Merge pull request #85 from laminar-protocol/margin-swap-rates-per-pair

MarginProtocol: Swap rates per token pair

Author: gorgos

contracts/impls/margin/MarginFlowProtocol.sol

@@ -125,12 +125,14 @@ contract MarginFlowProtocol is FlowProtocolBase {
     mapping (MarginLiquidityPoolInterface => mapping(address => bool)) public traderHasPaidFees;
     mapping (MarginLiquidityPoolInterface => mapping(address => bool)) public traderIsMarginCalled;
     mapping(address => mapping (address => bool)) public tradingPairWhitelist;
+    mapping (address => mapping(address => mapping (bool => Percentage.Percent))) public currentSwapRates;
 
-    Percentage.Percent public currentSwapRate;
     uint256 public minLeverage;
     uint256 public maxLeverage;
     uint256 public minLeverageAmount;
-    uint256 public rateUnit;
+    uint256 public swapRateUnit;
+    bool constant public LONG = true;
+    bool constant public SHORT = false;
     uint256 constant public TRADER_MARGIN_CALL_FEE = 20 ether; // TODO
     uint256 constant public TRADER_LIQUIDATION_FEE = 60 ether; // TODO
 
@@ -150,51 +152,62 @@ contract MarginFlowProtocol is FlowProtocolBase {
      * @dev Initialize the MarginFlowProtocol.
      * @param _oracle The price oracle
      * @param _moneyMarket The money market.
+     * @param _safetyProtocol The _safetyProtocol.
      * @param _liquidityPoolRegistry The liquidity pool registry.
-     * @param _initialSwapRate The initial swap rate as percentage.
+     * @param _initialMinLeverage The _initialMinLeverage.
+     * @param _initialMaxLeverage The _initialMaxLeverage.
+     * @param _initialMinLeverageAmount The _initialMinLeverageAmount.
+     * @param _swapRateUnit The _swapRateUnit.
      */
     function initialize(
         PriceOracleInterface _oracle,
         MoneyMarketInterface _moneyMarket,
         MarginFlowProtocolSafety _safetyProtocol,
         MarginLiquidityPoolRegistry _liquidityPoolRegistry,
-        uint256 _initialSwapRate,
         uint256 _initialMinLeverage,
         uint256 _initialMaxLeverage,
         uint256 _initialMinLeverageAmount,
-        uint256 _rateUnit
+        uint256 _swapRateUnit
     ) external initializer {
         FlowProtocolBase.initialize(_oracle, _moneyMarket);
         safetyProtocol = _safetyProtocol;
         liquidityPoolRegistry = _liquidityPoolRegistry;
-        currentSwapRate = Percentage.Percent(_initialSwapRate);
         minLeverage = _initialMinLeverage;
         maxLeverage = _initialMaxLeverage;
         minLeverageAmount = _initialMinLeverageAmount;
-        rateUnit = _rateUnit;
+        swapRateUnit = _swapRateUnit;
     }
 
     /**
      * @dev Add new trading pair, only for the owner.
      * @param _base The base token.
      * @param _quote The quote token.
+     * @param _swapRateLong The swap rate as percentage for longs.
+     * @param _swapRateShort The swap rate as percentage for shorts.
      */
-    function addTradingPair(address _base, address _quote) external onlyOwner {
+    function addTradingPair(address _base, address _quote, uint256 _swapRateLong, uint256 _swapRateShort) external onlyOwner {
         require(_base != address(0) && _quote != address(0), "0");
         require(_base != _quote, "TP3");
         require(!tradingPairWhitelist[_base][_quote], "TP2");
+
+        currentSwapRates[_base][_quote][LONG] = Percentage.Percent(_swapRateLong);
+        currentSwapRates[_base][_quote][SHORT] = Percentage.Percent(_swapRateShort);
         tradingPairWhitelist[_base][_quote] = true;
 
         emit NewTradingPair(_base, _quote);
     }
 
     /**
-     * @dev Set new swap rate, only for the owner.
-     * @param _newSwapRate The new swap rate as percentage.
+     * @dev Set new swap rate for token pair, only for the owner.
+     * @param _base The base token.
+     * @param _quote The quote token.
+     * @param _newSwapRateLong The new swap rate as percentage for longs.
+     * @param _newSwapRateShort The new swap rate as percentage for shorts.
      */
-    function setCurrentSwapRate(uint256 _newSwapRate) external onlyOwner {
-        require(_newSwapRate > 0, "0");
-        currentSwapRate = Percentage.Percent(_newSwapRate);
+    function setCurrentSwapRateForPair(address _base, address _quote, uint256 _newSwapRateLong, uint256 _newSwapRateShort) external onlyOwner {
+        require(_newSwapRateLong > 0 && _newSwapRateShort > 0, "0");
+        currentSwapRates[_base][_quote][LONG] = Percentage.Percent(_newSwapRateLong);
+        currentSwapRates[_base][_quote][SHORT] = Percentage.Percent(_newSwapRateShort);
     }
 
     /**
@@ -427,7 +440,7 @@ contract MarginFlowProtocol is FlowProtocolBase {
         Position memory position = positionsById[_positionId];
 
         uint256 timeDeltaInSeconds = now.sub(position.timeWhenOpened);
-        uint256 daysSinceOpen = timeDeltaInSeconds.div(rateUnit);
+        uint256 daysSinceOpen = timeDeltaInSeconds.div(swapRateUnit);
         uint256 leveragedDebitsAbs = position.leveragedDebitsInUsd >= 0
             ? uint256(position.leveragedDebitsInUsd)
             : uint256(-position.leveragedDebitsInUsd);
@@ -578,7 +591,7 @@ contract MarginFlowProtocol is FlowProtocolBase {
             int256(leveragedDebits).mul(debitSignum),
             int256(leveragedHeldInUsd).mul(debitSignum),
             marginHeld,
-            currentSwapRate,
+            currentSwapRates[_pair.base][_pair.quote][_leverage > 0 ? LONG : SHORT],
             now
         );
 

cucumber/step-definitions/margin.steps.ts

@@ -96,8 +96,9 @@ const parseAmount = (amount: string): BN => {
 };
 
 const parseSwapRate = (amount: string): BN => {
-  const parsed = amount.replace('%', '');
+  const parsed = amount.replace(/%|-/g, '');
   const onePercentSpread = new BN(web3.utils.toWei('1')).div(new BN(100));
+
   return onePercentSpread.mul(new BN(parsed));
 };
 
@@ -257,7 +258,7 @@ Given('oracle price', async (table: TableDefinition) => {
 
 Given('margin spread', async (table: TableDefinition) => {
   for (const [pair, value] of table.rows()) {
-    const spreadValue = parseAmount(value); // TODO? .div(new BN(10000));
+    const spreadValue = parseAmount(value);
     const { baseAddress, quoteAddress } = parseTradingPair(pair);
 
     await sendTx({
@@ -297,13 +298,16 @@ Given(
 
 Given('margin set swap rate', async (table: TableDefinition) => {
   for (const [pair, long, short] of table.rows()) {
-    const { baseAddress, quoteAddress } = parseTradingPair(pair); // TODO
+    const { baseAddress, quoteAddress } = parseTradingPair(pair);
     const longSwapRate = parseSwapRate(long);
-    const shortSpread = parseSwapRate(short); // TODO
+    const shortSpread = parseSwapRate(short);
 
     await sendTx({
-      contractMethod: flowMarginProtocolContract.methods.setCurrentSwapRate(
+      contractMethod: flowMarginProtocolContract.methods.setCurrentSwapRateForPair(
+        baseAddress,
+        quoteAddress,
         longSwapRate,
+        shortSpread,
       ),
       to: flowMarginProtocolAddress,
     });
@@ -322,6 +326,8 @@ Given(/margin enable trading pair (\D*)/, async (tradingPair: string) => {
       contractMethod: flowMarginProtocolContract.methods.addTradingPair(
         baseAddress,
         quoteAddress,
+        1,
+        1,
       ),
       to: flowMarginProtocolAddress,
     });

migrations/deploy_contracts.ts

@@ -270,7 +270,6 @@ module.exports = (artifacts: Truffle.Artifacts, web3: Web3) => {
       moneyMarket.address,
       marginProtocolSafety.address,
       marginLiquidityPoolRegistry.address,
-      initialSwapRate,
       1,
       50,
       2,
@@ -298,14 +297,54 @@ module.exports = (artifacts: Truffle.Artifacts, web3: Web3) => {
 
     const usd = await moneyMarket.baseToken();
 
-    await marginProtocol.addTradingPair(fEUR.address, usd);
-    await marginProtocol.addTradingPair(usd, fEUR.address);
-    await marginProtocol.addTradingPair(fJPY.address, usd);
-    await marginProtocol.addTradingPair(usd, fJPY.address);
-    await marginProtocol.addTradingPair(fXAU.address, usd);
-    await marginProtocol.addTradingPair(usd, fXAU.address);
-    await marginProtocol.addTradingPair(fAAPL.address, usd);
-    await marginProtocol.addTradingPair(usd, fAAPL.address);
+    await marginProtocol.addTradingPair(
+      fEUR.address,
+      usd,
+      initialSwapRate,
+      initialSwapRate,
+    );
+    await marginProtocol.addTradingPair(
+      usd,
+      fEUR.address,
+      initialSwapRate,
+      initialSwapRate,
+    );
+    await marginProtocol.addTradingPair(
+      fJPY.address,
+      usd,
+      initialSwapRate,
+      initialSwapRate,
+    );
+    await marginProtocol.addTradingPair(
+      usd,
+      fJPY.address,
+      initialSwapRate,
+      initialSwapRate,
+    );
+    await marginProtocol.addTradingPair(
+      fXAU.address,
+      usd,
+      initialSwapRate,
+      initialSwapRate,
+    );
+    await marginProtocol.addTradingPair(
+      usd,
+      fXAU.address,
+      initialSwapRate,
+      initialSwapRate,
+    );
+    await marginProtocol.addTradingPair(
+      fAAPL.address,
+      usd,
+      initialSwapRate,
+      initialSwapRate,
+    );
+    await marginProtocol.addTradingPair(
+      usd,
+      fAAPL.address,
+      initialSwapRate,
+      initialSwapRate,
+    );
 
     // approve default account