feat: add oracle pair to market object

NibiruChain · Dec 12, 2023 · c806ddf · c806ddf
1 parent 8d4ee29
commit c806ddf
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Showing 17 changed files with 232 additions and 90 deletions.
diff --git a/proto/nibiru/perp/v2/state.proto b/proto/nibiru/perp/v2/state.proto
@@ -116,6 +116,14 @@ message Market {
     (gogoproto.stdduration) = true,
     (gogoproto.nullable) = false
   ];
+
+  // the pair of the oracle that is used to determine the index price
+  // for the market
+  string oracle_pair = 15 [
+    (gogoproto.customtype) =
+        "github.com/NibiruChain/nibiru/x/common/asset.Pair",
+    (gogoproto.nullable) = false
+  ];
 }
 
 // MarketLastVersion is used to store the last version of the market

diff --git a/wasmbinding/bindings/msg.go b/wasmbinding/bindings/msg.go
@@ -90,6 +90,7 @@ type MarketParams struct {
 	MaxFundingRate sdk.Dec `json:"max_funding_rate,omitempty"`
 	// amount of time to look back for TWAP calculations
 	TwapLookbackWindow sdkmath.Int `json:"twap_lookback_window"`
+	OraclePair         string      `json:"oracle_pair"`
 }
 
 type NoOp struct{}
diff --git a/wasmbinding/exec_perp.go b/wasmbinding/exec_perp.go
@@ -86,6 +86,7 @@ func (exec *ExecutorPerp) CreateMarket(
 			MaxFundingRate:                  mp.MaxFundingRate,
 			TwapLookbackWindow:              time.Duration(mp.TwapLookbackWindow.Int64()),
 			PrepaidBadDebt:                  sdk.NewCoin(pair.QuoteDenom(), sdk.ZeroInt()),
+			OraclePair:                      pair,
 		}
 	}
 

diff --git a/x/common/asset/pair.go b/x/common/asset/pair.go
@@ -83,6 +83,10 @@ func (pair Pair) QuoteDenom() string {
 
 // Validate performs a basic validation of the market params
 func (pair Pair) Validate() error {
+	if len(pair) == 0 {
+		return ErrInvalidTokenPair.Wrap("oracle pair is empty")
+	}
+
 	split := strings.Split(pair.String(), ":")
 	if len(split) != 2 {
 		return ErrInvalidTokenPair.Wrap(pair.String())

diff --git a/x/common/testutil/genesis/perp_genesis.go b/x/common/testutil/genesis/perp_genesis.go
@@ -18,6 +18,7 @@ func AddPerpV2Genesis(gen app.GenesisState) app.GenesisState {
 		asset.Registry.Pair(denoms.BTC, denoms.NUSD): {
 			Market: perpv2types.Market{
 				Pair:                            asset.NewPair(denoms.BTC, denoms.NUSD),
+				OraclePair:                      asset.NewPair(denoms.BTC, denoms.USD),
 				Version:                         1,
 				Enabled:                         true,
 				MaintenanceMarginRatio:          sdk.MustNewDecFromStr("0.04"),
@@ -46,6 +47,7 @@ func AddPerpV2Genesis(gen app.GenesisState) app.GenesisState {
 		asset.Registry.Pair(denoms.ATOM, denoms.NUSD): {
 			Market: perpv2types.Market{
 				Pair:                            asset.NewPair(denoms.ATOM, denoms.NUSD),
+				OraclePair:                      asset.NewPair(denoms.ATOM, denoms.USD),
 				Enabled:                         true,
 				Version:                         1,
 				MaintenanceMarginRatio:          sdk.MustNewDecFromStr("0.0625"),
@@ -74,6 +76,7 @@ func AddPerpV2Genesis(gen app.GenesisState) app.GenesisState {
 		asset.Registry.Pair(denoms.OSMO, denoms.NUSD): {
 			Market: perpv2types.Market{
 				Pair:                            asset.NewPair(denoms.OSMO, denoms.NUSD),
+				OraclePair:                      asset.NewPair(denoms.OSMO, denoms.USD),
 				Enabled:                         true,
 				Version:                         1,
 				MaintenanceMarginRatio:          sdk.MustNewDecFromStr("0.0625"),
@@ -134,6 +137,7 @@ var START_MARKETS = map[asset.Pair]perpv2types.AmmMarket{
 	asset.Registry.Pair(denoms.ETH, denoms.NUSD): {
 		Market: perpv2types.Market{
 			Pair:                            asset.Registry.Pair(denoms.ETH, denoms.NUSD),
+			OraclePair:                      asset.Registry.Pair(denoms.ETH, denoms.USD),
 			Enabled:                         true,
 			Version:                         1,
 			MaintenanceMarginRatio:          sdk.MustNewDecFromStr("0.0625"),
@@ -162,6 +166,7 @@ var START_MARKETS = map[asset.Pair]perpv2types.AmmMarket{
 	asset.Registry.Pair(denoms.NIBI, denoms.NUSD): {
 		Market: perpv2types.Market{
 			Pair:                            asset.Registry.Pair(denoms.NIBI, denoms.NUSD),
+			OraclePair:                      asset.Registry.Pair(denoms.NIBI, denoms.USD),
 			Enabled:                         true,
 			Version:                         1,
 			MaintenanceMarginRatio:          sdk.MustNewDecFromStr("0.04"),
@@ -194,6 +199,7 @@ func PerpV2Genesis() *perpv2types.GenesisState {
 		Markets: []perpv2types.Market{
 			{
 				Pair:                            asset.Registry.Pair(denoms.BTC, denoms.NUSD),
+				OraclePair:                      asset.Registry.Pair(denoms.BTC, denoms.USD),
 				Enabled:                         true,
 				MaintenanceMarginRatio:          sdk.MustNewDecFromStr("0.04"),
 				MaxLeverage:                     sdk.MustNewDecFromStr("20"),

diff --git a/x/common/testutil/mock/perp_market.go b/x/common/testutil/mock/perp_market.go
@@ -27,5 +27,6 @@ func TestMarket() *types.Market {
 		MaxFundingRate:                  sdk.NewDec(1),
 		TwapLookbackWindow:              time.Minute * 30,
 		PrepaidBadDebt:                  sdk.NewInt64Coin(denoms.NUSD, 0),
+		OraclePair:                      asset.NewPair(denoms.BTC, denoms.USD),
 	}
 }
diff --git a/x/perp/v2/client/cli/gen_market.go b/x/perp/v2/client/cli/gen_market.go
@@ -27,6 +27,7 @@ const (
 	FlagMaintenenceMarginRatio = "mmr"
 	FlagMaxLeverage            = "max-leverage"
 	FlagMaxFundingrate         = "max-funding-rate"
+	FlagOraclePair             = "oracle-pair"
 )
 
 var addMarketGenesisFlags = map[string]struct {
@@ -39,6 +40,7 @@ var addMarketGenesisFlags = map[string]struct {
 	FlagMaintenenceMarginRatio: {"0.0625", "maintenance margin ratio"},
 	FlagMaxLeverage:            {"10", "maximum leverage for opening a position"},
 	FlagMaxFundingrate:         {"0.01", "maximum funding rate for the market"},
+	FlagOraclePair:             {"", "oracle pair identifier of the form 'base:quote'. E.g., ueth:uusd"},
 }
 
 // getCmdFlagSet returns a flag set and list of required flags for the command.
@@ -140,6 +142,9 @@ func newMarketFromFlags(flagSet *flag.FlagSet,
 	maxFundingRateStr, err := flagSet.GetString(FlagMaxFundingrate)
 	flagErrors = append(flagErrors, err)
 
+	oraclePairStr, err := flagSet.GetString(FlagOraclePair)
+	flagErrors = append(flagErrors, err)
+
 	for _, err := range flagErrors { // for brevity's sake
 		if err != nil {
 			return types.Market{}, types.AMM{}, err
@@ -171,6 +176,11 @@ func newMarketFromFlags(flagSet *flag.FlagSet,
 		return types.Market{}, types.AMM{}, err
 	}
 
+	oraclePair, err := asset.TryNewPair(oraclePairStr)
+	if err != nil {
+		return
+	}
+
 	priceMultiplier, err := sdk.NewDecFromStr(priceMultiplierStr)
 	if err != nil {
 		return types.Market{}, types.AMM{}, err
@@ -190,6 +200,7 @@ func newMarketFromFlags(flagSet *flag.FlagSet,
 		MaxFundingRate:                  maxFundingRate,
 		TwapLookbackWindow:              time.Minute * 30,
 		PrepaidBadDebt:                  sdk.NewInt64Coin(pair.QuoteDenom(), 0),
+		OraclePair:                      oraclePair,
 	}
 	if err := market.Validate(); err != nil {
 		return types.Market{}, types.AMM{}, err

diff --git a/x/perp/v2/client/cli/gen_market_test.go b/x/perp/v2/client/cli/gen_market_test.go
@@ -21,6 +21,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 		maintainRatio   string
 		maxLeverage     string
 		maxFundingRate  string
+		oraclePair      string
 		expectError     bool
 	}{
 		{
@@ -31,6 +32,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 			maintainRatio:   "1",
 			maxLeverage:     "1",
 			maxFundingRate:  "1",
+			oraclePair:      "token0:token1",
 			expectError:     true,
 		},
 		{
@@ -41,6 +43,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 			maintainRatio:   "1",
 			maxLeverage:     "1",
 			maxFundingRate:  "1",
+			oraclePair:      "token0:token1",
 			expectError:     true,
 		},
 		{
@@ -51,6 +54,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 			maintainRatio:   "1",
 			maxLeverage:     "1",
 			maxFundingRate:  "1",
+			oraclePair:      "token0:token1",
 			expectError:     true,
 		},
 		{
@@ -61,6 +65,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 			maintainRatio:   "0.1",
 			maxLeverage:     "0",
 			maxFundingRate:  "0",
+			oraclePair:      "token0:token1",
 			expectError:     true,
 		},
 		{
@@ -71,6 +76,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 			maintainRatio:   "0.1",
 			maxLeverage:     "1",
 			maxFundingRate:  "1",
+			oraclePair:      "token0:token1",
 			expectError:     true,
 		},
 		{
@@ -81,6 +87,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 			maintainRatio:   "0.1",
 			maxLeverage:     "1",
 			maxFundingRate:  "1",
+			oraclePair:      "token0:token1",
 			expectError:     true,
 		},
 		{
@@ -91,6 +98,18 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 			maintainRatio:   "0.1",
 			maxLeverage:     "10",
 			maxFundingRate:  "-1",
+			oraclePair:      "token0:token1",
+			expectError:     true,
+		},
+		{
+			name:            "negative max funding rate",
+			pairName:        "token0:token1",
+			sqrtDepth:       "100",
+			priceMultiplier: "1",
+			maintainRatio:   "0.1",
+			maxLeverage:     "10",
+			maxFundingRate:  "-1",
+			oraclePair:      "invalidPair",
 			expectError:     true,
 		},
 		{
@@ -101,6 +120,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 			maintainRatio:   "0.1",
 			maxLeverage:     "10",
 			maxFundingRate:  "10",
+			oraclePair:      "token0:token1",
 			expectError:     false,
 		},
 	}
@@ -117,6 +137,7 @@ func TestAddMarketGenesisCmd(t *testing.T) {
 				fmt.Sprintf("--%s=%s", cli.FlagMaintenenceMarginRatio, tc.maintainRatio),
 				fmt.Sprintf("--%s=%s", cli.FlagMaxLeverage, tc.maxLeverage),
 				fmt.Sprintf("--%s=%s", cli.FlagMaxFundingrate, tc.maxFundingRate),
+				fmt.Sprintf("--%s=%s", cli.FlagOraclePair, tc.oraclePair),
 				fmt.Sprintf("--%s=home", flags.FlagHome),
 			})
 

diff --git a/x/perp/v2/keeper/admin_test.go b/x/perp/v2/keeper/admin_test.go
@@ -110,6 +110,16 @@ func TestCreateMarket(t *testing.T) {
 	})
 	require.ErrorContains(t, err, "maintenance margin ratio ratio must be 0 <= ratio <= 1")
 
+	// Error because of invalid oracle pair
+	market = perptypes.DefaultMarket(pair).WithOraclePair("random")
+	err = admin.CreateMarket(ctx, keeper.ArgsCreateMarket{
+		Pair:            pair,
+		PriceMultiplier: amm.PriceMultiplier,
+		SqrtDepth:       amm.SqrtDepth,
+		Market:          &market, // Invalid maintenance ratio
+	})
+	require.ErrorContains(t, err, "err when validating oracle pair random: invalid token pair")
+
 	// Error because of invalid amm
 	err = admin.CreateMarket(ctx, keeper.ArgsCreateMarket{
 		Pair:            pair,

diff --git a/x/perp/v2/keeper/hooks.go b/x/perp/v2/keeper/hooks.go
@@ -23,7 +23,7 @@ func (k Keeper) AfterEpochEnd(ctx sdk.Context, epochIdentifier string, number ui
 			return
 		}
 
-		indexTwap, err := k.OracleKeeper.GetExchangeRateTwap(ctx, market.Pair)
+		indexTwap, err := k.OracleKeeper.GetExchangeRateTwap(ctx, market.OraclePair)
 		if err != nil {
 			ctx.Logger().Error("failed to fetch twap index price", "market.Pair", market.Pair, "error", err)
 			continue

diff --git a/x/perp/v2/keeper/hooks_test.go b/x/perp/v2/keeper/hooks_test.go
@@ -17,6 +17,7 @@ import (
 )
 
 func TestAfterEpochEnd(t *testing.T) {
+	pairBtcUsd := asset.Registry.Pair(denoms.BTC, denoms.USD)
 	pairBtcUsdc := asset.Registry.Pair(denoms.BTC, denoms.USDC)
 	startTime := time.Now()
 
@@ -25,7 +26,7 @@ func TestAfterEpochEnd(t *testing.T) {
 			Given(
 				CreateCustomMarket(pairBtcUsdc, WithEnabled(true)),
 				SetBlockTime(startTime),
-				InsertOraclePriceSnapshot(pairBtcUsdc, startTime.Add(15*time.Minute), sdk.MustNewDecFromStr("5.8")),
+				InsertOraclePriceSnapshot(pairBtcUsd, startTime.Add(15*time.Minute), sdk.MustNewDecFromStr("5.8")),
 				StartEpoch(epochtypes.ThirtyMinuteEpochID),
 			).
 			When(
@@ -39,7 +40,7 @@ func TestAfterEpochEnd(t *testing.T) {
 			Given(
 				CreateCustomMarket(pairBtcUsdc, WithEnabled(true)),
 				SetBlockTime(startTime),
-				InsertOraclePriceSnapshot(pairBtcUsdc, startTime.Add(15*time.Minute), sdk.MustNewDecFromStr("0.52")),
+				InsertOraclePriceSnapshot(pairBtcUsd, startTime.Add(15*time.Minute), sdk.MustNewDecFromStr("0.52")),
 				StartEpoch(epochtypes.ThirtyMinuteEpochID),
 			).
 			When(
@@ -53,7 +54,7 @@ func TestAfterEpochEnd(t *testing.T) {
 			Given(
 				CreateCustomMarket(pairBtcUsdc, WithEnabled(true), WithMaxFundingRate(sdk.MustNewDecFromStr("0.001"))),
 				SetBlockTime(startTime),
-				InsertOraclePriceSnapshot(pairBtcUsdc, startTime.Add(15*time.Minute), sdk.MustNewDecFromStr("5.8")),
+				InsertOraclePriceSnapshot(pairBtcUsd, startTime.Add(15*time.Minute), sdk.MustNewDecFromStr("5.8")),
 				StartEpoch(epochtypes.ThirtyMinuteEpochID),
 			).
 			When(
@@ -67,7 +68,7 @@ func TestAfterEpochEnd(t *testing.T) {
 			Given(
 				CreateCustomMarket(pairBtcUsdc, WithEnabled(true), WithMaxFundingRate(sdk.MustNewDecFromStr("0.001"))),
 				SetBlockTime(startTime),
-				InsertOraclePriceSnapshot(pairBtcUsdc, startTime.Add(15*time.Minute), sdk.MustNewDecFromStr("0.52")),
+				InsertOraclePriceSnapshot(pairBtcUsd, startTime.Add(15*time.Minute), sdk.MustNewDecFromStr("0.52")),
 				StartEpoch(epochtypes.ThirtyMinuteEpochID),
 			).
 			When(
@@ -81,7 +82,7 @@ func TestAfterEpochEnd(t *testing.T) {
 			Given(
 				CreateCustomMarket(pairBtcUsdc, WithEnabled(true)),
 				SetBlockTime(startTime),
-				InsertOraclePriceSnapshot(pairBtcUsdc, startTime.Add(15*time.Minute), sdk.OneDec()),
+				InsertOraclePriceSnapshot(pairBtcUsd, startTime.Add(15*time.Minute), sdk.OneDec()),
 				StartEpoch(epochtypes.ThirtyMinuteEpochID),
 			).
 			When(
@@ -109,7 +110,7 @@ func TestAfterEpochEnd(t *testing.T) {
 				CreateCustomMarket(pairBtcUsdc, WithEnabled(true)),
 				SetBlockTime(startTime),
 				StartEpoch(epochtypes.ThirtyMinuteEpochID),
-				InsertOraclePriceSnapshot(pairBtcUsdc, startTime.Add(15*time.Minute), sdk.ZeroDec()),
+				InsertOraclePriceSnapshot(pairBtcUsd, startTime.Add(15*time.Minute), sdk.ZeroDec()),
 			).
 			When(
 				MoveToNextBlockWithDuration(30 * time.Minute),
@@ -124,7 +125,7 @@ func TestAfterEpochEnd(t *testing.T) {
 				CloseMarket(pairBtcUsdc),
 				SetBlockTime(startTime),
 				StartEpoch(epochtypes.ThirtyMinuteEpochID),
-				InsertOraclePriceSnapshot(pairBtcUsdc, startTime.Add(15*time.Minute), sdk.NewDec(2)),
+				InsertOraclePriceSnapshot(pairBtcUsd, startTime.Add(15*time.Minute), sdk.NewDec(2)),
 			).
 			When(
 				MoveToNextBlockWithDuration(30 * time.Minute),
@@ -139,7 +140,7 @@ func TestAfterEpochEnd(t *testing.T) {
 				CloseMarket(pairBtcUsdc),
 				SetBlockTime(startTime),
 				StartEpoch(epochtypes.DayEpochID),
-				InsertOraclePriceSnapshot(pairBtcUsdc, startTime.Add(15*time.Minute), sdk.NewDec(2)),
+				InsertOraclePriceSnapshot(pairBtcUsd, startTime.Add(15*time.Minute), sdk.NewDec(2)),
 			).
 			When(
 				MoveToNextBlockWithDuration(30 * time.Minute),

diff --git a/x/perp/v2/module/abci.go b/x/perp/v2/module/abci.go
@@ -43,14 +43,14 @@ func EndBlocker(ctx sdk.Context, k keeper.Keeper) []abci.ValidatorUpdate {
 		}
 
 		var indexTwap sdk.Dec
-		indexTwap, err = k.OracleKeeper.GetExchangeRateTwap(ctx, amm.Pair)
+		indexTwap, err = k.OracleKeeper.GetExchangeRateTwap(ctx, market.OraclePair)
 		if err != nil {
-			k.Logger(ctx).Error("failed to fetch twap index price", "market.Pair", market.Pair, "error", err)
+			k.Logger(ctx).Error("failed to fetch twap index price", "market.Pair", market.Pair, "market.OraclePair", market.OraclePair, "error", err)
 			indexTwap = sdk.OneDec().Neg()
 		}
 
 		if indexTwap.IsNil() {
-			k.Logger(ctx).Error("index price is zero", "market.Pair", market.Pair)
+			k.Logger(ctx).Error("index price is zero", "market.Pair", market.Pair, "market.OraclePair", market.OraclePair)
 			continue
 		}
 

diff --git a/x/perp/v2/types/genesis.go b/x/perp/v2/types/genesis.go
@@ -7,6 +7,7 @@ import (
 	sdk "github.com/cosmos/cosmos-sdk/types"
 
 	"github.com/NibiruChain/nibiru/x/common/asset"
+	"github.com/NibiruChain/nibiru/x/common/denoms"
 	epochstypes "github.com/NibiruChain/nibiru/x/epochs/types"
 
 	"github.com/cosmos/cosmos-sdk/codec"
@@ -64,6 +65,7 @@ func DefaultMarket(pair asset.Pair) Market {
 		PrepaidBadDebt:                  sdk.NewCoin(TestingCollateralDenomNUSD, sdk.ZeroInt()),
 		MaintenanceMarginRatio:          sdk.MustNewDecFromStr("0.0625"),
 		MaxLeverage:                     sdk.NewDec(10),
+		OraclePair:                      asset.NewPair(pair.BaseDenom(), denoms.USD),
 	}
 }