remove adjusted IMF calculation (#903)

dydxprotocol · Dec 21, 2023 · 24adb6c · 24adb6c
1 parent 3ee5be0
commit 24adb6c
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Showing 2 changed files with 32 additions and 101 deletions.
diff --git a/indexer/services/comlink/__tests__/lib/helpers.test.ts b/indexer/services/comlink/__tests__/lib/helpers.test.ts
@@ -35,7 +35,7 @@ import {
   filterAssetPositions,
   filterPositionsByLatestEventIdPerPerpetual,
   getFundingIndexMaps,
-  getAdjustedMarginFraction,
+  getMarginFraction,
   getSignedNotionalAndRisk,
   getTotalUnsettledFunding,
   getPerpetualPositionsWithUpdatedFunding,
@@ -224,63 +224,22 @@ describe('helpers', () => {
     );
   });
 
-  it.each([
-    ['less than base', 20, 0.05],
-    ['base', 1_000_000, 0.05],
-    ['greater than base', 4_000_000, 0.1],
-    ['max', 400_000_000, 1],
-    ['greater than max', 4_000_000_000, 1],
-  ])('getAdjustedInitialMarginFraction: %s', async (
-    _name: string,
-    notionalValue: number,
-    expectedResult: number,
-  ) => {
+  it('maintenance fraction', async () => {
     const liquidityTierFromDatabase: LiquidityTiersFromDatabase = await
     LiquidityTiersTable.create(defaultLiquidityTier);
-    const positionNotional: Big = Big(notionalValue);
     expect(
-      getAdjustedMarginFraction(
-        { liquidityTier: liquidityTierFromDatabase, positionNotional, initial: true },
+      getMarginFraction(
+        { liquidityTier: liquidityTierFromDatabase, initial: true },
       ),
-    ).toEqual(Big(expectedResult));
-  });
-
-  it.each([
-    ['less than base', 20, 0.03],
-    ['base', 1_000_000, 0.03],
-    ['greater than base', 4_000_000, 0.06],
-    ['greater than max', 4_000_000_000, 1],
-  ])('getAdjustedMaintenanceMarginFraction: %s', async (
-    _name: string,
-    notionalValue: number,
-    expectedResult: number,
-  ) => {
-    const liquidityTierFromDatabase: LiquidityTiersFromDatabase = await
-    LiquidityTiersTable.create(defaultLiquidityTier);
-    const positionNotional: Big = Big(notionalValue);
+    ).toEqual(Big('0.05'));
     expect(
-      getAdjustedMarginFraction(
-        { liquidityTier: liquidityTierFromDatabase, positionNotional, initial: false },
+      getMarginFraction(
+        { liquidityTier: liquidityTierFromDatabase, initial: false },
       ),
-    ).toEqual(Big(expectedResult));
+    ).toEqual(Big('0.03'));
   });
 
-  it.each([
-    ['less than base', 20, 200_000, 10_000, 6_000],
-    ['base', 100, 1_000_000, 50_000, 30_000],
-    ['greater than base', 400, 4_000_000, 400_000, 240_000],
-    ['max', 400_000, 4_000_000_000, 4_000_000_000, 4_000_000_000],
-    ['less than base SHORT', -20, -200_000, 10_000, 6_000],
-    ['base SHORT', -100, -1_000_000, 50_000, 30_000],
-    ['greater than base SHORT', -400, -4_000_000, 400_000, 240_000],
-    ['max SHORT', -400_000, -4_000_000_000, 4_000_000_000, 4_000_000_000],
-  ])('getSignedNotionalAndRisk: %s', async (
-    _name: string,
-    size: number,
-    signedNotional: number,
-    initial: number,
-    maintenance: number,
-  ) => {
+  it('getSignedNotionalAndRisk', async () => {
     await LiquidityTiersTable.create(defaultLiquidityTier);
     await liquidityTierRefresher.updateLiquidityTiers();
     const perpetualMarketFromDatabase: PerpetualMarketFromDatabase = {
@@ -291,17 +250,17 @@ describe('helpers', () => {
       ...defaultMarket,
       oraclePrice: '10000',
     };
-    const bigSize: Big = Big(size);
+    const bigSize: Big = Big('20');
     expect(
       getSignedNotionalAndRisk(
         { perpetualMarket: perpetualMarketFromDatabase, market, size: bigSize },
       ),
     ).toEqual(
       {
-        signedNotional: Big(signedNotional),
+        signedNotional: Big('200000'),
         individualRisk: {
-          initial: Big(initial),
-          maintenance: Big(maintenance),
+          initial: Big('10000'),
+          maintenance: Big('6000'),
         },
       },
     );

diff --git a/indexer/services/comlink/src/lib/helpers.ts b/indexer/services/comlink/src/lib/helpers.ts
@@ -32,7 +32,7 @@ import {
   PerpetualPositionWithFunding,
   Risk,
 } from '../types';
-import { ONE, ZERO, ZERO_USDC_POSITION } from './constants';
+import { ZERO, ZERO_USDC_POSITION } from './constants';
 import { NotFoundError } from './errors';
 
 /* ------- GENERIC HELPERS ------- */
@@ -237,71 +237,53 @@ export function getSignedNotionalAndRisk({
   // Used to calculate risk / margin fracitons, as risk of a position should always be positive
   const positionNotional: Big = signedNotional.abs();
   const {
-    adjustedInitialMarginFraction,
-    adjustedMaintenanceMarginFraction,
+    initialMarginFraction,
+    maintenanceMarginFraction,
   }: {
-    adjustedInitialMarginFraction: Big,
-    adjustedMaintenanceMarginFraction: Big,
-  } = getAdjustedMarginFractions({
-    liquidityTier,
-    positionNotional,
-  });
+    initialMarginFraction: Big,
+    maintenanceMarginFraction: Big,
+  } = getMarginFractions(liquidityTier);
   return {
     signedNotional,
     individualRisk: {
-      initial: positionNotional.times(adjustedInitialMarginFraction),
-      maintenance: positionNotional.times(adjustedMaintenanceMarginFraction),
+      initial: positionNotional.times(initialMarginFraction),
+      maintenance: positionNotional.times(maintenanceMarginFraction),
     },
   };
 }
 
-export function getAdjustedMarginFractions(
-  {
-    liquidityTier,
-    positionNotional,
-  }: {
-    liquidityTier: LiquidityTiersFromDatabase,
-    positionNotional: Big,
-  },
-): {
-  adjustedInitialMarginFraction: Big,
-  adjustedMaintenanceMarginFraction: Big,
+export function getMarginFractions(liquidityTier: LiquidityTiersFromDatabase): {
+  initialMarginFraction: Big,
+  maintenanceMarginFraction: Big,
 } {
-  const adjustedInitialMarginFraction: Big = getAdjustedMarginFraction({
+  const initialMarginFraction: Big = getMarginFraction({
     liquidityTier,
-    positionNotional,
     initial: true,
   });
-  const adjustedMaintenanceMarginFraction: Big = getAdjustedMarginFraction({
+  const maintenanceMarginFraction: Big = getMarginFraction({
     liquidityTier,
-    positionNotional,
     initial: false,
   });
   return {
-    adjustedInitialMarginFraction,
-    adjustedMaintenanceMarginFraction,
+    initialMarginFraction,
+    maintenanceMarginFraction,
   };
 }
 
 /**
- * Get the adjusted margin fraction for a position in a given perpetual market.
- * Uses the `positionNotional`, `initialMarginFraction`,  and `basePositionNotional`
- * of the associated liquidity tier to calculate the adjusted initial margin fraction.
+ * Get the margin fraction for a position in a given perpetual market.
  *
  * @param liquidityTier The liquidity tier of the position.
- * @param positionNotional The notional value of the position.
  * @param initial Whether to compute the initial margin fraction or the maintenance margin fraction.
  *
- * @returns The adjusted margin fraction for the position in human-readable form.
+ * @returns The margin fraction for the position in human-readable form.
  */
-export function getAdjustedMarginFraction(
+export function getMarginFraction(
   {
     liquidityTier,
-    positionNotional,
     initial,
   }: {
     liquidityTier: LiquidityTiersFromDatabase,
-    positionNotional: Big,
     initial: boolean,
   },
 ): Big {
@@ -313,17 +295,7 @@ export function getAdjustedMarginFraction(
         Number(liquidityTier.maintenanceFractionPpm),
       ),
     );
-
-  if (positionNotional.lte(liquidityTier.basePositionNotional)) {
-    return Big(margin);
-  }
-  const adjustedImf: Big = Big(
-    positionNotional.div(liquidityTier.basePositionNotional),
-  ).sqrt().times(margin);
-  if (adjustedImf.gte(ONE)) {
-    return ONE;
-  }
-  return adjustedImf;
+  return Big(margin);
 }
 
 /**