1347 lines
52 KiB
Rust
1347 lines
52 KiB
Rust
use std::cell::RefMut;
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use crate::{
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error::MangoError,
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state::{
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orderbook::{bookside::BookSide, nodes::LeafNode},
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MangoAccount, PerpMarket,
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},
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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 fixed_macro::types::I80F48;
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use super::{
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nodes::NodeHandle,
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order_type::{OrderType, Side},
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queue::{EventQueue, FillEvent, OutEvent},
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};
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pub const CENTIBPS_PER_UNIT: I80F48 = I80F48!(1_000_000);
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// todo move to a constants module or something
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pub const MAX_PERP_OPEN_ORDERS: usize = 64;
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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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pub struct Book<'a> {
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pub bids: RefMut<'a, BookSide>, // todo: why refmut?
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pub asks: RefMut<'a, BookSide>,
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}
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impl<'a> Book<'a> {
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pub fn load_checked(
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bids_ai: &'a AccountInfo,
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asks_ai: &'a AccountInfo,
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perp_market: &PerpMarket,
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) -> std::result::Result<Self, Error> {
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require!(bids_ai.key == &perp_market.bids, MangoError::SomeError); // MangoErrorCode::InvalidAccount
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require!(asks_ai.key == &perp_market.asks, MangoError::SomeError); // MangoErrorCode::InvalidAccount
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Ok(Self {
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bids: BookSide::load_mut_checked(bids_ai, perp_market)?,
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asks: BookSide::load_mut_checked(asks_ai, perp_market)?,
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})
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}
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/// returns best valid bid
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pub fn get_best_bid_price(&self, now_ts: u64) -> Option<i64> {
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Some(self.bids.iter_valid(now_ts).next()?.1.price())
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}
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/// returns best valid ask
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pub fn get_best_ask_price(&self, now_ts: u64) -> Option<i64> {
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Some(self.asks.iter_valid(now_ts).next()?.1.price())
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}
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/// Get the quantity of valid bids above and including the price
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pub fn get_bids_size_above(&self, price: i64, max_depth: i64, now_ts: u64) -> i64 {
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let mut s = 0;
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for (_, bid) in self.bids.iter_valid(now_ts) {
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if price > bid.price() || s >= max_depth {
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break;
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}
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s += bid.quantity;
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}
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s.min(max_depth)
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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 get_impact_price(&self, side: Side, quantity: i64, now_ts: u64) -> Option<i64> {
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let mut s = 0;
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let book_side = match side {
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Side::Bid => self.bids.iter_valid(now_ts),
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Side::Ask => self.asks.iter_valid(now_ts),
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};
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for (_, order) in book_side {
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s += order.quantity;
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if s >= quantity {
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return Some(order.price());
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}
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}
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None
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}
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/// Get the quantity of valid asks below and including the price
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pub fn get_asks_size_below(&self, price: i64, max_depth: i64, now_ts: u64) -> i64 {
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let mut s = 0;
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for (_, ask) in self.asks.iter_valid(now_ts) {
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if price < ask.price() || s >= max_depth {
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break;
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}
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s += ask.quantity;
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}
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s.min(max_depth)
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}
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/// Get the quantity of valid bids above this order id. Will return full size of book if order id not found
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pub fn get_bids_size_above_order(&self, order_id: i128, max_depth: i64, now_ts: u64) -> i64 {
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let mut s = 0;
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for (_, bid) in self.bids.iter_valid(now_ts) {
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if bid.key == order_id || s >= max_depth {
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break;
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}
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s += bid.quantity;
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}
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s.min(max_depth)
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}
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/// Get the quantity of valid asks above this order id. Will return full size of book if order id not found
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pub fn get_asks_size_below_order(&self, order_id: i128, max_depth: i64, now_ts: u64) -> i64 {
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let mut s = 0;
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for (_, ask) in self.asks.iter_valid(now_ts) {
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if ask.key == order_id || s >= max_depth {
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break;
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}
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s += ask.quantity;
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}
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s.min(max_depth)
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}
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// #[inline(never)]
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// pub fn new_order(
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// &mut self,
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// program_id: &Pubkey,
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// // mango_group: &MangoGroup,
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// mango_group_pk: &Pubkey,
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// // mango_cache: &MangoCache,
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// event_queue: &mut EventQueue,
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// market: &mut PerpMarket,
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// oracle_price: I80F48,
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// mango_account: &mut MangoAccount,
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// mango_account_pk: &Pubkey,
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// market_index: usize,
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// side: Side,
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// price: i64,
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// max_base_quantity: i64, // guaranteed to be greater than zero due to initial check
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// max_quote_quantity: i64, // guaranteed to be greater than zero due to initial check
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// order_type: OrderType,
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// time_in_force: u8,
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// client_order_id: u64,
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// now_ts: u64,
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// referrer_mango_account_ai: Option<&AccountInfo>,
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// limit: u8,
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// ) -> std::result::Result<(), Error> {
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// match side {
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// Side::Bid => self.new_bid(
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// program_id,
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// // mango_group,
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// mango_group_pk,
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// // mango_cache,
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// event_queue,
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// market,
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// oracle_price,
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// mango_account,
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// mango_account_pk,
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// market_index,
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// price,
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// max_base_quantity,
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// max_quote_quantity,
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// order_type,
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// time_in_force,
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// client_order_id,
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// now_ts,
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// referrer_mango_account_ai,
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// limit,
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// ),
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// Side::Ask => self.new_ask(
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// program_id,
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// // mango_group,
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// mango_group_pk,
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// // mango_cache,
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// event_queue,
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// market,
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// oracle_price,
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// mango_account,
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// mango_account_pk,
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// market_index,
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// price,
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// max_base_quantity,
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// max_quote_quantity,
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// order_type,
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// time_in_force,
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// client_order_id,
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// now_ts,
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// referrer_mango_account_ai,
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// limit,
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// ),
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// }
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// }
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/// Iterate over the book and return
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/// return changes to (taker_base, taker_quote, bids_quantity, asks_quantity)
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pub fn sim_new_bid(
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&self,
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market: &PerpMarket,
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// info: &PerpMarketInfo,
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oracle_price: I80F48,
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price: i64,
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max_base_quantity: i64, // guaranteed to be greater than zero due to initial check
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max_quote_quantity: i64, // guaranteed to be greater than zero due to initial check
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order_type: OrderType,
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now_ts: u64,
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) -> std::result::Result<(i64, i64, i64, i64), Error> {
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let (mut taker_base, mut taker_quote, mut bids_quantity, asks_quantity) = (0, 0, 0i64, 0);
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let (post_only, mut post_allowed, price) = match order_type {
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OrderType::Limit => (false, true, price),
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OrderType::ImmediateOrCancel => (false, false, price),
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OrderType::PostOnly => (true, true, price),
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OrderType::Market => (false, false, i64::MAX),
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OrderType::PostOnlySlide => {
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let price = if let Some(best_ask_price) = self.get_best_ask_price(now_ts) {
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price.min(best_ask_price.checked_sub(1).ok_or(MangoError::SomeError)?)
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// math_err
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} else {
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price
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};
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(true, true, price)
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}
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};
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// if post_allowed {
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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);
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// if native_price.checked_div(oracle_price).unwrap() > info.maint_liab_weight {
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// msg!("Posting on book disallowed due to price limits");
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// post_allowed = false;
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// }
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// }
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let mut rem_base_quantity = max_base_quantity; // base lots (aka contracts)
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let mut rem_quote_quantity = max_quote_quantity;
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for (_, best_ask) in self.asks.iter_valid(now_ts) {
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let best_ask_price = best_ask.price();
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if price < best_ask_price {
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break;
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} else if post_only {
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return Ok((taker_base, taker_quote, bids_quantity, asks_quantity));
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}
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let max_match_by_quote = rem_quote_quantity / best_ask_price;
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let match_quantity = rem_base_quantity
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.min(best_ask.quantity)
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.min(max_match_by_quote);
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let match_quote = match_quantity * best_ask_price;
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rem_base_quantity -= match_quantity;
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rem_quote_quantity -= match_quote;
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taker_base += match_quantity;
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taker_quote -= match_quote;
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if match_quantity == max_match_by_quote || rem_base_quantity == 0 {
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break;
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}
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}
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let book_base_quantity = rem_base_quantity.min(rem_quote_quantity / price);
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if post_allowed && book_base_quantity > 0 {
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bids_quantity = bids_quantity.checked_add(book_base_quantity).unwrap();
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}
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Ok((taker_base, taker_quote, bids_quantity, asks_quantity))
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}
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pub fn sim_new_ask(
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&self,
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market: &PerpMarket,
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// info: &PerpMarketInfo,
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oracle_price: I80F48,
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price: i64,
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max_base_quantity: i64, // guaranteed to be greater than zero due to initial check
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max_quote_quantity: i64, // guaranteed to be greater than zero due to initial check
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order_type: OrderType,
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now_ts: u64,
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) -> std::result::Result<(i64, i64, i64, i64), Error> {
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let (mut taker_base, mut taker_quote, bids_quantity, mut asks_quantity) = (0, 0, 0, 0i64);
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let (post_only, mut post_allowed, price) = match order_type {
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OrderType::Limit => (false, true, price),
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OrderType::ImmediateOrCancel => (false, false, price),
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OrderType::PostOnly => (true, true, price),
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OrderType::Market => (false, false, 1),
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OrderType::PostOnlySlide => {
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let price = if let Some(best_bid_price) = self.get_best_bid_price(now_ts) {
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price.max(best_bid_price.checked_add(1).ok_or(MangoError::SomeError)?)
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// todo math_err
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} else {
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price
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};
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(true, true, price)
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}
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};
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// if post_allowed {
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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);
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// if native_price.checked_div(oracle_price).unwrap() < info.maint_asset_weight {
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// msg!("Posting on book disallowed due to price limits");
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// post_allowed = false;
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// }
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// }
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let mut rem_base_quantity = max_base_quantity; // base lots (aka contracts)
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let mut rem_quote_quantity = max_quote_quantity;
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for (_, best_bid) in self.bids.iter_valid(now_ts) {
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let best_bid_price = best_bid.price();
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if price > best_bid_price {
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break;
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} else if post_only {
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return Ok((taker_base, taker_quote, bids_quantity, asks_quantity));
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}
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let max_match_by_quote = rem_quote_quantity / best_bid_price;
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let match_quantity = rem_base_quantity
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.min(best_bid.quantity)
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.min(max_match_by_quote);
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let match_quote = match_quantity * best_bid_price;
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rem_base_quantity -= match_quantity;
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rem_quote_quantity -= match_quote;
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taker_base -= match_quantity;
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taker_quote += match_quote;
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if match_quantity == max_match_by_quote || rem_base_quantity == 0 {
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break;
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}
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}
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let book_base_quantity = rem_base_quantity.min(rem_quote_quantity / price);
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if post_allowed && book_base_quantity > 0 {
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asks_quantity = asks_quantity.checked_add(book_base_quantity).unwrap();
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}
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Ok((taker_base, taker_quote, bids_quantity, asks_quantity))
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}
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// todo: can new_bid and new_ask be elegantly folded into one method?
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#[inline(never)]
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pub fn new_bid(
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&mut self,
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// program_id: &Pubkey,
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// mango_group: &MangoGroup,
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// mango_group_pk: &Pubkey,
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// mango_cache: &MangoCache,
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// event_queue: &mut EventQueue,
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market: &mut PerpMarket,
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oracle_price: I80F48,
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mango_account: &mut MangoAccount,
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mango_account_pk: &Pubkey,
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// market_index: usize,
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price: i64,
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max_base_quantity: i64, // guaranteed to be greater than zero due to initial check
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max_quote_quantity: i64, // guaranteed to be greater than zero due to initial check
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order_type: OrderType,
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time_in_force: u8,
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client_order_id: u64,
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now_ts: u64,
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// referrer_mango_account_ai: Option<&AccountInfo>,
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mut limit: u8, // max number of FillEvents allowed; guaranteed to be greater than 0
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) -> std::result::Result<(), Error> {
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// TODO proper error handling
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// TODO handle the case where we run out of compute (right now just fails)
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let (post_only, mut post_allowed, price) = match order_type {
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OrderType::Limit => (false, true, price),
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OrderType::ImmediateOrCancel => (false, false, price),
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OrderType::PostOnly => (true, true, price),
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OrderType::Market => (false, false, i64::MAX),
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OrderType::PostOnlySlide => {
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let price = if let Some(best_ask_price) = self.get_best_ask_price(now_ts) {
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price.min(best_ask_price.checked_sub(1).ok_or(MangoError::SomeError)?)
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// math_err
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} else {
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price
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};
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(true, true, price)
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}
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};
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// let info = &mango_group.perp_markets[market_index];
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// if post_allowed {
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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);
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// if native_price.checked_div(oracle_price).unwrap() > info.maint_liab_weight {
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// msg!("Posting on book disallowed due to price limits");
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// post_allowed = false;
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// }
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// }
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// referral fee related variables
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// let mut ref_fee_rate = None;
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// let mut referrer_mango_account_opt = None;
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// generate new order id
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let order_id = market.gen_order_id(Side::Bid, price);
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// Iterate through book and match against this new bid
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//
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// Any changes to matching asks are collected in ask_changes
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// and then applied after this loop.
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let mut rem_base_quantity = max_base_quantity; // base lots (aka contracts)
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let mut rem_quote_quantity = max_quote_quantity;
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let mut ask_changes: Vec<(NodeHandle, i64)> = vec![];
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let mut ask_deletes: Vec<i128> = vec![];
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let mut number_of_dropped_expired_orders = 0;
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for (best_ask_h, best_ask) in self.asks.iter_all_including_invalid() {
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if !best_ask.is_valid(now_ts) {
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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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// Side::Ask,
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// best_ask.owner_slot,
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// now_ts,
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// event_queue.header.seq_num,
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// best_ask.owner,
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// best_ask.quantity,
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// );
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// event_queue.push_back(cast(event)).unwrap();
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// ask_deletes.push(best_ask.key);
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}
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continue;
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}
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let best_ask_price = best_ask.price();
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if price < best_ask_price {
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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_allowed = false;
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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_allowed = false;
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break;
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}
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let max_match_by_quote = rem_quote_quantity / best_ask_price;
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let match_quantity = rem_base_quantity
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.min(best_ask.quantity)
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.min(max_match_by_quote);
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let done = match_quantity == max_match_by_quote || match_quantity == rem_base_quantity;
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let match_quote = match_quantity * best_ask_price;
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rem_base_quantity -= match_quantity;
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rem_quote_quantity -= match_quote;
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// mango_account.perp_accounts[market_index].add_taker_trade(match_quantity, -match_quote);
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let new_best_ask_quantity = best_ask.quantity - match_quantity;
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let maker_out = new_best_ask_quantity == 0;
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if maker_out {
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ask_deletes.push(best_ask.key);
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} else {
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ask_changes.push((best_ask_h, new_best_ask_quantity));
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}
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// todo
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// if ref_fee_rate is none, determine it
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// if ref_valid, then pay into referrer, else pay to perp market
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// if ref_fee_rate.is_none() {
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// let (a, b) = determine_ref_vars(
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// program_id,
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// mango_group,
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// mango_group_pk,
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// mango_cache,
|
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// mango_account,
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// referrer_mango_account_ai,
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// now_ts,
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// )?;
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// ref_fee_rate = Some(a);
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// referrer_mango_account_opt = b;
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// }
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|
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// let fill = FillEvent::new(
|
|
// Side::Bid,
|
|
// best_ask.owner_slot,
|
|
// maker_out,
|
|
// now_ts,
|
|
// event_queue.header.seq_num,
|
|
// best_ask.owner,
|
|
// best_ask.key,
|
|
// best_ask.client_order_id,
|
|
// info.maker_fee,
|
|
// best_ask.best_initial,
|
|
// best_ask.timestamp,
|
|
// *mango_account_pk,
|
|
// order_id,
|
|
// client_order_id,
|
|
// info.taker_fee + ref_fee_rate.unwrap(),
|
|
// best_ask_price,
|
|
// match_quantity,
|
|
// best_ask.version,
|
|
// );
|
|
// event_queue.push_back(cast(fill)).unwrap();
|
|
limit -= 1;
|
|
|
|
if done {
|
|
break;
|
|
}
|
|
}
|
|
let total_quote_taken = max_quote_quantity - rem_quote_quantity;
|
|
|
|
// Apply changes to matched asks (handles invalidate on delete!)
|
|
for (handle, new_quantity) in ask_changes {
|
|
self.asks
|
|
.get_mut(handle)
|
|
.unwrap()
|
|
.as_leaf_mut()
|
|
.unwrap()
|
|
.quantity = new_quantity;
|
|
}
|
|
for key in ask_deletes {
|
|
let _removed_leaf = self.asks.remove_by_key(key).unwrap();
|
|
}
|
|
|
|
// If there are still quantity unmatched, place on the book
|
|
let book_base_quantity = rem_base_quantity.min(rem_quote_quantity / price);
|
|
if post_allowed && book_base_quantity > 0 {
|
|
// Drop an expired order if possible
|
|
if let Some(expired_bid) = self.bids.remove_one_expired(now_ts) {
|
|
// let event = OutEvent::new(
|
|
// Side::Bid,
|
|
// expired_bid.owner_slot,
|
|
// now_ts,
|
|
// event_queue.header.seq_num,
|
|
// expired_bid.owner,
|
|
// expired_bid.quantity,
|
|
// );
|
|
// event_queue.push_back(cast(event)).unwrap();
|
|
}
|
|
|
|
if self.bids.is_full() {
|
|
// If this bid is higher than lowest bid, boot that bid and insert this one
|
|
let min_bid = self.bids.remove_min().unwrap();
|
|
require!(price > min_bid.price(), MangoError::SomeError); // MangoErrorCode::OutOfSpace
|
|
// let event = OutEvent::new(
|
|
// Side::Bid,
|
|
// min_bid.owner_slot,
|
|
// now_ts,
|
|
// event_queue.header.seq_num,
|
|
// min_bid.owner,
|
|
// min_bid.quantity,
|
|
// );
|
|
// event_queue.push_back(cast(event)).unwrap();
|
|
}
|
|
|
|
// iterate through book on the bid side
|
|
// let best_initial = if market.meta_data.version == 0 {
|
|
// match self.get_best_bid_price(now_ts) {
|
|
// None => price,
|
|
// Some(p) => p,
|
|
// }
|
|
// } else {
|
|
// let max_depth: i64 = market.liquidity_mining_info.max_depth_bps.to_num();
|
|
// self.get_bids_size_above(price, max_depth, now_ts)
|
|
// };
|
|
|
|
// let owner_slot = mango_account
|
|
// .next_order_slot()
|
|
// .ok_or(MangoError::SomeError)?; // TooManyOpenOrders
|
|
let new_bid = LeafNode::new(
|
|
1, // todo market.meta_data.version,
|
|
0, // todo owner_slot as u8,
|
|
order_id,
|
|
*mango_account_pk,
|
|
book_base_quantity,
|
|
client_order_id,
|
|
now_ts,
|
|
0, // todo best_initial,
|
|
order_type,
|
|
time_in_force,
|
|
);
|
|
let _result = self.bids.insert_leaf(&new_bid)?;
|
|
|
|
// TODO OPT remove if PlacePerpOrder needs more compute
|
|
msg!(
|
|
"bid on book order_id={} quantity={} price={}",
|
|
order_id,
|
|
book_base_quantity,
|
|
price
|
|
);
|
|
// mango_account.add_order(market_index, Side::Bid, &new_bid)?;
|
|
}
|
|
|
|
// if there were matched taker quote apply ref fees
|
|
// we know ref_fee_rate is not None if total_quote_taken > 0
|
|
// if total_quote_taken > 0 {
|
|
// apply_fees(
|
|
// market,
|
|
// info,
|
|
// mango_account,
|
|
// mango_account_pk,
|
|
// market_index,
|
|
// referrer_mango_account_opt,
|
|
// referrer_mango_account_ai,
|
|
// total_quote_taken,
|
|
// ref_fee_rate.unwrap(),
|
|
// // &mango_cache.perp_market_cache[market_index],
|
|
// );
|
|
// }
|
|
|
|
Ok(())
|
|
}
|
|
|
|
#[inline(never)]
|
|
pub fn new_ask(
|
|
&mut self,
|
|
program_id: &Pubkey,
|
|
// mango_group: &MangoGroup,
|
|
mango_group_pk: &Pubkey,
|
|
// mango_cache: &MangoCache,
|
|
event_queue: &mut EventQueue,
|
|
market: &mut PerpMarket,
|
|
oracle_price: I80F48,
|
|
mango_account: &mut MangoAccount,
|
|
mango_account_pk: &Pubkey,
|
|
market_index: usize,
|
|
price: i64,
|
|
max_base_quantity: i64, // guaranteed to be greater than zero due to initial check
|
|
max_quote_quantity: i64, // guaranteed to be greater than zero due to initial check
|
|
order_type: OrderType,
|
|
time_in_force: u8,
|
|
client_order_id: u64,
|
|
now_ts: u64,
|
|
referrer_mango_account_ai: Option<&AccountInfo>,
|
|
mut limit: u8, // max number of FillEvents allowed; guaranteed to be greater than 0
|
|
) -> Result<()> {
|
|
let (post_only, mut post_allowed, price) = match order_type {
|
|
OrderType::Limit => (false, true, price),
|
|
OrderType::ImmediateOrCancel => (false, false, price),
|
|
OrderType::PostOnly => (true, true, price),
|
|
OrderType::Market => (false, false, 1),
|
|
OrderType::PostOnlySlide => {
|
|
let price = if let Some(best_bid_price) = self.get_best_bid_price(now_ts) {
|
|
price.max(best_bid_price.checked_add(1).ok_or(MangoError::SomeError)?)
|
|
// math_err
|
|
} else {
|
|
price
|
|
};
|
|
(true, true, price)
|
|
}
|
|
};
|
|
|
|
// let info = &mango_group.perp_markets[market_index];
|
|
// if post_allowed {
|
|
// // price limit check computed lazily to save CU on average
|
|
// let native_price = market.lot_to_native_price(price);
|
|
// if native_price.checked_div(oracle_price).unwrap() < info.maint_asset_weight {
|
|
// msg!("Posting on book disallowed due to price limits");
|
|
// post_allowed = false;
|
|
// }
|
|
// }
|
|
|
|
// referral fee related variables
|
|
// let mut ref_fee_rate = None;
|
|
// let mut referrer_mango_account_opt = None;
|
|
|
|
// generate new order id
|
|
let order_id = market.gen_order_id(Side::Ask, price);
|
|
|
|
// Iterate through book and match against this new ask
|
|
//
|
|
// Any changes to matching bids are collected in bid_changes
|
|
// and then applied after this loop.
|
|
let mut rem_base_quantity = max_base_quantity; // base lots (aka contracts)
|
|
let mut rem_quote_quantity = max_quote_quantity;
|
|
let mut bid_changes: Vec<(NodeHandle, i64)> = vec![];
|
|
let mut bid_deletes: Vec<i128> = vec![];
|
|
let mut number_of_dropped_expired_orders = 0;
|
|
for (best_bid_h, best_bid) in self.bids.iter_all_including_invalid() {
|
|
if !best_bid.is_valid(now_ts) {
|
|
// Remove the order from the book unless we've done that enough
|
|
if number_of_dropped_expired_orders < DROP_EXPIRED_ORDER_LIMIT {
|
|
number_of_dropped_expired_orders += 1;
|
|
let event = OutEvent::new(
|
|
Side::Bid,
|
|
best_bid.owner_slot,
|
|
now_ts,
|
|
event_queue.header.seq_num,
|
|
best_bid.owner,
|
|
best_bid.quantity,
|
|
);
|
|
event_queue.push_back(cast(event)).unwrap();
|
|
bid_deletes.push(best_bid.key);
|
|
}
|
|
continue;
|
|
}
|
|
|
|
let best_bid_price = best_bid.price();
|
|
|
|
if price > best_bid_price {
|
|
break;
|
|
} else if post_only {
|
|
msg!("Order could not be placed due to PostOnly");
|
|
post_allowed = false;
|
|
break; // return silently to not fail other instructions in tx
|
|
} else if limit == 0 {
|
|
msg!("Order matching limit reached");
|
|
post_allowed = false;
|
|
break;
|
|
}
|
|
|
|
let max_match_by_quote = rem_quote_quantity / best_bid_price;
|
|
let match_quantity = rem_base_quantity
|
|
.min(best_bid.quantity)
|
|
.min(max_match_by_quote);
|
|
let done = match_quantity == max_match_by_quote || match_quantity == rem_base_quantity;
|
|
|
|
let match_quote = match_quantity * best_bid_price;
|
|
rem_base_quantity -= match_quantity;
|
|
rem_quote_quantity -= match_quote;
|
|
// mango_account.perp_accounts[market_index].add_taker_trade(-match_quantity, match_quote);
|
|
|
|
let new_best_bid_quantity = best_bid.quantity - match_quantity;
|
|
let maker_out = new_best_bid_quantity == 0;
|
|
if maker_out {
|
|
bid_deletes.push(best_bid.key);
|
|
} else {
|
|
bid_changes.push((best_bid_h, new_best_bid_quantity));
|
|
}
|
|
|
|
// todo
|
|
// if ref_fee_rate is none, determine it
|
|
// if ref_valid, then pay into referrer, else pay to perp market
|
|
// if ref_fee_rate.is_none() {
|
|
// let (a, b) = determine_ref_vars(
|
|
// program_id,
|
|
// mango_group,
|
|
// mango_group_pk,
|
|
// mango_cache,
|
|
// mango_account,
|
|
// referrer_mango_account_ai,
|
|
// now_ts,
|
|
// )?;
|
|
// ref_fee_rate = Some(a);
|
|
// referrer_mango_account_opt = b;
|
|
// }
|
|
|
|
// let fill = FillEvent::new(
|
|
// Side::Ask,
|
|
// best_bid.owner_slot,
|
|
// maker_out,
|
|
// now_ts,
|
|
// event_queue.header.seq_num,
|
|
// best_bid.owner,
|
|
// best_bid.key,
|
|
// best_bid.client_order_id,
|
|
// info.maker_fee,
|
|
// best_bid.best_initial,
|
|
// best_bid.timestamp,
|
|
// *mango_account_pk,
|
|
// order_id,
|
|
// client_order_id,
|
|
// info.taker_fee + ref_fee_rate.unwrap(),
|
|
// best_bid_price,
|
|
// match_quantity,
|
|
// best_bid.version,
|
|
// );
|
|
|
|
// event_queue.push_back(cast(fill)).unwrap();
|
|
limit -= 1;
|
|
|
|
if done {
|
|
break;
|
|
}
|
|
}
|
|
let total_quote_taken = max_quote_quantity - rem_quote_quantity;
|
|
|
|
// Apply changes to matched bids (handles invalidate on delete!)
|
|
for (handle, new_quantity) in bid_changes {
|
|
self.bids
|
|
.get_mut(handle)
|
|
.unwrap()
|
|
.as_leaf_mut()
|
|
.unwrap()
|
|
.quantity = new_quantity;
|
|
}
|
|
for key in bid_deletes {
|
|
let _removed_leaf = self.bids.remove_by_key(key).unwrap();
|
|
}
|
|
|
|
// If there are still quantity unmatched, place on the book
|
|
let book_base_quantity = rem_base_quantity.min(rem_quote_quantity / price);
|
|
if book_base_quantity > 0 && post_allowed {
|
|
// Drop an expired order if possible
|
|
if let Some(expired_ask) = self.asks.remove_one_expired(now_ts) {
|
|
let event = OutEvent::new(
|
|
Side::Ask,
|
|
expired_ask.owner_slot,
|
|
now_ts,
|
|
event_queue.header.seq_num,
|
|
expired_ask.owner,
|
|
expired_ask.quantity,
|
|
);
|
|
event_queue.push_back(cast(event)).unwrap();
|
|
}
|
|
|
|
if self.asks.is_full() {
|
|
// If this asks is lower than highest ask, boot that ask and insert this one
|
|
let max_ask = self.asks.remove_max().unwrap();
|
|
require!(price < max_ask.price(), MangoError::SomeError); // OutOfSpace
|
|
let event = OutEvent::new(
|
|
Side::Ask,
|
|
max_ask.owner_slot,
|
|
now_ts,
|
|
event_queue.header.seq_num,
|
|
max_ask.owner,
|
|
max_ask.quantity,
|
|
);
|
|
event_queue.push_back(cast(event)).unwrap();
|
|
}
|
|
|
|
// let best_initial = if market.meta_data.version == 0 {
|
|
// match self.get_best_ask_price(now_ts) {
|
|
// None => price,
|
|
// Some(p) => p,
|
|
// }
|
|
// } else {
|
|
// let max_depth: i64 = market.liquidity_mining_info.max_depth_bps.to_num();
|
|
// self.get_asks_size_below(price, max_depth, now_ts)
|
|
// };
|
|
|
|
// let owner_slot = mango_account
|
|
// .next_order_slot()
|
|
// .ok_or(MangoError::SomeError)?; // TooManyOpenOrders
|
|
let new_ask = LeafNode::new(
|
|
1, // todo market.meta_data.version,
|
|
0, // todo owner_slot as u8,
|
|
order_id,
|
|
*mango_account_pk,
|
|
book_base_quantity,
|
|
client_order_id,
|
|
now_ts,
|
|
0, // todo best_initial,
|
|
order_type,
|
|
time_in_force,
|
|
);
|
|
let _result = self.asks.insert_leaf(&new_ask)?;
|
|
|
|
// TODO OPT remove if PlacePerpOrder needs more compute
|
|
msg!(
|
|
"ask on book order_id={} quantity={} price={}",
|
|
order_id,
|
|
book_base_quantity,
|
|
price
|
|
);
|
|
|
|
// mango_account.add_order(market_index, Side::Ask, &new_ask)?;
|
|
}
|
|
|
|
// if there were matched taker quote apply ref fees
|
|
// we know ref_fee_rate is not None if total_quote_taken > 0
|
|
// if total_quote_taken > 0 {
|
|
// apply_fees(
|
|
// market,
|
|
// info,
|
|
// mango_account,
|
|
// mango_account_pk,
|
|
// market_index,
|
|
// referrer_mango_account_opt,
|
|
// referrer_mango_account_ai,
|
|
// total_quote_taken,
|
|
// ref_fee_rate.unwrap(),
|
|
// // &mango_cache.perp_market_cache[market_index],
|
|
// );
|
|
// }
|
|
|
|
Ok(())
|
|
}
|
|
|
|
// pub fn cancel_order(&mut self, order_id: i128, side: Side) -> Result<()> {
|
|
// match side {
|
|
// Side::Bid => self
|
|
// .bids
|
|
// .remove_by_key(order_id)
|
|
// .ok_or(MangoError::SomeError), // InvalidOrderId
|
|
// Side::Ask => self
|
|
// .asks
|
|
// .remove_by_key(order_id)
|
|
// .ok_or(MangoError::SomeError), // InvalidOrderId
|
|
// }
|
|
// }
|
|
|
|
// /// Used by force cancel so does not need to give liquidity incentives
|
|
// pub fn cancel_all(
|
|
// &mut self,
|
|
// mango_account: &mut MangoAccount,
|
|
// market_index: usize,
|
|
// mut limit: u8,
|
|
// ) -> Result<()> {
|
|
// let market_index = market_index as u8;
|
|
// for i in 0..MAX_PERP_OPEN_ORDERS {
|
|
// if mango_account.order_market[i] != market_index {
|
|
// // means slot is free or belongs to different perp market
|
|
// continue;
|
|
// }
|
|
// let order_id = mango_account.orders[i];
|
|
// match self.cancel_order(order_id, mango_account.order_side[i]) {
|
|
// Ok(order) => {
|
|
// mango_account.remove_order(order.owner_slot as usize, order.quantity)?;
|
|
// }
|
|
// Err(_) => {
|
|
// // If it's not on the book, then it has been matched and only Keeper can remove
|
|
// }
|
|
// };
|
|
|
|
// limit -= 1;
|
|
// if limit == 0 {
|
|
// break;
|
|
// }
|
|
// }
|
|
// Ok(())
|
|
// }
|
|
|
|
// pub fn cancel_all_side_with_size_incentives(
|
|
// &mut self,
|
|
// mango_account: &mut MangoAccount,
|
|
// perp_market: &mut PerpMarket,
|
|
// market_index: usize,
|
|
// side: Side,
|
|
// mut limit: u8,
|
|
// ) -> std::result::Result<(Vec<i128>, Vec<i128>), MangoError> {
|
|
// // TODO - test different limits
|
|
// let now_ts = Clock::get()?.unix_timestamp as u64;
|
|
// let max_depth: i64 = perp_market.liquidity_mining_info.max_depth_bps.to_num();
|
|
|
|
// let mut all_order_ids = vec![];
|
|
// let mut canceled_order_ids = vec![];
|
|
// let mut keys = vec![];
|
|
// let market_index_u8 = market_index as u8;
|
|
// for i in 0..MAX_PERP_OPEN_ORDERS {
|
|
// if mango_account.order_market[i] == market_index_u8
|
|
// && mango_account.order_side[i] == side
|
|
// {
|
|
// all_order_ids.push(mango_account.orders[i]);
|
|
// keys.push(mango_account.orders[i])
|
|
// }
|
|
// }
|
|
// match side {
|
|
// Side::Bid => self.cancel_all_bids_with_size_incentives(
|
|
// mango_account,
|
|
// perp_market,
|
|
// market_index,
|
|
// max_depth,
|
|
// now_ts,
|
|
// &mut limit,
|
|
// keys,
|
|
// &mut canceled_order_ids,
|
|
// )?,
|
|
// Side::Ask => self.cancel_all_asks_with_size_incentives(
|
|
// mango_account,
|
|
// perp_market,
|
|
// market_index,
|
|
// max_depth,
|
|
// now_ts,
|
|
// &mut limit,
|
|
// keys,
|
|
// &mut canceled_order_ids,
|
|
// )?,
|
|
// };
|
|
// Ok((all_order_ids, canceled_order_ids))
|
|
// }
|
|
// pub fn cancel_all_with_size_incentives(
|
|
// &mut self,
|
|
// mango_account: &mut MangoAccount,
|
|
// perp_market: &mut PerpMarket,
|
|
// market_index: usize,
|
|
// mut limit: u8,
|
|
// ) -> std::result::Result<(Vec<i128>, Vec<i128>), Error> {
|
|
// // TODO - test different limits
|
|
// let now_ts = Clock::get()?.unix_timestamp as u64;
|
|
// let max_depth: i64 = perp_market.liquidity_mining_info.max_depth_bps.to_num();
|
|
|
|
// let mut all_order_ids = vec![];
|
|
// let mut canceled_order_ids = vec![];
|
|
|
|
// let market_index_u8 = market_index as u8;
|
|
// let mut bids_keys = vec![];
|
|
// let mut asks_keys = vec![];
|
|
// for i in 0..MAX_PERP_OPEN_ORDERS {
|
|
// if mango_account.order_market[i] != market_index_u8 {
|
|
// continue;
|
|
// }
|
|
// all_order_ids.push(mango_account.orders[i]);
|
|
// match mango_account.order_side[i] {
|
|
// Side::Bid => bids_keys.push(mango_account.orders[i]),
|
|
// Side::Ask => asks_keys.push(mango_account.orders[i]),
|
|
// }
|
|
// }
|
|
// self.cancel_all_bids_with_size_incentives(
|
|
// mango_account,
|
|
// perp_market,
|
|
// market_index,
|
|
// max_depth,
|
|
// now_ts,
|
|
// &mut limit,
|
|
// bids_keys,
|
|
// &mut canceled_order_ids,
|
|
// )?;
|
|
// self.cancel_all_asks_with_size_incentives(
|
|
// mango_account,
|
|
// perp_market,
|
|
// market_index,
|
|
// max_depth,
|
|
// now_ts,
|
|
// &mut limit,
|
|
// asks_keys,
|
|
// &mut canceled_order_ids,
|
|
// )?;
|
|
// Ok((all_order_ids, canceled_order_ids))
|
|
// }
|
|
|
|
// /// Internal
|
|
// fn cancel_all_bids_with_size_incentives(
|
|
// &mut self,
|
|
// mango_account: &mut MangoAccount,
|
|
// perp_market: &mut PerpMarket,
|
|
// market_index: usize,
|
|
// max_depth: i64,
|
|
// now_ts: u64,
|
|
// limit: &mut u8,
|
|
// mut my_bids: Vec<i128>,
|
|
// canceled_order_ids: &mut Vec<i128>,
|
|
// ) -> Result<()> {
|
|
// my_bids.sort_unstable();
|
|
// let mut bids_and_sizes = vec![];
|
|
// let mut cuml_bids = 0;
|
|
|
|
// let mut iter = self.bids.iter_all_including_invalid();
|
|
// let mut curr = iter.next();
|
|
// while let Some((_, bid)) = curr {
|
|
// match my_bids.last() {
|
|
// None => break,
|
|
// Some(&my_highest_bid) => {
|
|
// if bid.key > my_highest_bid {
|
|
// if bid.is_valid(now_ts) {
|
|
// // if bid is not valid, it doesn't count towards book liquidity
|
|
// cuml_bids += bid.quantity;
|
|
// }
|
|
// curr = iter.next();
|
|
// } else if bid.key == my_highest_bid {
|
|
// bids_and_sizes.push((bid.key, cuml_bids));
|
|
// my_bids.pop();
|
|
// curr = iter.next();
|
|
// } else {
|
|
// // my_highest_bid is not on the book; it must be on EventQueue waiting to be processed
|
|
// // check the next my_highest_bid against bid
|
|
// my_bids.pop();
|
|
// }
|
|
|
|
// if cuml_bids >= max_depth {
|
|
// for bid_key in my_bids {
|
|
// bids_and_sizes.push((bid_key, max_depth));
|
|
// }
|
|
// break;
|
|
// }
|
|
// }
|
|
// }
|
|
// }
|
|
|
|
// for (key, cuml_size) in bids_and_sizes {
|
|
// if *limit == 0 {
|
|
// return Ok(());
|
|
// } else {
|
|
// *limit -= 1;
|
|
// }
|
|
|
|
// match self.cancel_order(key, Side::Bid) {
|
|
// Ok(order) => {
|
|
// mango_account.remove_order(order.owner_slot as usize, order.quantity)?;
|
|
// canceled_order_ids.push(key);
|
|
// if order.version == perp_market.meta_data.version
|
|
// && order.version != 0
|
|
// && order.is_valid(now_ts)
|
|
// {
|
|
// mango_account.perp_accounts[market_index].apply_size_incentives(
|
|
// perp_market,
|
|
// order.best_initial,
|
|
// cuml_size,
|
|
// order.timestamp,
|
|
// now_ts,
|
|
// order.quantity,
|
|
// )?;
|
|
// }
|
|
// }
|
|
// Err(_) => {
|
|
// msg!("Failed to cancel bid oid: {}; Either error state or bid is on EventQueue unprocessed", key)
|
|
// }
|
|
// }
|
|
// }
|
|
// Ok(())
|
|
// }
|
|
|
|
// /// Internal
|
|
// fn cancel_all_asks_with_size_incentives(
|
|
// &mut self,
|
|
// mango_account: &mut MangoAccount,
|
|
// perp_market: &mut PerpMarket,
|
|
// market_index: usize,
|
|
// max_depth: i64,
|
|
// now_ts: u64,
|
|
// limit: &mut u8,
|
|
// mut my_asks: Vec<i128>,
|
|
// canceled_order_ids: &mut Vec<i128>,
|
|
// ) -> Result<()> {
|
|
// my_asks.sort_unstable_by(|a, b| b.cmp(a));
|
|
// let mut asks_and_sizes = vec![];
|
|
// let mut cuml_asks = 0;
|
|
|
|
// let mut iter = self.asks.iter_all_including_invalid();
|
|
// let mut curr = iter.next();
|
|
// while let Some((_, ask)) = curr {
|
|
// match my_asks.last() {
|
|
// None => break,
|
|
// Some(&my_lowest_ask) => {
|
|
// if ask.key < my_lowest_ask {
|
|
// if ask.is_valid(now_ts) {
|
|
// // if ask is not valid, it doesn't count towards book liquidity
|
|
// cuml_asks += ask.quantity;
|
|
// }
|
|
// curr = iter.next();
|
|
// } else if ask.key == my_lowest_ask {
|
|
// asks_and_sizes.push((ask.key, cuml_asks));
|
|
// my_asks.pop();
|
|
// curr = iter.next();
|
|
// } else {
|
|
// // my_lowest_ask is not on the book; it must be on EventQueue waiting to be processed
|
|
// // check the next my_lowest_ask against ask
|
|
// my_asks.pop();
|
|
// }
|
|
// if cuml_asks >= max_depth {
|
|
// for key in my_asks {
|
|
// asks_and_sizes.push((key, max_depth))
|
|
// }
|
|
// break;
|
|
// }
|
|
// }
|
|
// }
|
|
// }
|
|
|
|
// for (key, cuml_size) in asks_and_sizes {
|
|
// if *limit == 0 {
|
|
// return Ok(());
|
|
// } else {
|
|
// *limit -= 1;
|
|
// }
|
|
// match self.cancel_order(key, Side::Ask) {
|
|
// Ok(order) => {
|
|
// mango_account.remove_order(order.owner_slot as usize, order.quantity)?;
|
|
// canceled_order_ids.push(key);
|
|
// if order.version == perp_market.meta_data.version
|
|
// && order.version != 0
|
|
// && order.is_valid(now_ts)
|
|
// {
|
|
// mango_account.perp_accounts[market_index].apply_size_incentives(
|
|
// perp_market,
|
|
// order.best_initial,
|
|
// cuml_size,
|
|
// order.timestamp,
|
|
// now_ts,
|
|
// order.quantity,
|
|
// )?;
|
|
// }
|
|
// }
|
|
// Err(_) => {
|
|
// msg!("Failed to cancel ask oid: {}; Either error state or ask is on EventQueue unprocessed", key);
|
|
// }
|
|
// }
|
|
// }
|
|
|
|
// Ok(())
|
|
// }
|
|
// /// Cancel all the orders for MangoAccount for this PerpMarket up to `limit`
|
|
// /// Only used when PerpMarket version == 0
|
|
// pub fn cancel_all_with_price_incentives(
|
|
// &mut self,
|
|
// mango_account: &mut MangoAccount,
|
|
// perp_market: &mut PerpMarket,
|
|
// market_index: usize,
|
|
// mut limit: u8,
|
|
// ) -> Result<()> {
|
|
// let now_ts = Clock::get()?.unix_timestamp as u64;
|
|
|
|
// for i in 0..MAX_PERP_OPEN_ORDERS {
|
|
// if mango_account.order_market[i] != market_index as u8 {
|
|
// // means slot is free or belongs to different perp market
|
|
// continue;
|
|
// }
|
|
// let order_id = mango_account.orders[i];
|
|
// let order_side = mango_account.order_side[i];
|
|
|
|
// let best_final = match order_side {
|
|
// Side::Bid => self.get_best_bid_price(now_ts).unwrap(),
|
|
// Side::Ask => self.get_best_ask_price(now_ts).unwrap(),
|
|
// };
|
|
|
|
// match self.cancel_order(order_id, order_side) {
|
|
// Ok(order) => {
|
|
// // technically these should be the same. Can enable this check to be extra sure
|
|
// // check!(i == order.owner_slot as usize, MathError)?;
|
|
// mango_account.remove_order(order.owner_slot as usize, order.quantity)?;
|
|
// if order.version != perp_market.meta_data.version {
|
|
// continue;
|
|
// }
|
|
// mango_account.perp_accounts[market_index].apply_price_incentives(
|
|
// perp_market,
|
|
// order_side,
|
|
// order.price(),
|
|
// order.best_initial,
|
|
// best_final,
|
|
// order.timestamp,
|
|
// now_ts,
|
|
// order.quantity,
|
|
// )?;
|
|
// }
|
|
// Err(_) => {
|
|
// // If it's not on the book, then it has been matched and only Keeper can remove
|
|
// }
|
|
// };
|
|
|
|
// limit -= 1;
|
|
// if limit == 0 {
|
|
// break;
|
|
// }
|
|
// }
|
|
// Ok(())
|
|
// }
|
|
}
|
|
|
|
// fn determine_ref_vars<'a>(
|
|
// program_id: &Pubkey,
|
|
// mango_group: &MangoGroup,
|
|
// mango_group_pk: &Pubkey,
|
|
// mango_cache: &MangoCache,
|
|
// mango_account: &MangoAccount,
|
|
// referrer_mango_account_ai: Option<&'a AccountInfo>,
|
|
// now_ts: u64,
|
|
// ) -> Result<(I80F48, Option<RefMut<'a, MangoAccount>>)> {
|
|
// let mngo_index = match mango_group.find_token_index(&mngo_token::id()) {
|
|
// None => return Ok((I80F48::ZERO, None)),
|
|
// Some(i) => i,
|
|
// };
|
|
|
|
// let mngo_cache = &mango_cache.root_bank_cache[mngo_index];
|
|
|
|
// // If the user's MNGO deposit is non-zero then the rootbank cache will be checked already in `place_perp_order`.
|
|
// // If it's zero then cache may be out of date, but it doesn't matter because 0 * index = 0
|
|
// let mngo_deposits = mango_account.get_native_deposit(mngo_cache, mngo_index)?;
|
|
// let ref_mngo_req = I80F48::from_num(mango_group.ref_mngo_required);
|
|
// if mngo_deposits >= ref_mngo_req {
|
|
// return Ok((I80F48::ZERO, None));
|
|
// } else if let Some(referrer_mango_account_ai) = referrer_mango_account_ai {
|
|
// // If referrer_mango_account is invalid, just treat it as if it doesn't exist
|
|
// if let Ok(referrer_mango_account) =
|
|
// MangoAccount::load_mut_checked(referrer_mango_account_ai, program_id, mango_group_pk)
|
|
// {
|
|
// // Need to check if it's valid because user may not have mngo in active assets
|
|
// mngo_cache.check_valid(mango_group, now_ts)?;
|
|
// let ref_mngo_deposits =
|
|
// referrer_mango_account.get_native_deposit(mngo_cache, mngo_index)?;
|
|
|
|
// if !referrer_mango_account.is_bankrupt
|
|
// && !referrer_mango_account.being_liquidated
|
|
// && ref_mngo_deposits >= ref_mngo_req
|
|
// {
|
|
// return Ok((
|
|
// I80F48::from_num(mango_group.ref_share_centibps) / CENTIBPS_PER_UNIT,
|
|
// Some(referrer_mango_account),
|
|
// ));
|
|
// }
|
|
// }
|
|
// }
|
|
// Ok((
|
|
// I80F48::from_num(mango_group.ref_surcharge_centibps) / CENTIBPS_PER_UNIT,
|
|
// None,
|
|
// ))
|
|
// }
|
|
|
|
// /// 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,
|
|
// info: &PerpMarketInfo,
|
|
// mango_account: &mut MangoAccount,
|
|
// mango_account_pk: &Pubkey,
|
|
// market_index: usize,
|
|
// referrer_mango_account_opt: Option<RefMut<MangoAccount>>,
|
|
// referrer_mango_account_ai: Option<&AccountInfo>,
|
|
// total_quote_taken: i64,
|
|
// ref_fee_rate: I80F48,
|
|
// // perp_market_cache: &PerpMarketCache,
|
|
// ) {
|
|
// let taker_quote_native = I80F48::from_num(
|
|
// market
|
|
// .quote_lot_size
|
|
// .checked_mul(total_quote_taken)
|
|
// .unwrap(),
|
|
// );
|
|
|
|
// if ref_fee_rate > I80F48::ZERO {
|
|
// let ref_fees = taker_quote_native * ref_fee_rate;
|
|
|
|
// // if ref mango account is some, then we send some fees over
|
|
// if let Some(mut referrer_mango_account) = referrer_mango_account_opt {
|
|
// mango_account.perp_accounts[market_index].transfer_quote_position(
|
|
// &mut referrer_mango_account.perp_accounts[market_index],
|
|
// ref_fees,
|
|
// );
|
|
// // todo
|
|
// // emit_perp_balances(
|
|
// // referrer_mango_account.mango_group,
|
|
// // *referrer_mango_account_ai.unwrap().key,
|
|
// // market_index as u64,
|
|
// // &referrer_mango_account.perp_accounts[market_index],
|
|
// // perp_market_cache,
|
|
// // );
|
|
// // mango_emit_stack::<_, 200>(ReferralFeeAccrualLog {
|
|
// // mango_group: referrer_mango_account.mango_group,
|
|
// // referrer_mango_account: *referrer_mango_account_ai.unwrap().key,
|
|
// // referree_mango_account: *mango_account_pk,
|
|
// // market_index: market_index as u64,
|
|
// // referral_fee_accrual: ref_fees.to_bits(),
|
|
// // });
|
|
// } else {
|
|
// // else user didn't have valid amount of MNGO and no valid referrer
|
|
// mango_account.perp_accounts[market_index].quote_position -= ref_fees;
|
|
// market.fees_accrued += ref_fees;
|
|
// }
|
|
// }
|
|
|
|
// // 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.
|
|
// let maker_fees = taker_quote_native * info.maker_fee;
|
|
|
|
// let taker_fees = taker_quote_native * info.taker_fee;
|
|
// mango_account.perp_accounts[market_index].quote_position -= taker_fees;
|
|
// market.fees_accrued += taker_fees + maker_fees;
|
|
|
|
// // todo
|
|
// // emit_perp_balances(
|
|
// // mango_account.mango_group,
|
|
// // *mango_account_pk,
|
|
// // market_index as u64,
|
|
// // &mango_account.perp_accounts[market_index],
|
|
// // perp_market_cache,
|
|
// // )
|
|
// }
|