Mc/perp liq price 2 (#625)
* perp position liquidation price calculator Signed-off-by: microwavedcola1 <microwavedcola@gmail.com> * refactor Signed-off-by: microwavedcola1 <microwavedcola@gmail.com> * ui method Signed-off-by: microwavedcola1 <microwavedcola@gmail.com> * Fixes from review Signed-off-by: microwavedcola1 <microwavedcola@gmail.com> --------- Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>
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microwavedcola1
GitHub
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0e180ed380
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@ -1,23 +1,20 @@
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import { AnchorProvider, Wallet } from '@coral-xyz/anchor';
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import { Cluster, Connection, Keypair, PublicKey } from '@solana/web3.js';
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import fs from 'fs';
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import cloneDeep from 'lodash/cloneDeep';
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import { Group } from '../../src/accounts/group';
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import { HealthCache } from '../../src/accounts/healthCache';
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import { HealthType, MangoAccount } from '../../src/accounts/mangoAccount';
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import { PerpMarket } from '../../src/accounts/perp';
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import { Serum3Market } from '../../src/accounts/serum3';
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import { MangoClient } from '../../src/client';
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import { MANGO_V4_ID } from '../../src/constants';
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import { ZERO_I80F48 } from '../../src/numbers/I80F48';
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import { toUiDecimalsForQuote } from '../../src/utils';
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const CLUSTER_URL =
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process.env.CLUSTER_URL_OVERRIDE || process.env.MB_CLUSTER_URL;
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const PAYER_KEYPAIR =
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process.env.PAYER_KEYPAIR_OVERRIDE || process.env.MB_PAYER_KEYPAIR;
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const USER_KEYPAIR =
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process.env.USER_KEYPAIR_OVERRIDE || process.env.MB_PAYER_KEYPAIR;
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const GROUP_NUM = Number(process.env.GROUP_NUM || 0);
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const MANGO_ACCOUNT_PK = process.env.MANGO_ACCOUNT_PK;
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const MANGO_ACCOUNT_PK = new PublicKey(
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process.env.MANGO_ACCOUNT_PK || PublicKey.default.toBase58(),
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);
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const CLUSTER: Cluster =
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(process.env.CLUSTER_OVERRIDE as Cluster) || 'mainnet-beta';
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@ -222,57 +219,82 @@ async function debugUser(
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)) {
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getMaxForSerum3Wrapper(serum3Market);
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}
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// Liquidation price for perp positions
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for (const pp of mangoAccount.perpActive()) {
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const pm = group.getPerpMarketByMarketIndex(pp.marketIndex);
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const health = toUiDecimalsForQuote(
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mangoAccount.getHealth(group, HealthType.maint),
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);
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if (
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// pp.getNotionalValueUi(pm) > 1000 &&
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// !(pp.getNotionalValueUi(pm) < health && pp.getBasePosition(pm).isPos())
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// eslint-disable-next-line no-constant-condition
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true
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) {
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const lp = await pp.getLiquidationPrice(group, mangoAccount);
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if (lp.lt(ZERO_I80F48())) {
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continue;
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}
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const lpUi = group
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.getPerpMarketByMarketIndex(pp.marketIndex)
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.priceNativeToUi(lp.toNumber());
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const gClone: Group = cloneDeep(group);
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gClone.getPerpMarketByMarketIndex(pm.perpMarketIndex)._price = lp;
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const simHealth = toUiDecimalsForQuote(
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mangoAccount.getHealth(gClone, HealthType.maint),
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);
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console.log(
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` - ${pm.name}, health: ${health.toLocaleString()}, side: ${
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pp.getBasePosition(pm).isPos() ? 'LONG' : 'SHORT'
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}, notional: ${pp
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.getNotionalValueUi(pm)
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.toLocaleString()}, liq price: ${lpUi.toLocaleString()}, sim health: ${simHealth.toLocaleString()}`,
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);
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}
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}
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}
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async function main(): Promise<void> {
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const options = AnchorProvider.defaultOptions();
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const connection = new Connection(CLUSTER_URL!, options);
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const wallet = new Wallet(new Keypair());
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const provider = new AnchorProvider(connection, wallet, options);
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const client = MangoClient.connect(provider, CLUSTER, MANGO_V4_ID[CLUSTER], {
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idsSource: 'api',
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});
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const admin = Keypair.fromSecretKey(
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Buffer.from(JSON.parse(fs.readFileSync(PAYER_KEYPAIR!, 'utf-8'))),
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);
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console.log(`Admin ${admin.publicKey.toBase58()}`);
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const adminWallet = new Wallet(admin);
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const adminProvider = new AnchorProvider(connection, adminWallet, options);
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const client = MangoClient.connect(
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adminProvider,
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CLUSTER,
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MANGO_V4_ID[CLUSTER],
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{
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idsSource: 'api',
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},
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const group = await client.getGroup(
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new PublicKey('78b8f4cGCwmZ9ysPFMWLaLTkkaYnUjwMJYStWe5RTSSX'),
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);
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const group = await client.getGroupForCreator(admin.publicKey, GROUP_NUM);
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const mangoAccounts = await client.getAllMangoAccounts(group, true);
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mangoAccounts.sort((a, b) => b.getEquity(group).cmp(a.getEquity(group)));
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for (const keypair of [USER_KEYPAIR!]) {
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console.log();
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const user = Keypair.fromSecretKey(
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Buffer.from(JSON.parse(fs.readFileSync(keypair, 'utf-8'))),
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);
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const userWallet = new Wallet(user);
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console.log(`User ${userWallet.publicKey.toBase58()}`);
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const mangoAccounts = await client.getAllMangoAccounts(group, true);
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for (const mangoAccount of mangoAccounts) {
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if (
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!MANGO_ACCOUNT_PK ||
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mangoAccount.publicKey.equals(new PublicKey(MANGO_ACCOUNT_PK))
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) {
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// console.log();
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console.log(
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`${mangoAccount.publicKey
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.toBase58()
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.padStart(48)}, health ${toUiDecimalsForQuote(
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mangoAccount.getHealth(group, HealthType.maint),
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).toFixed(2)}, ${toUiDecimalsForQuote(
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mangoAccount.getHealth(group, HealthType.init),
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).toFixed(2)}`,
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);
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// await debugUser(client, group, mangoAccount);
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}
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for (const mangoAccount of mangoAccounts) {
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if (
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true &&
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(MANGO_ACCOUNT_PK!.equals(PublicKey.default) ||
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// For specific account
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mangoAccount.publicKey.equals(new PublicKey(MANGO_ACCOUNT_PK!))) &&
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// Only interesting perp liq price candidates
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mangoAccount.perpActive().length > 0 &&
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mangoAccount
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.perpActive()
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.filter((pp) =>
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pp
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.getBasePosition(group.getPerpMarketByMarketIndex(pp.marketIndex))
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.gt(ZERO_I80F48()),
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).length > 0
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) {
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console.log(
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`account https://app.mango.markets/?address=${mangoAccount.publicKey}`,
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);
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await debugUser(client, group, mangoAccount);
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}
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}
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@ -654,7 +654,7 @@ export class HealthCache {
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const rightValue = fun(right);
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// console.log(
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// ` - binaryApproximationSearch left ${left.toLocaleString()}, leftValue ${leftValue.toLocaleString()}, right ${right.toLocaleString()}, rightValue ${rightValue.toLocaleString()}, targetValue ${targetValue.toLocaleString()}`,
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// ` - binaryApproximationSearch left ${left.toLocaleString()}, leftValue ${leftValue.toLocaleString()}, right ${right.toLocaleString()}, rightValue ${rightValue.toLocaleString()}, targetValue ${targetValue.toLocaleString()}, minStep ${minStep}`,
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// );
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if (
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@ -1159,6 +1159,52 @@ export class HealthCache {
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return baseLots.floor();
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}
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public getPerpPositionLiquidationPrice(
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group: Group,
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mangoAccount: MangoAccount,
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perpPosition: PerpPosition,
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): I80F48 | null {
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const hc = HealthCache.fromMangoAccount(group, mangoAccount);
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const perpMarket = group.getPerpMarketByMarketIndex(
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perpPosition.marketIndex,
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);
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function healthAfterPriceChange(newPrice: I80F48): I80F48 {
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const gClone = cloneDeep(group);
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gClone.getPerpMarketByMarketIndex(perpMarket.perpMarketIndex)._price =
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newPrice;
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const hc = HealthCache.fromMangoAccount(gClone, mangoAccount);
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return hc.health(HealthType.maint);
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}
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if (perpPosition.getBasePosition(perpMarket).isPos()) {
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const zero = ZERO_I80F48();
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const healthAtPriceZero = healthAfterPriceChange(zero);
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if (healthAtPriceZero.gt(ZERO_I80F48())) {
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return null;
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}
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return HealthCache.binaryApproximationSearch(
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zero,
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healthAtPriceZero,
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perpMarket.price,
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ZERO_I80F48(),
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perpMarket.priceLotsToNative(new BN(1)),
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healthAfterPriceChange,
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);
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}
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const price1000x = perpMarket.price.mul(I80F48.fromNumber(1000));
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return HealthCache.binaryApproximationSearch(
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perpMarket.price,
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hc.health(HealthType.maint),
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price1000x,
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ZERO_I80F48(),
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perpMarket.priceLotsToNative(new BN(1)),
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healthAfterPriceChange,
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);
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}
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}
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export class Prices {
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@ -1432,6 +1432,29 @@ export class PerpPosition {
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);
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}
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public getLiquidationPrice(
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group: Group,
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mangoAccount: MangoAccount,
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): I80F48 | null {
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if (this.basePositionLots.eq(new BN(0))) {
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return null;
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}
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return HealthCache.fromMangoAccount(
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group,
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mangoAccount,
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).getPerpPositionLiquidationPrice(group, mangoAccount, this);
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}
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public getLiquidationPriceUi(
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group: Group,
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mangoAccount: MangoAccount,
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): number | null {
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const pm = group.getPerpMarketByMarketIndex(this.marketIndex);
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const lp = this.getLiquidationPrice(group, mangoAccount);
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return lp == null ? null : pm.priceNativeToUi(lp.toNumber());
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}
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public getBreakEvenPrice(perpMarket: PerpMarket): I80F48 {
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if (perpMarket.perpMarketIndex !== this.marketIndex) {
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throw new Error("PerpPosition doesn't belong to the given market!");
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@ -436,6 +436,10 @@ export class PerpMarket {
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return toNative(uiQuote, QUOTE_DECIMALS).div(this.quoteLotSize);
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}
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public priceLotsToNative(price: BN): I80F48 {
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return I80F48.fromI64(price.mul(this.quoteLotSize).div(this.baseLotSize));
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}
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public priceLotsToUi(price: BN): number {
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return parseFloat(price.toString()) * this.priceLotsToUiConverter;
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}
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@ -232,6 +232,10 @@ export function ONE_I80F48(): I80F48 {
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return I80F48.fromNumber(1);
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}
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export function MINUS_ONE_I80F48(): I80F48 {
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return I80F48.fromNumber(-1);
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}
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export function ZERO_I80F48(): I80F48 {
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return I80F48.fromNumber(0);
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}
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