blockworks-foundation
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mango-v4
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mango-v4/programs/mango-v4/src/state/mango_account.rs

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use anchor_lang::prelude::*;
use anchor_spl::token::Mint;
use checked_math as cm;
use fixed::types::I80F48;
use static_assertions::const_assert_eq;
use std::cmp::Ordering;
use std::mem::size_of;
use crate::error::*;
use crate::state::*;
// todo: these are arbitrary
// ckamm: Either we put hard limits on everything, or we have a simple model for how much
// compute a token/serum/perp market needs, so users who don't use serum markets can have
// more perp markets open at the same time etc
// In particular if perp markets don't require the base token to be active on the account,
// we could probably support 1 token (quote currency) + 15 active perp markets at the same time
// It's a tradeoff between allowing users to trade on many markets with one account,
// MangoAccount size and health compute needs.
const MAX_TOKEN_POSITIONS: usize = 16;
const MAX_SERUM3_ACCOUNTS: usize = 8;
const MAX_PERP_ACCOUNTS: usize = 8;
pub const MAX_PERP_OPEN_ORDERS: usize = 8;
pub const FREE_ORDER_SLOT: PerpMarketIndex = PerpMarketIndex::MAX;
#[zero_copy]
#[derive(Debug)]
pub struct TokenPosition {
// TODO: Why did we have deposits and borrows as two different values
// if only one of them was allowed to be != 0 at a time?
// todo: maybe we want to split collateral and lending?
// todo: see https://github.com/blockworks-foundation/mango-v4/issues/1
// todo: how does ftx do this?
/// The deposit_index (if positive) or borrow_index (if negative) scaled position
pub indexed_position: I80F48,
/// index into Group.tokens
pub token_index: TokenIndex,
/// incremented when a market requires this position to stay alive
pub in_use_count: u8,
pub reserved: [u8; 5],
}
const_assert_eq!(size_of::<TokenPosition>(), 24);
const_assert_eq!(size_of::<TokenPosition>() % 8, 0);
impl TokenPosition {
pub fn is_active(&self) -> bool {
self.token_index != TokenIndex::MAX
}
pub fn is_active_for_token(&self, token_index: TokenIndex) -> bool {
self.token_index == token_index
}
pub fn native(&self, bank: &Bank) -> I80F48 {
if self.indexed_position.is_positive() {
self.indexed_position * bank.deposit_index
} else {
self.indexed_position * bank.borrow_index
}
}
pub fn ui(&self, bank: &Bank, mint: &Mint) -> I80F48 {
if self.indexed_position.is_positive() {
(self.indexed_position * bank.deposit_index)
/ I80F48::from_num(10u64.pow(mint.decimals as u32))
} else {
(self.indexed_position * bank.borrow_index)
/ I80F48::from_num(10u64.pow(mint.decimals as u32))
}
}
pub fn is_in_use(&self) -> bool {
self.in_use_count > 0
}
}
#[zero_copy]
pub struct MangoAccountTokenPositions {
pub values: [TokenPosition; MAX_TOKEN_POSITIONS],
}
const_assert_eq!(
size_of::<MangoAccountTokenPositions>(),
MAX_TOKEN_POSITIONS * size_of::<TokenPosition>()
);
const_assert_eq!(size_of::<MangoAccountTokenPositions>() % 8, 0);
impl std::fmt::Debug for MangoAccountTokenPositions {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
f.debug_struct("MangoAccountTokens")
.field(
"values",
&self
.values
.iter()
.filter(|value| value.is_active())
.collect::<Vec<&TokenPosition>>(),
)
.finish()
}
}
impl Default for MangoAccountTokenPositions {
fn default() -> Self {
Self::new()
}
}
impl MangoAccountTokenPositions {
pub fn new() -> Self {
Self {
values: [TokenPosition {
indexed_position: I80F48::ZERO,
token_index: TokenIndex::MAX,
in_use_count: 0,
reserved: Default::default(),
}; MAX_TOKEN_POSITIONS],
}
}
pub fn get(&self, token_index: TokenIndex) -> Result<&TokenPosition> {
self.values
.iter()
.find(|p| p.is_active_for_token(token_index))
.ok_or_else(|| error!(MangoError::SomeError)) // TODO: not found error
}
pub fn get_mut(&mut self, token_index: TokenIndex) -> Result<&mut TokenPosition> {
self.values
.iter_mut()
.find(|p| p.is_active_for_token(token_index))
.ok_or_else(|| error!(MangoError::SomeError)) // TODO: not found error
}
pub fn get_mut_raw(&mut self, raw_token_index: usize) -> &mut TokenPosition {
&mut self.values[raw_token_index]
}
pub fn get_raw(&self, raw_token_index: usize) -> &TokenPosition {
&self.values[raw_token_index]
}
/// Creates or retrieves a TokenPosition for the token_index.
/// Returns:
/// - the position
/// - the raw index into the token positions list (for use with get_raw)
/// - the active index, for use with FixedOrderAccountRetriever
pub fn get_mut_or_create(
&mut self,
token_index: TokenIndex,
) -> Result<(&mut TokenPosition, usize, usize)> {
let mut active_index = 0;
let mut match_or_free = None;
for (raw_index, position) in self.values.iter().enumerate() {
if position.is_active_for_token(token_index) {
// Can't return early because of lifetimes
match_or_free = Some((raw_index, active_index));
break;
}
if position.is_active() {
active_index += 1;
} else if match_or_free.is_none() {
match_or_free = Some((raw_index, active_index));
}
}
if let Some((raw_index, bank_index)) = match_or_free {
let v = &mut self.values[raw_index];
if !v.is_active_for_token(token_index) {
*v = TokenPosition {
indexed_position: I80F48::ZERO,
token_index,
in_use_count: 0,
reserved: Default::default(),
};
}
Ok((v, raw_index, bank_index))
} else {
err!(MangoError::SomeError) // TODO: No free space
}
}
pub fn deactivate(&mut self, index: usize) {
assert!(self.values[index].in_use_count == 0);
self.values[index].token_index = TokenIndex::MAX;
}
pub fn iter_active(&self) -> impl Iterator<Item = &TokenPosition> {
self.values.iter().filter(|p| p.is_active())
}
pub fn find(&self, token_index: TokenIndex) -> Option<&TokenPosition> {
self.values
.iter()
.find(|p| p.is_active_for_token(token_index))
}
}
#[zero_copy]
#[derive(Debug)]
pub struct Serum3Orders {
pub open_orders: Pubkey,
// tracks reserved funds in open orders account,
// used for bookkeeping of potentital loans which
// can be charged with loan origination fees
// e.g. serum3 settle funds ix
pub previous_native_coin_reserved: u64,
pub previous_native_pc_reserved: u64,
pub market_index: Serum3MarketIndex,
/// Store the base/quote token index, so health computations don't need
/// to get passed the static SerumMarket to find which tokens a market
/// uses and look up the correct oracles.
pub base_token_index: TokenIndex,
pub quote_token_index: TokenIndex,
pub reserved: [u8; 2],
}
const_assert_eq!(size_of::<Serum3Orders>(), 32 + 8 * 2 + 2 * 3 + 2);
const_assert_eq!(size_of::<Serum3Orders>() % 8, 0);
impl Serum3Orders {
pub fn is_active(&self) -> bool {
self.market_index != Serum3MarketIndex::MAX
}
pub fn is_active_for_market(&self, market_index: Serum3MarketIndex) -> bool {
self.market_index == market_index
}
}
impl Default for Serum3Orders {
fn default() -> Self {
Self {
open_orders: Pubkey::default(),
market_index: Serum3MarketIndex::MAX,
base_token_index: TokenIndex::MAX,
quote_token_index: TokenIndex::MAX,
reserved: Default::default(),
previous_native_coin_reserved: 0,
previous_native_pc_reserved: 0,
}
}
}
#[zero_copy]
pub struct MangoAccountSerum3Orders {
pub values: [Serum3Orders; MAX_SERUM3_ACCOUNTS],
}
const_assert_eq!(
size_of::<MangoAccountSerum3Orders>(),
MAX_SERUM3_ACCOUNTS * size_of::<Serum3Orders>()
);
const_assert_eq!(size_of::<MangoAccountSerum3Orders>() % 8, 0);
impl std::fmt::Debug for MangoAccountSerum3Orders {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
f.debug_struct("MangoAccountSerum3")
.field(
"values",
&self
.values
.iter()
.filter(|value| value.is_active())
.collect::<Vec<&Serum3Orders>>(),
)
.finish()
}
}
impl Default for MangoAccountSerum3Orders {
fn default() -> Self {
Self::new()
}
}
impl MangoAccountSerum3Orders {
pub fn new() -> Self {
Self {
values: [Serum3Orders::default(); MAX_SERUM3_ACCOUNTS],
}
}
pub fn create(&mut self, market_index: Serum3MarketIndex) -> Result<&mut Serum3Orders> {
if self.find(market_index).is_some() {
return err!(MangoError::SomeError); // exists already
}
if let Some(v) = self.values.iter_mut().find(|p| !p.is_active()) {
*v = Serum3Orders {
market_index: market_index as Serum3MarketIndex,
..Serum3Orders::default()
};
Ok(v)
} else {
err!(MangoError::SomeError) // no space
}
}
pub fn deactivate(&mut self, market_index: Serum3MarketIndex) -> Result<()> {
let index = self
.values
.iter()
.position(|p| p.is_active_for_market(market_index))
.ok_or(MangoError::SomeError)?;
self.values[index].market_index = Serum3MarketIndex::MAX;
Ok(())
}
pub fn iter_active(&self) -> impl Iterator<Item = &Serum3Orders> {
self.values.iter().filter(|p| p.is_active())
}
pub fn find(&self, market_index: Serum3MarketIndex) -> Option<&Serum3Orders> {
self.values
.iter()
.find(|p| p.is_active_for_market(market_index))
}
pub fn find_mut(&mut self, market_index: Serum3MarketIndex) -> Option<&mut Serum3Orders> {
self.values
.iter_mut()
.find(|p| p.is_active_for_market(market_index))
}
}
#[zero_copy]
pub struct PerpPositions {
pub market_index: PerpMarketIndex,
pub reserved: [u8; 6],
/// Active position size, measured in base lots
pub base_position_lots: i64,
/// Active position in quote (conversation rate is that of the time the order was settled)
/// measured in native quote
pub quote_position_native: I80F48,
/// Already settled funding
pub long_settled_funding: I80F48,
pub short_settled_funding: I80F48,
/// Base lots in bids
pub bids_base_lots: i64,
/// Base lots in asks
pub asks_base_lots: i64,
/// Liquidity mining rewards
// pub mngo_accrued: u64,
/// Amount that's on EventQueue waiting to be processed
pub taker_base_lots: i64,
pub taker_quote_lots: i64,
}
impl std::fmt::Debug for PerpPositions {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
f.debug_struct("PerpAccount")
.field("market_index", &self.market_index)
.field("base_position_lots", &self.base_position_lots)
.field("quote_position_native", &self.quote_position_native)
.field("bids_base_lots", &self.bids_base_lots)
.field("asks_base_lots", &self.asks_base_lots)
.field("taker_base_lots", &self.taker_base_lots)
.field("taker_quote_lots", &self.taker_quote_lots)
.finish()
}
}
const_assert_eq!(size_of::<PerpPositions>(), 8 + 8 * 5 + 3 * 16);
const_assert_eq!(size_of::<PerpPositions>() % 8, 0);
impl Default for PerpPositions {
fn default() -> Self {
Self {
market_index: PerpMarketIndex::MAX,
base_position_lots: 0,
quote_position_native: I80F48::ZERO,
bids_base_lots: 0,
asks_base_lots: 0,
taker_base_lots: 0,
taker_quote_lots: 0,
reserved: Default::default(),
long_settled_funding: I80F48::ZERO,
short_settled_funding: I80F48::ZERO,
}
}
}
impl PerpPositions {
/// Add taker trade after it has been matched but before it has been process on EventQueue
pub fn add_taker_trade(&mut self, side: Side, base_lots: i64, quote_lots: i64) {
match side {
Side::Bid => {
self.taker_base_lots = cm!(self.taker_base_lots + base_lots);
self.taker_quote_lots = cm!(self.taker_quote_lots - quote_lots);
}
Side::Ask => {
self.taker_base_lots = cm!(self.taker_base_lots - base_lots);
self.taker_quote_lots = cm!(self.taker_quote_lots + quote_lots);
}
}
}
/// Remove taker trade after it has been processed on EventQueue
pub fn remove_taker_trade(&mut self, base_change: i64, quote_change: i64) {
self.taker_base_lots = cm!(self.taker_base_lots - base_change);
self.taker_quote_lots = cm!(self.taker_quote_lots - quote_change);
}
pub fn is_active(&self) -> bool {
self.market_index != PerpMarketIndex::MAX
}
pub fn is_active_for_market(&self, market_index: PerpMarketIndex) -> bool {
self.market_index == market_index
}
/// This assumes settle_funding was already called
pub fn change_base_position(&mut self, perp_market: &mut PerpMarket, base_change: i64) {
let start = self.base_position_lots;
self.base_position_lots += base_change;
perp_market.open_interest += self.base_position_lots.abs() - start.abs();
}
/// Move unrealized funding payments into the quote_position
pub fn settle_funding(&mut self, perp_market: &PerpMarket) {
match self.base_position_lots.cmp(&0) {
Ordering::Greater => {
self.quote_position_native -= (perp_market.long_funding
- self.long_settled_funding)
* I80F48::from_num(self.base_position_lots);
}
Ordering::Less => {
self.quote_position_native -= (perp_market.short_funding
- self.short_settled_funding)
* I80F48::from_num(self.base_position_lots);
}
Ordering::Equal => (),
}
self.long_settled_funding = perp_market.long_funding;
self.short_settled_funding = perp_market.short_funding;
}
}
#[zero_copy]
pub struct MangoAccountPerpPositions {
pub accounts: [PerpPositions; MAX_PERP_ACCOUNTS],
// TODO: possibly it's more convenient to store a single list of PerpOpenOrder structs?
pub order_market: [PerpMarketIndex; MAX_PERP_OPEN_ORDERS],
pub order_side: [Side; MAX_PERP_OPEN_ORDERS], // TODO: storing enums isn't POD
pub order_id: [i128; MAX_PERP_OPEN_ORDERS],
pub client_order_id: [u64; MAX_PERP_OPEN_ORDERS],
}
const_assert_eq!(
size_of::<MangoAccountPerpPositions>(),
MAX_PERP_ACCOUNTS * size_of::<PerpPositions>() + MAX_PERP_OPEN_ORDERS * (2 + 1 + 16 + 8)
);
const_assert_eq!(size_of::<MangoAccountPerpPositions>() % 8, 0);
impl std::fmt::Debug for MangoAccountPerpPositions {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
f.debug_struct("MangoAccountPerps")
.field(
"accounts",
&self
.accounts
.iter()
.filter(|value| value.is_active())
.collect::<Vec<&PerpPositions>>(),
)
.field(
"order_market",
&self
.order_market
.iter()
.filter(|value| **value != PerpMarketIndex::MAX)
.collect::<Vec<&PerpMarketIndex>>(),
)
.field(
"order_side",
&self
.order_side
.iter()
.zip(self.order_id)
.filter(|value| value.1 != 0)
.map(|value| value.0)
.collect::<Vec<&Side>>(),
)
.field(
"order_id",
&self
.order_id
.iter()
.filter(|value| **value != 0)
.collect::<Vec<&i128>>(),
)
.field(
"client_order_id",
&self
.client_order_id
.iter()
.filter(|value| **value != 0)
.collect::<Vec<&u64>>(),
)
.finish()
}
}
impl MangoAccountPerpPositions {
pub fn new() -> Self {
Self {
accounts: [PerpPositions::default(); MAX_PERP_ACCOUNTS],
order_market: [FREE_ORDER_SLOT; MAX_PERP_OPEN_ORDERS],
order_side: [Side::Bid; MAX_PERP_OPEN_ORDERS],
order_id: [0; MAX_PERP_OPEN_ORDERS],
client_order_id: [0; MAX_PERP_OPEN_ORDERS],
}
}
pub fn get_account_mut_or_create(
&mut self,
perp_market_index: PerpMarketIndex,
) -> Result<(&mut PerpPositions, usize)> {
let mut pos = self
.accounts
.iter()
.position(|p| p.is_active_for_market(perp_market_index));
if pos.is_none() {
pos = self.accounts.iter().position(|p| !p.is_active());
if let Some(i) = pos {
self.accounts[i] = PerpPositions {
market_index: perp_market_index,
..Default::default()
};
}
}
if let Some(i) = pos {
Ok((&mut self.accounts[i], i))
} else {
err!(MangoError::SomeError) // TODO: No free space
}
}
pub fn deactivate_account(&mut self, index: usize) {
self.accounts[index].market_index = PerpMarketIndex::MAX;
}
pub fn iter_active_accounts(&self) -> impl Iterator<Item = &PerpPositions> {
self.accounts.iter().filter(|p| p.is_active())
}
pub fn find_account(&self, market_index: PerpMarketIndex) -> Option<&PerpPositions> {
self.accounts
.iter()
.find(|p| p.is_active_for_market(market_index))
}
pub fn next_order_slot(&self) -> Option<usize> {
self.order_market.iter().position(|&i| i == FREE_ORDER_SLOT)
}
pub fn add_order(
&mut self,
perp_market_index: PerpMarketIndex,
side: Side,
order: &LeafNode,
) -> Result<()> {
let mut perp_account = self.get_account_mut_or_create(perp_market_index).unwrap().0;
match side {
Side::Bid => {
perp_account.bids_base_lots = cm!(perp_account.bids_base_lots + order.quantity);
}
Side::Ask => {
perp_account.asks_base_lots = cm!(perp_account.asks_base_lots + order.quantity);
}
};
let slot = order.owner_slot as usize;
self.order_market[slot] = perp_market_index;
self.order_side[slot] = side;
self.order_id[slot] = order.key;
self.client_order_id[slot] = order.client_order_id;
Ok(())
}
pub fn remove_order(&mut self, slot: usize, quantity: i64) -> Result<()> {
require!(
self.order_market[slot] != FREE_ORDER_SLOT,
MangoError::SomeError
);
let order_side = self.order_side[slot];
let perp_market_index = self.order_market[slot];
let perp_account = self.get_account_mut_or_create(perp_market_index).unwrap().0;
// accounting
match order_side {
Side::Bid => {
perp_account.bids_base_lots = cm!(perp_account.bids_base_lots - quantity);
}
Side::Ask => {
perp_account.asks_base_lots = cm!(perp_account.asks_base_lots - quantity);
}
}
// release space
self.order_market[slot] = FREE_ORDER_SLOT;
self.order_side[slot] = Side::Bid;
self.order_id[slot] = 0i128;
self.client_order_id[slot] = 0u64;
Ok(())
}
pub fn execute_maker(
&mut self,
perp_market_index: PerpMarketIndex,
perp_market: &mut PerpMarket,
fill: &FillEvent,
) -> Result<()> {
let pa = self.get_account_mut_or_create(perp_market_index).unwrap().0;
pa.settle_funding(perp_market);
let side = fill.taker_side.invert_side();
let (base_change, quote_change) = fill.base_quote_change(side);
pa.change_base_position(perp_market, base_change);
let quote = I80F48::from_num(
perp_market
.quote_lot_size
.checked_mul(quote_change)
.unwrap(),
);
let fees = quote.abs() * fill.maker_fee;
if !fill.market_fees_applied {
perp_market.fees_accrued += fees;
}
pa.quote_position_native = pa.quote_position_native.checked_add(quote - fees).unwrap();
if fill.maker_out {
self.remove_order(fill.maker_slot as usize, base_change.abs())
} else {
match side {
Side::Bid => {
pa.bids_base_lots = cm!(pa.bids_base_lots - base_change.abs());
}
Side::Ask => {
pa.asks_base_lots = cm!(pa.asks_base_lots - base_change.abs());
}
}
Ok(())
}
}
pub fn execute_taker(
&mut self,
perp_market_index: PerpMarketIndex,
perp_market: &mut PerpMarket,
fill: &FillEvent,
) -> Result<()> {
let pa = self.get_account_mut_or_create(perp_market_index).unwrap().0;
pa.settle_funding(perp_market);
let (base_change, quote_change) = fill.base_quote_change(fill.taker_side);
pa.remove_taker_trade(base_change, quote_change);
pa.change_base_position(perp_market, base_change);
let quote = I80F48::from_num(perp_market.quote_lot_size * quote_change);
// fees are assessed at time of trade; no need to assess fees here
pa.quote_position_native += quote;
Ok(())
}
pub fn find_order_with_client_order_id(
&self,
market_index: PerpMarketIndex,
client_order_id: u64,
) -> Option<(i128, Side)> {
for i in 0..MAX_PERP_OPEN_ORDERS {
if self.order_market[i] == market_index && self.client_order_id[i] == client_order_id {
return Some((self.order_id[i], self.order_side[i]));
}
}
None
}
pub fn find_order_side(&self, market_index: PerpMarketIndex, order_id: i128) -> Option<Side> {
for i in 0..MAX_PERP_OPEN_ORDERS {
if self.order_market[i] == market_index && self.order_id[i] == order_id {
return Some(self.order_side[i]);
}
}
None
}
}
impl Default for MangoAccountPerpPositions {
fn default() -> Self {
Self::new()
}
}
#[account(zero_copy)]
pub struct MangoAccount {
pub name: [u8; 32],
pub group: Pubkey,
pub owner: Pubkey,
// Alternative authority/signer of transactions for a mango account
pub delegate: Pubkey,
// Maps token_index -> deposit/borrow account for each token
// that is active on this MangoAccount.
pub tokens: MangoAccountTokenPositions,
// Maps serum_market_index -> open orders for each serum market
// that is active on this MangoAccount.
pub serum3: MangoAccountSerum3Orders,
pub perps: MangoAccountPerpPositions,
/// This account cannot open new positions or borrow until `init_health >= 0`
pub being_liquidated: u8,
/// This account cannot do anything except go through `resolve_bankruptcy`
pub is_bankrupt: u8,
pub account_num: u8,
pub bump: u8,
// pub info: [u8; INFO_LEN], // TODO: Info could be in a separate PDA?
pub reserved: [u8; 4],
}
const_assert_eq!(
size_of::<MangoAccount>(),
32 + 3 * 32
+ size_of::<MangoAccountTokenPositions>()
+ size_of::<MangoAccountSerum3Orders>()
+ size_of::<MangoAccountPerpPositions>()
+ 4
+ 4
);
const_assert_eq!(size_of::<MangoAccount>() % 8, 0);
impl std::fmt::Debug for MangoAccount {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
f.debug_struct("MangoAccount")
.field("name", &self.name())
.field("group", &self.group)
.field("owner", &self.owner)
.field("delegate", &self.delegate)
.field("tokens", &self.tokens)
.field("serum3", &self.serum3)
.field("perps", &self.perps)
.field("being_liquidated", &self.being_liquidated)
.field("is_bankrupt", &self.is_bankrupt)
.field("account_num", &self.account_num)
.field("bump", &self.bump)
.field("reserved", &self.reserved)
.finish()
}
}
impl MangoAccount {
pub fn name(&self) -> &str {
std::str::from_utf8(&self.name)
.unwrap()
.trim_matches(char::from(0))
}
}
impl Default for MangoAccount {
fn default() -> Self {
Self {
name: Default::default(),
group: Pubkey::default(),
owner: Pubkey::default(),
delegate: Pubkey::default(),
tokens: MangoAccountTokenPositions::new(),
serum3: MangoAccountSerum3Orders::new(),
perps: MangoAccountPerpPositions::new(),
being_liquidated: 0,
is_bankrupt: 0,
account_num: 0,
bump: 0,
reserved: Default::default(),
}
}
}
#[macro_export]
macro_rules! account_seeds {
( $account:expr ) => {
&[
$account.group.as_ref(),
b"account".as_ref(),
$account.owner.as_ref(),
&$account.account_num.to_le_bytes(),
&[$account.bump],
]
};
}
pub use account_seeds;
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