411 lines
15 KiB
Rust
411 lines
15 KiB
Rust
use std::time::Duration;
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use client::{chain_data, health_cache, AccountFetcher, MangoClient, MangoClientError};
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use mango_v4::accounts_zerocopy::KeyedAccountSharedData;
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use mango_v4::state::{
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Bank, HealthType, PerpMarketIndex, Serum3Orders, Side, TokenIndex, QUOTE_TOKEN_INDEX,
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};
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use itertools::Itertools;
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use rand::seq::SliceRandom;
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use {anyhow::Context, fixed::types::I80F48, solana_sdk::pubkey::Pubkey};
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pub struct Config {
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pub min_health_ratio: f64,
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pub refresh_timeout: Duration,
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}
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pub fn jupiter_market_can_buy(
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mango_client: &MangoClient,
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token: TokenIndex,
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quote_token: TokenIndex,
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) -> bool {
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if token == quote_token {
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return true;
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}
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let token_mint = mango_client.context.token(token).mint_info.mint;
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let quote_token_mint = mango_client.context.token(quote_token).mint_info.mint;
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// Consider a market alive if we can swap $10 worth at 1% slippage
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// TODO: configurable
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// TODO: cache this, no need to recheck often
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let quote_amount = 10_000_000u64;
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let slippage = 1.0;
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mango_client
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.jupiter_route(
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quote_token_mint,
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token_mint,
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quote_amount,
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slippage,
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client::JupiterSwapMode::ExactIn,
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)
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.is_ok()
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}
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pub fn jupiter_market_can_sell(
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mango_client: &MangoClient,
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token: TokenIndex,
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quote_token: TokenIndex,
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) -> bool {
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if token == quote_token {
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return true;
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}
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let token_mint = mango_client.context.token(token).mint_info.mint;
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let quote_token_mint = mango_client.context.token(quote_token).mint_info.mint;
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// Consider a market alive if we can swap $10 worth at 1% slippage
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// TODO: configurable
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// TODO: cache this, no need to recheck often
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let quote_amount = 10_000_000u64;
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let slippage = 1.0;
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mango_client
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.jupiter_route(
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token_mint,
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quote_token_mint,
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quote_amount,
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slippage,
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client::JupiterSwapMode::ExactOut,
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)
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.is_ok()
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}
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#[allow(clippy::too_many_arguments)]
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pub fn maybe_liquidate_account(
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mango_client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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pubkey: &Pubkey,
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config: &Config,
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) -> anyhow::Result<bool> {
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let min_health_ratio = I80F48::from_num(config.min_health_ratio);
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let quote_token_index = 0;
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let account = account_fetcher.fetch_mango_account(pubkey)?;
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let health_cache =
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health_cache::new(&mango_client.context, account_fetcher, &account).expect("always ok");
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let maint_health = health_cache.health(HealthType::Maint);
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if !health_cache.is_liquidatable() {
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return Ok(false);
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}
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log::trace!(
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"possible candidate: {}, with owner: {}, maint health: {}",
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pubkey,
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account.fixed.owner,
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maint_health,
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);
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// Fetch a fresh account and re-compute
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// This is -- unfortunately -- needed because the websocket streams seem to not
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// be great at providing timely updates to the account data.
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let account = account_fetcher.fetch_fresh_mango_account(pubkey)?;
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let health_cache =
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health_cache::new(&mango_client.context, account_fetcher, &account).expect("always ok");
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if !health_cache.is_liquidatable() {
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return Ok(false);
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}
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let maint_health = health_cache.health(HealthType::Maint);
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let is_spot_bankrupt = health_cache.can_call_spot_bankruptcy();
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let is_spot_liquidatable = health_cache.has_borrows() && !is_spot_bankrupt;
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// find asset and liab tokens
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let mut tokens = account
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.active_token_positions()
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.map(|token_position| {
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let token = mango_client.context.token(token_position.token_index);
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let bank = account_fetcher.fetch::<Bank>(&token.mint_info.first_bank())?;
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let oracle = account_fetcher.fetch_raw_account(&token.mint_info.oracle)?;
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let price = bank.oracle_price(&KeyedAccountSharedData::new(
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token.mint_info.oracle,
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oracle.into(),
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))?;
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Ok((
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token_position.token_index,
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price,
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token_position.native(&bank) * price,
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))
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})
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.collect::<anyhow::Result<Vec<(TokenIndex, I80F48, I80F48)>>>()?;
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tokens.sort_by(|a, b| a.2.cmp(&b.2));
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// look for any open serum orders or settleable balances
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let serum_force_cancels = account
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.active_serum3_orders()
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.map(|orders| {
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let open_orders_account = account_fetcher.fetch_raw_account(&orders.open_orders)?;
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let open_orders = mango_v4::serum3_cpi::load_open_orders(&open_orders_account)?;
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let can_force_cancel = open_orders.native_coin_total > 0
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|| open_orders.native_pc_total > 0
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|| open_orders.referrer_rebates_accrued > 0;
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if can_force_cancel {
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Ok(Some(*orders))
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} else {
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Ok(None)
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}
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})
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.filter_map_ok(|v| v)
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.collect::<anyhow::Result<Vec<Serum3Orders>>>()?;
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// look for any perp open orders and base positions
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let perp_force_cancels = account
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.active_perp_positions()
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.filter_map(|pp| pp.has_open_orders().then(|| pp.market_index))
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.collect::<Vec<PerpMarketIndex>>();
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let mut perp_base_positions = account
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.active_perp_positions()
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.map(|pp| {
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let base_lots = pp.base_position_lots();
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if base_lots == 0 {
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return Ok(None);
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}
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let perp = mango_client.context.perp(pp.market_index);
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let oracle = account_fetcher.fetch_raw_account(&perp.market.oracle)?;
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let price = perp.market.oracle_price(&KeyedAccountSharedData::new(
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perp.market.oracle,
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oracle.into(),
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))?;
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Ok(Some((
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pp.market_index,
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base_lots,
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price,
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I80F48::from(base_lots.abs()) * price,
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)))
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})
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.filter_map_ok(|v| v)
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.collect::<anyhow::Result<Vec<(PerpMarketIndex, i64, I80F48, I80F48)>>>()?;
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// sort by base_position_value, ascending
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perp_base_positions.sort_by(|a, b| a.3.cmp(&b.3));
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let get_max_liab_transfer = |source, target| -> anyhow::Result<I80F48> {
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let mut liqor = account_fetcher
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.fetch_fresh_mango_account(&mango_client.mango_account_address)
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.context("getting liquidator account")?;
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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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liqor.ensure_token_position(source)?;
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liqor.ensure_token_position(target)?;
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let health_cache =
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health_cache::new(&mango_client.context, account_fetcher, &liqor).expect("always ok");
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let source_price = health_cache.token_info(source).unwrap().oracle_price;
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let target_price = health_cache.token_info(target).unwrap().oracle_price;
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// TODO: This is where we could multiply in the liquidation fee factors
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let oracle_swap_price = source_price / target_price;
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let amount = health_cache
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.max_swap_source_for_health_ratio(source, target, oracle_swap_price, min_health_ratio)
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.context("getting max_swap_source")?;
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Ok(amount)
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};
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// try liquidating
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let txsig = if !serum_force_cancels.is_empty() {
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// Cancel all orders on a random serum market
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let serum_orders = serum_force_cancels.choose(&mut rand::thread_rng()).unwrap();
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let sig = mango_client.serum3_liq_force_cancel_orders(
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(pubkey, &account),
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serum_orders.market_index,
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&serum_orders.open_orders,
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)?;
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log::info!(
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"Force cancelled serum orders on account {}, market index {}, maint_health was {}, tx sig {:?}",
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pubkey,
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serum_orders.market_index,
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maint_health,
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sig
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);
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sig
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} else if !perp_force_cancels.is_empty() {
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// Cancel all orders on a random perp market
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let perp_market_index = *perp_force_cancels.choose(&mut rand::thread_rng()).unwrap();
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let sig =
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mango_client.perp_liq_force_cancel_orders((pubkey, &account), perp_market_index)?;
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log::info!(
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"Force cancelled perp orders on account {}, market index {}, maint_health was {}, tx sig {:?}",
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pubkey,
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perp_market_index,
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maint_health,
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sig
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);
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sig
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} else if !perp_base_positions.is_empty() {
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// Liquidate the highest-value perp base position
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let (perp_market_index, base_lots, price, _) = perp_base_positions.last().unwrap();
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let perp = mango_client.context.perp(*perp_market_index);
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let (side, side_signum) = if *base_lots > 0 {
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(Side::Bid, 1)
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} else {
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(Side::Ask, -1)
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};
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// Compute the max number of base_lots the liqor is willing to take
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let max_base_transfer_abs = {
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let mut liqor = account_fetcher
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.fetch_fresh_mango_account(&mango_client.mango_account_address)
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.context("getting liquidator account")?;
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liqor.ensure_perp_position(*perp_market_index, QUOTE_TOKEN_INDEX)?;
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let health_cache = health_cache::new(&mango_client.context, account_fetcher, &liqor)
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.expect("always ok");
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health_cache.max_perp_for_health_ratio(
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*perp_market_index,
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*price,
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perp.market.base_lot_size,
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side,
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min_health_ratio,
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)?
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};
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log::info!("computed max_base_transfer to be {max_base_transfer_abs}");
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let sig = mango_client.perp_liq_base_position(
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(pubkey, &account),
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*perp_market_index,
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side_signum * max_base_transfer_abs,
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)?;
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log::info!(
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"Liquidated base position for perp market on account {}, market index {}, maint_health was {}, tx sig {:?}",
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pubkey,
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perp_market_index,
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maint_health,
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sig
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);
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sig
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} else if is_spot_bankrupt {
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if tokens.is_empty() {
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anyhow::bail!("mango account {}, is bankrupt has no active tokens", pubkey);
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}
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let liab_token_index = tokens
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.iter()
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.find(|(liab_token_index, _liab_price, liab_usdc_equivalent)| {
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liab_usdc_equivalent.is_negative()
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&& jupiter_market_can_buy(mango_client, *liab_token_index, QUOTE_TOKEN_INDEX)
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})
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.ok_or_else(|| {
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anyhow::anyhow!(
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"mango account {}, has no liab tokens that are purchasable for USDC: {:?}",
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pubkey,
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tokens
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)
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})?
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.0;
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let max_liab_transfer = get_max_liab_transfer(liab_token_index, quote_token_index)?;
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let sig = mango_client
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.token_liq_bankruptcy((pubkey, &account), liab_token_index, max_liab_transfer)
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.context("sending liq_token_bankruptcy")?;
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log::info!(
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"Liquidated bankruptcy for {}, maint_health was {}, tx sig {:?}",
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pubkey,
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maint_health,
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sig
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);
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sig
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} else if is_spot_liquidatable {
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let asset_token_index = tokens
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.iter()
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.rev()
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.find(|(asset_token_index, _asset_price, asset_usdc_equivalent)| {
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asset_usdc_equivalent.is_positive()
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&& jupiter_market_can_sell(mango_client, *asset_token_index, QUOTE_TOKEN_INDEX)
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})
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.ok_or_else(|| {
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anyhow::anyhow!(
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"mango account {}, has no asset tokens that are sellable for USDC: {:?}",
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pubkey,
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tokens
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)
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})?
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.0;
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let liab_token_index = tokens
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.iter()
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.find(|(liab_token_index, _liab_price, liab_usdc_equivalent)| {
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liab_usdc_equivalent.is_negative()
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&& jupiter_market_can_buy(mango_client, *liab_token_index, QUOTE_TOKEN_INDEX)
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})
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.ok_or_else(|| {
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anyhow::anyhow!(
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"mango account {}, has no liab tokens that are purchasable for USDC: {:?}",
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pubkey,
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tokens
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)
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})?
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.0;
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let max_liab_transfer = get_max_liab_transfer(liab_token_index, asset_token_index)
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.context("getting max_liab_transfer")?;
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//
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// TODO: log liqor's assets in UI form
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// TODO: log liquee's liab_needed, need to refactor program code to be able to be accessed from client side
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//
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let sig = mango_client
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.token_liq_with_token(
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(pubkey, &account),
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asset_token_index,
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liab_token_index,
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max_liab_transfer,
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)
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.context("sending liq_token_with_token")?;
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log::info!(
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"Liquidated token with token for {}, maint_health was {}, tx sig {:?}",
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pubkey,
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maint_health,
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sig
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);
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sig
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} else {
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anyhow::bail!(
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"Don't know what to do with liquidatable account {}, maint_health was {}",
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pubkey,
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maint_health
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);
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};
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let slot = account_fetcher.transaction_max_slot(&[txsig])?;
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if let Err(e) = account_fetcher.refresh_accounts_via_rpc_until_slot(
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&[*pubkey, mango_client.mango_account_address],
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slot,
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config.refresh_timeout,
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) {
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log::info!("could not refresh after liquidation: {}", e);
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}
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Ok(true)
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}
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#[allow(clippy::too_many_arguments)]
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pub fn maybe_liquidate_one<'a>(
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mango_client: &MangoClient,
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account_fetcher: &chain_data::AccountFetcher,
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accounts: impl Iterator<Item = &'a Pubkey>,
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config: &Config,
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) -> bool {
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for pubkey in accounts {
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match maybe_liquidate_account(mango_client, account_fetcher, pubkey, config) {
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Err(err) => {
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// Not all errors need to be raised to the user's attention.
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let mut log_level = log::Level::Error;
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// Simulation errors due to liqee precondition failures on the liquidation instructions
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// will commonly happen if our liquidator is late or if there are chain forks.
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match err.downcast_ref::<MangoClientError>() {
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Some(MangoClientError::SendTransactionPreflightFailure { logs }) => {
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if logs.contains("HealthMustBeNegative") || logs.contains("IsNotBankrupt") {
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log_level = log::Level::Trace;
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}
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}
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_ => {}
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};
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log::log!(log_level, "liquidating account {}: {:?}", pubkey, err);
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}
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Ok(true) => return true,
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_ => {}
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};
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}
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false
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}
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