cap total size of vault orders in close only mode (#2329)

protocol/x/vault/keeper/orders.go

@@ -384,11 +384,11 @@ func (k Keeper) GetVaultClobOrders(
 
 	if vaultParams.Status == types.VaultStatus_VAULT_STATUS_CLOSE_ONLY {
 		// In close-only mode with non-zero leverage.
-		reduceOnlyMaxOrderSize := k.GetVaultInventoryInPerpetual(ctx, vaultId, perpetual.Params.Id)
+		reduceOnlyTotalOrderSize := k.GetVaultInventoryInPerpetual(ctx, vaultId, perpetual.Params.Id)
 		stepSize := lib.BigU(clobPair.StepBaseQuantums)
-		reduceOnlyMaxOrderSize.Quo(reduceOnlyMaxOrderSize, stepSize)
-		reduceOnlyMaxOrderSize.Mul(reduceOnlyMaxOrderSize, stepSize)
-		if reduceOnlyMaxOrderSize.Sign() == 0 {
+		reduceOnlyTotalOrderSize.Quo(reduceOnlyTotalOrderSize, stepSize)
+		reduceOnlyTotalOrderSize.Mul(reduceOnlyTotalOrderSize, stepSize)
+		if reduceOnlyTotalOrderSize.Sign() == 0 {
 			return []*clobtypes.Order{}, nil
 		}
 
@@ -399,9 +399,15 @@ func (k Keeper) GetVaultClobOrders(
 			reduceOnlySide = clobtypes.Order_SIDE_BUY
 		}
 		reduceOnlyOrders := make([]*clobtypes.Order, 0, len(orders))
+		totalOrderSize := reduceOnlyTotalOrderSize.Uint64()
 		for _, order := range orders {
 			if order.Side == reduceOnlySide {
-				order.Quantums = lib.Min(order.Quantums, reduceOnlyMaxOrderSize.Uint64())
+				if totalOrderSize == 0 {
+					break
+				}
+
+				order.Quantums = lib.Min(order.Quantums, totalOrderSize)
+				totalOrderSize -= order.Quantums
 				reduceOnlyOrders = append(reduceOnlyOrders, order)
 			}
 		}

protocol/x/vault/keeper/orders_test.go

@@ -1508,20 +1508,20 @@ func TestGetVaultClobOrders(t *testing.T) {
 			expectedOrderQuantums: []uint64{},
 		},
 		"Success - Vault Clob 1, close-only status, 2 layers, leverage 0.6, sell orders only, " +
-			"order size capped to position size": {
+			"total size of orders capped to position size": {
 			vaultStatus: vaulttypes.VaultStatus_VAULT_STATUS_CLOSE_ONLY,
 			vaultQuotingParams: vaulttypes.QuotingParams{
 				Layers:                           2,         // 2 layers
 				SpreadMinPpm:                     7_654,     // 76.54 bps
 				SpreadBufferPpm:                  2_900,     // 29 bps
 				SkewFactorPpm:                    1_234_000, // 1.234
-				OrderSizePctPpm:                  1_000_000, // 100%
+				OrderSizePctPpm:                  500_000,   // 50%
 				OrderExpirationSeconds:           4,         // 4 seconds
 				ActivationThresholdQuoteQuantums: dtypes.NewInt(1_000_000_000),
 			},
 			vaultId:                    constants.Vault_Clob1,
-			vaultAssetQuoteQuantums:    big.NewInt(500_000_000), // 500 USDC
-			vaultInventoryBaseQuantums: big.NewInt(250_000_000), // 0.25 ETH
+			vaultAssetQuoteQuantums:    big.NewInt(1_000_000_000), // 1000 USDC
+			vaultInventoryBaseQuantums: big.NewInt(500_000_000),   // 0.5 ETH
 			clobPair:                   constants.ClobPair_Eth,
 			marketParam:                constants.TestMarketParams[1],
 			marketPrice:                constants.TestMarketPrices[1],
@@ -1549,28 +1549,28 @@ func TestGetVaultClobOrders(t *testing.T) {
 			expectedOrderSubticks: []uint64{
 				// spreadPpm = max(7_654, 2_900 + 50) = 7_654
 				// spread = 0.007654
-				// open_notional = 250_000_000 * 10^-9 * 3_000 * 10^6 = 750_000_000
-				// leverage = 750_000_000 / (500_000_000 + 750_000_000) = 0.6
+				// open_notional = 500_000_000 * 10^-9 * 3_000 * 10^6 = 1_500_000_000
+				// leverage = 1_500_000_000 / (1_000_000_000 + 1_500_000_000) = 0.6
 				// oracleSubticks = 3_000_000_000 * 10^(-6 - (-9) + (-9) - (-6)) = 3e9
-				// leverage_0 = leverage - 0 * 1 = 0.6
+				// leverage_0 = leverage - 0 * 0.5 = 0.6
 				// skew_ask_0 = -1.234 * 0.6 = -0.7404
 				// ask_spread_0 = (1 - 0.7404) * 0.007654 = 0.0019869784
 				// a_0 = 3e9 * (1 + 0.0019869784) = 3_005_960_935.2 ~= 3_005_961_000 (round up to 1000)
 				3_005_961_000,
-				// leverage_1 = leverage - 1 * 1 = -0.4
-				// skew_ask_0 = -1.234 * -0.4 = 0.4936
-				// ask_spread_0 = (1 + 0.4936) * 0.007654 = 0.0114320144
-				// a_0 = 3e9 * (1 + 0.0114320144) = 3_034_296_043.2 ~= 3_034_297_000 (round up to 1000)
-				3_034_297_000,
+				// leverage_1 = leverage - 1 * 0.5 = 0.1
+				// skew_ask_0 = -1.234 * 0.1 = -0.1234
+				// ask_spread_0 = (1 - 0.1234) * 0.007654 = 0.0067094964
+				// a_0 = 3e9 * (1 + 0.0067094964) = 3020128489.2 ~= 3_020_129_000 (round up to 1000)
+				3_020_129_000,
 			},
-			// order_size = 100% * 1250 / 3000 ~= 0.4166666667
+			// order_size = 50% * 2500 / 3000 ~= 0.4166666667
 			// order_size_base_quantums = 0.4166666667e9 ~= 416_666_667
-			// order_size_base_quantums = min(416_666_667, inventory)
-			// = min(416_666_667, 250_000_000) = 250_000_000
 			// round down to nearest multiple of step_base_quantums=1_000.
 			expectedOrderQuantums: []uint64{
-				250_000_000,
-				250_000_000,
+				416_666_000,
+				// this order size is capped at `position size - sum of previous order sizes`
+				// = 500_000_000 - 416_666_000 = 83_334_000
+				83_334_000,
 			},
 			expectedTimeInForce: []clobtypes.Order_TimeInForce{
 				clobtypes.Order_TIME_IN_FORCE_UNSPECIFIED,