use itertools::Itertools; use mango_v4::accounts_zerocopy::KeyedAccountSharedData; use mango_v4::state::{ Bank, BookSide, MangoAccountValue, OracleAccountInfos, PerpMarket, PerpPosition, PlaceOrderType, Side, TokenIndex, QUOTE_TOKEN_INDEX, }; use mango_v4_client::{ chain_data, jupiter, perp_pnl, MangoClient, PerpMarketContext, TokenContext, TransactionBuilder, TransactionSize, }; use {fixed::types::I80F48, solana_sdk::pubkey::Pubkey}; use solana_sdk::signature::Signature; use std::sync::Arc; use std::time::Duration; use tracing::*; #[derive(Clone)] pub struct Config { pub enabled: bool, /// Maximum slippage allowed in Jupiter pub slippage_bps: u64, /// When closing borrows, the rebalancer can't close token positions exactly. /// Instead it purchases too much and then gets rid of the excess in a second step. /// If this is 1.05, then it'll swap borrow_value * 1.05 quote token into borrow token. pub borrow_settle_excess: f64, pub refresh_timeout: Duration, pub jupiter_version: jupiter::Version, pub skip_tokens: Vec, pub allow_withdraws: bool, } fn token_bank( token: &TokenContext, account_fetcher: &chain_data::AccountFetcher, ) -> anyhow::Result { account_fetcher.fetch::(&token.first_bank()) } pub struct Rebalancer { pub mango_client: Arc, pub account_fetcher: Arc, pub mango_account_address: Pubkey, pub config: Config, } impl Rebalancer { pub async fn zero_all_non_quote(&self) -> anyhow::Result<()> { if !self.config.enabled { return Ok(()); } trace!( pubkey = %self.mango_account_address, "checking for rebalance" ); self.rebalance_perps().await?; self.rebalance_tokens().await?; Ok(()) } /// Function to refresh the mango account after the txsig confirmed. Returns false on timeout. async fn refresh_mango_account_after_tx(&self, txsig: Signature) -> anyhow::Result { let max_slot = self.account_fetcher.transaction_max_slot(&[txsig]).await?; if let Err(e) = self .account_fetcher .refresh_accounts_via_rpc_until_slot( &[self.mango_account_address], max_slot, self.config.refresh_timeout, ) .await { // If we don't get fresh data, maybe the tx landed on a fork? // Rebalance is technically still ok. info!("could not refresh account data: {}", e); return Ok(false); } Ok(true) } async fn jupiter_quote( &self, input_mint: Pubkey, output_mint: Pubkey, amount: u64, only_direct_routes: bool, jupiter_version: jupiter::Version, ) -> anyhow::Result { self.mango_client .jupiter() .quote( input_mint, output_mint, amount, self.config.slippage_bps, only_direct_routes, jupiter_version, ) .await } /// Grab three possible routes: /// 1. USDC -> output (complex routes) /// 2. USDC -> output (direct route only) /// 3. SOL -> output (direct route only) /// Use 1. if it fits into a tx. Otherwise use the better of 2./3. async fn token_swap_buy( &self, output_mint: Pubkey, in_amount_quote: u64, ) -> anyhow::Result<(Signature, jupiter::Quote)> { let quote_token = self.mango_client.context.token(QUOTE_TOKEN_INDEX); let sol_token = self.mango_client.context.token( *self .mango_client .context .token_indexes_by_name .get("SOL") // TODO: better use mint .unwrap(), ); let quote_mint = quote_token.mint; let sol_mint = sol_token.mint; let jupiter_version = self.config.jupiter_version; let full_route_job = self.jupiter_quote( quote_mint, output_mint, in_amount_quote, false, jupiter_version, ); let direct_quote_route_job = self.jupiter_quote( quote_mint, output_mint, in_amount_quote, true, jupiter_version, ); // For the SOL -> output route we need to adjust the in amount by the SOL price let sol_price = self .account_fetcher .fetch_bank_price(&sol_token.first_bank())?; let in_amount_sol = (I80F48::from(in_amount_quote) / sol_price) .ceil() .to_num::(); let direct_sol_route_job = self.jupiter_quote(sol_mint, output_mint, in_amount_sol, true, jupiter_version); let jobs = vec![full_route_job, direct_quote_route_job, direct_sol_route_job]; let mut results = futures::future::join_all(jobs).await; let full_route = results.remove(0)?; let alternatives = results.into_iter().filter_map(|v| v.ok()).collect_vec(); let (tx_builder, route) = self .determine_best_jupiter_tx( // If the best_route couldn't be fetched, something is wrong &full_route, &alternatives, ) .await?; let sig = tx_builder .send_and_confirm(&self.mango_client.client) .await?; Ok((sig, route)) } /// Grab three possible routes: /// 1. input -> USDC (complex routes) /// 2. input -> USDC (direct route only) /// 3. input -> SOL (direct route only) /// Use 1. if it fits into a tx. Otherwise use the better of 2./3. async fn token_swap_sell( &self, input_mint: Pubkey, in_amount: u64, ) -> anyhow::Result<(Signature, jupiter::Quote)> { let quote_token = self.mango_client.context.token(QUOTE_TOKEN_INDEX); let sol_token = self.mango_client.context.token( *self .mango_client .context .token_indexes_by_name .get("SOL") // TODO: better use mint .unwrap(), ); let quote_mint = quote_token.mint; let sol_mint = sol_token.mint; let jupiter_version = self.config.jupiter_version; let full_route_job = self.jupiter_quote(input_mint, quote_mint, in_amount, false, jupiter_version); let direct_quote_route_job = self.jupiter_quote(input_mint, quote_mint, in_amount, true, jupiter_version); let direct_sol_route_job = self.jupiter_quote(input_mint, sol_mint, in_amount, true, jupiter_version); let jobs = vec![full_route_job, direct_quote_route_job, direct_sol_route_job]; let mut results = futures::future::join_all(jobs).await; let full_route = results.remove(0)?; let alternatives = results.into_iter().filter_map(|v| v.ok()).collect_vec(); let (tx_builder, route) = self .determine_best_jupiter_tx( // If the best_route couldn't be fetched, something is wrong &full_route, &alternatives, ) .await?; let sig = tx_builder .send_and_confirm(&self.mango_client.client) .await?; Ok((sig, route)) } async fn determine_best_jupiter_tx( &self, full: &jupiter::Quote, alternatives: &[jupiter::Quote], ) -> anyhow::Result<(TransactionBuilder, jupiter::Quote)> { let builder = self .mango_client .jupiter() .prepare_swap_transaction(full) .await?; let tx_size = builder.transaction_size()?; if tx_size.is_within_limit() { return Ok((builder, full.clone())); } trace!( route_label = full.first_route_label(), %full.input_mint, %full.output_mint, ?tx_size, limit = ?TransactionSize::limit(), "full route does not fit in a tx", ); if alternatives.is_empty() { anyhow::bail!( "no alternative routes from {} to {}", full.input_mint, full.output_mint ); } let best = alternatives .iter() .min_by(|a, b| a.price_impact_pct.partial_cmp(&b.price_impact_pct).unwrap()) .unwrap(); let builder = self .mango_client .jupiter() .prepare_swap_transaction(best) .await?; Ok((builder, best.clone())) } fn mango_account(&self) -> anyhow::Result> { Ok(Box::new( self.account_fetcher .fetch_mango_account(&self.mango_account_address)?, )) } async fn rebalance_tokens(&self) -> anyhow::Result<()> { let account = self.mango_account()?; // TODO: configurable? let quote_token = self.mango_client.context.token(QUOTE_TOKEN_INDEX); for token_position in account.active_token_positions() { let token_index = token_position.token_index; let token = self.mango_client.context.token(token_index); if token_index == quote_token.token_index || self.config.skip_tokens.contains(&token_index) { continue; } let token_mint = token.mint; let token_price = self.account_fetcher.fetch_bank_price(&token.first_bank())?; // It's not always possible to bring the native balance to 0 through swaps: // Consider a price <1. You need to sell a bunch of tokens to get 1 USDC native and // similarly will get multiple tokens when buying. // Imagine SOL at 0.04 USDC-native per SOL-native: Any amounts below 25 SOL-native // would not be worth a single USDC-native. // // To avoid errors, we consider all amounts below 2 * (1/oracle) dust and don't try // to sell them. Instead they will be withdrawn at the end. // Purchases will aim to purchase slightly more than is needed, such that we can // again withdraw the dust at the end. let dust_threshold = I80F48::from(2) / token_price; // Some rebalancing can actually change non-USDC positions (rebalancing to SOL) // So re-fetch the current token position amount let bank = token_bank(token, &self.account_fetcher)?; let fresh_amount = || -> anyhow::Result { Ok(self .mango_account()? .token_position_and_raw_index(token_index) .map(|(position, _)| position.native(&bank)) .unwrap_or(I80F48::ZERO)) }; let mut amount = fresh_amount()?; trace!(token_index, %amount, %dust_threshold, "checking"); if amount < 0 { // Buy let buy_amount = amount.abs().ceil() + (dust_threshold - I80F48::ONE).max(I80F48::ZERO); let input_amount = buy_amount * token_price * I80F48::from_num(self.config.borrow_settle_excess); let (txsig, route) = self .token_swap_buy(token_mint, input_amount.to_num()) .await?; let in_token = self .mango_client .context .token_by_mint(&route.input_mint) .unwrap(); info!( %txsig, "bought {} {} for {} {}", token.native_to_ui(I80F48::from(route.out_amount)), token.name, in_token.native_to_ui(I80F48::from(route.in_amount)), in_token.name, ); if !self.refresh_mango_account_after_tx(txsig).await? { return Ok(()); } amount = fresh_amount()?; } if amount > dust_threshold { // Sell let (txsig, route) = self .token_swap_sell(token_mint, amount.to_num::()) .await?; let out_token = self .mango_client .context .token_by_mint(&route.output_mint) .unwrap(); info!( %txsig, "sold {} {} for {} {}", token.native_to_ui(I80F48::from(route.in_amount)), token.name, out_token.native_to_ui(I80F48::from(route.out_amount)), out_token.name, ); if !self.refresh_mango_account_after_tx(txsig).await? { return Ok(()); } amount = fresh_amount()?; } // Any remainder that could not be sold just gets withdrawn to ensure the // TokenPosition is freed up if amount > 0 && amount <= dust_threshold && !token_position.is_in_use() && self.config.allow_withdraws { let allow_borrow = false; let txsig = self .mango_client .token_withdraw(token_mint, u64::MAX, allow_borrow) .await?; info!( %txsig, "withdrew {} {} to liqor wallet", token.native_to_ui(amount), token.name, ); if !self.refresh_mango_account_after_tx(txsig).await? { return Ok(()); } } else if amount > dust_threshold { warn!( "unexpected {} position after rebalance swap: {} native", token.name, amount ); } } Ok(()) } #[instrument( skip_all, fields( perp_market_name = perp.name, base_lots = perp_position.base_position_lots(), effective_lots = perp_position.effective_base_position_lots(), quote_native = %perp_position.quote_position_native() ) )] async fn rebalance_perp( &self, account: &MangoAccountValue, perp: &PerpMarketContext, perp_position: &PerpPosition, ) -> anyhow::Result { let now_ts: u64 = std::time::SystemTime::now() .duration_since(std::time::UNIX_EPOCH)? .as_secs(); let base_lots = perp_position.base_position_lots(); let effective_lots = perp_position.effective_base_position_lots(); let quote_native = perp_position.quote_position_native(); let perp_market: PerpMarket = self.account_fetcher.fetch(&perp.address)?; if effective_lots != 0 { // send an ioc order to reduce the base position let oracle_account_data = self.account_fetcher.fetch_raw(&perp.oracle)?; let oracle_account = KeyedAccountSharedData::new(perp.oracle, oracle_account_data); let oracle_price = perp_market .oracle_price(&OracleAccountInfos::from_reader(&oracle_account), None)?; let oracle_price_lots = perp_market.native_price_to_lot(oracle_price); let (side, order_price, oo_lots) = if effective_lots > 0 { ( Side::Ask, oracle_price * (I80F48::ONE - perp_market.base_liquidation_fee), perp_position.asks_base_lots, ) } else { ( Side::Bid, oracle_price * (I80F48::ONE + perp_market.base_liquidation_fee), perp_position.bids_base_lots, ) }; let price_lots = perp_market.native_price_to_lot(order_price); let max_base_lots = effective_lots.abs() - oo_lots; if max_base_lots <= 0 { warn!(?side, oo_lots, "cannot place reduce-only order",); return Ok(true); } // Check the orderbook before sending the ioc order to see if we could // even match anything. That way we don't need to pay the tx fee and // ioc penalty fee unnecessarily. let opposite_side_key = match side.invert_side() { Side::Bid => perp.bids, Side::Ask => perp.asks, }; let bookside = Box::new(self.account_fetcher.fetch::(&opposite_side_key)?); if bookside.quantity_at_price(price_lots, now_ts, oracle_price_lots) <= 0 { warn!( other_side = ?side.invert_side(), %order_price, %oracle_price, "no liquidity", ); return Ok(true); } let txsig = self .mango_client .perp_place_order( perp_position.market_index, side, price_lots, max_base_lots, i64::MAX, 0, PlaceOrderType::ImmediateOrCancel, true, // reduce only 0, 10, mango_v4::state::SelfTradeBehavior::DecrementTake, ) .await?; info!( %txsig, %order_price, "attempt to ioc reduce perp base position" ); if !self.refresh_mango_account_after_tx(txsig).await? { return Ok(false); } } else if base_lots == 0 && quote_native != 0 { // settle pnl let direction = if quote_native > 0 { perp_pnl::Direction::MaxNegative } else { perp_pnl::Direction::MaxPositive }; let counters = perp_pnl::fetch_top( &self.mango_client.context, &self.mango_client.client.config().fallback_oracle_config, self.account_fetcher.as_ref(), perp_position.market_index, direction, 2, ) .await?; if counters.is_empty() { // If we can't settle some positive PNL because we're lacking a suitable counterparty, // then liquidation should continue, even though this step produced no transaction info!("could not settle perp pnl on perp market: no counterparty",); return Ok(true); } let (counter_key, counter_acc, _counter_pnl) = counters.first().unwrap(); let (account_a, account_b) = if quote_native > 0 { ( (&self.mango_account_address, account), (counter_key, counter_acc), ) } else { ( (counter_key, counter_acc), (&self.mango_account_address, account), ) }; let txsig = self .mango_client .perp_settle_pnl(perp_position.market_index, account_a, account_b) .await?; info!(%txsig, "settled perp pnl"); if !self.refresh_mango_account_after_tx(txsig).await? { return Ok(false); } } else if base_lots == 0 && quote_native == 0 { // close perp position let txsig = self .mango_client .perp_deactivate_position(perp_position.market_index) .await?; info!( %txsig, "closed perp position" ); if !self.refresh_mango_account_after_tx(txsig).await? { return Ok(false); } } else { // maybe we're still waiting for consume_events info!("cannot deactivate perp position, waiting for consume events?"); } Ok(true) } async fn rebalance_perps(&self) -> anyhow::Result<()> { let account = self.mango_account()?; for perp_position in account.active_perp_positions() { let perp = self.mango_client.context.perp(perp_position.market_index); if !self.rebalance_perp(&account, perp, perp_position).await? { return Ok(()); } } Ok(()) } }