mango-v4/bin/liquidator/src/trigger_tcs.rs

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use std::{
pin::Pin,
sync::Arc,
time::{Duration, Instant},
};
use futures_core::Future;
use itertools::Itertools;
use mango_v4::{
i80f48::ClampToInt,
state::{Bank, MangoAccountValue, TokenConditionalSwap, TokenIndex},
};
use mango_v4_client::{chain_data, health_cache, JupiterSwapMode, MangoClient, MangoGroupContext};
use solana_sdk::signature::Signature;
use tracing::*;
use {anyhow::Context, fixed::types::I80F48, solana_sdk::pubkey::Pubkey};
use crate::{token_swap_info, util, ErrorTracking};
/// When computing the max possible swap for a liqee, assume the price is this fraction worse for them.
///
/// That way when executing the swap, the prices may move this much against the liqee without
/// making the whole execution fail.
const SLIPPAGE_BUFFER: f64 = 0.01; // 1%
/// If a tcs gets limited due to exhausted net borrows, don't trigger execution if
/// the possible value is below this amount. This avoids spamming executions when net
/// borrows are exhausted.
const NET_BORROW_EXECUTION_THRESHOLD: u64 = 1_000_000; // 1 USD
#[derive(Clone)]
pub struct Config {
pub min_health_ratio: f64,
pub max_trigger_quote_amount: u64,
pub refresh_timeout: Duration,
pub mock_jupiter: bool,
pub compute_limit_for_trigger: u32,
}
fn tcs_is_in_price_range(
context: &MangoGroupContext,
account_fetcher: &chain_data::AccountFetcher,
tcs: &TokenConditionalSwap,
) -> anyhow::Result<bool> {
let buy_bank = context.mint_info(tcs.buy_token_index).first_bank();
let sell_bank = context.mint_info(tcs.sell_token_index).first_bank();
let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank)?;
let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank)?;
let base_price = (buy_token_price / sell_token_price).to_num();
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Ok(tcs.price_in_range(base_price))
}
fn tcs_has_plausible_premium(
tcs: &TokenConditionalSwap,
token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
) -> anyhow::Result<bool> {
// The premium the taker receives needs to take taker fees into account
let premium = tcs.taker_price(tcs.premium_price(1.0)) as f64;
// Never take tcs where the fee exceeds the premium and the triggerer exchanges
// tokens at below oracle price.
if premium < 1.0 {
return Ok(false);
}
let buy_info = token_swap_info
.swap_info(tcs.buy_token_index)
.ok_or_else(|| anyhow::anyhow!("no swap info for token {}", tcs.buy_token_index))?;
let sell_info = token_swap_info
.swap_info(tcs.sell_token_index)
.ok_or_else(|| anyhow::anyhow!("no swap info for token {}", tcs.sell_token_index))?;
// If this is 1.0 then the exchange can (probably) happen at oracle price.
// 1.5 would mean we need to pay 50% more than oracle etc.
let cost = buy_info.buy_over_oracle * sell_info.sell_over_oracle;
Ok(cost <= premium)
}
fn tcs_is_interesting(
context: &MangoGroupContext,
account_fetcher: &chain_data::AccountFetcher,
tcs: &TokenConditionalSwap,
token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
now_ts: u64,
) -> anyhow::Result<bool> {
Ok(tcs.is_expired(now_ts)
|| (tcs_is_in_price_range(context, account_fetcher, tcs)?
&& tcs_has_plausible_premium(tcs, token_swap_info)?))
}
/// Returns the maximum execution size of a tcs order in quote units
fn tcs_max_volume(
account: &MangoAccountValue,
mango_client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
tcs: &TokenConditionalSwap,
) -> anyhow::Result<Option<u64>> {
let buy_bank_pk = mango_client
.context
.mint_info(tcs.buy_token_index)
.first_bank();
let sell_bank_pk = mango_client
.context
.mint_info(tcs.sell_token_index)
.first_bank();
let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank_pk)?;
let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank_pk)?;
let (max_buy, max_sell) =
match tcs_max_liqee_execution(account, mango_client, account_fetcher, tcs)? {
Some(v) => v,
None => return Ok(None),
};
let max_quote =
(I80F48::from(max_buy) * buy_token_price).min(I80F48::from(max_sell) * sell_token_price);
Ok(Some(max_quote.floor().clamp_to_u64()))
}
/// Compute the max viable swap for liqee
/// This includes
/// - tcs restrictions (remaining buy/sell, create borrows/deposits)
/// - reduce only banks
/// - net borrow limits on BOTH sides, even though the buy side is technically
/// a liqor limitation: the liqor could acquire the token before trying the
/// execution... but in practice the liqor will work on margin
///
/// Returns Some((native buy amount, native sell amount)) if execution is sensible
/// Returns None if the execution should be skipped (due to net borrow limits...)
fn tcs_max_liqee_execution(
account: &MangoAccountValue,
mango_client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
tcs: &TokenConditionalSwap,
) -> anyhow::Result<Option<(u64, u64)>> {
let buy_bank_pk = mango_client
.context
.mint_info(tcs.buy_token_index)
.first_bank();
let sell_bank_pk = mango_client
.context
.mint_info(tcs.sell_token_index)
.first_bank();
let buy_bank: Bank = account_fetcher.fetch(&buy_bank_pk)?;
let sell_bank: Bank = account_fetcher.fetch(&sell_bank_pk)?;
let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank_pk)?;
let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank_pk)?;
let base_price = buy_token_price / sell_token_price;
let premium_price = tcs.premium_price(base_price.to_num());
let maker_price = tcs.maker_price(premium_price);
let buy_position = account
.token_position(tcs.buy_token_index)
.map(|p| p.native(&buy_bank))
.unwrap_or(I80F48::ZERO);
let sell_position = account
.token_position(tcs.sell_token_index)
.map(|p| p.native(&sell_bank))
.unwrap_or(I80F48::ZERO);
// this is in "buy token received per sell token given" units
let swap_price = I80F48::from_num((1.0 - SLIPPAGE_BUFFER) / maker_price);
let max_sell_ignoring_net_borrows = util::max_swap_source_ignore_net_borrows(
mango_client,
account_fetcher,
&account,
tcs.sell_token_index,
tcs.buy_token_index,
swap_price,
I80F48::ZERO,
)?
.floor()
.to_num::<u64>()
.min(tcs.max_sell_for_position(sell_position, &sell_bank));
let max_buy_ignoring_net_borrows = tcs.max_buy_for_position(buy_position, &buy_bank);
// What follows is a complex manual handling of net borrow limits, for the following reason:
// Usually, we _do_ want to execute tcs even for small amounts because that will close the
// tcs order: either due to full execution or due to the health threshold being reached.
//
// However, when the net borrow limits are hit, we do _not_ want to close the tcs order
// even though no further execution is possible at that time. Furthermore, we don't even
// want to send a too-tiny tcs execution transaction, because there's a good chance we
// would then be sending lot of those as oracle prices fluctuate.
//
// Thus, we need to detect if the possible execution amount is tiny _because_ of the
// net borrow limits. Then skip. If it's tiny for other reasons we can proceed.
fn available_borrows(bank: &Bank, price: I80F48) -> u64 {
if bank.net_borrow_limit_per_window_quote < 0 {
u64::MAX
} else {
let limit = (I80F48::from(bank.net_borrow_limit_per_window_quote) / price)
.floor()
.clamp_to_i64();
(limit - bank.net_borrows_in_window).max(0) as u64
}
}
let available_buy_borrows = available_borrows(&buy_bank, buy_token_price);
let available_sell_borrows = available_borrows(&sell_bank, sell_token_price);
// This technically depends on the liqor's buy token position, but we
// just assume it'll be fully margined here
let max_buy = max_buy_ignoring_net_borrows.min(available_buy_borrows);
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let sell_borrows = (I80F48::from(max_sell_ignoring_net_borrows)
- sell_position.max(I80F48::ZERO))
.clamp_to_u64();
let max_sell =
max_sell_ignoring_net_borrows - sell_borrows + sell_borrows.min(available_sell_borrows);
let tiny_due_to_net_borrows = {
let buy_threshold = I80F48::from(NET_BORROW_EXECUTION_THRESHOLD) / buy_token_price;
let sell_threshold = I80F48::from(NET_BORROW_EXECUTION_THRESHOLD) / sell_token_price;
max_buy < buy_threshold && max_buy_ignoring_net_borrows > buy_threshold
|| max_sell < sell_threshold && max_sell_ignoring_net_borrows > sell_threshold
};
if tiny_due_to_net_borrows {
return Ok(None);
}
Ok(Some((max_buy, max_sell)))
}
pub fn find_interesting_tcs_for_account(
pubkey: &Pubkey,
mango_client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
now_ts: u64,
) -> anyhow::Result<Vec<anyhow::Result<(Pubkey, u64, u64)>>> {
let liqee = account_fetcher.fetch_mango_account(pubkey)?;
let interesting_tcs = liqee.active_token_conditional_swaps().filter_map(|tcs| {
match tcs_is_interesting(
&mango_client.context,
account_fetcher,
tcs,
token_swap_info,
now_ts,
) {
Ok(true) => {
// Filter out Ok(None) resuts of tcs that shouldn't be executed right now
match tcs_max_volume(&liqee, mango_client, account_fetcher, tcs) {
Ok(Some(v)) => Some(Ok((*pubkey, tcs.id, v))),
Ok(None) => None,
Err(e) => Some(Err(e)),
}
}
Ok(false) => None,
Err(e) => Some(Err(e)),
}
});
Ok(interesting_tcs.collect_vec())
}
#[derive(Clone)]
struct PreparedExecution {
pubkey: Pubkey,
tcs_id: u64,
volume: u64,
token_indexes: Vec<TokenIndex>,
max_buy_token_to_liqee: u64,
max_sell_token_to_liqor: u64,
}
#[allow(clippy::too_many_arguments)]
async fn prepare_token_conditional_swap(
mango_client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
pubkey: &Pubkey,
tcs_id: u64,
config: &Config,
) -> anyhow::Result<Option<PreparedExecution>> {
let now_ts: u64 = std::time::SystemTime::now()
.duration_since(std::time::UNIX_EPOCH)?
.as_secs()
.try_into()?;
let liqee = account_fetcher.fetch_mango_account(pubkey)?;
let tcs = liqee.token_conditional_swap_by_id(tcs_id)?.1;
if tcs.is_expired(now_ts) {
// Triggering like this will close the expired tcs and not affect the liqor
Ok(Some(PreparedExecution {
pubkey: *pubkey,
tcs_id,
volume: 0,
token_indexes: vec![],
max_buy_token_to_liqee: 0,
max_sell_token_to_liqor: 0,
}))
} else {
prepare_token_conditional_swap_inner(
mango_client,
account_fetcher,
token_swap_info,
pubkey,
&liqee,
tcs.id,
config,
now_ts,
)
.await
}
}
#[allow(clippy::too_many_arguments)]
async fn prepare_token_conditional_swap_inner(
mango_client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
pubkey: &Pubkey,
liqee_old: &MangoAccountValue,
tcs_id: u64,
config: &Config,
now_ts: u64,
) -> anyhow::Result<Option<PreparedExecution>> {
let health_cache = health_cache::new(&mango_client.context, account_fetcher, &liqee_old)
.await
.context("creating health cache 1")?;
if health_cache.is_liquidatable() {
return Ok(None);
}
// get a fresh account and re-check the tcs and health
let liqee = account_fetcher.fetch_fresh_mango_account(pubkey).await?;
let (_, tcs) = liqee.token_conditional_swap_by_id(tcs_id)?;
if tcs.is_expired(now_ts)
|| !tcs_is_interesting(
&mango_client.context,
account_fetcher,
tcs,
token_swap_info,
now_ts,
)?
{
return Ok(None);
}
let health_cache = health_cache::new(&mango_client.context, account_fetcher, &liqee)
.await
.context("creating health cache 2")?;
if health_cache.is_liquidatable() {
return Ok(None);
}
prepare_token_conditional_swap_inner2(
mango_client,
account_fetcher,
pubkey,
config,
&liqee,
tcs,
)
.await
}
#[allow(clippy::too_many_arguments)]
#[instrument(skip_all, fields(%pubkey, tcs_id = tcs.id))]
async fn prepare_token_conditional_swap_inner2(
mango_client: &MangoClient,
account_fetcher: &chain_data::AccountFetcher,
pubkey: &Pubkey,
config: &Config,
liqee: &MangoAccountValue,
tcs: &TokenConditionalSwap,
) -> anyhow::Result<Option<PreparedExecution>> {
let liqor_min_health_ratio = I80F48::from_num(config.min_health_ratio);
// Compute the max viable swap (for liqor and liqee) and min it
let buy_bank = mango_client
.context
.mint_info(tcs.buy_token_index)
.first_bank();
let sell_bank = mango_client
.context
.mint_info(tcs.sell_token_index)
.first_bank();
let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank)?;
let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank)?;
let base_price = buy_token_price / sell_token_price;
let premium_price = tcs.premium_price(base_price.to_num());
let taker_price = I80F48::from_num(tcs.taker_price(premium_price));
let max_take_quote = I80F48::from(config.max_trigger_quote_amount);
let (liqee_max_buy, liqee_max_sell) =
match tcs_max_liqee_execution(liqee, mango_client, account_fetcher, tcs)? {
Some(v) => v,
None => return Ok(None),
};
let max_sell_token_to_liqor = liqee_max_sell;
// In addition to the liqee's requirements, the liqor also has requirements:
// - only swap while the health ratio stays high enough
// - possible net borrow limit restrictions from the liqor borrowing the buy token
// - liqor has a max_take_quote
let max_buy_token_to_liqee = util::max_swap_source(
mango_client,
account_fetcher,
&mango_client.mango_account().await?,
tcs.buy_token_index,
tcs.sell_token_index,
taker_price,
liqor_min_health_ratio,
)?
.min(max_take_quote / buy_token_price)
.floor()
.to_num::<u64>()
.min(liqee_max_buy);
if max_sell_token_to_liqor == 0 || max_buy_token_to_liqee == 0 {
return Ok(None);
}
// Final check of the reverse trade on jupiter
{
let buy_mint = mango_client.context.mint_info(tcs.buy_token_index).mint;
let sell_mint = mango_client.context.mint_info(tcs.sell_token_index).mint;
let swap_mode = JupiterSwapMode::ExactIn;
// The slippage does not matter since we're not going to execute it
let slippage = 100;
let input_amount = max_sell_token_to_liqor.min(
(I80F48::from(max_buy_token_to_liqee) * taker_price)
.floor()
.to_num(),
);
let route = util::jupiter_route(
mango_client,
sell_mint,
buy_mint,
input_amount,
slippage,
swap_mode,
false,
config.mock_jupiter,
)
.await?;
let sell_amount = route.in_amount.parse::<f64>()?;
let buy_amount = route.out_amount.parse::<f64>()?;
let swap_price = sell_amount / buy_amount;
if swap_price > taker_price.to_num::<f64>() {
trace!(
max_buy = max_buy_token_to_liqee,
max_sell = max_sell_token_to_liqor,
jupiter_swap_price = %swap_price,
tcs_taker_price = %taker_price,
"skipping because of prices",
);
return Ok(None);
}
}
trace!(
max_buy = max_buy_token_to_liqee,
max_sell = max_sell_token_to_liqor,
"prepared execution",
);
let volume = (I80F48::from(max_buy_token_to_liqee) * buy_token_price)
.min(I80F48::from(max_sell_token_to_liqor) * sell_token_price)
.floor()
.clamp_to_u64();
Ok(Some(PreparedExecution {
pubkey: *pubkey,
tcs_id: tcs.id,
volume,
token_indexes: vec![tcs.buy_token_index, tcs.sell_token_index],
max_buy_token_to_liqee,
max_sell_token_to_liqor,
}))
}
#[derive(Clone)]
pub struct ExecutionContext {
pub mango_client: Arc<MangoClient>,
pub account_fetcher: Arc<chain_data::AccountFetcher>,
pub token_swap_info: Arc<token_swap_info::TokenSwapInfoUpdater>,
pub config: Config,
}
struct PreparationResult {
pubkey: Pubkey,
pending_volume: u64,
prepared: anyhow::Result<Option<PreparedExecution>>,
}
impl ExecutionContext {
/// Runs tcs jobs in parallel
///
/// Will run jobs until either the max_trigger_quote_amount is exhausted or
/// max_completed jobs have been run while respecting the available free token
/// positions on the liqor.
///
/// It proceeds in two phases:
/// - Preparation: Evaluates tcs and collects a set of them to trigger.
/// The preparation does things like check jupiter for profitability and
/// refetching the account to make sure it's up to date.
/// - Execution: Selects the prepared jobs that fit the liqor's available or free
/// token positions.
///
/// Returns a list of transaction signatures as well as the pubkeys of liqees.
pub async fn execute_tcs(
&self,
tcs: &mut Vec<(Pubkey, u64, u64)>,
error_tracking: &mut ErrorTracking,
) -> anyhow::Result<(Vec<Signature>, Vec<Pubkey>)> {
use rand::distributions::{Distribution, WeightedError, WeightedIndex};
let now = Instant::now();
let max_volume = self.config.max_trigger_quote_amount;
let mut pending_volume = 0;
let mut prepared_volume = 0;
let max_prepared = 32;
let mut prepared_executions = vec![];
let mut pending = vec![];
let mut no_new_job = false;
// What goes on below is roughly the following:
//
// We have a bunch of tcs we want to try executing in `tcs`.
// We pick a random ones (weighted by volume) and collect their `pending` jobs.
// Once the maximum number of prepared jobs (`max_prepared`) or `max_volume`
// for this run is reached, we wait for one of the jobs to finish.
// This will either free up the job slot and volume or commit it.
// If it freed up a slot, another job can be added to `pending`
// If `no_new_job` can be added to `pending`, we also start waiting for completion.
while prepared_executions.len() < max_prepared && prepared_volume < max_volume {
// If it's impossible to start another job right now, we need to wait
// for one to complete (or we're done)
if prepared_executions.len() + pending.len() >= max_prepared
|| prepared_volume + pending_volume >= max_volume
|| no_new_job
{
if pending.is_empty() {
break;
}
// select_all to run until one completes
let (result, _index, remaining): (PreparationResult, _, _) =
futures::future::select_all(pending).await;
pending = remaining;
pending_volume -= result.pending_volume;
match result.prepared {
Ok(Some(prepared)) => {
prepared_volume += prepared.volume;
prepared_executions.push(prepared);
}
Ok(None) => {
// maybe the tcs isn't executable after the account was updated
}
Err(e) => {
error_tracking.record_error(&result.pubkey, now, e.to_string());
}
}
no_new_job = false;
continue;
}
// Pick a random tcs with volume that would still fit the limit
let available_volume = max_volume - pending_volume - prepared_volume;
let (pubkey, tcs_id, volume) = {
let weights = tcs.iter().map(|(_, _, volume)| {
if *volume == u64::MAX {
// entries marked like this have been processed already
return 0;
}
let volume = (*volume).min(max_volume).max(1);
if volume <= available_volume {
volume
} else {
0
}
});
let dist_result = WeightedIndex::new(weights);
if let Err(WeightedError::AllWeightsZero) = dist_result {
// If there's no fitting new job, complete one of the pending
// ones to check if that frees up some volume allowance
no_new_job = true;
continue;
}
let dist = dist_result.unwrap();
let mut rng = rand::thread_rng();
let sample = dist.sample(&mut rng);
let (pubkey, tcs_id, volume) = &mut tcs[sample];
let volume_copy = *volume;
*volume = u64::MAX; // don't run this one again
(*pubkey, *tcs_id, volume_copy)
};
// start the new one
if let Some(job) = self.prepare_job(&pubkey, tcs_id, volume, error_tracking) {
pending_volume += volume;
pending.push(job);
}
}
// We have now prepared a list of tcs we want to execute in `prepared_jobs`.
// The complication is that they will alter the liqor and we need to make sure to send
// health accounts that will work independently of the order of these tx hitting the chain.
let mut liqor = self.mango_client.mango_account().await?;
let allowed_tokens = prepared_executions
.iter()
.map(|v| &v.token_indexes)
.flatten()
.copied()
.unique()
.filter(|&idx| liqor.ensure_token_position(idx).is_ok())
.collect_vec();
// Create futures for all the executions that use only allowed tokens
let jobs = prepared_executions
.into_iter()
.filter(|v| {
v.token_indexes
.iter()
.all(|token| allowed_tokens.contains(token))
})
.map(|v| self.start_prepared_job(v, allowed_tokens.clone()));
// Execute everything
let results = futures::future::join_all(jobs).await;
let successes = results
.into_iter()
.filter_map(|(pubkey, result)| match result {
Ok(v) => Some((pubkey, v)),
Err(err) => {
error_tracking.record_error(&pubkey, Instant::now(), err.to_string());
None
}
});
let (completed_pubkeys, completed_txs) = successes.unzip();
Ok((completed_txs, completed_pubkeys))
}
// Maybe returns a future that might return a PreparedExecution
fn prepare_job(
&self,
pubkey: &Pubkey,
tcs_id: u64,
volume: u64,
error_tracking: &ErrorTracking,
) -> Option<Pin<Box<dyn Future<Output = PreparationResult> + Send>>> {
// Skip a pubkey if there've been too many errors recently
if let Some(error_entry) = error_tracking.had_too_many_errors(pubkey, Instant::now()) {
trace!(
"skip checking for tcs on account {pubkey}, had {} errors recently",
error_entry.count
);
return None;
}
let context = self.clone();
let pubkey = pubkey.clone();
let job = async move {
PreparationResult {
pubkey,
pending_volume: volume,
prepared: prepare_token_conditional_swap(
&context.mango_client,
&context.account_fetcher,
&context.token_swap_info,
&pubkey,
tcs_id,
&context.config,
)
.await,
}
};
Some(Box::pin(job))
}
async fn start_prepared_job(
&self,
pending: PreparedExecution,
allowed_tokens: Vec<TokenIndex>,
) -> (Pubkey, anyhow::Result<Signature>) {
(
pending.pubkey,
self.start_prepared_job_inner(pending, allowed_tokens).await,
)
}
async fn start_prepared_job_inner(
&self,
pending: PreparedExecution,
allowed_tokens: Vec<TokenIndex>,
) -> anyhow::Result<Signature> {
let liqee = self.account_fetcher.fetch_mango_account(&pending.pubkey)?;
let compute_ix =
solana_sdk::compute_budget::ComputeBudgetInstruction::set_compute_unit_limit(
self.config.compute_limit_for_trigger,
);
let trigger_ix = self
.mango_client
.token_conditional_swap_trigger_instruction(
(&pending.pubkey, &liqee),
pending.tcs_id,
pending.max_buy_token_to_liqee,
pending.max_sell_token_to_liqor,
&allowed_tokens,
)
.await?;
let txsig = self
.mango_client
.send_and_confirm_owner_tx(vec![compute_ix, trigger_ix])
.await?;
info!(
pubkey = %pending.pubkey,
tcs_id = pending.tcs_id,
%txsig,
"executed token conditional swap",
);
Ok(txsig)
}
}