feat(perp): FluctuationLimit check on OpenPosition

CHANGELOG.md

@@ -45,7 +45,8 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 ### Improvements
 
 * [#775](https://github.com/NibiruChain/nibiru/pull/775) - bump google.golang.org/protobuf from 1.28.0 to 1.28.1
-* [#768](https://github.com/NibiruChain/nibiru/pull/768/) - add simulation tests to make file
+* [#768](https://github.com/NibiruChain/nibiru/pull/768) - add simulation tests to make file
+* [#767](https://github.com/NibiruChain/nibiru/pull/767) - add fluctuation limit checks on `OpenPosition`.
 
 ### Bug Fixes
 
@@ -125,4 +126,3 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 * [#695](https://github.com/NibiruChain/nibiru/pull/695) Add `OpenPosition` integration tests.
 * [#692](https://github.com/NibiruChain/nibiru/pull/692) Add test coverage for Perp MsgServer methods.
-* [#768](https://github.com/NibiruChain/nibiru/pull/768) Update simulation tests to read flags over static values

x/perp/keeper/clearing_house.go

@@ -76,7 +76,6 @@ func (k Keeper) OpenPosition(
 			/* quoteAssetAmount */ quoteAssetAmount.ToDec(),
 			/* leverage */ leverage,
 			/* baseAmtLimit */ baseAmtLimit,
-			/* skipFluctuationLimitCheck */ false,
 		)
 		if err != nil {
 			return nil, err
@@ -243,7 +242,7 @@ func (k Keeper) increasePosition(
 		side,
 		increasedNotional,
 		baseAmtLimit,
-		false,
+		/* skipFluctuationLimitCheck */ false,
 	)
 	if err != nil {
 		return nil, err
@@ -296,7 +295,6 @@ func (k Keeper) openReversePosition(
 	quoteAssetAmount sdk.Dec,
 	leverage sdk.Dec,
 	baseAmtLimit sdk.Dec,
-	skipFluctuationLimitCheck bool,
 ) (positionResp *types.PositionResp, err error) {
 	notionalToDecreaseBy := leverage.Mul(quoteAssetAmount)
 	currentPositionNotional, _, err := k.getPositionNotionalAndUnrealizedPnL(
@@ -315,7 +313,7 @@ func (k Keeper) openReversePosition(
 			currentPosition,
 			notionalToDecreaseBy,
 			baseAmtLimit,
-			skipFluctuationLimitCheck,
+			/* skipFluctuationLimitCheck */ false,
 		)
 	} else {
 		// close and reverse
@@ -350,16 +348,18 @@ ret:
   - positionResp: contains the result of the decrease position and the new position
   - err: error
 */
-// TODO(https://github.com/NibiruChain/nibiru/issues/403): implement fluctuation limit check
 func (k Keeper) decreasePosition(
 	ctx sdk.Context,
 	currentPosition types.Position,
 	decreasedNotional sdk.Dec,
 	baseAmtLimit sdk.Dec,
 	skipFluctuationLimitCheck bool,
 ) (positionResp *types.PositionResp, err error) {
+	if currentPosition.Size_.IsZero() {
+		return nil, fmt.Errorf("current position size is zero, nothing to decrease")
+	}
+
 	positionResp = &types.PositionResp{
-		RealizedPnl:   sdk.ZeroDec(),
 		MarginToVault: sdk.ZeroDec(),
 	}
 
@@ -393,12 +393,10 @@ func (k Keeper) decreasePosition(
 		return nil, err
 	}
 
-	if !currentPosition.Size_.IsZero() {
-		positionResp.RealizedPnl = currentUnrealizedPnL.Mul(
-			positionResp.ExchangedPositionSize.Abs().
-				Quo(currentPosition.Size_.Abs()),
-		)
-	}
+	positionResp.RealizedPnl = currentUnrealizedPnL.Mul(
+		positionResp.ExchangedPositionSize.Abs().
+			Quo(currentPosition.Size_.Abs()),
+	)
 
 	remaining, err := k.CalcRemainMarginWithFundingPayment(
 		ctx,
@@ -455,6 +453,7 @@ args:
   - quoteAssetAmount: the amount of notional value to move by. Must be greater than the existingPosition's notional value.
   - leverage: the amount of leverage to take
   - baseAmtLimit: limit on the base asset movement to ensure trader doesn't get screwed
+  - skipFluctuationLimitCheck: whether or not to skip the fluctuation limit check
 
 ret:
   - positionResp: response object containing information about the position change
@@ -475,7 +474,8 @@ func (k Keeper) closeAndOpenReversePosition(
 	closePositionResp, err := k.closePositionEntirely(
 		ctx,
 		existingPosition,
-		sdk.ZeroDec(),
+		/* quoteAssetAmountLimit */ sdk.ZeroDec(),
+		/* skipFluctuationLimitCheck */ false,
 	)
 	if err != nil {
 		return nil, err
@@ -495,12 +495,11 @@ func (k Keeper) closeAndOpenReversePosition(
 			"provided quote asset amount and leverage not large enough to close position. need %s but got %s",
 			closePositionResp.ExchangedNotionalValue.String(), reverseNotionalValue.String())
 	} else if remainingReverseNotionalValue.IsPositive() {
-		updatedbaseAmtLimit := baseAmtLimit
+		updatedBaseAmtLimit := baseAmtLimit
 		if baseAmtLimit.IsPositive() {
-			updatedbaseAmtLimit = baseAmtLimit.
-				Sub(closePositionResp.ExchangedPositionSize.Abs())
+			updatedBaseAmtLimit = baseAmtLimit.Sub(closePositionResp.ExchangedPositionSize.Abs())
 		}
-		if updatedbaseAmtLimit.IsNegative() {
+		if updatedBaseAmtLimit.IsNegative() {
 			return nil, fmt.Errorf(
 				"position size changed by greater than the specified base limit: %s",
 				baseAmtLimit.String(),
@@ -525,12 +524,13 @@ func (k Keeper) closeAndOpenReversePosition(
 			*newPosition,
 			sideToTake,
 			remainingReverseNotionalValue,
-			updatedbaseAmtLimit,
+			updatedBaseAmtLimit,
 			leverage,
 		)
 		if err != nil {
 			return nil, err
 		}
+
 		positionResp = &types.PositionResp{
 			Position:               increasePositionResp.Position,
 			PositionNotional:       increasePositionResp.PositionNotional,
@@ -558,6 +558,7 @@ args:
   - ctx: cosmos-sdk context
   - currentPosition: current position
   - quoteAssetAmountLimit: a limit on quote asset to ensure trader doesn't get screwed
+  - skipFluctuationLimitCheck: whether or not to skip the fluctuation limit check
 
 ret:
   - positionResp: response object containing information about the position change
@@ -567,6 +568,7 @@ func (k Keeper) closePositionEntirely(
 	ctx sdk.Context,
 	currentPosition types.Position,
 	quoteAssetAmountLimit sdk.Dec,
+	skipFluctuationLimitCheck bool,
 ) (positionResp *types.PositionResp, err error) {
 	if currentPosition.Size_.IsZero() {
 		return nil, fmt.Errorf("zero position size")
@@ -618,7 +620,7 @@ func (k Keeper) closePositionEntirely(
 		baseAssetDirection,
 		currentPosition.Size_.Abs(),
 		quoteAssetAmountLimit,
-		false,
+		skipFluctuationLimitCheck,
 	)
 	if err != nil {
 		return nil, err
@@ -664,7 +666,12 @@ func (k Keeper) ClosePosition(ctx sdk.Context, pair common.AssetPair, traderAddr
 		return nil, err
 	}
 
-	positionResp, err := k.closePositionEntirely(ctx, *position, sdk.ZeroDec())
+	positionResp, err := k.closePositionEntirely(
+		ctx,
+		*position,
+		/* quoteAssetAmountLimit */ sdk.ZeroDec(),
+		/* skipFluctuationLimitCheck */ false,
+	)
 	if err != nil {
 		return nil, err
 	}

x/perp/keeper/clearing_house_integration_test.go

@@ -123,6 +123,22 @@ func TestOpenPositionSuccess(t *testing.T) {
 			expectedRealizedPnl:      sdk.MustNewDecFromStr("-0.000099999999"),
 			expectedMarginToVault:    sdk.MustNewDecFromStr("1000.0001099999989"),
 		},
+		{
+			name:                     "new long position just under fluctuation limit",
+			traderFunds:              sdk.NewCoins(sdk.NewInt64Coin(common.DenomStable, 1_000_000_000_000)),
+			initialPosition:          nil,
+			side:                     types.Side_BUY,
+			margin:                   sdk.NewInt(47_619_047_619),
+			leverage:                 sdk.OneDec(),
+			baseLimit:                sdk.ZeroDec(),
+			expectedMargin:           sdk.NewDec(47_619_047_619),
+			expectedOpenNotional:     sdk.NewDec(47_619_047_619),
+			expectedSize:             sdk.MustNewDecFromStr("45454545454.502066115702477367"),
+			expectedPositionNotional: sdk.NewDec(47_619_047_619),
+			expectedUnrealizedPnl:    sdk.ZeroDec(),
+			expectedRealizedPnl:      sdk.ZeroDec(),
+			expectedMarginToVault:    sdk.NewDec(47_619_047_619),
+		},
 		{
 			name:                     "new short position",
 			traderFunds:              sdk.NewCoins(sdk.NewInt64Coin(common.DenomStable, 1020)),
@@ -208,6 +224,22 @@ func TestOpenPositionSuccess(t *testing.T) {
 			expectedRealizedPnl:      sdk.MustNewDecFromStr("-0.000100000001"),
 			expectedMarginToVault:    sdk.MustNewDecFromStr("1000.0000900000009"),
 		},
+		{
+			name:                     "new short position just under fluctuation limit",
+			traderFunds:              sdk.NewCoins(sdk.NewInt64Coin(common.DenomStable, 1_000_000_000_000)),
+			initialPosition:          nil,
+			side:                     types.Side_SELL,
+			margin:                   sdk.NewInt(47_619_047_619),
+			leverage:                 sdk.OneDec(),
+			baseLimit:                sdk.ZeroDec(),
+			expectedMargin:           sdk.NewDec(47_619_047_619),
+			expectedOpenNotional:     sdk.NewDec(47_619_047_619),
+			expectedSize:             sdk.MustNewDecFromStr("-49999999999.947500000000002625"),
+			expectedPositionNotional: sdk.NewDec(47_619_047_619),
+			expectedUnrealizedPnl:    sdk.ZeroDec(),
+			expectedRealizedPnl:      sdk.ZeroDec(),
+			expectedMarginToVault:    sdk.NewDec(47_619_047_619),
+		},
 	}
 
 	for _, testCase := range testCases {
@@ -232,7 +264,7 @@ func TestOpenPositionSuccess(t *testing.T) {
 				/* tradeLimitRatio */ sdk.OneDec(),
 				/* quoteReserve */ sdk.NewDec(1_000_000_000_000),
 				/* baseReserve */ sdk.NewDec(1_000_000_000_000),
-				/* fluctuationLimit */ sdk.OneDec(),
+				/* fluctuationLimit */ sdk.MustNewDecFromStr("0.1"),
 				/* maxOracleSpreadRatio */ sdk.OneDec(),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
 			)
@@ -315,15 +347,15 @@ func TestOpenPositionError(t *testing.T) {
 			traderFunds: sdk.NewCoins(sdk.NewInt64Coin(common.DenomStable, 999)),
 			initialPosition: &types.Position{
 				Pair:                                common.PairBTCStable,
-				Size_:                               sdk.NewDec(1),
+				Size_:                               sdk.OneDec(),
 				Margin:                              sdk.NewDec(1000),
 				OpenNotional:                        sdk.NewDec(10_000),
 				LastUpdateCumulativePremiumFraction: sdk.ZeroDec(),
 				BlockNumber:                         1,
 			},
 			side:        types.Side_BUY,
 			margin:      sdk.NewInt(1),
-			leverage:    sdk.NewDec(1),
+			leverage:    sdk.OneDec(),
 			baseLimit:   sdk.ZeroDec(),
 			expectedErr: fmt.Errorf("margin ratio did not meet criteria"),
 		},
@@ -367,6 +399,26 @@ func TestOpenPositionError(t *testing.T) {
 			baseLimit:       sdk.NewDec(10_000),
 			expectedErr:     types.ErrLeverageIsZero,
 		},
+		{
+			name:            "new long position over fluctuation limit",
+			traderFunds:     sdk.NewCoins(sdk.NewInt64Coin(common.DenomStable, 1_000_000_000_000)),
+			initialPosition: nil,
+			side:            types.Side_BUY,
+			margin:          sdk.NewInt(100_000_000_000),
+			leverage:        sdk.OneDec(),
+			baseLimit:       sdk.ZeroDec(),
+			expectedErr:     vpooltypes.ErrOverFluctuationLimit,
+		},
+		{
+			name:            "new short position over fluctuation limit",
+			traderFunds:     sdk.NewCoins(sdk.NewInt64Coin(common.DenomStable, 1_000_000_000_000)),
+			initialPosition: nil,
+			side:            types.Side_SELL,
+			margin:          sdk.NewInt(100_000_000_000),
+			leverage:        sdk.OneDec(),
+			baseLimit:       sdk.ZeroDec(),
+			expectedErr:     vpooltypes.ErrOverFluctuationLimit,
+		},
 	}
 
 	for _, testCase := range testCases {
@@ -390,7 +442,7 @@ func TestOpenPositionError(t *testing.T) {
 				/* tradeLimitRatio */ sdk.OneDec(),
 				/* quoteReserve */ sdk.NewDec(1_000_000_000_000),
 				/* baseReserve */ sdk.NewDec(1_000_000_000_000),
-				/* fluctuationLimit */ sdk.OneDec(),
+				/* fluctuationLimit */ sdk.MustNewDecFromStr("0.1"),
 				/* maxOracleSpreadRatio */ sdk.OneDec(),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
 			)

x/perp/keeper/clearing_house_unit_test.go

@@ -886,6 +886,7 @@ func TestClosePositionEntirely(t *testing.T) {
 				ctx,
 				tc.initialPosition,
 				/*quoteAssetLimit=*/ tc.quoteAssetLimit, // NUSD
+				/* skipFluctuationLimitCheck */ false,
 			)
 
 			require.NoError(t, err)

x/perp/keeper/liquidate.go

@@ -119,7 +119,9 @@ func (k Keeper) ExecuteFullLiquidation(
 	positionResp, err := k.closePositionEntirely(
 		ctx,
 		/* currentPosition */ *position,
-		/* quoteAssetAmountLimit */ sdk.ZeroDec())
+		/* quoteAssetAmountLimit */ sdk.ZeroDec(),
+		/* skipFluctuationLimitCheck */ true,
+	)
 	if err != nil {
 		return types.LiquidateResp{}, err
 	}
@@ -277,11 +279,10 @@ func (k Keeper) ExecutePartialLiquidation(
 		return types.LiquidateResp{}, err
 	}
 
-	positionResp, err := k.openReversePosition(
+	positionResp, err := k.decreasePosition(
 		/* ctx */ ctx,
 		/* currentPosition */ *currentPosition,
 		/* quoteAssetAmount */ partiallyLiquidatedPositionNotional,
-		/* leverage */ sdk.OneDec(),
 		/* baseAmtLimit */ sdk.ZeroDec(),
 		/* skipFluctuationLimitCheck */ true,
 	)

x/perp/keeper/liquidate_unit_test.go

@@ -131,7 +131,7 @@ func TestLiquidateIntoPartialLiquidation(t *testing.T) {
 					vpooltypes.Direction_ADD_TO_POOL,
 					sdk.OneDec(),
 				).
-				Return(tc.newPositionNotional, nil).Times(4)
+				Return(tc.newPositionNotional, nil).Times(3)
 			mocks.mockVpoolKeeper.EXPECT().
 				GetBaseAssetPrice(
 					ctx,
@@ -311,7 +311,7 @@ func TestLiquidateIntoFullLiquidation(t *testing.T) {
 					vpooltypes.Direction_ADD_TO_POOL,
 					/* baseAmt */ tc.initialPositionSize,
 					/* quoteLimit */ sdk.ZeroDec(),
-					/* skipFluctuationLimitCheck */ false,
+					/* skipFluctuationLimitCheck */ true,
 				).
 				Return(tc.newPositionNotional, nil)
 
@@ -480,7 +480,7 @@ func TestLiquidateIntoFullLiquidationWithBadDebt(t *testing.T) {
 					vpooltypes.Direction_ADD_TO_POOL,
 					/* baseAmt */ tc.initialPositionSize,
 					/* quoteLimit */ sdk.ZeroDec(),
-					/* skipFluctuationLimitCheck */ false,
+					/* skipFluctuationLimitCheck */ true,
 				).
 				Return(tc.newPositionNotional, nil)
 
@@ -943,7 +943,7 @@ func TestKeeper_ExecuteFullLiquidation(t *testing.T) {
 					baseAssetDirection,
 					/*baseAssetAmount=*/ tc.initialPositionSize.Abs(),
 					/*quoteAssetAssetLimit=*/ sdk.ZeroDec(),
-					/* skipFluctuationLimitCheck */ false,
+					/* skipFluctuationLimitCheck */ true,
 				).Return( /*quoteAssetAmount=*/ tc.baseAssetPriceInQuote, nil)
 			mocks.mockVpoolKeeper.EXPECT().
 				GetSpotPrice(ctx, common.PairBTCStable).

x/vpool/keeper/keeper.go

@@ -171,8 +171,7 @@ func (k Keeper) SwapQuoteForBase(
 		return sdk.Dec{}, err
 	}
 
-	if dir == types.Direction_REMOVE_FROM_POOL &&
-		!pool.HasEnoughQuoteReserve(quoteAssetAmount) {
+	if dir == types.Direction_REMOVE_FROM_POOL && !pool.HasEnoughQuoteReserve(quoteAssetAmount) {
 		return sdk.Dec{}, types.ErrOverTradingLimit
 	}
 
@@ -181,6 +180,7 @@ func (k Keeper) SwapQuoteForBase(
 		return sdk.Dec{}, err
 	}
 
+	// check if base asset limit is violated
 	if !baseAmountLimit.IsZero() {
 		// if going long and the base amount retrieved from the pool is less than the limit
 		if dir == types.Direction_ADD_TO_POOL && baseAssetAmount.LT(baseAmountLimit) {
@@ -268,7 +268,7 @@ func (k Keeper) checkFluctuationLimitRatio(ctx sdk.Context, pool *types.Pool) er
 }
 
 /**
-isOverFluctuationLimit compares the updated pool's reserves with the given reserve snapshot, and errors if the fluctuation is above the bounds.
+isOverFluctuationLimit compares the updated pool's spot price with the current spot price.
 
 If the fluctuation limit ratio is zero, then the fluctuation limit check is skipped.