log taker trade summary (#579)

* add new event for taker trade so arb bots can verify their execution cost without waiting for consume events

Co-authored-by: Nicholas <nicholasgclarke@gmail.com>

CHANGELOG.md

@@ -4,6 +4,8 @@ Update this for each program release and mainnet deployment.
 
 ## not on mainnet
 
+- New event: PerpTakerTradeLog immdediatly logs your last trade execution (#579)
+
 ## mainnet
 
 ### v0.15.0, 2023-5-11

mango_v4.json

@@ -9172,6 +9172,51 @@
         }
       ]
     },
+    {
+      "name": "PerpTakerTradeLog",
+      "fields": [
+        {
+          "name": "mangoGroup",
+          "type": "publicKey",
+          "index": false
+        },
+        {
+          "name": "mangoAccount",
+          "type": "publicKey",
+          "index": false
+        },
+        {
+          "name": "perpMarketIndex",
+          "type": "u16",
+          "index": false
+        },
+        {
+          "name": "takerSide",
+          "type": "u8",
+          "index": false
+        },
+        {
+          "name": "totalBaseLotsTaken",
+          "type": "i64",
+          "index": false
+        },
+        {
+          "name": "totalQuoteLotsTaken",
+          "type": "i64",
+          "index": false
+        },
+        {
+          "name": "takerFeesPaid",
+          "type": "i128",
+          "index": false
+        },
+        {
+          "name": "feePenalty",
+          "type": "i128",
+          "index": false
+        }
+      ]
+    },
     {
       "name": "PerpForceClosePositionLog",
       "fields": [

programs/mango-v4/src/logs.rs

@@ -397,6 +397,18 @@ pub struct FilledPerpOrderLog {
     pub seq_num: u64,
 }
 
+#[event]
+pub struct PerpTakerTradeLog {
+    pub mango_group: Pubkey,
+    pub mango_account: Pubkey,
+    pub perp_market_index: u16,
+    pub taker_side: u8,
+    pub total_base_lots_taken: i64,
+    pub total_quote_lots_taken: i64, // exclusive fees paid
+    pub taker_fees_paid: i128,       // in native quote units
+    pub fee_penalty: i128,           // in native quote units
+}
+
 #[event]
 pub struct PerpForceClosePositionLog {
     pub mango_group: Pubkey,

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

@@ -1,4 +1,4 @@
-use crate::logs::FilledPerpOrderLog;
+use crate::logs::{FilledPerpOrderLog, PerpTakerTradeLog};
 use crate::state::MangoAccountRefMut;
 use crate::{
     error::*,
@@ -64,9 +64,11 @@ impl<'a> Orderbook<'a> {
         let order_id = market.gen_order_id(side, price_data);
 
         // IOC orders have a fee penalty applied regardless of match
-        if order.needs_penalty_fee() {
-            apply_penalty(market, mango_account)?;
-        }
+        let fee_penalty = if order.needs_penalty_fee() {
+            apply_penalty(market, mango_account)?
+        } else {
+            I80F48::ZERO
+        };
 
         let perp_position = mango_account.perp_position_mut(market.perp_market_index)?;
 
@@ -165,7 +167,7 @@ impl<'a> Orderbook<'a> {
             emit!(FilledPerpOrderLog {
                 mango_group: market.group.key(),
                 perp_market_index: market.perp_market_index,
-                seq_num: seq_num,
+                seq_num,
             });
         }
         let total_quote_lots_taken = order.max_quote_lots - remaining_quote_lots;
@@ -177,7 +179,17 @@ impl<'a> Orderbook<'a> {
         // realized when the fill event gets executed
         if total_quote_lots_taken > 0 || total_base_lots_taken > 0 {
             perp_position.add_taker_trade(side, total_base_lots_taken, total_quote_lots_taken);
-            apply_fees(market, mango_account, total_quote_lots_taken)?;
+            let taker_fees_paid = apply_fees(market, mango_account, total_quote_lots_taken)?;
+            emit!(PerpTakerTradeLog {
+                mango_group: market.group.key(),
+                mango_account: *mango_account_pk,
+                perp_market_index: market.perp_market_index,
+                taker_side: side as u8,
+                total_base_lots_taken,
+                total_quote_lots_taken,
+                taker_fees_paid: taker_fees_paid.to_bits(),
+                fee_penalty: fee_penalty.to_bits(),
+            });
         }
 
         // Apply changes to matched asks (handles invalidate on delete!)
@@ -365,7 +377,7 @@ fn apply_fees(
     market: &mut PerpMarket,
     account: &mut MangoAccountRefMut,
     quote_lots: i64,
-) -> Result<()> {
+) -> Result<I80F48> {
     let quote_native = I80F48::from_num(market.quote_lot_size * quote_lots);
 
     // The maker fees apply to the maker's account only when the fill event is consumed.
@@ -391,11 +403,11 @@ fn apply_fees(
     // breaks assumptions.
     market.fees_accrued += taker_fees + maker_fees;
 
-    Ok(())
+    Ok(taker_fees)
 }
 
 /// Applies a fixed penalty fee to the account, and update the market's fees_accrued
-fn apply_penalty(market: &mut PerpMarket, account: &mut MangoAccountRefMut) -> Result<()> {
+fn apply_penalty(market: &mut PerpMarket, account: &mut MangoAccountRefMut) -> Result<I80F48> {
     let fee_penalty = I80F48::from_num(market.fee_penalty);
     account
         .fixed
@@ -404,5 +416,5 @@ fn apply_penalty(market: &mut PerpMarket, account: &mut MangoAccountRefMut) -> R
     let perp_position = account.perp_position_mut(market.perp_market_index)?;
     perp_position.record_trading_fee(fee_penalty);
     market.fees_accrued += fee_penalty;
-    Ok(())
+    Ok(fee_penalty)
 }

ts/client/src/mango_v4.ts

@@ -9172,6 +9172,51 @@ export type MangoV4 = {
         }
       ]
     },
+    {
+      "name": "PerpTakerTradeLog",
+      "fields": [
+        {
+          "name": "mangoGroup",
+          "type": "publicKey",
+          "index": false
+        },
+        {
+          "name": "mangoAccount",
+          "type": "publicKey",
+          "index": false
+        },
+        {
+          "name": "perpMarketIndex",
+          "type": "u16",
+          "index": false
+        },
+        {
+          "name": "takerSide",
+          "type": "u8",
+          "index": false
+        },
+        {
+          "name": "totalBaseLotsTaken",
+          "type": "i64",
+          "index": false
+        },
+        {
+          "name": "totalQuoteLotsTaken",
+          "type": "i64",
+          "index": false
+        },
+        {
+          "name": "takerFeesPaid",
+          "type": "i128",
+          "index": false
+        },
+        {
+          "name": "feePenalty",
+          "type": "i128",
+          "index": false
+        }
+      ]
+    },
     {
       "name": "PerpForceClosePositionLog",
       "fields": [
@@ -18686,6 +18731,51 @@ export const IDL: MangoV4 = {
         }
       ]
     },
+    {
+      "name": "PerpTakerTradeLog",
+      "fields": [
+        {
+          "name": "mangoGroup",
+          "type": "publicKey",
+          "index": false
+        },
+        {
+          "name": "mangoAccount",
+          "type": "publicKey",
+          "index": false
+        },
+        {
+          "name": "perpMarketIndex",
+          "type": "u16",
+          "index": false
+        },
+        {
+          "name": "takerSide",
+          "type": "u8",
+          "index": false
+        },
+        {
+          "name": "totalBaseLotsTaken",
+          "type": "i64",
+          "index": false
+        },
+        {
+          "name": "totalQuoteLotsTaken",
+          "type": "i64",
+          "index": false
+        },
+        {
+          "name": "takerFeesPaid",
+          "type": "i128",
+          "index": false
+        },
+        {
+          "name": "feePenalty",
+          "type": "i128",
+          "index": false
+        }
+      ]
+    },
     {
       "name": "PerpForceClosePositionLog",
       "fields": [