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Factor trade volume into hourly price instants #182

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Jul 16, 2021
Merged

Factor trade volume into hourly price instants #182

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28e7f38
Factor trade volume into hourly price instants
kumar-ish Jul 8, 2021
751cb2f
Gas optimisation; remove repeated function call in TracerPerpetualSwaps
kumar-ish Jul 8, 2021
9dbc942
Use WAD maths for weighted price averages
kumar-ish Jul 9, 2021
c7e447a
Fix calculateExpectedTwaps calculations, refactor, and add test
kumar-ish Jul 15, 2021
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2 changes: 1 addition & 1 deletion contracts/Interfaces/IPricing.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -24,5 +24,5 @@ interface IPricing {

function getHourlyAvgOraclePrice(uint256 hour) external view returns (uint256);

function recordTrade(uint256 tradePrice) external;
function recordTrade(uint256 tradePrice, uint256 fillAmount) external;
}
33 changes: 22 additions & 11 deletions contracts/Pricing.sol
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Expand Up @@ -8,6 +8,7 @@ import "./Interfaces/ITracerPerpetualSwaps.sol";
import "./Interfaces/IInsurance.sol";
import "./Interfaces/IOracle.sol";
import "prb-math/contracts/PRBMathSD59x18.sol";
import "prb-math/contracts/PRBMathUD60x18.sol";

contract Pricing is IPricing {
using LibMath for uint256;
Expand Down Expand Up @@ -68,8 +69,9 @@ contract Pricing is IPricing {
* @notice Updates pricing information given a trade of a certain volume at
* a set price
* @param tradePrice the price the trade executed at
* @param fillAmount the amount the trade was filled for
*/
function recordTrade(uint256 tradePrice) external override onlyTracer {
function recordTrade(uint256 tradePrice, uint256 fillAmount) external override onlyTracer {
uint256 currentOraclePrice = oracle.latestAnswer();
if (startLastHour <= block.timestamp - 1 hours) {
// emit the old hourly average
Expand Down Expand Up @@ -97,10 +99,10 @@ contract Pricing is IPricing {
}

// add new pricing entry for new hour
updatePrice(tradePrice, currentOraclePrice, true);
updatePrice(tradePrice, currentOraclePrice, fillAmount, true);
} else {
// Update old pricing entry
updatePrice(tradePrice, currentOraclePrice, false);
updatePrice(tradePrice, currentOraclePrice, fillAmount, false);
}
}

Expand All @@ -109,32 +111,41 @@ contract Pricing is IPricing {
* and an oracle price.
* @param marketPrice The price that a tracer was bought at, returned by the TracerPerpetualSwaps.sol contract when an order is filled
* @param oraclePrice The price of the underlying asset that the Tracer is based upon as returned by a Chainlink Oracle
* @param fillAmount The amount of the order that was filled at some price
* @param newRecord Bool that decides if a new hourly record should be started (true) or if a current hour should be updated (false)
*/
function updatePrice(
uint256 marketPrice,
uint256 oraclePrice,
uint256 fillAmount,
bool newRecord
) internal {
// Price records entries updated every hour
if (newRecord) {
// Make new hourly record, total = marketprice, numtrades set to 1;
Prices.PriceInstant memory newHourly = Prices.PriceInstant(marketPrice, 1);
// Make new hourly record, total = marketprice, numTrades set to the amount filled;
Prices.PriceInstant memory newHourly = Prices.PriceInstant(
PRBMathUD60x18.mul(marketPrice, fillAmount),
fillAmount
);
hourlyTracerPrices[currentHour] = newHourly;
// As above but with Oracle price
Prices.PriceInstant memory oracleHour = Prices.PriceInstant(oraclePrice, 1);
Prices.PriceInstant memory oracleHour = Prices.PriceInstant(
PRBMathUD60x18.mul(oraclePrice, fillAmount),
fillAmount
);
hourlyOraclePrices[currentHour] = oracleHour;
} else {
// If an update is needed, add the market price to a running total and increment number of trades
// If an update is needed, add the total market price of the trade to a running total
// and increment number of fill amounts
hourlyTracerPrices[currentHour].cumulativePrice =
hourlyTracerPrices[currentHour].cumulativePrice +
marketPrice;
hourlyTracerPrices[currentHour].trades = hourlyTracerPrices[currentHour].trades + 1;
PRBMathUD60x18.mul(marketPrice, fillAmount);
hourlyTracerPrices[currentHour].trades = hourlyTracerPrices[currentHour].trades + fillAmount;
// As above but with oracle price
hourlyOraclePrices[currentHour].cumulativePrice =
hourlyOraclePrices[currentHour].cumulativePrice +
oraclePrice;
hourlyOraclePrices[currentHour].trades = hourlyOraclePrices[currentHour].trades + 1;
PRBMathUD60x18.mul(oraclePrice, fillAmount);
hourlyOraclePrices[currentHour].trades = hourlyOraclePrices[currentHour].trades + fillAmount;
}
}

Expand Down
21 changes: 13 additions & 8 deletions contracts/TracerPerpetualSwaps.sol
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Expand Up @@ -229,8 +229,6 @@ contract TracerPerpetualSwaps is ITracerPerpetualSwaps, Ownable, SafetyWithdraw
) external override onlyWhitelisted returns (bool) {
bytes32 order1Id = Perpetuals.orderId(order1);
bytes32 order2Id = Perpetuals.orderId(order2);
uint256 filled1 = ITrader(msg.sender).filled(order1Id);
uint256 filled2 = ITrader(msg.sender).filled(order2Id);

uint256 executionPrice = Perpetuals.getExecutionPrice(order1, order2);

Expand All @@ -245,20 +243,27 @@ contract TracerPerpetualSwaps is ITracerPerpetualSwaps, Ownable, SafetyWithdraw
fillAmount,
executionPrice
);
uint256 _fairPrice = pricingContract.fairPrice();
uint256 _trueMaxLeverage = trueMaxLeverage();
// validate orders can match, and outcome state is valid
if (
!Perpetuals.canMatch(order1, filled1, order2, filled2) ||
!Perpetuals.canMatch(
order1,
ITrader(msg.sender).filled(order1Id),
order2,
ITrader(msg.sender).filled(order2Id)
) ||
!Balances.marginIsValid(
newPos1,
balances[order1.maker].lastUpdatedGasPrice * LIQUIDATION_GAS_COST,
pricingContract.fairPrice(),
trueMaxLeverage()
_fairPrice,
_trueMaxLeverage
) ||
!Balances.marginIsValid(
newPos2,
balances[order2.maker].lastUpdatedGasPrice * LIQUIDATION_GAS_COST,
pricingContract.fairPrice(),
trueMaxLeverage()
_fairPrice,
_trueMaxLeverage
)
) {
// long order must have a price >= short order
Expand Down Expand Up @@ -287,7 +292,7 @@ contract TracerPerpetualSwaps is ITracerPerpetualSwaps, Ownable, SafetyWithdraw
_updateAccountLeverage(order2.maker);

// Update internal trade state
pricingContract.recordTrade(executionPrice);
pricingContract.recordTrade(executionPrice, fillAmount);

if (order1.side == Perpetuals.Side.Long) {
emit MatchedOrders(order1.maker, order2.maker, fillAmount, executionPrice, order1Id, order2Id);
Expand Down
3 changes: 2 additions & 1 deletion contracts/lib/LibPrices.sol
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Expand Up @@ -45,7 +45,8 @@ library Prices {
if (price.trades == 0) {
return 0;
}
return price.cumulativePrice / price.trades;

return PRBMathUD60x18.div(price.cumulativePrice, price.trades);
}

/**
Expand Down
7 changes: 3 additions & 4 deletions scripts/DepositQuoteTokensKovan.js
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Original file line number Diff line number Diff line change
Expand Up @@ -35,10 +35,9 @@ async function main() {
tracerInstance = await tracerInstance.connect(wallet)
if (
(
await tokenInstance.connect(wallet).allowance(
wallet.address,
tracerInstance.address
)
await tokenInstance
.connect(wallet)
.allowance(wallet.address, tracerInstance.address)
).lt(DEPOSIT_AMOUNT)
) {
const tx = await tokenInstance
Expand Down
29 changes: 19 additions & 10 deletions test/unit/LibPrices.js
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Original file line number Diff line number Diff line change
Expand Up @@ -7,6 +7,7 @@ const calcExpectedTwaps = (oraclePrices, tracerPrices, hour) => {
let cumulativeDerivative = ethers.BigNumber.from("0")
let cumulativeUnderlying = ethers.BigNumber.from("0")
let totalTimeWeight = ethers.BigNumber.from("0")

for (i = 0; i < 8; i++) {
let currTimeWeight = 8 - i
let j = hour < i ? 24 - i + hour : hour - i
Expand All @@ -15,12 +16,19 @@ const calcExpectedTwaps = (oraclePrices, tracerPrices, hour) => {
ethers.BigNumber.from(currTimeWeight)
)
cumulativeDerivative = cumulativeDerivative.add(
tracerPrices[j][0].div(tracerPrices[j][1]).mul(currTimeWeight)
tracerPrices[j][0]
.mul(ethers.utils.parseEther("1"))
.div(tracerPrices[j][1])
.mul(currTimeWeight)
)
cumulativeUnderlying = cumulativeUnderlying.add(
oraclePrices[j][0].div(oraclePrices[j][1]).mul(currTimeWeight)
oraclePrices[j][0]
.mul(ethers.utils.parseEther("1"))
.div(oraclePrices[j][1])
.mul(currTimeWeight)
)
}

return [
cumulativeUnderlying.div(totalTimeWeight),
cumulativeDerivative.div(totalTimeWeight),
Expand Down Expand Up @@ -196,7 +204,7 @@ describe("Unit tests: LibPrices.sol", function () {
let result = await libPrices.averagePrice(price)

expect(result.toString()).to.equal(
ethers.BigNumber.from("10").toString()
ethers.utils.parseEther("10").toString()
)
})
})
Expand Down Expand Up @@ -229,16 +237,17 @@ describe("Unit tests: LibPrices.sol", function () {
for (i = 0; i < n; i++) {
prices.push([
ethers.utils.parseEther((i + 1).toString()),
ethers.BigNumber.from(i + 1),
ethers.utils.parseEther((i + 1).toString()),
])
let dayAverage = ethers.utils
.parseEther((i + 1).toString())
.div(ethers.BigNumber.from(i + 1))
.mul(ethers.utils.parseEther("1"))
.div(ethers.utils.parseEther((i + 1).toString()))
priceAverages = priceAverages.add(dayAverage.toString())
}

let averagePriceForPeriod = priceAverages.div(
ethers.BigNumber.from(n)
ethers.BigNumber.from(n.toString())
)
let result = await libPrices.averagePriceForPeriod(prices)

Expand Down Expand Up @@ -317,12 +326,12 @@ describe("Unit tests: LibPrices.sol", function () {
// generate 24 hour oracle and tracer prices
for (i = 0; i < 24; i++) {
oraclePrices.push([
ethers.utils.parseUnits((1 + 1 * i).toString(), 18),
ethers.BigNumber.from("1"),
ethers.utils.parseEther((1 + 1 * i).toString()),
ethers.utils.parseEther("1"),
])
tracerPrices.push([
ethers.utils.parseUnits((1 + 0.5 * i).toString(), 18),
ethers.BigNumber.from("1"),
ethers.utils.parseEther((1 + 0.5 * i).toString()),
ethers.utils.parseEther("1"),
])
}

Expand Down