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Introduce funding fee argument to calculate payout params 

The approach is to run the calculation of the payouts as usual and,
only afterwards, offset all payout amounts by the funding fee
provided.
update-blockstream-electrum-server-url
Lucas Soriano del Pino 3 years ago
parent
05467ab2bd
commit
1c91fc0453
No known key found for this signature in database GPG Key ID: 89CE0DB40A19D524
1 changed files with 258 additions and 7 deletions
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  1. 265
      daemon/src/payout_curve.rs

265
daemon/src/payout_curve.rs
View File

@ -53,7 +53,7 @@ pub fn calculate(
leverage: Leverage,
n_payouts: usize,
) -> Result<Vec<Payout>> {
let payouts = calculate_payout_parameters(price, quantity, leverage, n_payouts)?
let payouts = calculate_payout_parameters(price, quantity, leverage, n_payouts, 0)?
.into_iter()
.map(PayoutParameter::into_payouts)
.flatten_ok()
@ -74,6 +74,7 @@ fn calculate_payout_parameters(
quantity: Usd,
long_leverage: Leverage,
n_payouts: usize,
funding_fee: u64,
) -> Result<Vec<PayoutParameter>> {
let initial_rate = price
.try_into_f64()
@ -98,16 +99,20 @@ fn calculate_payout_parameters(
.map(|row| {
let left_bound = row[0] as u64;
let right_bound = row[1] as u64;
let long_amount = row[2];
let long_amount_btc = row[2];
let short_amount = to_sats(payout_curve.total_value - long_amount)?;
let long_amount = to_sats(long_amount)?;
let long_amount = to_sats(long_amount_btc)?;
let long_amount_adjusted = long_amount.saturating_sub(funding_fee);
let adjustment = long_amount - long_amount_adjusted;
let short_amount = to_sats(payout_curve.total_value - long_amount_btc)?;
let short_amount_adjusted = short_amount + adjustment;
Ok(PayoutParameter {
left_bound,
right_bound,
long_amount,
short_amount,
long_amount: long_amount_adjusted,
short_amount: short_amount_adjusted,
})
})
.collect::<Result<Vec<_>>>()?;
@ -115,7 +120,7 @@ fn calculate_payout_parameters(
Ok(payout_parameters)
}
#[derive(PartialEq)]
#[derive(PartialEq, Clone, Copy)]
struct PayoutParameter {
left_bound: u64,
right_bound: u64,
@ -511,6 +516,7 @@ mod tests {
Usd::new(dec!(3500.00)),
Leverage::new(5).unwrap(),
200,
0,
)
.unwrap();
@ -721,6 +727,250 @@ mod tests {
pretty_assertions::assert_eq!(actual_payouts, expected_payouts);
}
#[test]
fn verify_effect_of_funding_fee() {
let payouts = calculate_payout_parameters(
Price::new(dec!(54000.00)).unwrap(),
Usd::new(dec!(3500.00)),
Leverage::new(5).unwrap(),
200,
0,
)
.unwrap();
let funding_fee = 100;
let payouts_with_fee = calculate_payout_parameters(
Price::new(dec!(54000.00)).unwrap(),
Usd::new(dec!(3500.00)),
Leverage::new(5).unwrap(),
200,
funding_fee,
)
.unwrap();
assert_eq!(payouts.len(), payouts_with_fee.len());
let total_per_payout = payouts
.iter()
.map(|payout| payout.short_amount + payout.long_amount)
.collect::<Vec<_>>();
let total_per_payout_with_fee = payouts_with_fee
.iter()
.map(|payout| payout.short_amount + payout.long_amount)
.collect::<Vec<_>>();
assert_eq!(total_per_payout, total_per_payout_with_fee);
let fees = payouts
.iter()
.zip(payouts_with_fee)
.map(|(payout, payout_with_fee)| payout_with_fee.short_amount - payout.short_amount)
.collect::<Vec<_>>();
let expected_fees = vec![
0, // the lower tail of this curve already assigns the short side all of the coins
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
];
assert_eq!(fees, expected_fees);
}
#[test]
fn verify_tails() {
let actual_payouts = calculate_payout_parameters(
@ -728,6 +978,7 @@ mod tests {
Usd::new(dec!(3500.00)),
Leverage::new(5).unwrap(),
200,
0,
)
.unwrap();

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