Fill price js impl

markets/perps-market/test/integration/Market/PerpsMarketModule.test.ts

@@ -2,7 +2,8 @@ import { ethers } from 'ethers';
 import assertBn from '@synthetixio/core-utils/src/utils/assertions/assert-bignumber';
 import { bn, bootstrapMarkets } from '../bootstrap';
 import { OpenPositionData, openPosition } from '../helpers';
-import { formatEther } from 'ethers/lib/utils';
+import { wei } from '@synthetixio/wei';
+import { calculateFillPrice } from '../helpers/fillPrice';
 import { snapshotCheckpoint } from '@synthetixio/core-utils/utils/mocha/snapshot';
 
 describe('PerpsMarketModule', () => {
@@ -96,29 +97,29 @@ describe('PerpsMarketModule', () => {
     const tests = [
       {
         marketSkew: 0,
-        sizeAndExpectedPrice: [
-          { size: 1, price: bn(1010), expectedPrice: bn(1010.0505) },
-          { size: -1, price: bn(1010), expectedPrice: bn(1009.9495) },
+        sizeAndPrice: [
+          { size: 1, price: 1010 },
+          { size: -1, price: 1010 },
         ],
       },
       {
         marketSkew: 10,
-        sizeAndExpectedPrice: [
-          { size: 1, price: bn(1010), expectedPrice: bn(1011.0605) },
-          { size: -1, price: bn(1010), expectedPrice: bn(1010.9595) },
-          { size: -11, price: bn(1010), expectedPrice: bn(1010.4545) },
+        sizeAndPrice: [
+          { size: 1, price: 1010 },
+          { size: -1, price: 1010 },
+          { size: -11, price: 1010 },
         ],
       },
       {
         marketSkew: -10,
-        sizeAndExpectedPrice: [
-          { size: 1, price: bn(1010), expectedPrice: bn(1009.0405) },
-          { size: -1, price: bn(1010), expectedPrice: bn(1008.9395) },
-          { size: 11, price: bn(1010), expectedPrice: bn(1009.5455) },
+        sizeAndPrice: [
+          { size: 1, price: 1010 },
+          { size: -1, price: 1010 },
+          { size: 11, price: 1010 },
         ],
       },
     ];
-    tests.forEach(({ marketSkew, sizeAndExpectedPrice }) => {
+    tests.forEach(({ marketSkew, sizeAndPrice }) => {
       describe(`marketSkew ${marketSkew}`, () => {
         const restoreMarketSkew = snapshotCheckpoint(provider);
         before('create market skew', async () => {
@@ -129,10 +130,17 @@ describe('PerpsMarketModule', () => {
             price: fixture.marketTokenPrice,
           });
         });
-        sizeAndExpectedPrice.forEach(({ size, price, expectedPrice }) => {
-          it(`fillPrice for size ${size} and price ${formatEther(price)}`, async () => {
-            const fillPrice = await systems().PerpsMarket.fillPrice(marketId, bn(size), price);
-            assertBn.equal(fillPrice, expectedPrice);
+        sizeAndPrice.forEach(({ size, price }) => {
+          it(`fillPrice for size ${size} and price ${price}`, async () => {
+            const fillPrice = await systems().PerpsMarket.fillPrice(marketId, bn(size), bn(price));
+            const expectedFillPrice = calculateFillPrice(
+              wei(marketSkew),
+              wei(fixture.skewScale),
+              wei(size),
+              wei(price)
+            ).toBN();
+
+            assertBn.equal(fillPrice, expectedFillPrice);
           });
         });
         after('restore market skew', restoreMarketSkew);

markets/perps-market/test/integration/Orders/OffchainAsyncOrder.settle.test.ts

@@ -8,6 +8,7 @@ import assertBn from '@synthetixio/core-utils/utils/assertions/assert-bignumber'
 import assertEvent from '@synthetixio/core-utils/utils/assertions/assert-event';
 import assertRevert from '@synthetixio/core-utils/utils/assertions/assert-revert';
 import { getTxTime } from '@synthetixio/core-utils/src/utils/hardhat/rpc';
+import { calculateFillPrice } from '../helpers/fillPrice';
 import { wei } from '@synthetixio/wei';
 import { calcCurrentFundingVelocity } from '../helpers/funding-calcs';
 
@@ -382,10 +383,8 @@ describe('Settle Offchain Async Order test', () => {
           });
 
           it('emits event settle event', async () => {
-            // TODO Calculate the correct fill price instead of hardcoding
-
             const accountId = 2;
-            const fillPrice = bn(1000.005);
+            const fillPrice = calculateFillPrice(wei(0), wei(100_000), wei(1), wei(1000)).toBN();
             const pnl = 0;
             const newPositionSize = bn(1);
             const totalFees = DEFAULT_SETTLEMENT_STRATEGY.settlementReward;

markets/perps-market/test/integration/helpers/fillPrice.ts

@@ -0,0 +1,19 @@
+import Wei from '@synthetixio/wei';
+
+// Calculates PD
+const calculatePD = (skew: Wei, skewScale: Wei) => skew.div(skewScale);
+// Calculates the price with pd applied
+const calculateAdjustedPrice = (price: Wei, pd: Wei) => price.add(price.mul(pd));
+
+export function calculateFillPrice(skew: Wei, skewScale: Wei, size: Wei, price: Wei) {
+  if (skewScale.eq(0)) {
+    return price;
+  }
+  const pdBefore = calculatePD(skew, skewScale);
+  const pdAfter = calculatePD(skew.add(size), skewScale);
+
+  const priceBefore = calculateAdjustedPrice(price, pdBefore);
+  const priceAfter = calculateAdjustedPrice(price, pdAfter);
+
+  return priceBefore.add(priceAfter).div(2);
+}