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Add baseline swap to funding fee calculation #10

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Merged
kwon-t merged 1 commit into from
Nov 21, 2025
Merged

Add baseline swap to funding fee calculation #10

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91 changes: 60 additions & 31 deletions contracts/config/Config.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -49,7 +49,7 @@ contract Config is ReentrancyGuard, RoleModule, BasicMulticall {
eventEmitter = _eventEmitter;

_initAllowedBaseKeys();
_initAllowedLimitedBaseKeys();
// _initAllowedLimitedBaseKeys();
}

modifier onlyKeeper() {
Expand Down Expand Up @@ -231,6 +231,32 @@ contract Config is ReentrancyGuard, RoleModule, BasicMulticall {
);
}

function setBaselineSwap(
address market,
uint256 baselineSwapPerDay,
bool longsPayShorts
) external onlyConfigKeeper nonReentrant {
dataStore.setBool(Keys.baselineSwapLongsPayShortsKey(market), longsPayShorts);
dataStore.setUint(Keys.baselineSwapPerDayKey(market), baselineSwapPerDay);

EventUtils.EventLogData memory eventData;

eventData.addressItems.initItems(1);
eventData.addressItems.setItem(0, "market", market);

eventData.uintItems.initItems(1);
eventData.uintItems.setItem(0, "baselineSwapPerDay", baselineSwapPerDay);

eventData.boolItems.initItems(1);
eventData.boolItems.setItem(0, "longsPayShorts", longsPayShorts);

eventEmitter.emitEventLog1(
"SetBaselineSwap",
Cast.toBytes32(market),
eventData
);
}

// @dev set a bool value
// @param baseKey the base key of the value to set
// @param data the additional data to be combined with the base key
Expand Down Expand Up @@ -554,32 +580,35 @@ contract Config is ReentrancyGuard, RoleModule, BasicMulticall {

allowedBaseKeys[Keys.DATA_STREAM_INVERTED] = true;
allowedBaseKeys[Keys.DATA_STREAM_SPREAD_REDUCTION_FACTOR] = true;
}

function _initAllowedLimitedBaseKeys() internal {
allowedLimitedBaseKeys[Keys.ESTIMATED_GAS_FEE_BASE_AMOUNT_V2_1] = true;
allowedLimitedBaseKeys[Keys.ESTIMATED_GAS_FEE_PER_ORACLE_PRICE] = true;
allowedLimitedBaseKeys[Keys.ESTIMATED_GAS_FEE_MULTIPLIER_FACTOR] = true;

allowedLimitedBaseKeys[Keys.EXECUTION_GAS_FEE_BASE_AMOUNT_V2_1] = true;
allowedLimitedBaseKeys[Keys.EXECUTION_GAS_FEE_PER_ORACLE_PRICE] = true;
allowedLimitedBaseKeys[Keys.EXECUTION_GAS_FEE_MULTIPLIER_FACTOR] = true;

allowedLimitedBaseKeys[Keys.MAX_FUNDING_FACTOR_PER_SECOND] = true;
allowedLimitedBaseKeys[Keys.MIN_FUNDING_FACTOR_PER_SECOND] = true;
allowedLimitedBaseKeys[Keys.FUNDING_INCREASE_FACTOR_PER_SECOND] = true;
allowedLimitedBaseKeys[Keys.FUNDING_DECREASE_FACTOR_PER_SECOND] = true;

allowedLimitedBaseKeys[Keys.MAX_POOL_AMOUNT] = true;
allowedLimitedBaseKeys[Keys.MAX_POOL_USD_FOR_DEPOSIT] = true;
allowedLimitedBaseKeys[Keys.MAX_OPEN_INTEREST] = true;

allowedLimitedBaseKeys[Keys.GLV_MAX_MARKET_TOKEN_BALANCE_USD] = true;
allowedLimitedBaseKeys[Keys.GLV_MAX_MARKET_TOKEN_BALANCE_AMOUNT] = true;

allowedLimitedBaseKeys[Keys.PRO_TRADER_TIER] = true;
allowedBaseKeys[Keys.BASELINE_SWAP_LONGS_PAY_SHORTS] = true;
allowedBaseKeys[Keys.BASELINE_SWAP_PER_DAY] = true;
}

// function _initAllowedLimitedBaseKeys() internal {
// allowedLimitedBaseKeys[Keys.ESTIMATED_GAS_FEE_BASE_AMOUNT_V2_1] = true;
// allowedLimitedBaseKeys[Keys.ESTIMATED_GAS_FEE_PER_ORACLE_PRICE] = true;
// allowedLimitedBaseKeys[Keys.ESTIMATED_GAS_FEE_MULTIPLIER_FACTOR] = true;
//
// allowedLimitedBaseKeys[Keys.EXECUTION_GAS_FEE_BASE_AMOUNT_V2_1] = true;
// allowedLimitedBaseKeys[Keys.EXECUTION_GAS_FEE_PER_ORACLE_PRICE] = true;
// allowedLimitedBaseKeys[Keys.EXECUTION_GAS_FEE_MULTIPLIER_FACTOR] = true;
//
// allowedLimitedBaseKeys[Keys.MAX_FUNDING_FACTOR_PER_SECOND] = true;
// allowedLimitedBaseKeys[Keys.MIN_FUNDING_FACTOR_PER_SECOND] = true;
// allowedLimitedBaseKeys[Keys.FUNDING_INCREASE_FACTOR_PER_SECOND] = true;
// allowedLimitedBaseKeys[Keys.FUNDING_DECREASE_FACTOR_PER_SECOND] = true;
//
// allowedLimitedBaseKeys[Keys.MAX_POOL_AMOUNT] = true;
// allowedLimitedBaseKeys[Keys.MAX_POOL_USD_FOR_DEPOSIT] = true;
// allowedLimitedBaseKeys[Keys.MAX_OPEN_INTEREST] = true;
//
// allowedLimitedBaseKeys[Keys.GLV_MAX_MARKET_TOKEN_BALANCE_USD] = true;
// allowedLimitedBaseKeys[Keys.GLV_MAX_MARKET_TOKEN_BALANCE_AMOUNT] = true;
//
// allowedLimitedBaseKeys[Keys.PRO_TRADER_TIER] = true;
// }

// @dev validate that the baseKey is allowed to be used
// @param baseKey the base key to validate
function _validateKey(bytes32 baseKey) internal view {
Expand All @@ -591,13 +620,13 @@ contract Config is ReentrancyGuard, RoleModule, BasicMulticall {
return;
}

if (roleStore.hasRole(msg.sender, Role.LIMITED_CONFIG_KEEPER)) {
if (!allowedLimitedBaseKeys[baseKey]) {
revert Errors.InvalidBaseKey(baseKey);
}

return;
}
// if (roleStore.hasRole(msg.sender, Role.LIMITED_CONFIG_KEEPER)) {
// if (!allowedLimitedBaseKeys[baseKey]) {
// revert Errors.InvalidBaseKey(baseKey);
// }
//
// return;
// }

revert Errors.InvalidBaseKey(baseKey);
}
Expand Down
25 changes: 25 additions & 0 deletions contracts/data/Keys.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -482,6 +482,11 @@ library Keys {
// @dev constant for user initiated cancel reason
string public constant USER_INITIATED_CANCEL = "USER_INITIATED_CANCEL";

// @dev key for the baseline swap direction (true for long to short, false for short to long) for a market
bytes32 public constant BASELINE_SWAP_LONGS_PAY_SHORTS = keccak256(abi.encode("BASELINE_SWAP_LONGS_PAY_SHORTS"));
// @dev key for the baseline swap amount per day for a market
bytes32 public constant BASELINE_SWAP_PER_DAY = keccak256(abi.encode("BASELINE_SWAP_PER_DAY"));

// @dev function used to calculate fullKey for a given market parameter
// @param baseKey the base key for the market parameter
// @param data the additional data for the market parameter
Expand Down Expand Up @@ -2126,4 +2131,24 @@ library Keys {
token
));
}

// @dev key for the baseline swap direction (true for long to short, false for short to long) for a market
// @param market the market to check
// @return key for baseline swap direction
function baselineSwapLongsPayShortsKey(address market) internal pure returns (bytes32) {
return keccak256(abi.encode(
BASELINE_SWAP_LONGS_PAY_SHORTS,
market
));
}

// @dev key for the baseline swap amount per day for a market
// @param market the market to check
// @return key for baseline swap amount per day
function baselineSwapPerDayKey(address market) internal pure returns (bytes32) {
return keccak256(abi.encode(
BASELINE_SWAP_PER_DAY,
market
));
}
}
27 changes: 26 additions & 1 deletion contracts/market/MarketUtils.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -1160,6 +1160,31 @@ library MarketUtils {
cache.fundingUsd = Precision.applyFactor(cache.sizeOfLargerSide, cache.durationInSeconds * result.fundingFactorPerSecond);
cache.fundingUsd = cache.fundingUsd / divisor;

// calculate a baseline swap rate for certain markets (e.g. forex markets)
// and adjust the fundingUsd value accordingly
bool swapLongsPayShorts = dataStore.getBool(Keys.baselineSwapLongsPayShortsKey(market.marketToken));
uint256 swapPerDay = dataStore.getUint(Keys.baselineSwapPerDayKey(market.marketToken));
uint256 swapPerSecond = swapPerDay / 86400;

if (swapPerSecond > 0) {
uint256 baselineSwapUsd = Precision.applyFactor(
swapLongsPayShorts ? cache.shortOpenInterest : cache.longOpenInterest,
cache.durationInSeconds * swapPerSecond
);

if (result.longsPayShorts == swapLongsPayShorts) {
cache.fundingUsd += baselineSwapUsd;

} else {
if (cache.fundingUsd >= baselineSwapUsd) {
cache.fundingUsd -= baselineSwapUsd;
} else {
cache.fundingUsd = baselineSwapUsd - cache.fundingUsd;
result.longsPayShorts = !result.longsPayShorts;
}
}
}

// split the fundingUsd value by long and short collateral
// e.g. if the fundingUsd value is $500, and there is $1000 of long open interest using long collateral and $4000 of long open interest
// with short collateral, then $100 of funding fees should be paid from long positions using long collateral, $400 of funding fees
Expand Down Expand Up @@ -1720,7 +1745,7 @@ library MarketUtils {
// @param market the position's market
// @param prices the prices of the market tokens
// @return the borrowing fees for a position
function getNextBorrowingFees(DataStore dataStore, Position.Props memory position, Market.Props memory market, MarketPrices memory prices) internal view returns (uint256) {
function getNextBorrowingFees(DataStore dataStore, Position.Props memory position, Market.Props memory market, MarketPrices memory prices) external view returns (uint256) {
(uint256 nextCumulativeBorrowingFactor, /* uint256 delta */) = getNextCumulativeBorrowingFactor(
dataStore,
market,
Expand Down
2 changes: 1 addition & 1 deletion deploy/deployReaderPositionUtils.ts
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Expand Up @@ -2,7 +2,7 @@ import { createDeployFunction } from "../utils/deploy";

const func = createDeployFunction({
contractName: "ReaderPositionUtils",
libraryNames: ["MarketStoreUtils", "PositionStoreUtils", "PositionUtils", "ReaderPricingUtils"],
libraryNames: ["MarketUtils", "MarketStoreUtils", "PositionStoreUtils", "PositionUtils", "ReaderPricingUtils"],
});

export default func;
26 changes: 13 additions & 13 deletions test/config/Config.ts
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Expand Up @@ -69,19 +69,19 @@ describe("Config", () => {
.withArgs(keys.POOL_AMOUNT);
});

it("allows LIMITED_CONFIG_KEEPER to set allowedLimitedBaseKeys", async () => {
expect(await dataStore.getAddress(keys.HOLDING_ADDRESS)).eq(AddressZero);
await config.connect(user0).setAddress(keys.HOLDING_ADDRESS, "0x", user1.address);
expect(await dataStore.getAddress(keys.HOLDING_ADDRESS)).eq(user1.address);

await expect(config.connect(user2).setAddress(keys.HOLDING_ADDRESS, "0x", user2.address))
.to.be.revertedWithCustomError(errorsContract, "InvalidBaseKey")
.withArgs(keys.HOLDING_ADDRESS);

expect(await dataStore.getUint(keys.ESTIMATED_GAS_FEE_BASE_AMOUNT_V2_1), "0");
await config.connect(user2).setUint(keys.ESTIMATED_GAS_FEE_BASE_AMOUNT_V2_1, "0x", "200");
expect(await dataStore.getUint(keys.ESTIMATED_GAS_FEE_BASE_AMOUNT_V2_1), "200");
});
// it("allows LIMITED_CONFIG_KEEPER to set allowedLimitedBaseKeys", async () => {
// expect(await dataStore.getAddress(keys.HOLDING_ADDRESS)).eq(AddressZero);
// await config.connect(user0).setAddress(keys.HOLDING_ADDRESS, "0x", user1.address);
// expect(await dataStore.getAddress(keys.HOLDING_ADDRESS)).eq(user1.address);
//
// await expect(config.connect(user2).setAddress(keys.HOLDING_ADDRESS, "0x", user2.address))
// .to.be.revertedWithCustomError(errorsContract, "InvalidBaseKey")
// .withArgs(keys.HOLDING_ADDRESS);
//
// expect(await dataStore.getUint(keys.ESTIMATED_GAS_FEE_BASE_AMOUNT_V2_1), "0");
// await config.connect(user2).setUint(keys.ESTIMATED_GAS_FEE_BASE_AMOUNT_V2_1, "0x", "200");
// expect(await dataStore.getUint(keys.ESTIMATED_GAS_FEE_BASE_AMOUNT_V2_1), "200");
// });

it("setBool", async () => {
const key = keys.isMarketDisabledKey(ethUsdMarket.marketToken);
Expand Down
11 changes: 11 additions & 0 deletions utils/keys.ts
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Expand Up @@ -265,6 +265,9 @@ export const VALID_FROM_TIME = hashString("VALID_FROM_TIME");

export const ASSET_TOKEN = hashString("ASSET_TOKEN");

export const BASELINE_SWAP_LONGS_PAY_SHORTS = hashString("BASELINE_SWAP_LONGS_PAY_SHORTS");
export const BASELINE_SWAP_PER_DAY = hashString("BASELINE_SWAP_PER_DAY");

export function accountDepositListKey(account) {
return hashData(["bytes32", "address"], [ACCOUNT_DEPOSIT_LIST, account]);
}
Expand Down Expand Up @@ -816,3 +819,11 @@ export function withdrawableBuybackTokenAmountKey(buybackToken: string) {
export function assetTokenKey(asset: string) {
return hashData(["bytes32", "string"], [ASSET_TOKEN, asset]);
}

export function baselineSwapLongsPayShortsKey(market: string) {
return hashData(["bytes32", "address"], [BASELINE_SWAP_LONGS_PAY_SHORTS, market]);
}

export function baselineSwapPerDayKey(market: string) {
return hashData(["bytes32", "address"], [BASELINE_SWAP_PER_DAY, market]);
}