Payout curve short liquidation interval start payout can be incorrect

[bonomat]

2024-03-21 04:53:06  INFO coordinator::trade: Executing match trader_id=03023bd502865822c47356883ac5c79981b6f3f857464054b41e69bc83d22c0d57 order_id=afaccc50-c064-40e2-8e91-301ff63324fa
2024-03-21 04:53:06  INFO coordinator::trade: Opening DLC channel and position peer_id=03023bd502865822c47356883ac5c79981b6f3f857464054b41e69bc83d22c0d57 order_id=afaccc50-c064-40e2-8e91-301ff63324fa trade_params=TradeParams { pubkey: PublicKey(570d2cd283bc691eb454404657f8f3b68199c7c53a885673c422588602d53b022b50c17b9f2d5e263a551375a56aab067643a022c92c01feada077b3743f3622), contract_symbol: BtcUsd, leverage: 2.0, quantity: 500.0, direction: Long, filled_with: FilledWith { order_id: afaccc50-c064-40e2-8e91-301ff63324fa, expiry_timestamp: 2024-03-22 0:00:00.0 +00:00:00, oracle_pk: XOnlyPublicKey(c071e1fd881a55831cc38c85986c6c72193b4e3a98bcbc460f6c1ed2f78cf8167458a18010faf718756c69de33ee9e38a0d3f0ad48befa58e23a4b1f843e08be), matches: [Match { id: 7f1717cf-3336-42ce-892c-52e49d0ae5fb, order_id: b9ef1c2e-c18c-41e9-8598-2eadfa4ffac2, quantity: 500, pubkey: PublicKey(d446917fae8d65f81a9598bcfb62d8e5049c88b7599d421731249a022a58aef82d1b0819d45e54899ef8f8f4067120ae6e0f1d44f53a0a7f2a04dd2bcb072d6b), execution_price: 65354.65 }] } } leverage_coordinator=2.0 margin_coordinator_sat=382528 margin_trader_sat=382528 order_matching_fee_sat=2295 collateral_reserve_with_fee_coordinator=2295 collateral_reserve_trader=0
2024-03-21 04:53:06  INFO build_contract_descriptor{initial_price=65354.65 coordinator_margin=382528 trader_margin=382528 leverage_coordinator=2.0 leverage_trader=2.0 coordinator_direction=Short coordinator_collateral_reserve=2295 trader_collateral_reserve=0 quantity=500.0 symbol=BtcUsd}: coordinator::payout_curve: Building contract descriptor
2024-03-21 04:53:06 ERROR build_contract_descriptor{initial_price=65354.65 coordinator_margin=382528 trader_margin=382528 leverage_coordinator=2.0 leverage_trader=2.0 coordinator_direction=Short coordinator_collateral_reserve=2295 trader_collateral_reserve=0 quantity=500.0 symbol=BtcUsd}: coordinator: Aborting after panic in task info=panicked at crates/payout_curve/src/lib.rs:389:13:
assertion failed: outcome_payout >= interval_start.outcome_payout
   0: std::backtrace_rs::backtrace::libunwind::trace
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/../../backtrace/src/backtrace/libunwind.rs:104:5
   1: std::backtrace_rs::backtrace::trace_unsynchronized
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/../../backtrace/src/backtrace/mod.rs:66:5
   2: std::backtrace::Backtrace::create
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/backtrace.rs:331:13
   3: coordinator::main::{{closure}}::{{closure}}
             at ./coordinator/src/bin/coordinator.rs:66:29
   4: <alloc::boxed::Box<F,A> as core::ops::function::Fn<Args>>::call
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/alloc/src/boxed.rs:2029:9
   5: std::panicking::rust_panic_with_hook
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:783:13
   6: std::panicking::begin_panic_handler::{{closure}}
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:649:13
   7: std::sys_common::backtrace::__rust_end_short_backtrace
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/sys_common/backtrace.rs:171:18
   8: rust_begin_unwind
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:645:5
   9: core::panicking::panic_fmt
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/core/src/panicking.rs:72:14
  10: core::panicking::panic
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/core/src/panicking.rs:144:5
  11: payout_curve::calculate_short_liquidation_interval_payouts
             at ./crates/payout_curve/src/lib.rs:389:13
  12: payout_curve::build_inverse_payout_function
             at ./crates/payout_curve/src/lib.rs:186:47
  13: coordinator::payout_curve::build_inverse_payout_function
             at ./coordinator/src/payout_curve.rs:118:25
  14: coordinator::payout_curve::build_contract_descriptor
             at ./coordinator/src/payout_curve.rs:48:49
  15: coordinator::trade::TradeExecutor::open_dlc_channel::{{closure}}
             at ./coordinator/src/trade/mod.rs:251:35
  16: coordinator::trade::TradeExecutor::execute_internal::{{closure}}
             at ./coordinator/src/trade/mod.rs:171:18
  17: coordinator::trade::TradeExecutor::execute::{{closure}}
             at ./coordinator/src/trade/mod.rs:83:45
  18: coordinator::orderbook::trading::process_new_market_order::{{closure}}
             at ./coordinator/src/orderbook/trading.rs:337:14
  19: coordinator::orderbook::trading::start::{{closure}}::{{closure}}
             at ./coordinator/src/orderbook/trading.rs:107:30
  20: <core::pin::Pin<P> as core::future::future::Future>::poll
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/core/src/future/future.rs:124:9
  21: <tracing::instrument::Instrumented<T> as core::future::future::Future>::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tracing-0.1.40/src/instrument.rs:321:9
  22: tokio::runtime::task::core::Core<T,S>::poll::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/core.rs:334:17
  23: tokio::loom::std::unsafe_cell::UnsafeCell<T>::with_mut
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/loom/std/unsafe_cell.rs:16:9
  24: tokio::runtime::task::core::Core<T,S>::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/core.rs:323:13
  25: tokio::runtime::task::harness::poll_future::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/harness.rs:485:19
  26: <core::panic::unwind_safe::AssertUnwindSafe<F> as core::ops::function::FnOnce<()>>::call_once
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/core/src/panic/unwind_safe.rs:272:9
  27: std::panicking::try::do_call
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:552:40
  28: ___rust_try
  29: std::panicking::try
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:516:19
  30: std::panic::catch_unwind
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panic.rs:142:14
  31: tokio::runtime::task::harness::poll_future
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/harness.rs:473:18
  32: tokio::runtime::task::harness::Harness<T,S>::poll_inner
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/harness.rs:208:27
  33: tokio::runtime::task::harness::Harness<T,S>::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/harness.rs:153:15
  34: tokio::runtime::task::raw::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/raw.rs:276:5
  35: tokio::runtime::task::raw::RawTask::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/raw.rs:200:18
  36: tokio::runtime::task::LocalNotified<S>::run
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/mod.rs:400:9
  37: tokio::runtime::scheduler::multi_thread::worker::Context::run_task::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/scheduler/multi_thread/worker.rs:576:13
  38: tokio::runtime::coop::with_budget
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/coop.rs:107:5
  39: tokio::runtime::coop::budget
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/coop.rs:73:5
  40: tokio::runtime::scheduler::multi_thread::worker::Context::run_task
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/scheduler/multi_thread/worker.rs:575:9
  41: tokio::runtime::scheduler::multi_thread::worker::Context::run
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/scheduler/multi_thread/worker.rs:526:24
  42: tokio::runtime::scheduler::multi_thread::worker::run::{{closure}}::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/scheduler/multi_thread/worker.rs:491:21
  43: tokio::runtime::context::scoped::Scoped<T>::set
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/context/scoped.rs:40:9
  44: tokio::runtime::context::set_scheduler::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/context.rs:176:26
  45: std::thread::local::LocalKey<T>::try_with
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/thread/local.rs:270:16
  46: std::thread::local::LocalKey<T>::with
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/thread/local.rs:246:9
  47: tokio::runtime::context::set_scheduler
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/context.rs:176:9
  48: tokio::runtime::scheduler::multi_thread::worker::run::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/scheduler/multi_thread/worker.rs:486:9
  49: tokio::runtime::context::runtime::enter_runtime
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/context/runtime.rs:65:16
  50: tokio::runtime::scheduler::multi_thread::worker::run
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/scheduler/multi_thread/worker.rs:478:5
  51: tokio::runtime::scheduler::multi_thread::worker::Launch::launch::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/scheduler/multi_thread/worker.rs:447:45
  52: <tokio::runtime::blocking::task::BlockingTask<T> as core::future::future::Future>::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/blocking/task.rs:42:21
  53: <tracing::instrument::Instrumented<T> as core::future::future::Future>::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tracing-0.1.40/src/instrument.rs:321:9
  54: tokio::runtime::task::core::Core<T,S>::poll::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/core.rs:334:17
  55: tokio::loom::std::unsafe_cell::UnsafeCell<T>::with_mut
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/loom/std/unsafe_cell.rs:16:9
  56: tokio::runtime::task::core::Core<T,S>::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/core.rs:323:13
  57: tokio::runtime::task::harness::poll_future::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/harness.rs:485:19
  58: <core::panic::unwind_safe::AssertUnwindSafe<F> as core::ops::function::FnOnce<()>>::call_once
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/core/src/panic/unwind_safe.rs:272:9
  59: std::panicking::try::do_call
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:552:40
  60: ___rust_try
  61: std::panicking::try
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:516:19
  62: std::panic::catch_unwind
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panic.rs:142:14
  63: tokio::runtime::task::harness::poll_future
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/harness.rs:473:18
  64: tokio::runtime::task::harness::Harness<T,S>::poll_inner
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/harness.rs:208:27
  65: tokio::runtime::task::harness::Harness<T,S>::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/harness.rs:153:15
  66: tokio::runtime::task::raw::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/raw.rs:276:5
  67: tokio::runtime::task::raw::RawTask::poll
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/raw.rs:200:18
  68: tokio::runtime::task::UnownedTask<S>::run
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/task/mod.rs:437:9
  69: tokio::runtime::blocking::pool::Task::run
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/blocking/pool.rs:159:9
  70: tokio::runtime::blocking::pool::Inner::run
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/blocking/pool.rs:513:17
  71: tokio::runtime::blocking::pool::Spawner::spawn_thread::{{closure}}
             at /Users/bonomat/.cargo/registry/src/index.crates.io-6f17d22bba15001f/tokio-1.32.1/src/runtime/blocking/pool.rs:471:13
  72: std::sys_common::backtrace::__rust_begin_short_backtrace
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/sys_common/backtrace.rs:155:18
  73: std::thread::Builder::spawn_unchecked_::{{closure}}::{{closure}}
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/thread/mod.rs:529:17
  74: <core::panic::unwind_safe::AssertUnwindSafe<F> as core::ops::function::FnOnce<()>>::call_once
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/core/src/panic/unwind_safe.rs:272:9
  75: std::panicking::try::do_call
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:552:40
  76: ___rust_try
  77: std::panicking::try
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panicking.rs:516:19
  78: std::panic::catch_unwind
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/panic.rs:142:14
  79: std::thread::Builder::spawn_unchecked_::{{closure}}
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/thread/mod.rs:528:30
  80: core::ops::function::FnOnce::call_once{{vtable.shim}}
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/core/src/ops/function.rs:250:5
  81: <alloc::boxed::Box<F,A> as core::ops::function::FnOnce<Args>>::call_once
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/alloc/src/boxed.rs:2015:9
  82: <alloc::boxed::Box<F,A> as core::ops::function::FnOnce<Args>>::call_once
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/alloc/src/boxed.rs:2015:9
  83: std::sys::unix::thread::Thread::new::thread_start
             at /rustc/07dca489ac2d933c78d3c5158e3f43beefeb02ce/library/std/src/sys/unix/thread.rs:108:17

[bonomat]

Just happened again:

2024-03-21 08:24:09  INFO coordinator::trade: Opening position peer_id=03023bd502865822c47356883ac5c79981b6f3f857464054b41e69bc83d22c0d57 order_id=7dba9366-511c-4f22-9143-c21d07954a38 channel_id=6b08bc5cd1a62d8e952d0ab98d8d8ffaa760b587f46e8b2aaf0bbaafb7e796b1 trade_params=TradeParams { pubkey: PublicKey(570d2cd283bc691eb454404657f8f3b68199c7c53a885673c422588602d53b022b50c17b9f2d5e263a551375a56aab067643a022c92c01feada077b3743f3622), contract_symbol: BtcUsd, leverage: 2.0, quantity: 100.0, direction: Long, filled_with: FilledWith { order_id: 7dba9366-511c-4f22-9143-c21d07954a38, expiry_timestamp: 2024-03-22 0:00:00.0 +00:00:00, oracle_pk: XOnlyPublicKey(c071e1fd881a55831cc38c85986c6c72193b4e3a98bcbc460f6c1ed2f78cf8167458a18010faf718756c69de33ee9e38a0d3f0ad48befa58e23a4b1f843e08be), matches: [Match { id: 2386c183-7436-451b-8dc2-bb541103f015, order_id: e79f18c3-25d4-4e04-a19d-3a250132a57e, quantity: 100, pubkey: PublicKey(5874e28f749ee92d53e95fc0e675e51393fb47159ada8cb1771155f1bfae5dad3a1c6a68bf0f837d3e6035df8cfd788a45b4b0f1951c69db1c81b1d41a84ed85), execution_price: 67079.99 }] } }
2024-03-21 08:24:09 DEBUG coordinator::trade: DLC channel update parameters peer_id=03023bd502865822c47356883ac5c79981b6f3f857464054b41e69bc83d22c0d57 order_id=7dba9366-511c-4f22-9143-c21d07954a38 leverage_coordinator=2.0 margin_coordinator_sat=74538 margin_trader_sat=74538 coordinator_collateral_reserve_sat=361381 trader_collateral_reserve_sat=237743 order_matching_fee_sat=447
2024-03-21 08:24:09  INFO build_contract_descriptor{initial_price=67079.99 coordinator_margin=74538 trader_margin=74538 leverage_coordinator=2.0 leverage_trader=2.0 coordinator_direction=Short coordinator_collateral_reserve=361381 trader_collateral_reserve=237743 quantity=100.0 symbol=BtcUsd}: coordinator::payout_curve: Building contract descriptor
2024-03-21 08:24:09 ERROR build_contract_descriptor{initial_price=67079.99 coordinator_margin=74538 trader_margin=74538 leverage_coordinator=2.0 leverage_trader=2.0 coordinator_direction=Short coordinator_collateral_reserve=361381 trader_collateral_reserve=237743 quantity=100.0 symbol=BtcUsd}: coordinator: Aborting after panic in task info=panicked at crates/payout_curve/src/lib.rs:389:13:
assertion failed: outcome_payout >= interval_start.outcome_payout

[holzeis]

This is now also happening in our CI pipeline https://github.com/get10101/10101/actions/runs/8376774883/job/22937914343?pr=2293

Did we change there something recently?