ts: deposit limits
This commit is contained in:
microwavedcola1
parent
cf1ca29cee
commit
6e3c284220
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@ -9,6 +9,8 @@ import {
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getTokenOwnerRecord,
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getTokenOwnerRecordAddress,
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} from '@solana/spl-governance';
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import cloneDeep from 'lodash/cloneDeep';
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import {
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AccountMeta,
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Connection,
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@ -25,9 +27,15 @@ import { Builder } from '../src/builder';
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import { MangoClient } from '../src/client';
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import { NullTokenEditParams } from '../src/clientIxParamBuilder';
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import { MANGO_V4_MAIN_GROUP as MANGO_V4_PRIMARY_GROUP } from '../src/constants';
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import { getEquityForMangoAccounts } from '../src/risk';
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import { I80F48 } from '../src/numbers/I80F48';
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import {
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LiqorPriceImpact,
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getEquityForMangoAccounts,
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getPriceImpactForLiqor,
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} from '../src/risk';
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import {
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buildFetch,
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toNative,
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toNativeI80F48ForQuote,
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toUiDecimalsForQuote,
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} from '../src/utils';
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@ -111,9 +119,10 @@ async function getTotalLiqorEquity(
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function getPriceImpactForBank(
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midPriceImpacts: MidPriceImpact[],
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bank: Bank,
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priceImpactPercent = 1,
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): MidPriceImpact {
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const tokenToPriceImpact = midPriceImpacts
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.filter((x) => x.avg_price_impact_percent < 1)
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.filter((x) => x.avg_price_impact_percent < priceImpactPercent)
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.reduce((acc: { [key: string]: MidPriceImpact }, val: MidPriceImpact) => {
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if (
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!acc[val.symbol] ||
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@ -127,6 +136,63 @@ function getPriceImpactForBank(
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return priceImpact;
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}
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function findLargestAssetBatchUi(
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pisForLiqor: LiqorPriceImpact[][],
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coin: string,
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startFromChange = 99,
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maxChange = 1,
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stepSize = 1,
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): number[] {
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let start = startFromChange;
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let largestBatchUi = 0;
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let largestBatchQuoteUi = 0;
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// console.log(`___`);
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// console.log(
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// `${'start'.padStart(3)}: ${'liq$'.padStart(10)}, ${`prev`.padStart(
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// 3,
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// )}: ${'liq'.padStart(10)}, ${'largestBatchUi $'.padStart(15)}`,
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// );
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while (start > 0) {
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const piForLiqor = pisForLiqor[start].filter(
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(pi) => pi.Coin.val == coin,
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)[0];
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// Compare entry to another entry, with max change difference
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const prev = Math.min(99, start + Math.round(start / maxChange));
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const prevPiForLiqor = pisForLiqor[prev].filter(
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(pi) => pi.Coin.val == coin,
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)[0];
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// Note: Assets.val is asset in $ amount that would need to be liquidated when price drops to a certain point
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const changeQuoteUi = piForLiqor.Assets.val - prevPiForLiqor.Assets.val;
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const changeUi =
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piForLiqor.Assets.val / piForLiqor['Future Price'].val -
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prevPiForLiqor.Assets.val / prevPiForLiqor['Future Price'].val;
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// console.log(
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// `${start.toString().padStart(3)}: ${piForLiqor.Assets.val
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// .toLocaleString()
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// .padStart(10)}, ${prev
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// .toString()
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// .padStart(3)}: ${prevPiForLiqor.Assets.val
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// .toLocaleString()
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// .padStart(10)}, ${largestBatchQuoteUi.toLocaleString().padStart(15)}`,
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// );
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if (changeQuoteUi > largestBatchQuoteUi) {
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largestBatchUi = changeUi;
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largestBatchQuoteUi = changeQuoteUi;
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}
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start -= stepSize;
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}
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// console.log(`___`);
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return [largestBatchQuoteUi, largestBatchUi];
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}
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async function updateTokenParams(): Promise<void> {
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const [client, wallet] = await Promise.all([buildClient(), setupWallet()]);
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const vsrClient = await setupVsr(client.connection, wallet);
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@ -136,6 +202,12 @@ async function updateTokenParams(): Promise<void> {
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const instructions: TransactionInstruction[] = [];
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const mangoAccounts = await client.getAllMangoAccounts(group, true);
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const mangoAccountsSubset = mangoAccounts.filter(
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(a) => toUiDecimalsForQuote(a.getEquity(group)) > 100,
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);
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const stepSize = 1;
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const ttlLiqorEquityUi = await getTotalLiqorEquity(
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client,
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group,
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@ -144,9 +216,80 @@ async function updateTokenParams(): Promise<void> {
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const midPriceImpacts = getMidPriceImpacts(group.pis);
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let groups: Group[];
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let pisForLiqor: LiqorPriceImpact[][];
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{
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let pis;
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try {
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pis = await (
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await (
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await buildFetch()
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)(
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`https://api.mngo.cloud/data/v4/risk/listed-tokens-one-week-price-impacts`,
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{
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mode: 'cors',
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headers: {
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'Content-Type': 'application/json',
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'Access-Control-Allow-Origin': '*',
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},
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},
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)
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).json();
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} catch (error) {
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pis = [];
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}
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// Build groups where price has changed from 0 to -99% for each (non stable coin) assets simultaneously
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const groups = new Array(200);
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let change = stepSize;
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while (change < 101) {
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groups[change] = cloneDeep(group);
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const groupToModify: Group = groups[change.toString()];
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const change_ = change / 100;
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Array.from(groupToModify.banksMapByTokenIndex.values())
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.flat()
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.filter((b) => !b.name.includes('USD'))
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.forEach((b) => {
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b['oldUiPrice'] = b._uiPrice;
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b._uiPrice = b._uiPrice! * change_;
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b._price = b._price?.mul(I80F48.fromNumber(change_));
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});
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Array.from(groupToModify.perpMarketsMapByMarketIndex.values()).forEach(
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(p) => {
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p['oldUiPrice'] = p._uiPrice;
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p._uiPrice = p._uiPrice! * change_;
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p._price = p._price?.mul(I80F48.fromNumber(change_));
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},
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);
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change += stepSize;
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}
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// Compute how much of an asset would need to be liquidated
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// when group (i.e. asset prices) reach a specific state
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pisForLiqor = await Promise.all(
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groups.map((g) => getPriceImpactForLiqor(g, pis, mangoAccountsSubset)),
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);
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}
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// Deposit limits header
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console.log(
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`${'name'.padStart(20)} ${'maxLiqBatchUi'.padStart(
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15,
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)} ${'maxLiqBatchUi'.padStart(15)} ${'sellImpact'.padStart(
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12,
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)}$ ${'pi %'.padStart(12)}% ${'aNDUi'.padStart(20)}${'aNDQuoteUi'.padStart(
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20,
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)} ${'uiDeposits'.padStart(12)} ${'uiDeposits'.padStart(
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12,
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)} ${'depositLimitsUi'.padStart(12)}`,
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);
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Array.from(group.banksMapByTokenIndex.values())
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.map((banks) => banks[0])
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// .filter((bank) => bank.name == 'MSOL')
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.forEach(async (bank) => {
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let change = false;
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try {
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// formulas are sourced from here
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// https://www.notion.so/mango-markets/Mango-v4-Risk-parameter-recommendations-d309cdf5faac4aeea7560356e68532ab
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@ -159,7 +302,7 @@ async function updateTokenParams(): Promise<void> {
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const builder = Builder(NullTokenEditParams);
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// if (true) {
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// Net borrow limits
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if (!bank.areBorrowsReduceOnly()) {
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const netBorrowLimitPerWindowQuote = Math.max(
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10_000,
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@ -169,10 +312,11 @@ async function updateTokenParams(): Promise<void> {
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builder.netBorrowLimitPerWindowQuote(
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toNativeI80F48ForQuote(netBorrowLimitPerWindowQuote).toNumber(),
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);
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change = true;
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if (
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netBorrowLimitPerWindowQuote !=
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toUiDecimalsForQuote(bank.netBorrowLimitPerWindowQuote)
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)
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) {
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console.log(
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`${
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bank.name
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@ -180,78 +324,163 @@ async function updateTokenParams(): Promise<void> {
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bank.netBorrowLimitPerWindowQuote,
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).toLocaleString()}`,
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);
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}
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}
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const params = builder.build();
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const ix = await client.program.methods
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.tokenEdit(
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params.oracle,
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params.oracleConfig,
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params.groupInsuranceFund,
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params.interestRateParams,
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params.loanFeeRate,
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params.loanOriginationFeeRate,
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params.maintAssetWeight,
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params.initAssetWeight,
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params.maintLiabWeight,
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params.initLiabWeight,
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params.liquidationFee,
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params.stablePriceDelayIntervalSeconds,
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params.stablePriceDelayGrowthLimit,
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params.stablePriceGrowthLimit,
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params.minVaultToDepositsRatio,
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params.netBorrowLimitPerWindowQuote !== null
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? new BN(params.netBorrowLimitPerWindowQuote)
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: null,
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params.netBorrowLimitWindowSizeTs !== null
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? new BN(params.netBorrowLimitWindowSizeTs)
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: null,
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params.borrowWeightScaleStartQuote,
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params.depositWeightScaleStartQuote,
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params.resetStablePrice ?? false,
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params.resetNetBorrowLimit ?? false,
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params.reduceOnly,
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params.name,
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params.forceClose,
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params.tokenConditionalSwapTakerFeeRate,
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params.tokenConditionalSwapMakerFeeRate,
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params.flashLoanSwapFeeRate,
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params.interestCurveScaling,
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params.interestTargetUtilization,
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params.maintWeightShiftStart,
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params.maintWeightShiftEnd,
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params.maintWeightShiftAssetTarget,
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params.maintWeightShiftLiabTarget,
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params.maintWeightShiftAbort ?? false,
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false, // setFallbackOracle, unused
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params.depositLimit,
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)
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.accounts({
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group: group.publicKey,
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oracle: bank.oracle,
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admin: group.admin,
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mintInfo: group.mintInfosMapByTokenIndex.get(bank.tokenIndex)
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?.publicKey,
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})
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.remainingAccounts([
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// Deposit limits
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if (bank.maintAssetWeight.toNumber() > 0) {
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{
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pubkey: bank.publicKey,
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isWritable: true,
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isSigner: false,
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} as AccountMeta,
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])
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.instruction();
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// Find asset's largest batch in $ we would need to liquidate, batches are extreme points of a range of price drop,
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// range is constrained by leverage provided
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// i.e. how much volatility we expect
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const r = findLargestAssetBatchUi(
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pisForLiqor,
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bank.name,
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Math.round(bank.maintAssetWeight.toNumber() * 100),
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100 - Math.round(bank.maintAssetWeight.toNumber() * 100),
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stepSize,
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);
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const tx = new Transaction({ feePayer: wallet.publicKey }).add(ix);
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const simulated = await client.connection.simulateTransaction(tx);
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const maxLiqBatchQuoteUi = r[0];
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const maxLiqBatchUi = r[1];
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if (simulated.value.err) {
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console.log('error', simulated.value.logs);
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throw simulated.value.logs;
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const sellImpact = getPriceImpactForBank(
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midPriceImpacts,
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bank,
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(bank.liquidationFee.toNumber() * 100) / 2,
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);
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// Deposit limit = sell impact - largest batch
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const allowedNewDepositsQuoteUi =
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sellImpact.target_amount - maxLiqBatchQuoteUi;
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const allowedNewDepositsUi =
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sellImpact.target_amount / bank.uiPrice -
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maxLiqBatchQuoteUi / bank.uiPrice;
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let depositLimitUi = bank.uiDeposits() + allowedNewDepositsUi;
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if (bank.name == 'JitoSOL') {
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depositLimitUi = Math.min(depositLimitUi, 12_000);
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}
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if (bank.name == 'bSOL') {
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depositLimitUi = Math.min(depositLimitUi, 6_000);
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}
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if (bank.name == 'MSOL') {
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depositLimitUi = Math.min(depositLimitUi, 50_000);
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}
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if (bank.name == 'JLP') {
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depositLimitUi = Math.min(depositLimitUi, 300_000);
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}
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if (bank.name == 'RAY') {
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depositLimitUi = Math.min(depositLimitUi, 300_000);
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}
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if (bank.name == 'wBTC (Portal)') {
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depositLimitUi = Math.max(depositLimitUi, 7.5);
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}
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if (bank.name == 'SOL') {
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depositLimitUi = Math.max(depositLimitUi, 50_000);
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}
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console.log(
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`${bank.name.padStart(20)} ${maxLiqBatchUi
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.toLocaleString()
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.padStart(15)} ${maxLiqBatchQuoteUi
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.toLocaleString()
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.padStart(15)}$ ${sellImpact.target_amount
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.toLocaleString()
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.padStart(12)}$ ${sellImpact.avg_price_impact_percent
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.toLocaleString()
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.padStart(12)}% ${allowedNewDepositsUi
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.toLocaleString()
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.padStart(20)}${allowedNewDepositsQuoteUi
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.toLocaleString()
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.padStart(20)}$ ${bank
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.uiDeposits()
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.toLocaleString()
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.padStart(12)} ${(bank.uiDeposits() * bank.uiPrice)
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.toLocaleString()
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.padStart(12)}$ ${depositLimitUi
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.toLocaleString()
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.padStart(12)}`,
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);
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builder.depositLimit(toNative(depositLimitUi, bank.mintDecimals));
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change = true;
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}
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}
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const params = builder.build();
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const ix = await client.program.methods
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.tokenEdit(
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params.oracle,
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params.oracleConfig,
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params.groupInsuranceFund,
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params.interestRateParams,
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params.loanFeeRate,
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params.loanOriginationFeeRate,
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params.maintAssetWeight,
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params.initAssetWeight,
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params.maintLiabWeight,
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params.initLiabWeight,
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params.liquidationFee,
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params.stablePriceDelayIntervalSeconds,
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params.stablePriceDelayGrowthLimit,
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params.stablePriceGrowthLimit,
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params.minVaultToDepositsRatio,
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params.netBorrowLimitPerWindowQuote !== null
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? new BN(params.netBorrowLimitPerWindowQuote)
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: null,
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params.netBorrowLimitWindowSizeTs !== null
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? new BN(params.netBorrowLimitWindowSizeTs)
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: null,
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params.borrowWeightScaleStartQuote,
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params.depositWeightScaleStartQuote,
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params.resetStablePrice ?? false,
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params.resetNetBorrowLimit ?? false,
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params.reduceOnly,
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params.name,
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params.forceClose,
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params.tokenConditionalSwapTakerFeeRate,
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params.tokenConditionalSwapMakerFeeRate,
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params.flashLoanSwapFeeRate,
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params.interestCurveScaling,
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params.interestTargetUtilization,
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params.maintWeightShiftStart,
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params.maintWeightShiftEnd,
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params.maintWeightShiftAssetTarget,
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params.maintWeightShiftLiabTarget,
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params.maintWeightShiftAbort ?? false,
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false, // setFallbackOracle, unused
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params.depositLimit,
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)
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.accounts({
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group: group.publicKey,
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oracle: bank.oracle,
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admin: group.admin,
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mintInfo: group.mintInfosMapByTokenIndex.get(bank.tokenIndex)
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?.publicKey,
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})
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.remainingAccounts([
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{
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pubkey: bank.publicKey,
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isWritable: true,
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isSigner: false,
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} as AccountMeta,
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])
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.instruction();
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const tx = new Transaction({ feePayer: wallet.publicKey }).add(ix);
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const simulated = await client.connection.simulateTransaction(tx);
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if (simulated.value.err) {
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console.log('error', simulated.value.logs);
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throw simulated.value.logs;
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}
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if (change) {
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instructions.push(ix);
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}
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}
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instructions.push(ix);
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} catch (error) {
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console.log(`....Skipping ${bank.name}, ${error}`);
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}
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|
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@ -275,13 +504,15 @@ async function updateTokenParams(): Promise<void> {
|
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|
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const walletSigner = wallet as never;
|
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console.log(DRY_RUN);
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if (!DRY_RUN) {
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const proposalAddress = await createProposal(
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client.connection,
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walletSigner,
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MANGO_DAO_WALLET_GOVERNANCE,
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tokenOwnerRecord,
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PROPOSAL_TITLE ? PROPOSAL_TITLE : 'Update risk parameters for tokens',
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PROPOSAL_TITLE ? PROPOSAL_TITLE : 'Update deposit limits for tokens',
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PROPOSAL_LINK ?? '',
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Object.values(proposals).length,
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instructions,
|
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|
|
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|
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@ -110,7 +110,11 @@ export async function getPriceImpactForLiqor(
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pis: PriceImpact[],
|
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mangoAccounts: MangoAccount[],
|
||||
): Promise<LiqorPriceImpact[]> {
|
||||
const mangoAccountsWithHealth = mangoAccounts.map((a: MangoAccount) => {
|
||||
const mangoAccounts_ = mangoAccounts.filter((a) =>
|
||||
a.getHealth(group, HealthType.maint).lt(ZERO_I80F48()),
|
||||
);
|
||||
|
||||
const mangoAccountsWithHealth = mangoAccounts_.map((a: MangoAccount) => {
|
||||
return {
|
||||
account: a,
|
||||
health: a.getHealth(group, HealthType.liquidationEnd),
|
||||
|
|
@ -124,6 +128,7 @@ export async function getPriceImpactForLiqor(
|
|||
return await Promise.all(
|
||||
Array.from(group.banksMapByMint.values())
|
||||
.sort((a, b) => a[0].name.localeCompare(b[0].name))
|
||||
// .filter((banks) => banks[0].name == 'MSOL')
|
||||
.map(async (banks) => {
|
||||
const bank = banks[0];
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue