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19/amm-jit-base-amount-fix #280

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merged 8 commits into from
Dec 8, 2022
Merged

19/amm-jit-base-amount-fix #280

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db66a12
init
0xNineteen Dec 7, 2022
5e65fd5
update changelog
0xNineteen Dec 7, 2022
534e889
fix
0xNineteen Dec 7, 2022
7e01dd2
fix
0xNineteen Dec 7, 2022
af5a0df
fix other cargo tests
0xNineteen Dec 7, 2022
77a657f
fix if nesting
0xNineteen Dec 8, 2022
b5e78e7
fix
0xNineteen Dec 8, 2022
f65f989
Merge branch 'master' into 19/amm-jit-base-amount-fix
crispheaney Dec 8, 2022
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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
Expand Down
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,
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so this was the key issue identified and remedied here? maker amount for match is now whatever the maker has offered rather than the taker's amount leftover

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yup

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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