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liquidator: Deal with net-borrow restricted tcs executions
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@ckamm
ckamm committed Aug 14, 2023
1 parent ad2c1aa commit 2f13b11
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Showing 2 changed files with 165 additions and 44 deletions.
166 changes: 122 additions & 44 deletions bin/liquidator/src/trigger_tcs.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -12,14 +12,16 @@ use {anyhow::Context, fixed::types::I80F48, solana_sdk::pubkey::Pubkey};

use crate::{token_swap_info, util};

// The liqee health ratio to aim for when executing tcs orders that are bigger
// than the liqee can support.
//
// The background here is that the program considers bringing the liqee health ratio
// below 1% as "the tcs was completely fulfilled" and then closes the tcs.
// Choosing a value too close to 0 is problematic, since then small oracle fluctuations
// could bring the final health below 0 and make the triggering invalid!
const TARGET_HEALTH_RATIO: f64 = 0.5;
/// When computing the max possible swap for a liqee, assume the price is this fraction worse for them.
///
/// That way when executing the swap, the prices may move this much against the liqee without
/// making the whole execution fail.
const SLIPPAGE_BUFFER: f64 = 0.01; // 1%

/// If a tcs gets limited due to exhausted net borrows, don't trigger execution if
/// the possible value is below this amount. This avoids spamming executions when net
/// borrows are exhausted.
const NET_BORROW_EXECUTION_THRESHOLD: u64 = 1_000_000; // 1 USD

pub struct Config {
pub min_health_ratio: f64,
Expand Down Expand Up @@ -154,27 +156,21 @@ async fn execute_token_conditional_swap(

let base_price = buy_token_price / sell_token_price;
let premium_price = tcs.premium_price(base_price.to_num());
let maker_price = I80F48::from_num(tcs.maker_price(premium_price));
let taker_price = I80F48::from_num(tcs.taker_price(premium_price));

let max_take_quote = I80F48::from(config.max_trigger_quote_amount);

let liqee_target_health_ratio = I80F48::from_num(TARGET_HEALTH_RATIO);

let max_sell_token_to_liqor = util::max_swap_source(
mango_client,
account_fetcher,
&liqee,
tcs.sell_token_index,
tcs.buy_token_index,
I80F48::ONE / maker_price,
liqee_target_health_ratio,
)?
.min(max_take_quote / sell_token_price)
.floor()
.to_num::<u64>()
.min(tcs.remaining_sell());

let (liqee_max_buy, liqee_max_sell) =
match tcs_max_liqee_execution(liqee, mango_client, account_fetcher, tcs)? {
Some(v) => v,
None => return Ok(false),
};
let max_sell_token_to_liqor = liqee_max_sell;

// In addition to the liqee's requirements, the liqor also has requirements:
// - only swap while the health ratio stays high enough
// - possible net borrow limit restrictions from the liqor borrowing the buy token
// - liqor has a max_take_quote
let max_buy_token_to_liqee = util::max_swap_source(
mango_client,
account_fetcher,
Expand All @@ -187,7 +183,7 @@ async fn execute_token_conditional_swap(
.min(max_take_quote / buy_token_price)
.floor()
.to_num::<u64>()
.min(tcs.remaining_buy());
.min(liqee_max_buy);

if max_sell_token_to_liqor == 0 || max_buy_token_to_liqee == 0 {
return Ok(false);
Expand Down Expand Up @@ -332,8 +328,46 @@ fn tcs_max_volume(
mango_client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
tcs: &TokenConditionalSwap,
) -> anyhow::Result<u64> {
// Compute the max viable swap (for liqor and liqee) and min it
) -> anyhow::Result<Option<u64>> {
let buy_bank_pk = mango_client
.context
.mint_info(tcs.buy_token_index)
.first_bank();
let sell_bank_pk = mango_client
.context
.mint_info(tcs.sell_token_index)
.first_bank();
let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank_pk)?;
let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank_pk)?;

let (max_buy, max_sell) =
match tcs_max_liqee_execution(account, mango_client, account_fetcher, tcs)? {
Some(v) => v,
None => return Ok(None),
};

let max_quote =
(I80F48::from(max_buy) * buy_token_price).min(I80F48::from(max_sell) * sell_token_price);

Ok(Some(max_quote.floor().clamp_to_u64()))
}

/// Compute the max viable swap for liqee
/// This includes
/// - tcs restrictions (remaining buy/sell, create borrows/deposits)
/// - reduce only banks
/// - net borrow limits on BOTH sides, even though the buy side is technically
/// a liqor limitation: the liqor could acquire the token before trying the
/// execution... but in practice the liqor will work on margin
///
/// Returns Some((native buy amount, native sell amount)) if execution is sensible
/// Returns None if the execution should be skipped (due to net borrow limits...)
fn tcs_max_liqee_execution(
account: &MangoAccountValue,
mango_client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
tcs: &TokenConditionalSwap,
) -> anyhow::Result<Option<(u64, u64)>> {
let buy_bank_pk = mango_client
.context
.mint_info(tcs.buy_token_index)
Expand All @@ -347,6 +381,10 @@ fn tcs_max_volume(
let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank_pk)?;
let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank_pk)?;

let base_price = buy_token_price / sell_token_price;
let premium_price = tcs.premium_price(base_price.to_num());
let maker_price = tcs.maker_price(premium_price);

let buy_position = account
.token_position(tcs.buy_token_index)
.map(|p| p.native(&buy_bank))
Expand All @@ -356,31 +394,67 @@ fn tcs_max_volume(
.map(|p| p.native(&sell_bank))
.unwrap_or(I80F48::ZERO);

let base_price = buy_token_price / sell_token_price;
let premium_price = tcs.premium_price(base_price.to_num());
let maker_price = tcs.maker_price(premium_price);

let liqee_target_health_ratio = I80F48::from_num(TARGET_HEALTH_RATIO);

let max_sell = util::max_swap_source(
// this is in "buy token received per sell token given" units
let swap_price = I80F48::from_num((1.0 - SLIPPAGE_BUFFER) / maker_price);
let max_sell_ignoring_net_borrows = util::max_swap_source_ignore_net_borrows(
mango_client,
account_fetcher,
&account,
tcs.sell_token_index,
tcs.buy_token_index,
I80F48::from_num(1.0 / maker_price),
liqee_target_health_ratio,
swap_price,
I80F48::ZERO,
)?
.floor()
.to_num::<u64>()
.min(tcs.max_sell_for_position(sell_position, &sell_bank));

let max_buy = tcs.max_buy_for_position(buy_position, &buy_bank);

let max_quote =
(I80F48::from(max_buy) * buy_token_price).min(I80F48::from(max_sell) * sell_token_price);
let max_buy_ignoring_net_borrows = tcs.max_buy_for_position(buy_position, &buy_bank);

// What follows is a complex manual handling of net borrow limits, for the following reason:
// Usually, we _do_ want to execute tcs even for small amounts because that will close the
// tcs order: either due to full execution or due to the health threshold being reached.
//
// However, when the net borrow limits are hit, we do _not_ want to close the tcs order
// even though no further execution is possible at that time. Furthermore, we don't even
// want to send a too-tiny tcs execution transaction, because there's a good chance we
// would then be sending lot of those as oracle prices fluctuate.
//
// Thus, we need to detect if the possible execution amount is tiny _because_ of the
// net borrow limits. Then skip. If it's tiny for other reasons we can proceed.

fn available_borrows(bank: &Bank, price: I80F48) -> u64 {
if bank.net_borrow_limit_per_window_quote < 0 {
u64::MAX
} else {
let limit = (I80F48::from(bank.net_borrow_limit_per_window_quote) / price)
.floor()
.clamp_to_i64();
(limit - bank.net_borrows_in_window).max(0) as u64
}
}
let available_buy_borrows = available_borrows(&buy_bank, buy_token_price);
let available_sell_borrows = available_borrows(&sell_bank, sell_token_price);

// This technically depends on the liqor's buy token position, but we
// just assume it'll be fully margined here
let max_buy = max_buy_ignoring_net_borrows.min(available_buy_borrows);

let sell_borrows = (I80F48::from(max_sell_ignoring_net_borrows) - sell_position).clamp_to_u64();
let max_sell =
max_sell_ignoring_net_borrows - sell_borrows + sell_borrows.min(available_sell_borrows);

let tiny_due_to_net_borrows = {
let buy_threshold = I80F48::from(NET_BORROW_EXECUTION_THRESHOLD) / buy_token_price;
let sell_threshold = I80F48::from(NET_BORROW_EXECUTION_THRESHOLD) / sell_token_price;
max_buy < buy_threshold && max_buy_ignoring_net_borrows > buy_threshold
|| max_sell < sell_threshold && max_sell_ignoring_net_borrows > sell_threshold
};
if tiny_due_to_net_borrows {
return Ok(None);
}

Ok(max_quote.floor().clamp_to_u64())
Ok(Some((max_buy, max_sell)))
}

pub fn find_interesting_tcs_for_account(
Expand All @@ -401,8 +475,12 @@ pub fn find_interesting_tcs_for_account(
now_ts,
) {
Ok(true) => {
let volume_result = tcs_max_volume(&liqee, mango_client, account_fetcher, tcs);
Some(volume_result.map(|v| (*pubkey, tcs.id, v)))
// Filter out Ok(None) resuts of tcs that shouldn't be executed right now
match tcs_max_volume(&liqee, mango_client, account_fetcher, tcs) {
Ok(Some(v)) => Some(Ok((*pubkey, tcs.id, v))),
Ok(None) => None,
Err(e) => Some(Err(e)),
}
}
Ok(false) => None,
Err(e) => Some(Err(e)),
Expand Down
43 changes: 43 additions & 0 deletions bin/liquidator/src/util.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -144,3 +144,46 @@ pub fn max_swap_source(
.context("getting max_swap_source")?;
Ok(amount)
}

/// Convenience wrapper for getting max swap amounts for a token pair
pub fn max_swap_source_ignore_net_borrows(
client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
account: &MangoAccountValue,
source: TokenIndex,
target: TokenIndex,
price: I80F48,
min_health_ratio: I80F48,
) -> anyhow::Result<I80F48> {
let mut account = account.clone();

// Ensure the tokens are activated, so they appear in the health cache and
// max_swap_source() will work.
account.ensure_token_position(source)?;
account.ensure_token_position(target)?;

let health_cache =
mango_v4_client::health_cache::new_sync(&client.context, account_fetcher, &account)
.expect("always ok");

let mut source_bank: Bank =
account_fetcher.fetch(&client.context.mint_info(source).first_bank())?;
source_bank.net_borrow_limit_per_window_quote = -1;
let mut target_bank: Bank =
account_fetcher.fetch(&client.context.mint_info(target).first_bank())?;
target_bank.net_borrow_limit_per_window_quote = -1;

let source_price = health_cache.token_info(source).unwrap().prices.oracle;

let amount = health_cache
.max_swap_source_for_health_ratio(
&account,
&source_bank,
source_price,
&target_bank,
price,
min_health_ratio,
)
.context("getting max_swap_source")?;
Ok(amount)
}

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