Merge branch 'mc/update-risk' into deploy
This commit is contained in:
microwavedcola1
commit
888a270cf2
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@ -1,9 +1,6 @@
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import {
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LISTING_PRESETS,
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LISTING_PRESETS_PYTH,
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MidPriceImpact,
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getMidPriceImpacts,
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getProposedTier,
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} from '@blockworks-foundation/mango-v4-settings/lib/helpers/listingTools';
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import { AnchorProvider, Wallet } from '@coral-xyz/anchor';
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import { BN } from '@project-serum/anchor';
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@ -21,12 +18,14 @@ import {
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TransactionInstruction,
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} from '@solana/web3.js';
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import fs from 'fs';
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import { OracleProvider } from '../src/accounts/oracle';
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import { Bank } from '../src/accounts/bank';
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import { Group } from '../src/accounts/group';
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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 { toUiDecimalsForQuote } from '../src/utils';
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import { getEquityForMangoAccounts } from '../src/risk';
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import { buildFetch } from '../src/utils';
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import {
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MANGO_DAO_WALLET_GOVERNANCE,
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MANGO_GOVERNANCE_PROGRAM,
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@ -77,6 +76,52 @@ async function setupVsr(
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return vsrClient;
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}
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async function getTotalLiqorEquity(
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client: MangoClient,
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group: Group,
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mangoAccounts: import('/Users/mc/repos/mango-v4/ts/client/src/accounts/mangoAccount').MangoAccount[],
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): Promise<number> {
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const liqors = (
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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/stats/liqors-over_period?over_period=1MONTH`,
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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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).map((data) => new PublicKey(data['liqor']));
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const ttlLiqorEquity = (
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await getEquityForMangoAccounts(client, group, liqors, mangoAccounts)
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).reduce((partialSum, ae) => partialSum + ae.Equity.val, 0);
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return ttlLiqorEquity;
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}
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function getPriceImpactForBank(
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midPriceImpacts: MidPriceImpact[],
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bank: Bank,
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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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.reduce((acc: { [key: string]: MidPriceImpact }, val: MidPriceImpact) => {
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if (
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!acc[val.symbol] ||
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val.target_amount > acc[val.symbol].target_amount
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) {
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acc[val.symbol] = val;
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}
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return acc;
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}, {});
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const priceImpact = tokenToPriceImpact[getApiTokenName(bank.name)];
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return priceImpact;
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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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@ -84,87 +129,65 @@ async function updateTokenParams(): Promise<void> {
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const group = await client.getGroup(MANGO_V4_PRIMARY_GROUP);
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const instructions: TransactionInstruction[] = [];
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const mangoAccounts = await client.getAllMangoAccounts(group, true);
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const ttlLiqorEquityUi = await getTotalLiqorEquity(
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client,
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group,
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mangoAccounts,
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);
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const midPriceImpacts = getMidPriceImpacts(group.pis);
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Array.from(group.banksMapByTokenIndex.values())
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.map((banks) => banks[0])
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.filter(
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(bank) =>
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bank.mint.toBase58() == 'So11111111111111111111111111111111111111112' ||
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bank.name.toLocaleLowerCase().indexOf('usdc') > -1 ||
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bank.name.toLocaleLowerCase().indexOf('stsol') > -1,
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// // low low liquidity
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// bank.name.includes('DUAL') ||
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// bank.name.includes('MNGO') ||
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// // low liquidity
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// bank.name.includes('ALL') ||
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// bank.name.includes('CROWN') ||
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// bank.name.includes('GUAC') ||
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// bank.name.includes('HNT') ||
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// bank.name.includes('KIN') ||
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// bank.name.includes('OPOS') ||
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// bank.name.includes('RLB') ||
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// bank.name.includes('USDH') ||
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// better liquidity
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bank.name.includes('BONK') ||
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bank.name.includes('bSOL') ||
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bank.name.includes('CHAI') ||
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bank.name.includes('DAI') ||
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bank.name.includes('ETH (Portal)') ||
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bank.name.includes('JitoSOL') ||
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bank.name.includes('LDO') ||
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bank.name.includes('MSOL') ||
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bank.name.includes('ORCA') ||
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bank.name.includes('RAY') ||
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bank.name.includes('SOL') ||
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bank.name.includes('stSOL') ||
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bank.name.includes('TBTC') ||
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bank.name.includes('USDC') ||
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bank.name.includes('wBTC (Portal)') ||
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bank.name.includes('USDT'),
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)
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.forEach(async (bank) => {
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// Limit borrows to 1/3rd of deposit, rounded to 1000, only update if more than 10% different
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const depositsInUsd = bank.nativeDeposits().mul(bank.price);
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let newNetBorrowLimitPerWindowQuote: number | null =
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depositsInUsd.toNumber() / 3;
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newNetBorrowLimitPerWindowQuote =
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Math.round(newNetBorrowLimitPerWindowQuote / 1_000_000_000) *
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1_000_000_000;
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newNetBorrowLimitPerWindowQuote =
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Math.abs(
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(newNetBorrowLimitPerWindowQuote -
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bank.netBorrowLimitPerWindowQuote.toNumber()) /
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bank.netBorrowLimitPerWindowQuote.toNumber(),
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) > 0.1
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? newNetBorrowLimitPerWindowQuote
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: null;
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const priceImpact = getPriceImpactForBank(midPriceImpacts, bank);
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// Kick in weight scaling as late as possible until liquidation fee remains reasonable
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// Only update if more than 10% different
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let newWeightScaleQuote: number | null = null;
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if (
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bank.tokenIndex != 0 && // USDC
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bank.mint.toBase58() != 'So11111111111111111111111111111111111111112' // SOL
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) {
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const PRESETS =
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bank?.oracleProvider === OracleProvider.Pyth
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? LISTING_PRESETS_PYTH
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: LISTING_PRESETS;
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const scaleStartQuoteUi = Math.min(
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50 * ttlLiqorEquityUi,
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4 * priceImpact.target_amount,
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);
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const tokenToPriceImpact = midPriceImpacts
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.filter((x) => x.avg_price_impact_percent < 1)
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.reduce(
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(acc: { [key: string]: MidPriceImpact }, val: MidPriceImpact) => {
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if (
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!acc[val.symbol] ||
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val.target_amount > acc[val.symbol].target_amount
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) {
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acc[val.symbol] = val;
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}
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return acc;
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},
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{},
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);
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const priceImpact = tokenToPriceImpact[getApiTokenName(bank.name)];
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const suggestedTier = getProposedTier(
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PRESETS,
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priceImpact?.target_amount,
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bank.oracleProvider === OracleProvider.Pyth,
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);
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newWeightScaleQuote =
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PRESETS[suggestedTier].borrowWeightScaleStartQuote;
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const newNetDepositsUi = Math.max(
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10_000,
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Math.min(bank.uiDeposits(), 300_000) / 3 +
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Math.max(0, bank.uiDeposits() - 300_000) / 5,
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);
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newWeightScaleQuote =
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bank.depositWeightScaleStartQuote !== newWeightScaleQuote ||
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bank.borrowWeightScaleStartQuote !== newWeightScaleQuote
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? newWeightScaleQuote
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: null;
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}
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if (
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newNetBorrowLimitPerWindowQuote == null &&
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newWeightScaleQuote == null
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) {
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return;
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}
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const params = Builder(NullTokenEditParams)
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.netBorrowLimitPerWindowQuote(newNetBorrowLimitPerWindowQuote)
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.borrowWeightScaleStartQuote(newWeightScaleQuote)
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.depositWeightScaleStartQuote(newWeightScaleQuote)
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.build();
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const params = Builder(NullTokenEditParams).build();
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const ix = await client.program.methods
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.tokenEdit(
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@ -224,21 +247,6 @@ async function updateTokenParams(): Promise<void> {
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throw simulated.value.logs;
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}
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console.log(`Bank ${bank.name}`);
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console.log(
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`- netBorrowLimitPerWindowQuote UI old ${toUiDecimalsForQuote(
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bank.netBorrowLimitPerWindowQuote.toNumber(),
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).toLocaleString()} new ${toUiDecimalsForQuote(
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newNetBorrowLimitPerWindowQuote!,
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).toLocaleString()}`,
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);
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console.log(
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`- WeightScaleQuote UI old ${toUiDecimalsForQuote(
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bank.depositWeightScaleStartQuote,
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).toLocaleString()} new ${toUiDecimalsForQuote(
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newWeightScaleQuote!,
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).toLocaleString()}`,
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);
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instructions.push(ix);
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});
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