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jit: account for min order size #27

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merged 6 commits into from
Jan 23, 2024
Merged

jit: account for min order size #27

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fc30eec
jit: account for min order size
crispheaney Jan 23, 2024
300d826
cargo fmt --
crispheaney Jan 23, 2024
7a85ff4
account for no taker limit price
crispheaney Jan 23, 2024
846c758
revert if order isn't filled
crispheaney Jan 23, 2024
00a0386
update idl
crispheaney Jan 23, 2024
f63a671
fix formatting
crispheaney Jan 23, 2024
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2 changes: 2 additions & 0 deletions programs/jit-proxy/src/error.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -21,4 +21,6 @@ pub enum ErrorCode {
UnprofitableArb,
#[msg("PositionLimitBreached")]
PositionLimitBreached,
#[msg("NoFill")]
NoFill,
}
99 changes: 74 additions & 25 deletions programs/jit-proxy/src/instructions/jit.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -42,20 +42,44 @@ pub fn jit<'info>(ctx: Context<'_, '_, '_, 'info, Jit<'info>>, params: JitParams
None,
)?;

let (oracle_price, tick_size) = if market_type == DriftMarketType::Perp {
let (oracle_price, tick_size, min_order_size) = if market_type == DriftMarketType::Perp {
let perp_market = perp_market_map.get_ref(&market_index)?;
let oracle_price = oracle_map.get_price_data(&perp_market.amm.oracle)?.price;

(oracle_price, perp_market.amm.order_tick_size)
(
oracle_price,
perp_market.amm.order_tick_size,
perp_market.amm.min_order_size,
)
} else {
let spot_market = spot_market_map.get_ref(&market_index)?;
let oracle_price = oracle_map.get_price_data(&spot_market.oracle)?.price;

(oracle_price, spot_market.order_tick_size)
(
oracle_price,
spot_market.order_tick_size,
spot_market.min_order_size,
)
};

let taker_price =
taker_order.force_get_limit_price(Some(oracle_price), None, slot, tick_size)?;
match taker_order.get_limit_price(Some(oracle_price), None, slot, tick_size)? {
Some(price) => price,
None if market_type == DriftMarketType::Perp => {
// if the order doesn't have a price, drift users amm price for taker price
let perp_market = perp_market_map.get_ref(&market_index)?;
let reserve_price = perp_market.amm.reserve_price()?;
match taker_direction {
PositionDirection::Long => perp_market.amm.ask_price(reserve_price)?,
PositionDirection::Short => perp_market.amm.bid_price(reserve_price)?,
}
}
None => {
// Shouldnt be possible for spot
msg!("taker order didnt have price");
return Err(ErrorCode::TakerOrderNotFound.into());
}
};

let maker_direction = taker_direction.opposite();
let maker_worst_price = params.get_worst_price(oracle_price, taker_direction)?;
Expand Down Expand Up @@ -83,7 +107,9 @@ pub fn jit<'info>(ctx: Context<'_, '_, '_, 'info, Jit<'info>>, params: JitParams
}
let maker_price = taker_price;

let taker_base_asset_amount_unfilled = taker_order.get_base_asset_amount_unfilled(None)?;
let taker_base_asset_amount_unfilled = taker_order
.get_base_asset_amount_unfilled(None)?
.max(min_order_size);
let maker_existing_position = if market_type == DriftMarketType::Perp {
let perp_market = perp_market_map.get_ref(&market_index)?;
let perp_position = maker.get_perp_position(market_index);
Expand All @@ -108,6 +134,7 @@ pub fn jit<'info>(ctx: Context<'_, '_, '_, 'info, Jit<'info>>, params: JitParams
maker_direction,
taker_base_asset_amount_unfilled,
maker_existing_position,
min_order_size,
) {
Ok(size) => size,
Err(e) => {
Expand Down Expand Up @@ -141,7 +168,26 @@ pub fn jit<'info>(ctx: Context<'_, '_, '_, 'info, Jit<'info>>, params: JitParams
drop(taker);
drop(maker);

place_and_make(ctx, params.taker_order_id, order_params)?;
place_and_make(&ctx, params.taker_order_id, order_params)?;

let taker = ctx.accounts.taker.load()?;

let taker_base_asset_amount_unfilled_after = match taker.get_order(params.taker_order_id) {
Some(order) => order.get_base_asset_amount_unfilled(None)?,
None => 0,
};

if taker_base_asset_amount_unfilled_after == taker_base_asset_amount_unfilled {
// taker order failed to fill
msg!("taker order failed to fill");
msg!(
"taker price = {} maker price = {} oracle price {}",
taker_price,
maker_price,
oracle_price
);
return Err(ErrorCode::NoFill.into());
}

Ok(())
}
Expand Down Expand Up @@ -210,15 +256,17 @@ fn check_position_limits(
maker_direction: PositionDirection,
taker_base_asset_amount_unfilled: u64,
maker_existing_position: i64,
min_order_size: u64,
) -> Result<u64> {
if maker_direction == PositionDirection::Long {
let size = params.max_position.safe_sub(maker_existing_position)?;

if size <= 0 {
if size <= min_order_size.cast()? {
msg!(
"maker existing position {} >= max position {}",
"maker existing position {} >= max position {} + min order size {}",
maker_existing_position,
params.max_position
params.max_position,
min_order_size
);
return Err(ErrorCode::PositionLimitBreached.into());
}
Expand All @@ -227,11 +275,12 @@ fn check_position_limits(
} else {
let size = maker_existing_position.safe_sub(params.min_position)?;

if size <= 0 {
if size <= min_order_size.cast()? {
msg!(
"maker existing position {} <= min position {}",
"maker existing position {} <= min position {} + min order size {}",
maker_existing_position,
params.min_position
params.min_position,
min_order_size
);
return Err(ErrorCode::PositionLimitBreached.into());
}
Expand All @@ -253,55 +302,55 @@ mod tests {
};

// same direction, doesn't breach
let result = check_position_limits(params, PositionDirection::Long, 10, 40);
let result = check_position_limits(params, PositionDirection::Long, 10, 40, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 10);
let result = check_position_limits(params, PositionDirection::Short, 10, -40);
let result = check_position_limits(params, PositionDirection::Short, 10, -40, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 10);

// same direction, whole order breaches, only takes enough to hit limit
let result = check_position_limits(params, PositionDirection::Long, 100, 40);
let result = check_position_limits(params, PositionDirection::Long, 100, 40, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 60);
let result = check_position_limits(params, PositionDirection::Short, 100, -40);
let result = check_position_limits(params, PositionDirection::Short, 100, -40, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 60);

// opposite direction, doesn't breach
let result = check_position_limits(params, PositionDirection::Long, 10, -40);
let result = check_position_limits(params, PositionDirection::Long, 10, -40, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 10);
let result = check_position_limits(params, PositionDirection::Short, 10, 40);
let result = check_position_limits(params, PositionDirection::Short, 10, 40, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 10);

// opposite direction, whole order breaches, only takes enough to take flipped limit
let result = check_position_limits(params, PositionDirection::Long, 200, -40);
let result = check_position_limits(params, PositionDirection::Long, 200, -40, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 140);
let result = check_position_limits(params, PositionDirection::Short, 200, 40);
let result = check_position_limits(params, PositionDirection::Short, 200, 40, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 140);

// opposite direction, maker already breached, allows reducing
let result = check_position_limits(params, PositionDirection::Long, 200, -150);
let result = check_position_limits(params, PositionDirection::Long, 200, -150, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 200);
let result = check_position_limits(params, PositionDirection::Short, 200, 150);
let result = check_position_limits(params, PositionDirection::Short, 200, 150, 0);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 200);

// same direction, maker already breached, errors
let result = check_position_limits(params, PositionDirection::Long, 200, 150);
let result = check_position_limits(params, PositionDirection::Long, 200, 150, 0);
assert!(result.is_err());
let result = check_position_limits(params, PositionDirection::Short, 200, -150);
let result = check_position_limits(params, PositionDirection::Short, 200, -150, 0);
assert!(result.is_err());
}
}

fn place_and_make<'info>(
ctx: Context<'_, '_, '_, 'info, Jit<'info>>,
ctx: &Context<'_, '_, '_, 'info, Jit<'info>>,
taker_order_id: u32,
order_params: OrderParams,
) -> Result<()> {
Expand Down
26 changes: 26 additions & 0 deletions ts/sdk/src/types/jit_proxy.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -189,6 +189,9 @@ export type JitProxy = {
},
{
name: 'TryPostOnly';
},
{
name: 'Slide';
}
];
};
Expand Down Expand Up @@ -262,6 +265,16 @@ export type JitProxy = {
code: 6007;
name: 'UnprofitableArb';
msg: 'UnprofitableArb';
},
{
code: 6008;
name: 'PositionLimitBreached';
msg: 'PositionLimitBreached';
},
{
code: 6009;
name: 'NoFill';
msg: 'NoFill';
}
];
};
Expand Down Expand Up @@ -458,6 +471,9 @@ export const IDL: JitProxy = {
{
name: 'TryPostOnly',
},
{
name: 'Slide',
},
],
},
},
Expand Down Expand Up @@ -531,5 +547,15 @@ export const IDL: JitProxy = {
name: 'UnprofitableArb',
msg: 'UnprofitableArb',
},
{
code: 6008,
name: 'PositionLimitBreached',
msg: 'PositionLimitBreached',
},
{
code: 6009,
name: 'NoFill',
msg: 'NoFill',
},
],
};