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Rework rebalance logic
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@mvines
mvines committed Jun 12, 2024
1 parent 27c89c7 commit 3ba5257
Showing 1 changed file with 72 additions and 59 deletions.
131 changes: 72 additions & 59 deletions src/bin/sys-lend.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -987,9 +987,22 @@ async fn main() -> Result<(), Box<dyn std::error::Error>> {
})
.unwrap_or(deposit_pool);

// let deposit_pool = &"kamino-main".to_string();
// let withdraw_pool = &"mfi".to_string();

let deposit_pool_apy = apr_to_apy(*supply_apr.get(deposit_pool).unwrap()) * 100.;
let withdraw_pool_apy = apr_to_apy(*supply_apr.get(withdraw_pool).unwrap()) * 100.;

// Weighted supply balance APY across the deposit and withdraw pools
let weighted_deposit_withdraw_pool_apy = {
let deposit_pool_balance = *supply_balance.get(deposit_pool).unwrap() as f64;
let withdraw_pool_balance = *supply_balance.get(withdraw_pool).unwrap() as f64;

(deposit_pool_balance * deposit_pool_apy
+ withdraw_pool_balance * withdraw_pool_apy)
/ (deposit_pool_balance + withdraw_pool_balance)
};

let (ops, minimum_op_amount, maximum_op_amount) = match cmd {
Command::Deposit => {
if address_token_balance < minimum_amount {
Expand Down Expand Up @@ -1271,11 +1284,21 @@ async fn main() -> Result<(), Box<dyn std::error::Error>> {

let mut best_op_amount = None;
let mut best_op_data = None;
let mut best_op_rebalance_apy = minimum_apy_bps as isize;
loop {
assert!(op_amount >= minimum_op_amount);
assert!(op_amount <= maximum_op_amount);

let (msg, maybe_op_data) = {
let (msg, maybe_op_data) = if op_amount < minimum_amount {
(
format!(
"Cannot {cmd:?}. {} is less than the minimum deposit amount of {}",
maybe_token.format_amount(op_amount),
maybe_token.format_amount(minimum_amount)
),
None,
)
} else {
let amount = op_amount;

let (
Expand All @@ -1297,98 +1320,88 @@ async fn main() -> Result<(), Box<dyn std::error::Error>> {
// Is it worth it?
//

// Deposit pool APY after the operation
let simulation_deposit_pool_apy = apr_to_apy(
pool_supply_apr(deposit_pool, token, &mut simulation_account_data_cache)
.unwrap_or(0.),
) * 100.;

// Withdraw pool APY after the operation
let simulation_withdraw_pool_apy = apr_to_apy(
pool_supply_apr(withdraw_pool, token, &mut simulation_account_data_cache)
.unwrap_or(0.),
) * 100.;

let simulation_apy_improvement_bps = ((simulation_deposit_pool_apy
- simulation_withdraw_pool_apy)
* 100.) as isize;
// Weighted supply balance APY across the deposit and withdraw pools after the operation
let simulation_weighted_deposit_withdraw_pool_apy = {
let simulation_deposit_pool_balance = supply_balance
.get(deposit_pool)
.unwrap()
.saturating_add(amount)
as f64;
let simulation_withdraw_pool_balance = supply_balance
.get(withdraw_pool)
.unwrap()
.saturating_sub(amount)
as f64;

(simulation_deposit_pool_balance * simulation_deposit_pool_apy
+ simulation_withdraw_pool_balance * simulation_withdraw_pool_apy)
/ (simulation_deposit_pool_balance + simulation_withdraw_pool_balance)
};

let (msg, ok) = match cmd {
Command::Deposit => {
let minimum_apy = minimum_apy_bps as f64 / 100.;
if simulation_deposit_pool_apy < minimum_apy {
(
format!(
"Will not deposit. {deposit_pool} APY after deposit, {simulation_deposit_pool_apy:.2}%, \
is less than the minimum APY of {minimum_apy:.2}%"
),
false
)
} else if amount < minimum_amount {
(
format!(
"Will not deposit. {} is less than the minimum deposit amount of {}",
maybe_token.format_amount(amount),
maybe_token.format_amount(minimum_amount)
),
false
)
} else {
(
format!(
"Deposit {} from {address} into \
{deposit_pool} ({deposit_pool_apy:.2}% -> {simulation_deposit_pool_apy:.2}%)",
maybe_token.format_amount(amount)
),
true
)
}
}
Command::Withdraw => {
if amount < minimum_amount {
(
format!(
"Will not withdraw. {} is less than the minimum withdrawal amount of {}",
maybe_token.format_amount(amount),
maybe_token.format_amount(minimum_amount)
),
false
)
format!("{deposit_pool} APY after deposit, {simulation_deposit_pool_apy:.2}%, is too low (minimum: {minimum_apy_bps}bps)"),
false
)
} else {
(
format!(
"Withdraw {} from \
{withdraw_pool} ({withdraw_pool_apy:.2}% -> \
{simulation_withdraw_pool_apy:.2}%) into {address}",
"Deposit {} from {address} into {deposit_pool} ({deposit_pool_apy:.2}% -> {simulation_deposit_pool_apy:.2}%)",
maybe_token.format_amount(amount)
),
true,
true
)
}
}
Command::Withdraw => (
format!(
"Withdraw {} from \
{withdraw_pool} ({withdraw_pool_apy:.2}% -> \
{simulation_withdraw_pool_apy:.2}%) into {address}",
maybe_token.format_amount(amount)
),
true,
),
Command::Rebalance => {
let msg_prefix = format!("Rebalance of {} from \
let weighted_apy_change = format!("{weighted_deposit_withdraw_pool_apy:.2}% -> {simulation_weighted_deposit_withdraw_pool_apy:.2}%");
let msg_prefix = format!("Rebalance of {} ({weighted_apy_change}) from \
{withdraw_pool} ({withdraw_pool_apy:.2}% -> {simulation_withdraw_pool_apy:.2}%) \
to {deposit_pool} ({deposit_pool_apy:.2}% -> {simulation_deposit_pool_apy:.2}%)",
maybe_token.format_amount(amount)
);

if simulation_apy_improvement_bps < minimum_apy_bps as isize {
(
format!(
"{msg_prefix} will improve APY by {simulation_apy_improvement_bps}bps \
(minimum required improvement: {minimum_apy_bps}bps)"
),
false
)
} else if amount < minimum_amount {
let simulation_weighted_apy_improvement_bps =
((simulation_weighted_deposit_withdraw_pool_apy
- weighted_deposit_withdraw_pool_apy)
* 100.) as isize;

if simulation_weighted_apy_improvement_bps < best_op_rebalance_apy {
(
format!(
"Will not rebalance. {} is less than the minimum rebalance amount of {}",
maybe_token.format_amount(amount),
maybe_token.format_amount(minimum_amount)
"{msg_prefix} will only improve by {simulation_weighted_apy_improvement_bps}bps \
(minimum: {minimum_apy_bps}bps)"
),
false
)
} else {
(format!("{msg_prefix} for an additional {simulation_apy_improvement_bps}bps"), true)
best_op_rebalance_apy = simulation_weighted_apy_improvement_bps;

(format!("{msg_prefix} for {simulation_weighted_apy_improvement_bps}bps"), true)
}
}
};
Expand All @@ -1409,7 +1422,7 @@ async fn main() -> Result<(), Box<dyn std::error::Error>> {

if report_probes {
println!(
"Probe {} [{msg}]",
"{} - {msg}",
if maybe_op_data.is_some() {
"PASS"
} else {
Expand Down

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