Skip collat check for untriggered conditional order placement (#1370)

* Skip collat check for untriggered conditional order placement * e2e test
dydxprotocol · Apr 10, 2024 · de5a0f9 · de5a0f9
1 parent d78b415
commit de5a0f9
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Showing 4 changed files with 84 additions and 19 deletions.
diff --git a/protocol/testutil/constants/positions.go b/protocol/testutil/constants/positions.go
@@ -92,6 +92,10 @@ var (
 		AssetId:  0,
 		Quantums: dtypes.NewInt(-9_900_000_000), // $-9,900
 	}
+	Usdc_Asset_1 = satypes.AssetPosition{
+		AssetId:  0,
+		Quantums: dtypes.NewInt(1_000_000), // $1
+	}
 	Usdc_Asset_10_000 = satypes.AssetPosition{
 		AssetId:  0,
 		Quantums: dtypes.NewInt(10_000_000_000), // $10,000

diff --git a/protocol/testutil/constants/subaccounts.go b/protocol/testutil/constants/subaccounts.go
@@ -7,6 +7,13 @@ import (
 
 var (
 	// Subaccounts.
+	Alice_Num0_1USD = satypes.Subaccount{
+		Id: &Alice_Num0,
+		AssetPositions: []*satypes.AssetPosition{
+			&Usdc_Asset_1,
+		},
+		PerpetualPositions: []*satypes.PerpetualPosition{},
+	}
 	Alice_Num0_10_000USD = satypes.Subaccount{
 		Id: &Alice_Num0,
 		AssetPositions: []*satypes.AssetPosition{

diff --git a/protocol/x/clob/e2e/conditional_orders_test.go b/protocol/x/clob/e2e/conditional_orders_test.go
@@ -799,6 +799,58 @@ func TestConditionalOrder(t *testing.T) {
 				},
 			},
 		},
+		"Undercollateralized conditional order can be placed": {
+			subaccounts: []satypes.Subaccount{
+				constants.Alice_Num0_1USD,
+			},
+			orders: []clobtypes.Order{
+				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999,
+			},
+			priceUpdateForFirstBlock:  &prices.MsgUpdateMarketPrices{},
+			priceUpdateForSecondBlock: &prices.MsgUpdateMarketPrices{},
+
+			expectedExistInState: map[clobtypes.OrderId]bool{
+				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999.OrderId: true,
+			},
+			expectedInTriggeredStateAfterBlock: map[uint32]map[clobtypes.OrderId]bool{
+				2: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999.OrderId: false},
+				3: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999.OrderId: false},
+				4: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999.OrderId: false},
+			},
+		},
+		"Undercollateralized conditional order can be placed, trigger, fail collat check and get removed from state": {
+			subaccounts: []satypes.Subaccount{
+				constants.Alice_Num0_1USD,
+				constants.Dave_Num0_10000USD,
+			},
+			orders: []clobtypes.Order{
+				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999,
+				constants.Order_Dave_Num0_Id1_Clob0_Sell025BTC_Price50000_GTB11,
+			},
+			priceUpdateForFirstBlock: &prices.MsgUpdateMarketPrices{},
+			priceUpdateForSecondBlock: &prices.MsgUpdateMarketPrices{
+				MarketPriceUpdates: []*prices.MsgUpdateMarketPrices_MarketPrice{
+					prices.NewMarketPriceUpdate(0, 4_999_700_000),
+				},
+			},
+
+			expectedExistInState: map[clobtypes.OrderId]bool{
+				constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999.OrderId: false,
+			},
+			expectedInTriggeredStateAfterBlock: map[uint32]map[clobtypes.OrderId]bool{
+				2: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999.OrderId: false},
+				3: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999.OrderId: true},
+				4: {constants.ConditionalOrder_Alice_Num0_Id0_Clob0_Buy1BTC_Price50000_GTBT10_TP_49999.OrderId: false},
+			},
+			expectedSubaccounts: []satypes.Subaccount{
+				{
+					Id: &constants.Alice_Num0,
+					AssetPositions: []*satypes.AssetPosition{
+						&constants.Usdc_Asset_1,
+					},
+				},
+			},
+		},
 	}
 
 	for name, tc := range tests {

diff --git a/protocol/x/clob/keeper/orders.go b/protocol/x/clob/keeper/orders.go
@@ -300,28 +300,30 @@ func (k Keeper) PlaceStatefulOrder(
 
 	// 4. Perform a collateralization check for the full size of the order to mitigate spam.
 	// TODO(CLOB-725): Consider using a pessimistic collateralization check.
-	_, successPerSubaccountUpdate := k.AddOrderToOrderbookCollatCheck(
-		ctx,
-		order.GetClobPairId(),
-		map[satypes.SubaccountId][]types.PendingOpenOrder{
-			order.OrderId.SubaccountId: {
-				{
-					RemainingQuantums: order.GetBaseQuantums(),
-					IsBuy:             order.IsBuy(),
-					Subticks:          order.GetOrderSubticks(),
-					ClobPairId:        order.GetClobPairId(),
+	if !order.IsConditionalOrder() {
+		_, successPerSubaccountUpdate := k.AddOrderToOrderbookCollatCheck(
+			ctx,
+			order.GetClobPairId(),
+			map[satypes.SubaccountId][]types.PendingOpenOrder{
+				order.OrderId.SubaccountId: {
+					{
+						RemainingQuantums: order.GetBaseQuantums(),
+						IsBuy:             order.IsBuy(),
+						Subticks:          order.GetOrderSubticks(),
+						ClobPairId:        order.GetClobPairId(),
+					},
 				},
 			},
-		},
-	)
-
-	if !successPerSubaccountUpdate[order.OrderId.SubaccountId].IsSuccess() {
-		return errorsmod.Wrapf(
-			types.ErrStatefulOrderCollateralizationCheckFailed,
-			"PlaceStatefulOrder: order (%+v), result (%s)",
-			order,
-			successPerSubaccountUpdate[order.OrderId.SubaccountId].String(),
 		)
+
+		if !successPerSubaccountUpdate[order.OrderId.SubaccountId].IsSuccess() {
+			return errorsmod.Wrapf(
+				types.ErrStatefulOrderCollateralizationCheckFailed,
+				"PlaceStatefulOrder: order (%+v), result (%s)",
+				order,
+				successPerSubaccountUpdate[order.OrderId.SubaccountId].String(),
+			)
+		}
 	}
 
 	// 5. If we are in `deliverTx` then we write the order to committed state otherwise add the order to uncommitted