add check for invalid skew factor (#2249)

dydxprotocol · Sep 23, 2024 · 79db31a · 79db31a
1 parent ebf8fe4
commit 79db31a
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Showing 3 changed files with 51 additions and 0 deletions.
diff --git a/protocol/x/vault/types/errors.go b/protocol/x/vault/types/errors.go
@@ -155,4 +155,9 @@ var (
 		30,
 		"Shares must be positive",
 	)
+	ErrInvalidSkewFactor = errorsmod.Register(
+		ModuleName,
+		31,
+		"Skew factor times order_size_pct must be less than 2 to avoid skewing over the spread",
+	)
 )
diff --git a/protocol/x/vault/types/params.go b/protocol/x/vault/types/params.go
@@ -2,6 +2,7 @@ package types
 
 import (
 	"math"
+	"math/big"
 
 	"github.com/dydxprotocol/v4-chain/protocol/dtypes"
 	"github.com/dydxprotocol/v4-chain/protocol/lib"
@@ -42,6 +43,14 @@ func (p QuotingParams) Validate() error {
 	if p.ActivationThresholdQuoteQuantums.Sign() < 0 {
 		return ErrInvalidActivationThresholdQuoteQuantums
 	}
+	// Skew factor times order_size_pct must be less than 2 to avoid skewing over the spread
+	skewFactor := new(big.Int).SetUint64(uint64(p.SkewFactorPpm))
+	orderSizePct := new(big.Int).SetUint64(uint64(p.OrderSizePctPpm))
+	skewFactorOrderSizePctProduct := new(big.Int).Mul(skewFactor, orderSizePct)
+	skewFactorOrderSizePctProductThreshold := big.NewInt(2_000_000 * 1_000_000)
+	if skewFactorOrderSizePctProduct.Cmp(skewFactorOrderSizePctProductThreshold) >= 0 {
+		return ErrInvalidSkewFactor
+	}
 
 	return nil
 }

diff --git a/protocol/x/vault/types/params_test.go b/protocol/x/vault/types/params_test.go
@@ -1,6 +1,7 @@
 package types_test
 
 import (
+	"math"
 	"testing"
 
 	"github.com/dydxprotocol/v4-chain/protocol/dtypes"
@@ -80,6 +81,42 @@ func TestValidateQuotingParams(t *testing.T) {
 			},
 			expectedErr: types.ErrInvalidActivationThresholdQuoteQuantums,
 		},
+		"Failure - SkewFactorPpm is high. Product of SkewFactorPpm and OrderSizePctPpm is above threshold.": {
+			params: types.QuotingParams{
+				Layers:                           2,
+				SpreadMinPpm:                     3_000,
+				SpreadBufferPpm:                  1_500,
+				SkewFactorPpm:                    20_000_000,
+				OrderSizePctPpm:                  100_000,
+				OrderExpirationSeconds:           5,
+				ActivationThresholdQuoteQuantums: dtypes.NewInt(1),
+			},
+			expectedErr: types.ErrInvalidSkewFactor,
+		},
+		"Failure - OrderSizePctPpm is high. Product of SkewFactorPpm and OrderSizePctPpm is above threshold.": {
+			params: types.QuotingParams{
+				Layers:                           2,
+				SpreadMinPpm:                     3_000,
+				SpreadBufferPpm:                  1_500,
+				SkewFactorPpm:                    2_000_000,
+				OrderSizePctPpm:                  1_000_000,
+				OrderExpirationSeconds:           5,
+				ActivationThresholdQuoteQuantums: dtypes.NewInt(1),
+			},
+			expectedErr: types.ErrInvalidSkewFactor,
+		},
+		"Failure - Both OrderSizePctPpm and SkewFactorPpm are MaxUint32. The product is above the threshold.": {
+			params: types.QuotingParams{
+				Layers:                           2,
+				SpreadMinPpm:                     3_000,
+				SpreadBufferPpm:                  1_500,
+				SkewFactorPpm:                    math.MaxUint32,
+				OrderSizePctPpm:                  math.MaxUint32,
+				OrderExpirationSeconds:           5,
+				ActivationThresholdQuoteQuantums: dtypes.NewInt(1),
+			},
+			expectedErr: types.ErrInvalidSkewFactor,
+		},
 	}
 
 	for name, tc := range tests {