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Generate own step payout function #2352

Merged
merged 4 commits into from
Apr 7, 2024
Merged

Generate own step payout function #2352

merged 4 commits into from
Apr 7, 2024

Commits on Apr 5, 2024

  1. fix(payout_curve): Fix payout_price_range_is_below_max_price test 

    `NumericalDescriptor::get_range_payouts` should be called with the
_total_ collateral, including position margin and the collateral
reserves.
    @luckysori
    luckysori committed Apr 5, 2024
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  2. fix(payout_curve): Ensure that liquidation payouts are sane 

    We were allowing the short liquidation payout to go under the short
party's collateral reserve, which was obviously wrong.

The payout curve is still a bit rough around the edges (literally).
This is because we have to make relatively big payout jumps to connect
the liquidation intervals with the adjacent intervals. I'm not sure
there is a good solution for this other than going back to the
ItchySats payout curve.
    @luckysori
    luckysori committed Apr 5, 2024
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  3. chore(coordinator): Reproduce payout curve limitation 

    This is the (probably) last thing that prevents us from being able to
rely on the payout curve liquidation intervals for things like the
available balance and, relatedly, position resizing.
    @luckysori
    luckysori committed Apr 5, 2024
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  4. feat: Generate own step payout function 

    Before this patch, we generated a polynomial payout function which
would then be transformed by `rust-dlc` into a step function. This
approach was problematic because we could not trust `rust-dlc` to not
mess with the intervals excessively.

Specifically, any changes to the liquidation intervals could cause
problems because they represent the collateral reserves, which are
used to indicate available balances and are circumstantially needed to
complete features such as position resizing.

Now we take full control of the payout function generation, directly
generating a step function that can be consumed by `rust-dlc`
_without_ rounding. The payout is calculated by taking the PNL at the
half-way point of the interval.

It is important to emphasise that we must opt out
of rounding by using a `RoundingIntervals` with a single element of
the form:

```rust
RoundingInterval {
    begin_interval: 0,
    rounding_mod: 1,
}
```

Overall, I think the code is considerably simpler and there are fewer
edge cases to handle.

One important thing to consider is that we can now directly control
the number of payouts we generate, which has an effect on the number
of CETs that will be created. This is currently set by the constant
`PAYOUT_CURVE_DISCRETIZATION_INTERVALS`, but in the future we could
make it dynamic.

Additionally, at the moment the majority of the intervals are of equal
length in terms of price. Eventually we might want to generate more,
smaller intervals around the starting price, and make the less likely
intervals bigger as we approach the liquidation zones.

Other notable changes
---------------------

Since we had to replace a snapshot, we've introduced a dev-dependency
to `insta`[^1], a library that makes it easy to write and maintain
snapshot tests. There is a companion tool, `cargo-insta`[^2], which
can help with this process.

[^1]: https://github.com/mitsuhiko/insta.
[^2]: https://github.com/mitsuhiko/insta/tree/master/cargo-insta.
    @luckysori
    luckysori committed Apr 5, 2024
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