Make manipulationThresholdDivisor governable

core/.gas-snapshot

@@ -1,26 +1,26 @@
 BorrowerGasTest:test_addMargin() (gas: 16203)
-BorrowerGasTest:test_borrow() (gas: 110553)
+BorrowerGasTest:test_borrow() (gas: 110758)
 BorrowerGasTest:test_getUniswapPositions() (gas: 5219)
-BorrowerGasTest:test_modify() (gas: 82150)
-BorrowerGasTest:test_modifyWithAnte() (gas: 88605)
-BorrowerGasTest:test_repay() (gas: 65205)
-BorrowerGasTest:test_uniswapDepositInBorrower() (gas: 257762)
+BorrowerGasTest:test_modify() (gas: 82355)
+BorrowerGasTest:test_modifyWithAnte() (gas: 88810)
+BorrowerGasTest:test_repay() (gas: 65245)
+BorrowerGasTest:test_uniswapDepositInBorrower() (gas: 257967)
 BorrowerGasTest:test_uniswapDepositStandard() (gas: 167558)
-BorrowerGasTest:test_uniswapWithdraw() (gas: 147654)
-BorrowerGasTest:test_withdraw() (gas: 105670)
+BorrowerGasTest:test_uniswapWithdraw() (gas: 147818)
+BorrowerGasTest:test_withdraw() (gas: 105875)
 FactoryGasTest:test_createBorrower() (gas: 156519)
-FactoryGasTest:test_createMarket() (gas: 3879742)
+FactoryGasTest:test_createMarket() (gas: 3889605)
 LenderGasTest:test_accrueInterest() (gas: 46070)
 LenderGasTest:test_borrow() (gas: 40834)
 LenderGasTest:test_deposit() (gas: 53422)
 LenderGasTest:test_depositWithCourier() (gas: 53568)
 LenderGasTest:test_redeem() (gas: 53114)
 LenderGasTest:test_redeemWithCourier() (gas: 83506)
 LenderGasTest:test_repay() (gas: 44774)
-LiquidatorGasTest:test_noCallbackOneAsset() (gas: 51108)
-LiquidatorGasTest:test_noCallbackTwoAssets() (gas: 59289)
-LiquidatorGasTest:test_noCallbackTwoAssetsAndUniswapPosition() (gas: 95669)
-LiquidatorGasTest:test_warn() (gas: 35092)
-LiquidatorGasTest:test_withCallbackAndSwap() (gas: 130273)
+LiquidatorGasTest:test_noCallbackOneAsset() (gas: 51278)
+LiquidatorGasTest:test_noCallbackTwoAssets() (gas: 59459)
+LiquidatorGasTest:test_noCallbackTwoAssetsAndUniswapPosition() (gas: 95805)
+LiquidatorGasTest:test_warn() (gas: 35262)
+LiquidatorGasTest:test_withCallbackAndSwap() (gas: 130443)
 VolatilityGasTest:test_consult() (gas: 43075)
 VolatilityGasTest:test_updateNoBinarySearch() (gas: 145902)

core/src/Borrower.sol

@@ -297,8 +297,8 @@ contract Borrower is IUniswapV3MintCallback {
 
         (uint256 liabilities0, uint256 liabilities1) = _getLiabilities();
         if (liabilities0 > 0 || liabilities1 > 0) {
-            (uint256 ante, uint256 nSigma, uint256 pausedUntilTime) = FACTORY.getParameters(UNISWAP_POOL);
-            (Prices memory prices, bool seemsLegit) = _getPrices(oracleSeed, nSigma);
+            (uint208 ante, uint8 nSigma, uint8 mtd, uint32 pausedUntilTime) = FACTORY.getParameters(UNISWAP_POOL);
+            (Prices memory prices, bool seemsLegit) = _getPrices(oracleSeed, nSigma, mtd);
 
             require(
                 seemsLegit && (block.timestamp > pausedUntilTime) && (address(this).balance >= ante),
@@ -438,20 +438,27 @@ contract Borrower is IUniswapV3MintCallback {
     }
 
     function getPrices(uint40 oracleSeed) public view returns (Prices memory prices, bool seemsLegit) {
-        (, uint256 nSigma, ) = FACTORY.getParameters(UNISWAP_POOL);
-        (prices, seemsLegit) = _getPrices(oracleSeed, nSigma);
+        (, uint8 nSigma, uint8 manipulationThresholdDivisor, ) = FACTORY.getParameters(UNISWAP_POOL);
+        (prices, seemsLegit) = _getPrices(oracleSeed, nSigma, manipulationThresholdDivisor);
     }
 
     function _getPrices(
         uint40 oracleSeed,
-        uint256 nSigma
+        uint8 nSigma,
+        uint8 manipulationThresholdDivisor
     ) private view returns (Prices memory prices, bool seemsLegit) {
         uint56 metric;
         uint256 iv;
         // compute current price and volatility
         (metric, prices.c, iv) = ORACLE.consult(UNISWAP_POOL, oracleSeed);
         // compute prices at which solvency will be checked
-        (prices.a, prices.b, seemsLegit) = BalanceSheet.computeProbePrices(prices.c, iv, nSigma, metric);
+        (prices.a, prices.b, seemsLegit) = BalanceSheet.computeProbePrices(
+            metric,
+            prices.c,
+            iv,
+            nSigma,
+            manipulationThresholdDivisor
+        );
     }
 
     function _getAssets(

core/src/Factory.sol

@@ -9,9 +9,12 @@ import {IUniswapV3Pool} from "v3-core/contracts/interfaces/IUniswapV3Pool.sol";
 import {
     DEFAULT_ANTE,
     DEFAULT_N_SIGMA,
+    DEFAULT_MANIPULATION_THRESHOLD_DIVISOR,
     DEFAULT_RESERVE_FACTOR,
     CONSTRAINT_N_SIGMA_MIN,
     CONSTRAINT_N_SIGMA_MAX,
+    CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MIN,
+    CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MAX,
     CONSTRAINT_RESERVE_FACTOR_MIN,
     CONSTRAINT_RESERVE_FACTOR_MAX,
     CONSTRAINT_ANTE_MAX,
@@ -44,8 +47,9 @@ contract Factory {
     }
 
     struct Parameters {
-        uint216 ante;
+        uint208 ante;
         uint8 nSigma;
+        uint8 manipulationThresholdDivisor;
         uint32 pausedUntilTime;
     }
 
@@ -139,7 +143,7 @@ contract Factory {
         _setMarketConfig(
             pool,
             MarketConfig(
-                Parameters(DEFAULT_ANTE, DEFAULT_N_SIGMA, 0),
+                Parameters(DEFAULT_ANTE, DEFAULT_N_SIGMA, DEFAULT_MANIPULATION_THRESHOLD_DIVISOR, 0),
                 DEFAULT_RATE_MODEL,
                 DEFAULT_RATE_MODEL,
                 DEFAULT_RESERVE_FACTOR,
@@ -228,11 +232,16 @@ contract Factory {
         require(msg.sender == GOVERNOR);
 
         require(
-            // nSigma: min, max
-            (CONSTRAINT_N_SIGMA_MIN <= marketConfig.parameters.nSigma &&
-                marketConfig.parameters.nSigma <= CONSTRAINT_N_SIGMA_MAX) &&
-                // ante: max
-                (marketConfig.parameters.ante <= CONSTRAINT_ANTE_MAX) &&
+            // ante: max
+            (marketConfig.parameters.ante <= CONSTRAINT_ANTE_MAX) &&
+                // nSigma: min, max
+                (CONSTRAINT_N_SIGMA_MIN <= marketConfig.parameters.nSigma &&
+                    marketConfig.parameters.nSigma <= CONSTRAINT_N_SIGMA_MAX) &&
+                // manipulationThresholdDivisor: min, max
+                (CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MIN <=
+                    marketConfig.parameters.manipulationThresholdDivisor &&
+                    marketConfig.parameters.manipulationThresholdDivisor <=
+                    CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MAX) &&
                 // pauseUntilTime: max
                 (marketConfig.parameters.pausedUntilTime <= block.timestamp + CONSTRAINT_PAUSE_INTERVAL_MAX) &&
                 // reserveFactor0: min, max

core/src/libraries/BalanceSheet.sol

@@ -3,13 +3,7 @@ pragma solidity 0.8.17;
 
 import {FixedPointMathLib as SoladyMath} from "solady/utils/FixedPointMathLib.sol";
 
-import {
-    MAX_LEVERAGE,
-    LIQUIDATION_INCENTIVE,
-    PROBE_PERCENT_MIN,
-    PROBE_PERCENT_MAX,
-    MANIPULATION_THRESHOLD_DIVISOR
-} from "./constants/Constants.sol";
+import {MAX_LEVERAGE, LIQUIDATION_INCENTIVE, PROBE_PERCENT_MIN, PROBE_PERCENT_MAX} from "./constants/Constants.sol";
 import {square, mulDiv128} from "./MulDiv.sol";
 import {TickMath} from "./TickMath.sol";
 
@@ -81,14 +75,15 @@ library BalanceSheet {
     }
 
     function computeProbePrices(
+        uint56 metric,
         uint160 sqrtMeanPriceX96,
         uint256 iv,
-        uint256 nSigma,
-        uint56 metric
+        uint8 nSigma,
+        uint8 manipulationThresholdDivisor
     ) internal pure returns (uint160 a, uint160 b, bool seemsLegit) {
         unchecked {
             iv = SoladyMath.clamp((nSigma * iv) / 10, PROBE_PERCENT_MIN, PROBE_PERCENT_MAX);
-            seemsLegit = metric < _manipulationThreshold(_effectiveCollateralFactor(iv));
+            seemsLegit = metric < _manipulationThreshold(_effectiveCollateralFactor(iv), manipulationThresholdDivisor);
 
             a = uint160((sqrtMeanPriceX96 * SoladyMath.sqrt(1e12 - iv)) / 1e6);
             b = uint160(SoladyMath.min((sqrtMeanPriceX96 * SoladyMath.sqrt(1e12 + iv)) / 1e6, type(uint160).max));
@@ -124,8 +119,8 @@ library BalanceSheet {
     }
 
     /// @dev Equivalent to \\( \frac{log_{1.0001} \left( \frac{10^{12}}{cf} \right)}{\text{MANIPULATION_THRESHOLD_DIVISOR}} \\)
-    function _manipulationThreshold(uint256 cf) private pure returns (uint24) {
-        return uint24(-TickMath.getTickAtSqrtRatio(uint160(cf)) - 778261) / (2 * MANIPULATION_THRESHOLD_DIVISOR);
+    function _manipulationThreshold(uint256 cf, uint256 manipulationThresholdDivisor) private pure returns (uint24) {
+        return uint24(-TickMath.getTickAtSqrtRatio(uint160(cf)) - 778261) / uint24(2 * manipulationThresholdDivisor);
     }
 
     /// @dev Equivalent to \\( \frac{1 - σ}{1 + \frac{1}{liquidationIncentive} + \frac{1}{maxLeverage}} \\) where

core/src/libraries/constants/Constants.sol

@@ -29,12 +29,22 @@ uint256 constant MAX_RATE = 706354;
 
 /// @dev The default amount of Ether required to take on debt in a `Borrower`. The `Factory` can override this value
 /// on a per-market basis.
-uint216 constant DEFAULT_ANTE = 0.01 ether;
+uint208 constant DEFAULT_ANTE = 0.01 ether;
 
 /// @dev The default number of standard deviations of price movement used to determine probe prices for `Borrower`
 /// solvency. The `Factory` can override this value on a per-market basis. Expressed x10, e.g. 50 → 5σ
 uint8 constant DEFAULT_N_SIGMA = 50;
 
+/// @dev Assume someone is manipulating the Uniswap TWAP oracle. To steal money from the protocol and create bad debt,
+/// they would need to change the TWAP by a factor of (1 / collateralFactor), where the collateralFactor is a function
+/// of volatility. We have a manipulation metric that increases as an attacker tries to change the TWAP. If this metric
+/// rises above a certain threshold, certain functionality will be paused, e.g. no new debt can be created. The
+/// threshold is calculated as follows:
+///
+/// \\( \text{manipulationThreshold} =
+/// \frac{log_{1.0001}\left( \frac{1}{\text{collateralFactor}} \right)}{\text{MANIPULATION_THRESHOLD_DIVISOR}} \\)
+uint8 constant DEFAULT_MANIPULATION_THRESHOLD_DIVISOR = 12;
+
 /// @dev The default portion of interest that will accrue to a `Lender`'s `RESERVE` address.
 /// Expressed as a reciprocal, e.g. 16 → 6.25%
 uint8 constant DEFAULT_RESERVE_FACTOR = 16;
@@ -51,6 +61,10 @@ uint8 constant CONSTRAINT_N_SIGMA_MIN = 40;
 /// Expressed x10, e.g. 80 → 8σ
 uint8 constant CONSTRAINT_N_SIGMA_MAX = 80;
 
+uint8 constant CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MIN = 12;
+
+uint8 constant CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MAX = 20;
+
 /// @dev The lower bound on what any `Lender`'s reserve factor can be. Expressed as reciprocal, e.g. 4 → 25%
 uint8 constant CONSTRAINT_RESERVE_FACTOR_MIN = 4;
 
@@ -136,13 +150,3 @@ uint256 constant FEE_GROWTH_SAMPLE_PERIOD = 15 minutes;
 /// from `UNISWAP_AVG_WINDOW` seconds ago. Larger values make the resulting price/liquidity values harder to
 /// manipulate, but also make the oracle slower to respond to changes.
 uint32 constant UNISWAP_AVG_WINDOW = 30 minutes;
-
-/// @dev Assume someone is manipulating the Uniswap TWAP oracle. To steal money from the protocol and create bad debt,
-/// they would need to change the TWAP by a factor of (1 / collateralFactor), where the collateralFactor is a function
-/// of volatility. We have a manipulation metric that increases as an attacker tries to change the TWAP. If this metric
-/// rises above a certain threshold, certain functionality will be paused, e.g. no new debt can be created. The
-/// threshold is calculated as follows:
-///
-/// \\( \text{manipulationThreshold} =
-/// \frac{log_{1.0001}\left( \frac{1}{\text{collateralFactor}} \right)}{\text{MANIPULATION_THRESHOLD_DIVISOR}} \\)
-uint24 constant MANIPULATION_THRESHOLD_DIVISOR = 12;