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frank/full margin calcs #978

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Mar 27, 2024
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frank/full margin calcs #978

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1d62f04
full margin calcs
soundsonacid Mar 27, 2024
d865918
update match
soundsonacid Mar 27, 2024
e10f7ca
adjust directive placement
soundsonacid Mar 27, 2024
f27009b
change directive name
soundsonacid Mar 27, 2024
11ab5da
update
soundsonacid Mar 27, 2024
96b75c0
cargo fmt
soundsonacid Mar 27, 2024
bf115e8
changelog
soundsonacid Mar 27, 2024
1bc605c
changelog
soundsonacid Mar 27, 2024
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43 changes: 22 additions & 21 deletions CHANGELOG.md
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Original file line number Diff line number Diff line change
Expand Up @@ -10,12 +10,13 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
### Features
- program: add invariant check boolean for attempt settle revenue to insurance ([#937](https://github.com/drift-labs/protocol-v2/pull/937))
- program: improve best bid/ask estimate in mark twap update ([#975](https://github.com/drift-labs/protocol-v2/pull/975))
- program: add optional margin calculations for drift-rs ([#978](https://github.com/drift-labs/protocol-v2/pull/978))

### Fixes

### Breaking

## [2.74.0] - 2023-03-25
## [2.74.0] - 2024-03-25

### Features

Expand All @@ -28,7 +29,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.73.0] - 2023-03-15
## [2.73.0] - 2024-03-15

### Features

Expand All @@ -38,7 +39,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.72.0] - 2023-03-14
## [2.72.0] - 2024-03-14

### Features

Expand All @@ -55,7 +56,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.71.0] - 2023-03-11
## [2.71.0] - 2024-03-11

### Features

Expand All @@ -71,7 +72,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

- sdk: account for max confidence in isOracleValid ([#949](https://github.com/drift-labs/protocol-v2/pull/949))

## [2.70.0] - 2023-03-07
## [2.70.0] - 2024-03-07

### Features

Expand All @@ -81,7 +82,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.69.0] - 2023-03-06
## [2.69.0] - 2024-03-06

### Features

Expand All @@ -94,7 +95,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

- program: revert switchboard ([#935](https://github.com/drift-labs/protocol-v2/pull/935))

## [2.68.0] - 2023-03-05
## [2.68.0] - 2024-03-05

### Features

Expand All @@ -106,7 +107,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.67.0] - 2023-03-05
## [2.67.0] - 2024-03-05

### Features

Expand All @@ -117,7 +118,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.66.0] - 2023-02-28
## [2.66.0] - 2024-02-28

### Features

Expand All @@ -127,7 +128,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.65.0] - 2023-02-26
## [2.65.0] - 2024-02-26

### Features

Expand All @@ -141,7 +142,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.64.0] - 2023-02-20
## [2.64.0] - 2024-02-20

### Features

Expand All @@ -151,7 +152,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.63.0] - 2023-02-16
## [2.63.0] - 2024-02-16

### Features

Expand All @@ -167,7 +168,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.62.0] - 2023-02-14
## [2.62.0] - 2024-02-14

### Features

Expand All @@ -177,7 +178,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.61.0] - 2023-02-09
## [2.61.0] - 2024-02-09

### Features

Expand All @@ -190,7 +191,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.60.0] - 2023-02-07
## [2.60.0] - 2024-02-07

### Features

Expand All @@ -202,7 +203,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.59.0] - 2023-01-30
## [2.59.0] - 2024-01-30

### Features

Expand All @@ -213,7 +214,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.58.0] - 2023-01-27
## [2.58.0] - 2024-01-27

### Features

Expand All @@ -223,7 +224,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.57.0] - 2023-01-25
## [2.57.0] - 2024-01-25

### Features

Expand All @@ -233,7 +234,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.56.0] - 2023-01-24
## [2.56.0] - 2024-01-24

### Features

Expand All @@ -243,7 +244,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.55.0] - 2023-01-18
## [2.55.0] - 2024-01-18

### Features

Expand All @@ -253,7 +254,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking

## [2.54.0] - 2023-01-15
## [2.54.0] - 2024-01-15

### Features

Expand Down
1 change: 1 addition & 0 deletions programs/drift/Cargo.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -15,6 +15,7 @@ cpi = ["no-entrypoint"]
mainnet-beta=[]
anchor-test= []
default=["mainnet-beta"]
drift-rs=[]

[dependencies]
anchor-lang = "0.27.0"
Expand Down
19 changes: 3 additions & 16 deletions programs/drift/src/controller/amm/tests.rs
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Expand Up @@ -825,26 +825,13 @@ fn update_pool_balances_revenue_to_fee_test() {
assert_eq!(spot_market.insurance_fund.revenue_settle_period, 0);

spot_market.insurance_fund.revenue_settle_period = 0;
let res = settle_revenue_to_insurance_fund(
0,
0,
&mut spot_market,
now + 3600,
true,
)
.unwrap();
let res = settle_revenue_to_insurance_fund(0, 0, &mut spot_market, now + 3600, true).unwrap();
assert_eq!(res, 0);
spot_market.insurance_fund.revenue_settle_period = 1;

spot_market.revenue_pool.scaled_balance = 0;
let res = settle_revenue_to_insurance_fund(
200000000,
0,
&mut spot_market,
now + 1,
false,
)
.unwrap();
let res =
settle_revenue_to_insurance_fund(200000000, 0, &mut spot_market, now + 1, false).unwrap();
assert_eq!(res, 0);
spot_market.revenue_pool.scaled_balance = 100 * SPOT_BALANCE_PRECISION;
now += 2;
Expand Down
23 changes: 23 additions & 0 deletions programs/drift/src/math/margin.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -299,6 +299,9 @@ pub fn calculate_margin_requirement_and_total_collateral_and_liability_info(
match spot_position.balance_type {
SpotBalanceType::Deposit => {
calculation.add_total_collateral(token_value)?;

#[cfg(drift_rs)]
calculation.add_spot_asset_value(token_value)?;
}
SpotBalanceType::Borrow => {
let token_value = token_value.unsigned_abs();
Expand All @@ -318,6 +321,9 @@ pub fn calculate_margin_requirement_and_total_collateral_and_liability_info(
)?;

calculation.add_spot_liability()?;

#[cfg(drift_rs)]
calculation.add_spot_liability_value(token_value)?;
}
}
} else {
Expand Down Expand Up @@ -362,6 +368,9 @@ pub fn calculate_margin_requirement_and_total_collateral_and_liability_info(
Ordering::Greater => {
calculation
.add_total_collateral(worst_case_weighted_token_value.cast::<i128>()?)?;

#[cfg(drift_rs)]
calculation.add_spot_asset_value(worst_case_token_value)?;
}
Ordering::Less => {
validate!(
Expand Down Expand Up @@ -389,6 +398,9 @@ pub fn calculate_margin_requirement_and_total_collateral_and_liability_info(
calculation.update_with_spot_isolated_liability(
spot_market.asset_tier == AssetTier::Isolated,
);

#[cfg(drift_rs)]
calculation.add_spot_liability_value(worst_case_token_value.unsigned_abs())?;
}
Ordering::Equal => {
if spot_position.has_open_order() {
Expand All @@ -403,13 +415,19 @@ pub fn calculate_margin_requirement_and_total_collateral_and_liability_info(
match worst_case_orders_value.cmp(&0) {
Ordering::Greater => {
calculation.add_total_collateral(worst_case_orders_value.cast::<i128>()?)?;

#[cfg(drift_rs)]
calculation.add_spot_asset_value(worst_case_orders_value)?;
}
Ordering::Less => {
calculation.add_margin_requirement(
worst_case_orders_value.unsigned_abs(),
worst_case_orders_value.unsigned_abs(),
MarketIdentifier::spot(0),
)?;

#[cfg(drift_rs)]
calculation.add_spot_liability_value(worst_case_orders_value.unsigned_abs())?;
}
Ordering::Equal => {}
}
Expand Down Expand Up @@ -484,6 +502,11 @@ pub fn calculate_margin_requirement_and_total_collateral_and_liability_info(

calculation.add_total_collateral(weighted_pnl)?;

#[cfg(drift_rs)]
calculation.add_perp_liability_value(worst_case_base_asset_value)?;
#[cfg(drift_rs)]
calculation.add_perp_pnl(weighted_pnl)?;

let has_perp_liability = market_position.base_asset_amount != 0
|| market_position.quote_asset_amount < 0
|| market_position.has_open_order()
Expand Down
30 changes: 30 additions & 0 deletions programs/drift/src/state/margin_calculation.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -130,6 +130,7 @@ pub struct MarginCalculation {
pub total_spot_asset_value: i128,
pub total_spot_liability_value: u128,
pub total_perp_liability_value: u128,
pub total_perp_pnl: i128,
pub open_orders_margin_requirement: u128,
tracked_market_margin_requirement: u128,
}
Expand All @@ -149,6 +150,7 @@ impl MarginCalculation {
total_spot_asset_value: 0,
total_spot_liability_value: 0,
total_perp_liability_value: 0,
total_perp_pnl: 0,
open_orders_margin_requirement: 0,
tracked_market_margin_requirement: 0,
}
Expand Down Expand Up @@ -204,6 +206,34 @@ impl MarginCalculation {
Ok(())
}

#[cfg(drift_rs)]
pub fn add_spot_asset_value(&mut self, spot_asset_value: i128) -> DriftResult {
self.total_spot_asset_value = self.total_spot_asset_value.safe_add(spot_asset_value)?;
Ok(())
}

#[cfg(drift_rs)]
pub fn add_spot_liability_value(&mut self, spot_liability_value: u128) -> DriftResult {
self.total_spot_liability_value = self
.total_spot_liability_value
.safe_add(spot_liability_value)?;
Ok(())
}

#[cfg(drift_rs)]
pub fn add_perp_liability_value(&mut self, perp_liability_value: u128) -> DriftResult {
self.total_perp_liability_value = self
.total_perp_liability_value
.safe_add(perp_liability_value)?;
Ok(())
}

#[cfg(drift_rs)]
pub fn add_perp_pnl(&mut self, perp_upnl: i128) -> DriftResult {
self.total_perp_upnl = self.total_perp_upnl.safe_add(perp_upnl)?;
Ok(())
}

pub fn update_all_oracles_valid(&mut self, valid: bool) {
self.all_oracles_valid &= valid;
}
Expand Down
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