blockworks-foundation
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mango-v4
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Fix price, & size computation while placing serum3 order 

Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>
This commit is contained in:
microwavedcola1 2022-04-08 16:57:37 +02:00
parent 89aa667985
commit 9df109b141
2 changed files with 136 additions and 11 deletions
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79
ts/client.ts
View File

@ -1,5 +1,6 @@
import { BN, Program, Provider } from '@project-serum/anchor';
import { Market } from '@project-serum/serum';
import { getFeeRates, getFeeTier, Market } from '@project-serum/serum';
import { Order } from '@project-serum/serum/lib/market';
import * as spl from '@solana/spl-token';
import {
AccountMeta,
@ -383,9 +384,8 @@ export class MangoClient {
serum3ProgramId: PublicKey,
serum3MarketName: string,
side: Serum3Side,
limitPrice: number,
maxBaseQty: number,
maxNativeQuoteQtyIncludingFees: number,
price: number,
size: number,
selfTradeBehavior: Serum3SelfTradeBehavior,
orderType: Serum3OrderType,
clientOrderId: number,
@ -421,12 +421,25 @@ export class MangoClient {
const healthRemainingAccounts: PublicKey[] =
await this.buildHealthRemainingAccounts(group, mangoAccount);
const limitPrice = serum3MarketExternal.priceNumberToLots(price);
const maxBaseQuantity = serum3MarketExternal.baseSizeNumberToLots(size);
const feeTier = getFeeTier(0, 0 /** TODO: fix msrm/srm balance */);
const rates = getFeeRates(feeTier);
const maxQuoteQuantity = new BN(
serum3MarketExternal.decoded.quoteLotSize.toNumber() *
(1 + rates.taker) /** TODO: fix taker/maker */,
).mul(
serum3MarketExternal
.baseSizeNumberToLots(size)
.mul(serum3MarketExternal.priceNumberToLots(price)),
);
return await this.program.methods
.serum3PlaceOrder(
side,
new BN(limitPrice),
new BN(maxBaseQty),
new BN(maxNativeQuoteQtyIncludingFees),
limitPrice,
maxBaseQuantity,
maxQuoteQuantity,
selfTradeBehavior,
orderType,
new BN(clientOrderId),
@ -463,6 +476,58 @@ export class MangoClient {
.rpc();
}
async cancelSerumOrder(
group: Group,
mangoAccount: MangoAccount,
serum3ProgramId: PublicKey,
serum3MarketName: string,
side: Serum3Side,
orderId: BN,
): Promise<TransactionSignature> {
const serum3Market = group.serum3MarketsMap.get(serum3MarketName)!;
const serum3MarketExternal = await Market.load(
this.program.provider.connection,
serum3Market.serumMarketExternal,
{ commitment: this.program.provider.connection.commitment },
serum3ProgramId,
);
return await this.program.methods
.serum3CancelOrder(side, orderId)
.accounts({
group: group.publicKey,
account: mangoAccount.publicKey,
openOrders: mangoAccount.findSerum3Account(serum3Market.marketIndex)
?.openOrders,
serumMarket: serum3Market.publicKey,
serumProgram: serum3ProgramId,
serumMarketExternal: serum3Market.serumMarketExternal,
marketBids: serum3MarketExternal.bidsAddress,
marketAsks: serum3MarketExternal.asksAddress,
marketEventQueue: serum3MarketExternal.decoded.eventQueue,
})
.rpc();
}
async getSerum3Orders(
group: Group,
serum3ProgramId: PublicKey,
serum3MarketName: string,
): Promise<Order[]> {
const serum3Market = group.serum3MarketsMap.get(serum3MarketName)!;
const serum3MarketExternal = await Market.load(
this.program.provider.connection,
serum3Market.serumMarketExternal,
{ commitment: this.program.provider.connection.commitment },
serum3ProgramId,
);
return await serum3MarketExternal.loadOrdersForOwner(
this.program.provider.connection,
group.publicKey,
);
}
/// static
static async connect(

68
ts/example1-user.ts
View File

@ -48,22 +48,82 @@ async function main() {
await client.withdraw(group, mangoAccount, 'USDC', 500000, false);
// serum3
console.log(`Placing serum3 order`);
console.log(
`Placing serum3 bid which would not be settled since its relatively low then midprice`,
);
await client.serum3PlaceOrder(
group,
mangoAccount,
DEVNET_SERUM3_PROGRAM_ID,
'BTC/USDC',
Serum3Side.bid,
40000,
1,
1000000,
20000,
0.0001,
Serum3SelfTradeBehavior.decrementTake,
Serum3OrderType.limit,
Date.now(),
10,
);
console.log(`Placing serum3 bid way above midprice`);
await client.serum3PlaceOrder(
group,
mangoAccount,
DEVNET_SERUM3_PROGRAM_ID,
'BTC/USDC',
Serum3Side.bid,
90000,
0.0001,
Serum3SelfTradeBehavior.decrementTake,
Serum3OrderType.limit,
Date.now(),
10,
);
console.log(`Placing serum3 ask way below midprice`);
await client.serum3PlaceOrder(
group,
mangoAccount,
DEVNET_SERUM3_PROGRAM_ID,
'BTC/USDC',
Serum3Side.ask,
30000,
0.0001,
Serum3SelfTradeBehavior.decrementTake,
Serum3OrderType.limit,
Date.now(),
10,
);
console.log(`Current own orders on OB...`);
let orders = await client.getSerum3Orders(
group,
DEVNET_SERUM3_PROGRAM_ID,
'BTC/USDC',
);
for (const order of orders) {
console.log(
`Order orderId ${order.orderId}, ${order.side}, ${order.price}, ${order.size}`,
);
console.log(`Cancelling order with ${order.orderId}`);
await client.cancelSerumOrder(
group,
mangoAccount,
DEVNET_SERUM3_PROGRAM_ID,
'BTC/USDC',
order.side === 'buy' ? Serum3Side.bid : Serum3Side.ask,
order.orderId,
);
}
console.log(`Current own orders on OB...`);
orders = await client.getSerum3Orders(
group,
DEVNET_SERUM3_PROGRAM_ID,
'BTC/USDC',
);
for (const order of orders) {
console.log(order);
}
process.exit();
}