Perpetual futures: initial margin, and a pool-maintained price average with a trading band - #176
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…e with a trading band Initial margin: max_leverage becomes initial_margin_bps, which must exceed maintenance_margin_bps (InitialMarginNotAboveMaintenance). open_position requires net collateral of at least initial_margin_bps of the size (InitialMarginNotMet); the separate maintenance check at open is implied. Price band: the pool keeps a time-weighted average of the oracle price (average_price, last_oracle_price, average_price_timestamp, ten-minute window). Each fold credits the elapsed time to the price seen at the previous read, so one manipulated read after an idle spell moves nothing. open_position, close_position, add_liquidity and remove_liquidity refuse an oracle price more than max_price_deviation_bps from the average (PriceOutsideBand). liquidate_position and the new permissionless update_price_average() fold without the check, so liquidations run through a genuine move and the average can catch up with it. All three implementations; anchor 37, anchor-v1 37, quasar 28 tests. Claude-Session: https://claude.ai/code/session_019G9tytYrS3Qp42fZ1hBnDu (cherry picked from commit 1f1a46e)
This was referenced Oct 1, 2026
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From Noah Prince's review of the book's Perpetual Futures chapter. All three implementations (Anchor v2, Anchor v1, Quasar).
Initial margin
max_leveragebecomesinitial_margin_bps, validated abovemaintenance_margin_bps(InitialMarginNotAboveMaintenance).open_positionrequires net collateral of at leastinitial_margin_bpsof the size (InitialMarginNotMet, replacingLeverageTooHigh); the separate maintenance check at open is implied by the initial margin being higher. Maximum leverage is one over the initial margin.Price band
The pool keeps a time-weighted average of the oracle price:
average_price,last_oracle_price,average_price_timestamp, overPRICE_AVERAGE_WINDOW_SECONDS(600). Each update credits the elapsed time to the price seen at the previous read, so a single manipulated read after an idle spell moves nothing (test_one_manipulated_read_after_idle_does_not_move_average).open_position,close_position,add_liquidityandremove_liquidityrefuse an oracle price more thanmax_price_deviation_bpsfrom the stored average (PriceOutsideBand).liquidate_positionfolds the price in without the check, so liquidations run through a genuine move.update_price_average()lets the average catch up after a genuine move.Tests
Anchor v2: 37, Anchor v1: 37, Quasar: 28, all passing;
cargo fmtandclippy -D warningsclean.Split out of #175, which is the fundraiser fix only. #179 (the haircut risk model, replacing the closed #83) builds on this branch; merge this one first.
🤖 Generated with Claude Code
https://claude.ai/code/session_019G9tytYrS3Qp42fZ1hBnDu