Crispheaney/guard bad limit order fills

programs/drift/src/controller/orders.rs

@@ -1731,12 +1731,24 @@ 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)?
+    {
+        taker_price = match taker_direction {
+            PositionDirection::Long => taker_price.min(ask_price),
+            PositionDirection::Short => taker_price.max(bid_price),
+        };
+    }
+
     let taker_existing_position = taker
         .get_perp_position(market.market_index)?
         .base_asset_amount;

sdk/src/dlob/DLOB.ts

@@ -26,6 +26,9 @@ import {
 	UserMap,
 	OrderRecord,
 	OrderActionRecord,
+	isLimitOrder,
+	ZERO,
+	BN_MAX,
 } from '..';
 import { PublicKey } from '@solana/web3.js';
 import { DLOBNode, DLOBNodeType, TriggerOrderNode } from '..';
@@ -1009,7 +1012,9 @@ 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>();
 
@@ -1047,6 +1052,33 @@ export class DLOB {
 					bidNode
 				);
 
+				// extra guard against bad fills for perp limit orders where auction is incomplete
+				if (
+					isVariant(takerNode.order.marketType, 'perp') &&
+					isLimitOrder(takerNode.order) &&
+					!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
 				);