ensure that freshly fetched objects have valid prices until we fetch … (#409)
* ensure that freshly fetched objects have valid prices until we fetch oracles again Signed-off-by: microwavedcola1 <microwavedcola@gmail.com> * fix Signed-off-by: microwavedcola1 <microwavedcola@gmail.com> * fixes from review Signed-off-by: microwavedcola1 <microwavedcola@gmail.com> Signed-off-by: microwavedcola1 <microwavedcola@gmail.com>
This commit is contained in:
microwavedcola1
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parent
8b4a4c82fb
commit
bb35aa66dc
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@ -8,6 +8,7 @@ import {
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PublicKey,
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} from '@solana/web3.js';
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import BN from 'bn.js';
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import { cloneDeep, merge } from 'lodash';
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import { MangoClient } from '../client';
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import { OPENBOOK_PROGRAM_ID } from '../constants';
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import { Id } from '../ids';
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@ -149,10 +150,17 @@ export class Group {
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banks = await client.getBanksForGroup(this);
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}
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const oldbanksMapByTokenIndex = cloneDeep(this.banksMapByTokenIndex);
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this.banksMapByName = new Map();
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this.banksMapByMint = new Map();
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this.banksMapByTokenIndex = new Map();
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for (const bank of banks) {
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// ensure that freshly fetched banks have valid price until we fetch oracles again
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const oldBanks = oldbanksMapByTokenIndex.get(bank.tokenIndex);
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if (oldBanks && oldBanks.length > 0) {
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merge(bank, oldBanks[0]);
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}
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const mintId = bank.mint.toString();
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if (this.banksMapByMint.has(mintId)) {
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this.banksMapByMint.get(mintId)?.push(bank);
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@ -258,6 +266,19 @@ export class Group {
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perpMarkets = await client.perpGetMarkets(this);
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}
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// ensure that freshly fetched perp markets have valid price until we fetch oracles again
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const oldPerpMarketByMarketIndex = cloneDeep(
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this.perpMarketsMapByMarketIndex,
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);
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for (const perpMarket of perpMarkets) {
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const oldPerpMarket = oldPerpMarketByMarketIndex.get(
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perpMarket.perpMarketIndex,
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);
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if (oldPerpMarket) {
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merge(perpMarket, oldPerpMarket);
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}
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}
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this.perpMarketsMapByName = new Map(
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perpMarkets.map((perpMarket) => [perpMarket.name, perpMarket]),
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);
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@ -1,7 +1,8 @@
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import { BN } from '@project-serum/anchor';
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import { OpenOrders } from '@project-serum/serum';
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import { expect } from 'chai';
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import _ from 'lodash';
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import { cloneDeep, range } from 'lodash';
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import { I80F48, ONE_I80F48, ZERO_I80F48 } from '../numbers/I80F48';
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import { BankForHealth, StablePriceModel, TokenIndex } from './bank';
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import { HealthCache, PerpInfo, Serum3Info, TokenInfo } from './healthCache';
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@ -439,7 +440,7 @@ describe('Health Cache', () => {
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priceFactor: number,
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maxSwapFn: (HealthCache) => I80F48,
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): number[] {
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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const sourcePrice = clonedHc.tokenInfos[source].prices;
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const targetPrice = clonedHc.tokenInfos[target].prices;
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@ -456,7 +457,7 @@ describe('Health Cache', () => {
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function valueForAmount(amount: I80F48): I80F48 {
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// adjust token balance
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const clonedHcClone: HealthCache = _.cloneDeep(clonedHc);
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const clonedHcClone: HealthCache = cloneDeep(clonedHc);
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clonedHc.tokenInfos[source].balanceNative.isub(amount);
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clonedHc.tokenInfos[target].balanceNative.iadd(amount.mul(swapPrice));
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return maxSwapFn(clonedHcClone);
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@ -506,13 +507,13 @@ describe('Health Cache', () => {
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{
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console.log(' - test 0');
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// adjust by usdc
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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clonedHc.tokenInfos[1].balanceNative.iadd(
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I80F48.fromNumber(100).div(clonedHc.tokenInfos[1].prices.oracle),
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);
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for (const priceFactor of [0.1, 0.9, 1.1]) {
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for (const target of _.range(1, 100, 1)) {
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for (const target of range(1, 100, 1)) {
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checkMaxSwapResult(
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clonedHc,
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0 as TokenIndex,
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@ -555,7 +556,7 @@ describe('Health Cache', () => {
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{
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console.log(' - test 1');
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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// adjust by usdc
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clonedHc.tokenInfos[0].balanceNative.iadd(
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I80F48.fromNumber(-20).div(clonedHc.tokenInfos[0].prices.oracle),
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@ -565,7 +566,7 @@ describe('Health Cache', () => {
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);
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for (const priceFactor of [0.1, 0.9, 1.1]) {
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for (const target of _.range(1, 100, 1)) {
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for (const target of range(1, 100, 1)) {
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checkMaxSwapResult(
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clonedHc,
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0 as TokenIndex,
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@ -604,7 +605,7 @@ describe('Health Cache', () => {
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{
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console.log(' - test 2');
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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// adjust by usdc
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clonedHc.tokenInfos[0].balanceNative.iadd(
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I80F48.fromNumber(-50).div(clonedHc.tokenInfos[0].prices.oracle),
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@ -626,7 +627,7 @@ describe('Health Cache', () => {
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{
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console.log(' - test 3');
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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// adjust by usdc
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clonedHc.tokenInfos[0].balanceNative.iadd(
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I80F48.fromNumber(-30).div(clonedHc.tokenInfos[0].prices.oracle),
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@ -655,7 +656,7 @@ describe('Health Cache', () => {
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{
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console.log(' - test 4');
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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// adjust by usdc
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clonedHc.tokenInfos[0].balanceNative.iadd(
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I80F48.fromNumber(100).div(clonedHc.tokenInfos[0].prices.oracle),
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@ -701,7 +702,7 @@ describe('Health Cache', () => {
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{
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console.log(' - test 6');
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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clonedHc.serum3Infos = [
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new Serum3Info(
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I80F48.fromNumber(30 / 3),
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@ -724,7 +725,7 @@ describe('Health Cache', () => {
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);
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for (const priceFactor of [0.9, 1.1]) {
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for (const target of _.range(1, 100, 1)) {
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for (const target of range(1, 100, 1)) {
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checkMaxSwapResult(
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clonedHc,
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0 as TokenIndex,
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@ -780,7 +781,7 @@ describe('Health Cache', () => {
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{
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// check starting with negative health but swapping can make it positive
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console.log(' - test 7');
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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// adjust by usdc
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clonedHc.tokenInfos[0].balanceNative.iadd(
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@ -792,7 +793,7 @@ describe('Health Cache', () => {
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expect(clonedHc.health(HealthType.init).toNumber() < 0);
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for (const priceFactor of [0.9, 1.1]) {
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for (const target of _.range(1, 100, 1)) {
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for (const target of range(1, 100, 1)) {
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checkMaxSwapResult(
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clonedHc,
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1 as TokenIndex,
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@ -808,7 +809,7 @@ describe('Health Cache', () => {
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{
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// check starting with negative health but swapping can't make it positive
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console.log(' - test 8');
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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// adjust by usdc
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clonedHc.tokenInfos[0].balanceNative.iadd(
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@ -820,7 +821,7 @@ describe('Health Cache', () => {
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expect(clonedHc.health(HealthType.init).toNumber() < 0);
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for (const priceFactor of [0.9, 1.1]) {
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for (const target of _.range(1, 100, 1)) {
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for (const target of range(1, 100, 1)) {
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checkMaxSwapResult(
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clonedHc,
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1 as TokenIndex,
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@ -836,7 +837,7 @@ describe('Health Cache', () => {
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{
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// swap some assets into a zero-asset-weight token
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console.log(' - test 9');
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const clonedHc: HealthCache = _.cloneDeep(hc);
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const clonedHc: HealthCache = cloneDeep(hc);
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// adjust by usdc
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clonedHc.tokenInfos[0].balanceNative.iadd(
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@ -855,7 +856,7 @@ describe('Health Cache', () => {
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);
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for (const priceFactor of [0.9, 1.1]) {
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for (const target of _.range(1, 100, 1)) {
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for (const target of range(1, 100, 1)) {
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checkMaxSwapResult(
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clonedHc,
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0 as TokenIndex,
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@ -918,7 +919,7 @@ describe('Health Cache', () => {
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let baseNative = I80F48.fromNumber(baseLots1).mul(
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I80F48.fromNumber(baseLotSize),
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);
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let hcClone: HealthCache = _.cloneDeep(hc);
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let hcClone: HealthCache = cloneDeep(hc);
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hcClone.perpInfos[0].baseLots.iadd(new BN(baseLots1));
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hcClone.perpInfos[0].quote.isub(baseNative.mul(tradePrice));
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const actualRatio = hcClone.healthRatio(HealthType.init);
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@ -926,7 +927,7 @@ describe('Health Cache', () => {
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// the ratio for trading just one base lot extra
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const baseLots2 = direction * (baseLots0 + 1);
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baseNative = I80F48.fromNumber(baseLots2 * baseLotSize);
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hcClone = _.cloneDeep(hc);
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hcClone = cloneDeep(hc);
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hcClone.perpInfos[0].baseLots.iadd(new BN(baseLots2));
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hcClone.perpInfos[0].quote.isub(baseNative.mul(tradePrice));
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const plusRatio = hcClone.healthRatio(HealthType.init);
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@ -956,7 +957,7 @@ describe('Health Cache', () => {
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// adjust token
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hc.tokenInfos[0].balanceNative.iadd(I80F48.fromNumber(3000));
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for (const existing of [-5, 0, 3]) {
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const hcClone: HealthCache = _.cloneDeep(hc);
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const hcClone: HealthCache = cloneDeep(hc);
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hcClone.perpInfos[0].baseLots.iadd(new BN(existing));
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hcClone.perpInfos[0].quote.isub(
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I80F48.fromNumber(existing * baseLotSize * 2),
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@ -966,7 +967,7 @@ describe('Health Cache', () => {
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`existing ${existing} ${side === PerpOrderSide.bid ? 'bid' : 'ask'}`,
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);
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for (const priceFactor of [0.8, 1.0, 1.1]) {
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for (const ratio of _.range(1, 101, 1)) {
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for (const ratio of range(1, 101, 1)) {
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checkMaxTrade(hcClone, side, ratio, priceFactor);
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}
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}
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@ -1,7 +1,7 @@
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import { BN } from '@project-serum/anchor';
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import { OpenOrders } from '@project-serum/serum';
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import { PublicKey } from '@solana/web3.js';
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import _ from 'lodash';
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import { cloneDeep } from 'lodash';
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import {
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HUNDRED_I80F48,
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I80F48,
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@ -346,7 +346,7 @@ export class HealthCache {
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}[],
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healthType: HealthType = HealthType.init,
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): I80F48 {
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const adjustedCache: HealthCache = _.cloneDeep(this);
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const adjustedCache: HealthCache = cloneDeep(this);
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// HealthCache.logHealthCache('beforeChange', adjustedCache);
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for (const change of nativeTokenChanges) {
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const bank: Bank = group.getFirstBankByMint(change.mintPk);
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@ -423,7 +423,7 @@ export class HealthCache {
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serum3Market: Serum3Market,
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healthType: HealthType = HealthType.init,
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): I80F48 {
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const adjustedCache: HealthCache = _.cloneDeep(this);
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const adjustedCache: HealthCache = cloneDeep(this);
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const quoteIndex = adjustedCache.getOrCreateTokenInfoIndex(quoteBank);
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// Move token balance to reserved funds in open orders,
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@ -454,7 +454,7 @@ export class HealthCache {
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serum3Market: Serum3Market,
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healthType: HealthType = HealthType.init,
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): I80F48 {
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const adjustedCache: HealthCache = _.cloneDeep(this);
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const adjustedCache: HealthCache = cloneDeep(this);
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const baseIndex = adjustedCache.getOrCreateTokenInfoIndex(baseBank);
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// Move token balance to reserved funds in open orders,
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@ -521,7 +521,7 @@ export class HealthCache {
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price: I80F48,
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healthType: HealthType = HealthType.init,
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): I80F48 {
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const clonedHealthCache: HealthCache = _.cloneDeep(this);
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const clonedHealthCache: HealthCache = cloneDeep(this);
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const perpInfoIndex =
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clonedHealthCache.getOrCreatePerpInfoIndex(perpMarket);
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clonedHealthCache.adjustPerpInfo(perpInfoIndex, price, side, baseLots);
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@ -781,7 +781,7 @@ export class HealthCache {
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const initialRatio = this.healthRatio(HealthType.init);
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// eslint-disable-next-line @typescript-eslint/no-unused-vars
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const healthCacheClone: HealthCache = _.cloneDeep(this);
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const healthCacheClone: HealthCache = cloneDeep(this);
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const sourceIndex = healthCacheClone.getOrCreateTokenInfoIndex(sourceBank);
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const targetIndex = healthCacheClone.getOrCreateTokenInfoIndex(targetBank);
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@ -815,7 +815,7 @@ export class HealthCache {
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// The maximum will be at one of these points (ignoring serum3 effects).
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function cacheAfterSwap(amount: I80F48): HealthCache {
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const adjustedCache: HealthCache = _.cloneDeep(healthCacheClone);
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const adjustedCache: HealthCache = cloneDeep(healthCacheClone);
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// adjustedCache.logHealthCache('beforeSwap', adjustedCache);
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// TODO: make a copy of the bank, apply amount, recompute weights,
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// and set the new weights on the tokenInfos
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@ -912,7 +912,7 @@ export class HealthCache {
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side: Serum3Side,
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minRatio: I80F48,
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): I80F48 {
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const healthCacheClone: HealthCache = _.cloneDeep(this);
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const healthCacheClone: HealthCache = cloneDeep(this);
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const baseIndex = healthCacheClone.getOrCreateTokenInfoIndex(baseBank);
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const quoteIndex = healthCacheClone.getOrCreateTokenInfoIndex(quoteBank);
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@ -987,7 +987,7 @@ export class HealthCache {
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// console.log(` - zeroAmountRatio ${zeroAmountRatio.toLocaleString()}`);
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function cacheAfterPlacingOrder(amount: I80F48): HealthCache {
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const adjustedCache: HealthCache = _.cloneDeep(healthCacheClone);
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const adjustedCache: HealthCache = cloneDeep(healthCacheClone);
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// adjustedCache.logHealthCache(` before placing order ${amount}`);
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// TODO: there should also be some issue with oracle vs stable price here;
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// probably better to pass in not the quote amount but the base or quote native amount
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@ -1038,7 +1038,7 @@ export class HealthCache {
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side: PerpOrderSide,
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minRatio: I80F48,
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): I80F48 {
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const healthCacheClone: HealthCache = _.cloneDeep(this);
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const healthCacheClone: HealthCache = cloneDeep(this);
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const initialRatio = this.healthRatio(HealthType.init);
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if (initialRatio.lt(ZERO_I80F48())) {
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@ -1066,7 +1066,7 @@ export class HealthCache {
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}
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function cacheAfterTrade(baseLots: BN): HealthCache {
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const adjustedCache: HealthCache = _.cloneDeep(healthCacheClone);
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const adjustedCache: HealthCache = cloneDeep(healthCacheClone);
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// adjustedCache.logHealthCache(' -- before trade');
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adjustedCache.adjustPerpInfo(perpInfoIndex, price, side, baseLots);
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// adjustedCache.logHealthCache(' -- after trade');
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