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add megavault withdrawal fee estimation
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,51 @@ | ||
| package vault | ||
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| import ( | ||
| "math/big" | ||
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|
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| "github.com/dydxprotocol/v4-chain/protocol/lib" | ||
| pricestypes "github.com/dydxprotocol/v4-chain/protocol/x/prices/types" | ||
| "github.com/dydxprotocol/v4-chain/protocol/x/vault/types" | ||
| ) | ||
|
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| // SkewAntiderivativePpm returns the antiderivative of skew given a vault's skew | ||
| // factor and leverage. | ||
| // skew_antiderivative_ppm = skew_factor * leverage^2 + skew_factor^2 * leverage^3 / 3 | ||
| func SkewAntiderivativePpm( | ||
| skewFactorPpm uint32, | ||
| leveragePpm *big.Int, | ||
| ) *big.Int { | ||
| bigSkewFactorPpm := new(big.Int).SetUint64(uint64(skewFactorPpm)) | ||
| bigOneTrillion := lib.BigIntOneTrillion() | ||
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| // a = skew_factor * leverage^2. | ||
| a := new(big.Int).Mul(leveragePpm, leveragePpm) | ||
| a.Mul(a, bigSkewFactorPpm) | ||
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| // b = skew_factor^2 * leverage^3 / 3. | ||
| b := new(big.Int).Set(a) | ||
| b.Mul(b, leveragePpm) | ||
| b.Mul(b, bigSkewFactorPpm) | ||
| b = lib.BigDivCeil(b, big.NewInt(3)) | ||
|
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||
| // normalize a and b. | ||
| a = lib.BigDivCeil(a, bigOneTrillion) | ||
| b = lib.BigDivCeil(b, bigOneTrillion) | ||
| b = lib.BigDivCeil(b, bigOneTrillion) | ||
|
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| // return a + b. | ||
| return a.Add(a, b) | ||
| } | ||
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| // SpreadPpm returns the spread that a vault should quote at given its | ||
| // quoting params and corresponding market param. | ||
| // spread_ppm = max(spread_min_ppm, spread_buffer_ppm + min_price_change_ppm) | ||
| func SpreadPpm( | ||
| quotingParams *types.QuotingParams, | ||
| marketParam *pricestypes.MarketParam, | ||
| ) uint32 { | ||
| return lib.Max( | ||
| quotingParams.SpreadMinPpm, | ||
| quotingParams.SpreadBufferPpm+marketParam.MinPriceChangePpm, | ||
| ) | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,118 @@ | ||
| package vault_test | ||
|
|
||
| import ( | ||
| "math/big" | ||
| "testing" | ||
|
|
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| "github.com/stretchr/testify/require" | ||
|
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| "github.com/dydxprotocol/v4-chain/protocol/lib/vault" | ||
| pricestypes "github.com/dydxprotocol/v4-chain/protocol/x/prices/types" | ||
| "github.com/dydxprotocol/v4-chain/protocol/x/vault/types" | ||
| ) | ||
|
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||
| func TestSkewAntiderivativePpm(t *testing.T) { | ||
| tests := map[string]struct { | ||
| skewFactorPpm uint32 | ||
| leveragePpm *big.Int | ||
| expected *big.Int | ||
| }{ | ||
| "Zero skew factor and leverage": { | ||
| skewFactorPpm: 0, | ||
| leveragePpm: big.NewInt(0), | ||
| expected: big.NewInt(0), | ||
| }, | ||
| "Non-zero skew factor, zero leverage": { | ||
| skewFactorPpm: 1_000_000, | ||
| leveragePpm: big.NewInt(0), | ||
| expected: big.NewInt(0), | ||
| }, | ||
| "Zero skew factor, non-zero leverage": { | ||
| skewFactorPpm: 0, | ||
| leveragePpm: big.NewInt(1_000_000), | ||
| expected: big.NewInt(0), | ||
| }, | ||
| "Small skew factor and small positive leverage": { | ||
| skewFactorPpm: 500_000, // 0.5 | ||
| leveragePpm: big.NewInt(800_000), // 0.8 | ||
| // 0.5 * 0.8^2 + 0.5^2 * 0.8^3 / 3 ~= 0.362666 | ||
| // round up to 0.362667 | ||
| expected: big.NewInt(362_667), | ||
| }, | ||
| "Small skew factor and small negative leverage": { | ||
| skewFactorPpm: 500_000, // 0.5 | ||
| leveragePpm: big.NewInt(-800_000), // -0.8 | ||
| // 0.5 * (-0.8)^2 + 0.5^2 * (-0.8)^3 / 3 ~= 0.277333 | ||
| // round up to 0.277334 | ||
| expected: big.NewInt(277_334), | ||
| }, | ||
| "Large skew factor and large positive leverage": { | ||
| skewFactorPpm: 5_000_000, // 5 | ||
| leveragePpm: big.NewInt(8_700_000), // 8.7 | ||
| // 5 * (8.7)^2 + 5^2 * (8.7)^3 / 3 = 5865.975 | ||
| expected: big.NewInt(5_865_975_000), | ||
| }, | ||
| "Large skew factor and large negative leverage": { | ||
| skewFactorPpm: 5_000_000, // 5 | ||
| leveragePpm: big.NewInt(-8_700_000), // -8.7 | ||
| // 5 * (-8.7)^2 + 5^2 * (-8.7)^3 / 3 = -5109.075 | ||
| expected: big.NewInt(-5_109_075_000), | ||
| }, | ||
| } | ||
|
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| for name, tc := range tests { | ||
| t.Run(name, func(t *testing.T) { | ||
| actual := vault.SkewAntiderivativePpm(tc.skewFactorPpm, tc.leveragePpm) | ||
| require.Equal(t, tc.expected, actual) | ||
| }) | ||
| } | ||
| } | ||
|
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| func TestSpreadPpm(t *testing.T) { | ||
| tests := map[string]struct { | ||
| quotingParams *types.QuotingParams | ||
| marketParam *pricestypes.MarketParam | ||
| expected uint32 | ||
| }{ | ||
| "SpreadMinPpm > SpreadBufferPpm + MinPriceChangePpm": { | ||
| quotingParams: &types.QuotingParams{ | ||
| SpreadMinPpm: 1000, | ||
| SpreadBufferPpm: 200, | ||
| }, | ||
| marketParam: &pricestypes.MarketParam{ | ||
| MinPriceChangePpm: 500, | ||
| }, | ||
| expected: 1000, | ||
| }, | ||
| "SpreadMinPpm < SpreadBufferPpm + MinPriceChangePpm": { | ||
| quotingParams: &types.QuotingParams{ | ||
| SpreadMinPpm: 1000, | ||
| SpreadBufferPpm: 600, | ||
| }, | ||
| marketParam: &pricestypes.MarketParam{ | ||
| MinPriceChangePpm: 500, | ||
| }, | ||
| expected: 1100, | ||
| }, | ||
| "SpreadMinPpm = SpreadBufferPpm + MinPriceChangePpm": { | ||
| quotingParams: &types.QuotingParams{ | ||
| SpreadMinPpm: 1000, | ||
| SpreadBufferPpm: 400, | ||
| }, | ||
| marketParam: &pricestypes.MarketParam{ | ||
| MinPriceChangePpm: 600, | ||
| }, | ||
| expected: 1000, | ||
| }, | ||
| } | ||
|
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| for name, tc := range tests { | ||
| t.Run(name, func(t *testing.T) { | ||
| require.Equal( | ||
| t, | ||
| tc.expected, | ||
| vault.SpreadPpm(tc.quotingParams, tc.marketParam), | ||
| ) | ||
| }) | ||
| } | ||
| } |
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