Merge pull request #2019 from bitshares/jmj_460

Prevent black swan in prediction markets

Author: abitmore

libraries/chain/db_market.cpp

@@ -1003,6 +1003,14 @@ bool database::check_call_orders( const asset_object& mia, bool enable_black_swa
     if( !mia.is_market_issued() ) return false;
 
     const asset_bitasset_data_object& bitasset = ( bitasset_ptr ? *bitasset_ptr : mia.bitasset_data(*this) );
+    
+    // price feeds can cause black swans in prediction markets
+    // The hardfork check may be able to be removed after the hardfork date
+    // if check_for_blackswan never triggered a black swan on a prediction market.
+    // NOTE: check_for_blackswan returning true does not always mean a black
+    // swan was triggered.
+    if ( maint_time >= HARDFORK_CORE_460_TIME && bitasset.is_prediction_market )
+       return false;
 
     if( check_for_blackswan( mia, enable_black_swan, &bitasset ) )
        return false;

libraries/chain/hardfork.d/CORE_460.hf

@@ -0,0 +1,4 @@
+// bitshares-core issue #460 Prediction Market price feed should not cause black swan
+#ifndef HARDFORK_CORE_460_TIME
+#define HARDFORK_CORE_460_TIME (fc::time_point_sec( 1609372800 ) ) // 2020-12-31T00:00:00
+#endif

tests/tests/operation_tests.cpp

@@ -840,6 +840,68 @@ BOOST_AUTO_TEST_CASE( prediction_market_resolves_to_0 )
    }
 }
 
+/***
+ * Prediction markets should not suffer a black swan (Issue #460)
+ */
+BOOST_AUTO_TEST_CASE( prediction_market_black_swan )
+{ 
+   try {
+      ACTORS((judge)(dan)(nathan));
+
+      // progress to recent hardfork
+      generate_blocks( HARDFORK_CORE_1270_TIME );
+      set_expiration( db, trx );
+
+      const auto& pmark = create_prediction_market("PMARK", judge_id);
+
+      int64_t init_balance(1000000);
+      transfer(committee_account, judge_id, asset(init_balance));
+      transfer(committee_account, dan_id, asset(init_balance));
+
+      update_feed_producers( pmark, { judge_id });
+      price_feed feed;
+      feed.settlement_price = asset( 1, pmark.id ) / asset( 1 );
+      publish_feed( pmark, judge, feed );
+
+      borrow( dan, pmark.amount(1000), asset(1000) );
+
+      // feed a price that will cause a black swan
+      feed.settlement_price = asset( 1, pmark.id ) / asset( 1000 );
+      publish_feed( pmark, judge, feed );
+
+      // verify a black swan happened
+      GRAPHENE_REQUIRE_THROW(borrow( dan, pmark.amount(1000), asset(1000) ), fc::exception);
+      trx.clear();
+
+      // progress past hardfork
+      generate_blocks( HARDFORK_CORE_460_TIME + db.get_global_properties().parameters.maintenance_interval );
+      set_expiration( db, trx );
+
+      // create another prediction market to test the hardfork
+      const auto& pmark2 = create_prediction_market("PMARKII", judge_id);
+      update_feed_producers( pmark2, { judge_id });
+      price_feed feed2;
+      feed2.settlement_price = asset( 1, pmark2.id ) / asset( 1 );
+      publish_feed( pmark2, judge, feed2 );
+
+      borrow( dan, pmark2.amount(1000), asset(1000) );
+
+      // feed a price that would have caused a black swan
+      feed2.settlement_price = asset( 1, pmark2.id ) / asset( 1000 );
+      publish_feed( pmark2, judge, feed2 );
+
+      // verify a black swan did not happen
+      borrow( dan, pmark2.amount(1000), asset(1000) );
+
+      generate_block(~database::skip_transaction_dupe_check);
+      generate_blocks( db.get_dynamic_global_properties().next_maintenance_time );
+      generate_block();
+   } catch( const fc::exception& e) {
+      edump((e.to_detail_string()));
+      throw;
+   }
+}
+
 BOOST_AUTO_TEST_CASE( create_account_test )
 {
    try {