Fill price (#1689)

* Add more tests for fill price

* Refactor fillPrice

* Lint

* Better order of describe/ before blocks

* Keep the calcs in the method.
- not sure how to refactor it if I'm not suppose to break it out to methods 🤔

Author: 0xjocke

markets/perps-market/contracts/storage/AsyncOrder.sol

@@ -285,22 +285,12 @@ library AsyncOrder {
         return takerFee + makerFee;
     }
 
-    // TODO: refactor possibly
     function calculateFillPrice(
         int skew,
         uint skewScale,
         int size,
         uint price
     ) internal pure returns (uint) {
-        if (skewScale == 0) {
-            return price;
-        }
-
-        int pdBefore = skew.divDecimal(skewScale.toInt());
-        int pdAfter = (skew + size).divDecimal(skewScale.toInt());
-        int priceBefore = price.toInt() + (price.toInt().mulDecimal(pdBefore));
-        int priceAfter = price.toInt() + (price.toInt().mulDecimal(pdAfter));
-
         // How is the p/d-adjusted price calculated using an example:
         //
         // price      = $1200 USD (oracle)
@@ -328,6 +318,19 @@ library AsyncOrder {
         // fill_price = (price_before + price_after) / 2
         //            = (1200 + 1200.12) / 2
         //            = 1200.06
+        if (skewScale == 0) {
+            return price;
+        }
+        // calculate pd (premium/discount) before and after trade
+        int pdBefore = skew.divDecimal(skewScale.toInt());
+        int newSkew = skew + size;
+        int pdAfter = newSkew.divDecimal(skewScale.toInt());
+
+        // calculate price before and after trade with pd applied
+        int priceBefore = price.toInt() + (price.toInt().mulDecimal(pdBefore));
+        int priceAfter = price.toInt() + (price.toInt().mulDecimal(pdAfter));
+
+        // the fill price is the average of those prices
         return (priceBefore + priceAfter).toUint().divDecimal(DecimalMath.UNIT * 2);
     }
 }

markets/perps-market/test/integration/Market/PerpsMarketModule.test.ts

@@ -1,6 +1,9 @@
 import { ethers } from 'ethers';
 import assertBn from '@synthetixio/core-utils/src/utils/assertions/assert-bignumber';
 import { bn, bootstrapMarkets } from '../bootstrap';
+import { OpenPositionData, openPosition } from '../helpers';
+import { formatEther } from 'ethers/lib/utils';
+import { snapshotCheckpoint } from '@synthetixio/core-utils/utils/mocha/snapshot';
 
 describe('PerpsMarketModule', () => {
   const fixture = {
@@ -10,7 +13,7 @@ describe('PerpsMarketModule', () => {
     marketTokenPrice: bn(1000),
   };
 
-  const { systems, perpsMarkets, restore } = bootstrapMarkets({
+  const { systems, perpsMarkets, marketOwner, provider, trader2, keeper } = bootstrapMarkets({
     synthMarkets: [
       {
         name: 'Ether',
@@ -41,8 +44,6 @@ describe('PerpsMarketModule', () => {
   });
 
   describe('getMarketSummary', () => {
-    beforeEach(restore);
-
     it('should return all values successfully', async () => {
       const summary = await systems().PerpsMarket.getMarketSummary(marketId);
       assertBn.equal(summary.skew, bn(0));
@@ -53,14 +54,89 @@ describe('PerpsMarketModule', () => {
       assertBn.equal(summary.indexPrice, fixture.marketTokenPrice);
     });
   });
+
   describe('fillPrice', () => {
-    it('should return correct value when passing same as onchain price', async () => {
-      const price = await systems().PerpsMarket.fillPrice(marketId, bn(1), bn(1000));
-      assertBn.equal(price, bn(1000.05));
+    let commonOpenPositionProps: Pick<
+      OpenPositionData,
+      | 'systems'
+      | 'provider'
+      | 'trader'
+      | 'accountId'
+      | 'keeper'
+      | 'marketId'
+      | 'settlementStrategyId'
+    >;
+    before('identify common props', async () => {
+      commonOpenPositionProps = {
+        systems,
+        provider,
+        marketId: marketId,
+        trader: trader2(),
+        accountId: 2,
+        keeper: keeper(),
+        settlementStrategyId: bn(0),
+      };
+    });
+
+    before('add collateral', async () => {
+      await systems().PerpsMarket.connect(trader2()).modifyCollateral(2, 0, bn(10000000));
+    });
+    describe('skewScale 0', () => {
+      const restoreSkewScale = snapshotCheckpoint(provider);
+      before('set skewScale to 0', async () => {
+        await systems().PerpsMarket.connect(marketOwner()).setFundingParameters(marketId, 0, 0);
+      });
+      it('should return the index price', async () => {
+        const price = await systems().PerpsMarket.fillPrice(marketId, bn(1), bn(1000));
+        assertBn.equal(price, fixture.marketTokenPrice);
+      });
+      after('restore skewScale', restoreSkewScale);
     });
-    it('should return correct value when passing different price', async () => {
-      const price = await systems().PerpsMarket.fillPrice(marketId, bn(1), bn(1010));
-      assertBn.equal(price, bn(1010.0505));
+
+    const tests = [
+      {
+        marketSkew: 0,
+        sizeAndExpectedPrice: [
+          { size: 1, price: bn(1010), expectedPrice: bn(1010.0505) },
+          { size: -1, price: bn(1010), expectedPrice: bn(1009.9495) },
+        ],
+      },
+      {
+        marketSkew: 10,
+        sizeAndExpectedPrice: [
+          { size: 1, price: bn(1010), expectedPrice: bn(1011.0605) },
+          { size: -1, price: bn(1010), expectedPrice: bn(1010.9595) },
+          { size: -11, price: bn(1010), expectedPrice: bn(1010.4545) },
+        ],
+      },
+      {
+        marketSkew: -10,
+        sizeAndExpectedPrice: [
+          { size: 1, price: bn(1010), expectedPrice: bn(1009.0405) },
+          { size: -1, price: bn(1010), expectedPrice: bn(1008.9395) },
+          { size: 11, price: bn(1010), expectedPrice: bn(1009.5455) },
+        ],
+      },
+    ];
+    tests.forEach(({ marketSkew, sizeAndExpectedPrice }) => {
+      describe(`marketSkew ${marketSkew}`, () => {
+        const restoreMarketSkew = snapshotCheckpoint(provider);
+        before('create market skew', async () => {
+          if (marketSkew === 0) return;
+          await openPosition({
+            ...commonOpenPositionProps,
+            sizeDelta: bn(marketSkew),
+            price: fixture.marketTokenPrice,
+          });
+        });
+        sizeAndExpectedPrice.forEach(({ size, price, expectedPrice }) => {
+          it(`fillPrice for size ${size} and price ${formatEther(price)}`, async () => {
+            const fillPrice = await systems().PerpsMarket.fillPrice(marketId, bn(size), price);
+            assertBn.equal(fillPrice, expectedPrice);
+          });
+        });
+        after('restore market skew', restoreMarketSkew);
+      });
     });
   });
 });