Memorialize borrower threshold price on kick (#976)

* Memorialize borrower threshold price at time of kick to calculate bpf on take

* Fix tests

* Record borrower threshold price inside _recordAuction method

* Remove redundant conversions

* Fix natspec

* Fix unit tests

* Remove redundant variable

src/interfaces/pool/commons/IPoolState.sol

@@ -413,6 +413,7 @@ struct Liquidation {
  address next; // next liquidated borrower in auctions queue
  uint160 bondSize; // [WAD] liquidation bond size
  uint96 neutralPrice; // [WAD] Neutral Price when liquidation was started
+ uint256 thresholdPrice; // [WAD] Threshold Price when liquidation was started
 }
 
 /// @dev Struct holding kicker state.

src/libraries/external/KickerActions.sol

@@ -61,6 +61,7 @@ library KickerActions {
  uint256 referencePrice; // [WAD] used to calculate auction start price
  uint256 bondFactor; // [WAD] bond factor of kicked auction
  uint256 bondSize; // [WAD] bond size of kicked auction
+ uint256 thresholdPrice; // [WAD] borrower threshold price at kick time
  }
 
  /// @dev Struct used for `lenderKick` function local vars.
@@ -321,6 +322,8 @@ library KickerActions {
  borrower.npTpRatio
  );
 
+ vars.thresholdPrice = Maths.wdiv(vars.borrowerDebt, vars.borrowerCollateral);
+
  // record liquidation info
  _recordAuction(
  auctions_,
@@ -329,7 +332,8 @@ library KickerActions {
  vars.bondSize,
  vars.bondFactor,
  vars.referencePrice,
- vars.neutralPrice
+ vars.neutralPrice,
+ vars.thresholdPrice
  );
 
  // update escrowed bonds balances and get the difference needed to cover bond (after using any kick claimable funds if any)
@@ -390,6 +394,7 @@ library KickerActions {
  * @param bondFactor_ Bond factor of the newly kicked auction.
  * @param referencePrice_ Used to calculate auction start price.
  * @param neutralPrice_ Current pool `Neutral Price`.
+ * @param thresholdPrice_ Borrower threshold price.
  */
  function _recordAuction(
  AuctionsState storage auctions_,
@@ -398,7 +403,8 @@ library KickerActions {
  uint256 bondSize_,
  uint256 bondFactor_,
  uint256 referencePrice_,
- uint256 neutralPrice_
+ uint256 neutralPrice_,
+ uint256 thresholdPrice_
  ) internal {
  // record liquidation info
  liquidation_.kicker = msg.sender;
@@ -407,6 +413,7 @@ library KickerActions {
  liquidation_.bondSize = SafeCast.toUint160(bondSize_);
  liquidation_.bondFactor = SafeCast.toUint96(bondFactor_);
  liquidation_.neutralPrice = SafeCast.toUint96(neutralPrice_);
+ liquidation_.thresholdPrice = thresholdPrice_;
 
  // increment number of active auctions
  ++auctions_.noOfAuctions;

src/libraries/external/TakerActions.sol

@@ -347,7 +347,6 @@ library TakerActions {
  liquidation,
  0,
  borrower_.t0Debt,
- borrower_.collateral,
  params_.inflator
  );
 
@@ -431,7 +430,6 @@ library TakerActions {
  liquidation,
  _priceAt(params_.index),
  borrower_.t0Debt,
- borrower_.collateral,
  params_.inflator
  );
 
@@ -683,15 +681,13 @@ library TakerActions {
  * @param liquidation_ Liquidation struct holding auction details.
  * @param bucketPrice_ Price of the bucket, or 0 for non-bucket takes.
  * @param t0Debt_ Borrower t0 debt.
- * @param collateral_ Borrower collateral.
  * @param inflator_ The pool's inflator, used to calculate borrower debt.
  * @return vars The prepared vars for take action.
  */
  function _prepareTake(
  Liquidation memory liquidation_,
  uint256 bucketPrice_,
  uint256 t0Debt_,
- uint256 collateral_,
  uint256 inflator_
  ) internal view returns (TakeLocalVars memory vars) {
 
@@ -708,8 +704,7 @@ library TakerActions {
  vars.bucketPrice = bucketPrice_;
  vars.bondFactor = liquidation_.bondFactor;
  vars.bpf = _bpf(
- vars.borrowerDebt,
- collateral_,
+ liquidation_.thresholdPrice,
  neutralPrice,
  liquidation_.bondFactor,
  bucketPrice_ == 0 ? vars.auctionPrice : bucketPrice_

src/libraries/helpers/PoolHelper.sol

@@ -400,32 +400,28 @@ import { Maths } from '../internal/Maths.sol';
  /**
  * @notice Calculates bond penalty factor.
  * @dev Called in kick and take.
- * @param debt_ Borrower debt.
- * @param collateral_ Borrower collateral.
- * @param neutralPrice_ `NP` of auction.
- * @param bondFactor_ Factor used to determine bondSize.
- * @param auctionPrice_ Auction price at the time of call or, for bucket takes, bucket price.
- * @return bpf_ Factor used in determining bond `reward` (positive) or `penalty` (negative).
+ * @param thresholdPrice_ Borrower tp at time of kick.
+ * @param neutralPrice_ `NP` of auction.
+ * @param bondFactor_ Factor used to determine bondSize.
+ * @param auctionPrice_ Auction price at the time of call or, for bucket takes, bucket price.
+ * @return bpf_ Factor used in determining bond `reward` (positive) or `penalty` (negative).
  */
  function _bpf(
- uint256 debt_,
- uint256 collateral_,
+ uint256 thresholdPrice_,
  uint256 neutralPrice_,
  uint256 bondFactor_,
  uint256 auctionPrice_
  ) pure returns (int256) {
- int256 thresholdPrice = int256(Maths.wdiv(debt_, collateral_));
-
  int256 sign;
- if (thresholdPrice < int256(neutralPrice_)) {
+ if (thresholdPrice_ < neutralPrice_) {
  // BPF = BondFactor * min(1, max(-1, (neutralPrice - price) / (neutralPrice - thresholdPrice)))
  sign = Maths.minInt(
  1e18,
  Maths.maxInt(
  -1 * 1e18,
  PRBMathSD59x18.div(
  int256(neutralPrice_) - int256(auctionPrice_),
- int256(neutralPrice_) - thresholdPrice
+ int256(neutralPrice_) - int256(thresholdPrice_)
  )
  )
  );

tests/forge/unit/Auctions.t.sol

@@ -15,12 +15,12 @@ contract AuctionsTest is DSTestPlus {
  uint256 neutralPrice = 15 * 1e18;
  uint256 bondFactor = 0.1 * 1e18;
 
- assertEq(_bpf(debt, collateral, neutralPrice, bondFactor, price), 0.1 * 1e18);
- assertEq(_bpf(9000 * 1e18, collateral, neutralPrice, bondFactor, price), 0.083333333333333333 * 1e18);
- assertEq(_bpf(debt, collateral, neutralPrice, bondFactor, 9.5 * 1e18), 0.1 * 1e18);
- assertEq(_bpf(9000 * 1e18, collateral, neutralPrice, bondFactor, 9.5 * 1e18), 0.091666666666666667 * 1e18);
- assertEq(_bpf(9000 * 1e18, collateral, 10 * 1e18, bondFactor, 10.5 * 1e18), -0.05 * 1e18);
- assertEq(_bpf(debt, collateral, 5 * 1e18, bondFactor, 10.5 * 1e18), -0.1 * 1e18);
+ assertEq(_bpf(Maths.wdiv(debt, collateral), neutralPrice, bondFactor, price), 0.1 * 1e18);
+ assertEq(_bpf(Maths.wdiv(9000 * 1e18, collateral), neutralPrice, bondFactor, price), 0.083333333333333333 * 1e18);
+ assertEq(_bpf(Maths.wdiv(debt, collateral), neutralPrice, bondFactor, 9.5 * 1e18), 0.1 * 1e18);
+ assertEq(_bpf(Maths.wdiv(9000 * 1e18, collateral), neutralPrice, bondFactor, 9.5 * 1e18), 0.091666666666666667 * 1e18);
+ assertEq(_bpf(Maths.wdiv(9000 * 1e18, collateral), 10 * 1e18, bondFactor, 10.5 * 1e18), -0.05 * 1e18);
+ assertEq(_bpf(Maths.wdiv(debt, collateral), 5 * 1e18, bondFactor, 10.5 * 1e18), -0.1 * 1e18);
  }
 
  /**

tests/forge/unit/ERC20Pool/ERC20PoolLiquidationsArbTake.t.sol

@@ -281,10 +281,10 @@ contract ERC20PoolLiquidationsArbTakeTest is ERC20HelperContract {
  index: _i9_91,
  collateralArbed: 2 * 1e18,
  quoteTokenAmount: 18.919873153126569032 * 1e18,
- bondChange: 0.258201596617264198 * 1e18,
+ bondChange: 0.258144802096036104 * 1e18,
  isReward: true,
  lpAwardTaker: 0.909749138101538138 * 1e18,
- lpAwardKicker: 0.256861203198864400 * 1e18
+ lpAwardKicker: 0.256804703513158056 * 1e18
  });
 
  _assertLenderLpBalance({
@@ -296,27 +296,27 @@ contract ERC20PoolLiquidationsArbTakeTest is ERC20HelperContract {
  _assertLenderLpBalance({
  lender: _lender,
  index: _i9_91,
- lpBalance: 2_000.256861203198864400 * 1e18, // rewarded with LP in bucket
+ lpBalance: 2_000.256804703513158056 * 1e18, // rewarded with LP in bucket
  depositTime: _startTime + 100 days + 6.5 hours
  });
  _assertBucket({
  index: _i9_91,
- lpBalance: 2_001.166610341300402538 * 1e18,
+ lpBalance: 2_001.166553841614696194 * 1e18,
  collateral: 2 * 1e18,
- deposit: 1_991.775042137166357167 * 1e18,
+ deposit: 1_991.774985342645129073 * 1e18,
  exchangeRate: 1.005218356846837832 * 1e18
  });
  // reserves should remain the same after arb take
  _assertReserveAuction({
- reserves: 24.332908342912459160 * 1e18,
+ reserves: 24.332979336063994265 * 1e18,
  claimableReserves :  0,
  claimableReservesRemaining: 0,
  auctionPrice: 0,
  timeRemaining: 0
  });
  _assertBorrower({
  borrower: _borrower,
- borrowerDebt: 0.909519324691559946 * 1e18,
+ borrowerDebt: 0.909533523321866957 * 1e18,
  borrowerCollateral: 0,
  borrowert0Np: 0,
  borrowerCollateralization: 0
@@ -332,7 +332,7 @@ contract ERC20PoolLiquidationsArbTakeTest is ERC20HelperContract {
  referencePrice: 11.249823884323541351 * 1e18,
  totalBondEscrowed: 0.296536979149981005 * 1e18,
  auctionPrice: 9.459936576563284516 * 1e18,
- debtInAuction: 0.909519324691559946 * 1e18,
+ debtInAuction: 0.909533523321866957 * 1e18,
  thresholdPrice: 0,
  neutralPrice: 11.249823884323541351 * 1e18
  })

tests/forge/unit/ERC20Pool/ERC20PoolLiquidationsTake.t.sol

@@ -743,7 +743,7 @@ contract ERC20PoolLiquidationsTakeTest is ERC20HelperContract {
  from: _lender,
  borrower: _borrower2,
  maxCollateral: 577 * 1e18,
- bondChange: 27.337468146252670459 * 1e18,
+ bondChange: 27.331814713911545819 * 1e18,
  givenAmount: 6_281.628773838729840580 * 1e18,
  collateralTaken: 577 * 1e18,
  isReward: true
@@ -755,23 +755,23 @@ contract ERC20PoolLiquidationsTakeTest is ERC20HelperContract {
  borrower: _borrower2,
  active: true,
  kicker: _lender,
- bondSize: 176.453206233100261662 * 1e18,
+ bondSize: 176.447552800759137022 * 1e18,
  bondFactor: 0.015180339887498948 * 1e18,
  kickTime: block.timestamp - 22000 seconds,
  referencePrice: 11.314108592233961587 * 1e18,
- totalBondEscrowed: 176.453206233100261662 * 1e18,
+ totalBondEscrowed: 176.447552800759137022 * 1e18,
  auctionPrice: 10.886704980656377540 * 1e18,
- debtInAuction: 3_653.993019025148320626 * 1e18,
- thresholdPrice: 8.638281368853778535 * 1e18,
+ debtInAuction: 3_653.994432383233602314 * 1e18,
+ thresholdPrice: 8.638284710125847759 * 1e18,
  neutralPrice: 11.314108592233961587 * 1e18
  })
  );
  _assertBorrower({
  borrower: _borrower2,
- borrowerDebt: 3_653.993019025148320626 * 1e18,
+ borrowerDebt: 3_653.994432383233602314 * 1e18,
  borrowerCollateral: 423.000000000000000000 * 1e18,
- borrowert0Np: 9.813927120521769770 * 1e18,
- borrowerCollateralization: 1.136655711572588218 * 1e18
+ borrowert0Np: 9.813930916531551927 * 1e18,
+ borrowerCollateralization: 1.136655271916324406 * 1e18
  });
  }
 
@@ -1129,9 +1129,9 @@ contract ERC20PoolLiquidationsTakeTest is ERC20HelperContract {
  from: _lender,
  borrower: _borrower2,
  maxCollateral: 1_001 * 1e18,
- bondChange: 43.529168844258845077 * 1e18,
- givenAmount: 10_002.172770738542860841 * 1e18,
- collateralTaken: 918.751154597329341626 * 1e18,
+ bondChange: 43.520176912520187399 * 1e18,
+ givenAmount: 10_002.175062202988939757 * 1e18,
+ collateralTaken: 918.751365080156804231 * 1e18,
  isReward: true
  });
 
@@ -1145,7 +1145,7 @@ contract ERC20PoolLiquidationsTakeTest is ERC20HelperContract {
  bondFactor: 0,
  kickTime: 0,
  referencePrice: 0,
- totalBondEscrowed: 192.644906931106436280 * 1e18,
+ totalBondEscrowed: 192.635914999367778602 * 1e18,
  auctionPrice: 0,
  debtInAuction: 0,
  thresholdPrice: 0,
@@ -1155,7 +1155,7 @@ contract ERC20PoolLiquidationsTakeTest is ERC20HelperContract {
  _assertBorrower({
  borrower: _borrower2,
  borrowerDebt: 0,
- borrowerCollateral: 81.248845402670658374 * 1e18,
+ borrowerCollateral: 81.248634919843195769 * 1e18,
  borrowert0Np: 0,
  borrowerCollateralization: 1 * 1e18
  });

tests/forge/unit/ERC721Pool/ERC721PoolLiquidationsSettleAuction.t.sol

@@ -686,12 +686,12 @@ contract ERC721PoolLiquidationsSettleAuctionTest is ERC721HelperContract {
  borrower: _borrower2,
  kicker: _lender,
  index: 2500,
- collateralArbed: 2.655448316828858737 * 1e18,
- quoteTokenAmount: 10_259.734490617083440664 * 1e18,
- bondChange: 0.156330289779736161 * 1e18,
+ collateralArbed: 2.655448319814158671 * 1e18,
+ quoteTokenAmount: 10_259.734502151250575171 * 1e18,
+ bondChange: 0.156285028574074978 * 1e18,
  isReward: true,
  lpAwardTaker: 0,
- lpAwardKicker: 0.094077964443835904 * 1e18
+ lpAwardKicker: 0.094050726714648058 * 1e18
  });
  _assertCollateralInvariants();
  _assertBorrower({
@@ -722,9 +722,9 @@ contract ERC721PoolLiquidationsSettleAuctionTest is ERC721HelperContract {
  // lender removes collateral
  _assertBucket({
  index: 2500,
- lpBalance: 8_000.094077964443835904 * 1e18,
- collateral: 2.655448316828858737 * 1e18,
- deposit: 3_034.101455631189732489 * 1e18,
+ lpBalance: 8_000.094050726714648058 * 1e18,
+ collateral: 2.655448319814158671 * 1e18,
+ deposit: 3_034.101398835816938926 * 1e18,
  exchangeRate: 1.661709951994811681 * 1e18
  });
  _addLiquidityNoEventCheck({
@@ -734,10 +734,10 @@ contract ERC721PoolLiquidationsSettleAuctionTest is ERC721HelperContract {
  });
  _assertBucket({
  index: 2569,
- lpBalance: 10_943.614016738084826008 * 1e18,
- collateral: 0.344551683171141263 * 1e18,
+ lpBalance: 10_943.614008562327749549 * 1e18,
+ collateral: 0.344551680185841329 * 1e18,
  deposit: 10_000.000000000000000000 * 1e18,
- exchangeRate: 1 * 1e18
+ exchangeRate: 1.000000000000000001 * 1e18
  });
  removalIndexes[0] = 2500;
  removalIndexes[1] = 2569;
@@ -751,25 +751,25 @@ contract ERC721PoolLiquidationsSettleAuctionTest is ERC721HelperContract {
  });
  _assertBucket({
  index: 2500,
- lpBalance: 1_825.891126179319554280 * 1e18,
+ lpBalance: 1_825.891092000446926490 * 1e18,
  collateral: 0,
- deposit: 3_034.101455631189732489 * 1e18,
+ deposit: 3_034.101398835816938926 * 1e18,
  exchangeRate: 1.661709951994811681 * 1e18
  });
  _assertBucket({
  index: 2569,
- lpBalance: 10_000.000000000000000002 * 1e18,
+ lpBalance: 9_999.999999999999999995 * 1e18,
  collateral: 0,
  deposit: 10_000.000000000000000000 * 1e18,
- exchangeRate: 1 * 1e18
+ exchangeRate: 1.000000000000000001 * 1e18
  });
  // borrower 2 redeems LP for quote token
  _removeAllLiquidity({
  from: _borrower2,
- amount: 943.614016738084826005 * 1e18,
+ amount: 943.614008562327749554 * 1e18,
  index: 2569,
  newLup: MAX_PRICE,
- lpRedeem: 943.614016738084826006 * 1e18
+ lpRedeem: 943.614008562327749554 * 1e18
  });
  }