]
pub struct InsuranceClaim {
pub revenue_withdraw_since_last_settle: u64,
pub revenue_withdraw_since_last_settle: i64,
pub max_revenue_withdraw_per_period: u64,
pub quote_max_insurance: u64,
pub quote_settled_insurance: u64,
Expand Down
2 changes: 1 addition & 1 deletion sdk/src/idl/drift.json
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Expand Up @@ -5119,7 +5119,7 @@
"fields": [
{
"name": "revenueWithdrawSinceLastSettle",
"type": "u64"
"type": "i64"
},
{
"name": "maxRevenueWithdrawPerPeriod",
Expand Down
3 changes: 2 additions & 1 deletion tests/delistMarket.ts
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Expand Up @@ -614,7 +614,8 @@ describe('delist market', () => {
'totalExchangeFee:',
marketAfter.amm.totalExchangeFee.toString()
);
assert(marketAfter.amm.feePool.scaledBalance.eq(new BN(21567000)));
assert(marketAfter.amm.feePool.scaledBalance.eq(new BN(64700000)));

// assert(marketAfter.amm.totalExchangeFee.eq(new BN(43134)));
assert(marketAfter.amm.totalExchangeFee.eq(new BN(129401)));
});
Expand Down
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