bigz/add-lp-order-risk-mitigations #766

0xbigz · 2023-12-14T21:59:06Z

No description provided.

codecov · 2023-12-14T22:05:40Z

Codecov Report

Merging #766 (3156829) into master (1e2d0ab) will decrease coverage by 0.04%.
Report is 17 commits behind head on master.
The diff coverage is 66.27%.

❗ Current head 3156829 differs from pull request most recent head 7b3c111. Consider uploading reports for the commit 7b3c111 to get more accurate results

Additional details and impacted files

@@            Coverage Diff             @@
##           master     #766      +/-   ##
==========================================
- Coverage   74.66%   74.62%   -0.04%     
==========================================
  Files         128      128              
  Lines       29765    30011     +246     
==========================================
+ Hits        22224    22397     +173     
- Misses       7541     7614      +73

Components	Coverage Δ
drift	`74.82% <66.27%> (-0.04%)`	⬇️

karthik-pepperdex · 2023-12-16T09:29:26Z

hey @0xbigz, can you please give a brief of what kind of new risk parameters does this enforce?

0xbigz · 2024-01-04T21:01:27Z

hey @0xbigz, can you please give a brief of what kind of new risk parameters does this enforce?

created discord thread of summary for more accessibility
https://discord.com/channels/849494028176588802/1163928155736789082/threads/1192573342528585748

programs/drift/src/controller/orders.rs

programs/drift/src/controller/pnl.rs

programs/drift/src/controller/orders.rs

programs/drift/src/controller/pnl.rs

programs/drift/src/controller/orders.rs

crispheaney · 2024-01-05T20:24:11Z

programs/drift/src/state/order_params.rs

+        let estimated_mark_offset = market
+            .amm
+            .last_ask_price_twap
+            .safe_add(market.amm.last_bid_price_twap)?


should this max with 0?

think you want to start at the middle (mark) of these and end at the opposite side + buffer (based on volatility)

crispheaney · 2024-01-05T20:26:37Z

programs/drift/src/state/order_params.rs

+            auction_start_price: Some(estimated_offset_to_start),
+            auction_end_price: Some(estimated_offset_to_close),
+            auction_duration: Some(80),
+            oracle_price_offset: Some(0),


i dont think oyu can use oracle_price_offset with a limit order

crispheaney · 2024-01-05T20:27:03Z

programs/drift/src/state/order_params.rs

+            market_index: market.market_index,
+            base_asset_amount,
+            reduce_only: true,
+            auction_start_price: Some(estimated_offset_to_start),


you should ensure auction start/end/limit all are monotonically increasing/decreasing

crispheaney · 2024-01-05T20:27:59Z

programs/drift/src/state/order_params.rs

@@ -92,6 +92,60 @@ impl OrderParams {

        Ok(())
    }
+
+    pub fn get_aggressive_close_params(


this should have a bunch of tests

* sdk: release v2.54.0-beta.5 * sdk: tweak polling tx confirmation (#812) * sdk: fix tests not building * sdk: tweak polling tx confirmation * sdk: release v2.54.0-beta.6 * sdk: add option to get signed settlepnl tix from a market order (#813) * sdk: add option to get signed settlepnl tix from a market order * fix lint * sdk: release v2.54.0-beta.7 * ts-sdk: remove unncessary logs on tx failure * linter * prettify * sdk: release v2.54.0-beta.8 * math/constants.rs: correct QUOTE AMOUNTS constant name * ts-sdk: filter out erroneous logs in EventSubscriber (#815) * sdk: release v2.54.0-beta.9 * program: auto derisk lp positions in settle pnl (#766) * bigz/add-lp-order-risk-mitigations * friendly perp position iter * update parmams mutability * add time_since_last_liquidity_change * add new variable to margin context mode * add attempt to burn shares in force cancel/settle pnl * remove from force cancel orders * sdk: fix tests not building * change place orders * rmeove unused mut * address some comments * add to settle_pnl * use oracle orders * tweak order params * oracle order tests * add typescript test, fix order param market_type * remove logic from settle_expired_position * CHANGELOG --------- Co-authored-by: Chris Heaney <[email protected]> * sdk: release v2.54.0-beta.10 * v2.54.0 * sdk: release v2.55.0-beta.0 * Revert "sdk: release v2.55.0-beta.0" This reverts commit 21c4a46. * Revert "v2.54.0" This reverts commit 63c7208. * sdk: release v2.54.0-beta.11 * ts-sdk: fix mixing stopWaiting * sdk: release v2.54.0-beta.12 * v2.54.0 * sdk: release v2.55.0-beta.0 * Added handling for signature time measurement (#818) * Added handling for signature time measurement * Added opt-in metrics flag to drift client * fixed prettier --------- Co-authored-by: lowkeynicc <[email protected]> * sdk: release v2.55.0-beta.1 * sdk: fix ts timeout * sdk: fix getUnrealizedPNL for market index 0 * sdk: release v2.55.0-beta.2 * sdk: release v2.55.0-beta.3 * sdk: dlp updates (#822) * dlp updates * add optional custom margin ratio param to initAndDeposit * prettify * sdk: release v2.55.0-beta.4 * program: fix risk reduction dlp burn from not being step size (#826) * program: fix risk reduction dlp burn from not being step size * CHANGELOG * fix lp burn * v2.55.0 * sdk: release v2.56.0-beta.0 * Luke/extra tx sending (#827) * added raw tx endpoints to tx senders * Swapped additional tx endpoints for callbacks * sdk: account for settle lp in accoutnt breakdown (#828) * sdk: add settle pnl option to cost basis calc * sdk: catch error in priorityFeeSubscriber.load (#834) * Replace sendRawTransaction with sendTransaction (#833) * program: make it easier for jit fills (#835) * program: make it easier for jit fills * CHANGELOG * sdk: prettify:fix * sdk: release v2.56.0-beta.1 * v2.56.0 * sdk: release v2.57.0-beta.0 * devnet-market-index-23 (#837) * devnet-market-index-23 * comment out used oracle * sdk: release v2.57.0-beta.1 * program: add recenter amm ix (#836) * bigz/add-amm-recenter-fcn * add recenter-amm-2 test * passing recenter_amm_2 test * add test_move_amm test * update todo msg * add to adminClient * add get_lower_bound_sqrt_k functor * CHANGELOG --------- Co-authored-by: Chris Heaney <[email protected]> * sdk: release v2.57.0-beta.2 * v2.57.0 * sdk: release v2.58.0-beta.0 * add helius method to PriorityFeeSubscriber (#832) * add helius method to PriorityFeeSubscriber * eagerly convert PubicKey to string * use helius from connection obj, or optional rpc url * lints * sdk: release v2.58.0-beta.1 * program: AmmPaused doesnt block all fills * v2.58.0 * sdk: release v2.59.0-beta.0 * sdk: allow hotswap addresses in PriorityFeeSubscriber * sdk: release v2.59.0-beta.1 * sdk: fix priorityFeeSubscriber rpc endpoint loading * sdk: release v2.59.0-beta.2 * sdk: add max fee clamp to priority fee * sdk: release v2.59.0-beta.3 * sdk: fix priority fee clamp, add getter * sdk: release v2.59.0-beta.4 * program: bump phoenix dependency * no state ws resub * sdk: release v2.59.0-beta.5 * program: use decayed last_oracle_conf_pct as lower bound for update (#840) * bigz/add-oracle-volatility-protections * fix pct vs price bug, add test + changelog * cleanup code (naming, mutables) * program: add paused operations flag (#839) * program: init pause_operations flag * tweaks * write tests for paused operations * split out spot and perp operations * fixes * add sdk and use PerpOperation/SpotOperation naming convention * fix update funding ix * stop update to deprecated market status * add admin fn * add logging for admin fn * CHANGELOG * sdk: release v2.59.0-beta.6 * v2.59.0 * sdk: release v2.60.0-beta.0 * implement parallel processing in sync() method --------- Co-authored-by: GitHub Actions <41898282+github-actions[bot]@users.noreply.github.com> Co-authored-by: lil perp <[email protected]> Co-authored-by: lowkeynicc <[email protected]> Co-authored-by: wphan <[email protected]> Co-authored-by: 0xbigz <[email protected]> Co-authored-by: Luke <[email protected]> Co-authored-by: lowkeynicc <[email protected]> Co-authored-by: Chester Sim <[email protected]> Co-authored-by: Evan Pipta <[email protected]> Co-authored-by: Nour Alharithi <[email protected]>

bigz/add-lp-order-risk-mitigations

36345d1

0xbigz added 5 commits December 19, 2023 10:35

friendly perp position iter

535ff21

Merge branch 'master' into bigz/add-lp-order-risk-mitigations

17e0091

Merge branch 'master' into bigz/add-lp-order-risk-mitigations

af4d9e1

update parmams mutability

3660793

add time_since_last_liquidity_change

8ff4d5c

crispheaney and others added 2 commits January 4, 2024 16:41

add new variable to margin context mode

2413732

add attempt to burn shares in force cancel/settle pnl

5f22159

crispheaney reviewed Jan 5, 2024

View reviewed changes

programs/drift/src/controller/orders.rs Outdated Show resolved Hide resolved

crispheaney reviewed Jan 5, 2024

View reviewed changes

programs/drift/src/controller/pnl.rs Outdated Show resolved Hide resolved

crispheaney reviewed Jan 5, 2024

View reviewed changes

crispheaney and others added 13 commits January 6, 2024 13:40

remove from force cancel orders

37eaf08

sdk: fix tests not building

bcd1423

Merge branch 'master' into bigz/add-lp-order-risk-mitigations

d5e80c3

change place orders

3e1d954

rmeove unused mut

a923ed5

address some comments

57294b4

add to settle_pnl

1546850

use oracle orders

506a15e

tweak order params

85b6638

oracle order tests

98ef362

add typescript test, fix order param market_type

3156829

remove logic from settle_expired_position

cbfe75e

CHANGELOG

7b3c111

crispheaney merged commit 606ab63 into master Jan 11, 2024
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bigz/add-lp-order-risk-mitigations #766

bigz/add-lp-order-risk-mitigations #766

0xbigz commented Dec 14, 2023

codecov bot commented Dec 14, 2023 •

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karthik-pepperdex commented Dec 16, 2023

0xbigz commented Jan 4, 2024 •

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crispheaney Jan 5, 2024

0xbigz Jan 5, 2024

crispheaney Jan 5, 2024

crispheaney Jan 5, 2024

crispheaney Jan 5, 2024

bigz/add-lp-order-risk-mitigations #766

bigz/add-lp-order-risk-mitigations #766

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0xbigz commented Dec 14, 2023

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karthik-pepperdex commented Dec 16, 2023

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0xbigz commented Jan 4, 2024 •

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