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use std::mem::size_of;
use anchor_lang::prelude::*;
use derivative::Derivative;
use fixed::types::I80F48;
use oracle::oracle_log_context;
use static_assertions::const_assert_eq;
use crate::accounts_zerocopy::KeyedAccountReader;
use crate::error::{Contextable, MangoError};
use crate::logs::{emit_stack, PerpUpdateFundingLogV2};
use crate::state::orderbook::Side;
use crate::state::{oracle, TokenIndex};
use crate::util;
use super::{
orderbook, OracleAccountInfos, OracleConfig, OracleState, Orderbook, StablePriceModel,
DAY_I80F48,
};
pub type PerpMarketIndex = u16;
#[account(zero_copy)]
#[derive(Derivative)]
#[derivative(Debug)]
pub struct PerpMarket {
// ABI: Clients rely on this being at offset 8
pub group: Pubkey,
/// Token index that settlements happen in.
///
/// Currently required to be 0, USDC. In the future settlement
/// may be allowed to happen in other tokens.
pub settle_token_index: TokenIndex,
/// Index of this perp market. Other data, like the MangoAccount's PerpPosition
/// reference this market via this index. Unique for this group's perp markets.
pub perp_market_index: PerpMarketIndex,
/// Field used to contain the trusted_market flag and is now unused.
pub blocked1: u8,
/// Is this market covered by the group insurance fund?
pub group_insurance_fund: u8,
/// PDA bump
pub bump: u8,
/// Number of decimals used for the base token.
///
/// Used to convert the oracle's price into a native/native price.
pub base_decimals: u8,
/// Name. Trailing zero bytes are ignored.
#[derivative(Debug(format_with = "util::format_zero_terminated_utf8_bytes"))]
pub name: [u8; 16],
/// Address of the BookSide account for bids
pub bids: Pubkey,
/// Address of the BookSide account for asks
pub asks: Pubkey,
/// Address of the EventQueue account
pub event_queue: Pubkey,
/// Oracle account address
pub oracle: Pubkey,
/// Oracle configuration
pub oracle_config: OracleConfig,
/// Maintains a stable price based on the oracle price that is less volatile.
pub stable_price_model: StablePriceModel,
/// Number of quote native in a quote lot. Must be a power of 10.
///
/// Primarily useful for increasing the tick size on the market: A lot price
/// of 1 becomes a native price of quote_lot_size/base_lot_size becomes a
/// ui price of quote_lot_size*base_decimals/base_lot_size/quote_decimals.
pub quote_lot_size: i64,
/// Number of base native in a base lot. Must be a power of 10.
///
/// Example: If base decimals for the underlying asset is 6, base lot size
/// is 100 and and base position lots is 10_000 then base position native is
/// 1_000_000 and base position ui is 1.
pub base_lot_size: i64,
/// These weights apply to the base position. The quote position has
/// no explicit weight (but may be covered by the overall pnl asset weight).
pub maint_base_asset_weight: I80F48,
pub init_base_asset_weight: I80F48,
pub maint_base_liab_weight: I80F48,
pub init_base_liab_weight: I80F48,
/// Number of base lots currently active in the market. Always >= 0.
///
/// Since this counts positive base lots and negative base lots, the more relevant
/// number of open base lot pairs is half this value.
pub open_interest: i64,
/// Total number of orders seen
pub seq_num: u64,
/// Timestamp in seconds that the market was registered at.
pub registration_time: u64,
// Funding
/// Minimal funding rate per day, must be <= 0.
pub min_funding: I80F48,
/// Maximal funding rate per day, must be >= 0.
pub max_funding: I80F48,
/// For funding, get the impact price this many base lots deep into the book.
pub impact_quantity: i64,
/// Current long funding value. Increasing it means that every long base lot
/// needs to pay that amount of quote native in funding.
///
/// PerpPosition uses and tracks it settle funding. Updated by the perp
/// keeper instruction.
pub long_funding: I80F48,
/// See long_funding.
pub short_funding: I80F48,
/// timestamp that funding was last updated in
pub funding_last_updated: u64,
/// Fees
/// Fee for base position liquidation
pub base_liquidation_fee: I80F48,
/// Fee when matching maker orders. May be negative.
pub maker_fee: I80F48,
/// Fee for taker orders, may not be negative.
pub taker_fee: I80F48,
/// Fees accrued in native quote currency
/// these are increased when new fees are paid and decreased when perp_settle_fees is called
pub fees_accrued: I80F48,
/// Fees settled in native quote currency
/// these are increased when perp_settle_fees is called, and never decreased
pub fees_settled: I80F48,
/// Fee (in quote native) to charge for ioc orders
pub fee_penalty: f32,
// Settling incentives
/// In native units of settlement token, given to each settle call above the
/// settle_fee_amount_threshold if settling at least 1% of perp base pos value.
pub settle_fee_flat: f32,
/// Pnl settlement amount needed to be eligible for the flat fee.
pub settle_fee_amount_threshold: f32,
/// Fraction of pnl to pay out as fee if +pnl account has low health.
/// (limited to 2x settle_fee_flat)
pub settle_fee_fraction_low_health: f32,
// Pnl settling limits
/// Controls the strictness of the settle limit.
/// Set to a negative value to disable the limit.
///
/// This factor applies to the settle limit in two ways
/// - for the unrealized pnl settle limit, the factor is multiplied with the stable perp base value
/// (i.e. limit_factor * base_native * stable_price)
/// - when increasing the realized pnl settle limit (stored per PerpPosition), the factor is
/// multiplied with the stable value of the perp pnl being realized
/// (i.e. limit_factor * reduced_native * stable_price)
///
/// See also PerpPosition::settle_pnl_limit_realized_trade
pub settle_pnl_limit_factor: f32,
#[derivative(Debug = "ignore")]
pub padding3: [u8; 4],
/// Window size in seconds for the perp settlement limit
pub settle_pnl_limit_window_size_ts: u64,
/// If true, users may no longer increase their market exposure. Only actions
/// that reduce their position are still allowed.
pub reduce_only: u8,
pub force_close: u8,
#[derivative(Debug = "ignore")]
pub padding4: [u8; 6],
/// Weights for full perp market health, if positive
pub maint_overall_asset_weight: I80F48,
pub init_overall_asset_weight: I80F48,
pub positive_pnl_liquidation_fee: I80F48,
// Do separate bookkeping for how many tokens were withdrawn
// This ensures that fees_settled is strictly increasing for stats gathering purposes
pub fees_withdrawn: u64,
/// Additional to liquidation_fee, but goes to the group owner instead of the liqor
pub platform_liquidation_fee: I80F48,
/// Platform fees that were accrued during liquidation (in native tokens)
///
/// These fees are also added to fees_accrued, this is just for bookkeeping the total
/// liquidation fees that happened. So never decreases (different to fees_accrued).
pub accrued_liquidation_fees: I80F48,
#[derivative(Debug = "ignore")]
pub reserved: [u8; 1848],
}
const_assert_eq!(
size_of::<PerpMarket>(),
32 + 2
+ 2
+ 1
+ 1
+ 16
+ 32
+ 32
+ 32
+ 32
+ 96
+ 288
+ 8
+ 8
+ 16 * 4
+ 8
+ 8
+ 1
+ 1
+ 8
+ 16 * 2
+ 8
+ 16 * 2
+ 8
+ 16 * 5
+ 4
+ 4 * 3
+ 8
+ 8
+ 1
+ 7
+ 3 * 16
+ 8
+ 2 * 16
+ 1848
);
const_assert_eq!(size_of::<PerpMarket>(), 2808);
const_assert_eq!(size_of::<PerpMarket>() % 8, 0);
impl PerpMarket {
pub fn name(&self) -> &str {
std::str::from_utf8(&self.name)
.unwrap()
.trim_matches(char::from(0))
}
pub fn is_reduce_only(&self) -> bool {
self.reduce_only == 1
}
pub fn is_force_close(&self) -> bool {
self.force_close == 1
}
pub fn elligible_for_group_insurance_fund(&self) -> bool {
self.group_insurance_fund == 1
}
pub fn set_elligible_for_group_insurance_fund(&mut self, v: bool) {
self.group_insurance_fund = u8::from(v);
}
pub fn settle_pnl_limit_factor(&self) -> I80F48 {
I80F48::from_num(self.settle_pnl_limit_factor)
}
pub fn gen_order_id(&mut self, side: Side, price_data: u64) -> u128 {
self.seq_num += 1;
orderbook::new_node_key(side, price_data, self.seq_num)
}
pub fn oracle_price<T: KeyedAccountReader>(
&self,
oracle_acc_infos: &OracleAccountInfos<T>,
staleness_slot: Option<u64>,
) -> Result<I80F48> {
Ok(self.oracle_state(oracle_acc_infos, staleness_slot)?.price)
}
pub fn oracle_state<T: KeyedAccountReader>(
&self,
oracle_acc_infos: &OracleAccountInfos<T>,
staleness_slot: Option<u64>,
) -> Result<OracleState> {
require_keys_eq!(self.oracle, *oracle_acc_infos.oracle.key());
let state = oracle::oracle_state_unchecked(oracle_acc_infos, self.base_decimals)?;
state
.check_confidence_and_maybe_staleness(&self.oracle_config, staleness_slot)
.with_context(|| {
oracle_log_context(self.name(), &state, &self.oracle_config, staleness_slot)
})?;
Ok(state)
}
pub fn stable_price(&self) -> I80F48 {
I80F48::from_num(self.stable_price_model.stable_price)
}
/// Use current order book price and index price to update the instantaneous funding
pub fn update_funding_and_stable_price(
&mut self,
book: &Orderbook,
oracle_state: &OracleState,
now_ts: u64,
) -> Result<()> {
if now_ts <= self.funding_last_updated {
return Ok(());
}
let oracle_price = oracle_state.price;
let oracle_price_lots = self.native_price_to_lot(oracle_price);
// Get current book price & compare it to index price
let bid =
book.bookside(Side::Bid)
.impact_price(self.impact_quantity, now_ts, oracle_price_lots);
let ask =
book.bookside(Side::Ask)
.impact_price(self.impact_quantity, now_ts, oracle_price_lots);
let funding_rate = match (bid, ask) {
(Some(bid), Some(ask)) => {
// calculate mid-market rate
let mid_price = (bid + ask) / 2;
let book_price = self.lot_to_native_price(mid_price);
let diff = book_price / oracle_price - I80F48::ONE;
diff.clamp(self.min_funding, self.max_funding)
}
(Some(_bid), None) => self.max_funding,
(None, Some(_ask)) => self.min_funding,
(None, None) => I80F48::ZERO,
};
// Limit the maximal time interval that funding is applied for. This means we won't use
// the funding rate computed from a single orderbook snapshot for a very long time period
// in exceptional circumstances, like a solana downtime or the security council disabling
// funding updates.
let max_funding_timestep = 3600; // one hour
let diff_ts =
I80F48::from_num((now_ts - self.funding_last_updated as u64).min(max_funding_timestep));
let time_factor = diff_ts / DAY_I80F48;
let base_lot_size = I80F48::from_num(self.base_lot_size);
// The number of native quote that one base lot should pay in funding
let funding_delta = oracle_price * base_lot_size * funding_rate * time_factor;
self.long_funding += funding_delta;
self.short_funding += funding_delta;
self.funding_last_updated = now_ts;
self.stable_price_model
.update(now_ts, oracle_price.to_num());
emit_stack(PerpUpdateFundingLogV2 {
mango_group: self.group,
market_index: self.perp_market_index,
long_funding: self.long_funding.to_bits(),
short_funding: self.short_funding.to_bits(),
price: oracle_price.to_bits(),
oracle_slot: oracle_state.last_update_slot,
oracle_confidence: oracle_state.deviation.to_bits(),
oracle_type: oracle_state.oracle_type,
stable_price: self.stable_price().to_bits(),
fees_accrued: self.fees_accrued.to_bits(),
fees_settled: self.fees_settled.to_bits(),
open_interest: self.open_interest,
instantaneous_funding_rate: funding_rate.to_bits(),
});
Ok(())
}
/// Convert from the price stored on the book to the price used in value calculations
pub fn lot_to_native_price(&self, price: i64) -> I80F48 {
I80F48::from_num(price) * I80F48::from_num(self.quote_lot_size)
/ I80F48::from_num(self.base_lot_size)
}
pub fn native_price_to_lot(&self, price: I80F48) -> i64 {
(price * I80F48::from_num(self.base_lot_size) / I80F48::from_num(self.quote_lot_size))
.to_num()
}
/// Is `native_price` an acceptable order for the `side` of this market, given `oracle_price`?
pub fn inside_price_limit(
&self,
side: Side,
native_price: I80F48,
oracle_price: I80F48,
) -> bool {
match side {
Side::Bid => native_price <= (self.maint_base_liab_weight * oracle_price),
Side::Ask => native_price >= (self.maint_base_asset_weight * oracle_price),
}
}
/// Socialize the loss in this account across all longs and shorts
///
/// `loss` is in settle token native units
pub fn socialize_loss(&mut self, loss: I80F48) -> Result<I80F48> {
require_gte!(0, loss);
// TODO convert into only socializing on one side
// native settle token per contract open interest
let socialized_loss = if self.open_interest == 0 {
// AUDIT: think about the following:
// This is kind of an unfortunate situation. This means socialized loss occurs on the
// last person to call settle_pnl on their profits. Any advice on better mechanism
// would be appreciated. Luckily, this will be an extremely rare situation.
I80F48::ZERO
} else {
loss / I80F48::from(self.open_interest)
};
self.long_funding -= socialized_loss;
self.short_funding += socialized_loss;
Ok(socialized_loss)
}
/// Returns the fee for settling `settlement` when the account with positive unsettled pnl
/// has the given source pnl/position/health values.
pub fn compute_settle_fee(
&self,
settlement: I80F48,
source_pnl_value: I80F48,
source_position_value: I80F48,
source_liq_end_health: I80F48,
source_maint_health: I80F48,
) -> Result<I80F48> {
// Only incentivize if pnl is at least 1% of position.
//
// This avoids large positions being settled all the time when tiny price
// movements can bring the settlement amount over the settle_fee_amount_threshold.
//
// Always true when the source position is closed.
let pnl_at_least_one_percent = I80F48::from(100) * source_pnl_value > source_position_value;
if !pnl_at_least_one_percent {
return Ok(I80F48::ZERO);
}
assert!(source_maint_health >= source_liq_end_health);
// A percentage fee is paid to the settler when the source account's health is low.
// That's because the settlement could avoid it getting liquidated: settling will
// increase its health by actualizing positive perp pnl.
let low_health_fee = if source_liq_end_health < 0 {
let fee_fraction = I80F48::from_num(self.settle_fee_fraction_low_health);
if source_maint_health < 0 {
settlement * fee_fraction
} else {
settlement
* fee_fraction
* (-source_liq_end_health / (source_maint_health - source_liq_end_health))
}
} else {
I80F48::ZERO
};
let flat_fee = I80F48::from_num(self.settle_fee_flat);
let mut fee = if settlement >= self.settle_fee_amount_threshold {
// If the settlement is big enough: give the flat fee
flat_fee
} else {
// Else give the low-health fee, but never more than twice flat fee
low_health_fee.min(flat_fee * I80F48::from(2))
};
// Fee can't exceed the settlement (just for safety)
fee = fee.min(settlement);
// Safety check to prevent any accidental negative transfer
require!(fee >= 0, MangoError::SettlementAmountMustBePositive);
Ok(fee)
}
/// Creates default market for tests
pub fn default_for_tests() -> PerpMarket {
PerpMarket {
group: Pubkey::new_unique(),
settle_token_index: 0,
perp_market_index: 0,
blocked1: 0,
group_insurance_fund: 0,
bump: 0,
base_decimals: 0,
name: Default::default(),
bids: Pubkey::new_unique(),
asks: Pubkey::new_unique(),
event_queue: Pubkey::new_unique(),
oracle: Pubkey::new_unique(),
oracle_config: OracleConfig {
conf_filter: I80F48::ZERO,
max_staleness_slots: -1,
reserved: [0; 72],
},
stable_price_model: StablePriceModel::default(),
quote_lot_size: 1,
base_lot_size: 1,
maint_base_asset_weight: I80F48::from(1),
init_base_asset_weight: I80F48::from(1),
maint_base_liab_weight: I80F48::from(1),
init_base_liab_weight: I80F48::from(1),
open_interest: 0,
seq_num: 0,
registration_time: 0,
min_funding: I80F48::ZERO,
max_funding: I80F48::ZERO,
impact_quantity: 0,
long_funding: I80F48::ZERO,
short_funding: I80F48::ZERO,
funding_last_updated: 0,
base_liquidation_fee: I80F48::ZERO,
maker_fee: I80F48::ZERO,
taker_fee: I80F48::ZERO,
fees_accrued: I80F48::ZERO,
fees_settled: I80F48::ZERO,
fee_penalty: 0.0,
settle_fee_flat: 0.0,
settle_fee_amount_threshold: 0.0,
settle_fee_fraction_low_health: 0.0,
settle_pnl_limit_factor: 0.2,
padding3: Default::default(),
settle_pnl_limit_window_size_ts: 24 * 60 * 60,
reduce_only: 0,
force_close: 0,
padding4: Default::default(),
maint_overall_asset_weight: I80F48::ONE,
init_overall_asset_weight: I80F48::ONE,
positive_pnl_liquidation_fee: I80F48::ZERO,
fees_withdrawn: 0,
platform_liquidation_fee: I80F48::ZERO,
accrued_liquidation_fees: I80F48::ZERO,
reserved: [0; 1848],
}
}
}