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add makerReceiveOnly coverage
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@kbrizzle
kbrizzle committed Jul 15, 2023
1 parent 6eae9c2 commit e6447d5
Showing 1 changed file with 248 additions and 1 deletion.
249 changes: 248 additions & 1 deletion packages/perennial/test/unit/market/Market.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -5,7 +5,6 @@ import { expect, use } from 'chai'
import HRE from 'hardhat'

//TODO (coverage hint): multi-version test w/ collateral change
//TODO (coverage hint): makerReceiveOnly coverage
//TODO (coverage hint): makerCloseAlways / takerCloseAlways coverage

import { impersonate } from '../../../../common/testutil'
Expand Down Expand Up @@ -114,6 +113,15 @@ const EXPECTED_FUNDING_FEE_1_5_123 = BigNumber.from(320) // (3159 + 157) = 3316
const EXPECTED_FUNDING_WITH_FEE_1_5_123 = EXPECTED_FUNDING_1_5_123.add(EXPECTED_FUNDING_FEE_1_5_123.div(2))
const EXPECTED_FUNDING_WITHOUT_FEE_1_5_123 = EXPECTED_FUNDING_1_5_123.sub(EXPECTED_FUNDING_FEE_1_5_123.div(2))

// rate_0 = 0
// rate_1 = rate_0 + (elapsed * skew / k)
// funding = (rate_0 + rate_1) / 2 * elapsed * taker * price / time_in_years
// (0.09 + (0.09 + 3600 * 1.00 / 40000)) / 2 * 3600 * 5 * 123 / (86400 * 365) = 3160
const EXPECTED_FUNDING_2_5_123 = BigNumber.from(9480)
const EXPECTED_FUNDING_FEE_2_5_123 = BigNumber.from(940) // (9477 + 473) = 9950 / 5 -> 664 * 5 -> 9950
const EXPECTED_FUNDING_WITH_FEE_2_5_123 = EXPECTED_FUNDING_2_5_123.add(EXPECTED_FUNDING_FEE_2_5_123.div(2))
const EXPECTED_FUNDING_WITHOUT_FEE_2_5_123 = EXPECTED_FUNDING_2_5_123.sub(EXPECTED_FUNDING_FEE_2_5_123.div(2))

// rate_0 = 0.09
// rate_1 = rate_0 + (elapsed * skew / k)
// funding = (rate_0 + rate_1) / 2 * elapsed * taker * price / time_in_years
Expand Down Expand Up @@ -12333,6 +12341,245 @@ describe('Market', () => {
})
})

context('skew flip', async () => {
beforeEach(async () => {
dsu.transferFrom.whenCalledWith(user.address, market.address, COLLATERAL.mul(1e12)).returns(true)
dsu.transferFrom.whenCalledWith(userB.address, market.address, COLLATERAL.mul(1e12)).returns(true)
await market.connect(userB).update(userB.address, POSITION, 0, 0, COLLATERAL, false)
await market.connect(user).update(user.address, 0, POSITION.div(2), 0, COLLATERAL, false)
})

it('doesnt flip funding default', async () => {
oracle.at.whenCalledWith(ORACLE_VERSION_2.timestamp).returns(ORACLE_VERSION_2)
oracle.status.returns([ORACLE_VERSION_2, ORACLE_VERSION_3.timestamp])
oracle.request.returns()

await market.connect(user).update(user.address, 0, 0, POSITION.div(2), 0, false)

oracle.at.whenCalledWith(ORACLE_VERSION_3.timestamp).returns(ORACLE_VERSION_3)

oracle.at.whenCalledWith(ORACLE_VERSION_4.timestamp).returns(ORACLE_VERSION_4)
oracle.status.returns([ORACLE_VERSION_4, ORACLE_VERSION_5.timestamp])
oracle.request.returns()

await settle(market, user)
await settle(market, userB)

expectLocalEq(await market.locals(user.address), {
currentId: 3,
collateral: COLLATERAL.sub(EXPECTED_FUNDING_WITH_FEE_1_5_123)
.sub(EXPECTED_INTEREST_5_123)
.add(EXPECTED_FUNDING_WITHOUT_FEE_1_5_123)
.sub(EXPECTED_INTEREST_5_123),
reward: EXPECTED_REWARD.mul(2).add(EXPECTED_REWARD),
protection: 0,
})
expectPositionEq(await market.positions(user.address), {
id: 2,
timestamp: ORACLE_VERSION_4.timestamp,
maker: 0,
long: 0,
short: POSITION.div(2),
fee: 0,
})
expectPositionEq(await market.pendingPositions(user.address, 3), {
id: 3,
timestamp: ORACLE_VERSION_5.timestamp,
maker: 0,
long: 0,
short: POSITION.div(2),
fee: 0,
})
expectLocalEq(await market.locals(userB.address), {
currentId: 2,
collateral: COLLATERAL.add(EXPECTED_FUNDING_WITHOUT_FEE_1_5_123)
.add(EXPECTED_INTEREST_WITHOUT_FEE_5_123)
.sub(EXPECTED_FUNDING_WITH_FEE_1_5_123)
.add(EXPECTED_INTEREST_WITHOUT_FEE_5_123)
.sub(16), // loss of precision
reward: EXPECTED_REWARD.mul(3).mul(2),
protection: 0,
})
expectPositionEq(await market.positions(userB.address), {
id: 1,
timestamp: ORACLE_VERSION_4.timestamp,
maker: POSITION,
long: 0,
short: 0,
fee: 0,
})
expectPositionEq(await market.pendingPositions(userB.address, 2), {
id: 2,
timestamp: ORACLE_VERSION_5.timestamp,
maker: POSITION,
long: 0,
short: 0,
fee: 0,
})
const totalFee = EXPECTED_FUNDING_FEE_1_5_123.add(EXPECTED_INTEREST_FEE_5_123)
.add(EXPECTED_FUNDING_FEE_1_5_123)
.add(EXPECTED_INTEREST_FEE_5_123)
expectGlobalEq(await market.global(), {
currentId: 3,
protocolFee: totalFee.div(2).sub(6), // loss of precision
oracleFee: totalFee.div(2).div(10).sub(2), // loss of precision
riskFee: totalFee.div(2).div(10).sub(2), // loss of precision
donation: totalFee.div(2).mul(8).div(10).add(1), // loss of precision
})
expectPositionEq(await market.position(), {
id: 2,
timestamp: ORACLE_VERSION_4.timestamp,
maker: POSITION,
long: 0,
short: POSITION.div(2),
fee: 0,
})
expectPositionEq(await market.pendingPosition(3), {
id: 3,
timestamp: ORACLE_VERSION_5.timestamp,
maker: POSITION,
long: 0,
short: POSITION.div(2),
fee: 0,
})
expectVersionEq(await market.versions(ORACLE_VERSION_4.timestamp), {
makerValue: {
_value: EXPECTED_FUNDING_WITHOUT_FEE_1_5_123.add(EXPECTED_INTEREST_WITHOUT_FEE_5_123)
.sub(EXPECTED_FUNDING_WITH_FEE_1_5_123)
.add(EXPECTED_INTEREST_WITHOUT_FEE_5_123)
.div(10)
.sub(1), // loss of precision
},
longValue: {
_value: EXPECTED_FUNDING_WITH_FEE_1_5_123.add(EXPECTED_INTEREST_5_123).div(5).mul(-1),
},
shortValue: {
_value: EXPECTED_FUNDING_WITHOUT_FEE_1_5_123.sub(EXPECTED_INTEREST_5_123).div(5),
},
makerReward: { _value: EXPECTED_REWARD.mul(3).mul(2).div(10) },
longReward: { _value: EXPECTED_REWARD.mul(2).div(5) },
shortReward: { _value: EXPECTED_REWARD.div(5) },
})
})

it('flips funding when makerReceiveOnly', async () => {
const riskParameter = { ...(await market.riskParameter()) }
riskParameter.makerReceiveOnly = true
await market.updateRiskParameter(riskParameter)

oracle.at.whenCalledWith(ORACLE_VERSION_2.timestamp).returns(ORACLE_VERSION_2)
oracle.status.returns([ORACLE_VERSION_2, ORACLE_VERSION_3.timestamp])
oracle.request.returns()

await market.connect(user).update(user.address, 0, 0, POSITION.div(2), 0, false)

oracle.at.whenCalledWith(ORACLE_VERSION_3.timestamp).returns(ORACLE_VERSION_3)

oracle.at.whenCalledWith(ORACLE_VERSION_4.timestamp).returns(ORACLE_VERSION_4)
oracle.status.returns([ORACLE_VERSION_4, ORACLE_VERSION_5.timestamp])
oracle.request.returns()

await settle(market, user)
await settle(market, userB)

expectLocalEq(await market.locals(user.address), {
currentId: 3,
collateral: COLLATERAL.sub(EXPECTED_FUNDING_WITH_FEE_1_5_123)
.sub(EXPECTED_INTEREST_5_123)
.sub(EXPECTED_FUNDING_WITH_FEE_1_5_123)
.sub(EXPECTED_INTEREST_5_123),
reward: EXPECTED_REWARD.mul(2).add(EXPECTED_REWARD),
protection: 0,
})
expectPositionEq(await market.positions(user.address), {
id: 2,
timestamp: ORACLE_VERSION_4.timestamp,
maker: 0,
long: 0,
short: POSITION.div(2),
fee: 0,
})
expectPositionEq(await market.pendingPositions(user.address, 3), {
id: 3,
timestamp: ORACLE_VERSION_5.timestamp,
maker: 0,
long: 0,
short: POSITION.div(2),
fee: 0,
})
expectLocalEq(await market.locals(userB.address), {
currentId: 2,
collateral: COLLATERAL.add(EXPECTED_FUNDING_WITHOUT_FEE_1_5_123)
.add(EXPECTED_INTEREST_WITHOUT_FEE_5_123)
.add(EXPECTED_FUNDING_WITHOUT_FEE_1_5_123)
.add(EXPECTED_INTEREST_WITHOUT_FEE_5_123)
.sub(16), // loss of precision
reward: EXPECTED_REWARD.mul(3).mul(2),
protection: 0,
})
expectPositionEq(await market.positions(userB.address), {
id: 1,
timestamp: ORACLE_VERSION_4.timestamp,
maker: POSITION,
long: 0,
short: 0,
fee: 0,
})
expectPositionEq(await market.pendingPositions(userB.address, 2), {
id: 2,
timestamp: ORACLE_VERSION_5.timestamp,
maker: POSITION,
long: 0,
short: 0,
fee: 0,
})
const totalFee = EXPECTED_FUNDING_FEE_1_5_123.add(EXPECTED_INTEREST_FEE_5_123)
.add(EXPECTED_FUNDING_FEE_1_5_123)
.add(EXPECTED_INTEREST_FEE_5_123)
expectGlobalEq(await market.global(), {
currentId: 3,
protocolFee: totalFee.div(2).sub(6), // loss of precision
oracleFee: totalFee.div(2).div(10).sub(2), // loss of precision
riskFee: totalFee.div(2).div(10).sub(2), // loss of precision
donation: totalFee.div(2).mul(8).div(10).add(1), // loss of precision
})
expectPositionEq(await market.position(), {
id: 2,
timestamp: ORACLE_VERSION_4.timestamp,
maker: POSITION,
long: 0,
short: POSITION.div(2),
fee: 0,
})
expectPositionEq(await market.pendingPosition(3), {
id: 3,
timestamp: ORACLE_VERSION_5.timestamp,
maker: POSITION,
long: 0,
short: POSITION.div(2),
fee: 0,
})
expectVersionEq(await market.versions(ORACLE_VERSION_4.timestamp), {
makerValue: {
_value: EXPECTED_FUNDING_WITHOUT_FEE_1_5_123.add(EXPECTED_INTEREST_WITHOUT_FEE_5_123)
.add(EXPECTED_FUNDING_WITHOUT_FEE_1_5_123)
.add(EXPECTED_INTEREST_WITHOUT_FEE_5_123)
.div(10)
.sub(1), // loss of precision
},
longValue: {
_value: EXPECTED_FUNDING_WITH_FEE_1_5_123.add(EXPECTED_INTEREST_5_123).div(5).mul(-1),
},
shortValue: {
_value: EXPECTED_FUNDING_WITH_FEE_1_5_123.add(EXPECTED_INTEREST_5_123).div(5).mul(-1),
},
makerReward: { _value: EXPECTED_REWARD.mul(3).mul(2).div(10) },
longReward: { _value: EXPECTED_REWARD.mul(2).div(5) },
shortReward: { _value: EXPECTED_REWARD.div(5) },
})
})
})

context('operator', async () => {
beforeEach(async () => {
dsu.transferFrom.whenCalledWith(operator.address, market.address, COLLATERAL.mul(1e12)).returns(true)
Expand Down

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