Summary

This PR replaces the reserve-and-cap risk model with the haircut model adapted from Percolator in both the Anchor and Quasar perpetual futures implementations. The key insight: trader profit is a junior claim backed by liquidity-provider capital and an insurance fund, not a capped reserve.

Key Changes

Risk Model Overhaul:

• Removed reserved_liquidity field and all up-front reserve accounting
• Eliminated the open-interest cap that prevented positions from opening when reserved + size > liquidity
• Positions now open freely regardless of pool backing; solvency is enforced at exit instead

Haircut Mechanism:

• Added haircut_ratio() function that computes h = min(1, backing / liability) where:
  • backing = liquidity + insurance_fund
  • liability = max(0, traders' aggregate unrealized profit)
• When h < 1, every closing winner is paid the same fraction of their profit, preventing selective defaults
• As losses settle back in, h rises automatically without governance intervention

Profit Maturation Gate:

• Added profit_warmup_slots parameter to prevent oracle-spike arbitrage
• Profit cannot be realized until current_slot >= entry_slot + profit_warmup_slots
• Losses can be closed immediately (no manipulation incentive to lock down losses)
• Applied in close_position before haircut is computed

Insurance Fund:

• Replaced reserve concept with explicit insurance_fund field
• Added insurance_fee_bps parameter: fraction of every open/close fee routed to insurance
• Insurance fund absorbs bankruptcy deficits (losses exceeding collateral) before socializing to LPs
• Counts as backing for profit alongside liquidity in haircut calculation

Fee Splitting:

• Added split_fee() helper to divide fees between insurance fund and protocol fees
• Ensures no base units are lost between the two cuts

State Changes:

• Pool: removed reserved_liquidity, added insurance_fund and profit_warmup_slots
• Position: added entry_slot to track when profit maturation window began
• PoolParameters: added insurance_fee_bps and profit_warmup_slots fields

Implementation Details

• Haircut is computed before the closing position leaves the accumulators, so the closer is one of the winners being scaled rather than scaling only those left behind
• Haircut division floors, ensuring payouts never exceed backing
• Provider withdrawals are capped at tracked liquidity (not AUM), preventing over-withdrawal when marked gains haven't settled
• Liquidation now draws deficits from insurance fund first, then socializes remainder to LPs
• Comprehensive test coverage added for haircut scaling, maturation gates, insurance fund mechanics, and bankruptcy absorption

Testing

Added 8 new tests covering:

• Positions opening without full backing
• Profit running uncapped when fully backed
• Haircut scaling profit when pool is stressed
• Profit blocked before maturation, realized after
• Losses not gated by maturation
• Insurance fund accumulation and bankruptcy absorption
• Provider withdrawal limits under marked gains

https://claude.ai/code/session_012D5CfmXC1Ztae1NMrD7Yrm