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program: add test for max order size with imf #696

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merged 2 commits into from
Nov 15, 2023
Merged

program: add test for max order size with imf #696

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747448d
remove unused use_spread flag in calculate_base_asset_value
crispheaney Nov 12, 2023
6695296
add tests for max order size accounting for imf factor
crispheaney Nov 12, 2023
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1 change: 0 additions & 1 deletion programs/drift/src/math/amm.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -633,7 +633,6 @@ pub fn calculate_quote_asset_amount_swapped(
) -> DriftResult<u128> {
let mut quote_asset_reserve_change = match swap_direction {
SwapDirection::Add => quote_asset_reserve_before.safe_sub(quote_asset_reserve_after)?,

SwapDirection::Remove => quote_asset_reserve_after.safe_sub(quote_asset_reserve_before)?,
};

Expand Down
5 changes: 1 addition & 4 deletions programs/drift/src/math/cp_curve.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -179,7 +179,6 @@ pub fn adjust_k_cost(
market_clone.amm.base_asset_amount_with_amm,
0,
&market_clone.amm,
false,
)?;

update_k(&mut market_clone, update_k_result)?;
Expand All @@ -188,7 +187,6 @@ pub fn adjust_k_cost(
market_clone.amm.base_asset_amount_with_amm,
current_net_market_value,
&market_clone.amm,
false,
)?;

Ok(cost)
Expand All @@ -203,15 +201,14 @@ pub fn adjust_k_cost_and_update(
) -> DriftResult<i128> {
// Find the net market value before adjusting k
let current_net_market_value =
calculate_base_asset_value(market.amm.base_asset_amount_with_amm, &market.amm, false)?;
calculate_base_asset_value(market.amm.base_asset_amount_with_amm, &market.amm)?;

update_k(market, update_k_result)?;

let (_new_net_market_value, cost) = calculate_base_asset_value_and_pnl(
market.amm.base_asset_amount_with_amm,
current_net_market_value,
&market.amm,
false,
)?;

Ok(cost)
Expand Down
106 changes: 58 additions & 48 deletions programs/drift/src/math/orders.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -825,37 +825,41 @@ pub fn calculate_max_perp_order_size(
);
}

let mut order_size = free_collateral
.safe_sub(OPEN_ORDER_MARGIN_REQUIREMENT.cast()?)?
.safe_mul(BASE_PRECISION_I128 / QUOTE_PRECISION_I128)?
.safe_mul(MARGIN_PRECISION_U128.cast()?)?
.safe_div(margin_ratio.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(oracle_price_data_price.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(quote_oracle_price.cast()?)?
.cast::<u64>()?;

let updated_margin_ratio = perp_market
.get_margin_ratio(
worst_case_base_asset_amount
.unsigned_abs()
.safe_add(order_size.cast()?)?,
MarginRequirementType::Initial,
)?
.max(user_custom_margin_ratio);

if updated_margin_ratio != margin_ratio {
order_size = free_collateral
let calculate_order_size_and_margin_ratio = |margin_ratio: u32| {
let new_order_size = free_collateral
.safe_sub(OPEN_ORDER_MARGIN_REQUIREMENT.cast()?)?
.safe_mul(BASE_PRECISION_I128 / QUOTE_PRECISION_I128)?
.safe_mul(MARGIN_PRECISION_U128.cast()?)?
.safe_div(updated_margin_ratio.cast()?)?
.safe_div(margin_ratio.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(oracle_price_data_price.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(quote_oracle_price.cast()?)?
.cast::<u64>()?;

let new_margin_ratio = perp_market
.get_margin_ratio(
worst_case_base_asset_amount
.unsigned_abs()
.safe_add(new_order_size.cast()?)?,
MarginRequirementType::Initial,
)?
.max(user_custom_margin_ratio);

Ok((new_order_size, new_margin_ratio))
};

let mut order_size = 0_u64;
let mut updated_margin_ratio = margin_ratio;
for _ in 0..6 {
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using iter method like in sdk? jw, is this going to always under estimate the max (to ensure it goes through?)

let (new_order_size, new_margin_ratio) =
calculate_order_size_and_margin_ratio(updated_margin_ratio)?;
order_size = new_order_size;
updated_margin_ratio = new_margin_ratio;

if new_margin_ratio == margin_ratio {
break;
}
}

standardize_base_asset_amount(
Expand Down Expand Up @@ -1056,37 +1060,43 @@ pub fn calculate_max_spot_order_size(

let precision_increase = 10i128.pow(spot_market.decimals - 6);

let mut order_size = free_collateral
.safe_sub(OPEN_ORDER_MARGIN_REQUIREMENT.cast()?)?
.safe_mul(precision_increase)?
.safe_mul(SPOT_WEIGHT_PRECISION.cast()?)?
.safe_div(free_collateral_delta.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(max_oracle_price.cast()?)?
.cast::<u64>()?;

// increasing the worst case token amount with new order size may increase margin ration,
// so need to recalculate free collateral delta with updated margin ratio
let updated_free_collateral_delta = calculate_free_collateral_delta_for_spot(
&spot_market,
worst_case_token_amount
.unsigned_abs()
.safe_add(order_size.cast()?)?,
&strict_oracle_price,
direction,
user_custom_liability_weight,
user_custom_asset_weight,
)?;

if updated_free_collateral_delta != free_collateral_delta {
order_size = free_collateral
let calculate_order_size_and_free_collateral_delta = |free_collateral_delta: u32| {
let new_order_size = free_collateral
.safe_sub(OPEN_ORDER_MARGIN_REQUIREMENT.cast()?)?
.safe_mul(precision_increase)?
.safe_mul(SPOT_WEIGHT_PRECISION.cast()?)?
.safe_div(updated_free_collateral_delta.cast()?)?
.safe_div(free_collateral_delta.cast()?)?
.safe_mul(PRICE_PRECISION_I128)?
.safe_div(max_oracle_price.cast()?)?
.cast::<u64>()?;

// increasing the worst case token amount with new order size may increase margin ratio,
// so need to recalculate free collateral delta with updated margin ratio
let new_free_collateral_delta = calculate_free_collateral_delta_for_spot(
&spot_market,
worst_case_token_amount
.unsigned_abs()
.safe_add(new_order_size.cast()?)?,
&strict_oracle_price,
direction,
user_custom_liability_weight,
user_custom_asset_weight,
)?;

Ok((new_order_size, new_free_collateral_delta))
};

let mut order_size = 0_u64;
let mut updated_free_collateral_delta = free_collateral_delta;
for _ in 0..6 {
let (new_order_size, new_free_collateral_delta) =
calculate_order_size_and_free_collateral_delta(updated_free_collateral_delta)?;
order_size = new_order_size;
updated_free_collateral_delta = new_free_collateral_delta;

if updated_free_collateral_delta == free_collateral_delta {
break;
}
}

standardize_base_asset_amount(
Expand Down
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