pyra_margin/drift/

weights.rs

use std::cmp;

use pyra_types::SpotMarket;

use crate::error::{MathError, MathResult};

/// Drift spot market weight precision: 10_000 = 100%.
pub const SPOT_WEIGHT_PRECISION: u128 = 10_000;
/// Drift IMF factor precision.
pub const SPOT_IMF_PRECISION: u128 = 1_000_000;
/// Drift AMM reserve precision (used for size normalisation).
pub const AMM_RESERVE_PRECISION: u128 = 1_000_000_000;

/// Integer square root (floor) via Newton's method.
fn isqrt(n: u128) -> u128 {
    if n < 2 {
        return n;
    }
    let mut x = 1u128 << ((128u32.saturating_sub(n.leading_zeros()).saturating_add(1)) / 2);
    let mut y = x.checked_add(n.checked_div(x).unwrap_or(0)).unwrap_or(x) / 2;
    while y < x {
        x = y;
        y = x.checked_add(n.checked_div(x).unwrap_or(0)).unwrap_or(x) / 2;
    }
    x
}

/// Convert a token balance from native decimals to AMM_RESERVE_PRECISION (1e9).
pub fn to_amm_precision(balance: u128, token_decimals: u32) -> MathResult<u128> {
    let size_precision = 10u128
        .checked_pow(token_decimals)
        .ok_or(MathError::Overflow)?;

    if size_precision > AMM_RESERVE_PRECISION {
        let scale = size_precision
            .checked_div(AMM_RESERVE_PRECISION)
            .ok_or(MathError::Overflow)?;
        balance.checked_div(scale).ok_or(MathError::Overflow)
    } else {
        balance
            .checked_mul(AMM_RESERVE_PRECISION)
            .ok_or(MathError::Overflow)?
            .checked_div(size_precision)
            .ok_or(MathError::Overflow)
    }
}

/// Scales the initial asset weight down when total market deposits exceed a threshold.
///
/// Reference: Drift SDK `calculateScaledInitialAssetWeight` in `math/spotBalance.ts`.
pub fn calculate_scaled_initial_asset_weight(
    spot_market: &SpotMarket,
    oracle_price: u64,
) -> MathResult<u128> {
    let initial_asset_weight = spot_market.initial_asset_weight as u128;

    if spot_market.scale_initial_asset_weight_start == 0 {
        return Ok(initial_asset_weight);
    }

    let precision_decrease = 10u128
        .checked_pow(19u32.saturating_sub(spot_market.decimals))
        .ok_or(MathError::Overflow)?;

    let deposit_tokens = (spot_market.deposit_balance)
        .checked_mul(spot_market.cumulative_deposit_interest)
        .ok_or(MathError::Overflow)?
        .checked_div(precision_decrease)
        .ok_or(MathError::Overflow)?;

    let token_precision = 10u128
        .checked_pow(spot_market.decimals)
        .ok_or(MathError::Overflow)?;

    let deposits_value = deposit_tokens
        .checked_mul(oracle_price as u128)
        .ok_or(MathError::Overflow)?
        .checked_div(token_precision)
        .ok_or(MathError::Overflow)?;

    let threshold = spot_market.scale_initial_asset_weight_start as u128;
    if deposits_value < threshold {
        return Ok(initial_asset_weight);
    }

    initial_asset_weight
        .checked_mul(threshold)
        .ok_or(MathError::Overflow)?
        .checked_div(deposits_value)
        .ok_or(MathError::Overflow)
}

/// Applies IMF size discount to asset weight — larger deposits get less collateral credit.
///
/// Reference: Drift SDK `calculateSizeDiscountAssetWeight` in `math/margin.ts`.
pub fn calculate_size_discount_asset_weight(
    size_in_amm: u128,
    imf_factor: u32,
    asset_weight: u128,
) -> MathResult<u128> {
    if imf_factor == 0 {
        return Ok(asset_weight);
    }

    let size_times_10 = size_in_amm
        .checked_mul(10)
        .ok_or(MathError::Overflow)?
        .checked_add(1)
        .ok_or(MathError::Overflow)?;
    let size_sqrt = isqrt(size_times_10);

    let imf_numerator: u128 = SPOT_IMF_PRECISION
        .checked_add(
            SPOT_IMF_PRECISION
                .checked_div(10)
                .ok_or(MathError::Overflow)?,
        )
        .ok_or(MathError::Overflow)?;

    let numerator = imf_numerator
        .checked_mul(SPOT_WEIGHT_PRECISION)
        .ok_or(MathError::Overflow)?;

    let inner = size_sqrt
        .checked_mul(imf_factor as u128)
        .ok_or(MathError::Overflow)?
        .checked_div(100_000)
        .ok_or(MathError::Overflow)?;
    let denominator = SPOT_IMF_PRECISION
        .checked_add(inner)
        .ok_or(MathError::Overflow)?;

    let size_discount_weight = numerator
        .checked_div(denominator)
        .ok_or(MathError::Overflow)?;

    Ok(cmp::min(asset_weight, size_discount_weight))
}

/// Applies IMF size premium to liability weight — larger borrows need more margin.
///
/// Reference: Drift SDK `calculateSizePremiumLiabilityWeight` in `math/margin.ts`.
pub fn calculate_size_premium_liability_weight(
    size_in_amm: u128,
    imf_factor: u32,
    liability_weight: u128,
) -> MathResult<u128> {
    if imf_factor == 0 {
        return Ok(liability_weight);
    }

    let size_times_10 = size_in_amm
        .checked_mul(10)
        .ok_or(MathError::Overflow)?
        .checked_add(1)
        .ok_or(MathError::Overflow)?;
    let size_sqrt = isqrt(size_times_10);

    let lw_fifth = liability_weight.checked_div(5).ok_or(MathError::Overflow)?;
    let liability_weight_numerator = liability_weight
        .checked_sub(lw_fifth)
        .ok_or(MathError::Overflow)?;

    let denom = 100_000u128
        .checked_mul(SPOT_IMF_PRECISION)
        .ok_or(MathError::Overflow)?
        .checked_div(SPOT_WEIGHT_PRECISION)
        .ok_or(MathError::Overflow)?;

    let premium_term = size_sqrt
        .checked_mul(imf_factor as u128)
        .ok_or(MathError::Overflow)?
        .checked_div(denom)
        .ok_or(MathError::Overflow)?;

    let size_premium_weight = liability_weight_numerator
        .checked_add(premium_term)
        .ok_or(MathError::Overflow)?;

    Ok(cmp::max(liability_weight, size_premium_weight))
}

/// Calculate the effective initial asset weight for a position, applying both
/// scale-down (when market deposits are large) and IMF size discount.
pub fn calculate_asset_weight(
    token_amount: u128,
    oracle_price: u64,
    spot_market: &SpotMarket,
) -> MathResult<u128> {
    let scaled_weight = calculate_scaled_initial_asset_weight(spot_market, oracle_price)?;
    let size_in_amm = to_amm_precision(token_amount, spot_market.decimals)?;
    calculate_size_discount_asset_weight(size_in_amm, spot_market.imf_factor, scaled_weight)
}

/// Calculate the effective initial liability weight for a position, applying
/// IMF size premium.
pub fn calculate_liability_weight(
    token_amount: u128,
    spot_market: &SpotMarket,
) -> MathResult<u128> {
    let size_in_amm = to_amm_precision(token_amount, spot_market.decimals)?;
    calculate_size_premium_liability_weight(
        size_in_amm,
        spot_market.imf_factor,
        spot_market.initial_liability_weight as u128,
    )
}

/// Get a conservative oracle price for margin calculations.
///
/// For assets: use `min(oracle, twap5min)` — lower price = less collateral.
/// For liabilities: use `max(oracle, twap5min)` — higher price = larger debt.
///
/// The TWAP comes from `historical_oracle_data.last_oracle_price_twap5min` on the SpotMarket
/// and is in PRICE_PRECISION (1e6), same scale as `price_usdc_base_units`.
pub fn get_strict_price(price_usdc_base_units: u64, twap5min: i64, is_asset: bool) -> u64 {
    let twap = if twap5min > 0 {
        twap5min as u64
    } else {
        price_usdc_base_units
    };
    if is_asset {
        cmp::min(price_usdc_base_units, twap)
    } else {
        cmp::max(price_usdc_base_units, twap)
    }
}

#[cfg(test)]
#[allow(
    clippy::allow_attributes,
    clippy::allow_attributes_without_reason,
    clippy::unwrap_used,
    clippy::expect_used,
    clippy::panic,
    clippy::arithmetic_side_effects,
    reason = "test code"
)]
mod tests {
    use super::*;

    #[test]
    fn isqrt_basic_values() {
        assert_eq!(isqrt(0), 0);
        assert_eq!(isqrt(1), 1);
        assert_eq!(isqrt(4), 2);
        assert_eq!(isqrt(9), 3);
        assert_eq!(isqrt(10), 3);
        assert_eq!(isqrt(100), 10);
        assert_eq!(isqrt(10_000_000_000), 100_000);
    }

    #[test]
    fn size_discount_asset_weight_no_imf() {
        let result = calculate_size_discount_asset_weight(1_000_000_000, 0, 8_000).unwrap();
        assert_eq!(result, 8_000);
    }

    #[test]
    fn size_discount_asset_weight_with_imf() {
        let result = calculate_size_discount_asset_weight(1_000_000_000, 1000, 8_000).unwrap();
        assert_eq!(result, 8_000);

        let result =
            calculate_size_discount_asset_weight(1_000_000_000_000_000, 1000, 8_000).unwrap();
        assert!(result < 8_000, "Large position should have reduced weight");
    }

    #[test]
    fn size_premium_liability_weight_no_imf() {
        let result = calculate_size_premium_liability_weight(1_000_000_000, 0, 12_000).unwrap();
        assert_eq!(result, 12_000);
    }

    #[test]
    fn size_premium_liability_weight_with_imf() {
        let result = calculate_size_premium_liability_weight(1_000_000_000, 1000, 12_000).unwrap();
        assert_eq!(result, 12_000);

        let result =
            calculate_size_premium_liability_weight(1_000_000_000_000_000, 1000, 12_000).unwrap();
        assert!(
            result > 12_000,
            "Large position should have increased weight"
        );
    }

    #[test]
    fn strict_price_asset_uses_min() {
        assert_eq!(get_strict_price(1_000_000, 900_000, true), 900_000);
        assert_eq!(get_strict_price(1_000_000, 1_100_000, true), 1_000_000);
    }

    #[test]
    fn strict_price_liability_uses_max() {
        assert_eq!(get_strict_price(1_000_000, 900_000, false), 1_000_000);
        assert_eq!(get_strict_price(1_000_000, 1_100_000, false), 1_100_000);
    }

    #[test]
    fn strict_price_nonpositive_twap_falls_back() {
        assert_eq!(get_strict_price(1_000_000, 0, true), 1_000_000);
        assert_eq!(get_strict_price(1_000_000, -500, true), 1_000_000);
        assert_eq!(get_strict_price(1_000_000, 0, false), 1_000_000);
    }

    fn make_weight_market(
        initial_asset_weight: u32,
        scale_start: u64,
        decimals: u32,
        deposit_interest: u128,
        deposit_balance: u128,
    ) -> SpotMarket {
        SpotMarket {
            pubkey: vec![],
            market_index: 0,
            initial_asset_weight,
            initial_liability_weight: 0,
            imf_factor: 0,
            scale_initial_asset_weight_start: scale_start,
            decimals,
            cumulative_deposit_interest: deposit_interest,
            cumulative_borrow_interest: 0,
            deposit_balance,
            borrow_balance: 0,
            optimal_utilization: 0,
            optimal_borrow_rate: 0,
            max_borrow_rate: 0,
            min_borrow_rate: 0,
            insurance_fund: Default::default(),
            historical_oracle_data: Default::default(),
            oracle: None,
        }
    }

    #[test]
    fn scaled_initial_asset_weight_no_scaling() {
        let market = make_weight_market(8_000, 0, 0, 0, 0);
        let result = calculate_scaled_initial_asset_weight(&market, 1_000_000).unwrap();
        assert_eq!(result, 8_000);
    }

    #[test]
    fn scaled_initial_asset_weight_below_threshold() {
        let decimals = 6u32;
        let precision_decrease = 10u128.pow(19 - decimals);
        let market = make_weight_market(
            8_000,
            1_000_000_000_000,
            decimals,
            precision_decrease,
            500_000_000_000,
        );
        let result = calculate_scaled_initial_asset_weight(&market, 1_000_000).unwrap();
        assert_eq!(result, 8_000);
    }

    #[test]
    fn scaled_initial_asset_weight_above_threshold() {
        let decimals = 6u32;
        let precision_decrease = 10u128.pow(19 - decimals);
        let market = make_weight_market(
            8_000,
            500_000_000_000,
            decimals,
            precision_decrease,
            1_000_000_000_000,
        );
        let result = calculate_scaled_initial_asset_weight(&market, 1_000_000).unwrap();
        assert_eq!(result, 4_000);
    }

    #[test]
    fn to_amm_precision_decimals_6() {
        let result = to_amm_precision(1_000_000, 6).unwrap();
        assert_eq!(result, 1_000_000_000);
    }

    #[test]
    fn to_amm_precision_decimals_9() {
        let result = to_amm_precision(1_000_000_000, 9).unwrap();
        assert_eq!(result, 1_000_000_000);
    }

    #[test]
    fn to_amm_precision_decimals_18() {
        let result = to_amm_precision(1_000_000_000_000_000_000, 18).unwrap();
        assert_eq!(result, 1_000_000_000);
    }
}

#[cfg(test)]
#[allow(
    clippy::allow_attributes,
    clippy::allow_attributes_without_reason,
    clippy::unwrap_used,
    clippy::expect_used,
    clippy::panic,
    clippy::arithmetic_side_effects,
    reason = "test code"
)]
mod proptests {
    use super::*;
    use proptest::prelude::*;

    proptest! {
        #[test]
        fn isqrt_correct(n in 0u128..=1_000_000_000_000_000_000u128) {
            let root = isqrt(n);
            // root^2 <= n
            prop_assert!(root.checked_mul(root).unwrap() <= n);
            // (root+1)^2 > n
            let next = root + 1;
            prop_assert!(next.checked_mul(next).unwrap() > n);
        }

        #[test]
        fn size_discount_weight_le_base(
            size in 0u128..=1_000_000_000_000_000_000u128,
            imf in 0u32..=100_000u32,
            base_weight in 1u128..=20_000u128,
        ) {
            let result = calculate_size_discount_asset_weight(size, imf, base_weight).unwrap();
            prop_assert!(result <= base_weight, "discount weight {} > base {}", result, base_weight);
        }

        #[test]
        fn size_premium_weight_ge_base(
            size in 0u128..=1_000_000_000_000_000_000u128,
            imf in 0u32..=100_000u32,
            base_weight in 5u128..=20_000u128,
        ) {
            let result = calculate_size_premium_liability_weight(size, imf, base_weight).unwrap();
            prop_assert!(result >= base_weight, "premium weight {} < base {}", result, base_weight);
        }

        #[test]
        fn strict_price_asset_le_oracle(price in 1u64..=u64::MAX / 2, twap in 1i64..=i64::MAX / 2) {
            let result = get_strict_price(price, twap, true);
            prop_assert!(result <= price);
            prop_assert!(result <= twap as u64);
        }

        #[test]
        fn strict_price_liability_ge_oracle(price in 1u64..=u64::MAX / 2, twap in 1i64..=i64::MAX / 2) {
            let result = get_strict_price(price, twap, false);
            prop_assert!(result >= price && result >= twap as u64);
        }
    }
}