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Crispheaney/guard bad limit order fills #304

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merged 7 commits into from
Dec 22, 2022
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Crispheaney/guard bad limit order fills #304

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e1b1d5f
program: use vamm price to gaurd against bad fill for limit order
crispheaney Dec 22, 2022
7cb05b3
dlob tweak
crispheaney Dec 22, 2022
73c7962
fix build
crispheaney Dec 22, 2022
6529e30
tweak dlob logic
crispheaney Dec 22, 2022
c06c8e9
add tests
crispheaney Dec 22, 2022
86750dd
Merge branch 'master' into crispheaney/guard-bad-limit-order-fills
crispheaney Dec 22, 2022
7bbb64f
update CHANGELOG
crispheaney Dec 22, 2022
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2 changes: 2 additions & 0 deletions CHANGELOG.md
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Expand Up @@ -9,6 +9,8 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Features

- program: user vamm price to guard against bad fills for limit orders ([#304](https://github.com/drift-labs/protocol-v2/pull/304))

### Fixes

### Breaking
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28 changes: 27 additions & 1 deletion programs/drift/src/controller/orders.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -1731,12 +1731,38 @@ 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 taker_price = taker.orders[taker_order_index].force_get_limit_price(
let mut taker_price = taker.orders[taker_order_index].force_get_limit_price(
Some(oracle_price),
Some(taker_fallback_price),
slot,
market.amm.order_tick_size,
)?;

// if the auction isn't complete, cant fill against vamm yet
// use the vamm price to guard against bad fill for taker
if taker.orders[taker_order_index].is_limit_order()
&& !taker.orders[taker_order_index].is_auction_complete(slot)?
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should check vs min_perp_auction_duration instead of auction completeness

{
taker_price = match taker_direction {
PositionDirection::Long => {
msg!(
"taker limit order auction incomplete. vamm ask {} taker price {}",
ask_price,
taker_price
);
taker_price.min(ask_price)
}
PositionDirection::Short => {
msg!(
"taker limit order auction incomplete. vamm bid {} taker price {}",
bid_price,
taker_price
);
taker_price.max(bid_price)
}
};
}

let taker_existing_position = taker
.get_perp_position(market.market_index)?
.base_asset_amount;
Expand Down
196 changes: 196 additions & 0 deletions programs/drift/src/controller/orders/tests.rs
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Expand Up @@ -2172,6 +2172,202 @@ pub mod fulfill_order_with_maker_order {
assert_eq!(market.amm.total_fee_minus_distributions, 20000);
assert_eq!(market.amm.net_revenue_since_last_funding, 20000);
}

#[test]
fn taker_limit_bid_fails_to_cross_because_of_vamm_guard() {
let now = 5_i64;
let slot = 5_u64;

let mut maker = User {
orders: get_orders(Order {
market_index: 0,
post_only: true,
order_type: OrderType::Limit,
direction: PositionDirection::Short,
base_asset_amount: BASE_PRECISION_U64,
slot: 0,
price: 150 * PRICE_PRECISION_U64,
..Order::default()
}),
perp_positions: get_positions(PerpPosition {
market_index: 0,
open_orders: 1,
open_asks: -BASE_PRECISION_I64,
..PerpPosition::default()
}),
..User::default()
};

let mut taker = User {
orders: get_orders(Order {
market_index: 0,
order_type: OrderType::Limit,
direction: PositionDirection::Long,
base_asset_amount: BASE_PRECISION_U64,
price: 150 * PRICE_PRECISION_U64,
auction_duration: 10,
..Order::default()
}),
perp_positions: get_positions(PerpPosition {
market_index: 0,
open_orders: 1,
open_bids: BASE_PRECISION_I64,
..PerpPosition::default()
}),
..User::default()
};

let mut oracle_price = get_pyth_price(100, 6);
let oracle_price_key =
Pubkey::from_str("J83w4HKfqxwcq3BEMMkPFSppX3gqekLyLJBexebFVkix").unwrap();
let pyth_program = crate::ids::pyth_program::id();
create_account_info!(
oracle_price,
&oracle_price_key,
&pyth_program,
oracle_account_info
);
let mut oracle_map = OracleMap::load_one(&oracle_account_info, slot, None).unwrap();

let mut market = PerpMarket::default_test();
market.amm.peg_multiplier = 100 * PEG_PRECISION;
market.amm.oracle = oracle_price_key;

let fee_structure = get_fee_structure();
let (maker_key, taker_key, filler_key) = get_user_keys();

let mut order_records = vec![];

let mut taker_stats = UserStats::default();
let mut maker_stats = UserStats::default();

let oracle_price = 100 * PRICE_PRECISION_I64;

let (base_asset_amount, _) = fulfill_perp_order_with_match(
&mut market,
&mut taker,
&mut taker_stats,
0,
&taker_key,
&mut maker,
&mut Some(&mut maker_stats),
0,
&maker_key,
&mut None,
&mut None,
&filler_key,
&mut None,
&mut None,
0,
Some(oracle_price),
now,
slot,
&fee_structure,
&mut oracle_map,
&mut order_records,
)
.unwrap();

assert_eq!(base_asset_amount, 0);
}

#[test]
fn taker_limit_ask_fails_to_cross_because_of_vamm_guard() {
let now = 5_i64;
let slot = 5_u64;

let mut maker = User {
orders: get_orders(Order {
market_index: 0,
post_only: true,
order_type: OrderType::Limit,
direction: PositionDirection::Long,
base_asset_amount: BASE_PRECISION_U64,
slot: 0,
price: 50 * PRICE_PRECISION_U64,
..Order::default()
}),
perp_positions: get_positions(PerpPosition {
market_index: 0,
open_orders: 1,
open_asks: -BASE_PRECISION_I64,
..PerpPosition::default()
}),
..User::default()
};

let mut taker = User {
orders: get_orders(Order {
market_index: 0,
order_type: OrderType::Limit,
direction: PositionDirection::Short,
base_asset_amount: BASE_PRECISION_U64,
price: 50 * PRICE_PRECISION_U64,
auction_duration: 10,
..Order::default()
}),
perp_positions: get_positions(PerpPosition {
market_index: 0,
open_orders: 1,
open_bids: BASE_PRECISION_I64,
..PerpPosition::default()
}),
..User::default()
};

let mut oracle_price = get_pyth_price(100, 6);
let oracle_price_key =
Pubkey::from_str("J83w4HKfqxwcq3BEMMkPFSppX3gqekLyLJBexebFVkix").unwrap();
let pyth_program = crate::ids::pyth_program::id();
create_account_info!(
oracle_price,
&oracle_price_key,
&pyth_program,
oracle_account_info
);
let mut oracle_map = OracleMap::load_one(&oracle_account_info, slot, None).unwrap();

let mut market = PerpMarket::default_test();
market.amm.peg_multiplier = 100 * PEG_PRECISION;
market.amm.oracle = oracle_price_key;

let fee_structure = get_fee_structure();
let (maker_key, taker_key, filler_key) = get_user_keys();

let mut order_records = vec![];

let mut taker_stats = UserStats::default();
let mut maker_stats = UserStats::default();

let oracle_price = 100 * PRICE_PRECISION_I64;

let (base_asset_amount, _) = fulfill_perp_order_with_match(
&mut market,
&mut taker,
&mut taker_stats,
0,
&taker_key,
&mut maker,
&mut Some(&mut maker_stats),
0,
&maker_key,
&mut None,
&mut None,
&filler_key,
&mut None,
&mut None,
0,
Some(oracle_price),
now,
slot,
&fee_structure,
&mut oracle_map,
&mut order_records,
)
.unwrap();

assert_eq!(base_asset_amount, 0);
}
}

pub mod fulfill_order {
Expand Down
33 changes: 31 additions & 2 deletions sdk/src/dlob/DLOB.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -26,6 +26,8 @@ import {
UserMap,
OrderRecord,
OrderActionRecord,
ZERO,
BN_MAX,
} from '..';
import { PublicKey } from '@solana/web3.js';
import { DLOBNode, DLOBNodeType, TriggerOrderNode } from '..';
Expand Down Expand Up @@ -440,7 +442,9 @@ export class DLOB {
marketIndex,
slot,
marketType,
oraclePriceData
oraclePriceData,
fallbackAsk,
fallbackBid
);

for (const crossingNode of crossingNodes) {
Expand Down Expand Up @@ -1009,7 +1013,9 @@ export class DLOB {
marketIndex: number,
slot: number,
marketType: MarketType,
oraclePriceData: OraclePriceData
oraclePriceData: OraclePriceData,
fallbackAsk: BN | undefined,
fallbackBid: BN | undefined
): NodeToFill[] {
const nodesToFill = new Array<NodeToFill>();

Expand Down Expand Up @@ -1047,6 +1053,29 @@ export class DLOB {
bidNode
);

// extra guard against bad fills for limit orders where auction is incomplete
if (!isAuctionComplete(takerNode.order, slot)) {
let bidPrice: BN;
let askPrice: BN;
if (isVariant(takerNode.order.direction, 'long')) {
bidPrice = BN.min(
takerNode.getPrice(oraclePriceData, slot),
fallbackAsk || BN_MAX
);
askPrice = makerNode.getPrice(oraclePriceData, slot);
} else {
bidPrice = makerNode.getPrice(oraclePriceData, slot);
askPrice = BN.max(
takerNode.getPrice(oraclePriceData, slot),
fallbackBid || ZERO
);
}

if (bidPrice.lt(askPrice)) {
continue;
}
}

const bidBaseRemaining = bidOrder.baseAssetAmount.sub(
bidOrder.baseAssetAmountFilled
);
Expand Down