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Risk Manager reference asset update #193

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Risk Manager reference asset update #193

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3 changes: 3 additions & 0 deletions contracts/Constants.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -37,6 +37,9 @@ abstract contract Constants {
uint8 internal constant DEFERLIQUIDITY__CLEAN = 1;
uint8 internal constant DEFERLIQUIDITY__DIRTY = 2;

// Fiat currency Reference Assets, as per ISO 4217
// https://en.wikipedia.org/wiki/ISO_4217
address internal constant REFERENCE_ASSET__USD = address(840);

// Pricing types

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15 changes: 11 additions & 4 deletions contracts/modules/RiskManager.sol
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Expand Up @@ -115,6 +115,11 @@ contract RiskManager is IRiskManager, BaseLogic {
}

price = uint(answer);

// if reference asset is USD, it implies that Chainlink asset/USD price feeds are used.
// Chainlink asset/USD price feeds are 8 decimals, so we need to scale them up to 18 decimals
if (referenceAsset == REFERENCE_ASSET__USD) price = price * 1e10;

if (price > 1e36) price = 1e36;
}

Expand Down Expand Up @@ -147,20 +152,22 @@ contract RiskManager is IRiskManager, BaseLogic {
twap = 1e18;
twapPeriod = twapWindow;
} else if (pricingType == PRICINGTYPE__UNISWAP3_TWAP) {
(twap, twapPeriod) = callUniswapObserve(underlying, pricingParameters, twapWindow, underlyingDecimalsScaler);
if (uniswapFactory != address(0)) {
(twap, twapPeriod) = callUniswapObserve(underlying, pricingParameters, twapWindow, underlyingDecimalsScaler);
}
} else if (pricingType == PRICINGTYPE__CHAINLINK) {
twap = callChainlinkLatestAnswer(chainlinkPriceFeedLookup[underlying]);
twapPeriod = 0;

// if price invalid and uniswap fallback pool configured get the price from uniswap
if (twap == 0 && uint24(pricingParameters) != 0) {
if (twap == 0 && uint24(pricingParameters) != 0 && uniswapFactory != address(0)) {
(twap, twapPeriod) = callUniswapObserve(underlying, pricingParameters, twapWindow, underlyingDecimalsScaler);
}

require(twap != 0, "e/unable-to-get-the-price");
} else {
revert("e/unknown-pricing-type");
}

require(twap != 0, "e/unable-to-get-the-price");
}

function getPrice(address underlying) external view override returns (uint twap, uint twapPeriod) {
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83 changes: 83 additions & 0 deletions test/chainlinkPriceFeed.js
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Expand Up @@ -216,4 +216,87 @@ et.testSet({
],
})

.test({
desc: "chainlink price scaling when USD is the reference asset",
actions: ctx => [
{ action: 'cb', cb: async () => {

// Install RiskManager with the USD as the reference asset
const riskManagerSettings = {
referenceAsset: et.ethers.utils.hexZeroPad(et.BN(840).toHexString(), 20),
uniswapFactory: ethers.constants.AddressZero,
uniswapPoolInitCodeHash: et.ethers.utils.hexZeroPad('0x', 32),
}

ctx.contracts.modules.riskManager = await (await ctx.factories.RiskManager.deploy(
et.ethers.utils.hexZeroPad('0x', 32),
riskManagerSettings
)).deployed()

await (await ctx.contracts.installer.connect(ctx.wallet)
.installModules([ctx.contracts.modules.riskManager.address])).wait();
}},

// Set up the price feed

{ send: 'governance.setChainlinkPriceFeed', args:
[ctx.contracts.tokens.TST.address, ctx.contracts.AggregatorTST.address], onLogs: logs => {
et.expect(logs.length).to.equal(1);
et.expect(logs[0].name).to.equal('GovSetChainlinkPriceFeed');
et.expect(logs[0].args.underlying).to.equal(ctx.contracts.tokens.TST.address);
et.expect(logs[0].args.chainlinkAggregator).to.equal(ctx.contracts.AggregatorTST.address);
}},

// Set pool pricing configuration

{ send: 'governance.setPricingConfig', args: [ctx.contracts.tokens.TST.address, PRICINGTYPE__CHAINLINK, et.DefaultUniswapFee], onLogs: logs => {
et.expect(logs.length).to.equal(1);
et.expect(logs[0].name).to.equal('GovSetPricingConfig');
et.expect(logs[0].args.underlying).to.equal(ctx.contracts.tokens.TST.address);
et.expect(logs[0].args.newPricingType).to.equal(PRICINGTYPE__CHAINLINK);
et.expect(logs[0].args.newPricingParameter).to.equal(et.DefaultUniswapFee);
}},

// test getPrice

{ action: 'cb', cb: async () => {
await ctx.contracts.AggregatorTST.mockSetData([1, et.ethers.utils.parseUnits('1', 8), 0, 0, 0]);
const resultTST = await ctx.contracts.exec.getPrice(ctx.contracts.tokens.TST.address);
et.expect(resultTST.twap).to.equal(et.ethers.utils.parseUnits('1', 18));
et.expect(resultTST.twapPeriod).to.equal(0);
}},

// test getPriceFull

{ action: 'cb', cb: async () => {
// Set up the price equal to the max price of 1e36

await ctx.contracts.AggregatorTST.mockSetData([1, et.ethers.utils.parseUnits('1', 8), 0, 0, 0]);
const resultTST = await ctx.contracts.exec.getPriceFull(ctx.contracts.tokens.TST.address);
et.expect(resultTST.twap).to.equal(et.ethers.utils.parseUnits('1', 18));
et.expect(resultTST.currPrice).to.equal(resultTST.twap);
et.expect(resultTST.twapPeriod).to.equal(0);
}},

// test getPrice

{ action: 'cb', cb: async () => {
await ctx.contracts.AggregatorTST.mockSetData([1, et.ethers.utils.parseUnits('1.2345', 8), 0, 0, 0]);
const resultTST = await ctx.contracts.exec.getPrice(ctx.contracts.tokens.TST.address);
et.expect(resultTST.twap).to.equal(et.ethers.utils.parseUnits('1.2345', 18));
et.expect(resultTST.twapPeriod).to.equal(0);
}},

// test getPriceFull

{ action: 'cb', cb: async () => {
await ctx.contracts.AggregatorTST.mockSetData([1, et.ethers.utils.parseUnits('1.2345', 8), 0, 0, 0]);
const resultTST = await ctx.contracts.exec.getPriceFull(ctx.contracts.tokens.TST.address);
et.expect(resultTST.twap).to.equal(et.ethers.utils.parseUnits('1.2345', 18));
et.expect(resultTST.currPrice).to.equal(resultTST.twap);
et.expect(resultTST.twapPeriod).to.equal(0);
}}
],
})

.run();
23 changes: 23 additions & 0 deletions test/twap.js
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Expand Up @@ -42,7 +42,30 @@ et.testSet({
})


.test({
desc: "no uniswap configured",
actions: ctx => [
{ action: 'cb', cb: async () => {
// Install RiskManager without uniswap configured
const riskManagerSettings = {
referenceAsset: ctx.contracts.tokens['WETH'].address,
uniswapFactory: ethers.constants.AddressZero,
uniswapPoolInitCodeHash: et.ethers.utils.hexZeroPad('0x', 32),
}

ctx.contracts.modules.riskManager = await (await ctx.factories.RiskManager.deploy(
et.ethers.utils.hexZeroPad('0x', 32),
riskManagerSettings
)).deployed()

await (await ctx.contracts.installer.connect(ctx.wallet)
.installModules([ctx.contracts.modules.riskManager.address])).wait();
}},

{ action: 'getPrice', underlying: 'TST', expectError: 'e/unable-to-get-the-price', },
{ action: 'getPrice', underlying: 'TST2', expectError: 'e/unable-to-get-the-price', },
],
})


.run();