Merge pull request #838 from bitshares/bsip38-call-target-cr

BSIP38 add target_cr option to call order

libraries/chain/CMakeLists.txt

@@ -84,6 +84,7 @@ add_library( graphene_chain
              account_object.cpp
              asset_object.cpp
              fba_object.cpp
+             market_object.cpp
              proposal_object.cpp
              vesting_balance_object.cpp
 

libraries/chain/db_market.cpp

@@ -464,16 +464,23 @@ bool database::apply_order(const limit_order_object& new_order_object, bool allo
          // check if there are margin calls
          const auto& call_price_idx = get_index_type<call_order_index>().indices().get<by_price>();
          auto call_min = price::min( recv_asset_id, sell_asset_id );
-         auto call_itr = call_price_idx.lower_bound( call_min );
-         // feed protected https://github.com/cryptonomex/graphene/issues/436
-         auto call_end = call_price_idx.upper_bound( ~sell_abd->current_feed.settlement_price );
-         while( !finished && call_itr != call_end )
+         while( !finished )
          {
-            auto old_call_itr = call_itr;
-            ++call_itr; // would be safe, since we'll end the loop if a call order is partially matched
-            // match returns 2 when only the old order was fully filled. In this case, we keep matching; otherwise, we stop.
+            // assume hard fork core-343 and core-625 will take place at same time, always check call order with least call_price
+            auto call_itr = call_price_idx.lower_bound( call_min );
+            if( call_itr == call_price_idx.end()
+                  || call_itr->debt_type() != sell_asset_id
+                  // feed protected https://github.com/cryptonomex/graphene/issues/436
+                  || call_itr->call_price > ~sell_abd->current_feed.settlement_price )
+               break;
             // assume hard fork core-338 and core-625 will take place at same time, not checking HARDFORK_CORE_338_TIME here.
-            finished = ( match( new_order_object, *old_call_itr, call_match_price ) != 2 );
+            int match_result = match( new_order_object, *call_itr, call_match_price,
+                                      sell_abd->current_feed.settlement_price,
+                                      sell_abd->current_feed.maintenance_collateral_ratio );
+            // match returns 1 or 3 when the new order was fully filled. In this case, we stop matching; otherwise keep matching.
+            // since match can return 0 due to BSIP38 (hard fork core-834), we no longer only check if the result is 2.
+            if( match_result == 1 || match_result == 3 )
+               finished = true;
          }
       }
    }
@@ -574,7 +581,8 @@ int database::match( const limit_order_object& usd, const limit_order_object& co
    return result;
 }
 
-int database::match( const limit_order_object& bid, const call_order_object& ask, const price& match_price )
+int database::match( const limit_order_object& bid, const call_order_object& ask, const price& match_price,
+                     const price& feed_price, const uint16_t maintenance_collateral_ratio )
 {
    FC_ASSERT( bid.sell_asset_id() == ask.debt_type() );
    FC_ASSERT( bid.receive_asset_id() == ask.collateral_type() );
@@ -583,16 +591,25 @@ int database::match( const limit_order_object& bid, const call_order_object& ask
    auto maint_time = get_dynamic_global_properties().next_maintenance_time;
    // TODO remove when we're sure it's always false
    bool before_core_hardfork_184 = ( maint_time <= HARDFORK_CORE_184_TIME ); // something-for-nothing
+   // TODO remove when we're sure it's always false
    bool before_core_hardfork_342 = ( maint_time <= HARDFORK_CORE_342_TIME ); // better rounding
+   // TODO remove when we're sure it's always false
+   bool before_core_hardfork_834 = ( maint_time <= HARDFORK_CORE_834_TIME ); // target collateral ratio option
    if( before_core_hardfork_184 )
       ilog( "match(limit,call) is called before hardfork core-184 at block #${block}", ("block",head_block_num()) );
    if( before_core_hardfork_342 )
       ilog( "match(limit,call) is called before hardfork core-342 at block #${block}", ("block",head_block_num()) );
+   if( before_core_hardfork_834 )
+      ilog( "match(limit,call) is called before hardfork core-834 at block #${block}", ("block",head_block_num()) );
 
    bool cull_taker = false;
 
    asset usd_for_sale = bid.amount_for_sale();
-   asset usd_to_buy   = ask.get_debt();
+   // TODO if we're sure `before_core_hardfork_834` is always false, remove the check
+   asset usd_to_buy   = ( before_core_hardfork_834 ?
+                          ask.get_debt() :
+                          asset( ask.get_max_debt_to_cover( match_price, feed_price, maintenance_collateral_ratio ),
+                                 ask.debt_type() ) );
 
    asset call_pays, call_receives, order_pays, order_receives;
    if( usd_to_buy > usd_for_sale )
@@ -637,7 +654,8 @@ int database::match( const limit_order_object& bid, const call_order_object& ask
    int result = 0;
    result |= fill_limit_order( bid, order_pays, order_receives, cull_taker, match_price, false ); // the limit order is taker
    result |= fill_call_order( ask, call_pays, call_receives, match_price, true ) << 1;      // the call order is maker
-   FC_ASSERT( result != 0 );
+   // result can be 0 when call order has target_collateral_ratio option set.
+
    return result;
 }
 
@@ -834,14 +852,14 @@ bool database::fill_call_order( const call_order_object& order, const asset& pay
       });
 
    const account_object& borrower = order.borrower(*this);
-   if( collateral_freed || pays.asset_id == asset_id_type() )
+   if( collateral_freed.valid() || pays.asset_id == asset_id_type() )
    {
       const account_statistics_object& borrower_statistics = borrower.statistics(*this);
-      if( collateral_freed )
+      if( collateral_freed.valid() )
          adjust_balance(borrower.get_id(), *collateral_freed);
 
       modify( borrower_statistics, [&]( account_statistics_object& b ){
-              if( collateral_freed && collateral_freed->amount > 0 && collateral_freed->asset_id == asset_id_type())
+              if( collateral_freed.valid() && collateral_freed->amount > 0 && collateral_freed->asset_id == asset_id_type() )
                 b.total_core_in_orders -= collateral_freed->amount;
               if( pays.asset_id == asset_id_type() )
                 b.total_core_in_orders -= pays.amount;
@@ -854,7 +872,7 @@ bool database::fill_call_order( const call_order_object& order, const asset& pay
    push_applied_operation( fill_order_operation( order.id, order.borrower, pays, receives,
                                                  asset(0, pays.asset_id), fill_price, is_maker ) );
 
-   if( collateral_freed )
+   if( collateral_freed.valid() )
       remove( order );
 
    return collateral_freed.valid();
@@ -950,6 +968,7 @@ bool database::check_call_orders(const asset_object& mia, bool enable_black_swan
     bool before_core_hardfork_343 = ( maint_time <= HARDFORK_CORE_343_TIME ); // update call_price after partially filled
     bool before_core_hardfork_453 = ( maint_time <= HARDFORK_CORE_453_TIME ); // multiple matching issue
     bool before_core_hardfork_606 = ( maint_time <= HARDFORK_CORE_606_TIME ); // feed always trigger call
+    bool before_core_hardfork_834 = ( maint_time <= HARDFORK_CORE_834_TIME ); // target collateral ratio option
 
     while( !check_for_blackswan( mia, enable_black_swan ) && call_itr != call_end )
     {
@@ -988,6 +1007,11 @@ bool database::check_call_orders(const asset_object& mia, bool enable_black_swan
           return true;
        }
 
+       if( !before_core_hardfork_834 )
+          usd_to_buy.amount = call_itr->get_max_debt_to_cover( match_price,
+                                                               bitasset.current_feed.settlement_price,
+                                                               bitasset.current_feed.maintenance_collateral_ratio );
+
        asset call_pays, call_receives, order_pays, order_receives;
        if( usd_to_buy > usd_for_sale )
        {  // fill order
@@ -1033,7 +1057,7 @@ bool database::check_call_orders(const asset_object& mia, bool enable_black_swan
           else
              order_receives = usd_to_buy.multiply_and_round_up( match_price ); // round up, in favor of limit order
 
-          filled_call    = true;
+          filled_call    = true; // this is safe, since BSIP38 (hard fork core-834) depends on BSIP31 (hard fork core-343)
 
           if( usd_to_buy == usd_for_sale )
              filled_limit = true;

libraries/chain/hardfork.d/CORE_834.hf

@@ -0,0 +1,4 @@
+// bitshares-core issue #834 "BSIP38: add target CR option to short positions"
+#ifndef HARDFORK_CORE_834_TIME
+#define HARDFORK_CORE_834_TIME (fc::time_point_sec( 1600000000 ))
+#endif

libraries/chain/include/graphene/chain/database.hpp

@@ -366,7 +366,8 @@ namespace graphene { namespace chain {
           */
          ///@{
          int match( const limit_order_object& taker, const limit_order_object& maker, const price& trade_price );
-         int match( const limit_order_object& taker, const call_order_object& maker, const price& trade_price );
+         int match( const limit_order_object& taker, const call_order_object& maker, const price& trade_price,
+                    const price& feed_price, const uint16_t maintenance_collateral_ratio );
          /// @return the amount of asset settled
          asset match(const call_order_object& call,
                    const force_settlement_object& settle,

libraries/chain/include/graphene/chain/market_object.hpp

@@ -125,12 +125,17 @@ class call_order_object : public abstract_object<call_order_object>
       share_type       debt;        ///< call_price.quote.asset_id, access via get_debt
       price            call_price;  ///< Collateral / Debt
 
+      optional<uint16_t> target_collateral_ratio; ///< maximum CR to maintain when selling collateral on margin call
+
       pair<asset_id_type,asset_id_type> get_market()const
       {
          auto tmp = std::make_pair( call_price.base.asset_id, call_price.quote.asset_id );
          if( tmp.first > tmp.second ) std::swap( tmp.first, tmp.second );
          return tmp;
       }
+
+      /// Calculate maximum quantity of debt to cover to satisfy @ref target_collateral_ratio.
+      share_type get_max_debt_to_cover( price match_price, price feed_price, const uint16_t maintenance_collateral_ratio )const;
 };
 
 /**
@@ -259,7 +264,7 @@ FC_REFLECT_DERIVED( graphene::chain::limit_order_object,
                   )
 
 FC_REFLECT_DERIVED( graphene::chain::call_order_object, (graphene::db::object),
-                    (borrower)(collateral)(debt)(call_price) )
+                    (borrower)(collateral)(debt)(call_price)(target_collateral_ratio) )
 
 FC_REFLECT_DERIVED( graphene::chain::force_settlement_object,
                     (graphene::db::object),

libraries/chain/include/graphene/chain/protocol/market.hpp

@@ -23,6 +23,7 @@
  */
 #pragma once
 #include <graphene/chain/protocol/base.hpp>
+#include <graphene/chain/protocol/ext.hpp>
 
 namespace graphene { namespace chain { 
 
@@ -94,8 +95,6 @@ namespace graphene { namespace chain {
       void            validate()const;
    };
 
-
-
    /**
     *  @ingroup operations
     *
@@ -110,13 +109,25 @@ namespace graphene { namespace chain {
     */
    struct call_order_update_operation : public base_operation
    {
+      /**
+       * Options to be used in @ref call_order_update_operation.
+       *
+       * @note this struct can be expanded by adding more options in the end.
+       */
+      struct options_type
+      {
+         optional<uint16_t> target_collateral_ratio; ///< maximum CR to maintain when selling collateral on margin call
+      };
+
       /** this is slightly more expensive than limit orders, this pricing impacts prediction markets */
       struct fee_parameters_type { uint64_t fee = 20 * GRAPHENE_BLOCKCHAIN_PRECISION; };
 
       asset               fee;
       account_id_type     funding_account; ///< pays fee, collateral, and cover
       asset               delta_collateral; ///< the amount of collateral to add to the margin position
       asset               delta_debt; ///< the amount of the debt to be paid off, may be negative to issue new debt
+
+      typedef extension<options_type> extensions_type; // note: this will be jsonified to {...} but no longer [...]
       extensions_type     extensions;
 
       account_id_type fee_payer()const { return funding_account; }
@@ -214,6 +225,10 @@ FC_REFLECT( graphene::chain::bid_collateral_operation::fee_parameters_type, (fee
 FC_REFLECT( graphene::chain::fill_order_operation::fee_parameters_type,  ) // VIRTUAL
 FC_REFLECT( graphene::chain::execute_bid_operation::fee_parameters_type,  ) // VIRTUAL
 
+FC_REFLECT( graphene::chain::call_order_update_operation::options_type, (target_collateral_ratio) )
+
+FC_REFLECT_TYPENAME( graphene::chain::call_order_update_operation::extensions_type )
+
 FC_REFLECT( graphene::chain::limit_order_create_operation,(fee)(seller)(amount_to_sell)(min_to_receive)(expiration)(fill_or_kill)(extensions))
 FC_REFLECT( graphene::chain::limit_order_cancel_operation,(fee)(fee_paying_account)(order)(extensions) )
 FC_REFLECT( graphene::chain::call_order_update_operation, (fee)(funding_account)(delta_collateral)(delta_debt)(extensions) )

libraries/chain/market_evaluator.cpp

@@ -157,6 +157,11 @@ void_result call_order_update_evaluator::do_evaluate(const call_order_update_ope
 { try {
    database& d = db();
 
+   // TODO: remove this check and the assertion after hf_834
+   if( d.get_dynamic_global_properties().next_maintenance_time <= HARDFORK_CORE_834_TIME )
+      FC_ASSERT( !o.extensions.value.target_collateral_ratio.valid(),
+                 "Can not set target_collateral_ratio in call_order_update_operation before hardfork 834." );
+
    _paying_account = &o.funding_account(d);
    _debt_asset     = &o.delta_debt.asset_id(d);
    FC_ASSERT( _debt_asset->is_market_issued(), "Unable to cover ${sym} as it is not a collateralized asset.",
@@ -222,6 +227,8 @@ void_result call_order_update_evaluator::do_apply(const call_order_update_operat
    optional<price> old_collateralization;
    optional<share_type> old_debt;
 
+   optional<uint16_t> new_target_cr = o.extensions.value.target_collateral_ratio;
+
    if( itr == call_idx.end() )
    {
       FC_ASSERT( o.delta_collateral.amount > 0 );
@@ -233,7 +240,7 @@ void_result call_order_update_evaluator::do_apply(const call_order_update_operat
          call.debt = o.delta_debt.amount;
          call.call_price = price::call_price(o.delta_debt, o.delta_collateral,
                                              _bitasset_data->current_feed.maintenance_collateral_ratio);
-
+         call.target_collateral_ratio = new_target_cr;
       });
    }
    else
@@ -243,13 +250,14 @@ void_result call_order_update_evaluator::do_apply(const call_order_update_operat
       old_debt = call_obj->debt;
 
       d.modify( *call_obj, [&]( call_order_object& call ){
-          call.collateral += o.delta_collateral.amount;
-          call.debt       += o.delta_debt.amount;
-          if( call.debt > 0 )
-          {
-             call.call_price  =  price::call_price(call.get_debt(), call.get_collateral(),
-                                                   _bitasset_data->current_feed.maintenance_collateral_ratio);
-          }
+         call.collateral += o.delta_collateral.amount;
+         call.debt       += o.delta_debt.amount;
+         if( call.debt > 0 )
+         {
+            call.call_price  =  price::call_price(call.get_debt(), call.get_collateral(),
+                                                  _bitasset_data->current_feed.maintenance_collateral_ratio);
+         }
+         call.target_collateral_ratio = new_target_cr;
       });
    }