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Merged
merged 3 commits into from
Aug 16, 2021
Merged

Richer Futures position and margin events #1456

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b3a1ab1
Remove redundant parameter modification event.
zyzek Aug 13, 2021
f77e371
Enrich position and margin modification events.
zyzek Aug 13, 2021
38101bc
Add funding recomputation event.
zyzek Aug 13, 2021
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112 changes: 75 additions & 37 deletions contracts/FuturesMarket.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -745,8 +745,10 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
function _recomputeFunding(uint price) internal returns (uint lastIndex) {
uint sequenceLength = fundingSequence.length;

fundingSequence.push(_nextFundingEntry(sequenceLength, price));
int funding = _nextFundingEntry(sequenceLength, price);
fundingSequence.push(funding);
fundingLastRecomputed = block.timestamp;
emitFundingRecomputed(funding);

return sequenceLength;
}
Expand Down Expand Up @@ -791,7 +793,7 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
return (uMargin, Status.Ok);
}

function _modifyMargin(
function _transferMargin(
int marginDelta,
uint price,
uint fundingIndex,
Expand Down Expand Up @@ -830,35 +832,50 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures

// Update the account's position with the realised margin.
position.margin = margin;
position.lastPrice = price;
position.fundingIndex = fundingIndex;
// We only need to update their funding/PnL details if they actually have a position open
if (positionSize > 0) {
position.lastPrice = price;
position.fundingIndex = fundingIndex;
}

// The user can decrease their position if they have no position, or as long as:
// * they have sufficient margin to do so
// * the resulting margin would not be lower than the minimum margin
// * the resulting leverage is lower than the maximum leverage
if (0 < position.size && marginDelta <= 0) {
if (0 < positionSize && marginDelta <= 0) {
if (margin < _minInitialMargin()) {
status = Status.InsufficientMargin;
} else if (_maxLeverage(baseAsset) < _abs(_currentLeverage(position, price, margin))) {
status = Status.MaxLeverageExceeded;
}
_revertIfError(status);
}

// Emit relevant events
if (marginDelta != 0) {
emitMarginTransferred(sender, marginDelta);
}
emitPositionModified(
sender,
margin,
positionSize,
positionSize > 0 ? price : 0,
positionSize > 0 ? fundingIndex : 0
);
}

function modifyMargin(int marginDelta) external optionalProxy {
function transferMargin(int marginDelta) external optionalProxy {
uint price = _assetPriceRequireNotInvalid();
uint fundingIndex = _recomputeFunding(price);
_modifyMargin(marginDelta, price, fundingIndex, messageSender);
_transferMargin(marginDelta, price, fundingIndex, messageSender);
}

function withdrawAllMargin() external optionalProxy {
address sender = messageSender;
uint price = _assetPriceRequireNotInvalid();
uint fundingIndex = _recomputeFunding(price);
int marginDelta = -int(_remainingMargin(positions[sender], fundingIndex, price));
_modifyMargin(marginDelta, price, fundingIndex, sender);
_transferMargin(marginDelta, price, fundingIndex, sender);
}

function _cancelOrder(address account) internal {
Expand Down Expand Up @@ -961,7 +978,7 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
_submitOrder(0, price, [0, uint(-1)], fundingIndex, messageSender);
}

function modifyMarginAndSubmitOrderWithPriceBounds(
function transferMarginAndSubmitOrderWithPriceBounds(
int marginDelta,
int leverage,
uint minPrice,
Expand All @@ -970,12 +987,12 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
uint price = _assetPriceRequireNotInvalid();
uint fundingIndex = _recomputeFunding(price);
address sender = messageSender;
_modifyMargin(marginDelta, price, fundingIndex, sender);
_transferMargin(marginDelta, price, fundingIndex, sender);
_submitOrder(leverage, price, [minPrice, maxPrice], fundingIndex, sender);
}

function modifyMarginAndSubmitOrder(int marginDelta, int leverage) external optionalProxy {
modifyMarginAndSubmitOrderWithPriceBounds(marginDelta, leverage, 0, uint(-1));
function transferMarginAndSubmitOrder(int marginDelta, int leverage) external optionalProxy {
transferMarginAndSubmitOrderWithPriceBounds(marginDelta, leverage, 0, uint(-1));
}

function confirmOrder(address account) external optionalProxy {
Expand Down Expand Up @@ -1013,13 +1030,15 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
delete position.size;
delete position.lastPrice;
delete position.fundingIndex;
emitPositionModified(account, margin, 0, 0, 0);
} else {
position.size = newSize;
position.lastPrice = price;
position.fundingIndex = fundingIndex;
emitPositionModified(account, margin, newSize, price, fundingIndex);
}
Order storage order = orders[account];
emitOrderConfirmed(order.id, account, margin, newSize, price, fundingIndex);
emitOrderConfirmed(order.id, account, price);
delete orders[account];
}

Expand Down Expand Up @@ -1057,7 +1076,8 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
// Issue the reward to the liquidator.
_manager().issueSUSD(liquidator, liquidationFee);

emitPositionLiquidated(account, liquidator, positionSize, lPrice);
emitPositionModified(account, 0, 0, 0, 0);
emitPositionLiquidated(account, liquidator, positionSize, lPrice, liquidationFee);
}

function liquidatePosition(address account) external optionalProxy {
Expand All @@ -1081,11 +1101,11 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
return bytes32(uint256(uint160(input)));
}

event ParameterUpdated(bytes32 indexed parameter, uint value);
bytes32 internal constant SIG_PARAMETERUPDATED = keccak256("ParameterUpdated(bytes32,uint256)");
event MarginTransferred(address indexed account, int marginDelta);
bytes32 internal constant SIG_MARGINTRANSFERRED = keccak256("MarginTransferred(address,int256)");

function emitParameterUpdated(bytes32 parameter, uint value) internal {
proxy._emit(abi.encode(value), 2, SIG_PARAMETERUPDATED, parameter, 0, 0);
function emitMarginTransferred(address account, int marginDelta) internal {
proxy._emit(abi.encode(marginDelta), 2, SIG_MARGINTRANSFERRED, addressToBytes32(account), 0, 0);
}

event OrderSubmitted(
Expand Down Expand Up @@ -1119,26 +1139,15 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
);
}

event OrderConfirmed(uint indexed id, address indexed account, uint margin, int size, uint price, uint fundingIndex);
bytes32 internal constant SIG_ORDERCONFIRMED =
keccak256("OrderConfirmed(uint256,address,uint256,int256,uint256,uint256)");
event OrderConfirmed(uint indexed id, address indexed account, uint price);
bytes32 internal constant SIG_ORDERCONFIRMED = keccak256("OrderConfirmed(uint256,address,uint256)");

function emitOrderConfirmed(
uint id,
address account,
uint margin,
int size,
uint price,
uint fundingIndex
uint price
) internal {
proxy._emit(
abi.encode(margin, size, price, fundingIndex),
3,
SIG_ORDERCONFIRMED,
bytes32(id),
addressToBytes32(account),
0
);
proxy._emit(abi.encode(price), 3, SIG_ORDERCONFIRMED, bytes32(id), addressToBytes32(account), 0);
}

event OrderCancelled(uint indexed id, address indexed account);
Expand All @@ -1148,22 +1157,51 @@ contract FuturesMarket is Owned, Proxyable, MixinFuturesMarketSettings, IFutures
proxy._emit(abi.encode(), 3, SIG_ORDERCANCELLED, bytes32(id), addressToBytes32(account), 0);
}

event PositionLiquidated(address indexed account, address indexed liquidator, int size, uint price);
bytes32 internal constant SIG_POSITIONLIQUIDATED = keccak256("PositionLiquidated(address,address,int256,uint256)");
event PositionModified(address indexed account, uint margin, int size, uint lastPrice, uint fundingIndex);
bytes32 internal constant SIG_POSITIONMODIFIED = keccak256("PositionModified(address,uint256,int256,uint256,uint256)");

function emitPositionModified(
address account,
uint margin,
int size,
uint lastPrice,
uint fundingIndex
) internal {
proxy._emit(
abi.encode(margin, size, lastPrice, fundingIndex),
2,
SIG_POSITIONMODIFIED,
addressToBytes32(account),
0,
0
);
}

event PositionLiquidated(address indexed account, address indexed liquidator, int size, uint price, uint fee);
bytes32 internal constant SIG_POSITIONLIQUIDATED =
keccak256("PositionLiquidated(address,address,int256,uint256,uint256)");

function emitPositionLiquidated(
address account,
address liquidator,
int size,
uint price
uint price,
uint fee
) internal {
proxy._emit(
abi.encode(size, price),
abi.encode(size, price, fee),
3,
SIG_POSITIONLIQUIDATED,
addressToBytes32(account),
addressToBytes32(liquidator),
0
);
}

event FundingRecomputed(int funding);
bytes32 internal constant SIG_FUNDINGRECOMPUTED = keccak256("FundingRecomputed(int256)");

function emitFundingRecomputed(int funding) internal {
proxy._emit(abi.encode(funding), 1, SIG_FUNDINGRECOMPUTED, 0, 0, 0);
}
}
6 changes: 3 additions & 3 deletions contracts/interfaces/IFuturesMarket.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -145,7 +145,7 @@ interface IFuturesMarket {

function recomputeFunding() external returns (uint lastIndex);

function modifyMargin(int marginDelta) external;
function transferMargin(int marginDelta) external;

function withdrawAllMargin() external;

Expand All @@ -161,14 +161,14 @@ interface IFuturesMarket {

function closePosition() external;

function modifyMarginAndSubmitOrderWithPriceBounds(
function transferMarginAndSubmitOrderWithPriceBounds(
int marginDelta,
int leverage,
uint minPrice,
uint maxPrice
) external;

function modifyMarginAndSubmitOrder(int marginDelta, int leverage) external;
function transferMarginAndSubmitOrder(int marginDelta, int leverage) external;

function confirmOrder(address account) external;

Expand Down
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