blockworks-foundation
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liquidator
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fixed liquidator bugs; added min buy and sell sizes, changed mango client to point to the repo for now

This commit is contained in:
dd 2021-03-14 13:45:58 -04:00
parent fab725ec0f
commit 03b65ff48c
3 changed files with 20 additions and 12 deletions
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2
package.json
View File

@ -31,7 +31,7 @@
"typescript": "^4.0.5"
},
"dependencies": {
"@blockworks-foundation/mango-client": "^0.1.4",
"@blockworks-foundation/mango-client": "git+https://github.com/blockworks-foundation/mango-client-ts.git",
"@project-serum/serum": "^0.13.20",
"@solana/spl-token": "0.0.13",
"@solana/web3.js": "^0.90.0",

23
src/liquidate.ts
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@ -8,7 +8,7 @@ import {
nativeToUi,
NUM_MARKETS,
NUM_TOKENS,
parseTokenAccountData,
parseTokenAccountData, tokenToDecimals,
} from '@blockworks-foundation/mango-client';
import { Account, Connection, PublicKey, TransactionSignature } from '@solana/web3.js';
import fs from 'fs';
@ -42,7 +42,7 @@ async function drainAccount(
await Promise.all(cancelProms)
console.log('all orders cancelled')
console.log()
ma = await client.getMarginAccount(connection, ma.publicKey, mangoGroup.dexProgramId)
await client.settleAll(connection, programId, mangoGroup, ma, markets, payer)
console.log('settleAll complete')
await sleep(2000)
@ -57,26 +57,34 @@ async function drainAccount(
for (let i = 0; i < NUM_TOKENS - 1; i++) {
netValues.push([i, (assets[i] - liabs[i]) * prices[i]])
}
// Sort by those with largest net deposits and sell those first before trying to buy back the borrowed
netValues.sort((a, b) => (b[1] - a[1]))
for (let i = 0; i < NUM_TOKENS - 1; i++) {
const marketIndex = netValues[i][0]
const market = markets[marketIndex]
const tokenDecimals = tokenToDecimals[marketIndex === 0 ? 'BTC' : 'ETH']
const tokenDecimalAdj = Math.pow(10, tokenDecimals)
if (netValues[i][1] > 0) { // sell to close
const price = prices[marketIndex] * 0.95
const size = assets[marketIndex]
const size = Math.floor(assets[marketIndex] * tokenDecimalAdj) / tokenDecimalAdj // round down the size
if (size === 0) {
continue
}
console.log(`Sell to close ${marketIndex} ${size}`)
await client.placeOrder(connection, programId, mangoGroup, ma, market, payer, 'sell', price, size, 'limit')
} else if (netValues[i][1] < 0) { // buy to close
const price = prices[marketIndex] * 1.05 // buy at up to 5% higher than oracle price
const size = liabs[marketIndex]
console.log(mangoGroup.getUiTotalDeposit(NUM_MARKETS), mangoGroup.getUiTotalBorrow(NUM_MARKETS))
console.log(ma.getUiDeposit(mangoGroup, NUM_MARKETS), ma.getUiBorrow(mangoGroup, NUM_MARKETS))
const size = Math.ceil(liabs[marketIndex] * tokenDecimalAdj) / tokenDecimalAdj
console.log(`Buy to close ${marketIndex} ${size}`)
await client.placeOrder(connection, programId, mangoGroup, ma, market, payer, 'buy', price, size, 'limit')
}
}
await sleep(3000)
ma = await client.getMarginAccount(connection, ma.publicKey, mangoGroup.dexProgramId)
@ -86,8 +94,8 @@ async function drainAccount(
console.log('Liquidation process complete\n', ma.toPrettyString(mangoGroup, prices))
console.log('Withdrawing USD')
await client.withdraw(connection, programId, mangoGroup, ma, payer, mangoGroup.tokens[NUM_TOKENS-1], usdWallet, ma.getUiDeposit(mangoGroup, NUM_TOKENS-1) * 0.999)
await client.withdraw(connection, programId, mangoGroup, ma, payer, mangoGroup.tokens[NUM_TOKENS-1], usdWallet, ma.getUiDeposit(mangoGroup, NUM_TOKENS-1) * 0.999)
console.log('Successfully drained account', ma.publicKey.toString())
}
@ -175,6 +183,7 @@ async function runLiquidator() {
} else {
await sleep(1000)
prices = await mangoGroup.getPrices(connection)
ma = await client.getMarginAccount(connection, ma.publicKey, dexProgramId)
}
}
}

7
yarn.lock
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@ -314,10 +314,9 @@
resolved "https://registry.yarnpkg.com/@bcoe/v8-coverage/-/v8-coverage-0.2.3.tgz#75a2e8b51cb758a7553d6804a5932d7aace75c39"
integrity sha512-0hYQ8SB4Db5zvZB4axdMHGwEaQjkZzFjQiN9LVYvIFB2nSUHW9tYpxWriPrWDASIxiaXax83REcLxuSdnGPZtw==
"@blockworks-foundation/mango-client@^0.1.4":
version "0.1.4"
resolved "https://registry.yarnpkg.com/@blockworks-foundation/mango-client/-/mango-client-0.1.4.tgz#76e2905696249626a79f67e4c6b81dc3513dc03e"
integrity sha512-vpXNWVQtJheezyWNqUXTSUwtcXnSlW4iPhbMJxWHl0Njz9bZFKEtEItWEiaNpxxA8FUDEwL5wKPiIioMvorg1w==
"@blockworks-foundation/mango-client@git+https://github.com/blockworks-foundation/mango-client-ts.git":
version "0.1.5"
resolved "git+https://github.com/blockworks-foundation/mango-client-ts.git#240f5a05b5ca45a896b7cb4dd29cb104470e2b5f"
dependencies:
"@project-serum/serum" "^0.13.20"
"@project-serum/sol-wallet-adapter" "^0.1.4"