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add flag to limit the number of subaccounts iterated for deleveraging (…
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…#541)

* add flag to limit the number of subaccounts iterated for deleveraging

* move log to debug, add metrics
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@jayy04
jayy04 authored Oct 9, 2023
1 parent 04ceb92 commit c654a2d
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Showing 6 changed files with 84 additions and 40 deletions.
1 change: 1 addition & 0 deletions protocol/lib/metrics/constants.go
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Original file line number Diff line number Diff line change
Expand Up @@ -282,6 +282,7 @@ const (
NumSubaccountsIterated = "num_subaccounts_iterated"
NotEnoughPositionToFullyOffset = "not_enough_position_to_fully_offset"
NonOverlappingBankruptcyPrices = "non_overlapping_bankruptcy_prices"
NoOpenPositionOnOppositeSide = "no_open_position_on_opposite_side"

// Pricefeed Daemon.
Exchange = "exchange"
Expand Down
38 changes: 27 additions & 11 deletions protocol/x/clob/flags/flags.go
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Original file line number Diff line number Diff line change
Expand Up @@ -9,8 +9,9 @@ import (

// A struct containing the values of all flags.
type ClobFlags struct {
MaxLiquidationOrdersPerBlock uint32
MaxDeleveragingAttemptsPerBlock uint32
MaxLiquidationOrdersPerBlock uint32
MaxDeleveragingAttemptsPerBlock uint32
MaxDeleveragingSubaccountsToIterate uint32

MevTelemetryEnabled bool
MevTelemetryHost string
Expand All @@ -20,8 +21,9 @@ type ClobFlags struct {
// List of CLI flags.
const (
// Liquidations and deleveraging.
MaxLiquidationOrdersPerBlock = "max-liquidation-orders-per-block"
MaxDeleveragingAttemptsPerBlock = "max-deleveraging-attempts-per-block"
MaxLiquidationOrdersPerBlock = "max-liquidation-orders-per-block"
MaxDeleveragingAttemptsPerBlock = "max-deleveraging-attempts-per-block"
MaxDeleveragingSubaccountsToIterate = "max-deleveraging-subaccounts-to-iterate"

// Mev.
MevTelemetryEnabled = "mev-telemetry-enabled"
Expand All @@ -31,8 +33,9 @@ const (

// Default values.
const (
DefaultMaxLiquidationOrdersPerBlock = 20
DefaultMaxDeleveragingAttemptsPerBlock = 5
DefaultMaxLiquidationOrdersPerBlock = 20
DefaultMaxDeleveragingAttemptsPerBlock = 5
DefaultMaxDeleveragingSubaccountsToIterate = 500

DefaultMevTelemetryEnabled = false
DefaultMevTelemetryHost = ""
Expand All @@ -59,6 +62,14 @@ func AddClobFlagsToCmd(cmd *cobra.Command) {
DefaultMaxDeleveragingAttemptsPerBlock,
),
)
cmd.Flags().Uint32(
MaxDeleveragingSubaccountsToIterate,
DefaultMaxDeleveragingSubaccountsToIterate,
fmt.Sprintf(
"Sets the maximum number of subaccounts iterated for each deleveraging event. Default = %d",
DefaultMaxDeleveragingSubaccountsToIterate,
),
)
cmd.Flags().Bool(
MevTelemetryEnabled,
DefaultMevTelemetryEnabled,
Expand All @@ -78,11 +89,12 @@ func AddClobFlagsToCmd(cmd *cobra.Command) {

func GetDefaultClobFlags() ClobFlags {
return ClobFlags{
MaxLiquidationOrdersPerBlock: DefaultMaxLiquidationOrdersPerBlock,
MaxDeleveragingAttemptsPerBlock: DefaultMaxDeleveragingAttemptsPerBlock,
MevTelemetryEnabled: DefaultMevTelemetryEnabled,
MevTelemetryHost: DefaultMevTelemetryHost,
MevTelemetryIdentifier: DefaultMevTelemetryIdentifier,
MaxLiquidationOrdersPerBlock: DefaultMaxLiquidationOrdersPerBlock,
MaxDeleveragingAttemptsPerBlock: DefaultMaxDeleveragingAttemptsPerBlock,
MaxDeleveragingSubaccountsToIterate: DefaultMaxDeleveragingSubaccountsToIterate,
MevTelemetryEnabled: DefaultMevTelemetryEnabled,
MevTelemetryHost: DefaultMevTelemetryHost,
MevTelemetryIdentifier: DefaultMevTelemetryIdentifier,
}
}

Expand Down Expand Up @@ -115,5 +127,9 @@ func GetClobFlagValuesFromOptions(
result.MaxDeleveragingAttemptsPerBlock = v
}

if v, ok := appOpts.Get(MaxDeleveragingSubaccountsToIterate).(uint32); ok {
result.MaxDeleveragingSubaccountsToIterate = v
}

return result
}
41 changes: 25 additions & 16 deletions protocol/x/clob/flags/flags_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -44,28 +44,32 @@ func TestGetFlagValuesFromOptions(t *testing.T) {
optsMap map[string]any

// Expectations.
expectedMaxLiquidationOrdersPerBlock uint32
expectedMaxDeleveragingAttemptsPerBlock uint32
expectedMevTelemetryHost string
expectedMevTelemetryIdentifier string
expectedMaxLiquidationOrdersPerBlock uint32
expectedMaxDeleveragingAttemptsPerBlock uint32
expectedMaxDeleveragingSubaccountsToIterate uint32
expectedMevTelemetryHost string
expectedMevTelemetryIdentifier string
}{
"Sets to default if unset": {
expectedMaxLiquidationOrdersPerBlock: flags.DefaultMaxLiquidationOrdersPerBlock,
expectedMaxDeleveragingAttemptsPerBlock: flags.DefaultMaxDeleveragingAttemptsPerBlock,
expectedMevTelemetryHost: flags.DefaultMevTelemetryHost,
expectedMevTelemetryIdentifier: flags.DefaultMevTelemetryIdentifier,
expectedMaxLiquidationOrdersPerBlock: flags.DefaultMaxLiquidationOrdersPerBlock,
expectedMaxDeleveragingAttemptsPerBlock: flags.DefaultMaxDeleveragingAttemptsPerBlock,
expectedMaxDeleveragingSubaccountsToIterate: flags.DefaultMaxDeleveragingSubaccountsToIterate,
expectedMevTelemetryHost: flags.DefaultMevTelemetryHost,
expectedMevTelemetryIdentifier: flags.DefaultMevTelemetryIdentifier,
},
"Sets values from options": {
optsMap: map[string]any{
flags.MaxLiquidationOrdersPerBlock: uint32(50),
flags.MaxDeleveragingAttemptsPerBlock: uint32(25),
flags.MevTelemetryHost: "https://localhost:13137",
flags.MevTelemetryIdentifier: "node-agent-01",
flags.MaxLiquidationOrdersPerBlock: uint32(50),
flags.MaxDeleveragingAttemptsPerBlock: uint32(25),
flags.MaxDeleveragingSubaccountsToIterate: uint32(100),
flags.MevTelemetryHost: "https://localhost:13137",
flags.MevTelemetryIdentifier: "node-agent-01",
},
expectedMaxLiquidationOrdersPerBlock: uint32(50),
expectedMaxDeleveragingAttemptsPerBlock: uint32(25),
expectedMevTelemetryHost: "https://localhost:13137",
expectedMevTelemetryIdentifier: "node-agent-01",
expectedMaxLiquidationOrdersPerBlock: uint32(50),
expectedMaxDeleveragingAttemptsPerBlock: uint32(25),
expectedMaxDeleveragingSubaccountsToIterate: uint32(100),
expectedMevTelemetryHost: "https://localhost:13137",
expectedMevTelemetryIdentifier: "node-agent-01",
},
}

Expand Down Expand Up @@ -98,6 +102,11 @@ func TestGetFlagValuesFromOptions(t *testing.T) {
tc.expectedMaxDeleveragingAttemptsPerBlock,
flags.MaxDeleveragingAttemptsPerBlock,
)
require.Equal(
t,
tc.expectedMaxDeleveragingSubaccountsToIterate,
flags.MaxDeleveragingSubaccountsToIterate,
)
})
}
}
28 changes: 22 additions & 6 deletions protocol/x/clob/keeper/deleveraging.go
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Original file line number Diff line number Diff line change
Expand Up @@ -160,18 +160,26 @@ func (k Keeper) OffsetSubaccountPerpetualPosition(
)

numSubaccountsIterated := 0
numSubaccountsWithNonOverlappingBankruptcyPrices := 0
numSubaccountsWithNoOpenPositionOnOppositeSide := 0
deltaQuantumsRemaining = new(big.Int).Set(deltaQuantumsTotal)
fills = make([]types.MatchPerpetualDeleveraging_Fill, 0)

k.subaccountsKeeper.ForEachSubaccountRandomStart(
ctx,
func(offsettingSubaccount satypes.Subaccount) (finished bool) {
// Iterate at most `MaxDeleveragingSubaccountsToIterate` subaccounts.
if numSubaccountsIterated >= int(k.MaxDeleveragingSubaccountsToIterate) {
return true
}

numSubaccountsIterated++
offsettingPosition, _ := offsettingSubaccount.GetPerpetualPositionForId(perpetualId)
bigOffsettingPositionQuantums := offsettingPosition.GetBigQuantums()

// Skip subaccounts that do not have a position in the opposite direction as the liquidated subaccount.
if deltaQuantumsRemaining.Sign() != bigOffsettingPositionQuantums.Sign() {
numSubaccountsWithNoOpenPositionOnOppositeSide++
return false
}

Expand Down Expand Up @@ -275,7 +283,7 @@ func (k Keeper) OffsetSubaccountPerpetualPosition(
return false
}

k.Logger(ctx).Info(
k.Logger(ctx).Debug(
"Encountered error when processing deleveraging",
"error", err,
"blockHeight", ctx.BlockHeight(),
Expand All @@ -289,17 +297,25 @@ func (k Keeper) OffsetSubaccountPerpetualPosition(
"offsettingBankruptcyPriceQuoteQuantums", offsettingBankruptcyPrice,
"offsettingTnc", offsettingTnc,
)
telemetry.IncrCounter(
1,
types.ModuleName, metrics.Deleveraging, metrics.NonOverlappingBankruptcyPrices, metrics.Count,
)
numSubaccountsWithNonOverlappingBankruptcyPrices++
}
return deltaQuantumsRemaining.Sign() == 0
},
k.GetPseudoRand(ctx),
)

telemetry.SetGauge(float32(numSubaccountsIterated), metrics.NumSubaccountsIterated, metrics.Count)
telemetry.IncrCounter(
float32(numSubaccountsIterated),
types.ModuleName, metrics.Deleveraging, metrics.NumSubaccountsIterated, metrics.Count,
)
telemetry.IncrCounter(
float32(numSubaccountsWithNonOverlappingBankruptcyPrices),
types.ModuleName, metrics.Deleveraging, metrics.NonOverlappingBankruptcyPrices, metrics.Count,
)
telemetry.IncrCounter(
float32(numSubaccountsWithNoOpenPositionOnOppositeSide),
types.ModuleName, metrics.Deleveraging, metrics.NoOpenPositionOnOppositeSide, metrics.Count,
)

if deltaQuantumsRemaining.Sign() == 0 {
// Deleveraging was successful.
Expand Down
14 changes: 8 additions & 6 deletions protocol/x/clob/keeper/keeper.go
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Original file line number Diff line number Diff line change
Expand Up @@ -44,8 +44,9 @@ type (

memStoreInitialized *atomic.Bool

MaxLiquidationOrdersPerBlock uint32
MaxDeleveragingAttemptsPerBlock uint32
MaxLiquidationOrdersPerBlock uint32
MaxDeleveragingAttemptsPerBlock uint32
MaxDeleveragingSubaccountsToIterate uint32

mevTelemetryConfig MevTelemetryConfig

Expand Down Expand Up @@ -108,10 +109,11 @@ func NewKeeper(
Host: clobFlags.MevTelemetryHost,
Identifier: clobFlags.MevTelemetryIdentifier,
},
MaxLiquidationOrdersPerBlock: clobFlags.MaxLiquidationOrdersPerBlock,
MaxDeleveragingAttemptsPerBlock: clobFlags.MaxDeleveragingAttemptsPerBlock,
placeOrderRateLimiter: placeOrderRateLimiter,
cancelOrderRateLimiter: cancelOrderRateLimiter,
MaxLiquidationOrdersPerBlock: clobFlags.MaxLiquidationOrdersPerBlock,
MaxDeleveragingAttemptsPerBlock: clobFlags.MaxDeleveragingAttemptsPerBlock,
MaxDeleveragingSubaccountsToIterate: clobFlags.MaxDeleveragingSubaccountsToIterate,
placeOrderRateLimiter: placeOrderRateLimiter,
cancelOrderRateLimiter: cancelOrderRateLimiter,
}

// Provide the keeper to the MemClob.
Expand Down
2 changes: 1 addition & 1 deletion protocol/x/clob/keeper/liquidations.go
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Original file line number Diff line number Diff line change
Expand Up @@ -979,7 +979,7 @@ func (k Keeper) validateMatchedLiquidation(
// Validate that processing the liquidation fill does not leave insufficient funds
// in the insurance fund (such that the liquidation couldn't have possibly continued).
if !k.IsValidInsuranceFundDelta(ctx, insuranceFundDelta) {
k.Logger(ctx).Info("ProcessMatches: insurance fund has insufficient balance to process the liquidation.")
k.Logger(ctx).Debug("ProcessMatches: insurance fund has insufficient balance to process the liquidation.")
return nil, errorsmod.Wrapf(
types.ErrInsuranceFundHasInsufficientFunds,
"Liquidation order %v, insurance fund delta %v",
Expand Down

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