bigz/add-lp-order-risk-mitigations

programs/drift/src/controller/lp/tests.rs

@@ -32,6 +32,8 @@ use crate::state::state::{OracleGuardRails, State, ValidityGuardRails};
 use crate::state::user::{SpotPosition, User};
 use crate::test_utils::*;
 use crate::test_utils::{get_positions, get_pyth_price, get_spot_positions};
+use anchor_lang::prelude::Clock;
+
 #[test]
 fn test_lp_wont_collect_improper_funding() {
     let mut position = PerpPosition {
@@ -433,8 +435,14 @@ pub fn test_lp_settle_pnl() {
         &pyth_program,
         oracle_account_info
     );
-    let slot = 0;
-    let mut oracle_map = OracleMap::load_one(&oracle_account_info, slot, None).unwrap();
+    let clock = Clock {
+        slot: 0,
+        epoch_start_timestamp: 0,
+        epoch: 0,
+        leader_schedule_epoch: 0,
+        unix_timestamp: 0,
+    };
+    let mut oracle_map = OracleMap::load_one(&oracle_account_info, clock.slot, None).unwrap();
 
     let mut market = PerpMarket {
         amm: AMM {
@@ -516,8 +524,6 @@ pub fn test_lp_settle_pnl() {
         ..User::default()
     };
 
-    let now = 1000000;
-
     let state = State {
         oracle_guard_rails: OracleGuardRails {
             validity: ValidityGuardRails {
@@ -555,7 +561,7 @@ pub fn test_lp_settle_pnl() {
         &market_map,
         &spot_market_map,
         &mut oracle_map,
-        now,
+        &clock,
         &state,
     );
 
@@ -728,16 +734,21 @@ fn test_lp_margin_calc() {
 
     let strict_quote_price = StrictOraclePrice::test(1000000);
     // ensure margin calc doesnt incorrectly count funding rate (funding pnl MUST come before settling lp)
-    let (margin_requirement, weighted_unrealized_pnl, worse_case_base_asset_value) =
-        calculate_perp_position_value_and_pnl(
-            &user.perp_positions[0],
-            &market,
-            &oracle_price_data,
-            &strict_quote_price,
-            crate::math::margin::MarginRequirementType::Initial,
-            0,
-        )
-        .unwrap();
+    let (
+        margin_requirement,
+        weighted_unrealized_pnl,
+        worse_case_base_asset_value,
+        _open_order_fraction,
+    ) = calculate_perp_position_value_and_pnl(
+        &user.perp_positions[0],
+        &market,
+        &oracle_price_data,
+        &strict_quote_price,
+        crate::math::margin::MarginRequirementType::Initial,
+        0,
+        false,
+    )
+    .unwrap();
 
     assert_eq!(margin_requirement, 1012000000); // $1010 + $2 mr for lp_shares
     assert_eq!(weighted_unrealized_pnl, -9916900000); // $-9900000000 upnl (+ -16900000 from old funding)

programs/drift/src/controller/orders.rs

@@ -8,6 +8,7 @@
 
 use crate::controller;
 use crate::controller::funding::settle_funding_payment;
+use crate::controller::lp::burn_lp_shares;
 use crate::controller::position;
 use crate::controller::position::{
     add_new_position, decrease_open_bids_and_asks, get_position_index, increase_open_bids_and_asks,
@@ -57,11 +58,13 @@
 use crate::math::safe_unwrap::SafeUnwrap;
 use crate::math::spot_swap::select_margin_type_for_swap;
 use crate::print_error;
-use crate::state::events::{emit_stack, get_order_action_record, OrderActionRecord, OrderRecord};
+use crate::state::events::{
+    emit_stack, get_order_action_record, LPAction, LPRecord, OrderActionRecord, OrderRecord,
+};
 use crate::state::events::{OrderAction, OrderActionExplanation};
 use crate::state::fill_mode::FillMode;
 use crate::state::fulfillment::{PerpFulfillmentMethod, SpotFulfillmentMethod};
-use crate::state::margin_calculation::MarginContext;
+use crate::state::margin_calculation::{MarginCalculation, MarginContext};
 use crate::state::oracle::{OraclePriceData, StrictOraclePrice};
 use crate::state::oracle_map::OracleMap;
 use crate::state::perp_market::{AMMLiquiditySplit, MarketStatus, PerpMarket};
@@ -99,12 +102,36 @@
     oracle_map: &mut OracleMap,
     clock: &Clock,
     mut params: OrderParams,
+    options: PlaceOrderOptions,
+) -> DriftResult {
+    let user_key = user.key();
+    let user = &mut load_mut!(user)?;
+    _place_perp_order(
+        state,
+        user,
+        user_key,
+        perp_market_map,
+        spot_market_map,
+        oracle_map,
+        clock,
+        &mut params,
+        options,
+    )
+}
+
+pub fn _place_perp_order(
+    state: &State,
+    user: &mut User,
+    user_key: Pubkey,
+    perp_market_map: &PerpMarketMap,
+    spot_market_map: &SpotMarketMap,
+    oracle_map: &mut OracleMap,
+    clock: &Clock,
+    params: &mut OrderParams,
     mut options: PlaceOrderOptions,
 ) -> DriftResult {
     let now = clock.unix_timestamp;
     let slot = clock.slot;
-    let user_key = user.key();
-    let user = &mut load_mut!(user)?;
 
     validate_user_not_being_liquidated(
         user,
@@ -225,7 +252,7 @@
     params.update_perp_auction_params(market, oracle_price_data.price)?;
 
     let (auction_start_price, auction_end_price, auction_duration) = get_auction_params(
-        &params,
+        params,
         oracle_price_data,
         market.amm.order_tick_size,
         state.min_perp_auction_duration,
@@ -2708,7 +2735,7 @@
 
 pub fn force_cancel_orders(
     state: &State,
-    user: &AccountLoader<User>,
+    user_account_loader: &AccountLoader<User>,
     spot_market_map: &SpotMarketMap,
     perp_market_map: &PerpMarketMap,
     oracle_map: &mut OracleMap,
@@ -2719,8 +2746,8 @@
     let slot = clock.slot;
 
     let filler_key = filler.key();
-    let user_key = user.key();
-    let user = &mut load_mut!(user)?;
+    let user_key = user_account_loader.key();
+    let user = &mut load_mut!(user_account_loader)?;
     let filler = &mut load_mut!(filler)?;
 
     validate!(
@@ -2730,8 +2757,15 @@
 
     validate!(!user.is_bankrupt(), ErrorCode::UserBankrupt)?;
 
-    let meets_initial_margin_requirement =
-        meets_initial_margin_requirement(user, perp_market_map, spot_market_map, oracle_map)?;
+    let margin_calc = calculate_margin_requirement_and_total_collateral_and_liability_info(
+        user,
+        perp_market_map,
+        spot_market_map,
+        oracle_map,
+        MarginContext::standard(MarginRequirementType::Initial),
+    )?;
+
+    let meets_initial_margin_requirement = margin_calc.meets_margin_requirement();
 
     validate!(
         !meets_initial_margin_requirement,
@@ -2800,6 +2834,17 @@
         )?;
     }
 
+    attempt_burn_user_lp_shares_for_risk_reduction(
+        state,
+        user,
+        margin_calc,
+        &user_key,
+        perp_market_map,
+        spot_market_map,
+        oracle_map,
+        clock,
+    )?;
+
     pay_keeper_flat_reward_for_spot(
         user,
         Some(filler),
@@ -2820,6 +2865,118 @@
     }
 }
 
+pub fn attempt_burn_user_lp_shares_for_risk_reduction(
+    state: &State,
+    user: &mut User,
+    margin_calc: MarginCalculation,
+    user_key: &Pubkey,
+    perp_market_map: &PerpMarketMap,
+    spot_market_map: &SpotMarketMap,
+    oracle_map: &mut OracleMap,
+    clock: &Clock,
+) -> DriftResult {
+    let now = clock.unix_timestamp;
+    // attempt to burn lp shares if user has a custom margin ratio set and its breached with orders
+    if !margin_calc.positions_meets_margin_requirement()? {
+        let time_since_last_liquidity_change: i64 =
+            now.safe_sub(user.last_add_perp_lp_shares_ts)?;
+        // avoid spamming update if orders have already been set
+        if time_since_last_liquidity_change >= state.lp_cooldown_time.cast()? {
+            let set_reduce_only_orders = true; // todo
+            for position_index in 0..user.perp_positions.len() {
+                let market_index = user.perp_positions[position_index].market_index;
+                _burn_user_lp_shares_for_risk_reduction(
+                    state,
+                    user,
+                    user_key,
+                    market_index,
+                    perp_market_map,
+                    spot_market_map,
+                    oracle_map,
+                    clock,
+                    set_reduce_only_orders,
+                )?;
+            }
+            user.last_add_perp_lp_shares_ts = now;
+        }
+    }
+
+    Ok(())
+}
+
+pub fn _burn_user_lp_shares_for_risk_reduction(
+    state: &State,
+    user: &mut User,
+    user_key: &Pubkey,
+    market_index: u16,
+    perp_market_map: &PerpMarketMap,
+    spot_market_map: &SpotMarketMap,
+    oracle_map: &mut OracleMap,
+    clock: &Clock,
+    set_reduce_only_orders: bool,
+) -> DriftResult {
+    let perp_position = user.get_perp_position_mut(market_index)?;
+    if perp_position.is_lp() {
+        let lp_shares = perp_position.lp_shares;
+        let market_index = perp_position.market_index;
+        {
+            let market = perp_market_map.get_ref(&market_index)?;
+            let oracle_price_data = oracle_map.get_price_data(&market.amm.oracle)?;
+
+            let oracle_price = if market.status == MarketStatus::Settlement {
+                market.expiry_price
+            } else {
+                oracle_price_data.price
+            };
+
+            let (position_delta, pnl) = burn_lp_shares(
+                perp_position,
+                perp_market_map.get_ref_mut(&market_index)?.deref_mut(),
+                lp_shares.safe_div(3)?.max(market.amm.order_step_size),
+                oracle_price,
+            )?;
+
+            // emit LP record for shares removed
+            emit_stack::<_, { LPRecord::SIZE }>(LPRecord {
+                ts: clock.unix_timestamp,
+                action: LPAction::RemoveLiquidity,
+                user: *user_key,
+                n_shares: lp_shares,
+                market_index: perp_position.market_index,
+                delta_base_asset_amount: position_delta.base_asset_amount,
+                delta_quote_asset_amount: position_delta.quote_asset_amount,
+                pnl,
+            })?;
+        }
+
+        if set_reduce_only_orders {
+            let market = perp_market_map.get_ref(&market_index)?;
+
+            let direction_to_close = perp_position.get_direction_to_close();
+
+            let mut params = OrderParams::get_aggressive_close_params(
+                &market,
+                direction_to_close,
+                perp_position.base_asset_amount.unsigned_abs(),
+            )?;
+
+            controller::orders::_place_perp_order(
+                state,
+                user,
+                *user_key,
+                perp_market_map,
+                spot_market_map,
+                oracle_map,
+                clock,
+                &mut params,
+                PlaceOrderOptions::default(),
+            )?;
+        }
+    }
+
+    Ok(())
+}
+
 pub fn pay_keeper_flat_reward_for_perps(
     user: &mut User,
     filler: Option<&mut User>,