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bigz/add-tiers-for-liq-perp-pnl #368

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merged 15 commits into from
Feb 24, 2023
Merged

bigz/add-tiers-for-liq-perp-pnl #368

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7b0ea4f
bigz/add-tiers-for-liq-perp-pnl
0xbigz Feb 22, 2023
27c5858
update idl
0xbigz Feb 22, 2023
cc8adcf
improve liquidation.rs order, rename highest->safest
0xbigz Feb 22, 2023
b3768bc
add basic rust test
0xbigz Feb 22, 2023
c39dea4
fmt
0xbigz Feb 23, 2023
0f3271e
separate margin calc w/ safest tier calc
0xbigz Feb 23, 2023
8101a59
finish asset tier test, fix liability only spot bug
0xbigz Feb 23, 2023
fca5fb8
Merge branch 'master' into bigz/add-tiers-for-liq-perp-pnl
0xbigz Feb 23, 2023
825d2f3
contract tier function impl, incorp other cleanup feedback p1
0xbigz Feb 24, 2023
80a59e5
tests/liquidatePerpPnlForDeposit.ts: fix for new tier rules
0xbigz Feb 24, 2023
87586df
liqudiation.rs: return early instead of erring on contract tier viola…
0xbigz Feb 24, 2023
90ce5eb
add tests for asset tier, revert liqPerpPnl margin check to top level…
0xbigz Feb 24, 2023
f93ceb1
cleanup
0xbigz Feb 24, 2023
20aa6d7
fix import
crispheaney Feb 24, 2023
88202ef
CHANGELOG
crispheaney Feb 24, 2023
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78 changes: 61 additions & 17 deletions programs/drift/src/controller/liquidation.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -36,8 +36,9 @@ use crate::math::liquidation::{
validate_transfer_satisfies_limit_price, LiquidationMultiplierType,
};
use crate::math::margin::{
calculate_margin_requirement_and_total_collateral, meets_initial_margin_requirement,
MarginRequirementType,
calculate_margin_requirement_and_total_collateral,
calculate_margin_requirement_and_total_collateral_and_liability_info,
calculate_user_safest_position_tiers, meets_initial_margin_requirement, MarginRequirementType,
};
use crate::math::oracle::DriftAction;
use crate::math::orders::{
Expand Down Expand Up @@ -1551,7 +1552,8 @@ pub fn liquidate_perp_pnl_for_deposit(
) -> DriftResult {
// liquidator takes over remaining negative perpetual pnl in exchange for a user deposit
// can only be done once the perpetual position's size is 0
// blocked when the user deposit oracle is deemed invalid
// blocked when 1) user deposit oracle is deemed invalid
// or 2) user has outstanding liability with higher tier

validate!(
!user.is_bankrupt(),
Expand Down Expand Up @@ -1609,7 +1611,14 @@ pub fn liquidate_perp_pnl_for_deposit(
now,
)?;

let (asset_amount, asset_price, asset_decimals, asset_weight, asset_liquidation_multiplier) = {
let (
asset_amount,
asset_price,
_asset_tier,
asset_decimals,
asset_weight,
asset_liquidation_multiplier,
) = {
let mut asset_market = spot_market_map.get_ref_mut(&asset_market_index)?;
let (asset_price_data, validity_guard_rails) =
oracle_map.get_price_data_and_guard_rails(&asset_market.oracle)?;
Expand Down Expand Up @@ -1643,6 +1652,7 @@ pub fn liquidate_perp_pnl_for_deposit(
(
token_amount,
token_price,
asset_market.asset_tier,
asset_market.decimals,
asset_market.maintenance_asset_weight,
calculate_liquidation_multiplier(
Expand All @@ -1655,6 +1665,7 @@ pub fn liquidate_perp_pnl_for_deposit(
let (
unsettled_pnl,
quote_price,
contract_tier,
quote_decimals,
pnl_liability_weight,
pnl_liquidation_multiplier,
Expand Down Expand Up @@ -1691,6 +1702,7 @@ pub fn liquidate_perp_pnl_for_deposit(
(
unsettled_pnl.unsigned_abs(),
quote_price,
market.contract_tier,
6_u32,
SPOT_WEIGHT_PRECISION,
calculate_liquidation_multiplier(
Expand All @@ -1700,15 +1712,22 @@ pub fn liquidate_perp_pnl_for_deposit(
)
};

let (margin_requirement, total_collateral, margin_requirement_plus_buffer, _) =
calculate_margin_requirement_and_total_collateral(
user,
perp_market_map,
MarginRequirementType::Maintenance,
spot_market_map,
oracle_map,
Some(liquidation_margin_buffer_ratio as u128),
)?;
let (
margin_requirement,
total_collateral,
margin_requirement_plus_buffer,
_all_oracles_valid,
_,
_,
) = calculate_margin_requirement_and_total_collateral_and_liability_info(
user,
perp_market_map,
MarginRequirementType::Maintenance,
spot_market_map,
oracle_map,
Some(liquidation_margin_buffer_ratio as u128),
false,
)?;

if !user.is_being_liquidated() && total_collateral >= margin_requirement.cast()? {
return Err(ErrorCode::SufficientCollateral);
Expand Down Expand Up @@ -1737,6 +1756,10 @@ pub fn liquidate_perp_pnl_for_deposit(
None,
)?;

let (safest_tier_spot_liability, safest_tier_perp_liability) =
calculate_user_safest_position_tiers(user, perp_market_map, spot_market_map)?;
let is_contract_tier_violation =
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feel like it might just be cleaner to check the tier violation here and return early all at once here, instead of spreading the logic, but will defer to you

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that'd be a lot of copy paste code tho

!(contract_tier.is_as_safe_as(&safest_tier_perp_liability, &safest_tier_spot_liability));
// check if user exited liquidation territory
let (intermediate_total_collateral, intermediate_margin_requirement_with_buffer) =
if !canceled_order_ids.is_empty() {
Expand All @@ -1762,9 +1785,10 @@ pub fn liquidate_perp_pnl_for_deposit(
.cast::<u64>()?;
user.increment_margin_freed(margin_freed)?;

if intermediate_total_collateral
>= intermediate_margin_requirement_plus_buffer.cast()?
{
let exiting_liq_territory = intermediate_total_collateral
>= intermediate_margin_requirement_plus_buffer.cast()?;

if exiting_liq_territory || is_contract_tier_violation {
let market = perp_market_map.get_ref(&perp_market_index)?;
let market_oracle_price = oracle_map.get_price_data(&market.amm.oracle)?.price;

Expand All @@ -1790,7 +1814,17 @@ pub fn liquidate_perp_pnl_for_deposit(
..LiquidationRecord::default()
});

user.exit_liquidation();
if exiting_liq_territory {
user.exit_liquidation();
} else if is_contract_tier_violation {
msg!(
"return early after cancel orders: liquidating contract tier={:?} pnl is riskier than outstanding {:?} & {:?}",
contract_tier,
safest_tier_perp_liability,
safest_tier_spot_liability
);
}

return Ok(());
}

Expand All @@ -1802,6 +1836,16 @@ pub fn liquidate_perp_pnl_for_deposit(
(total_collateral, margin_requirement_plus_buffer)
};

if is_contract_tier_violation {
msg!(
"liquidating contract tier={:?} pnl is riskier than outstanding {:?} & {:?}",
contract_tier,
safest_tier_perp_liability,
safest_tier_spot_liability
);
return Err(ErrorCode::TierViolationLiquidatingPerpPnl);
}

let margin_shortage = calculate_margin_shortage(
intermediate_margin_requirement_with_buffer,
intermediate_total_collateral,
Expand Down
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