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bigz/make-auction-start-baseline-more-passive #890

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merged 6 commits into from
Feb 20, 2024
Merged

bigz/make-auction-start-baseline-more-passive #890

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4569da8
bigz/make-auction-start-baseline-more-passive
0xbigz Feb 17, 2024
fa504c1
update current suite of tests
0xbigz Feb 20, 2024
a6979d1
cargo fmt --
0xbigz Feb 20, 2024
b02841b
add delayed ts update test
0xbigz Feb 20, 2024
7add9ec
add new two sided market test
0xbigz Feb 20, 2024
1afa87b
CHANGELOG
crispheaney Feb 20, 2024
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83 changes: 53 additions & 30 deletions programs/drift/src/state/order_params.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -376,13 +376,40 @@ impl OrderParams {
perp_market: &PerpMarket,
direction: PositionDirection,
) -> DriftResult<i64> {
// price offsets baselines for perp market auctions
let mark_twap_slow = perp_market
if perp_market
.amm
.last_ask_price_twap
.safe_add(perp_market.amm.last_bid_price_twap)?
.safe_div(2)?
.cast::<i64>()?;
.historical_oracle_data
.last_oracle_price_twap_ts
.safe_sub(perp_market.amm.last_mark_price_twap_ts)?
.abs()
>= 60
{
// if uncertain with timestamp mismatch, enforce within N bps
let price_divisor = if perp_market
.contract_tier
.is_as_safe_as_contract(&ContractTier::B)
{
500
} else {
100
};

return Ok(match direction {
PositionDirection::Long => {
perp_market.amm.last_bid_price_twap.cast::<i64>()? / price_divisor
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might be good to add comment that it's starting at bid (beneath oracle) intentionally to get a good price?

}
PositionDirection::Short => {
-(perp_market.amm.last_ask_price_twap.cast::<i64>()? / price_divisor)
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should short start above oracle, why is this negative?

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this is only when *_twap_ts has more than 60 second mismatch (cant be trusted to enforce optimistic starts), so the boundary is not strict at all

}
});
}

// price offsets baselines for perp market auctions
let mark_twap_slow = match direction {
PositionDirection::Long => perp_market.amm.last_bid_price_twap,
PositionDirection::Short => perp_market.amm.last_ask_price_twap,
}
.cast::<i64>()?;

let baseline_start_price_offset_slow = mark_twap_slow.safe_sub(
perp_market
Expand All @@ -402,31 +429,27 @@ impl OrderParams {
.last_oracle_price_twap_5min,
)?;

let frac_of_long_spread_in_price: i64 = perp_market
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can save some compute by doing the calculation in the match blocks

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i need both of them for both though

for the slow, i pushing it up slightly from the opposite side of the book
for the fast, im pulling it away from the mid

.amm
.long_spread
.cast::<i64>()?
.safe_mul(mark_twap_slow)?
.safe_div(PRICE_PRECISION_I64 * 10)?;

let frac_of_short_spread_in_price: i64 = perp_market
.amm
.short_spread
.cast::<i64>()?
.safe_mul(mark_twap_slow)?
.safe_div(PRICE_PRECISION_I64 * 10)?;

let baseline_start_price_offset = match direction {
PositionDirection::Long => {
let frac_of_spread_in_price: i64 = perp_market
.amm
.long_spread
.cast::<i64>()?
.safe_mul(mark_twap_slow)?
.safe_div(PRICE_PRECISION_I64 * 10)?;

baseline_start_price_offset_slow
.max(baseline_start_price_offset_fast)
.safe_add(frac_of_spread_in_price)?
}
PositionDirection::Short => {
let frac_of_spread_in_price: i64 = perp_market
.amm
.short_spread
.cast::<i64>()?
.safe_mul(mark_twap_slow)?
.safe_div(PRICE_PRECISION_I64 * 10)?;

baseline_start_price_offset_slow
.min(baseline_start_price_offset_fast)
.safe_sub(frac_of_spread_in_price)?
}
PositionDirection::Long => baseline_start_price_offset_slow
.safe_add(frac_of_long_spread_in_price)?
.min(baseline_start_price_offset_fast.safe_sub(frac_of_short_spread_in_price)?),
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so before we were doing max, which gives the more aggressive, now we're doing min, which is less aggresswive?

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correct, doing min for long is less aggressive

PositionDirection::Short => baseline_start_price_offset_slow
.safe_sub(frac_of_short_spread_in_price)?
.max(baseline_start_price_offset_fast.safe_add(frac_of_long_spread_in_price)?),
};

Ok(baseline_start_price_offset)
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2 changes: 2 additions & 0 deletions programs/drift/src/state/order_params/tests.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -671,8 +671,10 @@ mod get_close_perp_params {
let amm = AMM {
last_ask_price_twap: 103 * PRICE_PRECISION_U64,
last_bid_price_twap: 101 * PRICE_PRECISION_U64,
last_mark_price_twap_5min: 102 * PRICE_PRECISION_U64,
historical_oracle_data: HistoricalOracleData {
last_oracle_price_twap: 100 * PRICE_PRECISION_I64,
last_oracle_price_twap_5min: 100 * PRICE_PRECISION_I64,
..HistoricalOracleData::default()
},
mark_std: PRICE_PRECISION_U64,
Expand Down
9 changes: 4 additions & 5 deletions programs/drift/src/state/perp_market.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -472,11 +472,10 @@ impl PerpMarket {

let open_interest = self.get_open_interest();

let depth = self
.amm
.min_order_size
.safe_mul(1000)?
.max(open_interest.safe_div(500)?.cast::<u64>()?);
let depth = (open_interest.safe_div(1000)?.cast::<u64>()?).clamp(
self.amm.min_order_size.safe_mul(100)?,
self.amm.min_order_size.safe_mul(5000)?,
);

Ok(depth)
}
Expand Down
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