add efficiency limit

packages/perennial-vault/test/integration/helpers/setupHelpers.ts

@@ -35,6 +35,7 @@ export async function deployProductOnMainnetFork({
   takerImpactFee,
   positionFee,
   makerLimit,
+  efficiencyLimit,
   utilizationCurve,
   minMaintenance,
   liquidationFee,
@@ -50,6 +51,7 @@ export async function deployProductOnMainnetFork({
     makerFee: makerFee ?? parse6decimal('0.0'),
     makerImpactFee: makerImpactFee ?? parse6decimal('0.0'),
     makerLimit: makerLimit ?? parse6decimal('100'),
+    efficiencyLimit: efficiencyLimit ?? parse6decimal('0.2'),
     liquidationFee: liquidationFee ?? parse6decimal('0.50'),
     minLiquidationFee: minLiquidationFee ?? parse6decimal('0'),
     maxLiquidationFee: maxLiquidationFee ?? parse6decimal('1000'),

packages/perennial/contracts/Market.sol

@@ -431,6 +431,13 @@ contract Market is IMarket, Instance {
             !newOrder.isEmpty()
         ) { if (LOG_REVERTS) console.log("MarketProtectedError"); revert MarketProtectedError(); }
 
+        if (
+            !protected &&
+            !context.marketParameter.closed &&
+            newOrder.efficiency.lt(Fixed6Lib.ZERO) &&
+            context.pendingPosition.efficiency().lt(context.riskParameter.efficiencyLimit)
+        ) { if (LOG_REVERTS) console.log("MarketEfficiencyUnderLimitError"); revert MarketEfficiencyUnderLimitError(); }
+
         if (
             !protected &&
             !context.marketParameter.closed &&

packages/perennial/contracts/interfaces/IMarket.sol

@@ -66,6 +66,7 @@ interface IMarket is IInstance {
     error MarketNotBeneficiaryError();
     error MarketInvalidProtectionError();
     error MarketStalePriceError();
+    error MarketEfficiencyUnderLimitError();
 
     error GlobalStorageInvalidError();
     error LocalStorageInvalidError();

packages/perennial/contracts/types/Order.sol

@@ -12,6 +12,7 @@ struct Order {
     Fixed6 short;
     UFixed6 skew;
     Fixed6 impact;
+    Fixed6 efficiency;
     UFixed6 fee;
     UFixed6 keeper;
 }

packages/perennial/contracts/types/Position.sol

@@ -88,7 +88,7 @@ library PositionLib {
 
     /// @dev update the current global position
     function update(Position memory self, uint256 currentId, uint256 currentTimestamp, Order memory order) internal pure {
-        Fixed6 latestSkew = skew(self);
+        (Fixed6 latestSkew, UFixed6 latestEfficiency) = (skew(self), efficiency(self));
 
         if (self.id == currentId) self.fee = UFixed6Lib.ZERO;
         (self.id, self.timestamp, self.maker, self.long, self.short) = (
@@ -99,9 +99,10 @@ library PositionLib {
             UFixed6Lib.from(Fixed6Lib.from(self.short).add(order.short))
         );
 
-        (order.skew, order.impact) = (
+        (order.skew, order.impact, order.efficiency) = (
             skew(self).sub(latestSkew).abs(),
-            Fixed6Lib.from(skew(self).abs()).sub(Fixed6Lib.from(latestSkew.abs()))
+            Fixed6Lib.from(skew(self).abs()).sub(Fixed6Lib.from(latestSkew.abs())),
+            Fixed6Lib.from(efficiency(self)).sub(Fixed6Lib.from(latestEfficiency))
         );
     }
 
@@ -165,6 +166,10 @@ library PositionLib {
         return major(self).min(minor(self).add(self.maker));
     }
 
+    function efficiency(Position memory self) internal pure returns (UFixed6) {
+        return self.maker.unsafeDiv(major(self)).min(UFixed6Lib.ONE);
+    }
+
     function socialized(Position memory self) internal pure returns (bool) {
         return self.maker.add(self.short).lt(self.long) || self.maker.add(self.long).lt(self.short);
     }

packages/perennial/contracts/types/RiskParameter.sol

@@ -16,6 +16,7 @@ struct RiskParameter {
     UFixed6 makerFee;
     UFixed6 makerImpactFee;
     UFixed6 makerLimit;
+    UFixed6 efficiencyLimit;
     UFixed6 liquidationFee;
     UFixed6 minLiquidationFee;
     UFixed6 maxLiquidationFee;
@@ -26,7 +27,7 @@ struct RiskParameter {
     bool makerReceiveOnly;
     // TODO: closeToSocializeMaker
     // TODO: closeToSocializeTaker
-    // TODO: takerLimit
+    // TODO: efficiencyLimit
 }
 
 struct StoredRiskParameter {
@@ -55,6 +56,7 @@ struct StoredRiskParameter {
     uint24 liquidationFee;                      // <= 1677%
     uint48 minLiquidationFee;                   // <= 281mn
     uint48 maxLiquidationFee;                   // <= 281mn
+    uint24 efficiencyLimit;                     // <= 1677%
 }
 struct RiskParameterStorage { StoredRiskParameter value; }
 using RiskParameterStorageLib for RiskParameterStorage global;
@@ -72,6 +74,7 @@ library RiskParameterStorageLib {
             UFixed6.wrap(uint256(value.makerFee)),
             UFixed6.wrap(uint256(value.makerImpactFee)),
             UFixed6.wrap(uint256(value.makerLimit)),
+            UFixed6.wrap(uint256(value.efficiencyLimit)),
             UFixed6.wrap(uint256(value.liquidationFee)),
             UFixed6.wrap(uint256(value.minLiquidationFee)),
             UFixed6.wrap(uint256(value.maxLiquidationFee)),
@@ -99,6 +102,7 @@ library RiskParameterStorageLib {
         if (newValue.makerFee.gt(UFixed6.wrap(type(uint24).max))) revert RiskParameterStorageInvalidError();
         if (newValue.makerImpactFee.gt(UFixed6.wrap(type(uint24).max))) revert RiskParameterStorageInvalidError();
         if (newValue.makerLimit.gt(UFixed6.wrap(type(uint48).max))) revert RiskParameterStorageInvalidError();
+        if (newValue.efficiencyLimit.gt(UFixed6.wrap(type(uint24).max))) revert RiskParameterStorageInvalidError();
         if (newValue.liquidationFee.gt(UFixed6.wrap(type(uint24).max))) revert RiskParameterStorageInvalidError();
         if (newValue.minLiquidationFee.gt(UFixed6.wrap(type(uint48).max))) revert RiskParameterStorageInvalidError();
         if (newValue.maxLiquidationFee.gt(UFixed6.wrap(type(uint48).max))) revert RiskParameterStorageInvalidError();
@@ -119,6 +123,7 @@ library RiskParameterStorageLib {
             makerFee: uint24(UFixed6.unwrap(newValue.makerFee)),
             makerImpactFee: uint24(UFixed6.unwrap(newValue.makerImpactFee)),
             makerLimit: uint48(UFixed6.unwrap(newValue.makerLimit)),
+            efficiencyLimit: uint24(UFixed6.unwrap(newValue.efficiencyLimit)),
             liquidationFee: uint24(UFixed6.unwrap(newValue.liquidationFee)),
             minLiquidationFee: uint48(UFixed6.unwrap(newValue.minLiquidationFee)),
             maxLiquidationFee: uint48(UFixed6.unwrap(newValue.maxLiquidationFee)),

packages/perennial/test/integration/core/happyPath.test.ts

@@ -60,8 +60,8 @@ describe('Happy Path', () => {
       takerImpactFee: 0,
       makerFee: 0,
       makerImpactFee: 0,
-      makerLiquidity: parse6decimal('0.2'),
       makerLimit: parse6decimal('1'),
+      efficiencyLimit: parse6decimal('0.2'),
       liquidationFee: parse6decimal('0.50'),
       minLiquidationFee: parse6decimal('0'),
       maxLiquidationFee: parse6decimal('1000'),
@@ -778,7 +778,7 @@ describe('Happy Path', () => {
 
     await expect(
       market.connect(userB).update(userB.address, 0, POSITION_B, 0, COLLATERAL, false),
-    ).to.be.revertedWithCustomError(market, 'MarketInsufficientLiquidityError')
+    ).to.be.revertedWithCustomError(market, 'MarketEfficiencyUnderLimitError')
     await market.connect(user).update(user.address, POSITION, 0, 0, COLLATERAL, false)
     await market.connect(userB).update(userB.address, 0, POSITION_B, 0, COLLATERAL, false)
 
@@ -856,7 +856,7 @@ describe('Happy Path', () => {
 
     await expect(
       market.connect(userB).update(userB.address, 0, POSITION_B, 0, COLLATERAL, false),
-    ).to.be.revertedWithCustomError(market, 'MarketInsufficientLiquidityError')
+    ).to.be.revertedWithCustomError(market, 'MarketEfficiencyUnderLimitError')
     await market.connect(user).update(user.address, POSITION, 0, 0, COLLATERAL, false)
     await market.connect(userB).update(userB.address, 0, POSITION_B, 0, COLLATERAL, false)
     await market.connect(userB).update(userB.address, POSITION_B.div(2), 0, 0, 0, false)
@@ -1015,8 +1015,8 @@ describe('Happy Path', () => {
       takerImpactFee: positionFeesOn ? parse6decimal('0.0004') : 0,
       makerFee: positionFeesOn ? parse6decimal('0.0005') : 0,
       makerImpactFee: positionFeesOn ? parse6decimal('0.0002') : 0,
-      makerLiquidity: parse6decimal('0.2'),
       makerLimit: parse6decimal('1'),
+      efficiencyLimit: parse6decimal('0.2'),
       liquidationFee: parse6decimal('0.50'),
       minLiquidationFee: parse6decimal('0'),
       maxLiquidationFee: parse6decimal('1000'),
@@ -1153,8 +1153,8 @@ describe('Happy Path', () => {
       takerImpactFee: positionFeesOn ? parse6decimal('0.0004') : 0,
       makerFee: positionFeesOn ? parse6decimal('0.0005') : 0,
       makerImpactFee: positionFeesOn ? parse6decimal('0.0002') : 0,
-      makerLiquidity: parse6decimal('0.2'),
       makerLimit: parse6decimal('1'),
+      efficiencyLimit: parse6decimal('0.2'),
       liquidationFee: parse6decimal('0.50'),
       minLiquidationFee: parse6decimal('0'),
       maxLiquidationFee: parse6decimal('1000'),

packages/perennial/test/integration/helpers/setupHelpers.ts

@@ -201,8 +201,8 @@ export async function createMarket(
     takerImpactFee: 0,
     makerFee: 0,
     makerImpactFee: 0,
-    makerLiquidity: parse6decimal('0.2'),
     makerLimit: parse6decimal('1000'),
+    efficiencyLimit: parse6decimal('0.2'),
     liquidationFee: parse6decimal('0.50'),
     minLiquidationFee: parse6decimal('0'),
     maxLiquidationFee: parse6decimal('1000'),

packages/perennial/test/unit/market/Market.test.ts

@@ -247,6 +247,7 @@ describe('Market', () => {
       makerFee: 0,
       makerImpactFee: 0,
       makerLimit: parse6decimal('1000'),
+      efficiencyLimit: parse6decimal('0.2'),
       liquidationFee: parse6decimal('0.50'),
       minLiquidationFee: parse6decimal('0'),
       maxLiquidationFee: parse6decimal('1000'),
@@ -301,6 +302,7 @@ describe('Market', () => {
       expect(riskParameterResult.makerFee).to.equal(riskParameter.makerFee)
       expect(riskParameterResult.makerImpactFee).to.equal(riskParameter.makerImpactFee)
       expect(riskParameterResult.makerLimit).to.equal(riskParameter.makerLimit)
+      expect(riskParameterResult.efficiencyLimit).to.equal(riskParameter.efficiencyLimit)
       expect(riskParameterResult.liquidationFee).to.equal(riskParameter.liquidationFee)
       expect(riskParameterResult.minLiquidationFee).to.equal(riskParameter.minLiquidationFee)
       expect(riskParameterResult.maxLiquidationFee).to.equal(riskParameter.maxLiquidationFee)
@@ -416,8 +418,8 @@ describe('Market', () => {
           takerImpactFee: parse6decimal('0.03'),
           makerFee: parse6decimal('0.05'),
           makerImpactFee: parse6decimal('0.01'),
-          makerLiquidity: parse6decimal('0.1'),
           makerLimit: parse6decimal('2000'),
+          efficiencyLimit: parse6decimal('0.2'),
           liquidationFee: parse6decimal('0.75'),
           minLiquidationFee: parse6decimal('10'),
           maxLiquidationFee: parse6decimal('200'),
@@ -449,6 +451,7 @@ describe('Market', () => {
         expect(riskParameter.makerFee).to.equal(newRiskParameter.makerFee)
         expect(riskParameter.makerImpactFee).to.equal(newRiskParameter.makerImpactFee)
         expect(riskParameter.makerLimit).to.equal(newRiskParameter.makerLimit)
+        expect(riskParameter.efficiencyLimit).to.equal(newRiskParameter.efficiencyLimit)
         expect(riskParameter.liquidationFee).to.equal(newRiskParameter.liquidationFee)
         expect(riskParameter.minLiquidationFee).to.equal(newRiskParameter.minLiquidationFee)
         expect(riskParameter.maxLiquidationFee).to.equal(newRiskParameter.maxLiquidationFee)
@@ -10190,6 +10193,23 @@ describe('Market', () => {
             ).to.be.revertedWithCustomError(market, 'MarketMakerOverLimitError')
           })
 
+          it('reverts if under efficiency limit', async () => {
+            const riskParameter = { ...(await market.riskParameter()) }
+            riskParameter.efficiencyLimit = parse6decimal('0.6')
+            await market.updateRiskParameter(riskParameter)
+
+            dsu.transferFrom.whenCalledWith(user.address, market.address, COLLATERAL.mul(1e12)).returns(true)
+            await market.connect(user).update(user.address, POSITION.div(2), 0, 0, COLLATERAL, false)
+            dsu.transferFrom.whenCalledWith(userB.address, market.address, COLLATERAL.mul(1e12)).returns(true)
+            await market.connect(userB).update(userB.address, 0, POSITION.div(2), 0, COLLATERAL, false)
+            dsu.transferFrom.whenCalledWith(userC.address, market.address, COLLATERAL.mul(1e12)).returns(true)
+            await market.connect(userC).update(userC.address, 0, 0, POSITION.div(2), COLLATERAL, false)
+
+            await expect(
+              market.connect(userB).update(userB.address, 0, POSITION, 0, 0, false),
+            ).to.be.revertedWithCustomError(market, 'MarketEfficiencyUnderLimitError')
+          })
+
           it('reverts if under minimum maintenance', async () => {
             dsu.transferFrom.whenCalledWith(user.address, market.address, utils.parseEther('1')).returns(true)
             await expect(
@@ -10207,8 +10227,11 @@ describe('Market', () => {
           })
 
           it('reverts if taker > maker', async () => {
+            dsu.transferFrom.whenCalledWith(user.address, market.address, COLLATERAL.mul(1e12)).returns(true)
+            await market.connect(user).update(user.address, POSITION, 0, 0, COLLATERAL, false)
+
             await expect(
-              market.connect(user).update(user.address, 0, POSITION.mul(4), 0, COLLATERAL, false),
+              market.connect(userB).update(userB.address, 0, POSITION.add(1), 0, COLLATERAL, false),
             ).to.be.revertedWithCustomError(market, `MarketInsufficientLiquidityError`)
           })
 

packages/perennial/test/unit/marketfactory/MarketFactory.test.ts

@@ -86,8 +86,8 @@ describe('MarketFactory', () => {
         makerFee: 0,
         makerImpactFee: 0,
         positionFee: 0,
-        makerLiquidity: parse6decimal('0.2'),
         makerLimit: parse6decimal('1000'),
+        efficiencyLimit: parse6decimal('0.2'),
         liquidationFee: parse6decimal('0.50'),
         minLiquidationFee: parse6decimal('0'),
         maxLiquidationFee: parse6decimal('1000'),
@@ -136,8 +136,8 @@ describe('MarketFactory', () => {
         makerFee: 0,
         makerImpactFee: 0,
         positionFee: 0,
-        makerLiquidity: parse6decimal('0.2'),
         makerLimit: parse6decimal('1000'),
+        efficiencyLimit: parse6decimal('0.2'),
         liquidationFee: parse6decimal('0.50'),
         minLiquidationFee: parse6decimal('0'),
         maxLiquidationFee: parse6decimal('1000'),
@@ -185,8 +185,8 @@ describe('MarketFactory', () => {
         makerFee: 0,
         makerImpactFee: 0,
         positionFee: 0,
-        makerLiquidity: parse6decimal('0.2'),
         makerLimit: parse6decimal('1000'),
+        efficiencyLimit: parse6decimal('0.2'),
         liquidationFee: parse6decimal('0.50'),
         minLiquidationFee: parse6decimal('0'),
         maxLiquidationFee: parse6decimal('1000'),
@@ -232,8 +232,8 @@ describe('MarketFactory', () => {
         makerFee: 0,
         makerImpactFee: 0,
         positionFee: 0,
-        makerLiquidity: parse6decimal('0.2'),
         makerLimit: parse6decimal('1000'),
+        efficiencyLimit: parse6decimal('0.2'),
         liquidationFee: parse6decimal('0.50'),
         minLiquidationFee: parse6decimal('0'),
         maxLiquidationFee: parse6decimal('1000'),
@@ -279,8 +279,8 @@ describe('MarketFactory', () => {
         makerFee: 0,
         makerImpactFee: 0,
         positionFee: 0,
-        makerLiquidity: parse6decimal('0.2'),
         makerLimit: parse6decimal('1000'),
+        efficiencyLimit: parse6decimal('0.2'),
         liquidationFee: parse6decimal('0.50'),
         minLiquidationFee: parse6decimal('0'),
         maxLiquidationFee: parse6decimal('1000'),