test bid/ask priceing

euler-xyz · Apr 2, 2024 · aec989b · aec989b
1 parent c0c0bb7
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Showing 11 changed files with 143 additions and 24 deletions.
diff --git a/test/mocks/MockPriceOracle.sol b/test/mocks/MockPriceOracle.sol
@@ -10,34 +10,64 @@ contract MockPriceOracle {
     error PO_Overflow();
     error PO_NoPath();
 
-    mapping(address base => mapping(address quote => uint256)) prices;
+    mapping(address base => mapping(address quote => uint256)) price;
+    mapping(address base => mapping(address quote => Prices)) prices;
+
+    struct Prices {
+        bool set;
+        uint256 bid;
+        uint256 ask;
+    }
 
     function name() external pure returns (string memory) {
         return "MockPriceOracle";
     }
 
     function getQuote(uint256 amount, address base, address quote) public view returns (uint256 out) {
-        uint256 price = prices[base][quote];
-        (bool success,) = base.staticcall(abi.encodeCall(IERC4626.asset, ()));
-        if (base.code.length > 0 && success) amount = IEVault(base).convertToAssets(amount);
-
-        return amount * price / 1e18;
+        return calculateQuote(base, amount, price[resolveUnderlying(base)][quote]);
     }
 
     function getQuotes(uint256 amount, address base, address quote)
         external
         view
         returns (uint256 bidOut, uint256 askOut)
     {
+        if (prices[resolveUnderlying(base)][quote].set) {
+            return (
+                calculateQuote(base, amount, prices[resolveUnderlying(base)][quote].bid),
+                calculateQuote(base, amount, prices[resolveUnderlying(base)][quote].ask)
+            );
+        }
+
         bidOut = askOut = getQuote(amount, base, quote);
     }
 
     ///// Mock functions
 
-    function setPrice(address base, address quote, uint256 price) external {
-        prices[base][quote] = price;
+    function setPrice(address base, address quote, uint256 newPrice) external {
+        price[resolveUnderlying(base)][quote] = newPrice;
+    }
+
+    function setPrices(address base, address quote, uint256 newBid, uint256 newAsk) external {
+        prices[resolveUnderlying(base)][quote] = Prices({set: true, bid: newBid, ask: newAsk});
     }
 
+    function calculateQuote(address base, uint256 amount, uint256 p) internal view returns (uint256) {
+        (bool success,) = base.staticcall(abi.encodeCall(IERC4626.asset, ()));
+        if (base.code.length > 0 && success) amount = IEVault(base).convertToAssets(amount);
+
+        return amount * p / 1e18;
+    }
+
+    function resolveUnderlying(address asset) internal view returns (address) {
+        if (asset.code.length > 0) {
+           (bool success, bytes memory data) = asset.staticcall(abi.encodeCall(IERC4626.asset, ()));
+           if (success) return abi.decode(data, (address));
+        }
+
+        return asset;
+    } 
+
     function testExcludeFromCoverage() public pure {
         return;
     }

diff --git a/test/unit/evault/DToken.t.sol b/test/unit/evault/DToken.t.sol
@@ -174,6 +174,6 @@ contract DTokenTest is EVaultTestBase {
         vm.stopPrank();
 
         oracle.setPrice(address(assetTST), unitOfAccount, 1 ether);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1000 ether);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1000 ether);
     }
 }
diff --git a/test/unit/evault/modules/BalanceForwarder/hooks.t.sol b/test/unit/evault/modules/BalanceForwarder/hooks.t.sol
@@ -295,7 +295,7 @@ contract BalanceForwarderTest_Hooks is EVaultTestBase {
         evc.enableCollateral(user, address(eTST2));
 
         oracle.setPrice(address(assetTST), unitOfAccount, 1 ether);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1 ether);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1 ether);
         vm.stopPrank();
     }
 }
diff --git a/test/unit/evault/modules/Governance/convertFees.t.sol b/test/unit/evault/modules/Governance/convertFees.t.sol
@@ -19,7 +19,7 @@ contract Governance_ConvertFees is EVaultTestBase {
         // Setup
 
         oracle.setPrice(address(assetTST), unitOfAccount, 1e18);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1e18);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1e18);
 
         eTST.setLTV(address(eTST2), 0.9e4, 0);
 

diff --git a/test/unit/evault/modules/Governance/interestRates.t.sol b/test/unit/evault/modules/Governance/interestRates.t.sol
@@ -19,7 +19,7 @@ contract Governance_InterestRates is EVaultTestBase {
         // Setup
 
         oracle.setPrice(address(assetTST), unitOfAccount, 1e18);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1e18);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1e18);
 
         eTST.setLTV(address(eTST2), 0.9e4, 0);
 

diff --git a/test/unit/evault/modules/Governance/pause.t.sol b/test/unit/evault/modules/Governance/pause.t.sol
@@ -27,7 +27,7 @@ contract Governance_PauseOps is EVaultTestBase {
         // ----------------- Setup vaults --------------------
         eTST.setLTV(address(eTST2), 0.9e4, 0);
         oracle.setPrice(address(assetTST), unitOfAccount, 1e18);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1e18);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1e18);
         // ----------------- Setup depositor -----------------
         vm.startPrank(depositor);
         assetTST.mint(depositor, type(uint256).max);
@@ -345,7 +345,7 @@ contract Governance_PauseOps is EVaultTestBase {
         eTST.borrow(8 * MINT_AMOUNT / 10, borrower);
         vm.stopPrank();
 
-        oracle.setPrice(address(eTST2), unitOfAccount, 0.5e17);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 0.5e17);
 
         vm.startPrank(liquidator);
         evc.enableCollateral(liquidator, address(eTST2));

diff --git a/test/unit/evault/modules/Vault/borrow.t.sol b/test/unit/evault/modules/Vault/borrow.t.sol
@@ -28,7 +28,7 @@ contract VaultTest_Borrow is EVaultTestBase {
         // Setup
 
         oracle.setPrice(address(assetTST), unitOfAccount, 1e18);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1e18);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1e18);
 
         eTST.setLTV(address(eTST2), 0.9e4, 0);
 

diff --git a/test/unit/evault/modules/Vault/caps.t.sol b/test/unit/evault/modules/Vault/caps.t.sol
@@ -438,7 +438,7 @@ contract VaultTest_Caps is EVaultTestBase {
         evc.enableCollateral(user, address(eTST2));
 
         oracle.setPrice(address(assetTST), unitOfAccount, 1 ether);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1000 ether);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1000 ether);
         vm.stopPrank();
     }
 }
diff --git a/test/unit/evault/modules/Vault/liquidation.t.sol b/test/unit/evault/modules/Vault/liquidation.t.sol
@@ -56,10 +56,8 @@ contract VaultLiquidation_Test is EVaultTestBase {
 
         oracle.setPrice(address(assetTST), unitOfAccount, 2.2e18);
         oracle.setPrice(address(assetTST2), unitOfAccount, 0.4e18);
-        oracle.setPrice(address(eTST), unitOfAccount, 0.4e18);
-        oracle.setPrice(address(eTST2), unitOfAccount, 0.4e18);
-        oracle.setPrice(address(eTST3), unitOfAccount, 2.2e18);
-        oracle.setPrice(address(eWETH), unitOfAccount, 1e18);
+        oracle.setPrice(address(assetTST3), unitOfAccount, 2.2e18);
+        oracle.setPrice(address(assetWETH), unitOfAccount, 1e18);
 
         startHoax(lender);
 
@@ -677,7 +675,7 @@ contract VaultLiquidation_Test is EVaultTestBase {
         (uint256 collateralValue, uint256 liabilityValue) = eTST.accountLiquidity(borrower, false);
         assertApproxEqAbs(collateralValue * 1e18 / liabilityValue, 1.09e18, 0.01e18);
 
-        oracle.setPrice(address(eTST2), unitOfAccount, 0);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 0);
 
         (collateralValue, liabilityValue) = eTST.accountLiquidity(borrower, false);
         assertEq(collateralValue, 0);
@@ -904,7 +902,7 @@ contract VaultLiquidation_Test is EVaultTestBase {
         eTST2.deposit(1, borrower);
 
         oracle.setPrice(address(assetTST), unitOfAccount, 0.001e18);
-        oracle.setPrice(address(eTST2), unitOfAccount, 15e18);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 15e18);
 
         eTST.borrow(3000, borrower);
         (uint256 collateralValue, uint256 liabilityValue) = eTST.accountLiquidity(borrower, false);
@@ -1181,6 +1179,97 @@ contract VaultLiquidation_Test is EVaultTestBase {
         vm.revertTo(snapshot);
     }
 
+    function test_liquidationWithBidAskPricing() public {
+        // set up liquidator to support the debt
+        startHoax(lender);
+        evc.enableController(lender, address(eTST));
+        evc.enableCollateral(lender, address(eTST3));
+        evc.enableCollateral(lender, address(eTST2));
+
+        startHoax(borrower);
+        evc.enableController(borrower, address(eTST));
+        eTST.borrow(5e18, borrower);
+
+        startHoax(address(this));
+        eTST.setLTV(address(eTST3), 0.95e4, 0);
+
+        (uint256 collateralValue, uint256 liabilityValue) = eTST.accountLiquidity(borrower, false);
+        assertApproxEqAbs(collateralValue * 1e18 / liabilityValue, 1.09e18, 0.01e18);
+
+        // regular liquidation, bid = ask = mid price
+
+        oracle.setPrice(address(assetTST), unitOfAccount, 2.5e18);
+
+        (collateralValue, liabilityValue) = eTST.accountLiquidity(borrower, false);
+        uint256 healthScore = collateralValue * 1e18 / liabilityValue;
+        assertApproxEqAbs(healthScore, 0.96e18, 0.001e18);
+        // liability price bid price changes
+
+        oracle.setPrices(address(assetTST), unitOfAccount, 2.4e18, 2.5e18);
+
+        // no influence
+        (uint256 newCollateralValue, uint256 newLiabilityValue) = eTST.accountLiquidity(borrower, false);
+        assertEq(collateralValue, newCollateralValue);
+        assertEq(liabilityValue, newLiabilityValue);
+
+        // liability ask price changes
+
+        oracle.setPrices(address(assetTST), unitOfAccount, 2.5e18, 2.6e18);
+
+        // liability valued at ask
+        (newCollateralValue, newLiabilityValue) = eTST.accountLiquidity(borrower, false);
+        assertEq(collateralValue, newCollateralValue);
+        assertGt(newLiabilityValue, liabilityValue);
+
+        liabilityValue = newLiabilityValue;
+
+        // collateral ask price changes
+
+        oracle.setPrices(address(assetTST2), unitOfAccount, 0.4e18, 0.5e18);
+
+        (newCollateralValue, newLiabilityValue) = eTST.accountLiquidity(borrower, false);
+        assertEq(collateralValue, newCollateralValue);
+        assertEq(liabilityValue, newLiabilityValue);
+
+        // collateral bid price changes
+
+        oracle.setPrices(address(assetTST2), unitOfAccount, 0.3e18, 0.4e18);
+
+        (newCollateralValue, newLiabilityValue) = eTST.accountLiquidity(borrower, false);
+        assertGt(collateralValue, newCollateralValue);
+        assertEq(liabilityValue, newLiabilityValue);
+
+        collateralValue = newCollateralValue;
+
+        healthScore = collateralValue * 1e18 / liabilityValue;
+        assertApproxEqAbs(healthScore, 0.692e18, 0.001e18);
+
+        // The discount is max - 20% on mid point prices
+
+        (uint256 maxRepay, uint256 maxYield) = eTST.checkLiquidation(lender, borrower, address(eTST2));
+
+        uint256 repayValue = oracle.getQuote(maxRepay, address(eTST), unitOfAccount);
+        uint256 yieldValue = oracle.getQuote(maxYield, address(eTST2), unitOfAccount);
+
+        assertEq(yieldValue, repayValue * 1e18 / 0.8e18);
+
+        uint256 violatorsOriginalCollateral = eTST2.balanceOf(borrower);
+
+        startHoax(lender);
+
+        // max uint is equivalent to maxRepay
+        eTST.liquidate(borrower, address(eTST2), type(uint256).max, 0);
+
+        // liquidator:
+        assertEq(eTST.debtOf(lender), maxRepay);
+        assertEq(eTST2.balanceOf(lender), maxYield);
+
+        // violator:
+        startHoax(borrower);
+        assertEq(eTST.debtOf(borrower), 0);
+        assertEq(eTST2.balanceOf(borrower), violatorsOriginalCollateral - maxYield);
+    }
+
     function getRiskAdjustedValue(uint256 amount, uint256 price, uint256 factor) public pure returns (uint256) {
         return amount * price / 1e18 * factor / 1e18;
     }

diff --git a/test/unit/evault/modules/Vault/ltv.t.sol b/test/unit/evault/modules/Vault/ltv.t.sol
@@ -20,7 +20,7 @@ contract VaultTest_LTV is EVaultTestBase {
         // Setup
 
         oracle.setPrice(address(assetTST), unitOfAccount, 1e18);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1e18);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1e18);
 
         depositor = makeAddr("depositor");
         borrower = makeAddr("borrower");

diff --git a/test/unit/evault/modules/Vault/withdraw.t.sol b/test/unit/evault/modules/Vault/withdraw.t.sol
@@ -29,7 +29,7 @@ contract VaultTest_withdraw is EVaultTestBase {
         // Setup
 
         oracle.setPrice(address(assetTST), unitOfAccount, 1e18);
-        oracle.setPrice(address(eTST2), unitOfAccount, 1e18);
+        oracle.setPrice(address(assetTST2), unitOfAccount, 1e18);
 
         eTST.setLTV(address(eTST2), 0.9e4, 0);