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| // SPDX-License-Identifier: BUSL-1.1
pragma solidity ^0.8.0;
import "../BaseLogic.sol";
import "../IRiskManager.sol";
import "../vendor/TickMath.sol";
import "../vendor/FullMath.sol";
interface IUniswapV3Factory {
function getPool(address tokenA, address tokenB, uint24 fee) external view returns (address pool);
}
interface IUniswapV3Pool {
function slot0() external view returns (uint160 sqrtPriceX96, int24 tick, uint16 observationIndex, uint16 observationCardinality, uint16 observationCardinalityNext, uint8 feeProtocol, bool unlocked);
function liquidity() external view returns (uint128);
function observe(uint32[] calldata secondsAgos) external view returns (int56[] memory tickCumulatives, uint160[] memory liquidityCumulatives);
function observations(uint256 index) external view returns (uint32 blockTimestamp, int56 tickCumulative, uint160 liquidityCumulative, bool initialized);
function increaseObservationCardinalityNext(uint16 observationCardinalityNext) external;
}
contract RiskManager is IRiskManager, BaseLogic {
// Construction
address immutable referenceAsset; // Token must have 18 decimals
address immutable uniswapFactory;
bytes32 immutable uniswapPoolInitCodeHash;
struct RiskManagerSettings {
address referenceAsset;
address uniswapFactory;
bytes32 uniswapPoolInitCodeHash;
}
constructor(bytes32 moduleGitCommit_, RiskManagerSettings memory settings) BaseLogic(MODULEID__RISK_MANAGER, moduleGitCommit_) {
referenceAsset = settings.referenceAsset;
uniswapFactory = settings.uniswapFactory;
uniswapPoolInitCodeHash = settings.uniswapPoolInitCodeHash;
}
// Default market parameters
function getNewMarketParameters(address underlying) external override returns (NewMarketParameters memory p) {
p.config.borrowIsolated = true;
p.config.collateralFactor = uint32(0);
p.config.borrowFactor = type(uint32).max;
p.config.twapWindow = type(uint24).max;
if (underlying == referenceAsset) {
// 1:1 peg
p.pricingType = PRICINGTYPE__PEGGED;
p.pricingParameters = uint32(0);
} else if (pTokenLookup[underlying] != address(0)) {
p.pricingType = PRICINGTYPE__FORWARDED;
p.pricingParameters = uint32(0);
p.config.collateralFactor = underlyingLookup[pTokenLookup[underlying]].collateralFactor;
} else {
// Uniswap3 TWAP
// The uniswap pool (fee-level) with the highest in-range liquidity is used by default.
// This is a heuristic and can easily be manipulated by the activator, so users should
// verify the selection is suitable before using the pool. Otherwise, governance will
// need to change the pricing config for the market.
address pool = address(0);
uint24 fee = 0;
{
uint24[4] memory fees = [uint24(3000), 10000, 500, 100];
uint128 bestLiquidity = 0;
for (uint i = 0; i < fees.length; ++i) {
address candidatePool = IUniswapV3Factory(uniswapFactory).getPool(underlying, referenceAsset, fees[i]);
if (candidatePool == address(0)) continue;
uint128 liquidity = IUniswapV3Pool(candidatePool).liquidity();
if (pool == address(0) || liquidity > bestLiquidity) {
pool = candidatePool;
fee = fees[i];
bestLiquidity = liquidity;
}
}
}
require(pool != address(0), "e/no-uniswap-pool-avail");
require(computeUniswapPoolAddress(underlying, fee) == pool, "e/bad-uniswap-pool-addr");
p.pricingType = PRICINGTYPE__UNISWAP3_TWAP;
p.pricingParameters = uint32(fee);
try IUniswapV3Pool(pool).increaseObservationCardinalityNext(MIN_UNISWAP3_OBSERVATION_CARDINALITY) {
// Success
} catch Error(string memory err) {
if (keccak256(bytes(err)) == keccak256("LOK")) revert("e/risk/uniswap-pool-not-inited");
revert(string(abi.encodePacked("e/risk/uniswap/", err)));
} catch (bytes memory returnData) {
revertBytes(returnData);
}
}
}
// Pricing
function computeUniswapPoolAddress(address underlying, uint24 fee) private view returns (address) {
address tokenA = underlying;
address tokenB = referenceAsset;
if (tokenA > tokenB) (tokenA, tokenB) = (tokenB, tokenA);
return address(uint160(uint256(keccak256(abi.encodePacked(
hex'ff',
uniswapFactory,
keccak256(abi.encode(tokenA, tokenB, fee)),
uniswapPoolInitCodeHash
)))));
}
function decodeSqrtPriceX96(AssetCache memory assetCache, uint sqrtPriceX96) private view returns (uint price) {
if (uint160(assetCache.underlying) < uint160(referenceAsset)) {
price = FullMath.mulDiv(sqrtPriceX96, sqrtPriceX96, uint(2**(96*2)) / 1e18) / assetCache.underlyingDecimalsScaler;
} else {
price = FullMath.mulDiv(sqrtPriceX96, sqrtPriceX96, uint(2**(96*2)) / (1e18 * assetCache.underlyingDecimalsScaler));
if (price == 0) return 1e36;
price = 1e36 / price;
}
if (price > 1e36) price = 1e36;
else if (price == 0) price = 1;
}
function callUniswapObserve(AssetCache memory assetCache, address pool, uint ago) private view returns (uint, uint) {
uint32[] memory secondsAgos = new uint32[](2);
secondsAgos[0] = uint32(ago);
secondsAgos[1] = 0;
(bool success, bytes memory data) = pool.staticcall(abi.encodeWithSelector(IUniswapV3Pool.observe.selector, secondsAgos));
if (!success) {
if (keccak256(data) != keccak256(abi.encodeWithSignature("Error(string)", "OLD"))) revertBytes(data);
// The oldest available observation in the ring buffer is the index following the current (accounting for wrapping),
// since this is the one that will be overwritten next.
(,, uint16 index, uint16 cardinality,,,) = IUniswapV3Pool(pool).slot0();
(uint32 oldestAvailableAge,,,bool initialized) = IUniswapV3Pool(pool).observations((index + 1) % cardinality);
// If the following observation in a ring buffer of our current cardinality is uninitialized, then all the
// observations at higher indices are also uninitialized, so we wrap back to index 0, which we now know
// to be the oldest available observation.
if (!initialized) (oldestAvailableAge,,,) = IUniswapV3Pool(pool).observations(0);
// Call observe() again to get the oldest available
ago = block.timestamp - oldestAvailableAge;
secondsAgos[0] = uint32(ago);
(success, data) = pool.staticcall(abi.encodeWithSelector(IUniswapV3Pool.observe.selector, secondsAgos));
if (!success) revertBytes(data);
}
// If uniswap pool doesn't exist, then data will be empty and this decode will throw:
int56[] memory tickCumulatives = abi.decode(data, (int56[])); // don't bother decoding the liquidityCumulatives array
int24 tick = int24((tickCumulatives[1] - tickCumulatives[0]) / int56(int(ago)));
uint160 sqrtPriceX96 = TickMath.getSqrtRatioAtTick(tick);
return (decodeSqrtPriceX96(assetCache, sqrtPriceX96), ago);
}
function resolvePricingConfig(AssetCache memory assetCache, AssetConfig memory config) private view returns (address underlying, uint16 pricingType, uint32 pricingParameters, uint24 twapWindow) {
if (assetCache.pricingType == PRICINGTYPE__FORWARDED) {
underlying = pTokenLookup[assetCache.underlying];
AssetConfig memory newConfig = resolveAssetConfig(underlying);
twapWindow = newConfig.twapWindow;
AssetStorage storage newAssetStorage = eTokenLookup[newConfig.eTokenAddress];
pricingType = newAssetStorage.pricingType;
pricingParameters = newAssetStorage.pricingParameters;
require(pricingType != PRICINGTYPE__FORWARDED, "e/nested-price-forwarding");
} else {
underlying = assetCache.underlying;
pricingType = assetCache.pricingType;
pricingParameters = assetCache.pricingParameters;
twapWindow = config.twapWindow;
}
}
function getPriceInternal(AssetCache memory assetCache, AssetConfig memory config) public view FREEMEM returns (uint twap, uint twapPeriod) {
(address underlying, uint16 pricingType, uint32 pricingParameters, uint24 twapWindow) = resolvePricingConfig(assetCache, config);
if (pricingType == PRICINGTYPE__PEGGED) {
twap = 1e18;
twapPeriod = twapWindow;
} else if (pricingType == PRICINGTYPE__UNISWAP3_TWAP) {
address pool = computeUniswapPoolAddress(underlying, uint24(pricingParameters));
(twap, twapPeriod) = callUniswapObserve(assetCache, pool, twapWindow);
} else {
revert("e/unknown-pricing-type");
}
}
function getPrice(address underlying) external view override returns (uint twap, uint twapPeriod) {
AssetConfig memory config = resolveAssetConfig(underlying);
AssetStorage storage assetStorage = eTokenLookup[config.eTokenAddress];
AssetCache memory assetCache = loadAssetCacheRO(underlying, assetStorage);
(twap, twapPeriod) = getPriceInternal(assetCache, config);
}
// This function is only meant to be called from a view so it doesn't need to be optimised.
// The Euler protocol itself doesn't ever use currPrice as returned by this function.
function getPriceFull(address underlying) external view override returns (uint twap, uint twapPeriod, uint currPrice) {
AssetConfig memory config = resolveAssetConfig(underlying);
AssetStorage storage assetStorage = eTokenLookup[config.eTokenAddress];
AssetCache memory assetCache = loadAssetCacheRO(underlying, assetStorage);
(twap, twapPeriod) = getPriceInternal(assetCache, config);
(address newUnderlying, uint16 pricingType, uint32 pricingParameters,) = resolvePricingConfig(assetCache, config);
if (pricingType == PRICINGTYPE__PEGGED) {
currPrice = 1e18;
} else Eif (pricingType == PRICINGTYPE__UNISWAP3_TWAP || pricingType == PRICINGTYPE__FORWARDED) {
AssetCache memory newAssetCache = loadAssetCacheRO(newUnderlying, assetStorage);
address pool = computeUniswapPoolAddress(newUnderlying, uint24(pricingParameters));
(uint160 sqrtPriceX96,,,,,,) = IUniswapV3Pool(pool).slot0();
currPrice = decodeSqrtPriceX96(newAssetCache, sqrtPriceX96);
} else {
revert("e/unknown-pricing-type");
}
}
// Liquidity
function computeLiquidityRaw(address account, address[] memory underlyings) private view returns (LiquidityStatus memory status) {
status.collateralValue = 0;
status.liabilityValue = 0;
status.numBorrows = 0;
status.borrowIsolated = false;
AssetConfig memory config;
AssetStorage storage assetStorage;
AssetCache memory assetCache;
for (uint i = 0; i < underlyings.length; ++i) {
address underlying = underlyings[i];
config = resolveAssetConfig(underlying);
assetStorage = eTokenLookup[config.eTokenAddress];
uint balance = assetStorage.users[account].balance;
uint owed = assetStorage.users[account].owed;
if (owed != 0) {
initAssetCache(underlying, assetStorage, assetCache);
(uint price,) = getPriceInternal(assetCache, config);
status.numBorrows++;
if (config.borrowIsolated) status.borrowIsolated = true;
uint assetLiability = getCurrentOwed(assetStorage, assetCache, account);
if (balance != 0) { // self-collateralisation
uint balanceInUnderlying = balanceToUnderlyingAmount(assetCache, balance);
uint selfAmount = assetLiability;
uint selfAmountAdjusted = assetLiability * CONFIG_FACTOR_SCALE / SELF_COLLATERAL_FACTOR;
if (selfAmountAdjusted > balanceInUnderlying) {
selfAmount = balanceInUnderlying * SELF_COLLATERAL_FACTOR / CONFIG_FACTOR_SCALE;
selfAmountAdjusted = balanceInUnderlying;
}
{
uint assetCollateral = (balanceInUnderlying - selfAmountAdjusted) * config.collateralFactor / CONFIG_FACTOR_SCALE;
assetCollateral += selfAmount;
status.collateralValue += assetCollateral * price / 1e18;
}
assetLiability -= selfAmount;
status.liabilityValue += selfAmount * price / 1e18;
status.borrowIsolated = true; // self-collateralised loans are always isolated
}
assetLiability = assetLiability * price / 1e18;
assetLiability = config.borrowFactor != 0 ? assetLiability * CONFIG_FACTOR_SCALE / config.borrowFactor : MAX_SANE_DEBT_AMOUNT;
status.liabilityValue += assetLiability;
} else if (balance != 0 && config.collateralFactor != 0) {
initAssetCache(underlying, assetStorage, assetCache);
(uint price,) = getPriceInternal(assetCache, config);
uint balanceInUnderlying = balanceToUnderlyingAmount(assetCache, balance);
uint assetCollateral = balanceInUnderlying * price / 1e18;
assetCollateral = assetCollateral * config.collateralFactor / CONFIG_FACTOR_SCALE;
status.collateralValue += assetCollateral;
}
}
}
function computeLiquidity(address account) public view override returns (LiquidityStatus memory) {
return computeLiquidityRaw(account, getEnteredMarketsArray(account));
}
function computeAssetLiquidities(address account) external view override returns (AssetLiquidity[] memory) {
address[] memory underlyings = getEnteredMarketsArray(account);
AssetLiquidity[] memory output = new AssetLiquidity[](underlyings.length);
address[] memory singleUnderlying = new address[](1);
for (uint i = 0; i < underlyings.length; ++i) {
output[i].underlying = singleUnderlying[0] = underlyings[i];
output[i].status = computeLiquidityRaw(account, singleUnderlying);
}
return output;
}
function requireLiquidity(address account) external view override {
LiquidityStatus memory status = computeLiquidity(account);
require(!status.borrowIsolated || status.numBorrows == 1, "e/borrow-isolation-violation");
require(status.collateralValue >= status.liabilityValue, "e/collateral-violation");
}
}
|