2023-08-11 03:10:07 -07:00
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use std::time::Duration;
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2023-07-03 05:09:11 -07:00
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2023-08-11 03:08:34 -07:00
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use itertools::Itertools;
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use mango_v4::{
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i80f48::ClampToInt,
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state::{Bank, MangoAccountValue, TokenConditionalSwap},
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};
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use mango_v4_client::{chain_data, health_cache, JupiterSwapMode, MangoClient, MangoGroupContext};
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2023-07-03 05:09:11 -07:00
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2023-07-11 23:38:38 -07:00
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use tracing::*;
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2023-07-03 05:09:11 -07:00
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use {anyhow::Context, fixed::types::I80F48, solana_sdk::pubkey::Pubkey};
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2023-08-11 03:10:07 -07:00
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use crate::{token_swap_info, util};
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2023-08-11 03:08:34 -07:00
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2023-08-14 03:04:17 -07:00
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/// When computing the max possible swap for a liqee, assume the price is this fraction worse for them.
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///
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/// That way when executing the swap, the prices may move this much against the liqee without
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/// making the whole execution fail.
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const SLIPPAGE_BUFFER: f64 = 0.01; // 1%
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/// If a tcs gets limited due to exhausted net borrows, don't trigger execution if
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/// the possible value is below this amount. This avoids spamming executions when net
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/// borrows are exhausted.
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const NET_BORROW_EXECUTION_THRESHOLD: u64 = 1_000_000; // 1 USD
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pub struct Config {
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pub min_health_ratio: f64,
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pub max_trigger_quote_amount: u64,
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pub refresh_timeout: Duration,
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pub mock_jupiter: bool,
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pub compute_limit_for_trigger: u32,
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}
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2023-08-11 03:08:34 -07:00
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fn tcs_is_in_price_range(
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context: &MangoGroupContext,
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account_fetcher: &chain_data::AccountFetcher,
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tcs: &TokenConditionalSwap,
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) -> anyhow::Result<bool> {
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let buy_bank = context.mint_info(tcs.buy_token_index).first_bank();
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let sell_bank = context.mint_info(tcs.sell_token_index).first_bank();
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let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank)?;
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let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank)?;
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2023-07-03 05:09:11 -07:00
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let base_price = (buy_token_price / sell_token_price).to_num();
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if !tcs.price_in_range(base_price) {
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return Ok(false);
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}
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return Ok(true);
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}
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fn tcs_has_plausible_premium(
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tcs: &TokenConditionalSwap,
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token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
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) -> anyhow::Result<bool> {
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// The premium the taker receives needs to take taker fees into account
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let premium = tcs.taker_price(tcs.premium_price(1.0)) as f64;
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// Never take tcs where the fee exceeds the premium and the triggerer exchanges
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// tokens at below oracle price.
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if premium < 1.0 {
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return Ok(false);
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}
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let buy_info = token_swap_info
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.swap_info(tcs.buy_token_index)
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.ok_or_else(|| anyhow::anyhow!("no swap info for token {}", tcs.buy_token_index))?;
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let sell_info = token_swap_info
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.swap_info(tcs.sell_token_index)
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.ok_or_else(|| anyhow::anyhow!("no swap info for token {}", tcs.sell_token_index))?;
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// If this is 1.0 then the exchange can (probably) happen at oracle price.
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// 1.5 would mean we need to pay 50% more than oracle etc.
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let cost = buy_info.buy_over_oracle * sell_info.sell_over_oracle;
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Ok(cost <= premium)
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}
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fn tcs_is_interesting(
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context: &MangoGroupContext,
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account_fetcher: &chain_data::AccountFetcher,
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tcs: &TokenConditionalSwap,
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token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
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now_ts: u64,
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) -> anyhow::Result<bool> {
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Ok(tcs.is_expired(now_ts)
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|| (tcs_is_in_price_range(context, account_fetcher, tcs)?
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&& tcs_has_plausible_premium(tcs, token_swap_info)?))
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}
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#[allow(clippy::too_many_arguments)]
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async fn maybe_execute_token_conditional_swap_inner(
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mango_client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
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pubkey: &Pubkey,
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liqee_old: &MangoAccountValue,
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tcs_id: u64,
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config: &Config,
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now_ts: u64,
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) -> anyhow::Result<bool> {
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let health_cache = health_cache::new(&mango_client.context, account_fetcher, &liqee_old)
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.await
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.context("creating health cache 1")?;
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if health_cache.is_liquidatable() {
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return Ok(false);
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}
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// get a fresh account and re-check the tcs and health
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let liqee = account_fetcher.fetch_fresh_mango_account(pubkey).await?;
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let (_, tcs) = liqee.token_conditional_swap_by_id(tcs_id)?;
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if tcs.is_expired(now_ts)
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|| !tcs_is_interesting(
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&mango_client.context,
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account_fetcher,
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tcs,
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token_swap_info,
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now_ts,
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)?
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{
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return Ok(false);
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}
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let health_cache = health_cache::new(&mango_client.context, account_fetcher, &liqee)
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.await
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.context("creating health cache 1")?;
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if health_cache.is_liquidatable() {
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return Ok(false);
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}
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2023-07-17 04:16:01 -07:00
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execute_token_conditional_swap(mango_client, account_fetcher, pubkey, config, &liqee, tcs).await
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}
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#[allow(clippy::too_many_arguments)]
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#[instrument(skip_all, fields(%pubkey, tcs_id = tcs.id))]
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async fn execute_token_conditional_swap(
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mango_client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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pubkey: &Pubkey,
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config: &Config,
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liqee: &MangoAccountValue,
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tcs: &TokenConditionalSwap,
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) -> anyhow::Result<bool> {
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let liqor_min_health_ratio = I80F48::from_num(config.min_health_ratio);
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// Compute the max viable swap (for liqor and liqee) and min it
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let buy_bank = mango_client
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.context
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.mint_info(tcs.buy_token_index)
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.first_bank();
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let sell_bank = mango_client
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.context
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.mint_info(tcs.sell_token_index)
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.first_bank();
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let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank)?;
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let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank)?;
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let base_price = buy_token_price / sell_token_price;
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let premium_price = tcs.premium_price(base_price.to_num());
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let taker_price = I80F48::from_num(tcs.taker_price(premium_price));
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let max_take_quote = I80F48::from(config.max_trigger_quote_amount);
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2023-08-14 03:04:17 -07:00
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let (liqee_max_buy, liqee_max_sell) =
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match tcs_max_liqee_execution(liqee, mango_client, account_fetcher, tcs)? {
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Some(v) => v,
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None => return Ok(false),
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};
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let max_sell_token_to_liqor = liqee_max_sell;
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// In addition to the liqee's requirements, the liqor also has requirements:
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// - only swap while the health ratio stays high enough
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// - possible net borrow limit restrictions from the liqor borrowing the buy token
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// - liqor has a max_take_quote
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let max_buy_token_to_liqee = util::max_swap_source(
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mango_client,
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account_fetcher,
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&mango_client.mango_account().await?,
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tcs.buy_token_index,
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tcs.sell_token_index,
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taker_price,
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liqor_min_health_ratio,
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)?
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.min(max_take_quote / buy_token_price)
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.floor()
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.to_num::<u64>()
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.min(liqee_max_buy);
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if max_sell_token_to_liqor == 0 || max_buy_token_to_liqee == 0 {
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return Ok(false);
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}
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// Final check of the reverse trade on jupiter
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{
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let buy_mint = mango_client.context.mint_info(tcs.buy_token_index).mint;
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let sell_mint = mango_client.context.mint_info(tcs.sell_token_index).mint;
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let swap_mode = JupiterSwapMode::ExactIn;
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// The slippage does not matter since we're not going to execute it
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let slippage = 100;
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let input_amount = max_sell_token_to_liqor.min(
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(I80F48::from(max_buy_token_to_liqee) * taker_price)
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.floor()
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.to_num(),
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);
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let route = util::jupiter_route(
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mango_client,
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sell_mint,
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buy_mint,
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input_amount,
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slippage,
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swap_mode,
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false,
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config.mock_jupiter,
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)
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.await?;
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let sell_amount = route.in_amount.parse::<f64>()?;
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let buy_amount = route.out_amount.parse::<f64>()?;
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let swap_price = sell_amount / buy_amount;
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if swap_price > taker_price.to_num::<f64>() {
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trace!(
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max_buy = max_buy_token_to_liqee,
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max_sell = max_sell_token_to_liqor,
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jupiter_swap_price = %swap_price,
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tcs_taker_price = %taker_price,
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"skipping token conditional swap because of prices",
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);
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return Ok(false);
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}
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}
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2023-07-11 23:38:38 -07:00
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trace!(
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max_buy = max_buy_token_to_liqee,
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max_sell = max_sell_token_to_liqor,
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"executing token conditional swap",
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2023-07-03 05:09:11 -07:00
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);
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2023-08-11 03:48:50 -07:00
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let compute_ix = solana_sdk::compute_budget::ComputeBudgetInstruction::set_compute_unit_limit(
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config.compute_limit_for_trigger,
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);
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let trigger_ix = mango_client
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.token_conditional_swap_trigger_instruction(
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(pubkey, &liqee),
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tcs.id,
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max_buy_token_to_liqee,
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max_sell_token_to_liqor,
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)
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.await?;
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2023-08-11 03:48:50 -07:00
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let txsig = mango_client
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.send_and_confirm_owner_tx(vec![compute_ix, trigger_ix])
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.await?;
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2023-07-11 23:38:38 -07:00
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info!(
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%txsig,
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"Executed token conditional swap",
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);
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let slot = account_fetcher.transaction_max_slot(&[txsig]).await?;
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if let Err(e) = account_fetcher
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.refresh_accounts_via_rpc_until_slot(
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&[*pubkey, mango_client.mango_account_address],
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slot,
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config.refresh_timeout,
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)
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.await
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{
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info!(%txsig, "could not refresh after tcs execution: {}", e);
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}
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Ok(true)
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}
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#[allow(clippy::too_many_arguments)]
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#[instrument(skip_all, fields(%pubkey, %tcs_id))]
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2023-07-03 05:09:11 -07:00
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pub async fn remove_expired_token_conditional_swap(
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mango_client: &MangoClient,
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pubkey: &Pubkey,
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liqee: &MangoAccountValue,
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tcs_id: u64,
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) -> anyhow::Result<bool> {
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2023-08-11 03:48:50 -07:00
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let ix = mango_client
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.token_conditional_swap_trigger_instruction((pubkey, &liqee), tcs_id, 0, 0)
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.await?;
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2023-08-11 03:48:50 -07:00
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let txsig = mango_client.send_and_confirm_owner_tx(vec![ix]).await?;
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2023-07-11 23:38:38 -07:00
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info!(
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2023-07-17 04:16:01 -07:00
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%txsig,
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"Removed expired token conditional swap",
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2023-07-03 05:09:11 -07:00
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);
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Ok(true)
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}
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#[allow(clippy::too_many_arguments)]
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pub async fn maybe_execute_token_conditional_swap(
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mango_client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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token_swap_info: &token_swap_info::TokenSwapInfoUpdater,
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pubkey: &Pubkey,
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2023-08-11 03:08:34 -07:00
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tcs_id: u64,
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2023-07-03 05:09:11 -07:00
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config: &Config,
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) -> anyhow::Result<bool> {
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let now_ts: u64 = std::time::SystemTime::now()
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.duration_since(std::time::UNIX_EPOCH)?
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.as_secs()
|
|
|
|
.try_into()?;
|
|
|
|
let liqee = account_fetcher.fetch_mango_account(pubkey)?;
|
2023-08-11 03:08:34 -07:00
|
|
|
let tcs = liqee.token_conditional_swap_by_id(tcs_id)?.1;
|
2023-07-03 05:09:11 -07:00
|
|
|
|
2023-08-11 03:08:34 -07:00
|
|
|
if tcs.is_expired(now_ts) {
|
|
|
|
remove_expired_token_conditional_swap(mango_client, pubkey, &liqee, tcs.id).await
|
|
|
|
} else {
|
|
|
|
maybe_execute_token_conditional_swap_inner(
|
|
|
|
mango_client,
|
|
|
|
account_fetcher,
|
|
|
|
token_swap_info,
|
|
|
|
pubkey,
|
|
|
|
&liqee,
|
|
|
|
tcs.id,
|
|
|
|
config,
|
|
|
|
now_ts,
|
|
|
|
)
|
|
|
|
.await
|
2023-07-03 05:09:11 -07:00
|
|
|
}
|
2023-08-11 03:08:34 -07:00
|
|
|
}
|
2023-07-03 05:09:11 -07:00
|
|
|
|
2023-08-11 03:08:34 -07:00
|
|
|
/// 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,
|
2023-08-14 03:04:17 -07:00
|
|
|
) -> 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)>> {
|
2023-08-11 03:08:34 -07:00
|
|
|
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)?;
|
|
|
|
|
2023-08-14 03:04:17 -07:00
|
|
|
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);
|
|
|
|
|
2023-08-11 03:08:34 -07:00
|
|
|
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);
|
|
|
|
|
2023-08-14 03:04:17 -07:00
|
|
|
// 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(
|
2023-08-11 03:08:34 -07:00
|
|
|
mango_client,
|
|
|
|
account_fetcher,
|
|
|
|
&account,
|
|
|
|
tcs.sell_token_index,
|
|
|
|
tcs.buy_token_index,
|
2023-08-14 03:04:17 -07:00
|
|
|
swap_price,
|
|
|
|
I80F48::ZERO,
|
2023-08-11 03:08:34 -07:00
|
|
|
)?
|
|
|
|
.floor()
|
|
|
|
.to_num::<u64>()
|
|
|
|
.min(tcs.max_sell_for_position(sell_position, &sell_bank));
|
|
|
|
|
2023-08-14 03:04:17 -07:00
|
|
|
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);
|
|
|
|
|
|
|
|
let sell_borrows = (I80F48::from(max_sell_ignoring_net_borrows) - sell_position).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);
|
|
|
|
}
|
2023-08-11 03:08:34 -07:00
|
|
|
|
2023-08-14 03:04:17 -07:00
|
|
|
Ok(Some((max_buy, max_sell)))
|
2023-08-11 03:08:34 -07:00
|
|
|
}
|
|
|
|
|
|
|
|
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,
|
2023-08-11 03:10:07 -07:00
|
|
|
) -> anyhow::Result<Vec<anyhow::Result<(Pubkey, u64, u64)>>> {
|
2023-08-11 03:08:34 -07:00
|
|
|
let liqee = account_fetcher.fetch_mango_account(pubkey)?;
|
2023-07-03 05:09:11 -07:00
|
|
|
|
2023-08-11 03:08:34 -07:00
|
|
|
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) => {
|
2023-08-14 03:04:17 -07:00
|
|
|
// 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)),
|
|
|
|
}
|
2023-08-11 03:08:34 -07:00
|
|
|
}
|
2023-08-11 03:10:07 -07:00
|
|
|
Ok(false) => None,
|
|
|
|
Err(e) => Some(Err(e)),
|
2023-08-11 03:08:34 -07:00
|
|
|
}
|
|
|
|
});
|
|
|
|
Ok(interesting_tcs.collect_vec())
|
2023-07-03 05:09:11 -07:00
|
|
|
}
|