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program: fill_perp checks maintenance margin req if position is reduced #714

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merged 7 commits into from
Nov 24, 2023
Merged

program: fill_perp checks maintenance margin req if position is reduced #714

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a58c17a
program: fill_perp checks maintenance margin req if position is reduced
crispheaney Nov 24, 2023
e2796e1
add test for update_maker_fills_map
crispheaney Nov 24, 2023
5f4473a
add another test
crispheaney Nov 24, 2023
d3c3fbc
tweak name
crispheaney Nov 24, 2023
b13b2dc
add total maker fill check
crispheaney Nov 24, 2023
229ad5a
fix typo
crispheaney Nov 24, 2023
19f3c62
CHANGELOG
crispheaney Nov 24, 2023
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79 changes: 51 additions & 28 deletions programs/drift/src/controller/orders.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -1516,7 +1516,8 @@

let mut base_asset_amount = 0_u64;
let mut quote_asset_amount = 0_u64;
let mut makers_filled: BTreeMap<Pubkey, bool> = BTreeMap::new();
let mut makers_filled: BTreeMap<Pubkey, i64> = BTreeMap::new();
let maker_direction = user.orders[user_order_index].direction.opposite();
for fulfillment_method in fulfillment_methods.iter() {
if user.orders[user_order_index].status != OrderStatus::Open {
break;
Expand Down Expand Up @@ -1573,7 +1574,7 @@
Some(&maker),
)?;

let (fill_base_asset_amount, fill_quote_asset_amount) =
let (fill_base_asset_amount, fill_quote_asset_amount, maker_fill_base_asset_amount) =
fulfill_perp_order_with_match(
market.deref_mut(),
user,
Expand All @@ -1598,8 +1599,18 @@
oracle_map,
)?;

if fill_base_asset_amount != 0 {
makers_filled.insert(*maker_key, true);
if maker_fill_base_asset_amount != 0 {
let signed_maker_fill_base_asset_amount = match maker_direction {
PositionDirection::Long => maker_fill_base_asset_amount.cast::<i64>()?,
PositionDirection::Short => -maker_fill_base_asset_amount.cast::<i64>()?,
};

if let Some(maker_filled) = makers_filled.get_mut(maker_key) {
*maker_filled =
maker_filled.safe_add(signed_maker_fill_base_asset_amount)?;
} else {
makers_filled.insert(*maker_key, signed_maker_fill_base_asset_amount);
}
}

(fill_base_asset_amount, fill_quote_asset_amount)
Expand Down Expand Up @@ -1643,16 +1654,22 @@
return Err(ErrorCode::InsufficientCollateral);
}

for (maker_key, _) in makers_filled {
for (maker_key, maker_base_asset_amount_filled) in makers_filled {
let maker = makers_and_referrer.get_ref(&maker_key)?;

let margin_type = select_margin_type_for_perp_maker(
&maker,
maker_base_asset_amount_filled,
market_index,
)?;

let maker_margin_calculation =
calculate_margin_requirement_and_total_collateral_and_liability_info(
&maker,
perp_market_map,
spot_market_map,
oracle_map,
MarginContext::standard(MarginRequirementType::Fill),
MarginContext::standard(margin_type),
)?;

if !maker_margin_calculation.meets_margin_requirement() {
Expand Down Expand Up @@ -2006,12 +2023,12 @@
slot: u64,
fee_structure: &FeeStructure,
oracle_map: &mut OracleMap,
) -> DriftResult<(u64, u64)> {
) -> DriftResult<(u64, u64, u64)> {
if !are_orders_same_market_but_different_sides(
&maker.orders[maker_order_index],
&taker.orders[taker_order_index],
) {
return Ok((0_u64, 0_u64));
return Ok((0_u64, 0_u64, 0_u64));
}

let (bid_price, ask_price) = market.amm.bid_ask_price(market.amm.reserve_price()?)?;
Expand Down Expand Up @@ -2060,7 +2077,7 @@
maker_price,
taker_price
);
return Ok((0_u64, 0_u64));
return Ok((0_u64, 0_u64, 0_u64));
}

let (base_asset_amount, _) = calculate_fill_for_matched_orders(
Expand All @@ -2072,7 +2089,7 @@
)?;

if base_asset_amount == 0 {
return Ok((0_u64, 0_u64));
return Ok((0_u64, 0_u64, 0_u64));

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}

let sanitize_clamp_denominator = market.get_sanitize_clamp_denominator()?;
Expand Down Expand Up @@ -2133,17 +2150,18 @@
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(
maker_base_asset_amount,
maker_price,
taker_base_asset_amount,
PERP_DECIMALS,
maker_direction,
)?;
let (base_asset_amount_fulfilled_by_maker, quote_asset_amount) =
calculate_fill_for_matched_orders(
maker_base_asset_amount,
maker_price,
taker_base_asset_amount,
PERP_DECIMALS,
maker_direction,
)?;

validate_fill_price(
quote_asset_amount,
base_asset_amount_fulfilled,
base_asset_amount_fulfilled_by_maker,
BASE_PRECISION_U64,
taker_direction,
taker_price,
Expand All @@ -2152,14 +2170,15 @@

validate_fill_price(
quote_asset_amount,
base_asset_amount_fulfilled,
base_asset_amount_fulfilled_by_maker,
BASE_PRECISION_U64,
maker_direction,
maker_price,
false,
)?;

total_base_asset_amount = total_base_asset_amount.safe_add(base_asset_amount_fulfilled)?;
total_base_asset_amount =
total_base_asset_amount.safe_add(base_asset_amount_fulfilled_by_maker)?;
total_quote_asset_amount = total_quote_asset_amount.safe_add(quote_asset_amount)?;

let maker_position_index = get_position_index(
Expand All @@ -2168,7 +2187,7 @@
)?;

let maker_position_delta = get_position_delta_for_fill(
base_asset_amount_fulfilled,
base_asset_amount_fulfilled_by_maker,
quote_asset_amount,
maker.orders[maker_order_index].direction,
)?;
Expand All @@ -2192,7 +2211,7 @@
)?;

let taker_position_delta = get_position_delta_for_fill(
base_asset_amount_fulfilled,
base_asset_amount_fulfilled_by_maker,
quote_asset_amount,
taker.orders[taker_order_index].direction,
)?;
Expand Down Expand Up @@ -2304,26 +2323,26 @@

update_order_after_fill(
&mut taker.orders[taker_order_index],
base_asset_amount_fulfilled,
base_asset_amount_fulfilled_by_maker,
quote_asset_amount,
)?;

decrease_open_bids_and_asks(
&mut taker.perp_positions[taker_position_index],
&taker.orders[taker_order_index].direction,
base_asset_amount_fulfilled,
base_asset_amount_fulfilled_by_maker,
)?;

update_order_after_fill(
&mut maker.orders[maker_order_index],
base_asset_amount_fulfilled,
base_asset_amount_fulfilled_by_maker,
quote_asset_amount,
)?;

decrease_open_bids_and_asks(
&mut maker.perp_positions[maker_position_index],
&maker.orders[maker_order_index].direction,
base_asset_amount_fulfilled,
base_asset_amount_fulfilled_by_maker,
)?;

let fill_record_id = get_then_update_id!(market, next_fill_record_id);
Expand All @@ -2340,7 +2359,7 @@
Some(*filler_key),
Some(fill_record_id),
Some(filler_reward),
Some(base_asset_amount_fulfilled),
Some(base_asset_amount_fulfilled_by_maker),
Some(quote_asset_amount),
Some(taker_fee),
Some(maker_rebate),
Expand Down Expand Up @@ -2369,7 +2388,11 @@
market_position.open_orders -= 1;
}

Ok((total_base_asset_amount, total_quote_asset_amount))
Ok((
total_base_asset_amount,
total_quote_asset_amount,
base_asset_amount_fulfilled_by_maker,
))
}

pub fn update_order_after_fill(
Expand Down
12 changes: 6 additions & 6 deletions programs/drift/src/controller/orders/tests.rs
View file
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Original file line number Diff line number Diff line change
Expand Up @@ -584,7 +584,7 @@ pub mod fulfill_order_with_maker_order {
.get_limit_price(None, None, slot, market.amm.order_tick_size)
.unwrap();

let (base_asset_amount, _) = fulfill_perp_order_with_match(
let (base_asset_amount, _, _) = fulfill_perp_order_with_match(
&mut market,
&mut taker,
&mut taker_stats,
Expand Down Expand Up @@ -669,7 +669,7 @@ pub mod fulfill_order_with_maker_order {
.get_limit_price(None, None, slot, market.amm.order_tick_size)
.unwrap();

let (base_asset_amount, _) = fulfill_perp_order_with_match(
let (base_asset_amount, _, _) = fulfill_perp_order_with_match(
&mut market,
&mut taker,
&mut taker_stats,
Expand Down Expand Up @@ -755,7 +755,7 @@ pub mod fulfill_order_with_maker_order {
.get_limit_price(None, None, slot, market.amm.order_tick_size)
.unwrap();

let (base_asset_amount, _) = fulfill_perp_order_with_match(
let (base_asset_amount, _, _) = fulfill_perp_order_with_match(
&mut market,
&mut taker,
&mut taker_stats,
Expand Down Expand Up @@ -841,7 +841,7 @@ pub mod fulfill_order_with_maker_order {
.get_limit_price(None, None, slot, market.amm.order_tick_size)
.unwrap();

let (base_asset_amount, _) = fulfill_perp_order_with_match(
let (base_asset_amount, _, _) = fulfill_perp_order_with_match(
&mut market,
&mut taker,
&mut taker_stats,
Expand Down Expand Up @@ -1516,7 +1516,7 @@ pub mod fulfill_order_with_maker_order {
.get_limit_price(None, None, slot, market.amm.order_tick_size)
.unwrap();

let (base_asset_amount, _) = fulfill_perp_order_with_match(
let (base_asset_amount, _, _) = fulfill_perp_order_with_match(
&mut market,
&mut taker,
&mut taker_stats,
Expand Down Expand Up @@ -1632,7 +1632,7 @@ pub mod fulfill_order_with_maker_order {
.get_limit_price(None, None, slot, market.amm.order_tick_size)
.unwrap();

let (base_asset_amount, _) = fulfill_perp_order_with_match(
let (base_asset_amount, _, _) = fulfill_perp_order_with_match(
&mut market,
&mut taker,
&mut taker_stats,
Expand Down
19 changes: 19 additions & 0 deletions programs/drift/src/math/orders.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -1247,3 +1247,22 @@ pub fn estimate_price_from_side(side: &Side, depth: u64) -> DriftResult<Option<u

Ok(price)
}

pub fn select_margin_type_for_perp_maker(
maker: &User,
based_asset_amount_filled: i64,
market_index: u16,
) -> DriftResult<MarginRequirementType> {
let current_position = maker
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this is position after fill? maybe good to specify somewhere

.get_perp_position(market_index)
.map_or(0, |p| p.base_asset_amount);
let position_before = current_position.safe_sub(based_asset_amount_filled)?;

if current_position.signum() == position_before.signum()
&& current_position.abs() < position_before.abs()
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@0xbigz 0xbigz Nov 24, 2023 •
edited
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good candidate for helper function

position_after.was_reduced(position_before)

{
return Ok(MarginRequirementType::Maintenance);
}

Ok(MarginRequirementType::Fill)
}
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