feat(vpool): Add check for maximum leverage for open positions

CHANGELOG.md

@@ -43,6 +43,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 ## [Unreleased]
 
 * [#796](https://github.com/NibiruChain/nibiru/pull/796) - fix bug that caused that epochKeeper was nil when running epoch hook from Perp module
+* [#793](https://github.com/NibiruChain/nibiru/pull/793) - add a vpool parameter to limit leverage in open position
 
 ## [v0.12.0](https://github.com/NibiruChain/nibiru/releases/tag/v0.12.0) - 2022-08-03
 

proto/vpool/v1/gov.proto

@@ -46,4 +46,10 @@ message CreatePoolProposal {
     (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
     (gogoproto.nullable) = false
   ];
+
+  // max_leverage
+  string max_leverage = 10 [
+    (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
+    (gogoproto.nullable) = false
+  ];  
 }

proto/vpool/v1/vpool.proto

@@ -88,4 +88,10 @@ message Pool {
     (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
     (gogoproto.nullable) = false
     ];
+
+  // max_leverage
+  string max_leverage = 8 [
+    (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
+    (gogoproto.nullable) = false
+    ];    
 }

x/perp/keeper/calc_test.go

@@ -50,6 +50,7 @@ func TestCalcRemainMarginWithFundingPayment(t *testing.T) {
 					/* fluctuationLimit */ sdk.MustNewDecFromStr("1.0"), // 100%
 					/* maxOracleSpreadRatio */ sdk.MustNewDecFromStr("1.0"), // 100%
 					/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+					/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 				)
 				premiumFractions := []sdk.Dec{sdk.ZeroDec()} // fPayment -> 0
 				require.True(t, vpoolKeeper.ExistsPool(ctx, pair))
@@ -102,6 +103,7 @@ func TestCalcRemainMarginWithFundingPayment(t *testing.T) {
 					/* fluctuationLimit */ sdk.MustNewDecFromStr("1.0"), // 100%
 					/* maxOracleSpreadRatio */ sdk.MustNewDecFromStr("1.0"), // 100%
 					/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+					/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 				)
 				premiumFractions := []sdk.Dec{
 					sdk.MustNewDecFromStr("0.25"),

x/perp/keeper/clearing_house.go

@@ -94,6 +94,7 @@ func (k Keeper) OpenPosition(
 // - Checks that the VPool exists.
 // - Checks that quote asset is not zero.
 // - Checks that leverage is not zero.
+// - Checks that leverage is below requirement.
 //
 func (k Keeper) checkOpenPositionRequirements(ctx sdk.Context, pair common.AssetPair, quoteAssetAmount sdk.Int, leverage sdk.Dec) error {
 	if err := k.requireVpool(ctx, pair); err != nil {
@@ -108,6 +109,10 @@ func (k Keeper) checkOpenPositionRequirements(ctx sdk.Context, pair common.Asset
 		return types.ErrLeverageIsZero
 	}
 
+	if leverage.GT(k.VpoolKeeper.GetMaxLeverage(ctx, pair)) {
+		return types.ErrLeverageIsTooHigh
+	}
+
 	return nil
 }
 

x/perp/keeper/clearing_house_integration_test.go

@@ -266,6 +266,7 @@ func TestOpenPositionSuccess(t *testing.T) {
 				/* fluctuationLimit */ sdk.MustNewDecFromStr("0.1"),
 				/* maxOracleSpreadRatio */ sdk.OneDec(),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			nibiruApp.PerpKeeper.PairMetadataState(ctx).Set(&types.PairMetadata{
 				Pair:                       common.PairBTCStable,
@@ -406,17 +407,17 @@ func TestOpenPositionError(t *testing.T) {
 			margin:          sdk.NewInt(100),
 			leverage:        sdk.NewDec(100),
 			baseLimit:       sdk.NewDec(11_000),
-			expectedErr:     types.ErrMarginRatioTooLow,
+			expectedErr:     types.ErrLeverageIsTooHigh,
 		},
 		{
 			name:            "leverage amount is too high - BUY",
 			traderFunds:     sdk.NewCoins(sdk.NewInt64Coin(common.DenomStable, 1020)),
 			initialPosition: nil,
 			side:            types.Side_BUY,
 			margin:          sdk.NewInt(100),
-			leverage:        sdk.NewDec(100),
+			leverage:        sdk.NewDec(16),
 			baseLimit:       sdk.NewDec(0),
-			expectedErr:     types.ErrMarginRatioTooLow,
+			expectedErr:     types.ErrLeverageIsTooHigh,
 		},
 		{
 			name:            "new long position over fluctuation limit",
@@ -464,6 +465,7 @@ func TestOpenPositionError(t *testing.T) {
 				/* fluctuationLimit */ sdk.MustNewDecFromStr("0.1"),
 				/* maxOracleSpreadRatio */ sdk.OneDec(),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			nibiruApp.PerpKeeper.PairMetadataState(ctx).Set(&types.PairMetadata{
 				Pair:                       common.PairBTCStable,
@@ -530,6 +532,7 @@ func TestOpenPositionInvalidPair(t *testing.T) {
 					sdk.MustNewDecFromStr("0.1"), // 0.9 ratio
 					sdk.MustNewDecFromStr("0.1"),
 					/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+					/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 				)
 				nibiruApp.PricefeedKeeper.ActivePairsStore().Set(ctx, pair, true)
 

x/perp/keeper/grpc_query_test.go

@@ -103,6 +103,7 @@ func TestQueryPosition(t *testing.T) {
 				/* fluctuationLimitRatio */ sdk.OneDec(),
 				/* maxOracleSpreadRatio */ sdk.OneDec(),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			perpKeeper.PairMetadataState(ctx).Set(&types.PairMetadata{
 				Pair: common.PairBTCStable,

x/perp/keeper/liquidate_test.go

@@ -89,6 +89,7 @@ func TestExecuteFullLiquidation(t *testing.T) {
 				/* fluctuationLimitRatio */ sdk.MustNewDecFromStr("1"),
 				/* maxOracleSpreadRatio */ sdk.MustNewDecFromStr("0.1"),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			require.True(t, vpoolKeeper.ExistsPool(ctx, tokenPair))
 			nibiruApp.PricefeedKeeper.ActivePairsStore().Set(ctx, tokenPair, true)
@@ -262,6 +263,7 @@ func TestExecutePartialLiquidation(t *testing.T) {
 				/* fluctuationLimitRatio */ sdk.MustNewDecFromStr("1"),
 				/* maxOracleSpreadRatio */ sdk.MustNewDecFromStr("0.1"),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			nibiruApp.PricefeedKeeper.ActivePairsStore().Set(ctx, tokenPair, true)
 			require.True(t, vpoolKeeper.ExistsPool(ctx, tokenPair))

x/perp/keeper/margin_test.go

@@ -70,6 +70,7 @@ func TestAddMarginSuccess(t *testing.T) {
 				/* fluctuationLimitRatio */ sdk.MustNewDecFromStr("0.1"), // 0.1 ratio
 				/* maxOracleSpreadRatio */ sdk.OneDec(), // 100%
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			require.True(t, vpoolKeeper.ExistsPool(ctx, common.PairBTCStable))
 
@@ -141,6 +142,7 @@ func TestRemoveMargin(t *testing.T) {
 					/* fluctuationLimit */ sdk.MustNewDecFromStr("1.0"), // 100%
 					/* maxOracleSpreadRatio */ sdk.MustNewDecFromStr("1.0"), // 100%
 					/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+					/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 				)
 
 				removeAmt := sdk.NewInt(5)
@@ -171,6 +173,7 @@ func TestRemoveMargin(t *testing.T) {
 					/* fluctuationLimit */ sdk.MustNewDecFromStr("1.0"), // 0.9 ratio
 					/* maxOracleSpreadRatio */ sdk.MustNewDecFromStr("0.4"), // 0.9 ratio
 					/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+					/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 				)
 				require.True(t, vpoolKeeper.ExistsPool(ctx, pair))
 

x/perp/keeper/msg_server_test.go

@@ -82,6 +82,7 @@ func TestMsgServerAddMargin(t *testing.T) {
 				/* fluctuationLimitRatio */ sdk.OneDec(),
 				/* maxOracleSpreadRatio */ sdk.OneDec(),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			app.PerpKeeper.PairMetadataState(ctx).Set(&types.PairMetadata{
 				Pair:                       common.PairBTCStable,
@@ -200,6 +201,7 @@ func TestMsgServerRemoveMargin(t *testing.T) {
 				/* fluctuationLimitRatio */ sdk.OneDec(),
 				/* maxOracleSpreadRatio */ sdk.OneDec(),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			app.PerpKeeper.PairMetadataState(ctx).Set(&types.PairMetadata{
 				Pair:                       common.PairBTCStable,
@@ -276,7 +278,17 @@ func TestMsgServerOpenPosition(t *testing.T) {
 			msgServer := keeper.NewMsgServerImpl(app.PerpKeeper)
 
 			t.Log("create vpool")
-			app.VpoolKeeper.CreatePool(ctx, common.PairBTCStable, sdk.OneDec(), sdk.NewDec(1_000_000), sdk.NewDec(1_000_000), sdk.OneDec(), sdk.OneDec(), sdk.MustNewDecFromStr("0.0625"))
+			app.VpoolKeeper.CreatePool(
+				ctx,
+				common.PairBTCStable,
+				sdk.OneDec(),
+				sdk.NewDec(1_000_000),
+				sdk.NewDec(1_000_000),
+				sdk.OneDec(),
+				sdk.OneDec(),
+				sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
+			)
 			app.PerpKeeper.PairMetadataState(ctx).Set(&types.PairMetadata{
 				Pair:                       common.PairBTCStable,
 				CumulativePremiumFractions: []sdk.Dec{sdk.ZeroDec()},
@@ -360,6 +372,7 @@ func TestMsgServerClosePosition(t *testing.T) {
 				/* fluctuationLimitRatio */ sdk.OneDec(),
 				/* maxOracleSpreadRatio */ sdk.OneDec(),
 				/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 			)
 			app.PerpKeeper.PairMetadataState(ctx).Set(&types.PairMetadata{
 				Pair:                       common.PairBTCStable,
@@ -447,7 +460,17 @@ func TestMsgServerLiquidate(t *testing.T) {
 			msgServer := keeper.NewMsgServerImpl(app.PerpKeeper)
 
 			t.Log("create vpool")
-			app.VpoolKeeper.CreatePool(ctx, common.PairBTCStable, sdk.OneDec(), sdk.NewDec(1_000_000), sdk.NewDec(1_000_000), sdk.OneDec(), sdk.OneDec(), sdk.MustNewDecFromStr("0.0625"))
+			app.VpoolKeeper.CreatePool(
+				ctx,
+				common.PairBTCStable,
+				sdk.OneDec(),
+				sdk.NewDec(1_000_000),
+				sdk.NewDec(1_000_000),
+				sdk.OneDec(),
+				sdk.OneDec(),
+				sdk.MustNewDecFromStr("0.0625"),
+				/* maxLeverage */ sdk.MustNewDecFromStr("15"),
+			)
 			app.PerpKeeper.PairMetadataState(ctx).Set(&types.PairMetadata{
 				Pair:                       common.PairBTCStable,
 				CumulativePremiumFractions: []sdk.Dec{sdk.ZeroDec()},

x/perp/keeper/perp_test.go

@@ -161,6 +161,7 @@ func TestKeeperClosePosition(t *testing.T) {
 			/*fluctuationLimitRatio*/ sdk.MustNewDecFromStr("0.1"),
 			/*maxOracleSpreadRatio*/ sdk.MustNewDecFromStr("0.1"),
 			/* maintenanceMarginRatio */ sdk.MustNewDecFromStr("0.0625"),
+			/* maxLeverage */ sdk.MustNewDecFromStr("15"),
 		)
 		require.True(t, vpoolKeeper.ExistsPool(ctx, pair))
 		nibiruApp.PricefeedKeeper.ActivePairsStore().Set(ctx, pair, true)

x/perp/types/expected_keepers.go

@@ -261,6 +261,7 @@ type VpoolKeeper interface {
 
 	IsOverSpreadLimit(ctx sdk.Context, pair common.AssetPair) bool
 	GetMaintenanceMarginRatio(ctx sdk.Context, pair common.AssetPair) sdk.Dec
+	GetMaxLeverage(ctx sdk.Context, pair common.AssetPair) sdk.Dec
 	// ExistsPool returns true if pool exists, false if not.
 	ExistsPool(ctx sdk.Context, pair common.AssetPair) bool
 	GetSettlementPrice(ctx sdk.Context, pair common.AssetPair) (sdk.Dec, error)

x/perp/types/types.go

@@ -27,6 +27,7 @@ var (
 	ErrQuoteAmountIsZero                 = sdkerrors.Register(ModuleName, 8, "quote amount cannot be zero")
 	ErrLeverageIsZero                    = sdkerrors.Register(ModuleName, 9, "leverage cannot be zero")
 	ErrMarginRatioTooLow                 = sdkerrors.Register(ModuleName, 10, "margin ratio did not meet maintenance margin ratio")
+	ErrLeverageIsTooHigh                 = sdkerrors.Register(ModuleName, 11, "leverage cannot be higher than vpool parameter")
 )
 
 func ZeroPosition(ctx sdk.Context, tokenPair common.AssetPair, traderAddr sdk.AccAddress) *Position {

x/vpool/client/cli/cli_test.go

@@ -219,6 +219,7 @@ func (s IntegrationTestSuite) TestX_CmdAddVpool() {
 				FluctuationLimitRatio:  proposal.FluctuationLimitRatio,
 				MaxOracleSpreadRatio:   proposal.MaxOracleSpreadRatio,
 				MaintenanceMarginRatio: proposal.MaintenanceMarginRatio,
+				MaxLeverage:            proposal.MaxLeverage,
 			}, pool)
 			found = true
 		}

x/vpool/genesis.go

@@ -20,6 +20,7 @@ func InitGenesis(ctx sdk.Context, k keeper.Keeper, genState types.GenesisState)
 			vp.FluctuationLimitRatio,
 			vp.MaxOracleSpreadRatio,
 			vp.MaintenanceMarginRatio,
+			vp.MaxLeverage,
 		)
 	}
 }

x/vpool/genesis_test.go

@@ -23,6 +23,7 @@ func TestGenesis(t *testing.T) {
 			FluctuationLimitRatio:  sdk.MustNewDecFromStr("0.20"),
 			MaxOracleSpreadRatio:   sdk.MustNewDecFromStr("0.20"),
 			MaintenanceMarginRatio: sdk.MustNewDecFromStr("0.0625"),
+			MaxLeverage:            sdk.MustNewDecFromStr("15"),
 		},
 		{
 			Pair:                   common.MustNewAssetPair("ETH:NUSD"),
@@ -32,6 +33,7 @@ func TestGenesis(t *testing.T) {
 			FluctuationLimitRatio:  sdk.MustNewDecFromStr("0.30"),
 			MaxOracleSpreadRatio:   sdk.MustNewDecFromStr("0.30"),
 			MaintenanceMarginRatio: sdk.MustNewDecFromStr("0.0625"),
+			MaxLeverage:            sdk.MustNewDecFromStr("15"),
 		},
 	}
 

x/vpool/handler.go

@@ -41,6 +41,7 @@ func NewCreatePoolProposalHandler(k keeper.Keeper) govtypes.Handler {
 				m.FluctuationLimitRatio,
 				m.MaxOracleSpreadRatio,
 				m.MaintenanceMarginRatio,
+				m.MaxLeverage,
 			)
 			return nil
 		default:

x/vpool/keeper/keeper.go

@@ -345,3 +345,22 @@ func (k Keeper) GetMaintenanceMarginRatio(ctx sdk.Context, pair common.AssetPair
 
 	return pool.MaintenanceMarginRatio
 }
+
+/**
+GetMaxLeverage returns the maximum leverage required to open a position in the pool.
+
+args:
+  - ctx: the cosmos-sdk context
+  - pair: the asset pair
+
+ret:
+  - sdk.Dec: The maintenance margin ratio for the pool
+*/
+func (k Keeper) GetMaxLeverage(ctx sdk.Context, pair common.AssetPair) sdk.Dec {
+	pool, err := k.getPool(ctx, pair)
+	if err != nil {
+		panic(err)
+	}
+
+	return pool.MaxLeverage
+}