605 lines
21 KiB
Rust
605 lines
21 KiB
Rust
use std::collections::HashSet;
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use std::time::Duration;
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use itertools::Itertools;
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use mango_v4::health::{HealthCache, HealthType};
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use mango_v4::state::{MangoAccountValue, PerpMarketIndex, Side, TokenIndex, QUOTE_TOKEN_INDEX};
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use mango_v4_client::{chain_data, health_cache, MangoClient};
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use solana_sdk::signature::Signature;
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use futures::{stream, StreamExt, TryStreamExt};
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use rand::seq::SliceRandom;
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use tracing::*;
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use {anyhow::Context, fixed::types::I80F48, solana_sdk::pubkey::Pubkey};
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use crate::util;
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#[derive(Clone)]
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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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pub compute_limit_for_liq_ix: u32,
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}
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struct LiquidateHelper<'a> {
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client: &'a MangoClient,
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account_fetcher: &'a chain_data::AccountFetcher,
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pubkey: &'a Pubkey,
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liqee: &'a MangoAccountValue,
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health_cache: &'a HealthCache,
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maint_health: I80F48,
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liqor_min_health_ratio: I80F48,
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allowed_asset_tokens: HashSet<Pubkey>,
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allowed_liab_tokens: HashSet<Pubkey>,
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config: Config,
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}
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impl<'a> LiquidateHelper<'a> {
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async fn serum3_close_orders(&self) -> anyhow::Result<Option<Signature>> {
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// look for any open serum orders or settleable balances
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let serum_oos: anyhow::Result<Vec<_>> = self
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.liqee
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.active_serum3_orders()
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.map(|orders| {
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let open_orders_account = self.account_fetcher.fetch_raw(&orders.open_orders)?;
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let open_orders = mango_v4::serum3_cpi::load_open_orders(&open_orders_account)?;
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Ok((*orders, *open_orders))
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})
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.try_collect();
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let serum_force_cancels = serum_oos?
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.into_iter()
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.filter_map(|(orders, open_orders)| {
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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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Some(orders)
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} else {
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None
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}
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})
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.collect::<Vec<_>>();
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if serum_force_cancels.is_empty() {
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return Ok(None);
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}
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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 txsig = self
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.client
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.serum3_liq_force_cancel_orders(
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(self.pubkey, self.liqee),
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serum_orders.market_index,
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&serum_orders.open_orders,
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)
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.await?;
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info!(
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market_index = serum_orders.market_index,
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%txsig,
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"Force cancelled serum orders",
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);
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Ok(Some(txsig))
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}
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async fn perp_close_orders(&self) -> anyhow::Result<Option<Signature>> {
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let perp_force_cancels = self
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.liqee
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.active_perp_positions()
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.filter_map(|pp| pp.has_open_orders().then_some(pp.market_index))
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.collect::<Vec<PerpMarketIndex>>();
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if perp_force_cancels.is_empty() {
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return Ok(None);
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}
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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 txsig = self
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.client
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.perp_liq_force_cancel_orders((self.pubkey, self.liqee), perp_market_index)
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.await?;
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info!(
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perp_market_index,
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%txsig,
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"Force cancelled perp orders",
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);
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Ok(Some(txsig))
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}
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async fn perp_liq_base_or_positive_pnl(&self) -> anyhow::Result<Option<Signature>> {
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let all_perp_base_positions: anyhow::Result<
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Vec<Option<(PerpMarketIndex, i64, I80F48, I80F48)>>,
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> = stream::iter(self.liqee.active_perp_positions())
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.then(|pp| async {
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let base_lots = pp.base_position_lots();
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if (base_lots == 0 && pp.quote_position_native() <= 0) || pp.has_open_taker_fills()
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{
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return Ok(None);
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}
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let price = self.client.perp_oracle_price(pp.market_index).await?;
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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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.try_collect()
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.await;
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let mut perp_base_positions = all_perp_base_positions?
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.into_iter()
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.flatten()
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.collect::<Vec<_>>();
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perp_base_positions.sort_by(|a, b| a.3.cmp(&b.3));
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if perp_base_positions.is_empty() {
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return Ok(None);
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}
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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 = self.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 and positive pnl the liqor is willing to take
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// TODO: This is risky for the liqor. It should track how much pnl is usually settleable
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// in the market before agreeding to take it over. Also, the liqor should check how much
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// settle limit it's going to get along with the unsettled pnl.
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let (max_base_transfer_abs, max_pnl_transfer) = {
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let mut liqor = self
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.account_fetcher
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.fetch_fresh_mango_account(&self.client.mango_account_address)
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.await
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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 mut health_cache =
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health_cache::new(&self.client.context, self.account_fetcher, &liqor)
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.await
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.expect("always ok");
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let quote_bank = self
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.client
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.first_bank(QUOTE_TOKEN_INDEX)
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.await
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.context("getting quote bank")?;
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let max_usdc_borrow = health_cache.max_borrow_for_health_ratio(
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&liqor,
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"e_bank,
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self.liqor_min_health_ratio,
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)?;
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// Ideally we'd predict how much positive pnl we're going to take over and then allocate
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// the base and quote amount accordingly. This just goes with allocating a fraction of the
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// available amount to quote and the rest to base.
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let allowed_usdc_borrow = I80F48::from_num(0.25) * max_usdc_borrow;
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// Perp overall asset weights > 0 mean that we get some health back for every unit of unsettled pnl
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// and hence we can take over more than the pure-borrow amount.
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let max_perp_unsettled_leverage = I80F48::from_num(0.95);
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let perp_unsettled_cost = I80F48::ONE
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- perp
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.init_overall_asset_weight
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.min(max_perp_unsettled_leverage);
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let max_pnl_transfer = allowed_usdc_borrow / perp_unsettled_cost;
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// Update the health cache so we can determine how many base lots the liqor can take on,
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// assuming that the max_quote_transfer amount of positive unsettled pnl was taken over.
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health_cache.adjust_token_balance("e_bank, -allowed_usdc_borrow)?;
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let max_base_transfer = health_cache.max_perp_for_health_ratio(
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*perp_market_index,
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*price,
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side,
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self.liqor_min_health_ratio,
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)?;
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(max_base_transfer, max_pnl_transfer.floor().to_num::<u64>())
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};
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trace!(
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max_base_transfer_abs,
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max_pnl_transfer,
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"computed transfer maximums"
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);
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let mut liq_ixs = self
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.client
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.perp_liq_base_or_positive_pnl_instruction(
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(self.pubkey, self.liqee),
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*perp_market_index,
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side_signum * max_base_transfer_abs,
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max_pnl_transfer,
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)
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.await
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.context("creating perp_liq_base_or_positive_pnl_instruction")?;
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liq_ixs.cu = liq_ixs.cu.max(self.config.compute_limit_for_liq_ix);
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let txsig = self
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.client
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.send_and_confirm_owner_tx(liq_ixs.to_instructions())
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.await
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.context("sending perp_liq_base_or_positive_pnl_instruction")?;
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info!(
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perp_market_index,
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%txsig,
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"Liquidated base position for perp market",
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);
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Ok(Some(txsig))
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}
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async fn perp_liq_negative_pnl_or_bankruptcy(&self) -> anyhow::Result<Option<Signature>> {
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if !self.health_cache.in_phase3_liquidation() {
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return Ok(None);
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}
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let mut perp_negative_pnl = self
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.liqee
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.active_perp_positions()
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.filter_map(|pp| {
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let quote = pp.quote_position_native();
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if quote >= 0 {
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return None;
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}
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Some((pp.market_index, quote))
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})
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.collect::<Vec<(PerpMarketIndex, I80F48)>>();
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perp_negative_pnl.sort_by(|a, b| a.1.cmp(&b.1));
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if perp_negative_pnl.is_empty() {
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return Ok(None);
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}
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let (perp_market_index, _) = perp_negative_pnl.first().unwrap();
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let mut liq_ixs = self
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.client
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.perp_liq_negative_pnl_or_bankruptcy_instruction(
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(self.pubkey, self.liqee),
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*perp_market_index,
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// Always use the max amount, since the health effect is >= 0
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u64::MAX,
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)
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.await
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.context("creating perp_liq_negative_pnl_or_bankruptcy_instruction")?;
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liq_ixs.cu = liq_ixs.cu.max(self.config.compute_limit_for_liq_ix);
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let txsig = self
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.client
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.send_and_confirm_owner_tx(liq_ixs.to_instructions())
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.await
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.context("sending perp_liq_negative_pnl_or_bankruptcy_instruction")?;
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info!(
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perp_market_index,
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%txsig,
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"Liquidated negative perp pnl",
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);
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Ok(Some(txsig))
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}
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async fn tokens(&self) -> anyhow::Result<Vec<(TokenIndex, I80F48, I80F48)>> {
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let tokens_maybe: anyhow::Result<Vec<(TokenIndex, I80F48, I80F48)>> =
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stream::iter(self.liqee.active_token_positions())
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.then(|token_position| async {
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let token_index = token_position.token_index;
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let price = self.client.bank_oracle_price(token_index).await?;
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let bank = self.client.first_bank(token_index).await?;
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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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.try_collect()
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.await;
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let mut tokens = tokens_maybe?;
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tokens.sort_by(|a, b| a.2.cmp(&b.2));
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Ok(tokens)
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}
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async fn max_token_liab_transfer(
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&self,
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source: TokenIndex,
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target: TokenIndex,
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) -> anyhow::Result<I80F48> {
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let liqor = self
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.account_fetcher
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.fetch_fresh_mango_account(&self.client.mango_account_address)
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.await
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.context("getting liquidator account")?;
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let source_price = self.client.bank_oracle_price(source).await?;
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let target_price = self.client.bank_oracle_price(target).await?;
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// TODO: This is where we could multiply in the liquidation fee factors
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let price = source_price / target_price;
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util::max_swap_source_ignoring_limits(
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self.client,
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self.account_fetcher,
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&liqor,
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source,
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target,
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price,
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self.liqor_min_health_ratio,
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)
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}
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async fn token_liq(&self) -> anyhow::Result<Option<Signature>> {
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if !self.health_cache.has_possible_spot_liquidations() {
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return Ok(None);
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}
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let tokens = self.tokens().await?;
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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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&& self
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.allowed_asset_tokens
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.contains(&self.client.context.token(*asset_token_index).mint)
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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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self.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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&& self
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.allowed_liab_tokens
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.contains(&self.client.context.token(*liab_token_index).mint)
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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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self.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 = self
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.max_token_liab_transfer(liab_token_index, asset_token_index)
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.await
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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 mut liq_ixs = self
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.client
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.token_liq_with_token_instruction(
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(self.pubkey, self.liqee),
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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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.await
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.context("creating liq_token_with_token ix")?;
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liq_ixs.cu = liq_ixs.cu.max(self.config.compute_limit_for_liq_ix);
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let txsig = self
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.client
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.send_and_confirm_owner_tx(liq_ixs.to_instructions())
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.await
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.context("sending liq_token_with_token")?;
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info!(
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asset_token_index,
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liab_token_index,
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%txsig,
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"Liquidated token with token",
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);
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Ok(Some(txsig))
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}
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async fn token_liq_bankruptcy(&self) -> anyhow::Result<Option<Signature>> {
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if !self.health_cache.in_phase3_liquidation() || !self.health_cache.has_liq_spot_borrows() {
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return Ok(None);
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}
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let tokens = self.tokens().await?;
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if tokens.is_empty() {
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anyhow::bail!(
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"mango account {}, is bankrupt has no active tokens",
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self.pubkey
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);
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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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&& self
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.allowed_liab_tokens
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.contains(&self.client.context.token(*liab_token_index).mint)
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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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self.pubkey,
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tokens
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)
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})?
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.0;
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let quote_token_index = 0;
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let max_liab_transfer = self
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.max_token_liab_transfer(liab_token_index, quote_token_index)
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.await?;
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let mut liq_ixs = self
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.client
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.token_liq_bankruptcy_instruction(
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(self.pubkey, self.liqee),
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liab_token_index,
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max_liab_transfer,
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)
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.await
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.context("creating liq_token_bankruptcy")?;
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liq_ixs.cu = liq_ixs.cu.max(self.config.compute_limit_for_liq_ix);
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let txsig = self
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.client
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.send_and_confirm_owner_tx(liq_ixs.to_instructions())
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.await
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.context("sending liq_token_with_token")?;
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info!(
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liab_token_index,
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%txsig,
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"Liquidated token bankruptcy",
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);
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Ok(Some(txsig))
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}
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#[instrument(skip(self), fields(pubkey = %*self.pubkey, maint = %self.maint_health))]
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async fn send_liq_tx(&self) -> anyhow::Result<Option<Signature>> {
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// TODO: Should we make an attempt to settle positive PNL first?
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// The problem with it is that small market movements can continuously create
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// small amounts of new positive PNL while base_position > 0.
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// We shouldn't get stuck on this step, particularly if it's of limited value
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// to the liquidators.
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// if let Some(txsig) = self.perp_settle_positive_pnl()? {
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// return Ok(txsig);
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// }
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//
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// Phase 1: Try to close orders before touching the user's positions
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//
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// TODO: All these close ix could be in one transaction.
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if let Some(txsig) = self.perp_close_orders().await? {
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return Ok(Some(txsig));
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}
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if let Some(txsig) = self.serum3_close_orders().await? {
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return Ok(Some(txsig));
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}
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if self.health_cache.has_phase1_liquidatable() {
|
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anyhow::bail!(
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"Don't know what to do with phase1 liquidatable account {}, maint_health was {}",
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self.pubkey,
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self.maint_health
|
|
);
|
|
}
|
|
|
|
//
|
|
// Phase 2: token, perp base, perp positive pnl
|
|
//
|
|
|
|
if let Some(txsig) = self.perp_liq_base_or_positive_pnl().await? {
|
|
return Ok(Some(txsig));
|
|
}
|
|
|
|
if let Some(txsig) = self.token_liq().await? {
|
|
return Ok(Some(txsig));
|
|
}
|
|
|
|
if self.health_cache.has_perp_open_fills() {
|
|
info!("there are open perp fills, waiting...",);
|
|
return Ok(None);
|
|
}
|
|
|
|
if self.health_cache.has_phase2_liquidatable() {
|
|
anyhow::bail!(
|
|
"Don't know what to do with phase2 liquidatable account {}, maint_health was {}",
|
|
self.pubkey,
|
|
self.maint_health
|
|
);
|
|
}
|
|
|
|
//
|
|
// Phase 3: perp and token bankruptcy
|
|
//
|
|
|
|
// Negative pnl: take over (paid by liqee or insurance) or socialize the loss
|
|
if let Some(txsig) = self.perp_liq_negative_pnl_or_bankruptcy().await? {
|
|
return Ok(Some(txsig));
|
|
}
|
|
|
|
// Socialize/insurance fund unliquidatable borrows
|
|
if let Some(txsig) = self.token_liq_bankruptcy().await? {
|
|
return Ok(Some(txsig));
|
|
}
|
|
|
|
// TODO: What about unliquidatable positive perp pnl?
|
|
|
|
anyhow::bail!(
|
|
"Don't know what to do with liquidatable account {}, maint_health was {}",
|
|
self.pubkey,
|
|
self.maint_health
|
|
);
|
|
}
|
|
}
|
|
|
|
#[allow(clippy::too_many_arguments)]
|
|
pub async fn maybe_liquidate_account(
|
|
mango_client: &MangoClient,
|
|
account_fetcher: &chain_data::AccountFetcher,
|
|
pubkey: &Pubkey,
|
|
config: &Config,
|
|
) -> anyhow::Result<bool> {
|
|
let liqor_min_health_ratio = I80F48::from_num(config.min_health_ratio);
|
|
|
|
let account = account_fetcher.fetch_mango_account(pubkey)?;
|
|
let health_cache = health_cache::new(&mango_client.context, account_fetcher, &account)
|
|
.await
|
|
.context("creating health cache 1")?;
|
|
let maint_health = health_cache.health(HealthType::Maint);
|
|
if !health_cache.is_liquidatable() {
|
|
return Ok(false);
|
|
}
|
|
|
|
trace!(
|
|
%pubkey,
|
|
%maint_health,
|
|
"possible candidate",
|
|
);
|
|
|
|
// Fetch a fresh account and re-compute
|
|
// This is -- unfortunately -- needed because the websocket streams seem to not
|
|
// be great at providing timely updates to the account data.
|
|
let account = account_fetcher.fetch_fresh_mango_account(pubkey).await?;
|
|
let health_cache = health_cache::new(&mango_client.context, account_fetcher, &account)
|
|
.await
|
|
.context("creating health cache 2")?;
|
|
if !health_cache.is_liquidatable() {
|
|
return Ok(false);
|
|
}
|
|
|
|
let maint_health = health_cache.health(HealthType::Maint);
|
|
|
|
let all_token_mints = HashSet::from_iter(mango_client.context.tokens.values().map(|c| c.mint));
|
|
|
|
// try liquidating
|
|
let maybe_txsig = LiquidateHelper {
|
|
client: mango_client,
|
|
account_fetcher,
|
|
pubkey,
|
|
liqee: &account,
|
|
health_cache: &health_cache,
|
|
maint_health,
|
|
liqor_min_health_ratio,
|
|
allowed_asset_tokens: all_token_mints.clone(),
|
|
allowed_liab_tokens: all_token_mints,
|
|
config: config.clone(),
|
|
}
|
|
.send_liq_tx()
|
|
.await?;
|
|
|
|
if let Some(txsig) = maybe_txsig {
|
|
let slot = account_fetcher.transaction_max_slot(&[txsig]).await?;
|
|
if let Err(e) = account_fetcher
|
|
.refresh_accounts_via_rpc_until_slot(
|
|
&[*pubkey, mango_client.mango_account_address],
|
|
slot,
|
|
config.refresh_timeout,
|
|
)
|
|
.await
|
|
{
|
|
info!("could not refresh after liquidation: {}", e);
|
|
}
|
|
}
|
|
|
|
Ok(true)
|
|
}
|