Skip to content

Commit

Permalink
program: tweaks to fix max leverage order param flag (#351)
Browse files Browse the repository at this point in the history 
* temp

* update to handle margin ratios increasing with order size

* revert change to fetchLogs

* update CHANGELOG
  • Loading branch information
@crispheaney
crispheaney committed Feb 8, 2023
1 parent 4d17e19 commit ab2d280
Show file tree
Hide file tree
Showing 3 changed files with 95 additions and 28 deletions.
2 changes: 2 additions & 0 deletions CHANGELOG.md
View file
Original file line number Diff line number Diff line change
Expand Up @@ -12,6 +12,8 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Fixes

- program: tweaks to fix max leverage order param flag with imf factor ([#351](https://github.com/drift-labs/protocol-v2/pull/351))

### Breaking

## [2.15.0] - 2023-02-07
Expand Down
115 changes: 90 additions & 25 deletions programs/drift/src/math/orders.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -710,41 +710,64 @@ pub fn calculate_max_perp_order_size(
MarginRequirementType::Initial,
)?;

let mut order_size = 0_u64;
let mut order_size_to_flip = 0_u64;
// account for order flipping worst case base asset amount
if worst_case_base_asset_amount < 0 && direction == PositionDirection::Long {
order_size = worst_case_base_asset_amount
order_size_to_flip = worst_case_base_asset_amount
.abs()
.cast::<i64>()?
.safe_sub(base_asset_amount.safe_add(perp_position.open_bids)?)?
.unsigned_abs();
} else if worst_case_base_asset_amount > 0 && direction == PositionDirection::Short {
order_size = worst_case_base_asset_amount
order_size_to_flip = worst_case_base_asset_amount
.neg()
.cast::<i64>()?
.safe_sub(base_asset_amount.safe_add(perp_position.open_asks)?)?
.unsigned_abs();
}

if free_collateral <= 0 {
let max_risk_reducing_order_size = base_asset_amount.safe_mul(2)?.unsigned_abs();
let max_risk_reducing_order_size = base_asset_amount
.safe_mul(2)?
.unsigned_abs()
.saturating_sub(1);
return standardize_base_asset_amount(
order_size.min(max_risk_reducing_order_size),
order_size_to_flip.min(max_risk_reducing_order_size),
perp_market.amm.order_step_size,
);
}

let order_size = free_collateral
let mut order_size = free_collateral
.safe_sub(OPEN_ORDER_MARGIN_REQUIREMENT.cast()?)?
.safe_mul(BASE_PRECISION_I128 / QUOTE_PRECISION_I128)?
.safe_mul(MARGIN_PRECISION_U128.cast()?)?
.safe_div(margin_ratio.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(oracle_price_data.price.cast()?)?
.cast::<u64>()?
.safe_add(order_size)?;
.cast::<u64>()?;

let updated_margin_ratio = perp_market.get_margin_ratio(
worst_case_base_asset_amount
.unsigned_abs()
.safe_add(order_size.cast()?)?,
MarginRequirementType::Initial,
)?;

standardize_base_asset_amount(order_size, perp_market.amm.order_step_size)
if updated_margin_ratio != margin_ratio {
order_size = free_collateral
.safe_sub(OPEN_ORDER_MARGIN_REQUIREMENT.cast()?)?
.safe_mul(BASE_PRECISION_I128 / QUOTE_PRECISION_I128)?
.safe_mul(MARGIN_PRECISION_U128.cast()?)?
.safe_div(updated_margin_ratio.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(oracle_price_data.price.cast()?)?
.cast::<u64>()?;
}

standardize_base_asset_amount(
order_size.safe_add(order_size_to_flip)?,
perp_market.amm.order_step_size,
)
}

pub fn calculate_max_spot_order_size(
Expand All @@ -767,7 +790,7 @@ pub fn calculate_max_spot_order_size(
true,
)?;

let mut order_size = 0_u64;
let mut order_size_to_flip = 0_u64;
let mut free_collateral = total_collateral.safe_sub(margin_requirement.cast()?)?;

let spot_market = spot_market_map.get_ref(&market_index)?;
Expand Down Expand Up @@ -846,7 +869,7 @@ pub fn calculate_max_spot_order_size(
free_collateral_consumption_after.safe_sub(free_collateral_consumption_before)?,
)?;

order_size = bids_to_flip.cast()?;
order_size_to_flip = bids_to_flip.cast()?;
} else if worst_case_token_amount > 0 && direction == PositionDirection::Short {
let asset_weight = spot_market.get_asset_weight(
worst_case_token_amount.unsigned_abs(),
Expand Down Expand Up @@ -889,36 +912,78 @@ pub fn calculate_max_spot_order_size(
free_collateral_contribution_after.safe_sub(free_collateral_contribution_before)?,
)?;

order_size = asks_to_flip.abs().cast()?;
order_size_to_flip = asks_to_flip.abs().cast()?;
}

if free_collateral <= 0 {
let max_risk_reducing_order_size = signed_token_amount.safe_mul(2)?.abs().cast::<u64>()?;
let max_risk_reducing_order_size = signed_token_amount
.safe_mul(2)?
.abs()
.cast::<u64>()?
.saturating_sub(1);
return standardize_base_asset_amount(
order_size.min(max_risk_reducing_order_size),
order_size_to_flip.min(max_risk_reducing_order_size),
spot_market.order_step_size,
);
}

let free_collateral_delta = if direction == PositionDirection::Long {
SPOT_WEIGHT_PRECISION.sub(spot_market.initial_asset_weight)
} else {
spot_market
.initial_liability_weight
.sub(SPOT_WEIGHT_PRECISION)
};
let free_collateral_delta = calculate_free_collateral_delta_for_spot(
&spot_market,
worst_case_token_amount.unsigned_abs(),
direction,
)?;

let precision_increase = 10i128.pow(spot_market.decimals - 6);

let order_size = free_collateral
let mut order_size = free_collateral
.safe_sub(OPEN_ORDER_MARGIN_REQUIREMENT.cast()?)?
.safe_mul(precision_increase)?
.safe_mul(SPOT_WEIGHT_PRECISION.cast()?)?
.safe_div(free_collateral_delta.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(max_oracle_price.cast()?)?
.cast::<u64>()?
.safe_add(order_size)?;
.cast::<u64>()?;

// increasing the worst case token amount with new order size may increase margin ration,
// so need to recalculate free collateral delta with updated margin ratio
let updated_free_collateral_delta = calculate_free_collateral_delta_for_spot(
&spot_market,
worst_case_token_amount
.unsigned_abs()
.safe_add(order_size.cast()?)?,
direction,
)?;

if updated_free_collateral_delta != free_collateral_delta {
order_size = free_collateral
.safe_sub(OPEN_ORDER_MARGIN_REQUIREMENT.cast()?)?
.safe_mul(precision_increase)?
.safe_mul(SPOT_WEIGHT_PRECISION.cast()?)?
.safe_div(updated_free_collateral_delta.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(max_oracle_price.cast()?)?
.cast::<u64>()?;
}

standardize_base_asset_amount(
order_size.safe_add(order_size_to_flip)?,
spot_market.order_step_size,
)
}

standardize_base_asset_amount(order_size, spot_market.order_step_size)
fn calculate_free_collateral_delta_for_spot(
spot_market: &SpotMarket,
worst_case_token_amount: u128,
order_direction: PositionDirection,
) -> DriftResult<u32> {
Ok(if order_direction == PositionDirection::Long {
SPOT_WEIGHT_PRECISION.sub(
spot_market
.get_asset_weight(worst_case_token_amount, &MarginRequirementType::Initial)?,
)
} else {
spot_market
.get_liability_weight(worst_case_token_amount, &MarginRequirementType::Initial)?
.sub(SPOT_WEIGHT_PRECISION)
})
}
6 changes: 3 additions & 3 deletions programs/drift/src/math/orders/tests.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -1644,7 +1644,7 @@ mod calculate_max_spot_order_size {
)
.unwrap();

assert_eq!(max_order_size, 1000000000000);
assert_eq!(max_order_size, 999999999999);
}

#[test]
Expand Down Expand Up @@ -2085,7 +2085,7 @@ mod calculate_max_perp_order_size {
)
.unwrap();

assert_eq!(max_order_size, 1000000000000);
assert_eq!(max_order_size, 999999999000);
}

#[test]
Expand Down Expand Up @@ -2301,6 +2301,6 @@ mod calculate_max_perp_order_size {
)
.unwrap();

assert_eq!(max_order_size, 1000000000000);
assert_eq!(max_order_size, 999999999000);
}
}

0 comments on commit ab2d280

Please sign in to comment.