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feat: add more ACs for isolated-margin #2069

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Nov 28, 2023
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feat: add more ACs for isolated-margin #2069

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f6e7a7d
feat: add more ACs
Jiajia-Cui Nov 28, 2023
0b9a8af
chore: markdown
Jiajia-Cui Nov 28, 2023
81840f2
chore: markdown
Jiajia-Cui Nov 28, 2023
f931448
chore: typo
Jiajia-Cui Nov 28, 2023
310af14
feat: address comments
Jiajia-Cui Nov 28, 2023
78c3026
chore: typo
Jiajia-Cui Nov 28, 2023
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36 changes: 25 additions & 11 deletions protocol/0019-MCAL-margin_calculator.md
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Expand Up @@ -94,29 +94,43 @@
sell 10 @ 100 100
```

when switching to isolated-margin mode and the `margin factor short = 0.11`, the maintenance margin should be updated to `average entry price x current position x new margin factor = 57500 x 1 x 0.11 = 6325`, the switching will be rejected. (<a name="0019-MCAL-032" href="#0019-MCAL-032">0019-MCAL-032</a>)
When switching to isolated-margin mode and the `margin factor short = 0.11`, the maintenance margin should be updated to `average entry price x current position x new margin factor = 57500 x 1 x 0.11 = 6325`, the switching will be rejected. (<a name="0019-MCAL-032" href="#0019-MCAL-032">0019-MCAL-032</a>)

when switching to isolated-margin mode and the `margin factor short = 0.9`, the maintenance margin should be updated to `average entry price x current position x new margin factor = 15900 x 1 x 0.9 = 14310`, and margin account should be updated to `14310`. (<a name="0019-MCAL-033" href="#0019-MCAL-033">0019-MCAL-033</a>)
When switching to isolated-margin mode and the `margin factor short = 0.9`, the maintenance margin should be updated to `average entry price x current position x new margin factor = 15900 x 1 x 0.9 = 14310`, and margin account should be updated to `14310`. (<a name="0019-MCAL-033" href="#0019-MCAL-033">0019-MCAL-033</a>)

when decreasing the `margin factor short` from `0.9` to `0.7`, the maintenance margin should be updated to `average entry price x current position x new margin factor = 15900 x 1 x 0.7 = 11130`, and margin account should be updated to `11130`. (<a name="0019-MCAL-031" href="#0019-MCAL-031">0019-MCAL-031</a>)
When decreasing the `margin factor short` from `0.9` to `0.7`, the maintenance margin should be updated to `average entry price x current position x new margin factor = 15900 x 1 x 0.7 = 11130`, and margin account should be updated to `11130`. (<a name="0019-MCAL-031" href="#0019-MCAL-031">0019-MCAL-031</a>)

when increasing the `margin factor short` from `0.7` to `0.9`, the maintenance margin should be updated to `average entry price x current position x new margin factor = 15900 x 1 x 0.9 = 14310`, and margin account should be updated to `14310`. (<a name="0019-MCAL-059" href="#0019-MCAL-059">0019-MCAL-059</a>)
When increasing the `margin factor short` from `0.7` to `0.9`, the maintenance margin should be updated to `average entry price x current position x new margin factor = 15900 x 1 x 0.9 = 14310`, and margin account should be updated to `14310`. (<a name="0019-MCAL-059" href="#0019-MCAL-059">0019-MCAL-059</a>)

- When the party place a new short order of `1` with price `15000`, and the market is in continuous trading.
Switching to isolated margin mode will be rejected if the party does not have enough asset in the general account(<a name="0019-MCAL-066" href="#0019-MCAL-066">0019-MCAL-066</a>)

The margin account should have additional amount `average entry price x current position x new margin factor = 59524 x 1 x 0.3 = 17857` added if the party has enough asset in the general account(<a name="0019-MCAL-034" href="#0019-MCAL-034">0019-MCAL-034</a>)
- When the party places a new short order of `10` with price `15910` which does not offset the existing position, and the market is in continuous trading.

The margin account should have additional amount `limit price x size x margin factor = 15910 x 10 x 0.9 = 143190` transferred into "order margin" account if the party has enough asset in the general account(<a name="0019-MCAL-034" href="#0019-MCAL-034">0019-MCAL-034</a>)

The order will be rejected if the party does not have enough asset in the general account (<a name="0019-MCAL-035" href="#0019-MCAL-035">0019-MCAL-035</a>)

- When the party place a new short order of `1` with price `45000`, and the market is in continuous trading.
The party amends the order size to `5`, and the amount `limit price x size x margin factor = 15912 x 5 x 0.9 = 71604` will be transferred from "order margin" account into general account (<a name="0019-MCAL-060" href="#0019-MCAL-060">0019-MCAL-060</a>)

Another trader places a buy order of `3` with price `15912`, party's position becomes `4`, party's margin account should be updated to `15912 x 4 x 0.9 =57283` and order margin should be `15912x 2 x 0.9 = 28642` (<a name="0019-MCAL-061" href="#0019-MCAL-061">0019-MCAL-061</a>)

Switch margin mode from isolated margin to cross margin when party holds position only, the margin account should be updated to initial margin level in cross margin mode(<a name="0019-MCAL-065" href="#0019-MCAL-065">0019-MCAL-065</a>)

Switch from cross margin to isolated margin mode, both margin account and order margin should be updated (<a name="0019-MCAL-064" href="#0019-MCAL-064">0019-MCAL-064</a>)

When the party has no orders, their order margin account should be `0` (<a name="0019-MCAL-062" href="#0019-MCAL-062">0019-MCAL-062</a>)

Create some MTM, the margin account should be updated while order margin account should not (<a name="0019-MCAL-067" href="#0019-MCAL-067">0019-MCAL-067</a>)

- When the party places a new long order of `2` with price `15912` which does offset the existing position, and the market is in continuous trading.

The margin account should have additional amount `limit price * size * margin factor = 45000 x 1 x 0.3 = 13500` added if the party has enough asset in the general account(<a name="0019-MCAL-036" href="#0019-MCAL-036">0019-MCAL-036</a>)
- The margin account should not change as no additional margin is required (<a name="0019-MCAL-038" href="#0019-MCAL-038">0019-MCAL-038</a>)

The order will be rejected if the party does not have enough asset in the general account(<a name="0019-MCAL-037" href="#0019-MCAL-037">0019-MCAL-037</a>)
- When the party switches to cross margin mode, the margin accounts will not be updated until the next MTM(<a name="0019-MCAL-036" href="#0019-MCAL-036">0019-MCAL-036</a>)

- When the party place a new long order of `1` with price `145000` and the party has existing short position of `3`, and the market is in continuous trading. The margin account should not change(<a name="0019-MCAL-038" href="#0019-MCAL-038">0019-MCAL-038</a>)
- The order will be rejected if the party does not have enough asset in the general account(<a name="0019-MCAL-037" href="#0019-MCAL-037">0019-MCAL-037</a>)

- When the party place a new long order of `10` with price `145000` and the party has existing short position of `3`, and the market is in continuous trading. The margin account should have additional amount `limit price * size * margin factor = 145000 x (10-3) x 0.3 = 304500` added if the party has enough asset in the general account(<a name="0019-MCAL-039" href="#0019-MCAL-039">0019-MCAL-039</a>)
- When the party place a new long order of `10` with price `145000` and the party has existing short position of `3`, and the market is in continuous trading. The margin account should have additional amount `limit price * size * margin factor = 145000 x (10-3) x 0.9 = 913500` added if the party has enough asset in the general account(<a name="0019-MCAL-039" href="#0019-MCAL-039">0019-MCAL-039</a>)

- Margin levels are correctly calculated in the case of an open position dropping below maintenance margin levels active orders will remain active as these are margined separately and will not be cancelled.(<a name="0019-MCAL-040" href="#0019-MCAL-040">0019-MCAL-040</a>)

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9 changes: 8 additions & 1 deletion protocol/features.json
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Expand Up @@ -110,7 +110,14 @@
"0019-MCAL-056",
"0019-MCAL-057",
"0019-MCAL-058",
"0019-MCAL-059"
"0019-MCAL-059",
"0019-MCAL-060",
"0019-MCAL-061",
"0019-MCAL-062",
"0019-MCAL-064",
"0019-MCAL-065",
"0019-MCAL-066",
"0019-MCAL-067"
]
},
"Quadratic slippage removal": {
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