drift-labs · 0xbigz · Apr 1, 2024
diff --git a/programs/drift/src/controller/amm/tests.rs b/programs/drift/src/controller/amm/tests.rs
@@ -825,26 +825,13 @@ fn update_pool_balances_revenue_to_fee_test() {
     assert_eq!(spot_market.insurance_fund.revenue_settle_period, 0);
 
     spot_market.insurance_fund.revenue_settle_period = 0;
-    let res = settle_revenue_to_insurance_fund(
-        0,
-        0,
-        &mut spot_market,
-        now + 3600,
-        true,
-    )
-    .unwrap();
+    let res = settle_revenue_to_insurance_fund(0, 0, &mut spot_market, now + 3600, true).unwrap();
     assert_eq!(res, 0);
     spot_market.insurance_fund.revenue_settle_period = 1;
 
     spot_market.revenue_pool.scaled_balance = 0;
-    let res = settle_revenue_to_insurance_fund(
-        200000000,
-        0,
-        &mut spot_market,
-        now + 1,
-        false,
-    )
-    .unwrap();
+    let res =
+        settle_revenue_to_insurance_fund(200000000, 0, &mut spot_market, now + 1, false).unwrap();
     assert_eq!(res, 0);
     spot_market.revenue_pool.scaled_balance = 100 * SPOT_BALANCE_PRECISION;
     now += 2;

diff --git a/programs/drift/src/controller/position/tests.rs b/programs/drift/src/controller/position/tests.rs
@@ -5,7 +5,8 @@ use crate::controller::lp::{apply_lp_rebase_to_perp_market, settle_lp_position};
 use crate::controller::position::{
     update_lp_market_position, update_position_and_market, PositionDelta, PositionDirection,
 };
-use crate::math::amm::estimate_best_bid_ask_price;
+use crate::math::amm::{estimate_best_bid_ask_price, update_mark_twap_from_estimates};
+use crate::state::order_params::OrderParams;
 
 use crate::controller::repeg::_update_amm;
 use crate::math::constants::{
@@ -294,6 +295,234 @@ fn est_bid_ask_amm() {
     assert_eq!(ask, amm_bid_price);
 }
 
+#[test]
+fn est_bid_ask_amm_mark_update_iterative() {
+    let perp_market_str = String::from("Ct8MLGv1N/dvAH3EF67yBqaUQerctpm4yqpK+QNSrXCQz76p+B+ka+8Ni2/aLOukHaFdQJXR2jkqDS+O0MbHvA9M+sjCgLVtPCXfCgAAAAAAAAAAAAAAAAUAAAAAAAAA4lbgCgAAAAD0ft4KAAAAANR4BGYAAAAACM8a0Hn//////////////1VDX2z9//////////////9QNResjr4LAAAAAAAAAAAAAAAAAAAAAABf+eFCkQUIAAAAAAAAAAAASGcYpdjVHAAAAAAAAAAAAJxiDwAAAAAAAAAAAAAAAACYFslxyfcHAAAAAAAAAAAAadwD2bgZCAAAAAAAAAAAACbmgal4NQ8AAAAAAAAAAABjPwYDAAAAAAAAAAAAAAAA84sXlajKHAAAAAAAAAAAAACRroLmLAIAAAAAAAAAAAAAJPP0h9f9////////////k+Op9x0DAAAAAAAAAAAAAG3R939QAQAAAAAAAAAAAAAAwFdzpXwCAAAAAAAAAAAAi0tQM5z//////////////7p9hfTAof/////////////iOtCPDFsAAAAAAAAAAAAAbOli63Kg/////////////2ZM0THnXAAAAAAAAAAAAABZuEr7un8BAAAAAAAAAAAA8i0bAgAAAADyLRsCAAAAAPItGwIAAAAAwKkWAQAAAADfxlwoCQYAAAAAAAAAAAAAsOH+aAICAAAAAAAAAAAAAN1CB2sXBAAAAAAAAAAAAABorLVKwAQAAAAAAAAAAAAAqigkm1kBAAAAAAAAAAAAAJKzRoiyAAAAAAAAAAAAAABK712SBQAAAAAAAAAAAAAAz5MThgUAAAAAAAAAAAAAAMG4+QwBAAAAAAAAAAAAAADz2LYf7fsHAAAAAAAAAAAAj6aNkqr4HAAAAAAAAAAAAALArDkjCAgAAAAAAAAAAACiuz90nswcAAAAAAAAAAAAPCXfCgAAAAAAAAAAAAAAAHpH5goAAAAA78vyCgAAAAC0iewKAAAAAHNN6QoAAAAAdLxODwAAAAAaBQAAAAAAAEv9vuf+////tmwEZgAAAAAQDgAAAAAAAADh9QUAAAAAZAAAAAAAAAAA4fUFAAAAAAAAAAAAAAAA4HqmTJlEAAAB+L898gAAAO2EvujZAAAAzngEZgAAAABYYgYAAAAAAKYxAQAAAAAAzngEZgAAAADECQAAqGEAAL0kAADECQAAJAAAAAAAAADECTIAZMgAAcDIUt4DAAAAxfCjDgAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAACjcTsqZPAEAAAAAAAAAAAAAAAAAAAAAAFNPTC1QRVJQICAgICAgICAgICAgICAgICAgICAgICAgAAAAAAAAAAAAwusLAAAAAABcsuwiAAAAa6PKbQQAAAAPYARmAAAAAADh9QUAAAAAAAAAAAAAAAAAAAAAAAAAAJ+2SgAAAAAAbS8AAAAAAAAeBQAAAAAAAMgAAAAAAAAATB0AANQwAADoAwAA9AEAAAAAAAAQJwAATDAAABBWAAAAAAEAAQAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA==");
+    let mut decoded_bytes = base64::decode(perp_market_str).unwrap();
+    let perp_market_bytes = decoded_bytes.as_mut_slice();
+
+    let key = Pubkey::default();
+    let owner = Pubkey::from_str("dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH").unwrap();
+    let mut lamports = 0;
+    let perp_market_account_info =
+        create_account_info(&key, true, &mut lamports, perp_market_bytes, &owner);
+
+    let perp_market_loader: AccountLoader<PerpMarket> =
+        AccountLoader::try_from(&perp_market_account_info).unwrap();
+    let mut perp_market = perp_market_loader.load_mut().unwrap();
+
+    let mut now = perp_market.amm.last_mark_price_twap_ts;
+    let mut slot = perp_market.amm.last_update_slot;
+
+    let mut precomputed_trade_price = perp_market.amm.last_mark_price_twap_5min;
+
+    assert_eq!(perp_market.amm.last_bid_price_twap, 182863738);
+    assert_eq!(perp_market.amm.last_ask_price_twap, 183684079);
+    assert_eq!(
+        perp_market.amm.historical_oracle_data.last_oracle_price,
+        182396220
+    );
+    assert_eq!(
+        perp_market
+            .amm
+            .historical_oracle_data
+            .last_oracle_price_twap,
+        182474466
+    );
+    assert_eq!(perp_market.amm.mark_std, 418_392);
+    assert_eq!(perp_market.amm.oracle_std, 78_246);
+
+    let og_est_market_spread = 820341;
+    assert_eq!(
+        perp_market.amm.last_ask_price_twap - perp_market.amm.last_bid_price_twap,
+        og_est_market_spread
+    );
+    let state = State::default();
+    let oracle_price_data = OraclePriceData {
+        price: perp_market.amm.historical_oracle_data.last_oracle_price,
+        confidence: PRICE_PRECISION_U64 / 100,
+        delay: 1,
+        has_sufficient_number_of_data_points: true,
+    };
+
+    for i in 0..3600 {
+        let t_delta = (i * (i % 3)) % 60;
+        now += t_delta;
+        slot += (t_delta * 2) as u64;
+        let mut direction = PositionDirection::Long;
+        if i % 2 == 0 {
+            direction = PositionDirection::Short;
+        }
+
+        if i % 2 == 0 {
+            precomputed_trade_price -= PRICE_PRECISION_U64 / 100;
+            assert_eq!(precomputed_trade_price, 183051875);
+        } else {
+            precomputed_trade_price += PRICE_PRECISION_U64 / 100;
+            assert_eq!(precomputed_trade_price, 183061875);
+        }
+        _update_amm(&mut perp_market, &oracle_price_data, &state, now, slot).unwrap();
+
+        let _res = update_mark_twap_from_estimates(
+            &mut perp_market.amm,
+            now,
+            Some(precomputed_trade_price),
+            Some(direction),
+            None,
+        )
+        .unwrap();
+    }
+
+    // new bid / ask twap matches long/short fills
+    assert_eq!(perp_market.amm.last_bid_price_twap, 182716029);
+    assert_eq!(perp_market.amm.last_ask_price_twap, 183172254);
+    assert_eq!(
+        perp_market.amm.historical_oracle_data.last_oracle_price,
+        182396220
+    );
+    assert_eq!(
+        perp_market
+            .amm
+            .historical_oracle_data
+            .last_oracle_price_twap,
+        182396282
+    );
+    assert_eq!(perp_market.amm.mark_std, 114212);
+    assert_eq!(perp_market.amm.oracle_std, 62);
+
+    assert!(
+        perp_market.amm.last_ask_price_twap - perp_market.amm.last_bid_price_twap
+            < og_est_market_spread
+    );
+}
+
+#[test]
+fn est_bid_ask_amm_mark_update_iterative_price_up_only_tight() {
+    let perp_market_str = String::from("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");
+    let mut decoded_bytes = base64::decode(perp_market_str).unwrap();
+    let perp_market_bytes = decoded_bytes.as_mut_slice();
+
+    let key = Pubkey::default();
+    let owner = Pubkey::from_str("dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH").unwrap();
+    let mut lamports = 0;
+    let perp_market_account_info =
+        create_account_info(&key, true, &mut lamports, perp_market_bytes, &owner);
+
+    let perp_market_loader: AccountLoader<PerpMarket> =
+        AccountLoader::try_from(&perp_market_account_info).unwrap();
+    let mut perp_market = perp_market_loader.load_mut().unwrap();
+
+    let og_now = perp_market.amm.last_mark_price_twap_ts;
+    let mut now = perp_market.amm.last_mark_price_twap_ts;
+    let mut slot = perp_market.amm.last_update_slot;
+
+    let mut precomputed_trade_price = perp_market.amm.last_mark_price_twap_5min;
+
+    assert_eq!(perp_market.amm.last_bid_price_twap, 182863738);
+    assert_eq!(perp_market.amm.last_ask_price_twap, 183684079);
+    assert_eq!(
+        perp_market.amm.historical_oracle_data.last_oracle_price,
+        182396220
+    );
+    assert_eq!(
+        perp_market
+            .amm
+            .historical_oracle_data
+            .last_oracle_price_twap,
+        182474466
+    );
+    assert_eq!(perp_market.amm.mark_std, 418_392);
+    assert_eq!(perp_market.amm.oracle_std, 78_246);
+
+    let og_est_market_spread = 820341;
+    assert_eq!(
+        perp_market.amm.last_ask_price_twap - perp_market.amm.last_bid_price_twap,
+        og_est_market_spread
+    );
+    let state = State::default();
+
+    for i in 0..3600 {
+        let t_delta = (i * (i % 3)) % 60;
+        now += t_delta;
+        slot += (t_delta * 2) as u64;
+        let mut direction = PositionDirection::Long;
+        if i % 2 == 0 {
+            direction = PositionDirection::Short;
+        }
+
+        if i % 2 == 0 {
+            precomputed_trade_price += PRICE_PRECISION_U64 / 100;
+            assert!(precomputed_trade_price >= 183051875);
+        } else {
+            precomputed_trade_price += PRICE_PRECISION_U64 / 200;
+            assert!(precomputed_trade_price >= 183061875);
+        }
+        let oracle_price_data = OraclePriceData {
+            price: precomputed_trade_price as i64,
+            confidence: PRICE_PRECISION_U64 / 100,
+            delay: 1,
+            has_sufficient_number_of_data_points: true,
+        };
+
+        _update_amm(&mut perp_market, &oracle_price_data, &state, now, slot).unwrap();
+
+        let _res = update_mark_twap_from_estimates(
+            &mut perp_market.amm,
+            now,
+            Some(precomputed_trade_price),
+            Some(direction),
+            None,
+        )
+        .unwrap();
+    }
+
+    assert_eq!(now - og_now, 72600); // 20 hours
+
+    // new bid / ask twap matches long/short fills
+    assert_eq!(perp_market.amm.last_mark_price_twap_5min, 209993833);
+    assert_eq!(perp_market.amm.last_mark_price_twap, 208787174);
+    assert_eq!(perp_market.amm.last_bid_price_twap, 208526183);
+    assert_eq!(perp_market.amm.last_ask_price_twap, 209048165);
+
+    assert_eq!(
+        perp_market.amm.historical_oracle_data.last_oracle_price,
+        210061875
+    );
+
+    let (long_start_offset, long_end_offset) =
+        OrderParams::get_perp_baseline_start_end_price_offset(
+            &perp_market,
+            PositionDirection::Long,
+        )
+        .unwrap();
+    assert_eq!(long_start_offset, -71292);
+    assert_eq!(long_end_offset, 2218275);
+
+    let (short_start_offset, short_end_offset) =
+        OrderParams::get_perp_baseline_start_end_price_offset(
+            &perp_market,
+            PositionDirection::Short,
+        )
+        .unwrap();
+    assert_eq!(short_start_offset, 202310);
+    assert_eq!(short_end_offset, -1558685);
+
+    assert_eq!(
+        perp_market
+            .amm
+            .historical_oracle_data
+            .last_oracle_price_twap,
+        208793593
+    );
+    assert_eq!(perp_market.amm.mark_std, 1291275);
+    assert_eq!(perp_market.amm.oracle_std, 1268282);
+
+    assert!(
+        perp_market.amm.last_ask_price_twap - perp_market.amm.last_bid_price_twap
+            < og_est_market_spread
+    );
+}
+
 #[test]
 fn amm_split_large_k_with_rebase() {
     let perp_market_str = String::from("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");

diff --git a/programs/drift/src/math/amm.rs b/programs/drift/src/math/amm.rs
@@ -155,8 +155,18 @@
     let base_spread_price_u64 = last_oracle_price_u64
         .safe_mul(amm.base_spread.cast::<u64>()?)?
         .safe_div(PERCENTAGE_PRECISION_U64)?;
+    let long_spread_price_u64 = last_oracle_price_u64
+        .safe_mul(amm.long_spread.cast::<u64>()?)?
+        .safe_div(PERCENTAGE_PRECISION_U64)?;
+    let short_spread_price_u64 = last_oracle_price_u64
+        .safe_mul(amm.short_spread.cast::<u64>()?)?
+        .safe_div(PERCENTAGE_PRECISION_U64)?;
     let max_spread_price_u64 = last_oracle_price_u64
-        .safe_mul(amm.base_spread.max(amm.max_spread).cast::<u64>()?)?
+        .safe_mul(
+            amm.base_spread
+                .max(amm.long_spread.safe_add(amm.short_spread)?)
+                .cast::<u64>()?,
+        )?
         .safe_div(PERCENTAGE_PRECISION_U64)?;
 
     let trade_price: u64 = match precomputed_trade_price {
@@ -169,7 +179,8 @@
         .safe_sub(amm.last_bid_price_twap.cast::<i64>()?)?
         .max(0)
         .unsigned_abs()
-        .clamp(base_spread_price_u64, max_spread_price_u64);
+        .clamp(base_spread_price_u64, max_spread_price_u64)
+        .min(amm.mark_std.max(amm.oracle_std).saturating_mul(2));
 
     validate!(
         amm.historical_oracle_data.last_oracle_price > 0,
@@ -183,7 +194,9 @@
     let best_bid_estimate = if let Some(direction) = direction {
         // taker is a long, hitting ask, assuming best bid is est_market_spread below
         if direction == PositionDirection::Long {
-            trade_price.saturating_sub(est_market_spread)
+            trade_price
+                .saturating_sub(est_market_spread.min(short_spread_price_u64))
+                .min(last_oracle_price_u64)
         } else {
             trade_price
         }
@@ -195,7 +208,9 @@
     let best_ask_estimate = if let Some(direction) = direction {
         // taker is a short, hitting bid, assuming best ask is est_market_spread above
         if direction == PositionDirection::Short {
-            trade_price.saturating_add(est_market_spread)
+            trade_price
+                .saturating_add(est_market_spread.min(long_spread_price_u64))
+                .max(last_oracle_price_u64)
         } else {
             trade_price
         }

diff --git a/programs/drift/src/math/amm/tests.rs b/programs/drift/src/math/amm/tests.rs
@@ -647,12 +647,13 @@ fn update_mark_twap_tests() {
     let new_bid_twap = amm.last_bid_price_twap;
     let new_ask_twap = amm.last_ask_price_twap;
 
+    assert_eq!(new_ask_twap, 40_000_015);
+    assert_eq!(new_bid_twap, 40000005);
+    assert!(new_bid_twap < new_ask_twap);
+
     assert_eq!(old_mark_twap, 40_000_000);
     assert_eq!(new_mark_twap, 40_000_010);
     assert!(new_mark_twap > old_mark_twap);
-    assert_eq!(new_ask_twap, 40_000_015);
-    assert_eq!(new_bid_twap, 40_000_005);
-    assert!(new_bid_twap < new_ask_twap);
 
     while now < 3600 {
         now += 1;
@@ -676,10 +677,10 @@ fn update_mark_twap_tests() {
     assert_eq!((new_bid_twap + new_ask_twap) / 2, new_mark_twap);
     assert!((new_oracle_twap as u64) < new_mark_twap); // funding in favor of maker?
     assert_eq!(new_oracle_twap, 40008161);
-    assert_eq!(new_bid_twap, 40013203);
-    assert_eq!(new_mark_twap, 40023382); // ~ 2 cents above oracle twap
+    assert_eq!(new_bid_twap, 40014547);
+    assert_eq!(new_mark_twap, 40024054); // ~ 2 cents above oracle twap
     assert_eq!(new_ask_twap, 40033561);
-    assert_eq!(amm.mark_std, 27902);
+    assert_eq!(amm.mark_std, 27230);
     assert_eq!(amm.oracle_std, 3119);
 
     let trade_price_2 = 39_971_280 * PRICE_PRECISION_U64 / 1_000_000;
@@ -712,16 +713,16 @@ fn update_mark_twap_tests() {
     let new_bid_twap = amm.last_bid_price_twap;
     let new_ask_twap = amm.last_ask_price_twap;
 
-    assert_eq!(new_bid_twap, 39_989_217);
-    assert_eq!(new_ask_twap, 40_004_701);
+    assert_eq!(new_bid_twap, 39989389);
+    assert_eq!(new_ask_twap, 40000790);
     assert!(new_bid_twap < new_ask_twap);
     assert_eq!((new_bid_twap + new_ask_twap) / 2, new_mark_twap);
 
     assert_eq!(new_oracle_twap, 39_998_518);
-    assert_eq!(new_mark_twap, 39996959);
+    assert_eq!(new_mark_twap, 39995089);
 
     assert!((new_oracle_twap as u64) >= new_mark_twap); // funding in favor of maker
-    assert_eq!(amm.mark_std, 26291);
+    assert_eq!(amm.mark_std, 24467);
     assert_eq!(amm.oracle_std, 7238);
 }