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Fix two resize bugs #2412

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merged 2 commits into from
Apr 11, 2024
Merged

Fix two resize bugs #2412

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11ac509
fix: Calculate margin after position reduction correctly
luckysori Apr 11, 2024
3cc3587
fix(coordinator): Do not insert resize trade twice
luckysori Apr 11, 2024
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55 changes: 11 additions & 44 deletions coordinator/src/trade/mod.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -12,7 +12,6 @@ use crate::payout_curve;
use crate::position::models::NewPosition;
use crate::position::models::Position;
use crate::position::models::PositionState;
use crate::trade::models::NewTrade;
use anyhow::anyhow;
use anyhow::bail;
use anyhow::ensure;
Expand Down Expand Up @@ -735,26 +734,6 @@ impl TradeExecutor {
order_matching_fee,
)?;

// We add the trade before it is complete so that we can insert the PNL now. Otherwise the
// information is lost.
db::trades::insert(
conn,
NewTrade {
position_id: position.id,
contract_symbol: position.contract_symbol,
trader_pubkey: position.trader,
quantity: trade_params.quantity,
trader_leverage: position.trader_leverage,
trader_direction: trade_params.direction,
average_price: trade_params
.average_execution_price()
.to_f32()
.expect("to fit"),
order_matching_fee,
trader_realized_pnl_sat: realized_pnl.map(SignedAmount::to_sat),
},
)?;

Ok(())
}

Expand Down Expand Up @@ -1207,29 +1186,17 @@ fn apply_resize_to_position(
let coordinator_liquidation_price =
Decimal::try_from(position.coordinator_liquidation_price).expect("to fit");

let margin_coordinator = {
let margin_reduction = Amount::from_sat(calculate_margin(
order_average_execution_price,
order_contracts.to_f32().expect("to fit"),
position.coordinator_leverage,
));

Amount::from_sat(position.coordinator_margin as u64)
.checked_sub(margin_reduction)
.context("Coordinator margin below zero after resize")?
};

let margin_trader = {
let margin_reduction = Amount::from_sat(calculate_margin(
order_average_execution_price,
order_contracts.to_f32().expect("to fit"),
position.trader_leverage,
));
let margin_coordinator = Amount::from_sat(calculate_margin(
position_average_execution_price,
total_contracts.to_f32().expect("to fit"),
position.coordinator_leverage,
));

Amount::from_sat(position.trader_margin as u64)
.checked_sub(margin_reduction)
.context("Trader margin below zero after resize")?
};
let margin_trader = Amount::from_sat(calculate_margin(
position_average_execution_price,
total_contracts.to_f32().expect("to fit"),
position.trader_leverage,
));

let (original_margin_long, original_margin_short) = match position.trader_direction {
Direction::Long => (
Expand Down Expand Up @@ -1390,7 +1357,7 @@ fn apply_resize_to_position(
.expect("to fit");

let closed_margin = SignedAmount::from_sat(calculate_margin(
order_average_execution_price,
position_average_execution_price,
position.quantity,
position.trader_leverage,
) as i64);
Expand Down
4 changes: 2 additions & 2 deletions ...nator/src/trade/snapshots/[email protected]
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Original file line number Diff line number Diff line change
Expand Up @@ -10,8 +10,8 @@ ResizedPosition {
trader_liquidation_price: 33333.333333333333333333333333,
margin_coordinator: Amount(0.00250000 BTC),
margin_trader: Amount(0.00250000 BTC),
collateral_reserve_coordinator: Amount(0.00321214 BTC),
collateral_reserve_trader: Amount(0.00180968 BTC),
collateral_reserve_coordinator: Amount(0.00389336 BTC),
collateral_reserve_trader: Amount(0.00112846 BTC),
realized_pnl: Some(
SignedAmount(-0.00136245 BTC),
),
Expand Down
8 changes: 4 additions & 4 deletions coordinator/src/trade/snapshots/[email protected]
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Original file line number Diff line number Diff line change
Expand Up @@ -8,10 +8,10 @@ ResizedPosition {
average_execution_price: 27491,
coordinator_liquidation_price: 45818.33,
trader_liquidation_price: 19636.43,
margin_coordinator: Amount(0.00056878 BTC),
margin_trader: Amount(0.00056878 BTC),
collateral_reserve_coordinator: Amount(0.00514335 BTC),
collateral_reserve_trader: Amount(0.00374091 BTC),
margin_coordinator: Amount(0.00090939 BTC),
margin_trader: Amount(0.00090939 BTC),
collateral_reserve_coordinator: Amount(0.00480274 BTC),
collateral_reserve_trader: Amount(0.00340030 BTC),
realized_pnl: Some(
SignedAmount(-0.00068122 BTC),
),
Expand Down
4 changes: 2 additions & 2 deletions ...inator/src/trade/snapshots/[email protected]
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Original file line number Diff line number Diff line change
Expand Up @@ -10,8 +10,8 @@ ResizedPosition {
trader_liquidation_price: 33333.333333333333333333333333,
margin_coordinator: Amount(0.00250000 BTC),
margin_trader: Amount(0.00250000 BTC),
collateral_reserve_coordinator: Amount(0.00196213 BTC),
collateral_reserve_trader: Amount(0.00124091 BTC),
collateral_reserve_coordinator: Amount(0.00230274 BTC),
collateral_reserve_trader: Amount(0.00090030 BTC),
realized_pnl: Some(
SignedAmount(-0.00068122 BTC),
),
Expand Down
30 changes: 15 additions & 15 deletions crates/tests-e2e/tests/e2e_resize_position.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -57,7 +57,7 @@ async fn can_resize_position() {
//
// 250_005 [extra margin] = 250 [order contracts] / (49_999 [price] * 2 [leverage])
//
// 1_500 [fee] = 250 [order contracts] * (/ 1 49_999 [price]) * 0.0030 [fee coefficient]
// 1_500 [fee] = 250 [order contracts] * (1 / 49_999 [price]) * 0.0030 [fee coefficient]
//
// 748_495 [new reserve] = 1_000_000 [reserve] - 250_005 [extra margin] - 1_500 [fee]
let expected_off_chain_balance = 748_495;
Expand Down Expand Up @@ -93,27 +93,27 @@ async fn can_resize_position() {

// To decrease the position, we must decrease the margin (and increase the reserve).
//
// 399_992 [margin reduction] = 400 [order contracts] / (50_001 [closing price] * 2 [leverage])
// 400_008 [margin reduction] = 400 [order contracts] / (49_999 [opening price] * 2 [leverage])
//
// 2_400 [fee] = 400 [order contracts] * (/ 1 50_001 [closing price]) * 0.0030 [fee coefficient]
// 2_400 [fee] = 400 [order contracts] * (1 / 50_001 [closing price]) * 0.0030 [fee coefficient]
//
// -32 [pnl] = (400 [order contracts] / 50_001 [closing price]) - (400 [order contracts] /
// 49_999 [opening price])
//
// 1_146_055 [new reserve] = 748_495 [reserve] + 399_992 [margin reduction] - 2_400 [fee] - 32
// 1_146_071 [new reserve] = 748_495 [reserve] + 400_008 [margin reduction] - 2_400 [fee] - 32
// [pnl]
let expected_off_chain_balance = 1_146_055;
let expected_off_chain_balance = 1_146_071;
wait_until_balance_equals(&test, expected_off_chain_balance).await;

// 397_560 [trade amount] = 399_992 [margin reduction] - 2_400 [fee] - 32 [pnl]
// 397_576 [trade amount] = 400_008 [margin reduction] - 2_400 [fee] - 32 [pnl]
check_trade(
&test,
&order_id,
Direction::Long,
400,
Some(-32),
2_400,
397_560,
397_576,
);

tracing::info!(
Expand All @@ -136,35 +136,35 @@ async fn can_resize_position() {
// To change direction, we must decrease the margin to 0 and then increase it. The total effect
// depends on the specific order executed.
//
// 99_998 [closed margin] = 100 [close contracts] / (50_001 [closing price] * 2 [leverage])
// 100_002 [closed margin] = 100 [close contracts] / (49_999 [opening price] * 2 [leverage])
//
// -8 [pnl] = (100 [close contracts] / 50_001 [closing price]) - (100 [order contracts] / 49_999
// -8 [pnl] = (100 [close contracts] / 50_001 [closing price]) - (100 [close contracts] / 49_999
// [opening price])
//
// 199_996 [new margin] = 200 [remaining contracts] / (50_001 [price] * 2 [leverage])
//
// 1_800 [fee] = 300 [total contracts] * (/ 1 50_001 [closing price]) * 0.0030 [fee
// 1_800 [fee] = 300 [total contracts] * (1 / 50_001 [closing price]) * 0.0030 [fee
// coefficient]
//
// 1_044_249 [new reserve] = 1_146_055 [reserve] + 99_998 [closed margin] - 199_996 [new margin]
// - 1_800 [fee] - 8 [pnl]
let expected_off_chain_balance = 1_044_249;
// 1_044_269 [new reserve] = 1_146_071 [reserve] + 100_002 [closed margin] - 199_996 [new
// margin] - 1_800 [fee] - 8 [pnl]
let expected_off_chain_balance = 1_044_269;
wait_until_balance_equals(&test, expected_off_chain_balance).await;

// The direction changing order is split into two trades: one to close the short position and
// another to open the long position.

// Close short position.
//
// 99_390 [1st trade amount] = 99_998 [closed margin] - 600 [fee] - 8 [pnl]
// 99_394 [1st trade amount] = 100_002 [closed margin] - 600 [fee] - 8 [pnl]
check_trade(
&test,
&order_id,
Direction::Long,
100,
Some(-8),
600,
99_390,
99_394,
);

// Open long position, threfore no PNL.
Expand Down
32 changes: 14 additions & 18 deletions mobile/native/src/trade/position/mod.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -295,30 +295,26 @@ impl Position {
compute_relative_contracts(order.quantity, order.direction);

let (new_collateral, closed_collateral) = {
let original_collateral_btc = starting_contracts
/ (starting_leverage * starting_average_execution_price);

let original_before_btc = original_collateral_btc
let contract_diff = Decimal::try_from(contract_diff).expect("to fit");
let new_collateral_btc =
contract_diff / (starting_leverage * starting_average_execution_price);
let new_collateral_btc = new_collateral_btc
.round_dp_with_strategy(8, RoundingStrategy::MidpointAwayFromZero)
.to_f64()
.expect("margin to fit into f64");

let original_collateral = Amount::from_btc(original_before_btc)
.expect("margin diff to fit into SignedAmount");

let closed_collateral_btc =
order_contracts / (starting_leverage * order_execution_price);
.expect("to fit");
let new_collateral = Amount::from_btc(new_collateral_btc).expect("to fit");

let closed_collateral_btc = order_contracts
/ (starting_leverage * starting_average_execution_price);
let closed_collateral_btc = closed_collateral_btc
.abs()
.round_dp_with_strategy(8, RoundingStrategy::MidpointAwayFromZero)
.to_f64()
.expect("collateral to fit into f64");

let closed_collateral = Amount::from_btc(closed_collateral_btc)
.expect("collateral to fit into Amount");

(original_collateral - closed_collateral, closed_collateral)
(new_collateral, closed_collateral)
};

let position = Position {
Expand Down Expand Up @@ -396,8 +392,8 @@ impl Position {
};

let closed_collateral = {
let closed_collateral_btc =
starting_contracts / (starting_leverage * order_execution_price);
let closed_collateral_btc = starting_contracts
/ (starting_leverage * starting_average_execution_price);

let closed_collateral_btc = closed_collateral_btc
.abs()
Expand Down Expand Up @@ -825,7 +821,7 @@ mod tests {
position.liquidation_price
);
assert_eq!(updated_position.position_state, PositionState::Open);
assert_eq!(updated_position.collateral, 6_842);
assert_eq!(updated_position.collateral, 6_855);
assert!(!updated_position.stable);

let trade = match trades.as_slice() {
Expand All @@ -837,7 +833,7 @@ mod tests {
assert_eq!(trade.contract_symbol, order.contract_symbol);
assert_eq!(trade.contracts, dec!(5));
assert_eq!(trade.direction, order.direction);
assert_eq!(trade.trade_cost, SignedAmount::from_sat(-5_842));
assert_eq!(trade.trade_cost, SignedAmount::from_sat(-5_829));
assert_eq!(trade.fee, Amount::from_sat(1_000));
assert_eq!(trade.pnl, Some(SignedAmount::from_sat(-26)));
assert_eq!(
Expand Down Expand Up @@ -905,7 +901,7 @@ mod tests {
assert_eq!(closing_trade.contract_symbol, order.contract_symbol);
assert_eq!(closing_trade.contracts, Decimal::TEN);
assert_eq!(closing_trade.direction, order.direction);
assert_eq!(closing_trade.trade_cost, SignedAmount::from_sat(-13_185));
assert_eq!(closing_trade.trade_cost, SignedAmount::from_sat(-13_159));
assert_eq!(closing_trade.fee, Amount::from_sat(500));
assert_eq!(closing_trade.pnl, Some(SignedAmount::from_sat(-51)));
assert_eq!(
Expand Down
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