Market debt #1700

leomassazza · 2023-07-03T14:19:03Z

No description provided.

codecov · 2023-07-18T15:03:46Z

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Merging #1700 (dbbfe29) into main (08ea86d) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##             main    #1700   +/-   ##
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  Coverage   72.77%   72.77%           
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  Files          57       57           
  Lines         720      720           
  Branches      236      236           
=======================================
  Hits          524      524           
  Misses        167      167           
  Partials       29       29

Flag	Coverage Δ
core-contracts	`93.26% <ø> (ø)`
core-modules	`90.47% <ø> (ø)`
core-utils	`68.57% <ø> (ø)`

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sunnyvempati · 2023-07-22T13:56:32Z

markets/perps-market/contracts/modules/PerpsMarketFactoryModule.sol

+            }
+
+            // TODO Should revert if totalDebt is positive and larger than totalCollateralValue???
+            return MathUtil.abs(totalCollateralValue.toInt() - totalDebt);


absolute value here is wrong. lets return 0 if totalDebt is larger than the total collateral value.

this is super edge case where liquidations aren't happening properly and the market continues accruing debt. regardless, if this does happen, the debt is just 0; the LPs could continue accruing value but there's no real way to pay that out since we already have all of trader's collateral.

also shouldn't it be totalCollateralValue + totalDebt?

example 1: total collateral: $1000 total markets debt: $500 reported Debt == $1500 example 2: total collateral value = $1000 total market debt = -$800 reported debt = $200

Need to double check together with the + or - on oldPositionPnl since it depends on how marketDebt is seen (if positive or negative)

sunnyvempati · 2023-07-24T09:31:55Z

markets/perps-market/contracts/storage/PerpsMarket.sol

+
+        self.debtCorrectionAccumulator +=
+            currentPrice.toInt() *
+            (newPosition.size - oldPositionSize) -


looks like this is + oldPositionPnl in the sheet? i could be wrong but just double check

sunnyvempati

some comments but lgtm!

sunnyvempati · 2023-07-26T12:03:13Z

markets/perps-market/contracts/modules/LiquidationModule.sol

@@ -36,7 +36,7 @@ contract LiquidationModule is ILiquidationModule {
            .load()
            .liquidatableAccounts;

-        for (uint i = 0; i < liquidatableAccounts.length(); i++) {
+        for (uint i = 1; i <= liquidatableAccounts.length(); i++) {


fixed this in my PR; we actually can't use liquidateAccounts directly because if there's a full account liquidation, it gets removed and we get an error. instead i move the liquidate accounts values into an array in memory which solves the issue 👍🏽

feel free to keep this; and i'll fix merge conflict or vice versa depending on which PR goes in first

I'll keep it otherwise tests will fail, but will fix if your PR comes first

markets/perps-market/contracts/modules/PerpsMarketFactoryModule.sol

sunnyvempati · 2023-07-26T12:05:28Z

markets/perps-market/contracts/modules/PerpsMarketFactoryModule.sol

+            }
+        }
+
+        // TODO Should revert if perpsMarketId is not correct???


0 is fine. we probably should never revert on reported debt since it could brick the core system

sunnyvempati · 2023-07-26T12:23:32Z

markets/perps-market/contracts/storage/PerpsMarket.sol

+        uint currentPrice = newPosition.latestInteractionPrice;
+        (int oldPositionPnl, , , ) = oldPosition.getPnl(currentPrice);
+
+        self.debtCorrectionAccumulator +=
+            currentPrice.toInt().mulDecimal(newPosition.size - oldPositionSize) +
+            oldPositionPnl;


do we need to do anything with accumulator on liquidiations? i dont think so since it becomes realized right? i'll think through this a bit more

most likely yes. Maybe the numbers get balanced together, but not completely sure on some corner cases

sunnyvempati

hey, suggested some changes. verified on the google sheet, but this makes the most sense to me. let me know your thoughts

sunnyvempati · 2023-07-26T22:19:28Z

markets/perps-market/contracts/storage/PerpsMarket.sol

+        uint currentPrice = newPosition.latestInteractionPrice;
+        (int oldPositionPnl, , , ) = oldPosition.getPnl(currentPrice);
+
+        self.debtCorrectionAccumulator +=
+            currentPrice.toInt().mulDecimal(newPosition.size - oldPositionSize) +
+            oldPositionPnl;


Suggested change

uint currentPrice = newPosition.latestInteractionPrice;

(int oldPositionPnl, , , ) = oldPosition.getPnl(currentPrice);

self.debtCorrectionAccumulator +=

currentPrice.toInt().mulDecimal(newPosition.size - oldPositionSize) +

oldPositionPnl;

uint currentPrice = newPosition.latestInteractionPrice;

(int oldPositionPnl, int accruedFunding, , ) = oldPosition.getPnl(currentPrice);

self.debtCorrectionAccumulator +=

currentPrice.toInt().mulDecimal(newPosition.size - oldPositionSize) +

oldPositionPnl - accruedFunding; // don't include accrued funding in this

sunnyvempati · 2023-07-26T22:21:51Z

markets/perps-market/contracts/storage/PerpsMarket.sol

+    function marketDebt(Data storage self, uint price) internal view returns (int) {
+        // all positions sizes multiplied by the price is equivalent to skew times price
+        // and the debt correction accumulator is the sum of all positions pnl
+
+        return self.skew.mulDecimal(price.toInt()) - self.debtCorrectionAccumulator;
+    }


Suggested change

function marketDebt(Data storage self, uint price) internal view returns (int) {

// all positions sizes multiplied by the price is equivalent to skew times price

// and the debt correction accumulator is the sum of all positions pnl

return self.skew.mulDecimal(price.toInt()) - self.debtCorrectionAccumulator;

}

function marketDebt(Data storage self, uint price) internal view returns (int) {

// all positions sizes multiplied by the price is equivalent to skew times price

// and the debt correction accumulator is the sum of all positions pnl

int traderUnrealizedPnl = self.skew.mulDecimal(price.toInt()) - self.debtCorrectionAccumulator;

int totalAccruedFunding = self.skew.mulDecimal(price.toInt()).mulDecimal(currentFundingRate();

return traderUnrealizedPnl + totalAccruedFunding;

}

this will take care of unrealized funding. if we subtract it out of the accumulator then it would be counted double, so we only use trader pnl in the accumulator.

…e.sol Co-authored-by: Sunny Vempati <[email protected]>

leomassazza self-assigned this Jul 18, 2023

sunnyvempati suggested changes Jul 24, 2023

View reviewed changes

leomassazza marked this pull request as ready for review July 24, 2023 19:53

sunnyvempati approved these changes Jul 26, 2023

View reviewed changes

sunnyvempati suggested changes Jul 26, 2023

View reviewed changes

sunnyvempati force-pushed the market-debt branch from e7b110b to d1258b9 Compare July 28, 2023 14:10

leomassazza and others added 18 commits July 28, 2023 13:31

checkpoint - conceptual

d057411

template test

2717dbf

some comments

77bfdcd

checkpoint: use requestedMarketId

68fcb99

linting

1af0859

compute reported debt

964d0d0

doc fix (spotted)

eaf70b5

market debt

be5dc19

checkpoint

f3c0378

wip: checkpoint

d68a24b

tests passing (and makes sense)

784aa74

lint fix

9a97850

rogue validation

df5c1ec

Update markets/perps-market/contracts/modules/PerpsMarketFactoryModul…

f4b3a40

…e.sol Co-authored-by: Sunny Vempati <[email protected]>

wip test

4f60090

wip test

4a08a2e

test reported debt with funding and partial liquidations

ee4dd3e

remove console log

25d2cb9

sunnyvempati force-pushed the market-debt branch from d1258b9 to 25d2cb9 Compare July 28, 2023 19:08

sunnyvempati added 2 commits July 29, 2023 16:24

small cleanup

fd6c327

fix interface

dbbfe29

sunnyvempati approved these changes Jul 31, 2023

View reviewed changes

sunnyvempati self-assigned this Jul 31, 2023

sunnyvempati enabled auto-merge (squash) July 31, 2023 13:15

sunnyvempati merged commit 3d52128 into main Jul 31, 2023
18 of 19 checks passed

sunnyvempati deleted the market-debt branch July 31, 2023 13:17

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Market debt #1700

Market debt #1700

leomassazza commented Jul 3, 2023

codecov bot commented Jul 18, 2023 •

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Market debt #1700

Market debt #1700

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leomassazza commented Jul 3, 2023

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codecov bot commented Jul 18, 2023 •

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