Clarkeni/perp trade logging (#535)

* Emit the slot corresponding to the oracle price to PerpUpdateFundingLog.

* Emit a new FilledPerpOrderLog consisting of just the group, perp market and seq num. This will be used to correlate perp fills to the transactions they were matched (not consumed).

programs/mango-v4/src/instructions/perp_place_order.rs

@@ -30,12 +30,13 @@ pub fn perp_place_order(
             asks: ctx.accounts.asks.load_mut()?,
         };
 
-        oracle_price = perp_market.oracle_price(
+        let oracle_slot;
+        (oracle_price, oracle_slot) = perp_market.oracle_price_and_slot(
             &AccountInfoRef::borrow(ctx.accounts.oracle.as_ref())?,
             None, // staleness checked in health
         )?;
 
-        perp_market.update_funding_and_stable_price(&book, oracle_price, now_ts)?;
+        perp_market.update_funding_and_stable_price(&book, oracle_price, oracle_slot, now_ts)?;
     }
 
     let mut account = ctx.accounts.account.load_full_mut()?;

programs/mango-v4/src/instructions/perp_update_funding.rs

@@ -14,12 +14,12 @@ pub fn perp_update_funding(ctx: Context<PerpUpdateFunding>) -> Result<()> {
     };
 
     let now_slot = Clock::get()?.slot;
-    let oracle_price = perp_market.oracle_price(
+    let (oracle_price, oracle_slot) = perp_market.oracle_price_and_slot(
         &AccountInfoRef::borrow(ctx.accounts.oracle.as_ref())?,
         Some(now_slot),
     )?;
 
-    perp_market.update_funding_and_stable_price(&book, oracle_price, now_ts)?;
+    perp_market.update_funding_and_stable_price(&book, oracle_price, oracle_slot, now_ts)?;
 
     Ok(())
 }

programs/mango-v4/src/logs.rs

@@ -144,6 +144,7 @@ pub struct PerpUpdateFundingLog {
     pub long_funding: i128,
     pub short_funding: i128,
     pub price: i128,
+    pub oracle_slot: u64,
     pub stable_price: i128,
     pub fees_accrued: i128,
     pub fees_settled: i128,
@@ -371,3 +372,10 @@ pub struct AccountBuybackFeesWithMngoLog {
     pub mngo_buyback_price: i128,
     pub oracle_price: i128,
 }
+
+#[event]
+pub struct FilledPerpOrderLog {
+    pub mango_group: Pubkey,
+    pub perp_market_index: u16,
+    pub seq_num: u64,
+}

programs/mango-v4/src/state/bank.rs

@@ -789,12 +789,14 @@ impl Bank {
         staleness_slot: Option<u64>,
     ) -> Result<I80F48> {
         require_keys_eq!(self.oracle, *oracle_acc.key());
-        oracle::oracle_price(
+        let (price, _) = oracle::oracle_price_and_slot(
             oracle_acc,
             &self.oracle_config,
             self.mint_decimals,
             staleness_slot,
-        )
+        )?;
+
+        Ok(price)
     }
 
     pub fn stable_price(&self) -> I80F48 {

programs/mango-v4/src/state/oracle.rs

@@ -135,18 +135,18 @@ pub fn determine_oracle_type(acc_info: &impl KeyedAccountReader) -> Result<Oracl
 /// This currently assumes that quote decimals is 6, like for USDC.
 ///
 /// Pass `staleness_slot` = None to skip the staleness check
-pub fn oracle_price(
+pub fn oracle_price_and_slot(
     acc_info: &impl KeyedAccountReader,
     config: &OracleConfig,
     base_decimals: u8,
     staleness_slot: Option<u64>,
-) -> Result<I80F48> {
+) -> Result<(I80F48, u64)> {
     let data = &acc_info.data();
     let oracle_type = determine_oracle_type(acc_info)?;
     let staleness_slot = staleness_slot.unwrap_or(0);
 
     Ok(match oracle_type {
-        OracleType::Stub => acc_info.load::<StubOracle>()?.price,
+        OracleType::Stub => (acc_info.load::<StubOracle>()?.price, 0),
         OracleType::Pyth => {
             let price_account = pyth_sdk_solana::state::load_price_account(data).unwrap();
             let price_data = price_account.to_price();
@@ -187,7 +187,7 @@ pub fn oracle_price(
 
             let decimals = (price_account.expo as i8) + QUOTE_DECIMALS - (base_decimals as i8);
             let decimal_adj = power_of_ten(decimals);
-            price * decimal_adj
+            (price * decimal_adj, last_slot)
         }
         OracleType::SwitchboardV2 => {
             fn from_foreign_error(e: impl std::fmt::Display) -> Error {
@@ -233,7 +233,7 @@ pub fn oracle_price(
 
             let decimals = QUOTE_DECIMALS - (base_decimals as i8);
             let decimal_adj = power_of_ten(decimals);
-            price * decimal_adj
+            (price * decimal_adj, round_open_slot)
         }
         OracleType::SwitchboardV1 => {
             let result = FastRoundResultAccountData::deserialize(data).unwrap();
@@ -269,7 +269,7 @@ pub fn oracle_price(
 
             let decimals = QUOTE_DECIMALS - (base_decimals as i8);
             let decimal_adj = power_of_ten(decimals);
-            price * decimal_adj
+            (price * decimal_adj, round_open_slot)
         }
     })
 }

programs/mango-v4/src/state/orderbook/book.rs

@@ -1,3 +1,4 @@
+use crate::logs::FilledPerpOrderLog;
 use crate::state::MangoAccountRefMut;
 use crate::{
     error::*,
@@ -155,6 +156,12 @@ impl<'a> Orderbook<'a> {
             );
             event_queue.push_back(cast(fill)).unwrap();
             limit -= 1;
+
+            emit!(FilledPerpOrderLog {
+                mango_group: market.group.key(),
+                perp_market_index: market.perp_market_index,
+                seq_num: event_queue.header.seq_num,
+            });
         }
         let total_quote_lots_taken = order.max_quote_lots - remaining_quote_lots;
         let total_base_lots_taken = order.max_base_lots - remaining_base_lots;

programs/mango-v4/src/state/perp_market.rs

@@ -241,7 +241,23 @@ impl PerpMarket {
         staleness_slot: Option<u64>,
     ) -> Result<I80F48> {
         require_keys_eq!(self.oracle, *oracle_acc.key());
-        oracle::oracle_price(
+        let (price, _) = oracle::oracle_price_and_slot(
+            oracle_acc,
+            &self.oracle_config,
+            self.base_decimals,
+            staleness_slot,
+        )?;
+
+        Ok(price)
+    }
+
+    pub fn oracle_price_and_slot(
+        &self,
+        oracle_acc: &impl KeyedAccountReader,
+        staleness_slot: Option<u64>,
+    ) -> Result<(I80F48, u64)> {
+        require_keys_eq!(self.oracle, *oracle_acc.key());
+        oracle::oracle_price_and_slot(
             oracle_acc,
             &self.oracle_config,
             self.base_decimals,
@@ -258,6 +274,7 @@ impl PerpMarket {
         &mut self,
         book: &Orderbook,
         oracle_price: I80F48,
+        oracle_slot: u64,
         now_ts: u64,
     ) -> Result<()> {
         if now_ts <= self.funding_last_updated {
@@ -315,6 +332,7 @@ impl PerpMarket {
             long_funding: self.long_funding.to_bits(),
             short_funding: self.short_funding.to_bits(),
             price: oracle_price.to_bits(),
+            oracle_slot: oracle_slot,
             stable_price: self.stable_price().to_bits(),
             fees_accrued: self.fees_accrued.to_bits(),
             fees_settled: self.fees_settled.to_bits(),