Update black swan event detection for cryptonomex#338

libraries/chain/db_maint.cpp

@@ -769,6 +769,7 @@ void database::process_bids( const asset_bitasset_data_object& bad )
 void update_and_match_call_orders( database& db )
 {
  // Update call_price
+ wlog( "Updating all call orders for hardfork core-343 at block ${n}", ("n",db.head_block_num()) );
  asset_id_type current_asset;
  const asset_bitasset_data_object* abd = nullptr;
  // by_collateral index won't change after call_price updated, so it's safe to iterate
@@ -796,6 +797,7 @@ void update_and_match_call_orders( database& db )
  // be here, next_maintenance_time should have been updated already
  db.check_call_orders( a, true, false ); // allow black swan, and call orders are taker
  }
+ wlog( "Done updating all call orders for hardfork core-343 at block ${n}", ("n",db.head_block_num()) );
 }
 
 void database::perform_chain_maintenance(const signed_block& next_block, const global_property_object& global_props)

libraries/chain/db_market.cpp

@@ -402,6 +402,8 @@ bool database::apply_order(const limit_order_object& new_order_object, bool allo
  // so a new order in the same direction with the call order won't trigger a black swan event.
  // 3. calling is one direction. if the new limit order is on the opposite direction,
  // no matter if matches with the call, it won't trigger a black swan event.
+ // (if a match at MSSP caused a black swan event, it means the call order is already undercollateralized,
+ // which should trigger a black swan event earlier.)
  //
  // Since it won't trigger a black swan, no need to check here.
 

libraries/chain/db_update.cpp

@@ -209,6 +209,20 @@ bool database::check_for_blackswan( const asset_object& mia, bool enable_black_s
  const call_order_index& call_index = get_index_type<call_order_index>();
  const auto& call_price_index = call_index.indices().get<by_price>();
 
+ auto call_min = price::min( bitasset.options.short_backing_asset, mia.id );
+ auto call_max = price::max( bitasset.options.short_backing_asset, mia.id );
+ auto call_itr = call_price_index.lower_bound( call_min );
+ auto call_end = call_price_index.upper_bound( call_max );
+
+ if( call_itr == call_end ) return false; // no call orders
+
+ price highest = settle_price;
+
+ auto maint_time = get_dynamic_global_properties().next_maintenance_time;
+ if( maint_time > HARDFORK_CORE_338_TIME )
+ // due to #338, we won't check for black swan on incoming limit order, so need to check with MSSP here
+ highest = bitasset.current_feed.max_short_squeeze_price();
+
  const limit_order_index& limit_index = get_index_type<limit_order_index>();
  const auto& limit_price_index = limit_index.indices().get<by_price>();
 
@@ -217,41 +231,35 @@ bool database::check_for_blackswan( const asset_object& mia, bool enable_black_s
  // stop when limit orders are selling too little USD for too much CORE
  auto lowest_possible_bid = price::min( mia.id, bitasset.options.short_backing_asset );
 
- assert( highest_possible_bid.base.asset_id == lowest_possible_bid.base.asset_id );
+ FC_ASSERT( highest_possible_bid.base.asset_id == lowest_possible_bid.base.asset_id );
  // NOTE limit_price_index is sorted from greatest to least
  auto limit_itr = limit_price_index.lower_bound( highest_possible_bid );
  auto limit_end = limit_price_index.upper_bound( lowest_possible_bid );
 
- auto call_min = price::min( bitasset.options.short_backing_asset, mia.id );
- auto call_max = price::max( bitasset.options.short_backing_asset, mia.id );
- auto call_itr = call_price_index.lower_bound( call_min );
- auto call_end = call_price_index.upper_bound( call_max );
-
- if( call_itr == call_end ) return false; // no call orders
-
- price highest = settle_price;
  if( limit_itr != limit_end ) {
- assert( settle_price.base.asset_id == limit_itr->sell_price.base.asset_id );
- highest = std::max( limit_itr->sell_price, settle_price );
+ FC_ASSERT( highest.base.asset_id == limit_itr->sell_price.base.asset_id );
+ highest = std::max( limit_itr->sell_price, highest );
  }
 
- // FIXME
- // possible BUG: position with lowest call_price doesn't always have least collateral
- // related to https://github.com/bitshares/bitshares-core/issues/343
  auto least_collateral = call_itr->collateralization();
  if( ~least_collateral >= highest ) 
  {
+ wdump( (*call_itr) );
  elog( "Black Swan detected: \n"
  " Least collateralized call: ${lc} ${~lc}\n"
  // " Highest Bid: ${hb} ${~hb}\n"
- " Settle Price: ${sp} ${~sp}\n"
- " Max: ${h} ${~h}\n",
+ " Settle Price: ${~sp} ${sp}\n"
+ " Max: ${~h} ${h}\n",
  ("lc",least_collateral.to_real())("~lc",(~least_collateral).to_real())
  // ("hb",limit_itr->sell_price.to_real())("~hb",(~limit_itr->sell_price).to_real())
  ("sp",settle_price.to_real())("~sp",(~settle_price).to_real())
  ("h",highest.to_real())("~h",(~highest).to_real()) );
  FC_ASSERT( enable_black_swan, "Black swan was detected during a margin update which is not allowed to trigger a blackswan" );
- globally_settle_asset(mia, ~least_collateral );
+ if( maint_time > HARDFORK_CORE_338_TIME && ~least_collateral <= settle_price )
+ // globol settle at feed price if possible
+ globally_settle_asset(mia, settle_price );
+ else
+ globally_settle_asset(mia, ~least_collateral );
  return true;
  } 
  return false;