liquidator: Deal with net-borrow restricted tcs executions
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@ -12,14 +12,16 @@ use {anyhow::Context, fixed::types::I80F48, solana_sdk::pubkey::Pubkey};
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use crate::{token_swap_info, util};
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use crate::{token_swap_info, util};
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// The liqee health ratio to aim for when executing tcs orders that are bigger
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/// When computing the max possible swap for a liqee, assume the price is this fraction worse for them.
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// than the liqee can support.
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///
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//
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/// That way when executing the swap, the prices may move this much against the liqee without
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// The background here is that the program considers bringing the liqee health ratio
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/// making the whole execution fail.
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// below 1% as "the tcs was completely fulfilled" and then closes the tcs.
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const SLIPPAGE_BUFFER: f64 = 0.01; // 1%
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// Choosing a value too close to 0 is problematic, since then small oracle fluctuations
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// could bring the final health below 0 and make the triggering invalid!
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/// If a tcs gets limited due to exhausted net borrows, don't trigger execution if
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const TARGET_HEALTH_RATIO: f64 = 0.5;
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/// the possible value is below this amount. This avoids spamming executions when net
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/// borrows are exhausted.
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const NET_BORROW_EXECUTION_THRESHOLD: u64 = 1_000_000; // 1 USD
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pub struct Config {
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pub struct Config {
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pub min_health_ratio: f64,
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pub min_health_ratio: f64,
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@ -154,27 +156,21 @@ async fn execute_token_conditional_swap(
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let base_price = buy_token_price / sell_token_price;
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let base_price = buy_token_price / sell_token_price;
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let premium_price = tcs.premium_price(base_price.to_num());
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let premium_price = tcs.premium_price(base_price.to_num());
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let maker_price = I80F48::from_num(tcs.maker_price(premium_price));
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let taker_price = I80F48::from_num(tcs.taker_price(premium_price));
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let taker_price = I80F48::from_num(tcs.taker_price(premium_price));
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let max_take_quote = I80F48::from(config.max_trigger_quote_amount);
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let max_take_quote = I80F48::from(config.max_trigger_quote_amount);
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let liqee_target_health_ratio = I80F48::from_num(TARGET_HEALTH_RATIO);
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let (liqee_max_buy, liqee_max_sell) =
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match tcs_max_liqee_execution(liqee, mango_client, account_fetcher, tcs)? {
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let max_sell_token_to_liqor = util::max_swap_source(
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Some(v) => v,
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mango_client,
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None => return Ok(false),
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account_fetcher,
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};
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&liqee,
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let max_sell_token_to_liqor = liqee_max_sell;
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tcs.sell_token_index,
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tcs.buy_token_index,
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I80F48::ONE / maker_price,
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liqee_target_health_ratio,
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)?
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.min(max_take_quote / sell_token_price)
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.floor()
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.to_num::<u64>()
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.min(tcs.remaining_sell());
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// In addition to the liqee's requirements, the liqor also has requirements:
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// - only swap while the health ratio stays high enough
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// - possible net borrow limit restrictions from the liqor borrowing the buy token
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// - liqor has a max_take_quote
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let max_buy_token_to_liqee = util::max_swap_source(
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let max_buy_token_to_liqee = util::max_swap_source(
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mango_client,
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mango_client,
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account_fetcher,
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account_fetcher,
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@ -187,7 +183,7 @@ async fn execute_token_conditional_swap(
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.min(max_take_quote / buy_token_price)
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.min(max_take_quote / buy_token_price)
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.floor()
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.floor()
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.to_num::<u64>()
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.to_num::<u64>()
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.min(tcs.remaining_buy());
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.min(liqee_max_buy);
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if max_sell_token_to_liqor == 0 || max_buy_token_to_liqee == 0 {
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if max_sell_token_to_liqor == 0 || max_buy_token_to_liqee == 0 {
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return Ok(false);
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return Ok(false);
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@ -332,8 +328,46 @@ fn tcs_max_volume(
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mango_client: &MangoClient,
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mango_client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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account_fetcher: &chain_data::AccountFetcher,
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tcs: &TokenConditionalSwap,
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tcs: &TokenConditionalSwap,
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) -> anyhow::Result<u64> {
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) -> anyhow::Result<Option<u64>> {
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// Compute the max viable swap (for liqor and liqee) and min it
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let buy_bank_pk = mango_client
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.context
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.mint_info(tcs.buy_token_index)
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.first_bank();
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let sell_bank_pk = mango_client
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.context
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.mint_info(tcs.sell_token_index)
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.first_bank();
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let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank_pk)?;
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let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank_pk)?;
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let (max_buy, max_sell) =
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match tcs_max_liqee_execution(account, mango_client, account_fetcher, tcs)? {
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Some(v) => v,
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None => return Ok(None),
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};
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let max_quote =
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(I80F48::from(max_buy) * buy_token_price).min(I80F48::from(max_sell) * sell_token_price);
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Ok(Some(max_quote.floor().clamp_to_u64()))
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}
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/// Compute the max viable swap for liqee
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/// This includes
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/// - tcs restrictions (remaining buy/sell, create borrows/deposits)
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/// - reduce only banks
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/// - net borrow limits on BOTH sides, even though the buy side is technically
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/// a liqor limitation: the liqor could acquire the token before trying the
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/// execution... but in practice the liqor will work on margin
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///
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/// Returns Some((native buy amount, native sell amount)) if execution is sensible
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/// Returns None if the execution should be skipped (due to net borrow limits...)
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fn tcs_max_liqee_execution(
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account: &MangoAccountValue,
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mango_client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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tcs: &TokenConditionalSwap,
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) -> anyhow::Result<Option<(u64, u64)>> {
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let buy_bank_pk = mango_client
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let buy_bank_pk = mango_client
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.context
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.context
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.mint_info(tcs.buy_token_index)
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.mint_info(tcs.buy_token_index)
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@ -347,6 +381,10 @@ fn tcs_max_volume(
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let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank_pk)?;
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let buy_token_price = account_fetcher.fetch_bank_price(&buy_bank_pk)?;
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let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank_pk)?;
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let sell_token_price = account_fetcher.fetch_bank_price(&sell_bank_pk)?;
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let base_price = buy_token_price / sell_token_price;
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let premium_price = tcs.premium_price(base_price.to_num());
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let maker_price = tcs.maker_price(premium_price);
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let buy_position = account
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let buy_position = account
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.token_position(tcs.buy_token_index)
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.token_position(tcs.buy_token_index)
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.map(|p| p.native(&buy_bank))
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.map(|p| p.native(&buy_bank))
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@ -356,31 +394,67 @@ fn tcs_max_volume(
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.map(|p| p.native(&sell_bank))
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.map(|p| p.native(&sell_bank))
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.unwrap_or(I80F48::ZERO);
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.unwrap_or(I80F48::ZERO);
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let base_price = buy_token_price / sell_token_price;
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// this is in "buy token received per sell token given" units
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let premium_price = tcs.premium_price(base_price.to_num());
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let swap_price = I80F48::from_num((1.0 - SLIPPAGE_BUFFER) / maker_price);
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let maker_price = tcs.maker_price(premium_price);
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let max_sell_ignoring_net_borrows = util::max_swap_source_ignore_net_borrows(
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let liqee_target_health_ratio = I80F48::from_num(TARGET_HEALTH_RATIO);
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let max_sell = util::max_swap_source(
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mango_client,
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mango_client,
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account_fetcher,
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account_fetcher,
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&account,
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&account,
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tcs.sell_token_index,
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tcs.sell_token_index,
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tcs.buy_token_index,
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tcs.buy_token_index,
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I80F48::from_num(1.0 / maker_price),
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swap_price,
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liqee_target_health_ratio,
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I80F48::ZERO,
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)?
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)?
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.floor()
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.floor()
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.to_num::<u64>()
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.to_num::<u64>()
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.min(tcs.max_sell_for_position(sell_position, &sell_bank));
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.min(tcs.max_sell_for_position(sell_position, &sell_bank));
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let max_buy = tcs.max_buy_for_position(buy_position, &buy_bank);
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let max_buy_ignoring_net_borrows = tcs.max_buy_for_position(buy_position, &buy_bank);
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let max_quote =
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// What follows is a complex manual handling of net borrow limits, for the following reason:
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(I80F48::from(max_buy) * buy_token_price).min(I80F48::from(max_sell) * sell_token_price);
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// Usually, we _do_ want to execute tcs even for small amounts because that will close the
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// tcs order: either due to full execution or due to the health threshold being reached.
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//
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// However, when the net borrow limits are hit, we do _not_ want to close the tcs order
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// even though no further execution is possible at that time. Furthermore, we don't even
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// want to send a too-tiny tcs execution transaction, because there's a good chance we
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// would then be sending lot of those as oracle prices fluctuate.
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//
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// Thus, we need to detect if the possible execution amount is tiny _because_ of the
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// net borrow limits. Then skip. If it's tiny for other reasons we can proceed.
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Ok(max_quote.floor().clamp_to_u64())
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fn available_borrows(bank: &Bank, price: I80F48) -> u64 {
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if bank.net_borrow_limit_per_window_quote < 0 {
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u64::MAX
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} else {
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let limit = (I80F48::from(bank.net_borrow_limit_per_window_quote) / price)
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.floor()
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.clamp_to_i64();
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(limit - bank.net_borrows_in_window).max(0) as u64
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}
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}
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let available_buy_borrows = available_borrows(&buy_bank, buy_token_price);
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let available_sell_borrows = available_borrows(&sell_bank, sell_token_price);
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// This technically depends on the liqor's buy token position, but we
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// just assume it'll be fully margined here
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let max_buy = max_buy_ignoring_net_borrows.min(available_buy_borrows);
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let sell_borrows = (I80F48::from(max_sell_ignoring_net_borrows) - sell_position).clamp_to_u64();
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let max_sell =
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max_sell_ignoring_net_borrows - sell_borrows + sell_borrows.min(available_sell_borrows);
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let tiny_due_to_net_borrows = {
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let buy_threshold = I80F48::from(NET_BORROW_EXECUTION_THRESHOLD) / buy_token_price;
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let sell_threshold = I80F48::from(NET_BORROW_EXECUTION_THRESHOLD) / sell_token_price;
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max_buy < buy_threshold && max_buy_ignoring_net_borrows > buy_threshold
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|| max_sell < sell_threshold && max_sell_ignoring_net_borrows > sell_threshold
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};
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if tiny_due_to_net_borrows {
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return Ok(None);
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}
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Ok(Some((max_buy, max_sell)))
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}
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}
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pub fn find_interesting_tcs_for_account(
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pub fn find_interesting_tcs_for_account(
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@ -401,8 +475,12 @@ pub fn find_interesting_tcs_for_account(
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now_ts,
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now_ts,
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) {
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) {
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Ok(true) => {
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Ok(true) => {
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let volume_result = tcs_max_volume(&liqee, mango_client, account_fetcher, tcs);
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// Filter out Ok(None) resuts of tcs that shouldn't be executed right now
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Some(volume_result.map(|v| (*pubkey, tcs.id, v)))
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match tcs_max_volume(&liqee, mango_client, account_fetcher, tcs) {
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Ok(Some(v)) => Some(Ok((*pubkey, tcs.id, v))),
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Ok(None) => None,
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Err(e) => Some(Err(e)),
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}
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}
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}
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Ok(false) => None,
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Ok(false) => None,
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Err(e) => Some(Err(e)),
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Err(e) => Some(Err(e)),
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@ -144,3 +144,46 @@ pub fn max_swap_source(
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.context("getting max_swap_source")?;
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.context("getting max_swap_source")?;
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Ok(amount)
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Ok(amount)
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}
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}
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/// Convenience wrapper for getting max swap amounts for a token pair
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pub fn max_swap_source_ignore_net_borrows(
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client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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account: &MangoAccountValue,
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source: TokenIndex,
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target: TokenIndex,
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price: I80F48,
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min_health_ratio: I80F48,
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) -> anyhow::Result<I80F48> {
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let mut account = account.clone();
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// Ensure the tokens are activated, so they appear in the health cache and
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// max_swap_source() will work.
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account.ensure_token_position(source)?;
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account.ensure_token_position(target)?;
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let health_cache =
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mango_v4_client::health_cache::new_sync(&client.context, account_fetcher, &account)
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.expect("always ok");
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let mut source_bank: Bank =
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account_fetcher.fetch(&client.context.mint_info(source).first_bank())?;
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source_bank.net_borrow_limit_per_window_quote = -1;
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let mut target_bank: Bank =
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account_fetcher.fetch(&client.context.mint_info(target).first_bank())?;
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target_bank.net_borrow_limit_per_window_quote = -1;
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let source_price = health_cache.token_info(source).unwrap().prices.oracle;
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let amount = health_cache
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.max_swap_source_for_health_ratio(
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&account,
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&source_bank,
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source_price,
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&target_bank,
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price,
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min_health_ratio,
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)
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.context("getting max_swap_source")?;
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Ok(amount)
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}
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