bigz/perp-funding-offset

programs/drift/src/controller/funding.rs

@@ -11,7 +11,9 @@ use crate::error::DriftResult;
 use crate::get_then_update_id;
 use crate::math::amm;
 use crate::math::casting::Cast;
-use crate::math::constants::{FUNDING_RATE_BUFFER, ONE_HOUR_I128, TWENTY_FOUR_HOUR};
+use crate::math::constants::{
+    FUNDING_RATE_BUFFER, FUNDING_RATE_OFFSET_DENOMINATOR, ONE_HOUR_I128, TWENTY_FOUR_HOUR,
+};
 use crate::math::funding::{calculate_funding_payment, calculate_funding_rate_long_short};
 use crate::math::helpers::on_the_hour_update;
 use crate::math::safe_math::SafeMath;
@@ -217,9 +219,19 @@ pub fn update_funding_rate(
         // low periodicity => quickly updating/settled funding rates => lower funding rate payment per interval
         let price_spread = mid_price_twap.cast::<i64>()?.safe_sub(oracle_price_twap)?;
 
+        // add offset 1/FUNDING_RATE_OFFSET_DENOMINATOR*365. if FUNDING_RATE_OFFSET_DENOMINATOR = 5000 => 7.3% annualized rate
+        let price_spread_with_offset = price_spread.safe_add(
+            oracle_price_twap
+                .abs()
+                .safe_div(FUNDING_RATE_OFFSET_DENOMINATOR)?,
+        )?;
+
         // clamp price divergence to 3% for funding rate calculation
         let max_price_spread = oracle_price_twap.safe_div(33)?; // 3%
-        let clamped_price_spread = max(-max_price_spread, min(price_spread, max_price_spread));
+        let clamped_price_spread = max(
+            -max_price_spread,
+            min(price_spread_with_offset, max_price_spread),
+        );
 
         let funding_rate = clamped_price_spread
             .cast::<i128>()?

programs/drift/src/math/constants.rs

@@ -190,6 +190,9 @@ pub const DEFAULT_BASE_ASSET_AMOUNT_STEP_SIZE: u64 = BASE_PRECISION_U64 / 10000;
 pub const DEFAULT_QUOTE_ASSET_AMOUNT_TICK_SIZE: u64 =
     PRICE_PRECISION_U64 / DEFAULT_BASE_ASSET_AMOUNT_STEP_SIZE; // 1e-2
 
+// FUNDING
+pub const FUNDING_RATE_OFFSET_DENOMINATOR: i64 = 5000; // 5000 => 7.3% annualized rate for hourly funding
+
 // ORDERS
 pub const AUCTION_DERIVE_PRICE_FRACTION: i64 = 200;
 

sdk/src/constants/numericConstants.ts

@@ -83,6 +83,7 @@ export const AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO =
 export const MARGIN_PRECISION = TEN_THOUSAND;
 export const BID_ASK_SPREAD_PRECISION = new BN(1000000); // 10^6
 export const LIQUIDATION_PCT_PRECISION = TEN_THOUSAND;
+export const FUNDING_RATE_OFFSET_DENOMINATOR = new BN(5000);
 
 export const FIVE_MINUTE = new BN(60 * 5);
 export const ONE_HOUR = new BN(60 * 60);

sdk/src/math/funding.ts

@@ -5,6 +5,7 @@ import {
 	QUOTE_PRECISION,
 	ZERO,
 	ONE,
+	FUNDING_RATE_OFFSET_DENOMINATOR,
 } from '../constants/numericConstants';
 import { PerpMarketAccount, isVariant } from '../types';
 import { OraclePriceData } from '../oracles/types';
@@ -156,7 +157,11 @@ export async function calculateAllEstimatedFundingRate(
 	// }
 
 	const twapSpread = markTwap.sub(oracleTwap);
-	const twapSpreadPct = twapSpread
+	const twapSpreadWithOffset = twapSpread.add(
+		BN.abs(oracleTwap).div(FUNDING_RATE_OFFSET_DENOMINATOR)
+	);
+
+	const twapSpreadPct = twapSpreadWithOffset
 		.mul(PRICE_PRECISION)
 		.mul(new BN(100))
 		.div(oracleTwap);

test-scripts/single-anchor-test.sh

@@ -4,7 +4,10 @@ if [ "$1" != "--skip-build" ]
     cp target/idl/drift.json sdk/src/idl/
 fi
 
-test_files=(prepegMarketOrderBaseAssetAmount.ts)
+test_files=(liquidityProvider.ts)
+test_files=(spotSwap.ts)
+test_files=(cappedSymFunding.ts)
+test_files=(liquidateBorrowForPerpPnl.ts)
 
 for test_file in ${test_files[@]}; do
   ANCHOR_TEST_FILE=${test_file} anchor test --skip-build || exit 1;

tests/delistMarket.ts

@@ -322,7 +322,7 @@ describe('delist market', () => {
 
 		await driftClient.fetchAccounts();
 		const perpMarket = await driftClient.getPerpMarketAccount(marketIndex);
-		console.log(perpMarket.amm.cumulativeFundingRateLong.toString());
+		// console.log(perpMarket.amm.cumulativeFundingRateLong.toString());
 		assert(!perpMarket.amm.cumulativeFundingRateLong.eq(ZERO));
 
 		await liquidatorDriftClient.addPerpLpShares(BASE_PRECISION, marketIndex);
@@ -583,11 +583,26 @@ describe('delist market', () => {
 		assert(loserUser.perpPositions[0].quoteAssetAmount.eq(new BN(0)));
 		const marketAfter0 = driftClient.getPerpMarketAccount(marketIndex);
 
-		const finalPnlResultMin0 = new BN(1000021789000 - 100090);
+		const finalPnlResultMin0 = new BN(1000020719000 - 100090);
 		console.log(marketAfter0.pnlPool.scaledBalance.toString());
+		console.log(marketAfter0.pnlPool.scaledBalance.toString());
+		console.log(marketAfter0.pnlPool.scaledBalance.toString());
+
+		// console.log(
+		// 	'lastFundingRateLong:',
+		// 	marketAfter0.amm.lastFundingRateLong.toString()
+		// );
+		// console.log(
+		// 	'lastFundingRateShort:',
+		// 	marketAfter0.amm.lastFundingRateShort.toString()
+		// );
+
+		assert(marketAfter0.amm.lastFundingRateLong.toString() === '24205208');
+		assert(marketAfter0.amm.lastFundingRateShort.toString() === '24205208');
+
 		assert(marketAfter0.pnlPool.scaledBalance.gt(finalPnlResultMin0));
 		assert(
-			marketAfter0.pnlPool.scaledBalance.lt(new BN(1000021789000 + 1000000))
+			marketAfter0.pnlPool.scaledBalance.lt(new BN(1000020719000 + 1000000))
 		);
 
 		const txSig2 = await driftClient.settlePNL(
@@ -610,10 +625,10 @@ describe('delist market', () => {
 
 		const marketAfter = driftClient.getPerpMarketAccount(marketIndex);
 
-		const finalPnlResultMin = new BN(969700933000 - 109000);
+		const finalPnlResultMin = new BN(969699125000 - 109000);
 		console.log('pnlPool:', marketAfter.pnlPool.scaledBalance.toString());
 		assert(marketAfter.pnlPool.scaledBalance.gt(finalPnlResultMin));
-		assert(marketAfter.pnlPool.scaledBalance.lt(new BN(969700933000 + 109000)));
+		assert(marketAfter.pnlPool.scaledBalance.lt(new BN(969699125000 + 109000)));
 
 		console.log('feePool:', marketAfter.amm.feePool.scaledBalance.toString());
 		console.log(
@@ -684,10 +699,10 @@ describe('delist market', () => {
 		console.log(usdcMarket.revenuePool.scaledBalance.toString());
 		assert(usdcMarket.revenuePool.scaledBalance.gt(ZERO));
 		assert(
-			usdcMarket.revenuePool.scaledBalance.gt(new BN(969765629000 - 100000))
+			usdcMarket.revenuePool.scaledBalance.gt(new BN(969763827000 - 100000))
 		);
 		assert(
-			usdcMarket.revenuePool.scaledBalance.lt(new BN(969765629000 + 100000))
+			usdcMarket.revenuePool.scaledBalance.lt(new BN(969763827000 + 100000))
 		);
 
 		console.log('works');

tests/imbalancePerpPnl.ts

@@ -757,14 +757,30 @@ describe('imbalanced large perp pnl w/ borrow hitting limits', () => {
 			market0.marketIndex
 		);
 		oraclePriceData0.confidence = new BN(0); //oraclePriceData0.price.div(new BN(1000));
+		console.log(
+			'market0.amm.totalFeeMinusDistributions:',
+			market0.amm.totalFeeMinusDistributions.toString()
+		);
+		assert(market0.amm.totalFeeMinusDistributions.lt(new BN('0')));
 
+		// assert(market0.amm.totalFeeMinusDistributions.eq(new BN('254313115')));
 		const prepegAMM = calculateUpdatedAMM(market0.amm, oraclePriceData0);
 		const [bid, ask] = examineSpread(market0, oraclePriceData0);
+		console.log(
+			'prepegAMM.totalFeeMinusDistributions:',
+			prepegAMM.totalFeeMinusDistributions.toString()
+		);
+		assert(
+			prepegAMM.totalFeeMinusDistributions.eq(
+				market0.amm.totalFeeMinusDistributions
+			)
+		);
+
 		console.log(prepegAMM.pegMultiplier.toString());
 		console.log(bid.toString());
 		console.log(ask.toString());
 		assert(bid.eq(new BN('254194105')));
-		assert(prepegAMM.pegMultiplier.eq(new BN('254313115')));
+		assert(prepegAMM.pegMultiplier.eq(new BN('254313114'))); // lowered by 1 for funding offset change
 		assert(oraclePriceData0.price.eq(new BN('260500000')));
 		assert(ask.eq(new BN('266567441')));
 
@@ -794,7 +810,7 @@ describe('imbalanced large perp pnl w/ borrow hitting limits', () => {
 		);
 		const prepegAMM1 = calculateUpdatedAMM(market0.amm, oraclePriceData1);
 		console.log(prepegAMM1.pegMultiplier.toString());
-		assert(prepegAMM1.pegMultiplier.eq(new BN(254313115)));
+		assert(prepegAMM1.pegMultiplier.eq(new BN(254313114))); // lower by 1 for funding offset change
 	});
 
 	it('resolvePerpPnlDeficit', async () => {
@@ -890,8 +906,9 @@ describe('imbalanced large perp pnl w/ borrow hitting limits', () => {
 		);
 
 		console.log('pnlimbalance:', imbalance.toString());
-		assert(imbalance.lt(new BN(43454561797 + 20000))); //44k still :o
-		assert(imbalance.gt(new BN(43454561797 - 20000))); //44k still :o
+		const expectedOffset = 43454489193; // used to be 43454561797
+		assert(imbalance.lt(new BN(expectedOffset + 20000))); //44k still :o
+		assert(imbalance.gt(new BN(expectedOffset - 20000))); //44k still :o
 
 		console.log(
 			'revenueWithdrawSinceLastSettle:',

tests/liquidateBorrowForPerpPnl.ts

@@ -109,12 +109,13 @@ describe('liquidate borrow for perp pnl', () => {
 		await driftClient.updateInitialPctToLiquidate(
 			LIQUIDATION_PCT_PRECISION.toNumber()
 		);
+		// await driftClient.updateLiquidationDuration(1);
 
 		await initializeQuoteSpotMarket(driftClient, usdcMint.publicKey);
 		await initializeSolSpotMarket(driftClient, solOracle);
 		await driftClient.updatePerpAuctionDuration(new BN(0));
 
-		const periodicity = new BN(0);
+		const periodicity = new BN(3600);
 
 		await driftClient.initializePerpMarket(
 			0,