blockworks-foundation
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liquidator
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added targets

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dd 2021-04-09 17:37:10 -04:00
parent 68564b7fec
commit ce3e07a8d7
1 changed files with 10 additions and 92 deletions
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102
src/partial.ts
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@ -24,88 +24,6 @@ import {
import BN = require('bn.js');
async function drainAccount(
client: MangoClient,
connection: Connection,
programId: PublicKey,
mangoGroup: MangoGroup,
ma: MarginAccount,
markets: Market[],
payer: Account,
prices: number[],
usdWallet: PublicKey
) {
// Cancel all open orders
const bidsPromises = markets.map((market) => market.loadBids(connection))
const asksPromises = markets.map((market) => market.loadAsks(connection))
const books = await Promise.all(bidsPromises.concat(asksPromises))
const bids = books.slice(0, books.length / 2)
const asks = books.slice(books.length / 2, books.length)
const cancelProms: Promise<TransactionSignature[]>[] = []
for (let i = 0; i < NUM_MARKETS; i++) {
cancelProms.push(ma.cancelAllOrdersByMarket(connection, client, programId, mangoGroup, markets[i], bids[i], asks[i], payer))
}
await Promise.all(cancelProms)
console.log('all orders cancelled')
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)
ma = await client.getMarginAccount(connection, ma.publicKey, mangoGroup.dexProgramId)
// sort non-quote currency assets by value
const assets = ma.getAssets(mangoGroup)
const liabs = ma.getLiabs(mangoGroup)
const netValues: [number, number][] = []
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 = 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 = 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)
await client.settleAll(connection, programId, mangoGroup, ma, markets, payer)
console.log('settleAll complete')
ma = await client.getMarginAccount(connection, ma.publicKey, mangoGroup.dexProgramId)
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)
console.log('Successfully drained account', ma.publicKey.toString())
}
/*
After a liquidation, the amounts in each wallet become unbalanced
Make sure to sell or buy quantities different from the target on base currencies
@ -119,7 +37,8 @@ async function balanceWallets(
liqor: Account,
liqorWallets: PublicKey[],
liqorValuesUi: number[],
liqorOpenOrdersKeys: PublicKey[]
liqorOpenOrdersKeys: PublicKey[],
targets: number[]
) {
const liqorOpenOrders = await Promise.all(liqorOpenOrdersKeys.map((pk) => OpenOrders.load(connection, pk, mangoGroup.dexProgramId)))
let updateWallets = false
@ -141,7 +60,6 @@ async function balanceWallets(
}
// TODO cancel outstanding orders as well
const targets = [0.1, 2]
const diffs: number[] = []
const netValues: [number, number][] = []
// Go to each base currency and see if it's above or below target
@ -180,7 +98,7 @@ async function balanceWallets(
feeDiscountPubkey: null
}
)
console.log("settling funds")
console.log(`Place order successful: ${txid}; Settling funds`)
await market.settleFunds(connection, liqor, liqorOpenOrders[marketIndex], liqorWallets[marketIndex], liqorWallets[NUM_TOKENS-1])
} else if (netValues[i][1] < 0) { // buy to close
@ -201,7 +119,7 @@ async function balanceWallets(
feeDiscountPubkey: null
}
)
console.log("settling funds")
console.log(`Place order successful: ${txid}; Settling funds`)
await market.settleFunds(connection, liqor, liqorOpenOrders[marketIndex], liqorWallets[marketIndex], liqorWallets[NUM_TOKENS-1])
}
}
@ -212,6 +130,8 @@ async function runPartialLiquidator() {
const cluster = process.env.CLUSTER || 'mainnet-beta'
const group_name = process.env.GROUP_NAME || 'BTC_ETH_USDT'
const clusterUrl = process.env.CLUSTER_URL || IDS.cluster_urls[cluster]
const targetsStr = process.env.TARGETS || "0.1 2"
const targets = targetsStr.split(' ').map((s) => parseFloat(s))
const connection = new Connection(clusterUrl, 'singleGossip')
// The address of the Mango Program on the blockchain
@ -227,7 +147,7 @@ async function runPartialLiquidator() {
const keyPairPath = process.env.KEYPAIR || homedir() + '/.config/solana/id.json'
const payer = new Account(JSON.parse(fs.readFileSync(keyPairPath, 'utf-8')))
notify(`liquidator launched cluster=${cluster} group=${group_name}`);
notify(`partial liquidator launched cluster=${cluster} group=${group_name}`);
let mangoGroup = await client.getMangoGroup(connection, mangoGroupPk)
@ -258,9 +178,6 @@ async function runPartialLiquidator() {
while (true) {
try {
mangoGroup = await client.getMangoGroup(connection, mangoGroupPk)
// const marginAccounts = await client.getAllMarginAccounts(connection, programId, mangoGroup)
// const marginAccounts = [await client.getMarginAccount(connection, new PublicKey("85zCT5JsSmE5tgF42gPH6xxeVic5tXutAQDkSwfm9FN9"), mangoGroup.dexProgramId)]
// let prices = await mangoGroup.getPrices(connection) // TODO put this on websocket as well
let [marginAccounts, prices, vaultAccs, liqorAccs] = await Promise.all([
client.getAllMarginAccounts(connection, programId, mangoGroup),
@ -420,7 +337,8 @@ async function runPartialLiquidator() {
))
await client.sendTransaction(connection, transaction, payer, [])
console.log('success liquidation')
console.log('Successful partial liquidation')
notify(``)
liquidated = true
break
} catch (e) {
@ -436,7 +354,7 @@ async function runPartialLiquidator() {
}
console.log(`Max Borrow Account: ${maxBorrAcc} | Max Borrow Val: ${maxBorrVal}`)
await balanceWallets(connection, mangoGroup, prices, markets, payer, tokenWallets, liqorTokenUi, liqorOpenOrdersKeys)
await balanceWallets(connection, mangoGroup, prices, markets, payer, tokenWallets, liqorTokenUi, liqorOpenOrdersKeys, targets)
} catch (e) {
notify(`unknown error: ${e}`);