mc/settle pnl ts client (#292)

* oracle peg client support

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>

* Fixes from review

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>

* Fixes from review

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>

* perp pnl settle, candidate finder, and example

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>

anchor

@@ -1 +1 @@
-Subproject commit fbd238fb7c5a99557faa89620499858cb9806d0e
+Subproject commit b52f23614601652a99ec6c27aec77bd327363b31

client/src/perp_pnl.rs

@@ -14,6 +14,7 @@ pub enum Direction {
 }
 
 /// Returns up to `count` accounts with highest abs pnl (by `direction`) in descending order.
+/// Note: keep in sync with perp.ts:getSettlePnlCandidates
 pub fn fetch_top(
     context: &crate::context::MangoGroupContext,
     account_fetcher: &impl AccountFetcher,

ts/client/src/accounts/healthCache.ts

@@ -134,6 +134,34 @@ export class HealthCache {
     return health;
   }
 
+  // Note: only considers positive perp pnl contributions, see program code for more reasoning
+  public perpSettleHealth(): I80F48 {
+    const health = ZERO_I80F48();
+    for (const tokenInfo of this.tokenInfos) {
+      const contrib = tokenInfo.healthContribution(HealthType.maint);
+      // console.log(` - ti ${contrib}`);
+      health.iadd(contrib);
+    }
+    for (const serum3Info of this.serum3Infos) {
+      const contrib = serum3Info.healthContribution(
+        HealthType.maint,
+        this.tokenInfos,
+      );
+      // console.log(` - si ${contrib}`);
+      health.iadd(contrib);
+    }
+    for (const perpInfo of this.perpInfos) {
+      if (perpInfo.trustedMarket) {
+        const positiveContrib = perpInfo
+          .healthContribution(HealthType.maint)
+          .max(ZERO_I80F48());
+        // console.log(` - pi ${positiveContrib}`);
+        health.iadd(positiveContrib);
+      }
+    }
+    return health;
+  }
+
   public assets(healthType: HealthType): I80F48 {
     const assets = ZERO_I80F48();
     for (const tokenInfo of this.tokenInfos) {

ts/client/src/accounts/mangoAccount.ts

@@ -142,6 +142,12 @@ export class MangoAccount {
     return this.serum3.filter((serum3) => serum3.isActive());
   }
 
+  public perpPositionExistsForMarket(perpMarket: PerpMarket): boolean {
+    return this.perps.some(
+      (pp) => pp.isActive() && pp.marketIndex == perpMarket.perpMarketIndex,
+    );
+  }
+
   public perpActive(): PerpPosition[] {
     return this.perps.filter((perp) => perp.isActive());
   }
@@ -268,6 +274,11 @@ export class MangoAccount {
     return hc.health(healthType);
   }
 
+  public getPerpSettleHealth(group: Group): I80F48 {
+    const hc = HealthCache.fromMangoAccount(group, this);
+    return hc.perpSettleHealth();
+  }
+
   /**
    * Health ratio, which is computed so `100 * (assets-liabs)/liabs`
    * Note: health ratio is technically ∞ if liabs are 0
@@ -1234,6 +1245,14 @@ export class PerpPosition {
       .div(this.basePositionLots.mul(perpMarket.baseLotSize))
       .abs();
   }
+
+  public getPnl(perpMarket: PerpMarket): I80F48 {
+    return this.quotePositionNative.add(
+      I80F48.fromI64(this.basePositionLots.mul(perpMarket.baseLotSize)).mul(
+        perpMarket.price,
+      ),
+    );
+  }
 }
 
 export class PerpPositionDto {

ts/client/src/accounts/perp.ts

@@ -3,9 +3,11 @@ import { utf8 } from '@project-serum/anchor/dist/cjs/utils/bytes';
 import { PublicKey } from '@solana/web3.js';
 import Big from 'big.js';
 import { MangoClient } from '../client';
-import { I80F48, I80F48Dto } from '../numbers/I80F48';
+import { I80F48, I80F48Dto, ZERO_I80F48 } from '../numbers/I80F48';
 import { As, toNative, U64_MAX_BN } from '../utils';
 import { OracleConfig, QUOTE_DECIMALS, TokenIndex } from './bank';
+import { Group } from './group';
+import { MangoAccount } from './mangoAccount';
 
 export type PerpMarketIndex = number & As<'perp-market-index'>;
 
@@ -329,6 +331,90 @@ export class PerpMarket {
     return parseFloat(quantity.toString()) * this.quoteLotsToUiConverter;
   }
 
+  /**
+   * Returns a list of (upto count) accounts, and the pnl that is settle'able on this perp market,
+   * the list is sorted ascending for 'negative' direction and descending for 'positive' direction.
+   *
+   * NOTE: keep in sync with perp_pnl.rs:fetch_top
+   *
+   * TODO: replace with a more performant offchain service call
+   * @param client
+   * @param group
+   * @param direction
+   * @returns
+   */
+  public async getSettlePnlCandidates(
+    client: MangoClient,
+    group: Group,
+    direction: 'negative' | 'positive',
+    count = 2,
+  ): Promise<{ account: MangoAccount; settleablePnl: I80F48 }[]> {
+    let accs = (await client.getAllMangoAccounts(group))
+      .filter((acc) =>
+        // need a perp position in this market
+        acc.perpPositionExistsForMarket(this),
+      )
+      .map((acc) => {
+        return {
+          account: acc,
+          settleablePnl: acc
+            .perpActive()
+            .find((pp) => pp.marketIndex === this.perpMarketIndex)!
+            .getPnl(this),
+        };
+      });
+
+    accs = accs
+      .filter(
+        (acc) =>
+          // need perp positions with -ve pnl to settle +ve pnl and vice versa
+          (direction === 'negative' && acc.settleablePnl.lt(ZERO_I80F48())) ||
+          (direction === 'positive' && acc.settleablePnl.gt(ZERO_I80F48())),
+      )
+      .sort((a, b) =>
+        direction === 'negative'
+          ? // most negative
+            a.settleablePnl.cmp(b.settleablePnl)
+          : // most positive
+            b.settleablePnl.cmp(a.settleablePnl),
+      );
+
+    if (direction === 'negative') {
+      let stable = 0;
+      for (let i = 0; i < accs.length; i++) {
+        const acc = accs[i];
+        const nextPnl =
+          i + 1 < accs.length ? accs[i + 1].settleablePnl : ZERO_I80F48();
+
+        const perpSettleHealth = acc.account.getPerpSettleHealth(group);
+        acc.settleablePnl =
+          // need positive health to settle against +ve pnl
+          perpSettleHealth.gt(ZERO_I80F48()) && !acc.account.beingLiquidated
+            ? // can only settle min
+              acc.settleablePnl.max(perpSettleHealth.neg())
+            : ZERO_I80F48();
+
+        // If the ordering was unchanged `count` times we know we have the top `count` accounts
+        if (acc.settleablePnl.lte(nextPnl)) {
+          stable += 1;
+          if (stable >= count) {
+            break;
+          }
+        }
+      }
+    }
+
+    accs.sort((a, b) =>
+      direction === 'negative'
+        ? // most negative
+          a.settleablePnl.cmp(b.settleablePnl)
+        : // most positive
+          b.settleablePnl.cmp(a.settleablePnl),
+    );
+
+    return accs.slice(0, count);
+  }
+
   toString(): string {
     return (
       'PerpMarket ' +

ts/client/src/scripts/mm/market-maker.ts

@@ -319,10 +319,9 @@ async function fullMarketMaker() {
       // Calculate pf level values
       let pfQuoteValue: number | undefined = 0;
       for (const mc of Array.from(marketContexts.values())) {
-        const pos = mangoAccount.getPerpPositionUi(
-          group,
-          mc.perpMarket.perpMarketIndex,
-        );
+        const pos = mangoAccount.perpPositionExistsForMarket(mc.perpMarket)
+          ? mangoAccount.getPerpPositionUi(group, mc.perpMarket.perpMarketIndex)
+          : 0;
         const mid = (mc.binanceBid! + mc.binanceAsk!) / 2;
         if (mid) {
           pfQuoteValue += pos * mid;
@@ -405,11 +404,15 @@ async function makeMarketUpdateInstructions(
   const sizePerc = mc.params.sizePerc;
   const quoteSize = equity * sizePerc;
   const size = quoteSize / fairValue;
+
   // console.log(`equity ${equity}`);
   // console.log(`sizePerc ${sizePerc}`);
   // console.log(`fairValue ${fairValue}`);
   // console.log(`size ${size}`);
-  const basePos = mangoAccount.getPerpPositionUi(group, perpMarketIndex, true);
+
+  const basePos = mangoAccount.perpPositionExistsForMarket(mc.perpMarket)
+    ? mangoAccount.getPerpPositionUi(group, perpMarketIndex, true)
+    : 0;
   const lean = (-leanCoeff * basePos) / size;
   const pfQuoteLeanCoeff = params.pfQuoteLeanCoeff || 0.001; // How much to move if pf pos is equal to equity
   const pfQuoteLean = (pfQuoteValue / equity) * -pfQuoteLeanCoeff;
@@ -508,6 +511,7 @@ async function makeMarketUpdateInstructions(
     );
 
     const posAsTradeSizes = basePos / size;
+
     // console.log(
     //   `basePos ${basePos}, posAsTradeSizes ${posAsTradeSizes}, size ${size}`,
     // );

ts/client/src/scripts/mm/taker.ts

@@ -6,6 +6,7 @@ import { MangoAccount } from '../../accounts/mangoAccount';
 import { PerpMarket, PerpOrderSide, PerpOrderType } from '../../accounts/perp';
 import { MangoClient } from '../../client';
 import { MANGO_V4_ID } from '../../constants';
+import { ZERO_I80F48 } from '../../numbers/I80F48';
 import { toUiDecimalsForQuote } from '../../utils';
 
 // For easy switching between mainnet and devnet, default is mainnet
@@ -17,6 +18,60 @@ const USER_KEYPAIR =
   process.env.USER_KEYPAIR_OVERRIDE || process.env.MB_PAYER_KEYPAIR;
 const MANGO_ACCOUNT_PK = process.env.MANGO_ACCOUNT_PK || '';
 
+async function settlePnl(
+  mangoAccount: MangoAccount,
+  perpMarket: PerpMarket,
+  client: MangoClient,
+  group: Group,
+) {
+  if (!mangoAccount.perpPositionExistsForMarket(perpMarket)) {
+    return;
+  }
+
+  const pp = mangoAccount
+    .perpActive()
+    .find((pp) => pp.marketIndex === perpMarket.perpMarketIndex)!;
+  const pnl = pp.getPnl(perpMarket);
+
+  let profitableAccount, unprofitableAccount;
+
+  if (pnl.gt(ZERO_I80F48())) {
+    profitableAccount = mangoAccount;
+    unprofitableAccount = (
+      await perpMarket.getSettlePnlCandidates(client, group, 'negative')
+    )[0].account;
+    const sig = await client.perpSettlePnl(
+      group,
+      profitableAccount,
+      unprofitableAccount,
+      mangoAccount,
+      perpMarket.perpMarketIndex,
+    );
+    console.log(
+      `Settled pnl, sig https://explorer.solana.com/tx/${sig}?cluster=${
+        CLUSTER == 'devnet' ? 'devnet' : ''
+      }`,
+    );
+  } else if (pnl.lt(ZERO_I80F48())) {
+    unprofitableAccount = mangoAccount;
+    profitableAccount = (
+      await perpMarket.getSettlePnlCandidates(client, group, 'positive')
+    )[0].account;
+    const sig = await client.perpSettlePnl(
+      group,
+      profitableAccount,
+      unprofitableAccount,
+      mangoAccount,
+      perpMarket.perpMarketIndex,
+    );
+    console.log(
+      `Settled pnl, sig https://explorer.solana.com/tx/${sig}?cluster=${
+        CLUSTER == 'devnet' ? 'devnet' : ''
+      }`,
+    );
+  }
+}
+
 async function takeOrder(
   client: MangoClient,
   group: Group,
@@ -105,6 +160,11 @@ async function main() {
   // Take on OB
   const perpMarket = group.getPerpMarketByName('BTC-PERP');
   while (true) {
+    await group.reloadAll(client);
+
+    // Settle pnl
+    await settlePnl(mangoAccount, perpMarket, client, group);
+
     await takeOrder(client, group, mangoAccount, perpMarket, PerpOrderSide.bid);
     await takeOrder(client, group, mangoAccount, perpMarket, PerpOrderSide.ask);
   }