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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,106 @@ | ||
| package lib | ||
|
|
||
| import ( | ||
| "math/big" | ||
|
|
||
| "github.com/dydxprotocol/v4-chain/protocol/lib" | ||
| "github.com/dydxprotocol/v4-chain/protocol/x/perpetuals/types" | ||
| pricestypes "github.com/dydxprotocol/v4-chain/protocol/x/prices/types" | ||
| ) | ||
|
|
||
| // GetSettlementPpm returns the net settlement amount ppm (in quote quantums) given | ||
| // the perpetual and position size (in base quantums). | ||
| func GetSettlementPpmWithPerpetual( | ||
| perpetual types.Perpetual, | ||
| quantums *big.Int, | ||
| index *big.Int, | ||
| ) ( | ||
| bigNetSettlementPpm *big.Int, | ||
| newFundingIndex *big.Int, | ||
| ) { | ||
| indexDelta := new(big.Int).Sub(perpetual.FundingIndex.BigInt(), index) | ||
|
|
||
| // if indexDelta is zero, then net settlement is zero. | ||
| if indexDelta.Sign() == 0 { | ||
| return big.NewInt(0), perpetual.FundingIndex.BigInt() | ||
| } | ||
|
|
||
| bigNetSettlementPpm = new(big.Int).Mul(indexDelta, quantums) | ||
|
|
||
| // `bigNetSettlementPpm` carries sign. `indexDelta` is the increase in `fundingIndex`, so if | ||
| // the position is long (positive), the net settlement should be short (negative), and vice versa. | ||
| // Thus, always negate `bigNetSettlementPpm` here. | ||
| bigNetSettlementPpm = bigNetSettlementPpm.Neg(bigNetSettlementPpm) | ||
|
|
||
| return bigNetSettlementPpm, perpetual.FundingIndex.BigInt() | ||
| } | ||
|
|
||
| // GetNetNotionalInQuoteQuantums returns the net notional in quote quantums, which can be | ||
| // represented by the following equation: | ||
| // | ||
| // `quantums / 10^baseAtomicResolution * marketPrice * 10^marketExponent * 10^quoteAtomicResolution`. | ||
| // Note that longs are positive, and shorts are negative. | ||
| func GetNetNotionalInQuoteQuantums( | ||
| perpetual types.Perpetual, | ||
| marketPrice pricestypes.MarketPrice, | ||
| bigQuantums *big.Int, | ||
| ) ( | ||
| bigNetNotionalQuoteQuantums *big.Int, | ||
| ) { | ||
| bigQuoteQuantums := lib.BaseToQuoteQuantums( | ||
| bigQuantums, | ||
| perpetual.Params.AtomicResolution, | ||
| marketPrice.Price, | ||
| marketPrice.Exponent, | ||
| ) | ||
|
|
||
| return bigQuoteQuantums | ||
| } | ||
|
|
||
| // GetMarginRequirementsInQuoteQuantums returns initial and maintenance margin requirements | ||
| // in quote quantums, given the position size in base quantums. | ||
| func GetMarginRequirementsInQuoteQuantums( | ||
| perpetual types.Perpetual, | ||
| marketPrice pricestypes.MarketPrice, | ||
| liquidityTier types.LiquidityTier, | ||
| bigQuantums *big.Int, | ||
| ) ( | ||
| bigInitialMarginQuoteQuantums *big.Int, | ||
| bigMaintenanceMarginQuoteQuantums *big.Int, | ||
| ) { | ||
| // Always consider the magnitude of the position regardless of whether it is long/short. | ||
| bigAbsQuantums := new(big.Int).Abs(bigQuantums) | ||
|
|
||
| // Calculate the notional value of the position in quote quantums. | ||
| bigQuoteQuantums := lib.BaseToQuoteQuantums( | ||
| bigAbsQuantums, | ||
| perpetual.Params.AtomicResolution, | ||
| marketPrice.Price, | ||
| marketPrice.Exponent, | ||
| ) | ||
| // Calculate the perpetual's open interest in quote quantums. | ||
| openInterestQuoteQuantums := lib.BaseToQuoteQuantums( | ||
| perpetual.OpenInterest.BigInt(), // OpenInterest is represented as base quantums. | ||
| perpetual.Params.AtomicResolution, | ||
| marketPrice.Price, | ||
| marketPrice.Exponent, | ||
| ) | ||
|
|
||
| // Initial margin requirement quote quantums = size in quote quantums * initial margin PPM. | ||
| bigBaseInitialMarginQuoteQuantums := liquidityTier.GetInitialMarginQuoteQuantums( | ||
| bigQuoteQuantums, | ||
| big.NewInt(0), // pass in 0 as open interest to get base IMR. | ||
| ) | ||
| // Maintenance margin requirement quote quantums = IM in quote quantums * maintenance fraction PPM. | ||
| bigMaintenanceMarginQuoteQuantums = lib.BigMulPpm( | ||
| bigBaseInitialMarginQuoteQuantums, | ||
| lib.BigU(liquidityTier.MaintenanceFractionPpm), | ||
| true, | ||
| ) | ||
|
|
||
| bigInitialMarginQuoteQuantums = liquidityTier.GetInitialMarginQuoteQuantums( | ||
| bigQuoteQuantums, | ||
| openInterestQuoteQuantums, // pass in current OI to get scaled IMR. | ||
| ) | ||
| return bigInitialMarginQuoteQuantums, bigMaintenanceMarginQuoteQuantums | ||
| } |
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