2022-07-25 07:07:53 -07:00
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use crate::state::MangoAccountRefMut;
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2022-03-21 12:29:28 -07:00
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use crate::{
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error::*,
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state::{orderbook::bookside::*, EventQueue, PerpMarket, FREE_ORDER_SLOT},
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};
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use anchor_lang::prelude::*;
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use bytemuck::cast;
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use fixed::types::I80F48;
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use static_assertions::const_assert_eq;
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use super::*;
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use crate::util::checked_math as cm;
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/// Drop at most this many expired orders from a BookSide when trying to match orders.
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/// This exists as a guard against excessive compute use.
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const DROP_EXPIRED_ORDER_LIMIT: usize = 5;
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#[account(zero_copy)]
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pub struct Orderbook {
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pub bids: BookSide,
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pub asks: BookSide,
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pub reserved: [u8; 2400],
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}
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const_assert_eq!(
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std::mem::size_of::<Orderbook>(),
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2 * std::mem::size_of::<BookSide>() + 2400
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);
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const_assert_eq!(std::mem::size_of::<Orderbook>(), 495040);
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const_assert_eq!(std::mem::size_of::<Orderbook>() % 8, 0);
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impl Orderbook {
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pub fn init(&mut self) {
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self.bids.fixed.order_tree_type = OrderTreeType::Bids;
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self.bids.oracle_pegged.order_tree_type = OrderTreeType::Bids;
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self.asks.fixed.order_tree_type = OrderTreeType::Asks;
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self.asks.oracle_pegged.order_tree_type = OrderTreeType::Asks;
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}
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pub fn bookside_mut(&mut self, side: Side) -> &mut BookSide {
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match side {
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Side::Bid => &mut self.bids,
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Side::Ask => &mut self.asks,
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}
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}
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pub fn bookside(&self, side: Side) -> &BookSide {
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match side {
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Side::Bid => &self.bids,
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Side::Ask => &self.asks,
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}
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}
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pub fn best_price(&self, now_ts: u64, oracle_price_lots: i64, side: Side) -> Option<i64> {
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Some(
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self.bookside(side)
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.iter_valid(now_ts, oracle_price_lots)
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.next()?
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.price_lots,
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)
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}
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/// Walk up the book `quantity` units and return the price at that level. If `quantity` units
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/// not on book, return None
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pub fn impact_price(
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&self,
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side: Side,
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quantity: i64,
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now_ts: u64,
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oracle_price_lots: i64,
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) -> Option<i64> {
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let mut sum: i64 = 0;
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let bookside = self.bookside(side);
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let iter = bookside.iter_valid(now_ts, oracle_price_lots);
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for order in iter {
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cm!(sum += order.node.quantity);
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if sum >= quantity {
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return Some(order.price_lots);
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}
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}
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None
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}
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2022-03-26 09:06:55 -07:00
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#[allow(clippy::too_many_arguments)]
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pub fn new_order(
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&mut self,
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order: Order,
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perp_market: &mut PerpMarket,
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event_queue: &mut EventQueue,
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oracle_price: I80F48,
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mango_account: &mut MangoAccountRefMut,
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mango_account_pk: &Pubkey,
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now_ts: u64,
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mut limit: u8,
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) -> std::result::Result<(), Error> {
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let side = order.side;
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let other_side = side.invert_side();
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let market = perp_market;
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let oracle_price_lots = market.native_price_to_lot(oracle_price);
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let post_only = order.is_post_only();
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let mut post_target = order.post_target();
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let (price_lots, price_data) = order.price(now_ts, oracle_price_lots, self)?;
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if post_target.is_some() {
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// price limit check computed lazily to save CU on average
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let native_price = market.lot_to_native_price(price_lots);
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if !market.inside_price_limit(side, native_price, oracle_price) {
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msg!("Posting on book disallowed due to price limits, order price {:?}, oracle price {:?}", native_price, oracle_price);
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post_target = None;
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}
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}
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// generate new order id
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let order_id = market.gen_order_id(side, price_data);
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// Iterate through book and match against this new order.
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//
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// Any changes to matching orders on the other side of the book are collected in
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// matched_changes/matched_deletes and then applied after this loop.
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let mut remaining_base_lots = order.max_base_lots;
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let mut remaining_quote_lots = order.max_quote_lots;
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let mut matched_order_changes: Vec<(BookSideOrderHandle, i64)> = vec![];
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let mut matched_order_deletes: Vec<(BookSideOrderTree, u128)> = vec![];
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let mut number_of_dropped_expired_orders = 0;
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let opposing_bookside = self.bookside_mut(other_side);
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for best_opposing in opposing_bookside.iter_all_including_invalid(now_ts, oracle_price_lots)
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{
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if !best_opposing.is_valid {
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// Remove the order from the book unless we've done that enough
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if number_of_dropped_expired_orders < DROP_EXPIRED_ORDER_LIMIT {
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number_of_dropped_expired_orders += 1;
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let event = OutEvent::new(
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other_side,
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best_opposing.node.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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best_opposing.node.owner,
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best_opposing.node.quantity,
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);
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event_queue.push_back(cast(event)).unwrap();
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matched_order_deletes
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.push((best_opposing.handle.order_tree, best_opposing.node.key));
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}
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continue;
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}
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let best_opposing_price = best_opposing.price_lots;
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if !side.is_price_within_limit(best_opposing_price, price_lots) {
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break;
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} else if post_only {
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msg!("Order could not be placed due to PostOnly");
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post_target = None;
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break; // return silently to not fail other instructions in tx
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} else if limit == 0 {
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msg!("Order matching limit reached");
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post_target = None;
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break;
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}
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2022-04-01 06:47:12 -07:00
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let max_match_by_quote = remaining_quote_lots / best_opposing_price;
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let match_base_lots = remaining_base_lots
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.min(best_opposing.node.quantity)
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.min(max_match_by_quote);
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let done =
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match_base_lots == max_match_by_quote || match_base_lots == remaining_base_lots;
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2022-04-01 06:47:12 -07:00
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let match_quote_lots = cm!(match_base_lots * best_opposing_price);
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cm!(remaining_base_lots -= match_base_lots);
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cm!(remaining_quote_lots -= match_quote_lots);
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let new_best_opposing_quantity = cm!(best_opposing.node.quantity - match_base_lots);
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let maker_out = new_best_opposing_quantity == 0;
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if maker_out {
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matched_order_deletes
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.push((best_opposing.handle.order_tree, best_opposing.node.key));
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} else {
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matched_order_changes.push((best_opposing.handle, new_best_opposing_quantity));
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}
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2022-04-04 00:23:01 -07:00
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// Record the taker trade in the account already, even though it will only be
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// realized when the fill event gets executed
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let perp_account = mango_account.perp_position_mut(market.perp_market_index)?;
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perp_account.add_taker_trade(side, match_base_lots, match_quote_lots);
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let fill = FillEvent::new(
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side,
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maker_out,
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best_opposing.node.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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best_opposing.node.owner,
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best_opposing.node.key,
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best_opposing.node.client_order_id,
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market.maker_fee,
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best_opposing.node.timestamp,
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*mango_account_pk,
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order_id,
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order.client_order_id,
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market.taker_fee,
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best_opposing_price,
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match_base_lots,
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);
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event_queue.push_back(cast(fill)).unwrap();
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limit -= 1;
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if done {
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break;
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}
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}
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2022-11-08 06:27:56 -08:00
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let total_quote_lots_taken = cm!(order.max_quote_lots - remaining_quote_lots);
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2022-03-21 12:29:28 -07:00
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// Apply changes to matched asks (handles invalidate on delete!)
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2022-04-01 01:36:04 -07:00
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for (handle, new_quantity) in matched_order_changes {
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opposing_bookside
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.node_mut(handle)
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2022-03-21 12:29:28 -07:00
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.unwrap()
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.as_leaf_mut()
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.unwrap()
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.quantity = new_quantity;
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}
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2022-11-08 06:27:56 -08:00
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for (component, key) in matched_order_deletes {
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let _removed_leaf = opposing_bookside.remove_by_key(component, key).unwrap();
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2022-03-21 12:29:28 -07:00
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}
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// If there are still quantity unmatched, place on the book
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2022-04-01 06:47:12 -07:00
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let book_base_quantity = remaining_base_lots.min(remaining_quote_lots / price_lots);
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2022-11-08 06:27:56 -08:00
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if book_base_quantity <= 0 {
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post_target = None;
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}
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if let Some(order_tree_target) = post_target {
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let bookside = self.bookside_mut(side);
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let order_tree = bookside.orders_mut(order_tree_target);
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2022-03-21 12:29:28 -07:00
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// Drop an expired order if possible
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2022-11-08 06:27:56 -08:00
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if let Some(expired_order) = order_tree.remove_one_expired(now_ts) {
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2022-03-24 11:20:56 -07:00
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let event = OutEvent::new(
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side,
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expired_order.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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expired_order.owner,
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expired_order.quantity,
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);
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event_queue.push_back(cast(event)).unwrap();
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}
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2022-03-21 12:29:28 -07:00
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2022-11-08 06:27:56 -08:00
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if order_tree.is_full() {
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2022-03-21 12:29:28 -07:00
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// If this bid is higher than lowest bid, boot that bid and insert this one
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2022-11-08 06:27:56 -08:00
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let worst_order = order_tree.remove_worst().unwrap();
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2022-03-24 11:20:56 -07:00
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// MangoErrorCode::OutOfSpace
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2022-04-01 01:36:04 -07:00
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require!(
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2022-11-08 06:27:56 -08:00
|
|
|
side.is_price_data_better(price_data, worst_order.price_data()),
|
2022-04-01 01:36:04 -07:00
|
|
|
MangoError::SomeError
|
2022-03-26 09:06:55 -07:00
|
|
|
);
|
|
|
|
let event = OutEvent::new(
|
2022-04-01 01:36:04 -07:00
|
|
|
side,
|
|
|
|
worst_order.owner_slot,
|
2022-03-26 09:06:55 -07:00
|
|
|
now_ts,
|
|
|
|
event_queue.header.seq_num,
|
2022-04-01 01:36:04 -07:00
|
|
|
worst_order.owner,
|
|
|
|
worst_order.quantity,
|
2022-03-26 09:06:55 -07:00
|
|
|
);
|
|
|
|
event_queue.push_back(cast(event)).unwrap();
|
|
|
|
}
|
|
|
|
|
2022-08-30 03:47:15 -07:00
|
|
|
let owner_slot = mango_account.perp_next_order_slot()?;
|
2022-04-01 01:36:04 -07:00
|
|
|
let new_order = LeafNode::new(
|
2022-03-28 12:13:16 -07:00
|
|
|
owner_slot as u8,
|
2022-03-26 09:06:55 -07:00
|
|
|
order_id,
|
|
|
|
*mango_account_pk,
|
|
|
|
book_base_quantity,
|
2022-11-08 06:27:56 -08:00
|
|
|
order.client_order_id,
|
2022-03-26 09:06:55 -07:00
|
|
|
now_ts,
|
2022-11-08 06:27:56 -08:00
|
|
|
PostOrderType::Limit, // TODO: Support order types? needed?
|
|
|
|
order.time_in_force,
|
|
|
|
order.peg_limit(),
|
2022-03-26 09:06:55 -07:00
|
|
|
);
|
2022-11-08 06:27:56 -08:00
|
|
|
let _result = order_tree.insert_leaf(&new_order)?;
|
2022-03-26 09:06:55 -07:00
|
|
|
|
|
|
|
// TODO OPT remove if PlacePerpOrder needs more compute
|
|
|
|
msg!(
|
2022-04-01 01:36:04 -07:00
|
|
|
"{} on book order_id={} quantity={} price={}",
|
|
|
|
match side {
|
|
|
|
Side::Bid => "bid",
|
|
|
|
Side::Ask => "ask",
|
|
|
|
},
|
2022-03-26 09:06:55 -07:00
|
|
|
order_id,
|
|
|
|
book_base_quantity,
|
2022-04-01 06:47:12 -07:00
|
|
|
price_lots
|
2022-03-26 09:06:55 -07:00
|
|
|
);
|
2022-04-04 00:23:01 -07:00
|
|
|
|
2022-11-08 06:27:56 -08:00
|
|
|
mango_account.add_perp_order(
|
|
|
|
market.perp_market_index,
|
|
|
|
side,
|
|
|
|
order_tree_target,
|
|
|
|
&new_order,
|
|
|
|
)?;
|
2022-03-26 09:06:55 -07:00
|
|
|
}
|
|
|
|
|
|
|
|
// if there were matched taker quote apply ref fees
|
|
|
|
// we know ref_fee_rate is not None if total_quote_taken > 0
|
2022-04-01 06:47:12 -07:00
|
|
|
if total_quote_lots_taken > 0 {
|
2022-07-25 07:07:53 -07:00
|
|
|
apply_fees(market, mango_account, total_quote_lots_taken)?;
|
2022-03-26 09:06:55 -07:00
|
|
|
}
|
|
|
|
|
2022-09-22 09:55:12 -07:00
|
|
|
// IOC orders have a fee penalty applied regardless of match
|
2022-11-08 06:27:56 -08:00
|
|
|
if order.needs_penalty_fee() {
|
2022-09-22 09:55:12 -07:00
|
|
|
apply_penalty(market, mango_account)?;
|
|
|
|
}
|
|
|
|
|
2022-03-26 09:06:55 -07:00
|
|
|
Ok(())
|
|
|
|
}
|
2022-05-16 01:34:22 -07:00
|
|
|
|
2022-09-06 05:23:39 -07:00
|
|
|
/// Cancels up to `limit` orders that are listed on the mango account for the given perp market.
|
|
|
|
/// Optionally filters by `side_to_cancel_option`.
|
|
|
|
/// The orders are removed from the book and from the mango account open order list.
|
|
|
|
pub fn cancel_all_orders(
|
2022-05-16 01:34:22 -07:00
|
|
|
&mut self,
|
2022-07-25 07:07:53 -07:00
|
|
|
mango_account: &mut MangoAccountRefMut,
|
2022-05-16 01:34:22 -07:00
|
|
|
perp_market: &mut PerpMarket,
|
|
|
|
mut limit: u8,
|
|
|
|
side_to_cancel_option: Option<Side>,
|
|
|
|
) -> Result<()> {
|
2022-07-25 07:07:53 -07:00
|
|
|
for i in 0..mango_account.header.perp_oo_count() {
|
2022-08-29 06:36:21 -07:00
|
|
|
let oo = mango_account.perp_order_by_raw_index(i);
|
2022-11-08 06:27:56 -08:00
|
|
|
if oo.market == FREE_ORDER_SLOT || oo.market != perp_market.perp_market_index {
|
2022-05-16 01:34:22 -07:00
|
|
|
continue;
|
|
|
|
}
|
|
|
|
|
2022-11-08 06:27:56 -08:00
|
|
|
let order_side_and_tree = oo.side_and_tree;
|
2022-05-16 01:34:22 -07:00
|
|
|
if let Some(side_to_cancel) = side_to_cancel_option {
|
2022-11-08 06:27:56 -08:00
|
|
|
if side_to_cancel != order_side_and_tree.side() {
|
2022-05-16 01:34:22 -07:00
|
|
|
continue;
|
|
|
|
}
|
|
|
|
}
|
|
|
|
|
2022-11-08 06:27:56 -08:00
|
|
|
let order_id = oo.id;
|
|
|
|
|
|
|
|
self.cancel_order(mango_account, order_id, order_side_and_tree, None)?;
|
2022-05-16 01:34:22 -07:00
|
|
|
|
2022-05-18 08:16:14 -07:00
|
|
|
limit -= 1;
|
2022-05-16 01:34:22 -07:00
|
|
|
if limit == 0 {
|
|
|
|
break;
|
|
|
|
}
|
|
|
|
}
|
|
|
|
|
|
|
|
Ok(())
|
|
|
|
}
|
|
|
|
|
2022-09-06 05:23:39 -07:00
|
|
|
/// Cancels an order on a side, removing it from the book and the mango account orders list
|
|
|
|
pub fn cancel_order(
|
|
|
|
&mut self,
|
|
|
|
mango_account: &mut MangoAccountRefMut,
|
2022-11-08 06:27:56 -08:00
|
|
|
order_id: u128,
|
|
|
|
side_and_tree: SideAndOrderTree,
|
2022-09-06 05:23:39 -07:00
|
|
|
expected_owner: Option<Pubkey>,
|
|
|
|
) -> Result<LeafNode> {
|
2022-11-08 06:27:56 -08:00
|
|
|
let side = side_and_tree.side();
|
|
|
|
let book_component = side_and_tree.order_tree();
|
|
|
|
let leaf_node = self.bookside_mut(side).orders_mut(book_component).
|
|
|
|
remove_by_key(order_id).ok_or_else(|| {
|
|
|
|
error_msg!("invalid perp order id {order_id} for side {side:?} and component {book_component:?}")
|
|
|
|
})?;
|
2022-09-06 05:23:39 -07:00
|
|
|
if let Some(owner) = expected_owner {
|
|
|
|
require_keys_eq!(leaf_node.owner, owner);
|
2022-05-16 01:34:22 -07:00
|
|
|
}
|
2022-09-06 05:23:39 -07:00
|
|
|
mango_account.remove_perp_order(leaf_node.owner_slot as usize, leaf_node.quantity)?;
|
|
|
|
Ok(leaf_node)
|
2022-05-16 01:34:22 -07:00
|
|
|
}
|
2022-03-21 12:29:28 -07:00
|
|
|
}
|
2022-03-25 01:46:38 -07:00
|
|
|
|
|
|
|
/// Apply taker fees to the taker account and update the markets' fees_accrued for
|
|
|
|
/// both the maker and taker fees.
|
|
|
|
fn apply_fees(
|
|
|
|
market: &mut PerpMarket,
|
2022-07-25 07:07:53 -07:00
|
|
|
mango_account: &mut MangoAccountRefMut,
|
2022-03-25 01:46:38 -07:00
|
|
|
total_quote_taken: i64,
|
|
|
|
) -> Result<()> {
|
|
|
|
let taker_quote_native = I80F48::from_num(
|
|
|
|
market
|
|
|
|
.quote_lot_size
|
|
|
|
.checked_mul(total_quote_taken)
|
|
|
|
.unwrap(),
|
|
|
|
);
|
|
|
|
|
|
|
|
// Track maker fees immediately: they can be negative and applying them later
|
|
|
|
// risks that fees_accrued is settled to 0 before they apply. It going negative
|
|
|
|
// breaks assumptions.
|
|
|
|
// The maker fees apply to the maker's account only when the fill event is consumed.
|
2022-09-22 09:55:12 -07:00
|
|
|
let maker_fees = cm!(taker_quote_native * market.maker_fee);
|
|
|
|
|
|
|
|
let taker_fees = cm!(taker_quote_native * market.taker_fee);
|
2022-03-25 01:46:38 -07:00
|
|
|
|
2022-10-07 12:12:55 -07:00
|
|
|
// taker fees should never be negative
|
|
|
|
require_gte!(taker_fees, 0);
|
|
|
|
|
2022-09-09 01:50:09 -07:00
|
|
|
let perp_account = mango_account.perp_position_mut(market.perp_market_index)?;
|
2022-11-30 04:20:19 -08:00
|
|
|
perp_account.record_fee(taker_fees);
|
2022-09-22 09:55:12 -07:00
|
|
|
cm!(market.fees_accrued += taker_fees + maker_fees);
|
2022-10-07 12:12:55 -07:00
|
|
|
cm!(perp_account.taker_volume += taker_fees.to_num::<u64>());
|
2022-09-22 09:55:12 -07:00
|
|
|
|
|
|
|
Ok(())
|
|
|
|
}
|
|
|
|
|
|
|
|
/// Applies a fixed penalty fee to the account, and update the market's fees_accrued
|
|
|
|
fn apply_penalty(market: &mut PerpMarket, mango_account: &mut MangoAccountRefMut) -> Result<()> {
|
|
|
|
let perp_account = mango_account.perp_position_mut(market.perp_market_index)?;
|
|
|
|
let fee_penalty = I80F48::from_num(market.fee_penalty);
|
|
|
|
|
2022-11-30 04:20:19 -08:00
|
|
|
perp_account.record_fee(fee_penalty);
|
2022-09-22 09:55:12 -07:00
|
|
|
cm!(market.fees_accrued += fee_penalty);
|
2022-03-25 01:46:38 -07:00
|
|
|
|
|
|
|
Ok(())
|
|
|
|
}
|