accrued funding remove hard code

Synthetixio · Jul 4, 2023 · 3db5319 · 3db5319
1 parent 9fa0cde
commit 3db5319
Showing 1 changed file with 84 additions and 44 deletions.
diff --git a/markets/perps-market/test/integration/Position/Funding.test.ts b/markets/perps-market/test/integration/Position/Funding.test.ts
@@ -1,9 +1,15 @@
 import { DEFAULT_SETTLEMENT_STRATEGY, PerpsMarket, bn, bootstrapMarkets } from '../bootstrap';
 import { openPosition } from '../helpers';
+import Wei, { wei } from '@synthetixio/wei';
 import { fastForwardTo } from '@synthetixio/core-utils/utils/hardhat/rpc';
 import assertBn from '@synthetixio/core-utils/utils/assertions/assert-bignumber';
 
-const SECONDS_IN_DAY = 24 * 60 * 60;
+const _SECONDS_IN_DAY = 24 * 60 * 60;
+
+const _SKEW_SCALE = bn(10_000);
+const _MAX_FUNDING_VELOCITY = bn(3);
+const _TRADER_SIZE = bn(20);
+const _ETH_PRICE = bn(2000);
 
 describe('Position - funding', () => {
   const { systems, perpsMarkets, provider, trader1, trader2, keeper } = bootstrapMarkets({
@@ -12,8 +18,8 @@ describe('Position - funding', () => {
       {
         name: 'Ether',
         token: 'snxETH',
-        price: bn(2000),
-        fundingParams: { skewScale: bn(10_000), maxFundingVelocity: bn(3) },
+        price: _ETH_PRICE,
+        fundingParams: { skewScale: _SKEW_SCALE, maxFundingVelocity: bn(3) },
       },
     ],
     traderAccountIds: [2, 3],
@@ -40,7 +46,7 @@ describe('Position - funding', () => {
       accountId: 2,
       keeper: keeper(),
       marketId: ethMarket.marketId(),
-      sizeDelta: bn(20),
+      sizeDelta: _TRADER_SIZE,
       settlementStrategyId: ethMarket.strategyId(),
       price: bn(2000),
     });
@@ -64,48 +70,82 @@ describe('Position - funding', () => {
   */
 
   [
-    { daysElapsed: 1, newOrderSize: bn(-60), expectedAccruedFunding: bn(-120) },
-    { daysElapsed: 2, newOrderSize: bn(15), expectedAccruedFunding: bn(-120) },
-    { daysElapsed: 2.25, newOrderSize: bn(37), expectedAccruedFunding: bn(-50.63) },
-    { daysElapsed: 4.25, newOrderSize: bn(-17), expectedAccruedFunding: bn(291.38) },
-    { daysElapsed: 4.45, newOrderSize: bn(155), expectedAccruedFunding: bn(297.98) },
-    { daysElapsed: 4.55, newOrderSize: bn(-150), expectedAccruedFunding: bn(292.88) },
-    { daysElapsed: 4.65, newOrderSize: bn(-15), expectedAccruedFunding: bn(278.78) },
-    { daysElapsed: 4.68, newOrderSize: bn(-4), expectedAccruedFunding: bn(274.63) },
-    { daysElapsed: 7.68, newOrderSize: bn(19), expectedAccruedFunding: bn(893.83) },
-  ].forEach(({ daysElapsed, newOrderSize, expectedAccruedFunding }) => {
-    describe(`after ${daysElapsed} days`, () => {
-      before('move time', async () => {
-        await fastForwardTo(
-          openPositionTime -
-            // this enables the market summary check to be as close as possible to the settlement time
-            (DEFAULT_SETTLEMENT_STRATEGY.settlementDelay - 1) + // settlement strategy delay accounted for
-            SECONDS_IN_DAY * daysElapsed,
-          provider()
-        );
-      });
+    { daysElapsed: 1, newOrderSize: bn(-60) },
+    { daysElapsed: 1, newOrderSize: bn(15) },
+    { daysElapsed: 0.25, newOrderSize: bn(37) },
+    { daysElapsed: 2, newOrderSize: bn(-17) },
+    { daysElapsed: 0.2, newOrderSize: bn(155) },
+    { daysElapsed: 0.1, newOrderSize: bn(-150) },
+    { daysElapsed: 0.1, newOrderSize: bn(-15) },
+    { daysElapsed: 0.03, newOrderSize: bn(-4) },
+    { daysElapsed: 3, newOrderSize: bn(19) },
+  ].reduce(
+    (
+      { prevFrVelocity, prevFundingRate, prevAccruedFunding, prevSkew, accDaysElapsed },
+      { daysElapsed, newOrderSize }
+    ) => {
+      accDaysElapsed += daysElapsed;
+
+      // ACCRUED FUNDING CALC ----------------------------------------------
+      const currentSkew = prevSkew.add(newOrderSize);
+      const frVelocity = wei(currentSkew).div(_SKEW_SCALE).mul(_MAX_FUNDING_VELOCITY);
+      const fundingRate = prevFrVelocity.mul(daysElapsed).add(prevFundingRate);
+      const expectedAccruedFunding = Wei.avg(wei(prevFundingRate), wei(fundingRate))
+        .mul(_TRADER_SIZE)
+        .mul(_ETH_PRICE)
+        .mul(daysElapsed)
+        .add(prevAccruedFunding);
+      // END ACCRUED FUNDING CALC -------------------------------------------
 
-      before('trader2 moves skew', async () => {
-        await openPosition({
-          systems,
-          provider,
-          trader: trader2(),
-          accountId: 3,
-          keeper: trader2(),
-          marketId: ethMarket.marketId(),
-          sizeDelta: newOrderSize,
-          settlementStrategyId: ethMarket.strategyId(),
-          price: bn(2000),
+      describe(`after ${daysElapsed} days`, () => {
+        before('move time', async () => {
+          await fastForwardTo(
+            openPositionTime -
+              // this enables the market summary check to be as close as possible to the settlement time
+              (DEFAULT_SETTLEMENT_STRATEGY.settlementDelay - 1) + // settlement strategy delay accounted for
+              _SECONDS_IN_DAY * accDaysElapsed,
+            provider()
+          );
+        });
+
+        before('trader2 moves skew', async () => {
+          await openPosition({
+            systems,
+            provider,
+            trader: trader2(),
+            accountId: 3,
+            keeper: trader2(),
+            marketId: ethMarket.marketId(),
+            sizeDelta: newOrderSize,
+            settlementStrategyId: ethMarket.strategyId(),
+            price: bn(2000),
+          });
         });
-      });
 
-      it('funding accrued is correct', async () => {
-        const [, accruedFunding] = await systems().PerpsMarket.getOpenPosition(
-          2,
-          ethMarket.marketId()
-        );
-        assertBn.near(accruedFunding, expectedAccruedFunding, bn(0.1));
+        it('funding accrued is correct', async () => {
+          const [, accruedFunding] = await systems().PerpsMarket.getOpenPosition(
+            2,
+            ethMarket.marketId()
+          );
+          // using negative value because trader pnl
+          assertBn.near(accruedFunding, expectedAccruedFunding.mul(-1).toBN(), bn(0.1));
+        });
       });
-    });
-  });
+
+      return {
+        prevFrVelocity: frVelocity,
+        prevFundingRate: fundingRate,
+        prevAccruedFunding: expectedAccruedFunding,
+        prevSkew: currentSkew,
+        accDaysElapsed,
+      };
+    },
+    {
+      prevFrVelocity: wei(0.006),
+      prevFundingRate: wei(0),
+      prevAccruedFunding: wei(0),
+      prevSkew: wei(20),
+      accDaysElapsed: 0,
+    }
+  );
 });