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luke/dpe-2140-patch-auction-end-price #110

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luke/dpe-2140-patch-auction-end-price #110

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19 changes: 16 additions & 3 deletions common-ts/src/common-ui-utils/commonUiUtils.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -41,6 +41,9 @@ import { ORDER_COMMON_UTILS } from './order';
const ACCOUNT_INITIALIZATION_RETRY_DELAY_MS = 1000;
const ACCOUNT_INITIALIZATION_RETRY_ATTEMPTS = 5;

// Min number of tick sizes that the auction end price should be away from the otherwise calculated end price
const AUCTION_END_TICK_SIZE_MIN_OFFSET = new BN(3);

export const EMPTY_AUCTION_PARAMS: AuctionParams = {
auctionStartPrice: null,
auctionEndPrice: null,
Expand Down Expand Up @@ -344,7 +347,7 @@ const getMarketAuctionParams = ({
worstPrice,
limitPrice,
duration,
marketTickSize: _marketTickSize,
marketTickSize: marketTickSize,
auctionStartPriceOffset,
auctionEndPriceOffset,
}: {
Expand Down Expand Up @@ -375,10 +378,15 @@ const getMarketAuctionParams = ({

const worstPriceToUse = BN.max(worstPrice, startPriceFromSettings); // Handles edge cases like if the worst price on the book was better than the oracle price, and the settings are asking to be relative to the oracle price

auctionEndPrice = PRICE_PRECISION.add(auctionEndPriceBuffer)
const bufferedEndPrice = PRICE_PRECISION.add(auctionEndPriceBuffer)
.mul(worstPriceToUse)
.div(PRICE_PRECISION);

auctionEndPrice = BN.max(
bufferedEndPrice,
worstPriceToUse.add(marketTickSize.mul(AUCTION_END_TICK_SIZE_MIN_OFFSET))
);

auctionEndPrice = BN.min(limitPrice, auctionEndPrice);

auctionStartPrice = BN.min(auctionStartPrice, auctionEndPrice);
Expand All @@ -387,10 +395,15 @@ const getMarketAuctionParams = ({

const worstPriceToUse = BN.min(worstPrice, startPriceFromSettings); // Handles edge cases like if the worst price on the book was better than the oracle price, and the settings are asking to be relative to the oracle price

auctionEndPrice = PRICE_PRECISION.sub(auctionEndPriceBuffer)
const bufferedAuctionEndPrice = PRICE_PRECISION.sub(auctionEndPriceBuffer)
.mul(worstPriceToUse)
.div(PRICE_PRECISION);

auctionEndPrice = BN.min(
bufferedAuctionEndPrice,
worstPriceToUse.sub(marketTickSize.mul(AUCTION_END_TICK_SIZE_MIN_OFFSET))
);

auctionEndPrice = BN.max(limitPrice, auctionEndPrice);

auctionStartPrice = BN.max(auctionStartPrice, auctionEndPrice);
Expand Down