blockworks-foundation
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liquidator-v3
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Merge pull request #26 from blockworks-foundation/delist 

Add market delisting, upgrade mango-client
This commit is contained in:
riordanp 2022-07-08 18:07:38 +01:00 committed by GitHub
parent d42bd9135b 423c446f91
commit b63ed37ec4
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3 changed files with 848 additions and 323 deletions
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14
package.json
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@ -27,7 +27,7 @@
"mocha": "^9.1.3",
"prettier": "^2.0.5",
"typedoc": "^0.22.5",
"typescript": "^4.1.3"
"typescript": "^4.6.3"
},
"files": [
"lib"
@ -37,24 +37,24 @@
"trailingComma": "all"
},
"dependencies": {
"@blockworks-foundation/mango-client": "^3.4.6",
"@blockworks-foundation/mango-client": "^3.6.5",
"@project-serum/anchor": "^0.21.0",
"@project-serum/serum": "0.13.55",
"@project-serum/sol-wallet-adapter": "^0.2.0",
"@solana/spl-token": "^0.1.6",
"@solana/web3.js": "^1.31.0",
"@solana/web3.js": "^1.43.5",
"axios": "^0.21.1",
"big.js": "^6.1.1",
"bigint-buffer": "^1.1.5",
"bn.js": "^5.2.0",
"bn.js": "^5.1.0",
"buffer-layout": "^1.2.1",
"dotenv": "^10.0.0",
"dotenv-expand": "^5.1.0",
"ts-node": "^9.1.1"
"ts-node": "^10.7.0"
},
"resolutions": {
"bn.js": "5.1.3",
"bn.js": "5.2.0",
"@types/bn.js": "5.1.0",
"@solana/web3.js": "^1.31.0"
"@solana/web3.js": "^1.43.5"
}
}

445
src/liquidator.ts
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@ -21,8 +21,19 @@ import {
MangoClient,
sleep,
ZERO_I80F48,
MarketMode,
makeLiquidateDelistingTokenInstruction,
makeForceSettlePerpPositionInstruction,
TokenAccountLayout,
TokenAccount,
} from '@blockworks-foundation/mango-client';
import { Commitment, Connection, Keypair, PublicKey } from '@solana/web3.js';
import {
Commitment,
Connection,
Keypair,
PublicKey,
Transaction,
} from '@solana/web3.js';
import { Market, OpenOrders } from '@project-serum/serum';
import BN from 'bn.js';
import { Orderbook } from '@project-serum/serum/lib/market';
@ -31,6 +42,11 @@ import * as Env from 'dotenv';
import envExpand from 'dotenv-expand';
import { Client as RpcWebSocketClient } from 'rpc-websockets';
import { AsyncBlockingQueue } from './AsyncBlockingQueue';
import {
ASSOCIATED_TOKEN_PROGRAM_ID,
Token,
TOKEN_PROGRAM_ID,
} from '@solana/spl-token';
envExpand(Env.config());
@ -47,6 +63,9 @@ const rebalanceInterval = parseInt(process.env.INTERVAL_REBALANCE || '10000');
const checkTriggers = process.env.CHECK_TRIGGERS
? process.env.CHECK_TRIGGERS === 'true'
: true;
const checkDelisting = process.env.CHECK_DELISTING
? process.env.CHECK_DELISTING === 'true'
: false;
const liabLimit = I80F48.fromNumber(
Math.min(parseFloat(process.env.LIAB_LIMIT || '0.9'), 1),
);
@ -187,11 +206,425 @@ async function main() {
}
}
// never returns
async function checkMangoGroup() {
console.log('reloading group');
mangoGroup = await client.getMangoGroup(mangoGroupKey);
await mangoGroup.loadRootBanks(connection);
while (true) {
try {
for (let i = 0; i < mangoGroup.tokens.length; i++) {
const tokenInfo = mangoGroup.tokens[i];
if (tokenInfo.spotMarketMode == MarketMode.ForceCloseOnly) {
console.log('force closing spot market', i);
const market = await Market.load(
connection,
mangoGroup.spotMarkets[i].spotMarket,
undefined,
mangoGroup.dexProgramId,
);
const [dustAccountPk] = await PublicKey.findProgramAddress(
[
mangoGroup.publicKey.toBytes(),
Buffer.from('DustAccount', 'utf-8'),
],
groupIds.mangoProgramId,
);
// Get liqor ATA
const liqorLiabTokenAccountPk = await Token.getAssociatedTokenAddress(
ASSOCIATED_TOKEN_PROGRAM_ID,
TOKEN_PROGRAM_ID,
tokenInfo.mint,
liqorMangoAccount.owner,
);
let liqorLiabTokenAccountInfo = await connection.getAccountInfo(
liqorLiabTokenAccountPk,
);
if (!liqorLiabTokenAccountInfo) {
console.log('creating ata for liqor');
const createAccountTx = new Transaction().add(
Token.createAssociatedTokenAccountInstruction(
ASSOCIATED_TOKEN_PROGRAM_ID,
TOKEN_PROGRAM_ID,
tokenInfo.mint,
liqorLiabTokenAccountPk,
liqorMangoAccount.owner,
payer.publicKey,
),
);
await client.sendTransaction(createAccountTx, payer, []);
liqorLiabTokenAccountInfo = (await connection.getAccountInfo(
liqorLiabTokenAccountPk,
))!;
}
const liqorLiabTokenAccount = new TokenAccount(
liqorLiabTokenAccountPk,
TokenAccountLayout.decode(liqorLiabTokenAccountInfo.data),
);
for (let mangoAccount of mangoAccounts) {
try {
// can't liquidate dust account or the liqor itself
if (
mangoAccount.publicKey.equals(dustAccountPk) ||
mangoAccount.publicKey.equals(liqorMangoAccount.publicKey)
) {
continue;
}
if (
mangoAccount.inMarginBasket[i] ||
!mangoAccount.spotOpenOrders[i].equals(PublicKey.default) ||
!mangoAccount.getNet(cache.rootBankCache[i], i).eq(ZERO_I80F48)
) {
console.log(
'delisting for account',
mangoAccount.publicKey.toBase58(),
);
if (mangoAccount.beingLiquidated && perpMarkets[0]) {
console.log(
'resetBeingLiquidated',
mangoAccount.publicKey.toBase58(),
);
//reset beingLiquidated flag
await client.forceCancelAllPerpOrdersInMarket(
mangoGroup,
mangoAccount,
perpMarkets[0],
payer,
10,
);
}
// Cancel all open orders for this market
if (mangoAccount.inMarginBasket[i]) {
console.log(
'cancelAllSpotOrders',
mangoAccount.publicKey.toBase58(),
);
await client.cancelAllSpotOrders(
mangoGroup,
mangoAccount,
market,
payer,
20,
);
mangoAccount = await mangoAccount.reload(
connection,
mangoGroup.dexProgramId,
);
}
if (!mangoAccount.spotOpenOrders[i].equals(zeroKey)) {
console.log(
'closeSpotOpenOrders',
mangoAccount.publicKey.toBase58(),
);
await client.closeSpotOpenOrders(
mangoGroup,
mangoAccount,
payer,
i,
false,
);
await mangoAccount.reload(
connection,
mangoGroup.dexProgramId,
);
}
const liqeeNet = mangoAccount.getNet(cache.rootBankCache[i], i);
if (!liqeeNet.isZero()) {
const liabRootBank = rootBanks[i]!;
const liabNodeBank = rootBanks[i]!.nodeBankAccounts[0];
const liquidateTx = new Transaction();
const maxAmount = liqeeNet.gt(ZERO_I80F48)
? liqorMangoAccount
.getNativeDeposit(rootBanks[QUOTE_INDEX]!, QUOTE_INDEX)
.div(mangoGroup.getPriceNative(i, cache))
.toNumber()
: liqorLiabTokenAccount.amount;
// Find or create liqee ATA
const liqeeLiabTokenAccountPk =
await Token.getAssociatedTokenAddress(
ASSOCIATED_TOKEN_PROGRAM_ID,
TOKEN_PROGRAM_ID,
tokenInfo.mint,
mangoAccount.owner,
true,
);
const liqeeLiabTokenAccountInfo =
await connection.getAccountInfo(liqeeLiabTokenAccountPk);
if (!liqeeLiabTokenAccountInfo) {
console.log('creating ata for liqee');
liquidateTx.add(
Token.createAssociatedTokenAccountInstruction(
ASSOCIATED_TOKEN_PROGRAM_ID,
TOKEN_PROGRAM_ID,
tokenInfo.mint,
liqeeLiabTokenAccountPk,
mangoAccount.owner,
payer.publicKey,
),
);
}
const liquidateIx = makeLiquidateDelistingTokenInstruction(
groupIds.mangoProgramId,
mangoGroup.publicKey,
mangoGroup.mangoCache,
dustAccountPk,
mangoAccount.publicKey,
liqorMangoAccount.publicKey,
payer.publicKey,
rootBanks[QUOTE_INDEX]!.publicKey,
rootBanks[QUOTE_INDEX]!.nodeBanks[0],
liabRootBank.publicKey,
liabNodeBank.publicKey,
liabNodeBank.vault,
liqeeLiabTokenAccountPk,
liqorLiabTokenAccountPk,
mangoGroup.signerKey,
mangoAccount.spotOpenOrders.filter(
(_, i) => mangoAccount.inMarginBasket[i],
),
liqorMangoAccount.spotOpenOrders.filter(
(_, i) => liqorMangoAccount.inMarginBasket[i],
),
new BN(maxAmount),
);
liquidateTx.add(liquidateIx);
console.log(
'liquidateDelistingToken',
mangoAccount.publicKey.toBase58(),
);
await client.sendTransaction(liquidateTx, payer, []);
}
}
} catch (err) {
console.error(
'Error liquidating delisting token',
mangoAccount.publicKey.toBase58(),
err,
);
}
}
}
if (tokenInfo.spotMarketMode == MarketMode.SwappingSpotMarket) {
console.log('preparing spot market for swapping', i);
for (let mangoAccount of mangoAccounts) {
try {
if (mangoAccount.inMarginBasket[i]) {
const market = await Market.load(
connection,
mangoGroup.spotMarkets[i].spotMarket,
undefined,
mangoGroup.dexProgramId,
);
console.log(
'cancelAllSpotOrders',
mangoAccount.publicKey.toBase58(),
);
await client.cancelAllSpotOrders(
mangoGroup,
mangoAccount,
market,
payer,
20,
);
console.log('settleFunds', mangoAccount.publicKey.toBase58());
await client.settleFunds(
mangoGroup,
mangoAccount,
payer,
market,
);
await client.closeSpotOpenOrders(
mangoGroup,
mangoAccount,
payer,
i,
);
}
} catch (err) {
console.error(
'Error closing openorders',
mangoAccount.publicKey.toBase58(),
err,
);
}
}
}
if (tokenInfo.perpMarketMode == MarketMode.ForceCloseOnly) {
console.log('force closing perp market', i);
const perpMarket = perpMarkets.find((x) =>
x.publicKey.equals(mangoGroup.perpMarkets[i].perpMarket),
)!;
const mngoVault = new TokenAccount(
perpMarket.mngoVault,
await connection.getAccountInfo(perpMarket.mngoVault),
);
const rawPrice = cache.priceCache[i].price;
for (let mangoAccount of mangoAccounts) {
try {
const perpAccount = mangoAccount.perpAccounts[i];
// Cancel all open orders for this market
if (
perpAccount.bidsQuantity.gt(ZERO_BN) ||
perpAccount.asksQuantity.gt(ZERO_BN)
) {
console.log(
'cancelAllPerpOrders',
mangoAccount.publicKey.toBase58(),
);
try {
await client.cancelAllPerpOrders(
mangoGroup,
[perpMarket],
mangoAccount,
payer,
false,
);
} catch (err) {
console.log(
'Error cancelling perp orders',
mangoAccount.publicKey.toBase58(),
err,
);
}
}
// Redeem all MNGO
if (perpAccount.mngoAccrued.gt(ZERO_BN) && mngoVault.amount > 0) {
console.log('redeemMngo', mangoAccount.publicKey.toBase58());
const MNGO_INDEX = groupIds!.oracles.findIndex(
(t) => t.symbol === 'MNGO',
);
const mngoRootBank = rootBanks[MNGO_INDEX]!;
const mngoNodeBank = rootBanks[MNGO_INDEX]!.nodeBankAccounts[0];
await client.redeemMngo(
mangoGroup,
mangoAccount,
perpMarket,
payer,
mngoRootBank.publicKey,
mngoNodeBank.publicKey,
mngoNodeBank.vault,
);
}
// Find an account with opposite base position and force settle against it
let basePosition = mangoAccount.perpAccounts[i].basePosition;
const quotePosition = mangoAccount.perpAccounts[
i
].getQuotePosition(cache.perpMarketCache[i]);
if (basePosition.isZero() && quotePosition.isZero()) {
continue;
}
const sign = basePosition.gt(ZERO_BN) ? 1 : -1;
// get all accounts with an opposite base position
const oppositeSignAccounts = mangoAccounts.filter((x) =>
sign < 0
? x.perpAccounts[i].basePosition.gt(ZERO_BN)
: x.perpAccounts[i].basePosition.lt(ZERO_BN),
);
const settleTx = new Transaction();
for (const account of oppositeSignAccounts) {
if (account.publicKey.equals(mangoAccount.publicKey)) {
continue;
}
const otherBasePosition = account.perpAccounts[i].basePosition;
// TODO test limit of 10, will it exceed max length?
if (settleTx.instructions.length < 10) {
console.log(
'found account to settle against',
basePosition.toNumber(),
otherBasePosition.toNumber(),
);
settleTx.add(
makeForceSettlePerpPositionInstruction(
groupIds.mangoProgramId,
mangoGroup.publicKey,
mangoAccount.publicKey,
account.publicKey,
mangoGroup.mangoCache,
perpMarket.publicKey,
),
);
basePosition = basePosition.add(otherBasePosition);
const postSign = basePosition.gt(ZERO_BN) ? 1 : -1;
if (postSign !== sign) {
break;
}
}
}
if (settleTx.instructions.length > 0) {
console.log(
'force settling for',
mangoAccount.publicKey.toBase58(),
);
await client.sendTransaction(settleTx, payer, []);
} else {
console.log('no accounts found to settle against');
}
await client.settlePnl(
mangoGroup,
cache,
mangoAccount,
perpMarket,
rootBanks[QUOTE_INDEX]!,
rawPrice,
payer,
mangoAccounts,
);
} catch (err) {
console.error(
'Error force closing perps',
mangoAccount.publicKey,
err,
);
}
}
}
}
} catch (err) {
console.error('Error checking for delisting markets', err);
}
await sleep(60000);
}
}
// never returns
async function liquidatableFromSolanaRpc() {
await refreshAccounts(mangoGroup, mangoAccounts);
watchAccounts(groupIds.mangoProgramId, mangoGroup, mangoAccounts);
if (checkDelisting) {
checkMangoGroup();
}
// eslint-disable-next-line
while (true) {
try {
@ -549,6 +982,16 @@ async function processTriggerOrders(
const configMarketIndex = groupIds.perpMarkets.findIndex(
(pm) => pm.marketIndex === trigger.marketIndex,
);
// Remove advanced orders if the market is in force close
if (
mangoGroup.tokens[trigger.marketIndex].perpMarketMode ==
MarketMode.ForceCloseOnly
) {
console.log('removeAdvancedOrder', mangoAccount.publicKey.toBase58(), i);
return client.removeAdvancedOrder(mangoGroup, mangoAccount, payer, i);
}
if (
(trigger.triggerCondition == 'above' &&
currentPrice.gt(trigger.triggerPrice)) ||

712
yarn.lock
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