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program: better derive perp auction params when missing #869

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merged 5 commits into from
Feb 8, 2024
Merged

program: better derive perp auction params when missing #869

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511d987
program: new override for market orders without auction params
crispheaney Feb 8, 2024
c9d0681
use derivation logic for market orders
crispheaney Feb 8, 2024
4f4d502
get rid trigger limit hook
crispheaney Feb 8, 2024
488beec
CHANGELOG
crispheaney Feb 8, 2024
b6141cb
Merge branch 'master' into crispheaney/derive-perp-auction-params-whe…
crispheaney Feb 8, 2024
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14 changes: 11 additions & 3 deletions programs/drift/src/controller/orders.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -2598,7 +2598,8 @@
&mut user.orders[order_index],
oracle_price_data,
slot,
state.min_perp_auction_duration,
30,
Some(&perp_market),

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)?;

if user.orders[order_index].has_auction() {
Expand Down Expand Up @@ -2692,6 +2693,7 @@
oracle_price_data: &OraclePriceData,
slot: u64,
min_auction_duration: u8,
perp_market: Option<&PerpMarket>,
) -> DriftResult {
order.trigger_condition = match order.trigger_condition {
OrderTriggerCondition::Above => OrderTriggerCondition::TriggeredAbove,
Expand All @@ -2704,7 +2706,12 @@
order.slot = slot;

let (auction_duration, auction_start_price, auction_end_price) =
calculate_auction_params_for_trigger_order(order, oracle_price_data, min_auction_duration)?;
calculate_auction_params_for_trigger_order(
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probably should still check if trigger limit passes oracle to determine auction

order,
oracle_price_data,
min_auction_duration,
perp_market,
)?;

order.auction_duration = auction_duration;
order.auction_start_price = auction_start_price;
Expand Down Expand Up @@ -4696,7 +4703,8 @@
&mut user.orders[order_index],
oracle_price_data,
slot,
state.default_spot_auction_duration,
30,
None,

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)?;

if user.orders[order_index].has_auction() {
Expand Down
38 changes: 30 additions & 8 deletions programs/drift/src/controller/orders/tests.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -10488,8 +10488,14 @@ pub mod update_trigger_order_params {
let slot = 10;
let min_auction_duration = 10;

update_trigger_order_params(&mut order, &oracle_price_data, slot, min_auction_duration)
.unwrap();
update_trigger_order_params(
&mut order,
&oracle_price_data,
slot,
min_auction_duration,
None,
)
.unwrap();

assert_eq!(order.slot, slot);
assert_eq!(order.auction_duration, min_auction_duration);
Expand All @@ -10507,8 +10513,14 @@ pub mod update_trigger_order_params {
..Order::default()
};

update_trigger_order_params(&mut order, &oracle_price_data, slot, min_auction_duration)
.unwrap();
update_trigger_order_params(
&mut order,
&oracle_price_data,
slot,
min_auction_duration,
None,
)
.unwrap();

assert_eq!(order.slot, slot);
assert_eq!(order.auction_duration, min_auction_duration);
Expand All @@ -10526,8 +10538,13 @@ pub mod update_trigger_order_params {
..Order::default()
};

let err =
update_trigger_order_params(&mut order, &oracle_price_data, slot, min_auction_duration);
let err = update_trigger_order_params(
&mut order,
&oracle_price_data,
slot,
min_auction_duration,
None,
);
assert!(err.is_err());

let mut order = Order {
Expand All @@ -10537,8 +10554,13 @@ pub mod update_trigger_order_params {
..Order::default()
};

let err =
update_trigger_order_params(&mut order, &oracle_price_data, slot, min_auction_duration);
let err = update_trigger_order_params(
&mut order,
&oracle_price_data,
slot,
min_auction_duration,
None,
);
assert!(err.is_err());
}
}
Expand Down
23 changes: 20 additions & 3 deletions programs/drift/src/math/auction.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -8,6 +8,8 @@
use crate::state::user::{Order, OrderType};
use solana_program::msg;

use crate::state::perp_market::PerpMarket;
use crate::OrderParams;
use std::cmp::min;

#[cfg(test)]
Expand Down Expand Up @@ -218,6 +220,7 @@
order: &Order,
oracle_price_data: &OraclePriceData,
min_auction_duration: u8,
perp_market: Option<&PerpMarket>,
) -> DriftResult<(u8, i64, i64)> {
// if trigger limit doesn't cross oracle, no auction
if order.order_type == OrderType::TriggerLimit {
Expand All @@ -233,8 +236,22 @@

let auction_duration = min_auction_duration;

let (auction_start_price, auction_end_price) =
calculate_auction_prices(oracle_price_data, order.direction, order.price)?;
if let Some(perp_market) = perp_market {
let (auction_start_price, auction_end_price, derived_auction_duration) =

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OrderParams::derive_market_order_auction_params(
perp_market,
order.direction,
oracle_price_data.price,
order.price,

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)?;

Ok((auction_duration, auction_start_price, auction_end_price))
let auction_duration = auction_duration.max(derived_auction_duration);

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Ok((auction_duration, auction_start_price, auction_end_price))

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} else {
let (auction_start_price, auction_end_price) =
calculate_auction_prices(oracle_price_data, order.direction, order.price)?;

Ok((auction_duration, auction_start_price, auction_end_price))
}
}
6 changes: 6 additions & 0 deletions programs/drift/src/math/auction/tests.rs
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Expand Up @@ -398,6 +398,7 @@ mod calculate_auction_params_for_trigger_order {
&order,
&oracle_price_data,
min_auction_duration,
None,
)
.unwrap();
assert_eq!(auction_duration, 0);
Expand All @@ -412,6 +413,7 @@ mod calculate_auction_params_for_trigger_order {
&order,
&oracle_price_data,
min_auction_duration,
None,
)
.unwrap();
assert_eq!(auction_duration, 0);
Expand All @@ -426,6 +428,7 @@ mod calculate_auction_params_for_trigger_order {
&order,
&oracle_price_data,
min_auction_duration,
None,
)
.unwrap();
assert_eq!(auction_duration, 10);
Expand All @@ -440,6 +443,7 @@ mod calculate_auction_params_for_trigger_order {
&order,
&oracle_price_data,
min_auction_duration,
None,
)
.unwrap();

Expand Down Expand Up @@ -467,6 +471,7 @@ mod calculate_auction_params_for_trigger_order {
&order,
&oracle_price_data,
min_auction_duration,
None,
)
.unwrap();

Expand All @@ -481,6 +486,7 @@ mod calculate_auction_params_for_trigger_order {
&order,
&oracle_price_data,
min_auction_duration,
None,
)
.unwrap();

Expand Down
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