227 lines
7.9 KiB
Rust
227 lines
7.9 KiB
Rust
use crate::AnyhowWrap;
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use client::{chain_data, AccountFetcher, MangoClient, TokenContext};
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use mango_v4::accounts_zerocopy::KeyedAccountSharedData;
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use mango_v4::state::{Bank, TokenIndex, TokenPosition, QUOTE_TOKEN_INDEX};
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use {fixed::types::I80F48, solana_sdk::pubkey::Pubkey};
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use futures::{stream, StreamExt, TryStreamExt};
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use std::{collections::HashMap, time::Duration};
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#[derive(Clone)]
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pub struct Config {
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/// Maximum slippage allowed in Jupiter
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pub slippage: f64,
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/// When closing borrows, the rebalancer can't close token positions exactly.
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/// Instead it purchases too much and then gets rid of the excess in a second step.
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/// If this is 1.05, then it'll swap borrow_value * 1.05 quote token into borrow token.
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pub borrow_settle_excess: f64,
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pub refresh_timeout: Duration,
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}
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#[derive(Debug)]
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struct TokenState {
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price: I80F48,
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native_position: I80F48,
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}
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impl TokenState {
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async fn new_position(
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token: &TokenContext,
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position: &TokenPosition,
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account_fetcher: &chain_data::AccountFetcher,
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) -> anyhow::Result<Self> {
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let bank = Self::bank(token, account_fetcher)?;
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Ok(Self {
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price: Self::fetch_price(token, &bank, account_fetcher).await?,
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native_position: position.native(&bank),
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})
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}
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fn bank(
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token: &TokenContext,
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account_fetcher: &chain_data::AccountFetcher,
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) -> anyhow::Result<Bank> {
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account_fetcher.fetch::<Bank>(&token.mint_info.first_bank())
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}
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async fn fetch_price(
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token: &TokenContext,
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bank: &Bank,
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account_fetcher: &chain_data::AccountFetcher,
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) -> anyhow::Result<I80F48> {
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let oracle = account_fetcher
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.fetch_raw_account(&token.mint_info.oracle)
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.await?;
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bank.oracle_price(
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&KeyedAccountSharedData::new(token.mint_info.oracle, oracle.into()),
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None,
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)
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.map_err_anyhow()
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}
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}
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#[allow(clippy::too_many_arguments)]
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pub async fn zero_all_non_quote(
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mango_client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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mango_account_address: &Pubkey,
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config: &Config,
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) -> anyhow::Result<()> {
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log::trace!("checking for rebalance: {}", mango_account_address);
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// TODO: configurable?
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let quote_token = mango_client.context.token(QUOTE_TOKEN_INDEX);
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let account = account_fetcher.fetch_mango_account(mango_account_address)?;
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let tokens: anyhow::Result<HashMap<TokenIndex, TokenState>> =
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stream::iter(account.active_token_positions())
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.then(|token_position| async {
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let token = mango_client.context.token(token_position.token_index);
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Ok((
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token.token_index,
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TokenState::new_position(token, token_position, account_fetcher).await?,
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))
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})
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.try_collect()
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.await;
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let tokens = tokens?;
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log::trace!("account tokens: {:?}", tokens);
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// Function to refresh the mango account after the txsig confirmed. Returns false on timeout.
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let refresh_mango_account = |txsig| async move {
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let res: anyhow::Result<bool> = {
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let max_slot = account_fetcher.transaction_max_slot(&[txsig]).await?;
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if let Err(e) = account_fetcher
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.refresh_accounts_via_rpc_until_slot(
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&[*mango_account_address],
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max_slot,
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config.refresh_timeout,
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)
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.await
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{
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// If we don't get fresh data, maybe the tx landed on a fork?
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// Rebalance is technically still ok.
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log::info!("could not refresh account data: {}", e);
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return Ok(false);
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}
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Ok(true)
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};
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res
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};
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for (token_index, token_state) in tokens {
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let token = mango_client.context.token(token_index);
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if token_index == quote_token.token_index {
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continue;
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}
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let token_mint = token.mint_info.mint;
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let quote_mint = quote_token.mint_info.mint;
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// It's not always possible to bring the native balance to 0 through swaps:
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// Consider a price <1. You need to sell a bunch of tokens to get 1 USDC native and
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// similarly will get multiple tokens when buying.
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// Imagine SOL at 0.04 USDC-native per SOL-native: Any amounts below 25 SOL-native
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// would not be worth a single USDC-native.
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//
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// To avoid errors, we consider all amounts below 2 * (1/oracle) dust and don't try
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// to sell them. Instead they will be withdrawn at the end.
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// Purchases will aim to purchase slightly more than is needed, such that we can
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// again withdraw the dust at the end.
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let dust_threshold = I80F48::from(2) / token_state.price;
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let mut amount = token_state.native_position;
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if amount < 0 {
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// Buy
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let buy_amount = amount.abs().ceil() + (dust_threshold - I80F48::ONE).max(I80F48::ZERO);
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let input_amount =
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buy_amount * token_state.price * I80F48::from_num(config.borrow_settle_excess);
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let txsig = mango_client
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.jupiter_swap(
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quote_mint,
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token_mint,
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input_amount.to_num::<u64>(),
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config.slippage,
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client::JupiterSwapMode::ExactIn,
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)
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.await?;
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log::info!(
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"bought {} {} for {} in tx {}",
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token.native_to_ui(buy_amount),
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token.name,
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quote_token.name,
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txsig
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);
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if !refresh_mango_account(txsig).await? {
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return Ok(());
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}
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let bank = TokenState::bank(token, account_fetcher)?;
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amount = mango_client
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.mango_account()
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.await?
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.token_position_and_raw_index(token_index)
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.map(|(position, _)| position.native(&bank))
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.unwrap_or(I80F48::ZERO);
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}
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if amount > dust_threshold {
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// Sell
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let txsig = mango_client
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.jupiter_swap(
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token_mint,
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quote_mint,
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amount.to_num::<u64>(),
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config.slippage,
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client::JupiterSwapMode::ExactIn,
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)
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.await?;
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log::info!(
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"sold {} {} for {} in tx {}",
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token.native_to_ui(amount),
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token.name,
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quote_token.name,
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txsig
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);
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if !refresh_mango_account(txsig).await? {
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return Ok(());
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}
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let bank = TokenState::bank(token, account_fetcher)?;
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amount = mango_client
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.mango_account()
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.await?
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.token_position_and_raw_index(token_index)
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.map(|(position, _)| position.native(&bank))
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.unwrap_or(I80F48::ZERO);
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}
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// Any remainder that could not be sold just gets withdrawn to ensure the
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// TokenPosition is freed up
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if amount > 0 && amount <= dust_threshold {
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let allow_borrow = false;
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let txsig = mango_client
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.token_withdraw(token_mint, amount.to_num::<u64>(), allow_borrow)
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.await?;
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log::info!(
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"withdrew {} {} to liqor wallet in {}",
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token.native_to_ui(amount),
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token.name,
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txsig
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);
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if !refresh_mango_account(txsig).await? {
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return Ok(());
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}
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} else if amount > dust_threshold {
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anyhow::bail!(
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"unexpected {} position after rebalance swap: {} native",
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token.name,
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amount
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);
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}
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}
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Ok(())
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}
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