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Merged
tonylee08 merged 2 commits into from
Sep 22, 2025
Merged

Risk ratio refactor #534

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1fbb2ce
refactor risk ratio
tonylee08 Sep 22, 2025
56c1025
fix tests
tonylee08 Sep 22, 2025
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83 changes: 58 additions & 25 deletions packages/margin_trading/sources/margin_manager.move
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -215,7 +215,7 @@ public fun withdraw<BaseAsset, QuoteAsset, WithdrawAsset>(
);

if (self.margin_pool_id.contains(&base_margin_pool.id())) {
let risk_ratio = self.risk_ratio(
let risk_ratio = self.risk_ratio_int(
registry,
base_oracle,
quote_oracle,
Expand All @@ -225,7 +225,7 @@ public fun withdraw<BaseAsset, QuoteAsset, WithdrawAsset>(
);
assert!(registry.can_withdraw(pool.id(), risk_ratio), EWithdrawRiskRatioExceeded);
} else if (self.margin_pool_id.contains(&quote_margin_pool.id())) {
let risk_ratio = self.risk_ratio(
let risk_ratio = self.risk_ratio_int(
registry,
base_oracle,
quote_oracle,
Expand Down Expand Up @@ -262,7 +262,7 @@ public fun borrow_base<BaseAsset, QuoteAsset>(
self.borrowed_base_shares = total_shares;
self.margin_pool_id = option::some(base_margin_pool.id());
self.deposit(registry, coin, ctx);
let risk_ratio = self.risk_ratio(
let risk_ratio = self.risk_ratio_int(
registry,
base_oracle,
quote_oracle,
Expand Down Expand Up @@ -305,7 +305,7 @@ public fun borrow_quote<BaseAsset, QuoteAsset>(
self.borrowed_quote_shares = total_shares;
self.margin_pool_id = option::some(quote_margin_pool.id());
self.deposit(registry, coin, ctx);
let risk_ratio = self.risk_ratio(
let risk_ratio = self.risk_ratio_int(
registry,
base_oracle,
quote_oracle,
Expand Down Expand Up @@ -384,7 +384,7 @@ public fun liquidate<BaseAsset, QuoteAsset, DebtAsset>(
// 1. Check that we can liquidate, cancel all open orders.
assert!(self.deepbook_pool == pool.id(), EIncorrectDeepBookPool);
assert!(self.margin_pool_id.contains(&margin_pool.id()), EIncorrectMarginPool);
let risk_ratio = self.risk_ratio(
let risk_ratio = self.risk_ratio_int(
registry,
base_oracle,
quote_oracle,
Expand Down Expand Up @@ -519,34 +519,36 @@ public fun liquidate<BaseAsset, QuoteAsset, DebtAsset>(
(base_coin, quote_coin, repay_coin)
}

// Get the risk ratio of the margin manager.
public fun risk_ratio<BaseAsset, QuoteAsset, DebtAsset>(
// Returns the risk ratio of the margin manager given the corresponding margin pools.
public fun risk_ratio<BaseAsset, QuoteAsset>(
self: &MarginManager<BaseAsset, QuoteAsset>,
registry: &MarginRegistry,
base_oracle: &PriceInfoObject,
quote_oracle: &PriceInfoObject,
pool: &Pool<BaseAsset, QuoteAsset>,
margin_pool: &MarginPool<DebtAsset>,
base_margin_pool: &MarginPool<BaseAsset>,
quote_margin_pool: &MarginPool<QuoteAsset>,
clock: &Clock,
): u64 {
assert!(
self.margin_pool_id.contains(&margin_pool.id()) || self.margin_pool_id.is_none(),
EIncorrectMarginPool,
);
let (assets_in_debt_unit, _, _) = self.assets_in_debt_unit(
registry,
pool,
base_oracle,
quote_oracle,
clock,
);
let borrowed_shares = self.borrowed_base_shares.max(self.borrowed_quote_shares);
let debt = margin_pool.borrow_shares_to_amount(borrowed_shares, clock);
let max_risk_ratio = margin_constants::max_risk_ratio();
if (assets_in_debt_unit > math::mul(debt, max_risk_ratio)) {
max_risk_ratio
let debt_is_base = self.borrowed_base_shares > 0;
if (debt_is_base) {
self.risk_ratio_int(
registry,
base_oracle,
quote_oracle,
pool,
base_margin_pool,
clock,
)
} else {
math::div(assets_in_debt_unit, debt)
self.risk_ratio_int(
registry,
base_oracle,
quote_oracle,
pool,
quote_margin_pool,
clock,
)
}
}

Expand Down Expand Up @@ -632,6 +634,37 @@ public(package) fun id<BaseAsset, QuoteAsset>(self: &MarginManager<BaseAsset, Qu
}

// === Private Functions ===
// Get the risk ratio of the margin manager.
fun risk_ratio_int<BaseAsset, QuoteAsset, DebtAsset>(
self: &MarginManager<BaseAsset, QuoteAsset>,
registry: &MarginRegistry,
base_oracle: &PriceInfoObject,
quote_oracle: &PriceInfoObject,
pool: &Pool<BaseAsset, QuoteAsset>,
margin_pool: &MarginPool<DebtAsset>,
clock: &Clock,
): u64 {
assert!(
self.margin_pool_id.contains(&margin_pool.id()) || self.margin_pool_id.is_none(),
EIncorrectMarginPool,
);
let (assets_in_debt_unit, _, _) = self.assets_in_debt_unit(
registry,
pool,
base_oracle,
quote_oracle,
clock,
);
let borrowed_shares = self.borrowed_base_shares.max(self.borrowed_quote_shares);
let debt = margin_pool.borrow_shares_to_amount(borrowed_shares, clock);
let max_risk_ratio = margin_constants::max_risk_ratio();
if (assets_in_debt_unit > math::mul(debt, max_risk_ratio)) {
max_risk_ratio
} else {
math::div(assets_in_debt_unit, debt)
}
}

fun new_margin_manager<BaseAsset, QuoteAsset>(
pool: &Pool<BaseAsset, QuoteAsset>,
registry: &MarginRegistry,
Expand Down
8 changes: 4 additions & 4 deletions packages/margin_trading/sources/margin_pool/margin_state.move
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -124,10 +124,10 @@ public(package) fun borrow_shares_to_amount(
let ratio = if (self.borrow_shares == 0) {
constants::float_scaling()
} else {
math::div(self.borrow_shares, borrow)
math::div(borrow, self.borrow_shares)

@tonylee08 tonylee08 Sep 22, 2025

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There's no actual change, just making ratio consistent

};

math::div(shares, ratio)
math::mul(shares, ratio)
}

public(package) fun supply_shares_to_amount(
Expand All @@ -146,10 +146,10 @@ public(package) fun supply_shares_to_amount(
let ratio = if (self.supply_shares == 0) {
constants::float_scaling()
} else {
math::div(self.supply_shares, supply)
math::div(supply, self.supply_shares)
};

math::div(shares, ratio)
math::mul(shares, ratio)
}

fun update(self: &mut State, config: &ProtocolConfig, clock: &Clock): u64 {
Expand Down
37 changes: 21 additions & 16 deletions packages/margin_trading/tests/margin_manager_math_tests.move
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -22,7 +22,7 @@ use margin_trading::{
return_shared_3
}
};
use sui::test_utils::destroy;
use sui::{test_scenario::return_shared, test_utils::destroy};

const ENoError: u64 = 0;
const ECannotLiquidate: u64 = 1;
Expand Down Expand Up @@ -79,7 +79,7 @@ fun test_liquidation(error_code: u64) {
clock,
admin_cap,
maintainer_cap,
_btc_pool_id,
btc_pool_id,
usdc_pool_id,
_pool_id,
) = setup_btc_usd_margin_trading();
Expand All @@ -95,6 +95,7 @@ fun test_liquidation(error_code: u64) {
scenario.next_tx(test_constants::user1());
let mut mm = scenario.take_shared<MarginManager<BTC, USDC>>();
let mut usdc_pool = scenario.take_shared_by_id<MarginPool<USDC>>(usdc_pool_id);
let btc_pool = scenario.take_shared_by_id<MarginPool<BTC>>(btc_pool_id);

// Deposit 1 BTC worth $50
mm.deposit<BTC, USDC, BTC>(
Expand All @@ -116,7 +117,7 @@ fun test_liquidation(error_code: u64) {
);

assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &usdc_pool, &clock) == 1_250_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool,&usdc_pool, &clock) == 1_250_000_000,
0,
);

Expand All @@ -128,7 +129,7 @@ fun test_liquidation(error_code: u64) {
let repay_coin = mint_coin<USDC>(500 * test_constants::usdc_multiplier(), scenario.ctx());
let btc_price_40 = build_btc_price_info_object(&mut scenario, 40, &clock);
assert!(
mm.risk_ratio(&registry, &btc_price_40, &usdc_price, &pool, &usdc_pool, &clock) == 1_200_000_000,
mm.risk_ratio(&registry, &btc_price_40, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 1_200_000_000,
0,
);

Expand All @@ -149,7 +150,7 @@ fun test_liquidation(error_code: u64) {
let repay_coin = mint_coin<USDC>(500 * test_constants::usdc_multiplier(), scenario.ctx());
let btc_price_18 = build_btc_price_info_object(&mut scenario, 18, &clock);
assert!(
mm.risk_ratio(&registry, &btc_price_18, &usdc_price, &pool, &usdc_pool, &clock) == 1_090_000_000,
mm.risk_ratio(&registry, &btc_price_18, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 1_090_000_000,
0,
);

Expand All @@ -176,6 +177,7 @@ fun test_liquidation(error_code: u64) {

destroy_3!(remaining_repay_coin, base_coin, quote_coin);
return_shared_3!(mm, usdc_pool, pool);
return_shared(btc_pool);
destroy_3!(btc_price, usdc_price, btc_price_18);
cleanup_margin_test(registry, admin_cap, maintainer_cap, clock, scenario);
}
Expand Down Expand Up @@ -224,7 +226,7 @@ fun test_liquidation_quote_debt(error_code: u64) {
);

assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &usdc_pool, &clock) == 3_500_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 3_500_000_000,
0,
);

Expand All @@ -244,7 +246,7 @@ fun test_liquidation_quote_debt(error_code: u64) {

// Risk ratio is now (500 + 100) / 200 = 3.0
assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &usdc_pool, &clock) == 3_000_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 3_000_000_000,
0,
);

Expand Down Expand Up @@ -272,7 +274,7 @@ fun test_liquidation_quote_debt(error_code: u64) {
let repay_coin = mint_coin<USDC>(500 * test_constants::usdc_multiplier(), scenario.ctx());
let btc_price_115 = build_btc_price_info_object(&mut scenario, 115, &clock);
assert!(
mm.risk_ratio(&registry, &btc_price_115, &usdc_price, &pool, &usdc_pool, &clock) == 1_075_000_000,
mm.risk_ratio(&registry, &btc_price_115, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 1_075_000_000,
0,
);

Expand Down Expand Up @@ -350,7 +352,7 @@ fun test_liquidation_quote_debt_partial() {
);

assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &usdc_pool, &clock) == 3_500_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 3_500_000_000,
0,
);

Expand All @@ -370,7 +372,7 @@ fun test_liquidation_quote_debt_partial() {

// Risk ratio is now (500 + 100) / 200 = 3.0
assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &usdc_pool, &clock) == 3_000_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 3_000_000_000,
0,
);

Expand All @@ -381,7 +383,7 @@ fun test_liquidation_quote_debt_partial() {
let repay_coin = mint_coin<USDC>(90_125_000, scenario.ctx());
let btc_price_115 = build_btc_price_info_object(&mut scenario, 115, &clock);
assert!(
mm.risk_ratio(&registry, &btc_price_115, &usdc_price, &pool, &usdc_pool, &clock) == 1_075_000_000,
mm.risk_ratio(&registry, &btc_price_115, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 1_075_000_000,
0,
);

Expand Down Expand Up @@ -476,7 +478,7 @@ fun test_liquidation_base_debt_default() {
);

assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &clock) == 3_500_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 3_500_000_000,
0,
);

Expand All @@ -496,7 +498,7 @@ fun test_liquidation_base_debt_default() {

// Risk ratio is now (500 + 100) / 200 = 3.0
assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &clock) == 3_000_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 3_000_000_000,
0,
);

Expand Down Expand Up @@ -585,7 +587,7 @@ fun test_liquidation_base_debt() {
);

assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &clock) == 3_500_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 3_500_000_000,
0,
);

Expand All @@ -605,7 +607,7 @@ fun test_liquidation_base_debt() {

// Risk ratio is now (500 + 100) / 200 = 3.0
assert!(
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &clock) == 3_000_000_000,
mm.risk_ratio(&registry, &btc_price, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 3_000_000_000,
0,
);

Expand All @@ -618,7 +620,7 @@ fun test_liquidation_base_debt() {
let btc_price_2200 = build_btc_price_info_object(&mut scenario, 2200, &clock);

assert!(
mm.risk_ratio(&registry, &btc_price_2200, &usdc_price, &pool, &btc_pool, &clock) == 1_068_181_825,
mm.risk_ratio(&registry, &btc_price_2200, &usdc_price, &pool, &btc_pool, &usdc_pool, &clock) == 1_068_181_825,
0,
);

Expand Down Expand Up @@ -702,6 +704,7 @@ fun test_btc_sui_liquidation(error_code: u64) {
&btc_price,
&sui_price,
&pool,
&btc_pool,
&sui_pool,
&clock,
);
Expand All @@ -721,6 +724,7 @@ fun test_btc_sui_liquidation(error_code: u64) {
&btc_price,
&sui_price,
&pool,
&btc_pool,
&sui_pool,
&clock,
);
Expand Down Expand Up @@ -751,6 +755,7 @@ fun test_btc_sui_liquidation(error_code: u64) {
&btc_price_crash,
&sui_price_spike,
&pool,
&btc_pool,
&sui_pool,
&clock,
);
Expand Down