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jit: fix accounting for amm price #36

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Feb 8, 2024
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jit: fix accounting for amm price #36

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17 changes: 10 additions & 7 deletions programs/jit-proxy/src/instructions/jit.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -132,24 +132,27 @@ pub fn jit<'info>(ctx: Context<'_, '_, '_, 'info, Jit<'info>>, params: JitParams
let perp_market = perp_market_map.get_ref(&market_index)?;
let reserve_price = perp_market.amm.reserve_price()?;

let mut maker_price = taker_price;
match maker_direction {
let maker_price = match maker_direction {
PositionDirection::Long => {
let amm_bid_price = perp_market.amm.bid_price(reserve_price)?;

// if amm price is better than maker, use amm price to ensure fill
if taker_price <= amm_bid_price && amm_bid_price < maker_worst_price {
maker_price = amm_bid_price;
if taker_price <= amm_bid_price {
amm_bid_price.min(maker_worst_price)
} else {
taker_price
}
}
PositionDirection::Short => {
let amm_ask_price = perp_market.amm.ask_price(reserve_price)?;

if taker_price >= amm_ask_price && amm_ask_price > maker_worst_price {
maker_price = amm_ask_price;
if taker_price >= amm_ask_price {
amm_ask_price.max(maker_worst_price)
} else {
taker_price
}
}
}
};

maker_price
} else {
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