[OTE-817] update trading rewards with new logic (#2300)

Co-authored-by: Teddy Ding <[email protected]>
dydxprotocol · Sep 24, 2024 · cc59dd2 · cc59dd2
1 parent b0034d0
commit cc59dd2
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Showing 6 changed files with 122 additions and 48 deletions.
diff --git a/protocol/testing/e2e/trading_rewards/trading_rewards_test.go b/protocol/testing/e2e/trading_rewards/trading_rewards_test.go
@@ -1,13 +1,14 @@
 package trading_rewards_test
 
 import (
-	sdkmath "cosmossdk.io/math"
-	"github.com/cosmos/gogoproto/proto"
-	"github.com/dydxprotocol/v4-chain/protocol/app/flags"
 	"math/big"
 	"testing"
 	"time"
 
+	sdkmath "cosmossdk.io/math"
+	"github.com/cosmos/gogoproto/proto"
+	"github.com/dydxprotocol/v4-chain/protocol/app/flags"
+
 	"github.com/cometbft/cometbft/types"
 	sdk "github.com/cosmos/cosmos-sdk/types"
 	authtypes "github.com/cosmos/cosmos-sdk/x/auth/types"
@@ -229,20 +230,20 @@ func TestTradingRewards(t *testing.T) {
 						},
 						{
 							AccAddress: RewardsTreasuryAccAddress,
-							// Total of ~5.06 full coins have vested, which is less than calculated
-							// rewards (~5.5 full coins). So all reward tokens were distributed.
+							// Total of ~5.06 full coins have vested, calculated rewards are
+							// ~1.99 full coins. So remaining rewards are ~3.07 full coins.
 							Balance: big_testutil.MustFirst(new(big.Int).SetString(
-								"0",
+								"3077645653924902967",
 								10,
 							)),
 						},
 						{
 							AccAddress: constants.AliceAccAddress,
-							// starting balance + ~5.06 full coins rewards
+							// starting balance + ~1.99 full coins rewards
 							Balance: new(big.Int).Add(
 								TestAccountStartingTokenBalance,
 								big_testutil.MustFirst(new(big.Int).SetString(
-									"5068012730847979890",
+									"1990367076923076923",
 									10,
 								)),
 							),
@@ -258,7 +259,7 @@ func TestTradingRewards(t *testing.T) {
 							TradingRewards: []*indexerevents.AddressTradingReward{
 								{
 									Owner:       constants.AliceAccAddress.String(),
-									DenomAmount: dtypes.NewIntFromUint64(5068012730847979890),
+									DenomAmount: dtypes.NewIntFromUint64(1990367076923076923),
 								},
 							},
 						},
@@ -277,10 +278,10 @@ func TestTradingRewards(t *testing.T) {
 						},
 						{
 							AccAddress: RewardsTreasuryAccAddress,
-							// ~25.34 full coins. Note this is exactly 10x the amount vested per block,
+							// balance + ~25.34 full coins. Note this is exactly 10x the amount vested per block,
 							// since 10 blocks has passed since the last check.
 							Balance: big_testutil.MustFirst(new(big.Int).SetString(
-								"25340063654239899450",
+								"28417709308164802417",
 								10,
 							)),
 						},
@@ -300,23 +301,23 @@ func TestTradingRewards(t *testing.T) {
 						{
 							AccAddress: constants.BobAccAddress,
 							// Starting balance: 500000000000000000000000
-							// Total rewards = (TakerFee - TakerVolume * MaxMakerRebate) * 0.99
-							//               = ($28003 * 0.05% - $28003 * 0.011%) * 0.99
-							//               = ($14.0015 - $3.08033) 0.99 = $10.8119583
-							// Reward tokens = $10.8119583 / $1.95 = 5.544594 full coins
+							// Total rewards = (TakerFee - TakerVolume * MaxMakerRebate - (takerFee * MaxPossibleTakerFeeRevShare)) * 0.99
+							//               = ($28003 * 0.05% - $28003 * 0.011% - $28003 * 0.05% * 0.5) * 0.99
+							//               = ($14.0015 - $3.08033 - $7.00075) 0.99 = $3.8812158
+							// Reward tokens = $3.8812158 / $1.95 = 1.9903670769 full coins
 							Balance: new(big.Int).Add(
 								TestAccountStartingTokenBalance,
 								big_testutil.MustFirst(new(big.Int).SetString(
-									"5544594000000000000",
+									"1990367076923076923",
 									10,
 								)),
 							),
 						},
 						{
 							AccAddress: RewardsTreasuryAccAddress,
-							// 25.34 + 2.534 - 5.544594 ~= 22.329 full coins
+							// balance + 25.34 + 2.534 - 1.9903670769 ~= 22.329 full coins
 							Balance: big_testutil.MustFirst(new(big.Int).SetString(
-								"22329476019663889395",
+								"28961348596665715439",
 								10,
 							)),
 						},
@@ -326,7 +327,7 @@ func TestTradingRewards(t *testing.T) {
 							TradingRewards: []*indexerevents.AddressTradingReward{
 								{
 									Owner:       constants.BobAccAddress.String(),
-									DenomAmount: dtypes.NewIntFromUint64(5544594000000000000),
+									DenomAmount: dtypes.NewIntFromUint64(1990367076923076923),
 								},
 							},
 						},
@@ -482,8 +483,8 @@ func TestTradingRewards(t *testing.T) {
 					// - Carl and Dave: $12.519
 					// Total rewards tokens distributed: ~25.34 (less than the value of net fees)
 					// Entitled reward tokens:
-					// - Alice and Bob: 8.0539
-					// - Carl and Dave: 4.616
+					// - Alice and Bob: 3.98073
+					// - Carl and Dave: 2.28156
 					ExpectedBalances: []expectedBalance{
 						{
 							AccAddress: RewardsVesterAccAddress,
@@ -495,9 +496,9 @@ func TestTradingRewards(t *testing.T) {
 						},
 						{
 							AccAddress: RewardsTreasuryAccAddress,
-							// All vested rewards were distributed, only rounding dusts left.
+							// 12.52458 full coins distributed, ~12.815 full coins remaining
 							Balance: big_testutil.MustFirst(new(big.Int).SetString(
-								"2",
+								"12815456885009130222",
 								10,
 							)),
 						},
@@ -506,7 +507,7 @@ func TestTradingRewards(t *testing.T) {
 							Balance: new(big.Int).Add(
 								TestAccountStartingTokenBalance,
 								big_testutil.MustFirst(new(big.Int).SetString(
-									"8053910091363583686",
+									"3980734153846153845",
 									10,
 								)),
 							),
@@ -516,7 +517,7 @@ func TestTradingRewards(t *testing.T) {
 							Balance: new(big.Int).Add(
 								TestAccountStartingTokenBalance,
 								big_testutil.MustFirst(new(big.Int).SetString(
-									"8053910091363583686",
+									"3980734153846153845",
 									10,
 								)),
 							),
@@ -526,7 +527,7 @@ func TestTradingRewards(t *testing.T) {
 							Balance: new(big.Int).Add(
 								TestAccountStartingTokenBalance,
 								big_testutil.MustFirst(new(big.Int).SetString(
-									"4616121735756366038",
+									"2281569230769230769",
 									10,
 								)),
 							),
@@ -536,7 +537,7 @@ func TestTradingRewards(t *testing.T) {
 							Balance: new(big.Int).Add(
 								TestAccountStartingTokenBalance,
 								big_testutil.MustFirst(new(big.Int).SetString(
-									"4616121735756366038",
+									"2281569230769230769",
 									10,
 								)),
 							),
@@ -547,19 +548,19 @@ func TestTradingRewards(t *testing.T) {
 							TradingRewards: []*indexerevents.AddressTradingReward{
 								{
 									Owner:       constants.BobAccAddress.String(),
-									DenomAmount: dtypes.NewIntFromUint64(8053910091363583686),
+									DenomAmount: dtypes.NewIntFromUint64(3980734153846153845),
 								},
 								{
 									Owner:       constants.AliceAccAddress.String(),
-									DenomAmount: dtypes.NewIntFromUint64(8053910091363583686),
+									DenomAmount: dtypes.NewIntFromUint64(3980734153846153845),
 								},
 								{
 									Owner:       constants.CarlAccAddress.String(),
-									DenomAmount: dtypes.NewIntFromUint64(4616121735756366038),
+									DenomAmount: dtypes.NewIntFromUint64(2281569230769230769),
 								},
 								{
 									Owner:       constants.DaveAccAddress.String(),
-									DenomAmount: dtypes.NewIntFromUint64(4616121735756366038),
+									DenomAmount: dtypes.NewIntFromUint64(2281569230769230769),
 								},
 							},
 						},

diff --git a/protocol/x/revshare/keeper/revshare.go b/protocol/x/revshare/keeper/revshare.go
@@ -227,7 +227,7 @@ func (k Keeper) getAffiliateRevShares(
 ) ([]types.RevShare, error) {
 	takerAddr := fill.TakerAddr
 	takerFee := fill.TakerFeeQuoteQuantums
-	if fill.MonthlyRollingTakerVolumeQuantums >= types.Max30dRefereeVolumeQuantums {
+	if fill.MonthlyRollingTakerVolumeQuantums >= types.MaxReferee30dVolumeForAffiliateShareQuantums {
 		return nil, nil
 	}
 

diff --git a/protocol/x/revshare/keeper/revshare_test.go b/protocol/x/revshare/keeper/revshare_test.go
@@ -504,7 +504,7 @@ func TestKeeper_GetAllRevShares_Valid(t *testing.T) {
 				MakerFeeQuoteQuantums:             big.NewInt(2_000_000),
 				FillQuoteQuantums:                 big.NewInt(100_000_000_000),
 				ProductId:                         perpetualId,
-				MonthlyRollingTakerVolumeQuantums: types.Max30dRefereeVolumeQuantums + 1,
+				MonthlyRollingTakerVolumeQuantums: types.MaxReferee30dVolumeForAffiliateShareQuantums + 1,
 				MarketId:                          marketId,
 			},
 			expectedRevSharesForFill: types.RevSharesForFill{

diff --git a/protocol/x/revshare/types/constants.go b/protocol/x/revshare/types/constants.go
@@ -1,6 +1,6 @@
 package types
 
 const (
-	// 25 million USDC
-	Max30dRefereeVolumeQuantums = uint64(25_000_000_000_000)
+	// 50 million USDC
+	MaxReferee30dVolumeForAffiliateShareQuantums = uint64(50_000_000_000_000)
 )
diff --git a/protocol/x/rewards/keeper/keeper.go b/protocol/x/rewards/keeper/keeper.go
@@ -19,6 +19,7 @@ import (
 	"github.com/dydxprotocol/v4-chain/protocol/lib"
 	"github.com/dydxprotocol/v4-chain/protocol/lib/log"
 	"github.com/dydxprotocol/v4-chain/protocol/lib/metrics"
+	affiliatetypes "github.com/dydxprotocol/v4-chain/protocol/x/affiliates/types"
 	clobtypes "github.com/dydxprotocol/v4-chain/protocol/x/clob/types"
 	revsharetypes "github.com/dydxprotocol/v4-chain/protocol/x/revshare/types"
 	"github.com/dydxprotocol/v4-chain/protocol/x/rewards/types"
@@ -120,15 +121,20 @@ func (k Keeper) GetRewardShare(
 //
 // Within each block, total reward share score for an address is defined as:
 //
-//	reward_share_score = total_taker_fees_paid - total_rev_shared_taker_fee
+//	reward_share_score = total_taker_fees_paid - max_possible_taker_fee_rev_share
 //   - max_possible_maker_rebate * taker_volume + total_positive_maker_fees - total_rev_shared_maker_fee
 //
 // Hence, for each fill, increment reward share score as follow:
 //   - Let F = sum(percentages of general rev-share) (excluding taker only rev share i.e. affiliate)
 //   - For maker address, positive_maker_fees * (1 - F) are added to reward share score.
 //   - For taker address, (positive_taker_fees - max_possible_maker_rebate
-//     					  * fill_quote_quantum - taker_fee_rev_share) * (1 - F)
+//     					  * fill_quote_quantum - max_possible_taker_fee_rev_share) * (1 - F)
 //     are added to reward share score.
+// max_possible_taker_fee_rev_share is 0 when taker trailing volume is > MaxReferee30dVolumeForAffiliateShareQuantums,
+// since taker_fee_share is only affiliate at the moment, and they don’t generate affiliate rev share.
+// When taker volume ≤ MaxReferee30dVolumeForAffiliateShareQuantums,
+// max_possible_taker_fee_rev_share = max_vip_affiliate_share * taker_fee
+// regardless of if the taker has an affiliate or not.
 
 func (k Keeper) AddRewardSharesForFill(
 	ctx sdk.Context,
@@ -143,9 +149,15 @@ func (k Keeper) AddRewardSharesForFill(
 	if value, ok := revSharesForFill.FeeSourceToRevSharePpm[revsharetypes.REV_SHARE_FEE_SOURCE_NET_FEE]; ok {
 		totalNetFeeRevSharePpm = value
 	}
-	totalTakerFeeRevShareQuantums := big.NewInt(0)
-	if value, ok := revSharesForFill.FeeSourceToQuoteQuantums[revsharetypes.REV_SHARE_FEE_SOURCE_TAKER_FEE]; ok {
-		totalTakerFeeRevShareQuantums = value
+	maxPossibleTakerFeeRevShare := big.NewInt(0)
+
+	// taker revshare is always 0 if taker rolling volume is greater than or equal
+	// to Max30dTakerVolumeQuantums, so no need to reduce score by `max_possible_taker_fee_rev_share`
+	if fill.MonthlyRollingTakerVolumeQuantums < revsharetypes.MaxReferee30dVolumeForAffiliateShareQuantums {
+		maxPossibleTakerFeeRevShare = lib.BigMulPpm(fill.TakerFeeQuoteQuantums,
+			lib.BigU(affiliatetypes.AffiliatesRevSharePpmCap),
+			false,
+		)
 	}
 
 	totalFeeSubNetRevSharePpm := lib.OneMillion - totalNetFeeRevSharePpm
@@ -159,7 +171,7 @@ func (k Keeper) AddRewardSharesForFill(
 	)
 	netTakerFee = netTakerFee.Sub(
 		netTakerFee,
-		totalTakerFeeRevShareQuantums,
+		maxPossibleTakerFeeRevShare,
 	)
 	takerWeight := lib.BigMulPpm(
 		netTakerFee,

diff --git a/protocol/x/rewards/keeper/keeper_test.go b/protocol/x/rewards/keeper/keeper_test.go
@@ -184,7 +184,7 @@ func TestAddRewardSharesForFill(t *testing.T) {
 			},
 			expectedTakerShare: types.RewardShare{
 				Address: takerAddress,
-				Weight:  dtypes.NewInt(1_200_000), // 2 - 0.1% * 800
+				Weight:  dtypes.NewInt(200_000), // 2 - 0.1% * 800 -(2 * 0.5)
 			},
 			expectedMakerShare: types.RewardShare{
 				Address: makerAddress,
@@ -218,7 +218,7 @@ func TestAddRewardSharesForFill(t *testing.T) {
 			},
 			expectedTakerShare: types.RewardShare{
 				Address: takerAddress,
-				Weight:  dtypes.NewInt(1_250_000), // 2 - 0.1% * 750
+				Weight:  dtypes.NewInt(250_000), // 2 - 0.1% * 750 - (2 * 0.5)
 			},
 			expectedMakerShare: types.RewardShare{
 				Address: makerAddress,
@@ -252,7 +252,7 @@ func TestAddRewardSharesForFill(t *testing.T) {
 			},
 			expectedTakerShare: types.RewardShare{
 				Address: takerAddress,
-				Weight:  dtypes.NewInt(1_625_000), // 2 - 0.05% * 750
+				Weight:  dtypes.NewInt(625_000), // 2 - 0.05% * 750 - (2 * 0.5)
 			},
 			expectedMakerShare: types.RewardShare{
 				Address: makerAddress,
@@ -319,7 +319,7 @@ func TestAddRewardSharesForFill(t *testing.T) {
 			},
 			expectedTakerShare: types.RewardShare{
 				Address: takerAddress,
-				Weight:  dtypes.NewInt(700_000),
+				Weight:  dtypes.NewInt(350_000), // 0.7 - (0.7 * 0.5)
 			},
 			expectedMakerShare: types.RewardShare{
 				Address: makerAddress,
@@ -367,7 +367,7 @@ func TestAddRewardSharesForFill(t *testing.T) {
 			},
 			expectedTakerShare: types.RewardShare{
 				Address: takerAddress,
-				Weight:  dtypes.NewInt(1_080_000), // (2 - 0.1% * 800 - 0) * (1 - 0.1)
+				Weight:  dtypes.NewInt(180_000), // (2 - 0.1% * 800 - 0.5*2) * (1 - 0.1)
 			},
 			expectedMakerShare: types.RewardShare{
 				Address: makerAddress,
@@ -422,7 +422,7 @@ func TestAddRewardSharesForFill(t *testing.T) {
 			},
 			expectedTakerShare: types.RewardShare{
 				Address: takerAddress,
-				Weight:  dtypes.NewInt(960_000), // (2 - 0.1% * 800 - 0) * (1 - 0.2)
+				Weight:  dtypes.NewInt(160_000), // (2 - 0.1% * 800 - 0.5*2) * (1 - 0.2)
 			},
 			expectedMakerShare: types.RewardShare{
 				Address: makerAddress,
@@ -483,7 +483,68 @@ func TestAddRewardSharesForFill(t *testing.T) {
 			},
 			expectedTakerShare: types.RewardShare{
 				Address: takerAddress,
-				Weight:  dtypes.NewInt(900_000), // (2 - 0.1% * 800 - 0.2) * (1 - 0.1)
+				Weight:  dtypes.NewInt(180_000), // (2 - 0.1% * 800 - 1) * (1 - 0.1)
+			},
+			expectedMakerShare: types.RewardShare{
+				Address: makerAddress,
+				Weight:  dtypes.NewInt(900_000), // 1 * (1 - 0.1)
+			},
+		},
+		"positive maker + taker fees reduced by maker rebate, taker + net fee revshare,rolling taker volume > 50 mil": {
+			prevTakerRewardShare: nil,
+			prevMakerRewardShare: nil,
+			fill: clobtypes.FillForProcess{
+				TakerAddr:                         takerAddress,
+				TakerFeeQuoteQuantums:             big.NewInt(2_000_000),
+				MakerAddr:                         makerAddress,
+				MakerFeeQuoteQuantums:             big.NewInt(1_000_000),
+				FillQuoteQuantums:                 big.NewInt(800_000_000),
+				ProductId:                         uint32(1),
+				MarketId:                          uint32(1),
+				MonthlyRollingTakerVolumeQuantums: 60_000_000_000_000,
+			},
+			revSharesForFill: revsharetypes.RevSharesForFill{
+				AllRevShares: []revsharetypes.RevShare{
+					{
+						Recipient:         constants.AliceAccAddress.String(),
+						RevShareFeeSource: revsharetypes.REV_SHARE_FEE_SOURCE_NET_FEE,
+						RevShareType:      revsharetypes.REV_SHARE_TYPE_UNCONDITIONAL,
+						QuoteQuantums:     big.NewInt(200_000),
+						RevSharePpm:       100_000, // 10%
+					},
+					{
+						Recipient:         takerAddress,
+						RevShareFeeSource: revsharetypes.REV_SHARE_FEE_SOURCE_TAKER_FEE,
+						RevShareType:      revsharetypes.REV_SHARE_TYPE_AFFILIATE,
+						QuoteQuantums:     big.NewInt(200_000),
+						RevSharePpm:       100_000, // 10%
+					},
+				},
+				FeeSourceToQuoteQuantums: map[revsharetypes.RevShareFeeSource]*big.Int{
+					revsharetypes.REV_SHARE_FEE_SOURCE_NET_FEE:   big.NewInt(200_000),
+					revsharetypes.REV_SHARE_FEE_SOURCE_TAKER_FEE: big.NewInt(200_000),
+				},
+				FeeSourceToRevSharePpm: map[revsharetypes.RevShareFeeSource]uint32{
+					revsharetypes.REV_SHARE_FEE_SOURCE_NET_FEE:   100_000, // 10%
+					revsharetypes.REV_SHARE_FEE_SOURCE_TAKER_FEE: 100_000, // 10%
+				},
+				AffiliateRevShare: &revsharetypes.RevShare{
+					Recipient:         takerAddress,
+					RevShareFeeSource: revsharetypes.REV_SHARE_FEE_SOURCE_TAKER_FEE,
+					RevShareType:      revsharetypes.REV_SHARE_TYPE_AFFILIATE,
+					QuoteQuantums:     big.NewInt(200_000),
+					RevSharePpm:       100_000, // 10%
+				},
+			},
+			feeTiers: []*feetierstypes.PerpetualFeeTier{
+				{
+					MakerFeePpm: -1_000, // -0.1%
+					TakerFeePpm: 2_000,  // 0.2%
+				},
+			},
+			expectedTakerShare: types.RewardShare{
+				Address: takerAddress,
+				Weight:  dtypes.NewInt(1_080_000), // (2 - 0.1% * 800 - 0) * (1 - 0.1)
 			},
 			expectedMakerShare: types.RewardShare{
 				Address: makerAddress,