Added avg entry + break even price
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331bb7ebf0
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@ -813,7 +813,7 @@ impl<
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let side = fill.taker_side.invert_side();
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let (base_change, quote_change) = fill.base_quote_change(side);
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pa.change_base_position(perp_market, base_change);
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pa.change_base_and_entry_positions(perp_market, base_change, quote_change);
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let quote = I80F48::from_num(
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perp_market
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.quote_lot_size
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@ -855,7 +855,7 @@ impl<
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let (base_change, quote_change) = fill.base_quote_change(fill.taker_side);
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pa.remove_taker_trade(base_change, quote_change);
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pa.change_base_position(perp_market, base_change);
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pa.change_base_and_entry_positions(perp_market, base_change, quote_change);
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let quote = I80F48::from_num(perp_market.quote_lot_size * quote_change);
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// fees are assessed at time of trade; no need to assess fees here
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@ -148,6 +148,11 @@ pub struct PerpPositions {
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/// measured in native quote
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pub quote_position_native: I80F48,
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/// Tracks what the position is to calculate average entry & break even price
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pub base_entry_lots: i64,
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pub quote_entry_native: i64,
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pub quote_exit_native: i64,
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/// Already settled funding
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pub long_settled_funding: I80F48,
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pub short_settled_funding: I80F48,
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@ -180,7 +185,7 @@ impl std::fmt::Debug for PerpPositions {
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.finish()
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}
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}
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const_assert_eq!(size_of::<PerpPositions>(), 8 + 8 * 5 + 3 * 16 + 64);
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const_assert_eq!(size_of::<PerpPositions>(), 8 + 8 * 8 + 3 * 16 + 64);
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const_assert_eq!(size_of::<PerpPositions>() % 8, 0);
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unsafe impl bytemuck::Pod for PerpPositions {}
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@ -192,6 +197,9 @@ impl Default for PerpPositions {
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market_index: PerpMarketIndex::MAX,
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base_position_lots: 0,
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quote_position_native: I80F48::ZERO,
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base_entry_lots: 0,
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quote_entry_native: 0,
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quote_exit_native: 0,
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bids_base_lots: 0,
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asks_base_lots: 0,
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taker_base_lots: 0,
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@ -257,6 +265,67 @@ impl PerpPositions {
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self.long_settled_funding = perp_market.long_funding;
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self.short_settled_funding = perp_market.short_funding;
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}
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/// Update the quote entry position
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pub fn change_quote_entry(&mut self, base_change: i64, quote_change: i64) {
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if base_change == 0 {
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return;
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}
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let old_position = self.base_position_lots;
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let is_increasing = old_position == 0 || old_position.signum() == base_change.signum();
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match is_increasing {
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true => {
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self.quote_entry_native = cm!(self.quote_entry_native + quote_change);
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self.base_entry_lots = cm!(self.base_entry_lots + base_change);
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}
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false => {
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let new_position = cm!(old_position + base_change);
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self.quote_exit_native = cm!(self.quote_exit_native + quote_change);
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let is_overflow = old_position.signum() == -new_position.signum();
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if new_position == 0 {
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self.quote_entry_native = 0;
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self.quote_exit_native = 0;
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self.base_entry_lots = 0;
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}
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if is_overflow {
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self.quote_entry_native = cm!(((new_position as f64) * (quote_change as f64)
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/ (base_change as f64))
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.round()) as i64;
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self.quote_exit_native = 0;
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self.base_entry_lots = new_position;
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}
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}
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}
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}
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/// Change the base and quote positions as the result of a trade
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pub fn change_base_and_entry_positions(
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&mut self,
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perp_market: &mut PerpMarket,
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base_change: i64,
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quote_change: i64,
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) {
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self.change_quote_entry(base_change, quote_change);
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self.change_base_position(perp_market, base_change);
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}
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/// Calculate the average entry price of the position
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pub fn get_avg_entry_price(&self) -> I80F48 {
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if self.base_entry_lots == 0 {
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return I80F48::ZERO; // TODO: What should this actually return? Error? NaN?
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}
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(I80F48::from(self.quote_entry_native) / I80F48::from(self.base_entry_lots)).abs()
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}
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/// Calculate the break even price of the position
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pub fn get_break_even_price(&self) -> I80F48 {
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if self.base_position_lots == 0 {
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return I80F48::ZERO; // TODO: What should this actually return? Error? NaN?
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}
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(I80F48::from(self.quote_entry_native + self.quote_exit_native)
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/ I80F48::from(self.base_position_lots))
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.abs()
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}
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}
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#[zero_copy]
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@ -305,3 +374,227 @@ macro_rules! account_seeds {
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}
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pub use account_seeds;
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#[cfg(test)]
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mod tests {
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use crate::state::{OracleConfig, PerpMarket};
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use anchor_lang::prelude::Pubkey;
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use fixed::types::I80F48;
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use rand::Rng;
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use super::PerpPositions;
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fn create_perp_position(base_pos: i64, quote_pos: i64, entry_pos: i64) -> PerpPositions {
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let mut pos = PerpPositions::default();
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pos.base_position_lots = base_pos;
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pos.quote_position_native = I80F48::from(quote_pos);
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pos.quote_entry_native = entry_pos;
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pos.quote_exit_native = 0;
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pos.base_entry_lots = base_pos;
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pos
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}
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fn create_perp_market() -> PerpMarket {
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return PerpMarket {
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group: Pubkey::new_unique(),
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base_token_index: 0,
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perp_market_index: 0,
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name: Default::default(),
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oracle: Pubkey::new_unique(),
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oracle_config: OracleConfig {
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conf_filter: I80F48::ZERO,
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},
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bids: Pubkey::new_unique(),
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asks: Pubkey::new_unique(),
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event_queue: Pubkey::new_unique(),
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quote_lot_size: 1,
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base_lot_size: 1,
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maint_asset_weight: I80F48::from(1),
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init_asset_weight: I80F48::from(1),
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maint_liab_weight: I80F48::from(1),
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init_liab_weight: I80F48::from(1),
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liquidation_fee: I80F48::ZERO,
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maker_fee: I80F48::ZERO,
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taker_fee: I80F48::ZERO,
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min_funding: I80F48::ZERO,
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max_funding: I80F48::ZERO,
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impact_quantity: 0,
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long_funding: I80F48::ZERO,
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short_funding: I80F48::ZERO,
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funding_last_updated: 0,
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open_interest: 0,
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seq_num: 0,
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fees_accrued: I80F48::ZERO,
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bump: 0,
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base_token_decimals: 0,
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reserved: [0; 128],
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padding1: Default::default(),
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padding2: Default::default(),
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registration_time: 0,
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};
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}
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#[test]
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fn test_quote_entry_long_increasing_from_zero() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(0, 0, 0);
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// Go long 10 @ 10
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pos.change_base_and_entry_positions(&mut market, 10, -100);
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assert_eq!(pos.quote_entry_native, -100);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(10));
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}
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#[test]
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fn test_quote_entry_short_increasing_from_zero() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(0, 0, 0);
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// Go short 10 @ 10
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pos.change_base_and_entry_positions(&mut market, -10, 100);
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assert_eq!(pos.quote_entry_native, 100);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(10));
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}
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#[test]
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fn test_quote_entry_long_increasing_from_long() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(10, -100, -100);
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// Go long 10 @ 30
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pos.change_base_and_entry_positions(&mut market, 10, -300);
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assert_eq!(pos.quote_entry_native, -400);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(20));
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}
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#[test]
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fn test_quote_entry_short_increasing_from_short() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(-10, 100, 100);
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// Go short 10 @ 10
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pos.change_base_and_entry_positions(&mut market, -10, 300);
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assert_eq!(pos.quote_entry_native, 400);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(20));
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}
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#[test]
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fn test_quote_entry_long_decreasing_from_short() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(-10, 100, 100);
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// Go long 5 @ 50
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pos.change_base_and_entry_positions(&mut market, 5, 250);
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assert_eq!(pos.quote_entry_native, 100);
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assert_eq!(pos.base_entry_lots, -10);
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assert_eq!(pos.quote_exit_native, 250);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(10)); // Entry price remains the same when decreasing
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}
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#[test]
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fn test_quote_entry_short_decreasing_from_long() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(10, -100, -100);
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// Go short 5 @ 50
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pos.change_base_and_entry_positions(&mut market, -5, -250);
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assert_eq!(pos.quote_entry_native, -100);
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assert_eq!(pos.base_entry_lots, 10);
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assert_eq!(pos.quote_exit_native, -250);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(10)); // Entry price remains the same when decreasing
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}
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#[test]
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fn test_quote_entry_long_close_with_short() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(10, -100, -100);
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// Go short 10 @ 50
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pos.change_base_and_entry_positions(&mut market, -10, 250);
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assert_eq!(pos.quote_entry_native, 0);
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assert_eq!(pos.quote_exit_native, 0);
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assert_eq!(pos.base_entry_lots, 0);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(0)); // Entry price zero when no position
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}
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#[test]
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fn test_quote_entry_short_close_with_long() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(-10, 100, 100);
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// Go long 10 @ 50
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pos.change_base_and_entry_positions(&mut market, 10, -250);
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assert_eq!(pos.quote_entry_native, 0);
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assert_eq!(pos.quote_exit_native, 0);
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assert_eq!(pos.base_entry_lots, 0);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(0)); // Entry price zero when no position
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}
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#[test]
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fn test_quote_entry_long_close_short_with_overflow() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(10, -100, -100);
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// Go short 15 @ 20
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pos.change_base_and_entry_positions(&mut market, -15, 300);
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assert_eq!(pos.quote_entry_native, 100);
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assert_eq!(pos.quote_exit_native, 0);
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assert_eq!(pos.base_entry_lots, -5);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(20)); // Entry price zero when no position
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}
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#[test]
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fn test_quote_entry_short_close_long_with_overflow() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(-10, 100, 100);
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// Go short 15 @ 20
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pos.change_base_and_entry_positions(&mut market, 15, -300);
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assert_eq!(pos.quote_entry_native, -100);
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assert_eq!(pos.quote_exit_native, 0);
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assert_eq!(pos.base_entry_lots, 5);
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assert_eq!(pos.get_avg_entry_price(), I80F48::from(20)); // Entry price zero when no position
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}
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#[test]
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fn test_quote_entry_break_even_price() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(0, 0, 0);
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// Buy 11 @ 10,000
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pos.change_base_and_entry_positions(&mut market, 11, -11 * 10_000);
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// Sell 1 @ 12,000
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pos.change_base_and_entry_positions(&mut market, -1, 12_000);
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assert_eq!(pos.quote_entry_native, -11 * 10_000);
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assert_eq!(pos.quote_exit_native, 12_000);
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assert_eq!(pos.base_entry_lots, 11);
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assert_eq!(pos.base_position_lots, 10);
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assert_eq!(pos.get_break_even_price(), I80F48::from(9_800)); // We made 2k on the trade, so we can sell our contract up to a loss of 200 each
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}
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#[test]
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fn test_quote_entry_multiple_and_reversed_changes_return_entry_to_zero() {
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let mut market = create_perp_market();
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let mut pos = create_perp_position(0, 0, 0);
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// Generate array of random trades
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let mut rng = rand::thread_rng();
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let mut trades: Vec<[i64; 2]> = Vec::with_capacity(500);
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for _ in 0..trades.capacity() {
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let qty: i64 = rng.gen_range(-1000..=1000);
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let px: f64 = rng.gen_range(0.1..=100.0);
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let quote: i64 = (-qty as f64 * px).round() as i64;
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trades.push([qty, quote]);
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}
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// Apply all of the trades going forward
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trades.iter().for_each(|[qty, quote]| {
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pos.change_base_and_entry_positions(&mut market, *qty, *quote);
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});
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// base_position should be sum of all base quantities
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assert_eq!(
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pos.base_position_lots,
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trades.iter().map(|[qty, _]| qty).sum::<i64>()
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);
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// Reverse out all the trades
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trades.iter().for_each(|[qty, quote]| {
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pos.change_base_and_entry_positions(&mut market, -*qty, -*quote);
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});
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// base position should be 0
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assert_eq!(pos.base_position_lots, 0);
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// quote entry position should be 0
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assert_eq!(pos.quote_entry_native, 0);
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// quote exit should be 0
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assert_eq!(pos.quote_exit_native, 0);
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// base entry lots should be 0
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assert_eq!(pos.base_entry_lots, 0);
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}
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}
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