program: handle fallback price when amm has no liquidity (#324)

* program: handle fallback price when amm has no liquidity * update CHANGELOG * tweak get_fallback_price
drift-labs · Jan 13, 2023 · cb07de3 · cb07de3
1 parent 1fc9958
commit cb07de3
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Showing 6 changed files with 31 additions and 9 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -11,6 +11,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Fixes
 
+- program: handle fallback price when amm has no liquidity ([#324](https://github.com/drift-labs/protocol-v2/pull/324))
 - sdk: add getRestingLimitBids/Asks to DLOB ([#325](https://github.com/drift-labs/protocol-v2/pull/325))
 - program: tweak oracle price used for determine_perp_fulfillment_methods
 

diff --git a/programs/drift/src/controller/orders.rs b/programs/drift/src/controller/orders.rs
@@ -56,6 +56,7 @@ use crate::math::spot_balance::{get_signed_token_amount, get_token_amount};
 use crate::math::stats::calculate_new_twap;
 use crate::math::{amm, fees, margin::*, orders::*};
 
+use crate::math::amm::calculate_amm_available_liquidity;
 use crate::math::safe_unwrap::SafeUnwrap;
 use crate::print_error;
 use crate::state::events::{emit_stack, get_order_action_record, OrderActionRecord, OrderRecord};
@@ -1734,7 +1735,14 @@ pub fn fulfill_perp_order_with_match(
 
     let oracle_price = oracle_map.get_price_data(&market.amm.oracle)?.price;
     let taker_direction = taker.orders[taker_order_index].direction;
-    let taker_fallback_price = get_fallback_price(&taker_direction, bid_price, ask_price);
+    let amm_available_liquidity = calculate_amm_available_liquidity(&market.amm, &taker_direction)?;
+    let taker_fallback_price = get_fallback_price(
+        &taker_direction,
+        bid_price,
+        ask_price,
+        amm_available_liquidity,
+        oracle_price,
+    )?;
     let mut taker_price = taker.orders[taker_order_index].force_get_limit_price(
         Some(oracle_price),
         Some(taker_fallback_price),

diff --git a/programs/drift/src/controller/orders/tests.rs b/programs/drift/src/controller/orders/tests.rs
@@ -3132,7 +3132,7 @@ pub mod fulfill_order {
 
                     ..HistoricalOracleData::default()
                 },
-
+                max_fill_reserve_fraction: 1,
                 ..AMM::default()
             },
             margin_ratio_initial: 1000,

diff --git a/programs/drift/src/math/amm.rs b/programs/drift/src/math/amm.rs
@@ -705,7 +705,7 @@ pub fn is_oracle_mark_too_divergent(
     Ok(price_spread_pct.unsigned_abs() > max_divergence)
 }
 
-pub fn calculate_max_base_asset_amount_fillable(
+pub fn calculate_amm_available_liquidity(
     amm: &AMM,
     order_direction: &PositionDirection,
 ) -> DriftResult<u64> {

diff --git a/programs/drift/src/math/orders.rs b/programs/drift/src/math/orders.rs
@@ -6,7 +6,7 @@ use crate::controller::position::PositionDelta;
 use crate::controller::position::PositionDirection;
 use crate::error::{DriftResult, ErrorCode};
 use crate::math;
-use crate::math::amm::calculate_max_base_asset_amount_fillable;
+use crate::math::amm::calculate_amm_available_liquidity;
 use crate::math::auction::is_auction_complete;
 use crate::math::casting::Cast;
 
@@ -62,8 +62,7 @@ pub fn calculate_base_asset_amount_for_amm_to_fulfill(
         limit_price,
         Some(existing_base_asset_amount),
     )?;
-    let max_base_asset_amount =
-        calculate_max_base_asset_amount_fillable(&market.amm, &order.direction)?;
+    let max_base_asset_amount = calculate_amm_available_liquidity(&market.amm, &order.direction)?;
 
     Ok((min(base_asset_amount, max_base_asset_amount), limit_price))
 }
@@ -517,10 +516,23 @@ pub fn validate_fill_price(
     Ok(())
 }
 
-pub fn get_fallback_price(direction: &PositionDirection, bid_price: u64, ask_price: u64) -> u64 {
+pub fn get_fallback_price(
+    direction: &PositionDirection,
+    bid_price: u64,
+    ask_price: u64,
+    amm_available_liquidity: u64,
+    oracle_price: i64,
+) -> DriftResult<u64> {
+    let oracle_price = oracle_price.unsigned_abs();
     match direction {
-        PositionDirection::Long => ask_price,
-        PositionDirection::Short => bid_price,
+        PositionDirection::Long if amm_available_liquidity > 0 => {
+            ask_price.safe_add(ask_price / 200)
+        }
+        PositionDirection::Long => oracle_price.safe_add(oracle_price / 20),
+        PositionDirection::Short if amm_available_liquidity > 0 => {
+            bid_price.safe_sub(bid_price / 200)
+        }
+        PositionDirection::Short => oracle_price.safe_sub(oracle_price / 20),
     }
 }
 

diff --git a/programs/drift/src/state/perp_market.rs b/programs/drift/src/state/perp_market.rs
@@ -625,6 +625,7 @@ impl AMM {
             min_base_asset_reserve: 0,
             terminal_quote_asset_reserve: default_reserves,
             peg_multiplier: crate::math::constants::PEG_PRECISION,
+            max_fill_reserve_fraction: 1,
             max_spread: 1000,
             historical_oracle_data: HistoricalOracleData {
                 last_oracle_price: PRICE_PRECISION_I64,