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Dec 9, 2021
Merged

Futures remove closure fee and rounding #1610

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780c97b
remove closure fee, and decimal rounding
artdgn Nov 25, 2021
7648ea4
fix closing position tests
artdgn Nov 25, 2021
1a0abf7
fix order fee tests
artdgn Nov 26, 2021
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95 changes: 31 additions & 64 deletions contracts/FuturesMarketBase.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -247,7 +247,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
*/
function _maxOrderSizes(uint price) internal view returns (uint, uint) {
(uint long, uint short) = _marketSizes();
int sizeLimit = int(_maxMarketValueUSD(baseAsset)).divideDecimalRound(int(price));
int sizeLimit = int(_maxMarketValueUSD(baseAsset)).divideDecimal(int(price));
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This would reduce the sizeLimit capacity slightly (doesn't round up).

return (uint(sizeLimit.sub(_min(int(long), sizeLimit))), uint(sizeLimit.sub(_min(int(short), sizeLimit))));
}

Expand All @@ -271,7 +271,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
function _marketDebt(uint price) internal view returns (uint) {
// see comment explaining this calculation in _positionDebtCorrection()
int totalDebt =
marketSkew.multiplyDecimalRound(int(price).add(_nextFundingEntry(fundingSequence.length, price))).add(
marketSkew.multiplyDecimal(int(price).add(_nextFundingEntry(fundingSequence.length, price))).add(
_entryDebtCorrection
);

Expand All @@ -295,14 +295,14 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
function _proportionalSkew(uint price) internal view returns (int) {
// marketSize is in baseAsset units so we need to convert from USD units
require(price > 0, "price can't be zero");
uint skewScaleBaseAsset = _skewScaleUSD(baseAsset).divideDecimalRound(price);
uint skewScaleBaseAsset = _skewScaleUSD(baseAsset).divideDecimal(price);

// parameters may not be set, don't divide by zero
if (skewScaleBaseAsset == 0) {
return 0;
}

return marketSkew.divideDecimalRound(int(skewScaleBaseAsset));
return marketSkew.divideDecimal(int(skewScaleBaseAsset));
}

/*
Expand All @@ -316,7 +316,6 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
uint makerFee,
uint takerFeeNextPrice,
uint makerFeeNextPrice,
uint closureFee,
uint nextPriceConfirmWindow,
uint maxLeverage,
uint maxMarketValueUSD,
Expand All @@ -331,7 +330,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
function _currentFundingRate(uint price) internal view returns (int) {
int maxFundingRate = int(_maxFundingRate(baseAsset));
// Note the minus sign: funding flows in the opposite direction to the skew.
return _min(_max(-_UNIT, -_proportionalSkew(price)), _UNIT).multiplyDecimalRound(maxFundingRate);
return _min(_max(-_UNIT, -_proportionalSkew(price)), _UNIT).multiplyDecimal(maxFundingRate);
}

/*
Expand All @@ -352,7 +351,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut

function _unrecordedFunding(uint price) internal view returns (int funding) {
int elapsed = int(block.timestamp.sub(fundingLastRecomputed));
return _currentFundingRatePerSecond(price).multiplyDecimalRound(int(price)).mul(elapsed);
return _currentFundingRatePerSecond(price).multiplyDecimal(int(price)).mul(elapsed);
}

/*
Expand Down Expand Up @@ -454,7 +453,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
}

function _notionalValue(Position memory position, uint price) internal pure returns (int value) {
return position.size.multiplyDecimalRound(int(price));
return position.size.multiplyDecimal(int(price));
}

/*
Expand All @@ -467,7 +466,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut

function _profitLoss(Position memory position, uint price) internal pure returns (int pnl) {
int priceShift = int(price).sub(int(position.lastPrice));
return position.size.multiplyDecimalRound(priceShift);
return position.size.multiplyDecimal(priceShift);
}

/*
Expand All @@ -488,7 +487,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
return 0; // The position does not exist -- no funding.
}
int net = _netFundingPerUnit(lastModifiedIndex, endFundingIndex, fundingSequence.length, price);
return position.size.multiplyDecimalRound(net);
return position.size.multiplyDecimal(net);
}

/*
Expand Down Expand Up @@ -567,7 +566,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
// a little extra actually-accessible value left over, depending on the position size and margin.
uint milli = uint(_UNIT / 1000);
int maxLeverage = int(_maxLeverage(baseAsset).sub(milli));
uint inaccessible = _abs(_notionalValue(position, price).divideDecimalRound(maxLeverage));
uint inaccessible = _abs(_notionalValue(position, price).divideDecimal(maxLeverage));

// If the user has a position open, we'll enforce a min initial margin requirement.
if (0 < inaccessible) {
Expand Down Expand Up @@ -630,7 +629,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
// profitLoss = (price - last-price) * positionSize
// price = lastPrice + (liquidationMargin - margin) / positionSize - netFundingPerUnit
int result =
int(position.lastPrice).add(int(liqMargin).sub(int(position.margin)).divideDecimalRound(positionSize)).sub(
int(position.lastPrice).add(int(liqMargin).sub(int(position.margin)).divideDecimal(positionSize)).sub(
fundingPerUnit
);

Expand All @@ -648,7 +647,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
*/
function _liquidationFee(int positionSize, uint price) internal view returns (uint lFee) {
// size * price * fee-ratio
uint proportionalFee = _abs(positionSize).multiplyDecimalRound(price).multiplyDecimalRound(_liquidationFeeRatio());
uint proportionalFee = _abs(positionSize).multiplyDecimal(price).multiplyDecimal(_liquidationFeeRatio());
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Same comment here it'll truncate instead of rounding the multiply / division

uint minFee = _minKeeperFee();
// max(proportionalFee, minFee) - to prevent not incentivising liquidations enough
return proportionalFee > minFee ? proportionalFee : minFee; // not using _max() helper because it's for signed ints
Expand All @@ -665,7 +664,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
*/
function _liquidationBuffer(int positionSize, uint price) internal view returns (uint lBuffer) {
// size * price * buffer-ratio
return _abs(positionSize).multiplyDecimalRound(price).multiplyDecimalRound(_liquidationBufferRatio());
return _abs(positionSize).multiplyDecimal(price).multiplyDecimal(_liquidationBufferRatio());
}

/**
Expand Down Expand Up @@ -754,7 +753,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
return 0;
}

return _notionalValue(position, price).divideDecimalRound(int(remainingMargin_));
return _notionalValue(position, price).divideDecimal(int(remainingMargin_));
}

/*
Expand All @@ -767,62 +766,30 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
return (_currentLeverage(position, price, remainingMargin_), isInvalid);
}

function _orderFee(int existingSize, TradeParams memory params) internal view returns (uint) {
int newSize = existingSize.add(params.sizeDelta);
int existingNotional = existingSize.multiplyDecimalRound(int(params.price));
function _orderFee(TradeParams memory params) internal view returns (uint fee) {
int notionalDiff = params.sizeDelta.multiplyDecimal(int(params.price));

// Charge the closure fee if closing a position entirely.
if (newSize == 0) {
return _abs(existingNotional.multiplyDecimalRound(int(_closureFee(baseAsset))));
}

int newNotional = newSize.multiplyDecimalRound(int(params.price));

int notionalDiff = newNotional;
if (_sameSide(newNotional, existingNotional)) {
// If decreasing a position, charge the closure fee.
if (_abs(newNotional) <= _abs(existingNotional)) {
return _abs(existingNotional.sub(newNotional).multiplyDecimalRound(int(_closureFee(baseAsset))));
}

// We now know |existingNotional| < |newNotional|, provided the new order is on the same side as an existing position,
// The existing position's notional may be larger if it is on the other side, but we neglect this,
// and take the delta in the notional to be the entire new notional size, as the existing position is closing.
notionalDiff = notionalDiff.sub(existingNotional);
}

int skew = marketSkew;
if (_sameSide(newNotional, skew)) {
if (_sameSide(notionalDiff, marketSkew)) {
// If the order is submitted on the same side as the skew, increasing it.
// The taker fee is charged on the increase.
return _abs(notionalDiff.multiplyDecimalRound(int(params.takerFee)));
}

// Otherwise if the order is opposite to the skew,
// the maker fee is charged on new notional value up to the size of the existing skew,
// and the taker fee is charged on any new skew they induce on the order's side of the market.

int fee = notionalDiff.multiplyDecimalRound(int(params.makerFee));

// The notional value of the skew after the order is filled
int postSkewNotional = skew.multiplyDecimalRound(int(params.price)).sub(existingNotional).add(newNotional);

// The order is sufficient to flip the skew, charge/rebate the difference in fees
// between maker and taker on the new skew value.
if (_sameSide(newNotional, postSkewNotional)) {
fee = fee.add(postSkewNotional.multiplyDecimalRound(int(params.takerFee).sub(int(params.makerFee))));
fee = _abs(notionalDiff.multiplyDecimal(int(params.takerFee)));
} else {
// Otherwise if the order is opposite to the skew,
// the maker fee is charged on new notional value up to the size of the existing skew,
// and the taker fee is charged on any new skew they induce on the order's side of the market.
fee = _abs(notionalDiff.multiplyDecimal(int(params.makerFee)));
}

return _abs(fee);
// the case where the order flips the skew is ignored for simplicity due to being negligible
// in both size of effect and frequency of occurrence
}

/*
* Reports the fee for submitting an order of a given size. Orders that increase the skew will be more
* expensive than ones that decrease it; closing positions implies a different fee rate.
*/
function orderFee(address account, int sizeDelta) external view returns (uint fee, bool invalid) {
function orderFee(int sizeDelta) external view returns (uint fee, bool invalid) {
(uint price, bool isInvalid) = _assetPrice();
int positionSize = positions[account].size;
TradeParams memory params =
TradeParams({
sizeDelta: sizeDelta,
Expand All @@ -831,7 +798,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
takerFee: _takerFee(baseAsset),
makerFee: _makerFee(baseAsset)
});
return (_orderFee(positionSize, params), isInvalid);
return (_orderFee(params), isInvalid);
}

function _postTradeDetails(Position memory oldPos, TradeParams memory params)
Expand All @@ -857,7 +824,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut

// Deduct the fee.
// It is an error if the realised margin minus the fee is negative or subject to liquidation.
fee = _orderFee(oldPos.size, params);
fee = _orderFee(params);
(uint newMargin, Status status) = _realisedMargin(oldPos, params.fundingIndex, params.price, -int(fee));
if (_isError(status)) {
return (oldPos, 0, status);
Expand All @@ -879,7 +846,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
// We'll allow a little extra headroom for rounding errors.
{
// stack too deep
int leverage = newSize.multiplyDecimalRound(int(params.price)).divideDecimalRound(int(newMargin.add(fee)));
int leverage = newSize.multiplyDecimal(int(params.price)).divideDecimal(int(newMargin.add(fee)));
if (_maxLeverage(baseAsset).add(uint(_UNIT) / 100) < _abs(leverage)) {
return (oldPos, 0, Status.MaxLeverageExceeded);
}
Expand All @@ -889,7 +856,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
// Allow a bit of extra value in case of rounding errors.
if (
_orderSizeTooLarge(
uint(int(_maxMarketValueUSD(baseAsset).add(100 * uint(_UNIT))).divideDecimalRound(int(params.price))),
uint(int(_maxMarketValueUSD(baseAsset).add(100 * uint(_UNIT))).divideDecimal(int(params.price))),
oldPos.size,
newPos.size
)
Expand Down Expand Up @@ -1053,7 +1020,7 @@ contract FuturesMarketBase is Owned, Proxyable, MixinFuturesMarketSettings, IFut
*/
return
int(position.margin).sub(
position.size.multiplyDecimalRound(int(position.lastPrice).add(fundingSequence[position.fundingIndex]))
position.size.multiplyDecimal(int(position.lastPrice).add(fundingSequence[position.fundingIndex]))
);
}

Expand Down
2 changes: 0 additions & 2 deletions contracts/FuturesMarketData.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -141,7 +141,6 @@ contract FuturesMarketData {
uint makerFee,
uint takerFeeNextPrice,
uint makerFeeNextPrice,
uint closureFee,
uint nextPriceConfirmWindow,
uint maxLeverage,
uint maxMarketValueUSD,
Expand All @@ -155,7 +154,6 @@ contract FuturesMarketData {
makerFee,
takerFeeNextPrice,
makerFeeNextPrice,
closureFee,
nextPriceConfirmWindow,
maxLeverage,
maxMarketValueUSD,
Expand Down
15 changes: 0 additions & 15 deletions contracts/FuturesMarketSettings.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -64,13 +64,6 @@ contract FuturesMarketSettings is Owned, MixinFuturesMarketSettings, IFuturesMar
return _makerFeeNextPrice(_baseAsset);
}

/*
* The fee charged when reducing the size of a position.
*/
function closureFee(bytes32 _baseAsset) public view returns (uint) {
return _closureFee(_baseAsset);
}

/*
* The number of price update rounds during which confirming next-price is allowed
*/
Expand Down Expand Up @@ -121,7 +114,6 @@ contract FuturesMarketSettings is Owned, MixinFuturesMarketSettings, IFuturesMar
uint _makerFee,
uint _takerFeeNextPrice,
uint _makerFeeNextPrice,
uint _closureFee,
uint _nextPriceConfirmWindow,
uint _maxLeverage,
uint _maxMarketValueUSD,
Expand Down Expand Up @@ -197,11 +189,6 @@ contract FuturesMarketSettings is Owned, MixinFuturesMarketSettings, IFuturesMar
_setParameter(_baseAsset, PARAMETER_MAKER_FEE_NEXT_PRICE, _makerFeeNextPrice);
}

function setClosureFee(bytes32 _baseAsset, uint _closureFee) public onlyOwner {
require(_closureFee <= 1e18, "closure fee greater than 1");
_setParameter(_baseAsset, PARAMETER_CLOSURE_FEE, _closureFee);
}

function setNextPriceConfirmWindow(bytes32 _baseAsset, uint _nextPriceConfirmWindow) public onlyOwner {
_setParameter(_baseAsset, PARAMETER_NEXT_PRICE_CONFIRM_WINDOW, _nextPriceConfirmWindow);
}
Expand Down Expand Up @@ -243,7 +230,6 @@ contract FuturesMarketSettings is Owned, MixinFuturesMarketSettings, IFuturesMar
uint _makerFee,
uint _takerFeeNextPrice,
uint _makerFeeNextPrice,
uint _closureFee,
uint _nextPriceConfirmWindow,
uint _maxLeverage,
uint _maxMarketValueUSD,
Expand All @@ -256,7 +242,6 @@ contract FuturesMarketSettings is Owned, MixinFuturesMarketSettings, IFuturesMar
setMakerFee(_baseAsset, _makerFee);
setTakerFeeNextPrice(_baseAsset, _takerFeeNextPrice);
setMakerFeeNextPrice(_baseAsset, _makerFeeNextPrice);
setClosureFee(_baseAsset, _closureFee);
setNextPriceConfirmWindow(_baseAsset, _nextPriceConfirmWindow);
setMaxLeverage(_baseAsset, _maxLeverage);
setMaxMarketValueUSD(_baseAsset, _maxMarketValueUSD);
Expand Down
7 changes: 0 additions & 7 deletions contracts/MixinFuturesMarketSettings.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -18,7 +18,6 @@ contract MixinFuturesMarketSettings is MixinResolver {
bytes32 internal constant PARAMETER_MAKER_FEE = "makerFee";
bytes32 internal constant PARAMETER_TAKER_FEE_NEXT_PRICE = "takerFeeNextPrice";
bytes32 internal constant PARAMETER_MAKER_FEE_NEXT_PRICE = "makerFeeNextPrice";
bytes32 internal constant PARAMETER_CLOSURE_FEE = "closureFee";
bytes32 internal constant PARAMETER_NEXT_PRICE_CONFIRM_WINDOW = "nextPriceConfirmWindow";
bytes32 internal constant PARAMETER_MAX_LEVERAGE = "maxLeverage";
bytes32 internal constant PARAMETER_MAX_MARKET_VALUE = "maxMarketValueUSD";
Expand Down Expand Up @@ -76,10 +75,6 @@ contract MixinFuturesMarketSettings is MixinResolver {
return _parameter(_baseAsset, PARAMETER_MAKER_FEE_NEXT_PRICE);
}

function _closureFee(bytes32 _baseAsset) internal view returns (uint) {
return _parameter(_baseAsset, PARAMETER_CLOSURE_FEE);
}

function _nextPriceConfirmWindow(bytes32 _baseAsset) internal view returns (uint) {
return _parameter(_baseAsset, PARAMETER_NEXT_PRICE_CONFIRM_WINDOW);
}
Expand Down Expand Up @@ -112,7 +107,6 @@ contract MixinFuturesMarketSettings is MixinResolver {
uint makerFee,
uint takerFeeNextPrice,
uint makerFeeNextPrice,
uint closureFee,
uint nextPriceConfirmWindow,
uint maxLeverage,
uint maxMarketValueUSD,
Expand All @@ -125,7 +119,6 @@ contract MixinFuturesMarketSettings is MixinResolver {
makerFee = _makerFee(_baseAsset);
takerFeeNextPrice = _takerFeeNextPrice(_baseAsset);
makerFeeNextPrice = _makerFeeNextPrice(_baseAsset);
closureFee = _closureFee(_baseAsset);
nextPriceConfirmWindow = _nextPriceConfirmWindow(_baseAsset);
maxLeverage = _maxLeverage(_baseAsset);
maxMarketValueUSD = _maxMarketValueUSD(_baseAsset);
Expand Down
6 changes: 3 additions & 3 deletions contracts/MixinFuturesNextPriceOrders.sol
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Expand Up @@ -51,7 +51,7 @@ contract MixinFuturesNextPriceOrders is FuturesMarketBase {
_revertIfError(status);

// deduct fees from margin
uint commitDeposit = _nextPriceCommitDeposit(position.size, params);
uint commitDeposit = _nextPriceCommitDeposit(params);
uint keeperDeposit = _minKeeperFee();
_updatePositionMargin(position, fundingIndex, price, -int(commitDeposit + keeperDeposit));
// emit event for modidying the position (subtracting the fees from margin)
Expand Down Expand Up @@ -206,13 +206,13 @@ contract MixinFuturesNextPriceOrders is FuturesMarketBase {
}

// calculate the commitFee, which is the fee that would be charged on the order if it was spot
function _nextPriceCommitDeposit(int existingSize, TradeParams memory params) internal view returns (uint) {
function _nextPriceCommitDeposit(TradeParams memory params) internal view returns (uint) {
// modify params to spot fee
params.takerFee = _takerFee(baseAsset);
params.makerFee = _makerFee(baseAsset);
// commit fee is equal to the spot fee that would be paid
// this is to prevent free cancellation manipulations (by e.g. withdrawing the margin)
return _orderFee(existingSize, params);
return _orderFee(params);
}

///// Events
Expand Down
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