From c1e1bca42ec0a61b4438073845f110a0334d5292 Mon Sep 17 00:00:00 2001
From: wwestgarth <william@vega.xyz>
Date: Fri, 9 Aug 2024 14:01:26 +0100
Subject: [PATCH] fix: do not panic if commitment is super low in estimate-AMM
 bounds and fix postionfactor scaling

---
 core/execution/amm/estimator.go      | 34 ++++++++++++++++++----------
 core/execution/amm/estimator_test.go | 22 ++++++++++++++++++
 2 files changed, 44 insertions(+), 12 deletions(-)

diff --git a/core/execution/amm/estimator.go b/core/execution/amm/estimator.go
index d6d966de11..7c076c3368 100644
--- a/core/execution/amm/estimator.go
+++ b/core/execution/amm/estimator.go
@@ -55,13 +55,17 @@ func EstimateBounds(
 		lowerPriceD := lowerPrice.ToDecimal()
 		boundPosLower := PositionAtLowerBound(riskFactorLower, balanceD, lowerPriceD, avgEntryLower, positionFactor)
 
-		lossLower := LossOnCommitment(avgEntryLower, lowerPriceD, boundPosLower)
+		// if the commitment is *so low* that the position at the bound is 0 then we will panic trying to calculate the rest
+		// and the "too wide" check below will flag it up as an invalid AMM defn
+		if !boundPosLower.IsZero() {
+			lossLower := LossOnCommitment(avgEntryLower, lowerPriceD, boundPosLower)
 
-		liquidationPriceAtLower := LiquidationPrice(balanceD, lossLower, boundPosLower, lowerPriceD, linearSlippageFactor, riskFactorLong)
+			liquidationPriceAtLower := LiquidationPrice(balanceD, lossLower, boundPosLower, lowerPriceD, linearSlippageFactor, riskFactorLong)
 
-		r.PositionSizeAtLower = boundPosLower
-		r.LiquidationPriceAtLower = liquidationPriceAtLower
-		r.LossOnCommitmentAtLower = lossLower
+			r.PositionSizeAtLower = boundPosLower.Mul(positionFactor)
+			r.LiquidationPriceAtLower = liquidationPriceAtLower
+			r.LossOnCommitmentAtLower = lossLower
+		}
 
 		// now lets check that the lower bound is not too wide that the volume is spread too thin
 		l := unitLower.Mul(boundPosLower).Abs()
@@ -78,13 +82,19 @@ func EstimateBounds(
 		avgEntryUpper := AverageEntryPrice(sqrter, unitUpper, upperPrice)
 		riskFactorUpper := RiskFactor(leverageUpper, riskFactorShort, linearSlippageFactor, initialMargin)
 		upperPriceD := upperPrice.ToDecimal()
+
 		boundPosUpper := PositionAtUpperBound(riskFactorUpper, balanceD, upperPriceD, avgEntryUpper, positionFactor)
-		lossUpper := LossOnCommitment(avgEntryUpper, upperPriceD, boundPosUpper)
-		liquidationPriceAtUpper := LiquidationPrice(balanceD, lossUpper, boundPosUpper, upperPriceD, linearSlippageFactor, riskFactorShort)
 
-		r.PositionSizeAtUpper = boundPosUpper
-		r.LiquidationPriceAtUpper = liquidationPriceAtUpper
-		r.LossOnCommitmentAtUpper = lossUpper
+		// if the commitment is *so low* that the position at the bound is 0 then we will panic trying to calculate the rest
+		// and the "too wide" check below will flag it up as an invalid AMM defn
+		if !boundPosUpper.IsZero() {
+			lossUpper := LossOnCommitment(avgEntryUpper, upperPriceD, boundPosUpper)
+
+			liquidationPriceAtUpper := LiquidationPrice(balanceD, lossUpper, boundPosUpper, upperPriceD, linearSlippageFactor, riskFactorShort)
+			r.PositionSizeAtUpper = boundPosUpper.Mul(positionFactor)
+			r.LiquidationPriceAtUpper = liquidationPriceAtUpper
+			r.LossOnCommitmentAtUpper = lossUpper
+		}
 
 		// now lets check that the lower bound is not too wide that the volume is spread too thin
 		l := unitUpper.Mul(boundPosUpper).Abs()
@@ -128,7 +138,7 @@ func PositionAtLowerBound(rf, b, pl, pa, positionFactor num.Decimal) num.Decimal
 	pv := rf.Mul(b).Div(
 		pl.Mul(oneSubRf).Add(rfMulPa),
 	)
-	return pv.Mul(positionFactor)
+	return pv
 }
 
 // Pvl = -rf * b / (pl * (1 + rf) - rf * pa).
@@ -139,7 +149,7 @@ func PositionAtUpperBound(rf, b, pl, pa, positionFactor num.Decimal) num.Decimal
 	pv := rf.Neg().Mul(b).Div(
 		pl.Mul(onePlusRf).Sub(rfMulPa),
 	)
-	return pv.Mul(positionFactor)
+	return pv
 }
 
 // lc = |(pa - pb) * pB|.
diff --git a/core/execution/amm/estimator_test.go b/core/execution/amm/estimator_test.go
index 8fec4b8895..07d6c6115e 100644
--- a/core/execution/amm/estimator_test.go
+++ b/core/execution/amm/estimator_test.go
@@ -211,4 +211,26 @@ func TestEstimatePositionFactor(t *testing.T) {
 	assert.Equal(t, expectedMetrics.PositionSizeAtLower.String(), metrics.PositionSizeAtLower.Round(3).String())
 	assert.False(t, metrics.TooWideLower)
 	assert.False(t, metrics.TooWideUpper)
+
+	// if commitment is super low then we could panic, so test that we don't
+	metrics = EstimateBounds(
+		sqrter,
+		lowerPrice,
+		basePrice,
+		upperPrice,
+		leverageLower,
+		leverageUpper,
+		num.UintOne(),
+		linearSlippageFactor,
+		initialMargin,
+		riskFactorShort,
+		riskFactorLong,
+		num.DecimalFromInt64(1000000000000000000),
+		num.DecimalOne(),
+	)
+
+	assert.Equal(t, "0", metrics.PositionSizeAtUpper.Round(3).String())
+	assert.Equal(t, "0", metrics.PositionSizeAtLower.Round(3).String())
+	assert.True(t, metrics.TooWideLower)
+	assert.True(t, metrics.TooWideUpper)
 }