465 lines
16 KiB
Rust
465 lines
16 KiB
Rust
use std::cell::RefMut;
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use crate::{
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error::MangoError,
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state::{
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orderbook::{bookside::BookSide, nodes::LeafNode},
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EventQueue, MangoAccount, MangoAccountPerps, PerpMarket, FREE_ORDER_SLOT,
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MAX_PERP_OPEN_ORDERS,
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},
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util::LoadZeroCopy,
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};
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use anchor_lang::prelude::*;
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use bytemuck::cast;
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use fixed::types::I80F48;
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use super::{
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nodes::NodeHandle,
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order_type::{OrderType, Side},
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FillEvent, OutEvent,
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};
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use crate::util::checked_math as cm;
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/// Drop at most this many expired orders from a BookSide when trying to match orders.
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/// This exists as a guard against excessive compute use.
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const DROP_EXPIRED_ORDER_LIMIT: usize = 5;
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/// The implicit limit price to use for market orders
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fn market_order_limit_for_side(side: Side) -> i64 {
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match side {
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Side::Bid => i64::MAX,
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Side::Ask => 1,
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}
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}
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/// The limit to use for PostOnlySlide orders: the tinyest bit better than
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/// the best opposing order
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fn post_only_slide_limit(side: Side, best_other_side: i64, limit: i64) -> i64 {
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match side {
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Side::Bid => limit.min(cm!(best_other_side - 1)),
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Side::Ask => limit.max(cm!(best_other_side + 1)),
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}
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}
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pub struct Book<'a> {
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pub bids: RefMut<'a, BookSide>, // todo: why refmut?
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pub asks: RefMut<'a, BookSide>,
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}
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impl<'a> Book<'a> {
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pub fn load_mut(
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bids_ai: &'a AccountInfo,
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asks_ai: &'a AccountInfo,
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perp_market: &PerpMarket,
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) -> std::result::Result<Self, Error> {
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require!(bids_ai.key == &perp_market.bids, MangoError::SomeError);
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require!(asks_ai.key == &perp_market.asks, MangoError::SomeError);
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Ok(Self {
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bids: bids_ai.load_mut::<BookSide>()?,
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asks: asks_ai.load_mut::<BookSide>()?,
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})
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}
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pub fn get_bookside(&mut self, side: Side) -> &mut BookSide {
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match side {
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Side::Bid => &mut self.bids,
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Side::Ask => &mut self.asks,
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}
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}
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/// Returns best valid bid
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pub fn get_best_bid_price(&self, now_ts: u64) -> Option<i64> {
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Some(self.bids.iter_valid(now_ts).next()?.1.price())
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}
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/// Returns best valid ask
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pub fn get_best_ask_price(&self, now_ts: u64) -> Option<i64> {
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Some(self.asks.iter_valid(now_ts).next()?.1.price())
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}
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pub fn get_best_price(&self, now_ts: u64, side: Side) -> Option<i64> {
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match side {
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Side::Bid => self.get_best_bid_price(now_ts),
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Side::Ask => self.get_best_ask_price(now_ts),
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}
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}
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/// Get the quantity of valid bids above and including the price
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pub fn get_bids_size_above(&self, price: i64, max_depth: i64, now_ts: u64) -> i64 {
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let mut sum: i64 = 0;
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for (_, bid) in self.bids.iter_valid(now_ts) {
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if price > bid.price() || sum >= max_depth {
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break;
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}
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sum = sum.checked_add(bid.quantity).unwrap();
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}
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sum.min(max_depth)
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}
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/// Walk up the book `quantity` units and return the price at that level. If `quantity` units
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/// not on book, return None
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pub fn get_impact_price(&self, side: Side, quantity: i64, now_ts: u64) -> Option<i64> {
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let mut sum: i64 = 0;
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let book_side = match side {
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Side::Bid => self.bids.iter_valid(now_ts),
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Side::Ask => self.asks.iter_valid(now_ts),
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};
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for (_, order) in book_side {
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sum = sum.checked_add(order.quantity).unwrap();
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if sum >= quantity {
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return Some(order.price());
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}
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}
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None
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}
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/// Get the quantity of valid asks below and including the price
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pub fn get_asks_size_below(&self, price: i64, max_depth: i64, now_ts: u64) -> i64 {
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let mut s = 0;
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for (_, ask) in self.asks.iter_valid(now_ts) {
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if price < ask.price() || s >= max_depth {
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break;
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}
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s += ask.quantity;
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}
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s.min(max_depth)
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}
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/// Get the quantity of valid bids above this order id. Will return full size of book if order id not found
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pub fn get_bids_size_above_order(&self, order_id: i128, max_depth: i64, now_ts: u64) -> i64 {
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let mut s = 0;
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for (_, bid) in self.bids.iter_valid(now_ts) {
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if bid.key == order_id || s >= max_depth {
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break;
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}
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s += bid.quantity;
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}
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s.min(max_depth)
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}
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/// Get the quantity of valid asks above this order id. Will return full size of book if order id not found
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pub fn get_asks_size_below_order(&self, order_id: i128, max_depth: i64, now_ts: u64) -> i64 {
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let mut s = 0;
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for (_, ask) in self.asks.iter_valid(now_ts) {
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if ask.key == order_id || s >= max_depth {
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break;
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}
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s += ask.quantity;
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}
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s.min(max_depth)
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}
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#[allow(clippy::too_many_arguments)]
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pub fn new_order(
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&mut self,
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side: Side,
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perp_market: &mut PerpMarket,
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event_queue: &mut EventQueue,
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oracle_price: I80F48,
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mango_account_perps: &mut MangoAccountPerps,
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mango_account_pk: &Pubkey,
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price_lots: i64,
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max_base_lots: i64,
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max_quote_lots: i64,
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order_type: OrderType,
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time_in_force: u8,
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client_order_id: u64,
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now_ts: u64,
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mut limit: u8,
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) -> std::result::Result<(), Error> {
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let other_side = side.invert_side();
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let market = perp_market;
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let (post_only, mut post_allowed, price_lots) = match order_type {
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OrderType::Limit => (false, true, price_lots),
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OrderType::ImmediateOrCancel => (false, false, price_lots),
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OrderType::PostOnly => (true, true, price_lots),
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OrderType::Market => (false, false, market_order_limit_for_side(side)),
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OrderType::PostOnlySlide => {
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let price = if let Some(best_other_price) = self.get_best_price(now_ts, other_side)
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{
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post_only_slide_limit(side, best_other_price, price_lots)
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} else {
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price_lots
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};
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(true, true, price)
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}
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};
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if post_allowed {
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// price limit check computed lazily to save CU on average
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let native_price = market.lot_to_native_price(price_lots);
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if !market.inside_price_limit(side, native_price, oracle_price) {
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msg!("Posting on book disallowed due to price limits");
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post_allowed = false;
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}
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}
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// generate new order id
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let order_id = market.gen_order_id(side, price_lots);
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// Iterate through book and match against this new order.
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//
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// Any changes to matching orders on the other side of the book are collected in
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// matched_changes/matched_deletes and then applied after this loop.
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let mut remaining_base_lots = max_base_lots;
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let mut remaining_quote_lots = max_quote_lots;
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let mut matched_order_changes: Vec<(NodeHandle, i64)> = vec![];
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let mut matched_order_deletes: Vec<i128> = vec![];
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let mut number_of_dropped_expired_orders = 0;
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let opposing_bookside = self.get_bookside(other_side);
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for (best_opposing_h, best_opposing) in opposing_bookside.iter_all_including_invalid() {
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if !best_opposing.is_valid(now_ts) {
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// Remove the order from the book unless we've done that enough
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if number_of_dropped_expired_orders < DROP_EXPIRED_ORDER_LIMIT {
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number_of_dropped_expired_orders += 1;
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let event = OutEvent::new(
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other_side,
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best_opposing.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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best_opposing.owner,
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best_opposing.quantity,
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);
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event_queue.push_back(cast(event)).unwrap();
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matched_order_deletes.push(best_opposing.key);
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}
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continue;
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}
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let best_opposing_price = best_opposing.price();
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if !side.is_price_within_limit(best_opposing_price, price_lots) {
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break;
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} else if post_only {
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msg!("Order could not be placed due to PostOnly");
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post_allowed = false;
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break; // return silently to not fail other instructions in tx
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} else if limit == 0 {
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msg!("Order matching limit reached");
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post_allowed = false;
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break;
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}
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let max_match_by_quote = remaining_quote_lots / best_opposing_price;
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let match_base_lots = remaining_base_lots
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.min(best_opposing.quantity)
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.min(max_match_by_quote);
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let done =
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match_base_lots == max_match_by_quote || match_base_lots == remaining_base_lots;
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let match_quote_lots = cm!(match_base_lots * best_opposing_price);
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remaining_base_lots = cm!(remaining_base_lots - match_base_lots);
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remaining_quote_lots = cm!(remaining_quote_lots - match_quote_lots);
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let new_best_opposing_quantity = cm!(best_opposing.quantity - match_base_lots);
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let maker_out = new_best_opposing_quantity == 0;
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if maker_out {
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matched_order_deletes.push(best_opposing.key);
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} else {
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matched_order_changes.push((best_opposing_h, new_best_opposing_quantity));
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}
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// Record the taker trade in the account already, even though it will only be
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// realized when the fill event gets executed
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let perp_account = mango_account_perps
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.get_account_mut_or_create(market.perp_market_index)?
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.0;
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perp_account.add_taker_trade(side, match_base_lots, match_quote_lots);
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let fill = FillEvent::new(
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side,
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maker_out,
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best_opposing.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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best_opposing.owner,
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best_opposing.key,
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best_opposing.client_order_id,
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market.maker_fee,
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best_opposing.timestamp,
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*mango_account_pk,
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order_id,
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client_order_id,
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market.taker_fee,
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best_opposing_price,
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match_base_lots,
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);
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event_queue.push_back(cast(fill)).unwrap();
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limit -= 1;
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if done {
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break;
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}
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}
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let total_quote_lots_taken = cm!(max_quote_lots - remaining_quote_lots);
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// Apply changes to matched asks (handles invalidate on delete!)
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for (handle, new_quantity) in matched_order_changes {
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opposing_bookside
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.get_mut(handle)
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.unwrap()
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.as_leaf_mut()
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.unwrap()
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.quantity = new_quantity;
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}
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for key in matched_order_deletes {
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let _removed_leaf = opposing_bookside.remove_by_key(key).unwrap();
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}
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// If there are still quantity unmatched, place on the book
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let book_base_quantity = remaining_base_lots.min(remaining_quote_lots / price_lots);
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msg!("{:?}", post_allowed);
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if post_allowed && book_base_quantity > 0 {
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// Drop an expired order if possible
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let bookside = self.get_bookside(side);
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if let Some(expired_order) = bookside.remove_one_expired(now_ts) {
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let event = OutEvent::new(
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side,
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expired_order.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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expired_order.owner,
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expired_order.quantity,
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);
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event_queue.push_back(cast(event)).unwrap();
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}
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if bookside.is_full() {
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// If this bid is higher than lowest bid, boot that bid and insert this one
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let worst_order = bookside.remove_worst().unwrap();
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// MangoErrorCode::OutOfSpace
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require!(
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side.is_price_better(price_lots, worst_order.price()),
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MangoError::SomeError
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);
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let event = OutEvent::new(
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side,
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worst_order.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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worst_order.owner,
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worst_order.quantity,
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);
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event_queue.push_back(cast(event)).unwrap();
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}
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let owner_slot = mango_account_perps
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.next_order_slot()
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.ok_or_else(|| error!(MangoError::SomeError))?;
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let new_order = LeafNode::new(
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owner_slot as u8,
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order_id,
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*mango_account_pk,
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book_base_quantity,
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client_order_id,
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now_ts,
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order_type,
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time_in_force,
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);
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let _result = bookside.insert_leaf(&new_order)?;
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// TODO OPT remove if PlacePerpOrder needs more compute
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msg!(
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"{} on book order_id={} quantity={} price={}",
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match side {
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Side::Bid => "bid",
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Side::Ask => "ask",
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},
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order_id,
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book_base_quantity,
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price_lots
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);
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mango_account_perps.add_order(market.perp_market_index, side, &new_order)?;
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}
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// if there were matched taker quote apply ref fees
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// we know ref_fee_rate is not None if total_quote_taken > 0
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if total_quote_lots_taken > 0 {
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apply_fees(market, mango_account_perps, total_quote_lots_taken)?;
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}
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Ok(())
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}
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pub fn cancel_all_order(
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&mut self,
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mango_account: &mut MangoAccount,
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perp_market: &mut PerpMarket,
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mut limit: u8,
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side_to_cancel_option: Option<Side>,
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) -> Result<()> {
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for i in 0..MAX_PERP_OPEN_ORDERS {
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if mango_account.perps.order_market[i] == FREE_ORDER_SLOT
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|| mango_account.perps.order_market[i] != perp_market.perp_market_index
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{
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continue;
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}
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let order_id = mango_account.perps.order_id[i];
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let order_side = mango_account.perps.order_side[i];
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if let Some(side_to_cancel) = side_to_cancel_option {
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if side_to_cancel != order_side {
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continue;
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}
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}
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if let Ok(leaf_node) = self.cancel_order(order_id, order_side) {
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mango_account
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.perps
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.remove_order(leaf_node.owner_slot as usize, leaf_node.quantity)?
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};
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limit -= 1;
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if limit == 0 {
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break;
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}
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}
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Ok(())
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}
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pub fn cancel_order(&mut self, order_id: i128, side: Side) -> Result<LeafNode> {
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match side {
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Side::Bid => self
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.bids
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.remove_by_key(order_id)
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.ok_or_else(|| error!(MangoError::SomeError)), // InvalidOrderId
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Side::Ask => self
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.asks
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.remove_by_key(order_id)
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.ok_or_else(|| error!(MangoError::SomeError)), // InvalidOrderId
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}
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}
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}
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/// Apply taker fees to the taker account and update the markets' fees_accrued for
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/// both the maker and taker fees.
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fn apply_fees(
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market: &mut PerpMarket,
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mango_account_perps: &mut MangoAccountPerps,
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total_quote_taken: i64,
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) -> Result<()> {
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let taker_quote_native = I80F48::from_num(
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market
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.quote_lot_size
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.checked_mul(total_quote_taken)
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.unwrap(),
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);
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// Track maker fees immediately: they can be negative and applying them later
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// risks that fees_accrued is settled to 0 before they apply. It going negative
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// breaks assumptions.
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// The maker fees apply to the maker's account only when the fill event is consumed.
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let maker_fees = taker_quote_native * market.maker_fee;
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let taker_fees = taker_quote_native * market.taker_fee;
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let perp_account = mango_account_perps
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.get_account_mut_or_create(market.perp_market_index)?
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.0;
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perp_account.quote_position_native -= taker_fees;
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market.fees_accrued += taker_fees + maker_fees;
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Ok(())
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}
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