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Bigz/amm spread inventory pct #374

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merged 14 commits into from
Feb 28, 2023
Merged

Bigz/amm spread inventory pct #374

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2ad5e55
bigz/amm-spread-inventory-pct
0xbigz Feb 21, 2023
a096509
Merge branch 'master' into bigz/amm-spread-inventory-pct
0xbigz Feb 24, 2023
f1900c9
wip2
0xbigz Feb 26, 2023
a860f16
Merge branch 'master' into bigz/amm-spread-inventory-pct
0xbigz Feb 27, 2023
68d4c3e
working rust
0xbigz Feb 27, 2023
a26b86d
amm.ts: add sdk for new inventory spread scale
0xbigz Feb 27, 2023
65beb53
fix test
0xbigz Feb 27, 2023
f285db8
fix test 2
0xbigz Feb 27, 2023
518905b
Merge branch 'master' into bigz/amm-spread-inventory-pct
0xbigz Feb 28, 2023
70da6b6
update CHANGELOG.md
0xbigz Feb 28, 2023
7a21dd4
incorp feedback add tests
0xbigz Feb 28, 2023
49d8062
add mirror rust test for ts test
0xbigz Feb 28, 2023
7bc1ea2
make ts more consistent w/ rust impl
0xbigz Feb 28, 2023
f00f32d
Merge branch 'master' into bigz/amm-spread-inventory-pct
crispheaney Feb 28, 2023
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22 changes: 14 additions & 8 deletions programs/drift/src/controller/repeg/tests.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -158,7 +158,10 @@ pub fn update_amm_test() {
assert_eq!(reserve_price, 12743902015);
assert_eq!(ask, 12762712014);
assert!(ask >= (oracle_price_data.price as u64));
assert!((ask - bid) * 1000000 / reserve_price == market.amm.max_spread as u64);
assert_eq!(
(ask - bid) * 1000000 / reserve_price,
(market.amm.max_spread) as u64
);
}

#[test]
Expand Down Expand Up @@ -264,8 +267,8 @@ pub fn update_amm_larg_conf_test() {
let cost_of_update = _update_amm(&mut market, &oracle_price_data, &state, now, slot).unwrap();
assert_eq!(cost_of_update, -42992787); // amm wins when price increases

assert_eq!(market.amm.short_spread, 975 - market.amm.long_spread);
assert_eq!(market.amm.long_spread, 76);
assert_eq!(market.amm.short_spread, 975 - 76);

let reserve_price_after = market.amm.reserve_price().unwrap();
assert_eq!(reserve_price_after, 18849999999);
Expand All @@ -291,7 +294,7 @@ pub fn update_amm_larg_conf_test() {

assert_eq!(market.amm.long_spread, 76);
assert_eq!(market.amm.peg_multiplier, 19443664550);
assert_eq!(market.amm.short_spread, 975 - 76);
assert_eq!(market.amm.short_spread, 975 - market.amm.long_spread);

// add move lower
let oracle_price_data = OraclePriceData {
Expand Down Expand Up @@ -320,7 +323,7 @@ pub fn update_amm_larg_conf_test() {
let cost_of_update = _update_amm(&mut market, &oracle_price_data, &state, now, slot).unwrap();
assert_eq!(cost_of_update, 30468749);
assert_eq!(market.amm.long_spread, 60);
assert_eq!(market.amm.short_spread, 975 - 60);
assert_eq!(market.amm.short_spread, 975 - market.amm.long_spread);

let mrk = market.amm.reserve_price().unwrap();
let (bid, ask) = market.amm.bid_ask_price(mrk).unwrap();
Expand All @@ -342,7 +345,7 @@ pub fn update_amm_larg_conf_test() {
let cost_of_update = _update_amm(&mut market, &oracle_price_data, &state, now, slot).unwrap();
assert_eq!(cost_of_update, -3046875);
assert_eq!(market.amm.long_spread, 60);
assert_eq!(market.amm.short_spread, 975 - 60);
assert_eq!(market.amm.short_spread, 975 - market.amm.long_spread);

let mrk = market.amm.reserve_price().unwrap();
let (bid, ask) = market.amm.bid_ask_price(mrk).unwrap();
Expand Down Expand Up @@ -416,7 +419,10 @@ pub fn update_amm_larg_conf_w_neg_tfmd_test() {
assert_eq!(market.amm.last_update_slot, slot);

assert_eq!(market.amm.long_spread, 389);
assert_eq!(market.amm.short_spread, 975 - 389);
assert_eq!(
market.amm.short_spread,
market.amm.max_spread - market.amm.long_spread
);

let reserve_price_after = market.amm.reserve_price().unwrap();
assert_eq!(reserve_price_after, 18849999999);
Expand Down Expand Up @@ -490,7 +496,7 @@ pub fn update_amm_larg_conf_w_neg_tfmd_test() {
assert_eq!(market.amm.last_update_slot, slot);

assert_eq!(market.amm.long_spread, 369);
assert_eq!(market.amm.short_spread, 975 - 369);
assert_eq!(market.amm.short_spread, 975 - market.amm.long_spread);

let mrk = market.amm.reserve_price().unwrap();
let (bid, ask) = market.amm.bid_ask_price(mrk).unwrap();
Expand All @@ -514,7 +520,7 @@ pub fn update_amm_larg_conf_w_neg_tfmd_test() {
let cost_of_update = _update_amm(&mut market, &oracle_price_data, &state, now, slot).unwrap();
assert_eq!(cost_of_update, 299367);
assert_eq!(market.amm.long_spread, 378);
assert_eq!(market.amm.short_spread, 975 - 378);
assert_eq!(market.amm.short_spread, 975 - market.amm.long_spread);

let mrk = market.amm.reserve_price().unwrap();
let (bid, ask) = market.amm.bid_ask_price(mrk).unwrap();
Expand Down
77 changes: 56 additions & 21 deletions programs/drift/src/math/amm_spread.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -8,17 +8,19 @@ use crate::math::amm::_calculate_market_open_bids_asks;
use crate::math::bn::U192;
use crate::math::casting::Cast;
use crate::math::constants::{
AMM_RESERVE_PRECISION_I128, AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO_I128,
AMM_TO_QUOTE_PRECISION_RATIO_I128, BID_ASK_SPREAD_PRECISION, BID_ASK_SPREAD_PRECISION_I128,
BID_ASK_SPREAD_PRECISION_U128, DEFAULT_LARGE_BID_ASK_FACTOR,
DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT, MAX_BID_ASK_INVENTORY_SKEW_FACTOR,
PEG_PRECISION, PERCENTAGE_PRECISION, PRICE_PRECISION, PRICE_PRECISION_I128,
AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO_I128, AMM_TO_QUOTE_PRECISION_RATIO_I128,
BID_ASK_SPREAD_PRECISION, BID_ASK_SPREAD_PRECISION_I128, BID_ASK_SPREAD_PRECISION_U128,
DEFAULT_LARGE_BID_ASK_FACTOR, DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT,
MAX_BID_ASK_INVENTORY_SKEW_FACTOR, PEG_PRECISION, PERCENTAGE_PRECISION, PRICE_PRECISION,
PRICE_PRECISION_I128,
};
use crate::math::safe_math::SafeMath;

use crate::state::perp_market::AMM;
use crate::validate;

use super::constants::PERCENTAGE_PRECISION_I128;

#[cfg(test)]
mod tests;

Expand Down Expand Up @@ -153,6 +155,37 @@ pub fn calculate_long_short_vol_spread(
))
}

pub fn calculate_inventory_liquidity_ratio(
base_asset_amount_with_amm: i128,
base_asset_reserve: u128,
min_base_asset_reserve: u128,
max_base_asset_reserve: u128,
) -> DriftResult<i128> {
// computes min(1, x/(1-x)) for 0 < x < 1

// inventory scale
let (max_bids, max_asks) = _calculate_market_open_bids_asks(
base_asset_reserve,
min_base_asset_reserve,
max_base_asset_reserve,
)?;

let min_side_liquidity = max_bids.min(max_asks.abs());
msg!("max_bids={:?} / max_asks={:?}", max_bids, max_asks);
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// cap so (6e9 * AMM_RESERVE_PRECISION)^2 < 2^127
let amm_inventory_pct = if base_asset_amount_with_amm < 6000000000000000000 {
base_asset_amount_with_amm
.abs()
.safe_mul(PERCENTAGE_PRECISION_I128)?
.safe_div(min_side_liquidity.max(1))?
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could maybe just max this with PERCENTAGE_PRECISION_I128 and get rid of the min before, might make it easier to replicate in ts sdk?

} else {
PERCENTAGE_PRECISION_I128 // 100%
};

Ok(amm_inventory_pct.min(PERCENTAGE_PRECISION_I128))
}

pub fn calculate_spread_inventory_scale(
base_asset_amount_with_amm: i128,
base_asset_reserve: u128,
Expand All @@ -165,38 +198,40 @@ pub fn calculate_spread_inventory_scale(
return Ok(BID_ASK_SPREAD_PRECISION);
}

// inventory scale
let (max_bids, max_asks) = _calculate_market_open_bids_asks(
let amm_inventory_pct = calculate_inventory_liquidity_ratio(
base_asset_amount_with_amm,
base_asset_reserve,
min_base_asset_reserve,
max_base_asset_reserve,
)?;

let min_side_liquidity = max_bids.min(max_asks.abs());

// cap so (6e9 * AMM_RESERVE_PRECISION)^2 < 2^127
let amm_inventory_size = base_asset_amount_with_amm.abs().min(6000000000000000000);
msg!(
"{:?} => amm_inventory_pct={:?}",
base_asset_amount_with_amm,
amm_inventory_pct
);

// inventory scale
let inventory_scale = amm_inventory_size
.safe_mul(amm_inventory_size.max(AMM_RESERVE_PRECISION_I128))?
.safe_div(AMM_RESERVE_PRECISION_I128)?
.safe_mul(DEFAULT_LARGE_BID_ASK_FACTOR.cast::<i128>()?)?
.safe_div(min_side_liquidity.max(1))?
.unsigned_abs();

// only allow up to scale up of larger of MAX_BID_ASK_INVENTORY_SKEW_FACTOR or half of max spread
let inventory_scale = amm_inventory_pct.unsigned_abs();
msg!("inventory_scale={:?}", inventory_scale);

// only allow up to scale up of larger of MAX_BID_ASK_INVENTORY_SKEW_FACTOR or max spread
let inventory_scale_max = MAX_BID_ASK_INVENTORY_SKEW_FACTOR.max(
max_spread
.safe_div(2)?
.safe_mul(BID_ASK_SPREAD_PRECISION)?
.safe_div(max(directional_spread, 1))?,
);
msg!("inventory_scale_max={:?}", inventory_scale_max);

let inventory_scale_capped = min(
inventory_scale_max,
BID_ASK_SPREAD_PRECISION
.safe_add(inventory_scale.cast()?)
.safe_add(
inventory_scale_max
.safe_mul(inventory_scale.cast()?)
.unwrap_or(u64::MAX)
.safe_div(PERCENTAGE_PRECISION_I128.cast()?)?,
)
.unwrap_or(u64::MAX),
);

Expand Down
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