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[WIP] markprice optimisation #298

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10 changes: 4 additions & 6 deletions contracts/exchange/api/OracleContract.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -20,11 +20,9 @@ contract OracleContract is IOracle, ConfigContract {
/// Require timestamp and the transactionID to increase
/// This is in contrast to _setSequence in BaseContract, where the transactionID to be in sequence without any gap
/// This is because a mark price tick can be skipped if superceded before being used.
function _setSequenceMarkPriceTick(int64 timestamp, uint64 txID) private {
require(timestamp >= state.timestamp, "invalid timestamp");
require(txID > state.lastTxID, "invalid txID");
state.timestamp = timestamp;
state.lastTxID = txID;
function _setSequenceMarkPriceTick(uint64 txID) private {
require(txID > state.lastMarkPriceTickID, "invalid txID");
state.lastMarkPriceTickID = txID;
}

/// @dev Update the oracle mark prices for spot, futures, and options
Expand All @@ -39,7 +37,7 @@ contract OracleContract is IOracle, ConfigContract {
PriceEntry[] calldata prices,
Signature calldata sig
) external onlyTxOriginRole(CHAIN_SUBMITTER_ROLE) {
_setSequenceMarkPriceTick(timestamp, txID);
_setSequenceMarkPriceTick(txID);

// ---------- Signature Verification -----------
bytes32 hash = hashOraclePrice(sig.expiration, prices);
Expand Down
20 changes: 10 additions & 10 deletions contracts/exchange/api/TradeContract.sol
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Expand Up @@ -13,18 +13,18 @@ import "../interfaces/ITrade.sol";
abstract contract TradeContract is ITrade, ConfigContract, FundingAndSettlement, RiskCheck {
using BIMath for BI;

int32 internal constant TRADE_FEE_CAP_RATE_BPS = 2000;
int32 internal constant _TRADE_FEE_CAP_RATE_BPS = 2000;
// Liquidation Fee:
// 0.25% = 25 bps on option index notional
// 0.70% = 70 bps otherwise
int32 internal constant LIQUIDATION_FEE_CAP_RATE_BPS_OPTION = 2500;
int32 internal constant LIQUIDATION_FEE_CAP_RATE_BPS_OTHER = 7000;
int32 internal constant PREMIUM_CAP_RATE_BPS = 125000; // 12.5% premium cap
int32 internal constant _LIQUIDATION_FEE_CAP_RATE_BPS_OPTION = 2500;
int32 internal constant _LIQUIDATION_FEE_CAP_RATE_BPS_OTHER = 7000;
int32 internal constant _PREMIUM_CAP_RATE_BPS = 125000; // 12.5% premium cap

/// @dev The maximum signature expiry time for orders. This is deliberately laxer than the expiry for order in risk
/// In risk normal orders have a 30 day expiry, and TPSL orders have a 180 day expiry.
/// Orders passing risk expiry validation also pass contract expiry validation
int64 private constant ONE_HUNDRED_EIGHTY_DAY_EXPIRY = 180 * 24 * ONE_HOUR_NANOS;
int64 private constant _ONE_HUNDRED_EIGHTY_DAY_EXPIRY = 180 * 24 * ONE_HOUR_NANOS;

struct OrderCalculationResult {
uint64[] matchedSizes;
Expand Down Expand Up @@ -275,7 +275,7 @@ abstract contract TradeContract is ITrade, ConfigContract, FundingAndSettlement,
// Check the order signature
bytes32 orderHash = hashOrder(order);
Signature calldata sig = order.signature;
require(sig.expiration >= timestamp && sig.expiration <= (timestamp + ONE_HUNDRED_EIGHTY_DAY_EXPIRY), "expired");
require(sig.expiration >= timestamp && sig.expiration <= (timestamp + _ONE_HUNDRED_EIGHTY_DAY_EXPIRY), "expired");
_requireValidNoExipry(orderHash, sig);

// Check that the signer has trade permission
Expand Down Expand Up @@ -334,9 +334,9 @@ abstract contract TradeContract is ITrade, ConfigContract, FundingAndSettlement,
}

// Check that the fee paid is within the cap of 20 bps
int32 feeCapRate = TRADE_FEE_CAP_RATE_BPS;
int32 feeCapRate = _TRADE_FEE_CAP_RATE_BPS;
if (order.isLiquidation) {
feeCapRate = LIQUIDATION_FEE_CAP_RATE_BPS_OTHER;
feeCapRate = _LIQUIDATION_FEE_CAP_RATE_BPS_OTHER;
}
BI memory feeCapRateBI = _bpsToDecimal(feeCapRate);
int64 totalFeeCap = _calculateBaseFee(calcResult.tradeNotional, feeCapRateBI, qDec);
Expand Down Expand Up @@ -376,7 +376,7 @@ abstract contract TradeContract is ITrade, ConfigContract, FundingAndSettlement,

// Step 3: Remove position if empty
if (pos.balance == 0) {
removePos(sub, leg.assetID);
_removePos(sub, leg.assetID);
}
}

Expand All @@ -400,7 +400,7 @@ abstract contract TradeContract is ITrade, ConfigContract, FundingAndSettlement,
}
}

function removePos(SubAccount storage sub, bytes32 assetID) private {
function _removePos(SubAccount storage sub, bytes32 assetID) private {
Kind kind = assetGetKind(assetID);
if (kind == Kind.PERPS) {
remove(sub.perps, assetID);
Expand Down
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