feat!: compute borrow limit and borrowed value using safer logic duri…

…ng mixed price movement (#1723) * feat: add spot_borrow_limit to account summary and switch borrow limit to the minimum of spot and historic * cl++ * ++ * feat: compute borrow limit and borrowed value using safer logic during mixed price movements * -- * cl+- * ++ * lint++ * tests++ * typo * Update x/leverage/types/oracle.go Co-authored-by: Adam Wozniak <[email protected]> * suggestion * suggestion * simplify CalculateBorrowLimit args * gofmt * make proto-all Co-authored-by: Adam Wozniak <[email protected]>
umee-network · Jan 19, 2023 · 13c2a19 · 13c2a19
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -66,8 +66,9 @@ Ref: https://keepachangelog.com/en/1.0.0/
 - [1685](https://github.com/umee-network/umee/pull/1685) Add medians param to Token registry.
 - [1683](https://github.com/umee-network/umee/pull/1683) Add MaxBorrow query and allow returning all denoms from MaxWithdraw.
 - [1690](https://github.com/umee-network/umee/pull/1690) Add MaxBorrow message type.
-- [1711](https://github.com/umee-network/umee/pull/1711) Add historic pricing information to leverage MarketSummary and AccountSummary queries.
-- [1715](https://github.com/umee-network/umee/pull/1715) Add spot borrow limit to AccountSummary query, and switch returned borrow limit to the minimum of spot and historic borrow limits.
+- [1711](https://github.com/umee-network/umee/pull/1711) Add historic pricing information to leverage MarketSummary query
+- [1715](https://github.com/umee-network/umee/pull/1715) Reverted.
+- [1723](https://github.com/umee-network/umee/pull/1723) Compute borrow limits using the lower of either spot or historic price for each collateral token, and the higher of said prices for borrowed tokens. Remove extra spot/historic only fields in account summary.
 
 ## [v3.3.0](https://github.com/umee-network/umee/releases/tag/v3.3.0) - 2022-12-20
 

diff --git a/Makefile b/Makefile
@@ -186,6 +186,12 @@ lint:
 	@echo "--> Running linter with revive"
 	@go install github.com/mgechev/revive
 	@revive -config .revive.toml -formatter friendly ./...
+# note: on new OSX, might require brew install diffutils
+	@echo "--> Running regular linter"
+	@go install mvdan.cc/gofumpt
+	@go install github.com/golangci/golangci-lint/cmd/golangci-lint
+	@$(golangci_lint_cmd) run
+	@cd price-feeder && $(golangci_lint_cmd) run
 
 lint-fix:
 	@echo "--> Running linter to fix the lint issues"

diff --git a/proto/umee/leverage/v1/query.proto b/proto/umee/leverage/v1/query.proto
@@ -237,7 +237,7 @@ message QueryAccountSummaryResponse {
     (gogoproto.nullable)   = false
   ];
   // Borrow Limit is the maximum Borrowed Value the account is allowed to reach through direct borrowing.
-  // It uses the lower of two borrow limits: spot_borrow_limit and historic_borrow_limit.
+  // The lower of spot or historic price for each collateral token is used when calculating borrow limits.
   string borrow_limit = 4 [
     (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
     (gogoproto.nullable)   = false
@@ -247,24 +247,6 @@ message QueryAccountSummaryResponse {
     (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
     (gogoproto.nullable)   = false
   ];
-  // Historic Borrowed Value is the sum of the USD value of all tokens the account has borrowed,
-  // including interest owed, using historic prices.
-  string historic_borrowed_value = 6 [
-    (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
-    (gogoproto.nullable)   = false
-  ];
-  // Historic Borrow Limit is the maximum Borrowed Value the account is allowed to reach through direct borrowing,
-  // using historic prices.
-  string historic_borrow_limit = 7 [
-    (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
-    (gogoproto.nullable)   = false
-  ];
-  // Spot Borrow Limit is the maximum Borrowed Value the account is allowed to reach through direct borrowing,
-  // using spot prices.
-  string spot_borrow_limit = 8 [
-    (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
-    (gogoproto.nullable)   = false
-  ];
 }
 
 // QueryLiquidationTargets defines the request structure for the LiquidationTargets gRPC service handler.

diff --git a/swagger/swagger.yaml b/swagger/swagger.yaml
@@ -150,34 +150,13 @@ paths:
                   Borrow Limit is the maximum Borrowed Value the account is
                   allowed to reach through direct borrowing.
 
-                  It uses the lower of two borrow limits: spot_borrow_limit and
-                  historic_borrow_limit.
+                  The lower of spot or historic price for each collateral token
+                  is used when calculating borrow limits.
               liquidation_threshold:
                 type: string
                 description: >-
                   Liquidation Threshold is the Borrowed Value at which the
                   account becomes eligible for liquidation.
-              historic_borrowed_value:
-                type: string
-                description: >-
-                  Historic Borrowed Value is the sum of the USD value of all
-                  tokens the account has borrowed,
-
-                  including interest owed, using historic prices.
-              historic_borrow_limit:
-                type: string
-                description: >-
-                  Historic Borrow Limit is the maximum Borrowed Value the
-                  account is allowed to reach through direct borrowing,
-
-                  using historic prices.
-              spot_borrow_limit:
-                type: string
-                description: >-
-                  Spot Borrow Limit is the maximum Borrowed Value the account is
-                  allowed to reach through direct borrowing,
-
-                  using spot prices.
             description: >-
               QueryAccountSummaryResponse defines the response structure for the
               AccountSummary gRPC service handler.
@@ -2056,34 +2035,13 @@ definitions:
           Borrow Limit is the maximum Borrowed Value the account is allowed to
           reach through direct borrowing.
 
-          It uses the lower of two borrow limits: spot_borrow_limit and
-          historic_borrow_limit.
+          The lower of spot or historic price for each collateral token is used
+          when calculating borrow limits.
       liquidation_threshold:
         type: string
         description: >-
           Liquidation Threshold is the Borrowed Value at which the account
           becomes eligible for liquidation.
-      historic_borrowed_value:
-        type: string
-        description: >-
-          Historic Borrowed Value is the sum of the USD value of all tokens the
-          account has borrowed,
-
-          including interest owed, using historic prices.
-      historic_borrow_limit:
-        type: string
-        description: >-
-          Historic Borrow Limit is the maximum Borrowed Value the account is
-          allowed to reach through direct borrowing,
-
-          using historic prices.
-      spot_borrow_limit:
-        type: string
-        description: >-
-          Spot Borrow Limit is the maximum Borrowed Value the account is allowed
-          to reach through direct borrowing,
-
-          using spot prices.
     description: >-
       QueryAccountSummaryResponse defines the response structure for the
       AccountSummary gRPC service handler.

diff --git a/x/leverage/client/tests/tests.go b/x/leverage/client/tests/tests.go
@@ -293,12 +293,6 @@ func (s *IntegrationTestSuite) TestLeverageScenario() {
 				BorrowedValue: sdk.MustNewDecFromStr("0.00858671"),
 				// (1001 / 1000000) * 34.21 * 0.25 = 0.0085610525
 				BorrowLimit: sdk.MustNewDecFromStr("0.0085610525"),
-				// (251 / 1000000) * 34.21 = 0.00858671
-				HistoricBorrowedValue: sdk.MustNewDecFromStr("0.00858671"),
-				// (1001 / 1000000) * 34.21 * 0.25 = 0.0085610525
-				HistoricBorrowLimit: sdk.MustNewDecFromStr("0.0085610525"),
-				// (1001 / 1000000) * 34.21 * 0.25 = 0.0085610525
-				SpotBorrowLimit: sdk.MustNewDecFromStr("0.0085610525"),
 				// (1001 / 1000000) * 0.25 * 34.21 = 0.0085610525
 				LiquidationThreshold: sdk.MustNewDecFromStr("0.0085610525"),
 			},

diff --git a/x/leverage/keeper/borrows.go b/x/leverage/keeper/borrows.go
@@ -8,43 +8,25 @@ import (
 )
 
 // assertBorrowerHealth returns an error if a borrower is currently above their borrow limit,
-// under either recent (historic median) or current prices. It returns an error if current
-// prices cannot be calculated, but will use current prices (without returning an error)
-// for any token whose historic prices cannot be calculated.
+// under either recent (historic median) or current prices. It returns an error if
+// prices cannot be calculated.
 // This should be checked in msg_server.go at the end of any transaction which is restricted
 // by borrow limits, i.e. Borrow, Decollateralize, Withdraw, MaxWithdraw.
 func (k Keeper) assertBorrowerHealth(ctx sdk.Context, borrowerAddr sdk.AccAddress) error {
 	borrowed := k.GetBorrowerBorrows(ctx, borrowerAddr)
 	collateral := k.GetBorrowerCollateral(ctx, borrowerAddr)
 
-	// Check using current prices
-	err := k.checkPositionHealth(ctx, borrowed, collateral, false)
+	value, err := k.TotalTokenValue(ctx, borrowed, types.PriceModeHigh)
 	if err != nil {
 		return err
 	}
-
-	// Check using historic prices
-	return k.checkPositionHealth(ctx, borrowed, collateral, true)
-}
-
-// checkPositionHealth returns an error if a borrow + collateral position is not healthy. uses either
-// current or historic prices.
-func (k Keeper) checkPositionHealth(ctx sdk.Context, borrowed, collateral sdk.Coins, historic bool) error {
-	value, err := k.TotalTokenValue(ctx, borrowed, historic)
-	if err != nil {
-		return err
-	}
-	limit, err := k.CalculateBorrowLimit(ctx, collateral, historic)
+	limit, err := k.CalculateBorrowLimit(ctx, collateral)
 	if err != nil {
 		return err
 	}
 	if value.GT(limit) {
-		desc := "current"
-		if historic {
-			desc = "historic"
-		}
 		return types.ErrUndercollaterized.Wrapf(
-			"borrowed: %s, limit: %s (%s prices)", value, limit, desc)
+			"borrowed: %s, limit: %s", value, limit)
 	}
 	return nil
 }
@@ -113,9 +95,9 @@ func (k Keeper) SupplyUtilization(ctx sdk.Context, denom string) sdk.Dec {
 
 // CalculateBorrowLimit uses the price oracle to determine the borrow limit (in USD) provided by
 // collateral sdk.Coins, using each token's uToken exchange rate and collateral weight.
+// The lower of spot price or historic price is used for each collateral token.
 // An error is returned if any input coins are not uTokens or if value calculation fails.
-// If the historic parameter is true, uses medians of recent prices instead of current prices.
-func (k Keeper) CalculateBorrowLimit(ctx sdk.Context, collateral sdk.Coins, historic bool) (sdk.Dec, error) {
+func (k Keeper) CalculateBorrowLimit(ctx sdk.Context, collateral sdk.Coins) (sdk.Dec, error) {
 	limit := sdk.ZeroDec()
 
 	for _, coin := range collateral {
@@ -132,8 +114,8 @@ func (k Keeper) CalculateBorrowLimit(ctx sdk.Context, collateral sdk.Coins, hist
 
 		// ignore blacklisted tokens
 		if !ts.Blacklist {
-			// get USD value of base assets
-			v, err := k.TokenValue(ctx, baseAsset, historic)
+			// get USD value of base assets using the chosen price mode
+			v, err := k.TokenValue(ctx, baseAsset, types.PriceModeLow)
 			if err != nil {
 				return sdk.ZeroDec(), err
 			}
@@ -149,7 +131,7 @@ func (k Keeper) CalculateBorrowLimit(ctx sdk.Context, collateral sdk.Coins, hist
 // borrower with given collateral could reach before being eligible for liquidation, using
 // each token's oracle price, uToken exchange rate, and liquidation threshold.
 // An error is returned if any input coins are not uTokens or if value
-// calculation fails.
+// calculation fails. Always uses spot prices.
 func (k Keeper) CalculateLiquidationThreshold(ctx sdk.Context, collateral sdk.Coins) (sdk.Dec, error) {
 	totalThreshold := sdk.ZeroDec()
 
@@ -168,7 +150,7 @@ func (k Keeper) CalculateLiquidationThreshold(ctx sdk.Context, collateral sdk.Co
 		// ignore blacklisted tokens
 		if !ts.Blacklist {
 			// get USD value of base assets
-			v, err := k.TokenValue(ctx, baseAsset, false)
+			v, err := k.TokenValue(ctx, baseAsset, types.PriceModeSpot)
 			if err != nil {
 				return sdk.ZeroDec(), err
 			}

diff --git a/x/leverage/keeper/borrows_test.go b/x/leverage/keeper/borrows_test.go
@@ -202,13 +202,13 @@ func (s *IntegrationTestSuite) TestCalculateBorrowLimit() {
 	app, ctx, require := s.app, s.ctx, s.Require()
 
 	// Empty coins
-	borrowLimit, err := app.LeverageKeeper.CalculateBorrowLimit(ctx, sdk.NewCoins(), false)
+	borrowLimit, err := app.LeverageKeeper.CalculateBorrowLimit(ctx, sdk.NewCoins())
 	require.NoError(err)
 	require.Equal(sdk.ZeroDec(), borrowLimit)
 
 	// Unregistered asset
 	invalidCoins := sdk.NewCoins(coin("abcd", 1000))
-	_, err = app.LeverageKeeper.CalculateBorrowLimit(ctx, invalidCoins, false)
+	_, err = app.LeverageKeeper.CalculateBorrowLimit(ctx, invalidCoins)
 	require.ErrorIs(err, types.ErrNotUToken)
 
 	// Create collateral uTokens (1k u/umee)
@@ -222,7 +222,7 @@ func (s *IntegrationTestSuite) TestCalculateBorrowLimit() {
 		Mul(sdk.MustNewDecFromStr("0.25"))
 
 	// Check borrow limit vs. manually computed value
-	borrowLimit, err = app.LeverageKeeper.CalculateBorrowLimit(ctx, umeeCollateral, false)
+	borrowLimit, err = app.LeverageKeeper.CalculateBorrowLimit(ctx, umeeCollateral)
 	require.NoError(err)
 	require.Equal(expectedUmeeLimit, borrowLimit)
 
@@ -237,7 +237,7 @@ func (s *IntegrationTestSuite) TestCalculateBorrowLimit() {
 		Mul(sdk.MustNewDecFromStr("0.25"))
 
 	// Check borrow limit vs. manually computed value
-	borrowLimit, err = app.LeverageKeeper.CalculateBorrowLimit(ctx, atomCollateral, false)
+	borrowLimit, err = app.LeverageKeeper.CalculateBorrowLimit(ctx, atomCollateral)
 	require.NoError(err)
 	require.Equal(expectedAtomLimit, borrowLimit)
 
@@ -246,7 +246,7 @@ func (s *IntegrationTestSuite) TestCalculateBorrowLimit() {
 	combinedCollateral := umeeCollateral.Add(atomCollateral...)
 
 	// Check borrow limit vs. manually computed value
-	borrowLimit, err = app.LeverageKeeper.CalculateBorrowLimit(ctx, combinedCollateral, false)
+	borrowLimit, err = app.LeverageKeeper.CalculateBorrowLimit(ctx, combinedCollateral)
 	require.NoError(err)
 	require.Equal(expectedCombinedLimit, borrowLimit)
 }
diff --git a/x/leverage/keeper/collateral.go b/x/leverage/keeper/collateral.go
@@ -53,7 +53,7 @@ func (k Keeper) GetTotalCollateral(ctx sdk.Context, denom string) sdk.Coin {
 }
 
 // CalculateCollateralValue uses the price oracle to determine the value (in USD) provided by
-// collateral sdk.Coins, using each token's uToken exchange rate.
+// collateral sdk.Coins, using each token's uToken exchange rate. Always uses spot price.
 // An error is returned if any input coins are not uTokens or if value calculation fails.
 func (k Keeper) CalculateCollateralValue(ctx sdk.Context, collateral sdk.Coins) (sdk.Dec, error) {
 	total := sdk.ZeroDec()
@@ -66,7 +66,7 @@ func (k Keeper) CalculateCollateralValue(ctx sdk.Context, collateral sdk.Coins)
 		}
 
 		// get USD value of base assets
-		v, err := k.TokenValue(ctx, baseAsset, false)
+		v, err := k.TokenValue(ctx, baseAsset, types.PriceModeSpot)
 		if err != nil {
 			return sdk.ZeroDec(), err
 		}