chore(default-target-leverage): update default target leverage to 2x (#…

…748) Co-authored-by: Rui <[email protected]>
dydxprotocol · Nov 15, 2024 · e4bcbb8 · e4bcbb8
1 parent a642a3f
commit e4bcbb8
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Showing 11 changed files with 39 additions and 19 deletions.
diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/calculator/MarginCalculator.kt b/src/commonMain/kotlin/exchange.dydx.abacus/calculator/MarginCalculator.kt
@@ -14,6 +14,7 @@ import exchange.dydx.abacus.state.internalstate.InternalMarketState
 import exchange.dydx.abacus.state.internalstate.InternalPerpetualPosition
 import exchange.dydx.abacus.state.internalstate.InternalSubaccountState
 import exchange.dydx.abacus.state.internalstate.InternalTradeInputState
+import exchange.dydx.abacus.utils.DEFAULT_TARGET_LEVERAGE
 import exchange.dydx.abacus.utils.IList
 import exchange.dydx.abacus.utils.Logger
 import exchange.dydx.abacus.utils.MAX_LEVERAGE_BUFFER_PERCENT
@@ -702,7 +703,7 @@ internal object MarginCalculator {
         val oraclePrice = market?.perpetualMarket?.oraclePrice ?: return null
         val price = trade.summary?.price ?: return null
         val maxMarketLeverage = market.perpetualMarket?.configs?.maxMarketLeverage ?: return null
-        val targetLeverage = trade.targetLeverage ?: maxMarketLeverage
+        val targetLeverage = trade.targetLeverage ?: min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
         val positionSizeDifference = getPositionSizeDifference(subaccount, trade) ?: return null
 
         return calculateIsolatedMarginTransferAmountFromValues(
@@ -732,7 +733,7 @@ internal object MarginCalculator {
         val effectiveImf = parser.asDouble(parser.value(market, "configs.effectiveInitialMarginFraction")) ?: Numeric.double.ZERO
         val maxMarketLeverage = getMaxMarketLeverageDeprecated(effectiveImf = effectiveImf, imf = initialMarginFraction)
 
-        val targetLeverage = parser.asDouble(trade["targetLeverage"]) ?: maxMarketLeverage
+        val targetLeverage = parser.asDouble(trade["targetLeverage"]) ?: min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
         val positionSizeDifference = getPositionSizeDifferenceDeprecated(parser, subaccount, trade) ?: return null
 
         return calculateIsolatedMarginTransferAmountFromValues(

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/calculator/MarginModeCalculator.kt b/src/commonMain/kotlin/exchange.dydx.abacus/calculator/MarginModeCalculator.kt
@@ -1,8 +1,10 @@
 package exchange.dydx.abacus.calculator
 
+import exchange.dydx.abacus.utils.DEFAULT_TARGET_LEVERAGE
 import exchange.dydx.abacus.utils.Numeric
 import exchange.dydx.abacus.utils.Parser
 import exchange.dydx.abacus.utils.mutable
+import kotlin.math.min
 
 object MarginModeCalculator {
 
@@ -49,7 +51,7 @@ object MarginModeCalculator {
                     subaccountNumber,
                 )
                 val existingPositionLeverage = parser.asDouble(parser.value(existingPosition, "leverage.current"))
-                modified["targetLeverage"] = existingPositionLeverage ?: maxMarketLeverage
+                modified["targetLeverage"] = existingPositionLeverage ?: min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
             }
         } else {
             val marketMarginMode = MarginCalculator.findMarketMarginModeDeprecated(
@@ -60,7 +62,7 @@ object MarginModeCalculator {
                 "ISOLATED" -> {
                     modified["marginMode"] = marketMarginMode
                     if (parser.asDouble(tradeInput["targetLeverage"]) == null) {
-                        modified["targetLeverage"] = maxMarketLeverage
+                        modified["targetLeverage"] = min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
                     }
                 }
 

diff --git a/...in/kotlin/exchange.dydx.abacus/calculator/V2/TradeInput/TradeInputMarginModeCalculator.kt b/...in/kotlin/exchange.dydx.abacus/calculator/V2/TradeInput/TradeInputMarginModeCalculator.kt
@@ -6,7 +6,9 @@ import exchange.dydx.abacus.output.input.MarginMode
 import exchange.dydx.abacus.state.internalstate.InternalAccountState
 import exchange.dydx.abacus.state.internalstate.InternalMarketState
 import exchange.dydx.abacus.state.internalstate.InternalTradeInputState
+import exchange.dydx.abacus.utils.DEFAULT_TARGET_LEVERAGE
 import exchange.dydx.abacus.utils.Numeric
+import kotlin.math.min
 
 internal class TradeInputMarginModeCalculator {
     fun updateTradeInputMarginMode(
@@ -33,7 +35,7 @@ internal class TradeInputMarginModeCalculator {
                     subaccountNumber = subaccountNumber,
                 )
                 val existingPositionLeverage = existingPosition?.calculated?.get(CalculationPeriod.current)?.leverage
-                tradeInput.targetLeverage = if (existingPositionLeverage != null && existingPositionLeverage > Numeric.double.ZERO) existingPositionLeverage else maxMarketLeverage
+                tradeInput.targetLeverage = if (existingPositionLeverage != null && existingPositionLeverage > Numeric.double.ZERO) existingPositionLeverage else min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
             }
         } else {
             val marketMarginMode = MarginCalculator.findMarketMarginMode(
@@ -42,7 +44,7 @@ internal class TradeInputMarginModeCalculator {
             when (marketMarginMode) {
                 MarginMode.Isolated -> {
                     tradeInput.marginMode = marketMarginMode
-                    tradeInput.targetLeverage = tradeInput.targetLeverage ?: maxMarketLeverage
+                    tradeInput.targetLeverage = tradeInput.targetLeverage ?: min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
                 }
 
                 MarginMode.Cross -> {

diff --git a/...n/kotlin/exchange.dydx.abacus/calculator/V2/TradeInput/TradeInputMarketOrderCalculator.kt b/...n/kotlin/exchange.dydx.abacus/calculator/V2/TradeInput/TradeInputMarketOrderCalculator.kt
@@ -675,14 +675,15 @@ internal class TradeInputMarketOrderCalculator() {
         tradeLeverage: Double,
         isTradeSameSide: Boolean,
     ): Double {
-        if (freeCollateral <= Numeric.double.ZERO || tradeLeverage <= Numeric.double.ZERO) {
+        val tradeLeverageAbs = tradeLeverage.abs()
+        if (freeCollateral <= Numeric.double.ZERO || tradeLeverageAbs == Numeric.double.ZERO) {
             return Numeric.double.ZERO
         }
         return if (isTradeSameSide) {
-            (usdcSize / tradeLeverage) / freeCollateral
+            (usdcSize / tradeLeverageAbs) / freeCollateral
         } else {
-            val existingBalance = positionSize.abs() / tradeLeverage
-            (usdcSize / tradeLeverage - existingBalance) / (freeCollateral + existingBalance)
+            val existingBalance = positionSize.abs() / tradeLeverageAbs
+            (usdcSize / tradeLeverageAbs - existingBalance) / (freeCollateral + existingBalance)
         }
     }
 

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/processor/input/ClosePositionInputProcessor.kt b/src/commonMain/kotlin/exchange.dydx.abacus/processor/input/ClosePositionInputProcessor.kt
@@ -25,8 +25,10 @@ import exchange.dydx.abacus.state.internalstate.InternalWalletState
 import exchange.dydx.abacus.state.internalstate.safeCreate
 import exchange.dydx.abacus.state.manager.StatsigConfig
 import exchange.dydx.abacus.state.model.ClosePositionInputField
+import exchange.dydx.abacus.utils.DEFAULT_TARGET_LEVERAGE
 import exchange.dydx.abacus.utils.Numeric
 import kollections.iListOf
+import kotlin.math.min
 
 internal interface ClosePositionInputProcessorProtocol {
     fun closePosition(
@@ -107,7 +109,7 @@ internal class ClosePositionInputProcessor(
                     val maxMarketLeverage = market?.perpetualMarket?.configs?.maxMarketLeverage ?: Numeric.double.ONE
 
                     val currentPositionLeverage = position.calculated[CalculationPeriod.current]?.leverage?.abs()
-                    trade.targetLeverage = if (currentPositionLeverage != null && currentPositionLeverage > Numeric.double.ZERO) currentPositionLeverage else maxMarketLeverage
+                    trade.targetLeverage = if (currentPositionLeverage != null && currentPositionLeverage > Numeric.double.ZERO) currentPositionLeverage else min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
 
                     // default full close
                     trade.sizePercent = 1.0

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/processor/input/TradeInputProcessor.kt b/src/commonMain/kotlin/exchange.dydx.abacus/processor/input/TradeInputProcessor.kt
@@ -28,8 +28,10 @@ import exchange.dydx.abacus.state.internalstate.InternalTradeInputState
 import exchange.dydx.abacus.state.internalstate.InternalWalletState
 import exchange.dydx.abacus.state.internalstate.safeCreate
 import exchange.dydx.abacus.state.model.TradeInputField
+import exchange.dydx.abacus.utils.DEFAULT_TARGET_LEVERAGE
 import exchange.dydx.abacus.utils.Numeric
 import kollections.iListOf
+import kotlin.math.min
 
 internal interface TradeInputProcessorProtocol {
     fun tradeInMarket(
@@ -262,7 +264,7 @@ internal class TradeInputProcessor(
                         val market = marketSummaryState.markets[trade.marketId]
                         val maxMarketLeverage = market?.perpetualMarket?.configs?.maxMarketLeverage
                             ?: Numeric.double.ONE
-                        trade.targetLeverage = maxMarketLeverage
+                        trade.targetLeverage = min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
                     }
 
                     val changedSubaccountNumbers =
@@ -335,15 +337,15 @@ internal class TradeInputProcessor(
         } else if (existingOrder != null) {
             trade.marginMode =
                 if (existingOrder.subaccountNumber == subaccountNumber) MarginMode.Cross else MarginMode.Isolated
-            trade.targetLeverage = maxMarketLeverage
+            trade.targetLeverage = min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
         } else {
             val marketType = marketState?.perpetualMarket?.configs?.perpetualMarketType
             trade.marginMode = when (marketType) {
                 PerpetualMarketType.CROSS -> MarginMode.Cross
                 PerpetualMarketType.ISOLATED -> MarginMode.Isolated
                 else -> null
             }
-            trade.targetLeverage = maxMarketLeverage
+            trade.targetLeverage = min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
         }
     }
 

diff --git a/...monMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+ClosePositionInput.kt b/...monMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+ClosePositionInput.kt
@@ -10,13 +10,15 @@ import exchange.dydx.abacus.responses.cannotModify
 import exchange.dydx.abacus.state.changes.Changes
 import exchange.dydx.abacus.state.changes.StateChanges
 import exchange.dydx.abacus.state.manager.StatsigConfig
+import exchange.dydx.abacus.utils.DEFAULT_TARGET_LEVERAGE
 import exchange.dydx.abacus.utils.Numeric
 import exchange.dydx.abacus.utils.mutable
 import exchange.dydx.abacus.utils.mutableMapOf
 import exchange.dydx.abacus.utils.safeSet
 import kollections.JsExport
 import kollections.iListOf
 import kotlinx.serialization.Serializable
+import kotlin.math.min
 
 @JsExport
 @Serializable
@@ -114,8 +116,9 @@ fun TradingStateMachine.closePosition(
                     } else {
                         Numeric.double.ONE
                     }
+
                     val currentPositionLeverage = parser.asDouble(parser.value(position, "leverage.current"))?.abs()
-                    trade["targetLeverage"] = if (currentPositionLeverage != null && currentPositionLeverage > 0) currentPositionLeverage else maxMarketLeverage
+                    trade["targetLeverage"] = if (currentPositionLeverage != null && currentPositionLeverage > 0) currentPositionLeverage else min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage)
 
                     // default full close
                     trade.safeSet("size.percent", 1.0)

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+TradeInput.kt b/src/commonMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+TradeInput.kt
@@ -11,13 +11,15 @@ import exchange.dydx.abacus.responses.StateResponse
 import exchange.dydx.abacus.responses.cannotModify
 import exchange.dydx.abacus.state.changes.Changes
 import exchange.dydx.abacus.state.changes.StateChanges
+import exchange.dydx.abacus.utils.DEFAULT_TARGET_LEVERAGE
 import exchange.dydx.abacus.utils.Numeric
 import exchange.dydx.abacus.utils.mutable
 import exchange.dydx.abacus.utils.mutableMapOf
 import exchange.dydx.abacus.utils.safeSet
 import kollections.JsExport
 import kollections.iListOf
 import kotlinx.serialization.Serializable
+import kotlin.math.min
 
 @JsExport
 @Serializable
@@ -170,11 +172,11 @@ internal fun TradingStateMachine.tradeInMarket(
             } else if (existingOrder != null) {
                 val orderMarginMode = if ((parser.asInt(parser.value(existingOrder, "subaccountNumber")) ?: subaccountNumber) == subaccountNumber) MarginMode.Cross.rawValue else MarginMode.Isolated.rawValue
                 it.safeSet("marginMode", orderMarginMode)
-                it.safeSet("targetLeverage", maxMarketLeverage)
+                it.safeSet("targetLeverage", min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage))
             } else {
                 val marketType = parser.asString(parser.value(marketsSummary, "markets.$marketId.configs.perpetualMarketType"))
                 it.safeSet("marginMode", MarginMode.invoke(marketType)?.rawValue)
-                it.safeSet("targetLeverage", maxMarketLeverage)
+                it.safeSet("targetLeverage", min(DEFAULT_TARGET_LEVERAGE, maxMarketLeverage))
             }
         }
 

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/utils/Constants.kt b/src/commonMain/kotlin/exchange.dydx.abacus/utils/Constants.kt
@@ -17,6 +17,7 @@ internal const val MAX_FREE_COLLATERAL_BUFFER_PERCENT = 0.95
 // Isolated Margin Constants
 internal const val MAX_LEVERAGE_BUFFER_PERCENT = 0.98
 internal const val MARGIN_COLLATERALIZATION_CHECK_BUFFER = 0.01;
+internal const val DEFAULT_TARGET_LEVERAGE = 2.0;
 
 // Order flags
 internal const val SHORT_TERM_ORDER_FLAGS = 0

diff --git a/src/commonTest/kotlin/exchange.dydx.abacus/payload/IsolatedMarginModeTests.kt b/src/commonTest/kotlin/exchange.dydx.abacus/payload/IsolatedMarginModeTests.kt
@@ -212,7 +212,7 @@ class IsolatedMarginModeTests : V4BaseTests(true) {
             assertEquals("NEAR-USD", trade.marketId)
             assertEquals(MarginMode.Cross, trade.marginMode)
             assertEquals(true, trade.options.needsMarginMode)
-            assertEquals(10.0, trade.targetLeverage)
+            assertEquals(2.0, trade.targetLeverage)
         } else {
             test(
                 {
@@ -225,7 +225,7 @@ class IsolatedMarginModeTests : V4BaseTests(true) {
                         "trade": {
                             "marketId": "NEAR-USD",
                             "marginMode": "CROSS",
-                            "targetLeverage": 10.0,
+                            "targetLeverage": 5.0,
                             "options": {
                                 "needsMarginMode": true
                             }

diff --git a/src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4TradeInputTests.kt b/src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4TradeInputTests.kt
@@ -718,6 +718,10 @@ open class V4TradeInputTests : V4BaseTests() {
             perp.trade("380", TradeInputField.usdcSize, 0)
         }, null)
 
+        test({
+            perp.trade("20", TradeInputField.targetLeverage, 0)
+        }, null)
+
         if (perp.staticTyping) {
             perp.trade("1500", TradeInputField.limitPrice, 0)