Merge pull request #203 from InjectiveLabs/fix/margin_calculation_floating_point_error

fix/margin calculation floating point error

Author: achilleas-kal

README.md

@@ -78,6 +78,9 @@ Note that the [sync client](https://github.com/InjectiveLabs/sdk-python/blob/mas
 
 
 ### Changelogs
+**0.6.2.7**
+* Fix margin calculation in utils
+
 **0.6.2.1**
 * Remove version deps from Pipfile
 

pyinjective/utils.py

@@ -1,5 +1,6 @@
 from decimal import Decimal
 from math import floor
+from typing import Union
 
 """
 One thing you may need to pay more attention to is how to deal with decimals on the Injective Exchange.
@@ -56,9 +57,13 @@ def binary_options_quantity_to_backend(quantity, denom) -> int:
     return int(exchange_quantity)
 
 def derivative_margin_to_backend(price, quantity, leverage, denom) -> int:
-    price_tick_size = Decimal(denom.min_price_tick_size) / pow(10, denom.quote)
-    margin = (price * quantity) / leverage
-    exchange_margin = floor_to(margin, float(price_tick_size)) * pow(10, 18 + denom.quote)
+    chain_format_price = Decimal(str(price)) * Decimal(f"1e{denom.quote}")
+    chain_format_quantity = Decimal(str(quantity)) * Decimal(f"1e{denom.base}")
+    decimal_leverage = Decimal(str(leverage))
+    margin = (chain_format_price * chain_format_quantity) / decimal_leverage
+    # We are using the min_quantity_tick_size to quantize the margin because that is the way margin is validated
+    # in the chain (it might be changed to a min_notional in the future)
+    exchange_margin = floor_to(margin, denom.min_quantity_tick_size) * Decimal(f"1e18")
     return int(exchange_margin)
 
 def binary_options_buy_margin_to_backend(price, quantity, denom) -> int:
@@ -82,7 +87,7 @@ def amount_to_backend(amount, decimals) -> int:
     be_amount = amount * pow(10, decimals)
     return int(be_amount)
 
-def floor_to(value: float, target: float) -> Decimal:
+def floor_to(value: Union[float, Decimal], target: Union[float, Decimal]) -> Decimal:
     value_tmp = Decimal(str(value))
     target_tmp = Decimal(str(target))
     result = int(floor(value_tmp / target_tmp)) * target_tmp

setup.py

@@ -17,7 +17,7 @@
 EMAIL = "[email protected]"
 AUTHOR = "Injective Labs"
 REQUIRES_PYTHON = ">=3.7.0"
-VERSION = "0.6.2.6"
+VERSION = "0.6.2.7"
 
 REQUIRED = [
     "protobuf",