program: derive auction for crossing limit with no duration (#802)

* program: derive auction for crossing limit with no duration

* modify order should default to setting auction params as empty so place can derive auction

* tweak modify order again

* tweaks

* add tests

programs/drift/src/controller/orders.rs

@@ -98,7 +98,7 @@ pub fn place_perp_order(
     spot_market_map: &SpotMarketMap,
     oracle_map: &mut OracleMap,
     clock: &Clock,
-    params: OrderParams,
+    mut params: OrderParams,
     mut options: PlaceOrderOptions,
 ) -> DriftResult {
     let now = clock.unix_timestamp;
@@ -220,6 +220,10 @@ pub fn place_perp_order(
     };
 
     let oracle_price_data = oracle_map.get_price_data(&market.amm.oracle)?;
+
+    // updates auction params for crossing limit orders w/out auction duration
+    params.update_perp_auction_params(market, oracle_price_data.price)?;
+
     let (auction_start_price, auction_end_price, auction_duration) = get_auction_params(
         &params,
         oracle_price_data,
@@ -813,15 +817,19 @@ fn merge_modify_order_params_with_existing_order(
     let oracle_price_offset = modify_order_params
         .oracle_price_offset
         .or(Some(existing_order.oracle_price_offset));
-    let auction_duration = modify_order_params
-        .auction_duration
-        .or(Some(existing_order.auction_duration));
-    let auction_start_price = modify_order_params
-        .auction_start_price
-        .or(Some(existing_order.auction_start_price));
-    let auction_end_price = modify_order_params
-        .auction_end_price
-        .or(Some(existing_order.auction_end_price));
+    let (auction_duration, auction_start_price, auction_end_price) =
+        if modify_order_params.auction_duration.is_some()
+            && modify_order_params.auction_start_price.is_some()
+            && modify_order_params.auction_end_price.is_some()
+        {
+            (
+                modify_order_params.auction_duration,
+                modify_order_params.auction_start_price,
+                modify_order_params.auction_end_price,
+            )
+        } else {
+            (None, None, None)
+        };
 
     Ok(OrderParams {
         order_type,

programs/drift/src/state/order_params.rs

@@ -1,9 +1,18 @@
 use crate::controller::position::PositionDirection;
+use crate::error::DriftResult;
+use crate::math::casting::Cast;
+use crate::math::safe_math::SafeMath;
+use crate::state::perp_market::PerpMarket;
 use crate::state::user::{MarketType, OrderTriggerCondition, OrderType};
+use crate::PERCENTAGE_PRECISION_U64;
 use anchor_lang::prelude::*;
 use borsh::{BorshDeserialize, BorshSerialize};
+use std::ops::Div;
 
-#[derive(AnchorSerialize, AnchorDeserialize, Clone, Default, Copy)]
+#[cfg(test)]
+mod tests;
+
+#[derive(AnchorSerialize, AnchorDeserialize, Clone, Default, Copy, Eq, PartialEq, Debug)]
 pub struct OrderParams {
     pub order_type: OrderType,
     pub market_type: MarketType,
@@ -24,6 +33,76 @@ pub struct OrderParams {
     pub auction_end_price: Option<i64>,
 }
 
+impl OrderParams {
+    pub fn update_perp_auction_params(
+        &mut self,
+        perp_market: &PerpMarket,
+        oracle_price: i64,
+    ) -> DriftResult {
+        if self.order_type != OrderType::Limit {
+            return Ok(());
+        }
+
+        if self.auction_duration.is_some() {
+            return Ok(());
+        }
+
+        if self.post_only != PostOnlyParam::None {
+            return Ok(());
+        }
+
+        if self.immediate_or_cancel {
+            return Ok(());
+        }
+
+        if self.oracle_price_offset.is_some() || self.price == 0 {
+            return Ok(());
+        }
+
+        match self.direction {
+            PositionDirection::Long => {
+                let ask_premium = perp_market.amm.last_ask_premium()?;
+                let est_ask = oracle_price.safe_add(ask_premium)?.cast()?;
+                if self.price > est_ask {
+                    let auction_duration =
+                        get_auction_duration(self.price.safe_sub(est_ask)?, est_ask)?;
+                    let auction_start_price = est_ask as i64;
+                    let auction_end_price = self.price as i64;
+                    msg!("derived auction params for limit order. duration = {} start_price = {} end_price = {}", auction_duration, auction_start_price, auction_end_price);
+                    self.auction_duration = Some(auction_duration);
+                    self.auction_start_price = Some(auction_start_price);
+                    self.auction_end_price = Some(auction_end_price);
+                }
+            }
+            PositionDirection::Short => {
+                let bid_discount = perp_market.amm.last_bid_discount()?;
+                let est_bid = oracle_price.safe_sub(bid_discount)?.cast()?;
+                if self.price < est_bid {
+                    let auction_duration =
+                        get_auction_duration(est_bid.safe_sub(self.price)?, est_bid)?;
+                    let auction_start_price = est_bid as i64;
+                    let auction_end_price = self.price as i64;
+                    msg!("derived auction params for limit order. duration = {} start_price = {} end_price = {}", auction_duration, auction_start_price, auction_end_price);
+                    self.auction_duration = Some(auction_duration);
+                    self.auction_start_price = Some(auction_start_price);
+                    self.auction_end_price = Some(auction_end_price);
+                }
+            }
+        }
+
+        Ok(())
+    }
+}
+
+fn get_auction_duration(price_diff: u64, price: u64) -> DriftResult<u8> {
+    let percent_diff = price_diff.safe_mul(PERCENTAGE_PRECISION_U64)?.div(price);
+
+    Ok(percent_diff
+        .safe_mul(60)?
+        .safe_div_ceil(PERCENTAGE_PRECISION_U64 / 100)? // 1% = 60 seconds
+        .clamp(10, 60) as u8)
+}
+
 #[derive(Clone, Copy, BorshSerialize, BorshDeserialize, PartialEq, Debug, Eq)]
 pub enum PostOnlyParam {
     None,

programs/drift/src/state/order_params/tests.rs

@@ -0,0 +1,223 @@
+mod get_auction_duration {
+    use crate::state::order_params::get_auction_duration;
+    use crate::PRICE_PRECISION_U64;
+
+    #[test]
+    fn test() {
+        let price_diff = 0;
+        let price = 100 * PRICE_PRECISION_U64;
+
+        let duration = get_auction_duration(price_diff, price).unwrap();
+        assert_eq!(duration, 10);
+
+        let price_diff = PRICE_PRECISION_U64 / 10;
+        let price = 100 * PRICE_PRECISION_U64;
+
+        let duration = get_auction_duration(price_diff, price).unwrap();
+        assert_eq!(duration, 10);
+
+        let price_diff = PRICE_PRECISION_U64 / 2;
+        let price = 100 * PRICE_PRECISION_U64;
+
+        let duration = get_auction_duration(price_diff, price).unwrap();
+        assert_eq!(duration, 30);
+
+        let price_diff = PRICE_PRECISION_U64;
+        let price = 100 * PRICE_PRECISION_U64;
+
+        let duration = get_auction_duration(price_diff, price).unwrap();
+        assert_eq!(duration, 60);
+
+        let price_diff = 2 * PRICE_PRECISION_U64;
+        let price = 100 * PRICE_PRECISION_U64;
+
+        let duration = get_auction_duration(price_diff, price).unwrap();
+        assert_eq!(duration, 60);
+    }
+}
+
+mod update_perp_auction_params {
+    use crate::state::order_params::PostOnlyParam;
+    use crate::state::perp_market::{PerpMarket, AMM};
+    use crate::state::user::OrderType;
+    use crate::{
+        OrderParams, PositionDirection, AMM_RESERVE_PRECISION, BID_ASK_SPREAD_PRECISION,
+        PEG_PRECISION, PRICE_PRECISION_I64, PRICE_PRECISION_U64,
+    };
+
+    #[test]
+    fn test() {
+        let oracle_price = 100 * PRICE_PRECISION_I64;
+        let mut amm = AMM {
+            base_asset_reserve: 100 * AMM_RESERVE_PRECISION,
+            quote_asset_reserve: 100 * AMM_RESERVE_PRECISION,
+            short_spread: (BID_ASK_SPREAD_PRECISION / 100) as u32,
+            long_spread: (BID_ASK_SPREAD_PRECISION / 100) as u32,
+            sqrt_k: 100 * AMM_RESERVE_PRECISION,
+            peg_multiplier: 100 * PEG_PRECISION,
+            ..AMM::default()
+        };
+        amm.historical_oracle_data.last_oracle_price = oracle_price;
+        let perp_market = PerpMarket {
+            amm,
+            ..PerpMarket::default()
+        };
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Market,
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_eq!(order_params_before, order_params_after);
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: Some(0),
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_eq!(order_params_before, order_params_after);
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: None,
+            post_only: PostOnlyParam::MustPostOnly,
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_eq!(order_params_before, order_params_after);
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: None,
+            post_only: PostOnlyParam::None,
+            immediate_or_cancel: true,
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_eq!(order_params_before, order_params_after);
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: None,
+            post_only: PostOnlyParam::None,
+            immediate_or_cancel: false,
+            oracle_price_offset: Some(0),
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_eq!(order_params_before, order_params_after);
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: None,
+            post_only: PostOnlyParam::None,
+            immediate_or_cancel: false,
+            oracle_price_offset: None,
+            price: 0,
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_eq!(order_params_before, order_params_after);
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: None,
+            post_only: PostOnlyParam::None,
+            immediate_or_cancel: false,
+            oracle_price_offset: None,
+            price: 100 * PRICE_PRECISION_U64,
+            direction: PositionDirection::Long,
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_eq!(order_params_before, order_params_after);
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: None,
+            post_only: PostOnlyParam::None,
+            immediate_or_cancel: false,
+            oracle_price_offset: None,
+            price: 102 * PRICE_PRECISION_U64,
+            direction: PositionDirection::Long,
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_ne!(order_params_before, order_params_after);
+        assert_eq!(order_params_after.auction_duration, Some(60));
+        assert_eq!(
+            order_params_after.auction_start_price,
+            Some(101 * PRICE_PRECISION_I64)
+        );
+        assert_eq!(
+            order_params_after.auction_end_price,
+            Some(102 * PRICE_PRECISION_I64)
+        );
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: None,
+            post_only: PostOnlyParam::None,
+            immediate_or_cancel: false,
+            oracle_price_offset: None,
+            price: 100 * PRICE_PRECISION_U64,
+            direction: PositionDirection::Short,
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_eq!(order_params_before, order_params_after);
+
+        let order_params_before = OrderParams {
+            order_type: OrderType::Limit,
+            auction_duration: None,
+            post_only: PostOnlyParam::None,
+            immediate_or_cancel: false,
+            oracle_price_offset: None,
+            price: 98 * PRICE_PRECISION_U64,
+            direction: PositionDirection::Short,
+            ..OrderParams::default()
+        };
+        let mut order_params_after = order_params_before;
+        order_params_after
+            .update_perp_auction_params(&perp_market, oracle_price)
+            .unwrap();
+        assert_ne!(order_params_before, order_params_after);
+        assert_eq!(order_params_after.auction_duration, Some(60));
+        assert_eq!(
+            order_params_after.auction_start_price,
+            Some(99 * PRICE_PRECISION_I64)
+        );
+        assert_eq!(
+            order_params_after.auction_end_price,
+            Some(98 * PRICE_PRECISION_I64)
+        );
+    }
+}