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program: fix amm-jit so makers can fill the full size of their order …
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…after amm-jit occurs (#280)

* init

* update changelog

* fix

* fix

* fix other cargo tests

* fix if nesting

* fix

Co-authored-by: Chris Heaney <[email protected]>
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@0xNineteen @crispheaney
0xNineteen and crispheaney committed Dec 8, 2022
1 parent fa263ac commit 997d44d
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Showing 4 changed files with 254 additions and 63 deletions.
2 changes: 2 additions & 0 deletions CHANGELOG.md
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Original file line number Diff line number Diff line change
Expand Up @@ -13,6 +13,8 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Fixes

- program: fix amm-jit so makers can fill the full size of their order after amm-jit occurs ([#280](https://github.com/drift-labs/protocol-v2/pull/280))

### Breaking

## [2.3.0] - 2022-12-07
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105 changes: 52 additions & 53 deletions programs/drift/src/controller/orders.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -1794,61 +1794,59 @@ pub fn fulfill_perp_order_with_match(
let amm_wants_to_make = match taker_direction {
PositionDirection::Long => market.amm.base_asset_amount_with_amm < 0,
PositionDirection::Short => market.amm.base_asset_amount_with_amm > 0,
};
} && market.amm.amm_jit_is_active();

// taker has_limit_price = false means (limit price = 0 AND auction is complete) so
// market order will always land and fill on amm next round
let amm_will_fill_next_round = !taker.orders[taker_order_index].has_limit_price(slot)?
&& maker_base_asset_amount < taker_base_asset_amount;

let mut total_quote_asset_amount = 0_u64;
let base_asset_amount_left_to_fill = if amm_wants_to_make && market.amm.amm_jit_is_active() {
let jit_base_asset_amount = if !taker.orders[taker_order_index].has_limit_price(slot)?
&& maker_base_asset_amount < taker_base_asset_amount
{
0
} else {
crate::math::amm_jit::calculate_jit_base_asset_amount(
if amm_wants_to_make && !amm_will_fill_next_round {
let jit_base_asset_amount = crate::math::amm_jit::calculate_jit_base_asset_amount(
market,
base_asset_amount,
maker_price,
valid_oracle_price,
taker_direction,
)?;

if jit_base_asset_amount > 0 {
let (_, quote_asset_amount_filled_by_amm) = fulfill_perp_order_with_amm(
taker,
taker_stats,
taker_order_index,
market,
base_asset_amount,
maker_price,
oracle_map,
reserve_price_before,
now,
slot,
valid_oracle_price,
taker_direction,
)?
taker_key,
filler_key,
filler,
filler_stats,
&mut None,
&mut None,
fee_structure,
order_records,
Some(jit_base_asset_amount),
Some(maker_price), // match the makers price
false, // dont split with the lps
)?;
total_quote_asset_amount = quote_asset_amount_filled_by_amm;
};
};

if jit_base_asset_amount > 0 {
let (base_asset_amount_filled_by_amm, quote_asset_amount_filled_by_amm) =
fulfill_perp_order_with_amm(
taker,
taker_stats,
taker_order_index,
market,
oracle_map,
reserve_price_before,
now,
slot,
valid_oracle_price,
taker_key,
filler_key,
filler,
filler_stats,
&mut None,
&mut None,
fee_structure,
order_records,
Some(jit_base_asset_amount),
Some(maker_price), // match the makers price
false, // dont split with the lps
)?;

total_quote_asset_amount = quote_asset_amount_filled_by_amm;
let taker_existing_position = taker
.get_perp_position(market.market_index)?
.base_asset_amount;

base_asset_amount.safe_sub(base_asset_amount_filled_by_amm)?
} else {
base_asset_amount
}
} else {
base_asset_amount
};
let taker_base_asset_amount = taker.orders[taker_order_index]
.get_base_asset_amount_unfilled(Some(taker_existing_position))?;

let (base_asset_amount_fulfilled, quote_asset_amount) = calculate_fill_for_matched_orders(
base_asset_amount_left_to_fill,
maker_base_asset_amount,
maker_price,
taker_base_asset_amount,
PERP_DECIMALS,
Expand All @@ -1863,6 +1861,7 @@ pub fn fulfill_perp_order_with_match(
taker_price,
true,
)?;

validate_fill_price(
quote_asset_amount,
base_asset_amount_fulfilled,
Expand All @@ -1880,7 +1879,7 @@ pub fn fulfill_perp_order_with_match(
)?;

let maker_position_delta = get_position_delta_for_fill(
base_asset_amount_left_to_fill,
base_asset_amount_fulfilled,
quote_asset_amount,
maker.orders[maker_order_index].direction,
)?;
Expand All @@ -1904,7 +1903,7 @@ pub fn fulfill_perp_order_with_match(
)?;

let taker_position_delta = get_position_delta_for_fill(
base_asset_amount_left_to_fill,
base_asset_amount_fulfilled,
quote_asset_amount,
taker.orders[taker_order_index].direction,
)?;
Expand Down Expand Up @@ -2014,26 +2013,26 @@ pub fn fulfill_perp_order_with_match(

update_order_after_fill(
&mut taker.orders[taker_order_index],
base_asset_amount_left_to_fill,
base_asset_amount_fulfilled,
quote_asset_amount,
)?;

decrease_open_bids_and_asks(
&mut taker.perp_positions[taker_position_index],
&taker.orders[taker_order_index].direction,
base_asset_amount_left_to_fill,
base_asset_amount_fulfilled,
)?;

update_order_after_fill(
&mut maker.orders[maker_order_index],
base_asset_amount_left_to_fill,
base_asset_amount_fulfilled,
quote_asset_amount,
)?;

decrease_open_bids_and_asks(
&mut maker.perp_positions[maker_position_index],
&maker.orders[maker_order_index].direction,
base_asset_amount_left_to_fill,
base_asset_amount_fulfilled,
)?;

let fill_record_id = get_then_update_id!(market, next_fill_record_id);
Expand All @@ -2050,7 +2049,7 @@ pub fn fulfill_perp_order_with_match(
Some(*filler_key),
Some(fill_record_id),
Some(filler_reward),
Some(base_asset_amount_left_to_fill),
Some(base_asset_amount_fulfilled),
Some(quote_asset_amount),
Some(taker_fee),
Some(maker_rebate),
Expand Down
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