Finished partial liquidator
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parent
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253
src/partial.ts
253
src/partial.ts
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@ -2,17 +2,210 @@ import {
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findLargestTokenAccountForOwner,
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getMultipleAccounts,
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IDS,
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MangoClient, nativeToUi, NUM_MARKETS, NUM_TOKENS, parseTokenAccount, parseTokenAccountData, uiToNative,
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MangoClient,
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MangoGroup,
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MarginAccount,
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nativeToUi,
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NUM_MARKETS,
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NUM_TOKENS,
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parseTokenAccount,
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parseTokenAccountData, tokenToDecimals,
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uiToNative,
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} from '@blockworks-foundation/mango-client';
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import { Account, Connection, PublicKey, Transaction } from '@solana/web3.js';
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import { Account, Connection, PublicKey, Transaction, TransactionSignature } from '@solana/web3.js';
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import { homedir } from 'os';
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import fs from 'fs';
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import { notify, sleep } from './utils';
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import { Market } from '@project-serum/serum';
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import { Market, OpenOrders } from '@project-serum/serum';
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import {
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makeForceCancelOrdersInstruction,
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makePartialLiquidateInstruction,
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} from '@blockworks-foundation/mango-client/lib/instruction';
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import BN = require('bn.js');
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async function drainAccount(
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client: MangoClient,
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connection: Connection,
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programId: PublicKey,
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mangoGroup: MangoGroup,
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ma: MarginAccount,
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markets: Market[],
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payer: Account,
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prices: number[],
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usdWallet: PublicKey
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) {
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// Cancel all open orders
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const bidsPromises = markets.map((market) => market.loadBids(connection))
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const asksPromises = markets.map((market) => market.loadAsks(connection))
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const books = await Promise.all(bidsPromises.concat(asksPromises))
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const bids = books.slice(0, books.length / 2)
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const asks = books.slice(books.length / 2, books.length)
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const cancelProms: Promise<TransactionSignature[]>[] = []
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for (let i = 0; i < NUM_MARKETS; i++) {
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cancelProms.push(ma.cancelAllOrdersByMarket(connection, client, programId, mangoGroup, markets[i], bids[i], asks[i], payer))
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}
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await Promise.all(cancelProms)
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console.log('all orders cancelled')
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ma = await client.getMarginAccount(connection, ma.publicKey, mangoGroup.dexProgramId)
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await client.settleAll(connection, programId, mangoGroup, ma, markets, payer)
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console.log('settleAll complete')
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await sleep(2000)
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ma = await client.getMarginAccount(connection, ma.publicKey, mangoGroup.dexProgramId)
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// sort non-quote currency assets by value
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const assets = ma.getAssets(mangoGroup)
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const liabs = ma.getLiabs(mangoGroup)
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const netValues: [number, number][] = []
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for (let i = 0; i < NUM_TOKENS - 1; i++) {
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netValues.push([i, (assets[i] - liabs[i]) * prices[i]])
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}
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// Sort by those with largest net deposits and sell those first before trying to buy back the borrowed
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netValues.sort((a, b) => (b[1] - a[1]))
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for (let i = 0; i < NUM_TOKENS - 1; i++) {
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const marketIndex = netValues[i][0]
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const market = markets[marketIndex]
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const tokenDecimals = tokenToDecimals[marketIndex === 0 ? 'BTC' : 'ETH']
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const tokenDecimalAdj = Math.pow(10, tokenDecimals)
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if (netValues[i][1] > 0) { // sell to close
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const price = prices[marketIndex] * 0.95
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const size = Math.floor(assets[marketIndex] * tokenDecimalAdj) / tokenDecimalAdj // round down the size
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if (size === 0) {
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continue
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}
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console.log(`Sell to close ${marketIndex} ${size}`)
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await client.placeOrder(connection, programId, mangoGroup, ma, market, payer, 'sell', price, size, 'limit')
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} else if (netValues[i][1] < 0) { // buy to close
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const price = prices[marketIndex] * 1.05 // buy at up to 5% higher than oracle price
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const size = Math.ceil(liabs[marketIndex] * tokenDecimalAdj) / tokenDecimalAdj
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console.log(`Buy to close ${marketIndex} ${size}`)
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await client.placeOrder(connection, programId, mangoGroup, ma, market, payer, 'buy', price, size, 'limit')
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}
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}
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await sleep(3000)
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ma = await client.getMarginAccount(connection, ma.publicKey, mangoGroup.dexProgramId)
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await client.settleAll(connection, programId, mangoGroup, ma, markets, payer)
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console.log('settleAll complete')
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ma = await client.getMarginAccount(connection, ma.publicKey, mangoGroup.dexProgramId)
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console.log('Liquidation process complete\n', ma.toPrettyString(mangoGroup, prices))
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console.log('Withdrawing USD')
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await client.withdraw(connection, programId, mangoGroup, ma, payer, mangoGroup.tokens[NUM_TOKENS-1], usdWallet, ma.getUiDeposit(mangoGroup, NUM_TOKENS-1) * 0.999)
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console.log('Successfully drained account', ma.publicKey.toString())
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}
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/*
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After a liquidation, the amounts in each wallet become unbalanced
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Make sure to sell or buy quantities different from the target on base currencies
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Convert excess into quote currency
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*/
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async function balanceWallets(
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connection: Connection,
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mangoGroup: MangoGroup,
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prices: number[],
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markets: Market[],
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liqor: Account,
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liqorWallets: PublicKey[],
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liqorValuesUi: number[],
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liqorOpenOrdersKeys: PublicKey[]
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) {
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const liqorOpenOrders = await Promise.all(liqorOpenOrdersKeys.map((pk) => OpenOrders.load(connection, pk, mangoGroup.dexProgramId)))
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let updateWallets = false
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for (let i = 0; i < NUM_MARKETS; i++) {
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const oo = liqorOpenOrders[i]
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if (parseFloat(oo.quoteTokenTotal.toString()) > 0 || parseFloat(oo.baseTokenTotal.toString()) > 0) {
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console.log(`Settling funds on liqor wallet ${i}`)
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await markets[i].settleFunds(connection, liqor, oo, liqorWallets[i], liqorWallets[NUM_TOKENS-1])
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updateWallets = true
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}
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}
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if (updateWallets) {
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await sleep(1000)
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const liqorWalletAccounts = await getMultipleAccounts(connection, liqorWallets)
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liqorValuesUi = liqorWalletAccounts.map(
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(a, i) => nativeToUi(parseTokenAccountData(a.accountInfo.data).amount, mangoGroup.mintDecimals[i])
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)
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}
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// TODO cancel outstanding orders as well
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const targets = [0.1, 2]
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const diffs: number[] = []
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const netValues: [number, number][] = []
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// Go to each base currency and see if it's above or below target
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for (let i = 0; i < NUM_TOKENS - 1; i++) {
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const diff = liqorValuesUi[i] - targets[i]
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diffs.push(diff)
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netValues.push([i, diff * prices[i]])
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}
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// Sort in decreasing order so you sell first then buy
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netValues.sort((a, b) => (b[1] - a[1]))
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for (let i = 0; i < NUM_TOKENS - 1; i++) {
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const marketIndex = netValues[i][0]
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const market = markets[marketIndex]
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const tokenDecimals = tokenToDecimals[marketIndex === 0 ? 'BTC' : 'ETH'] // TODO make this mapping allow arbitrary mango groups
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// const tokenDecimalAdj = Math.pow(10, tokenDecimals)
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const tokenDecimalAdj = Math.pow(10, 3)
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if (netValues[i][1] > 0) { // sell to close
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const price = prices[marketIndex] * 0.95
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const size = Math.floor(diffs[marketIndex] * tokenDecimalAdj) / tokenDecimalAdj // round down the size
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if (size === 0) {
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continue
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}
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console.log(`Sell to close ${marketIndex} ${size} @ ${price}`)
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let txid = await market.placeOrder(
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connection,
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{
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owner: liqor,
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payer: liqorWallets[marketIndex],
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side: 'sell',
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price,
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size,
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orderType: 'ioc',
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openOrdersAddressKey: liqorOpenOrdersKeys[marketIndex],
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feeDiscountPubkey: null
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}
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)
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console.log("settling funds")
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await market.settleFunds(connection, liqor, liqorOpenOrders[marketIndex], liqorWallets[marketIndex], liqorWallets[NUM_TOKENS-1])
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} else if (netValues[i][1] < 0) { // buy to close
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const price = prices[marketIndex] * 1.05 // buy at up to 5% higher than oracle price
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const size = Math.ceil(-diffs[marketIndex] * tokenDecimalAdj) / tokenDecimalAdj
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console.log(`Buy to close ${marketIndex} ${size} @ ${price}`)
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let txid = await market.placeOrder(
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connection,
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{
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owner: liqor,
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payer: liqorWallets[NUM_TOKENS-1],
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side: 'buy',
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price,
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size,
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orderType: 'ioc',
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openOrdersAddressKey: liqorOpenOrdersKeys[marketIndex],
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feeDiscountPubkey: null
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}
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)
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console.log("settling funds")
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await market.settleFunds(connection, liqor, liqorOpenOrders[marketIndex], liqorWallets[marketIndex], liqorWallets[NUM_TOKENS-1])
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}
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}
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}
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async function runPartialLiquidator() {
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const client = new MangoClient()
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@ -54,20 +247,40 @@ async function runPartialLiquidator() {
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// TODO handle failures in any of the steps
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// Find a way to get all margin accounts without querying fresh--get incremental updates to margin accounts
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const liqorOpenOrdersKeys: PublicKey[] = []
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for (let i = 0; i < NUM_MARKETS; i++) {
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let openOrdersAccounts: OpenOrders[] = await markets[i].findOpenOrdersAccountsForOwner(connection, payer.publicKey)
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liqorOpenOrdersKeys.push(openOrdersAccounts[0].publicKey)
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}
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const cancelLimit = 5
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while (true) {
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try {
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mangoGroup = await client.getMangoGroup(connection, mangoGroupPk)
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// const marginAccounts = await client.getAllMarginAccounts(connection, programId, mangoGroup)
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const marginAccounts = [await client.getMarginAccount(connection, new PublicKey("85zCT5JsSmE5tgF42gPH6xxeVic5tXutAQDkSwfm9FN9"), mangoGroup.dexProgramId)]
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let prices = await mangoGroup.getPrices(connection) // TODO put this on websocket as well
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// const marginAccounts = [await client.getMarginAccount(connection, new PublicKey("85zCT5JsSmE5tgF42gPH6xxeVic5tXutAQDkSwfm9FN9"), mangoGroup.dexProgramId)]
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// let prices = await mangoGroup.getPrices(connection) // TODO put this on websocket as well
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console.log(prices)
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let [marginAccounts, prices, vaultAccs, liqorAccs] = await Promise.all([
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client.getAllMarginAccounts(connection, programId, mangoGroup),
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mangoGroup.getPrices(connection),
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getMultipleAccounts(connection, mangoGroup.vaults),
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getMultipleAccounts(connection, tokenWallets),
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])
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const tokenAccs = await getMultipleAccounts(connection, mangoGroup.vaults)
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const vaultValues = tokenAccs.map(
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const vaultValues = vaultAccs.map(
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(a, i) => nativeToUi(parseTokenAccountData(a.accountInfo.data).amount, mangoGroup.mintDecimals[i])
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)
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const liqorTokenValues = liqorAccs.map(
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(a) => parseTokenAccount(a.accountInfo.data).amount
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)
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const liqorTokenUi = liqorAccs.map(
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(a, i) => nativeToUi(parseTokenAccountData(a.accountInfo.data).amount, mangoGroup.mintDecimals[i])
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)
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console.log(vaultValues)
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console.log(liqorTokenUi)
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// FIXME: added bias to collRatio to allow other liquidators to step in for testing
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let coll_bias = 0
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@ -142,8 +355,8 @@ async function runPartialLiquidator() {
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],
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spotMarket.programId
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)
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let numInstrs = 0
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while (numInstrs < 10) {
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for (let i = 0; i < 10; i++) {
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const instruction = makeForceCancelOrdersInstruction(
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programId,
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mangoGroup.publicKey,
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@ -161,11 +374,11 @@ async function runPartialLiquidator() {
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dexSigner,
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spotMarket.programId,
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ma.openOrders,
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mangoGroup.oracles
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mangoGroup.oracles,
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new BN(cancelLimit)
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)
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transaction.add(instruction)
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numOrders -= 6
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numInstrs += 1
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numOrders -= cancelLimit
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if (numOrders <= 0) {
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break
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}
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@ -190,11 +403,6 @@ async function runPartialLiquidator() {
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maxNetIndex = i
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}
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}
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// choose the max
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const liqorAccs = await getMultipleAccounts(connection, tokenWallets)
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const liqorTokenValues = liqorAccs.map(
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(a) => parseTokenAccount(a.accountInfo.data).amount
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)
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transaction.add(makePartialLiquidateInstruction(
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programId,
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@ -211,11 +419,6 @@ async function runPartialLiquidator() {
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liqorTokenValues[minNetIndex]
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))
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// transaction.recentBlockhash = (await connection.getRecentBlockhash('singleGossip')).blockhash
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// transaction.setSigners(payer.publicKey)
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// transaction.sign(payer)
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// const raw_tx = transaction.serialize()
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// console.log('tx size', raw_tx.length)
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await client.sendTransaction(connection, transaction, payer, [])
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console.log('success liquidation')
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liquidated = true
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@ -231,8 +434,10 @@ async function runPartialLiquidator() {
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}
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}
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}
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console.log(`Max Borrow Account: ${maxBorrAcc} | Max Borrow Val: ${maxBorrVal}`)
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await balanceWallets(connection, mangoGroup, prices, markets, payer, tokenWallets, liqorTokenUi, liqorOpenOrdersKeys)
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} catch (e) {
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notify(`unknown error: ${e}`);
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console.error(e);
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@ -345,7 +345,7 @@ async function testAll() {
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const marginAccount = await client.getMarginAccount(connection, marginAccountPk, dexProgramId)
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const market = await Market.load(connection, mangoGroup.spotMarkets[1], { skipPreflight: true, commitment: 'singleGossip'}, mangoGroup.dexProgramId)
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for (let i = 0; i < 12; i++) {
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for (let i = 0; i < 45; i++) {
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const price = 1010 + 10 * i
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await client.placeAndSettle(connection, programId, mangoGroup, marginAccount, market, payer, "sell", price, 0.001)
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await sleep(500)
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@ -316,7 +316,7 @@
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"@blockworks-foundation/mango-client@https://github.com/blockworks-foundation/mango-client-ts#partial_liq":
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version "0.1.10"
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resolved "https://github.com/blockworks-foundation/mango-client-ts#e10fadd7bb9dee4f04994ad6cf293b4654c7edf1"
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resolved "https://github.com/blockworks-foundation/mango-client-ts#7e5016ccff5be1949b0948a9cfb07dfcc27c3576"
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dependencies:
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"@project-serum/serum" "^0.13.20"
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"@project-serum/sol-wallet-adapter" "^0.1.4"
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