Fix PerpV2 Strategy Extension price feed bug (#12)

* Fix price feed bug

* Remove unnecessary file

* Add suggested changes; Improve javadoc

* Add basePriceDecimalAdjustment as a contract setting

* Bump package version

Co-authored-by: Richard Liang <[email protected]>

Author: Sachin

contracts/extensions/PerpV2LeverageStrategyExtension.sol

@@ -33,7 +33,7 @@ import { PreciseUnitMath } from "@setprotocol/set-protocol-v2/contracts/lib/Prec
 import { BaseExtension } from "../lib/BaseExtension.sol";
 import { IAccountBalance } from "../interfaces/IAccountBalance.sol";
 import { IBaseManager } from "../interfaces/IBaseManager.sol";
-import { IChainlinkAggregatorV3 } from "../interfaces/IChainlinkAggregatorV3.sol";
+import { IPriceFeed } from "../interfaces/IPriceFeed.sol";
 import { IVault } from "../interfaces/IVault.sol";
 
 import { StringArrayUtils } from "../lib/StringArrayUtils.sol";
@@ -70,12 +70,12 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
 
     struct ActionInfo {
         int256 baseBalance;                                 // Balance of virtual base asset from Perp in precise units (10e18). E.g. vWBTC = 10e18
-        int256 quoteBalance;                                // Balance of virtual quote asset from Perp in precise units (10e18). E.g. vUSDC = 10e18
+        int256 quoteBalance;                                // Balance of virtual quote asset from Perp in precise units (10e18). E.g. vUSD = 10e18
         IPerpV2LeverageModule.AccountInfo accountInfo;      // Info on perpetual account including, collateral balance, owedRealizedPnl and pendingFunding
         int256 basePositionValue;                           // Valuation in USD adjusted for decimals in precise units (10e18)
         int256 quoteValue;                                  // Valuation in USD adjusted for decimals in precise units (10e18)
-        int256 basePrice;                                   // Price of base asset in precise units (10e18) from Chainlink
-        int256 quotePrice;                                  // Price of quote asset in precise units (10e18) from Chainlink
+        int256 basePrice;                                   // Price of base asset in precise units (10e18) from PerpV2 Oracle
+        int256 quotePrice;                                  // Price of quote asset in precise units (10e18) from PerpV2 Oracle
         uint256 setTotalSupply;                             // Total supply of SetToken
     }
 
@@ -90,8 +90,13 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
         ISetToken setToken;                             // Instance of leverage token
         IPerpV2LeverageModule perpV2LeverageModule;     // Instance of Perp V2 leverage module
         IAccountBalance perpV2AccountBalance;           // Instance of Perp V2 AccountBalance contract used to fetch position balances
-        IChainlinkAggregatorV3 basePriceOracle;         // Chainlink oracle feed that returns prices in 8 decimals for base asset
-        IChainlinkAggregatorV3 quotePriceOracle;        // Chainlink oracle feed that returns prices in 8 decimals for quote asset
+        IPriceFeed baseUSDPriceOracle;                  // PerpV2 oracle that returns TWAP price for base asset in USD. IPriceFeed is a PerpV2 specific interface
+                                                        // to interact with differnt oracle providers, e.g. Band Protocol and Chainlink, for different assets
+                                                        // listed on PerpV2
+        uint256 twapInterval;                           // TWAP interval to be used to fetch base asset price in seconds
+                                                        // PerpV2 uses a 15 min TWAP interval, i.e. twapInterval = 900
+        uint256 basePriceDecimalAdjustment;             // Decimal adjustment for the price returned by the PerpV2 oracle for the base asset. 
+                                                        // Equal to vBaseAsset.decimals() - baseUSDPriceOracle.decimals()
         address virtualBaseAddress;                     // Address of virtual base asset (e.g. vETH, vWBTC etc)
         address virtualQuoteAddress;                    // Address of virtual USDC quote asset. The Perp V2 system uses USDC for all markets
     }
@@ -747,23 +752,25 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
     function _createActionInfo() internal view returns(ActionInfo memory) {
         ActionInfo memory rebalanceInfo;
 
-        // Calculate prices from chainlink. Chainlink returns prices with 8 decimal places, so we need to adjust by 10 ** 10.
-        // In Perp v2, virtual tokens all have 18 decimals, therefore we do not need to make further adjustments to determine
-        // base and quote valuation
-        int256 rawBasePrice = strategy.basePriceOracle.latestAnswer();
-        int256 rawQuotePrice = strategy.quotePriceOracle.latestAnswer();
-        rebalanceInfo.basePrice = rawBasePrice.mul(10 ** 10);
-        rebalanceInfo.quotePrice = rawQuotePrice.mul(10 ** 10);
+        // Fetch base token prices from PerpV2 oracles and adjust them to 18 decimal places.
+        int256 rawBasePrice = strategy.baseUSDPriceOracle.getPrice(strategy.twapInterval).toInt256();
+        uint256 decimals = strategy.baseUSDPriceOracle.decimals();
+        rebalanceInfo.basePrice = rawBasePrice.mul((10 ** strategy.basePriceDecimalAdjustment).toInt256());
+        
+        // vUSD price is fixed to 1$
+        rebalanceInfo.quotePrice = PreciseUnitMath.preciseUnit().toInt256();
 
         // Note: getTakerPositionSize returns zero if base balance is less than 10 wei
         rebalanceInfo.baseBalance = strategy.perpV2AccountBalance.getTakerPositionSize(address(strategy.setToken), strategy.virtualBaseAddress);
 
         // Note: Fetching quote balance associated with a single position and not the net quote balance
         rebalanceInfo.quoteBalance = strategy.perpV2AccountBalance.getTakerOpenNotional(address(strategy.setToken), strategy.virtualBaseAddress);
+        
         rebalanceInfo.accountInfo = strategy.perpV2LeverageModule.getAccountInfo(strategy.setToken);
 
+        // In Perp v2, all virtual tokens have 18 decimals, therefore we do not need to make further adjustments to determine base valuation.
         rebalanceInfo.basePositionValue = rebalanceInfo.basePrice.preciseMul(rebalanceInfo.baseBalance);
-        rebalanceInfo.quoteValue = rebalanceInfo.quotePrice.preciseMul(rebalanceInfo.quoteBalance);
+        rebalanceInfo.quoteValue = rebalanceInfo.quoteBalance;
 
         rebalanceInfo.setTotalSupply = strategy.setToken.totalSupply();
 

contracts/interfaces/IPriceFeed.sol

@@ -0,0 +1,10 @@
+// SPDX-License-Identifier: MIT License
+pragma solidity 0.6.10;
+
+interface IPriceFeed {
+    function decimals() external view returns (uint8);
+
+    /// @dev Returns the index price of the token.
+    /// @param interval The interval represents twap interval.
+    function getPrice(uint256 interval) external view returns (uint256);
+}

contracts/mocks/PerpV2PriceFeedMock.sol

@@ -0,0 +1,50 @@
+/*
+    Copyright 2022 Set Labs Inc.
+
+    Licensed under the Apache License, Version 2.0 (the "License");
+    you may not use this file except in compliance with the License.
+    You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+    Unless required by applicable law or agreed to in writing, software
+    distributed under the License is distributed on an "AS IS" BASIS,
+    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+    See the License for the specific language governing permissions and
+    limitations under the License.
+
+    SPDX-License-Identifier: Apache License, Version 2.0
+*/
+
+pragma solidity 0.6.10;
+
+/**
+ * Mock PerpV2 Price Feed.
+ */
+contract PerpV2PriceFeedMock {
+    uint8 public decimals;
+    uint256 internal price;
+
+    constructor(uint8 _decimals) public {
+        decimals = _decimals;
+    }
+
+    /**
+     * Typical usage for setting the BaseToken oracle to 100 is:
+     *
+     * ```
+     *  await mockPriceFeed.setPrice(ethers.utils.parseUnits("100", decimals));
+     * ```
+     */
+    function setPrice(uint256 _price) public {
+        price = _price;
+    }
+
+    
+    /**
+     * Returns the index price of the token.
+     */
+    function getPrice(uint256 /*interval*/) external view returns (uint256) {
+        return price;
+    }
+}

package.json

@@ -1,6 +1,6 @@
 {
   "name": "@setprotocol/set-v2-strategies",
-  "version": "0.0.2",
+  "version": "0.0.3",
   "description": "",
   "main": "dist",
   "types": "dist/types",