program: do imf size discount for maintainance spot asset weight (#343)

* bigz/size-discount-maint-ast-wgt * rm deps/serum-dex * add changelog * Revert "rm deps/serum-dex" This reverts commit 73a4a3d. * revet deps/serum-dex --------- Co-authored-by: Chris Heaney <[email protected]>
drift-labs · Feb 3, 2023 · 1c14532 · 1c14532
1 parent 8a7d488
commit 1c14532
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -9,6 +9,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 ## [Unreleased]
 
 ### Features
+- program: do imf size discount for maintainance spot asset weight ([#343](https://github.com/drift-labs/protocol-v2/pull/343))
 
 - ts-sdk: new liquidation price to account for delta neutral strategies ([#340](https://github.com/drift-labs/protocol-v2/pull/340))
 - ts-sdk: add txParams to all instructions, bump @solana/web3.js ([#344](https://github.com/drift-labs/protocol-v2/pull/344))

diff --git a/programs/drift/src/state/spot_market.rs b/programs/drift/src/state/spot_market.rs
@@ -173,14 +173,20 @@ impl SpotMarket {
         } else {
             (size * AMM_RESERVE_PRECISION) / size_precision
         };
-        let asset_weight = match margin_requirement_type {
-            MarginRequirementType::Initial => calculate_size_discount_asset_weight(
-                size_in_amm_reserve_precision,
-                self.imf_factor,
-                self.initial_asset_weight,
-            )?,
+
+        let default_asset_weight = match margin_requirement_type {
+            MarginRequirementType::Initial => self.initial_asset_weight,
             MarginRequirementType::Maintenance => self.maintenance_asset_weight,
         };
+
+        let size_based_asset_weight = calculate_size_discount_asset_weight(
+            size_in_amm_reserve_precision,
+            self.imf_factor,
+            default_asset_weight,
+        )?;
+
+        let asset_weight = size_based_asset_weight.min(default_asset_weight);
+
         Ok(asset_weight)
     }
 

diff --git a/sdk/src/math/spotBalance.ts b/sdk/src/math/spotBalance.ts
@@ -131,7 +131,11 @@ export function calculateAssetWeight(
 			);
 			break;
 		case 'Maintenance':
-			assetWeight = new BN(spotMarket.maintenanceAssetWeight);
+			assetWeight = calculateSizeDiscountAssetWeight(
+				sizeInAmmReservePrecision,
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.maintenanceAssetWeight)
+			);
 			break;
 		default:
 			assetWeight = new BN(spotMarket.initialAssetWeight);