425 lines
16 KiB
Rust
425 lines
16 KiB
Rust
use mango_v4::accounts_zerocopy::KeyedAccountSharedData;
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use mango_v4::state::{
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Bank, BookSide, PlaceOrderType, Side, TokenIndex, TokenPosition, QUOTE_TOKEN_INDEX,
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};
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use mango_v4_client::{
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chain_data, perp_pnl, AccountFetcher, AnyhowWrap, JupiterSwapMode, MangoClient, TokenContext,
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};
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use {fixed::types::I80F48, solana_sdk::pubkey::Pubkey};
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use futures::{stream, StreamExt, TryStreamExt};
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use solana_sdk::signature::Signature;
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use std::sync::Arc;
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use std::{collections::HashMap, time::Duration};
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#[derive(Clone)]
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pub struct Config {
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/// Maximum slippage allowed in Jupiter
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pub slippage_bps: u64,
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/// When closing borrows, the rebalancer can't close token positions exactly.
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/// Instead it purchases too much and then gets rid of the excess in a second step.
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/// If this is 1.05, then it'll swap borrow_value * 1.05 quote token into borrow token.
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pub borrow_settle_excess: f64,
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pub refresh_timeout: Duration,
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}
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#[derive(Debug)]
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struct TokenState {
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price: I80F48,
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native_position: I80F48,
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in_use: bool,
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}
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impl TokenState {
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async fn new_position(
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token: &TokenContext,
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position: &TokenPosition,
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account_fetcher: &chain_data::AccountFetcher,
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) -> anyhow::Result<Self> {
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let bank = Self::bank(token, account_fetcher)?;
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Ok(Self {
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price: Self::fetch_price(token, &bank, account_fetcher).await?,
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native_position: position.native(&bank),
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in_use: position.is_in_use(),
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})
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}
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fn bank(
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token: &TokenContext,
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account_fetcher: &chain_data::AccountFetcher,
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) -> anyhow::Result<Bank> {
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account_fetcher.fetch::<Bank>(&token.mint_info.first_bank())
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}
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async fn fetch_price(
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token: &TokenContext,
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bank: &Bank,
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account_fetcher: &chain_data::AccountFetcher,
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) -> anyhow::Result<I80F48> {
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let oracle = account_fetcher
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.fetch_raw_account(&token.mint_info.oracle)
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.await?;
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bank.oracle_price(
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&KeyedAccountSharedData::new(token.mint_info.oracle, oracle.into()),
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None,
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)
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.map_err_anyhow()
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}
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}
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pub struct Rebalancer {
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pub mango_client: Arc<MangoClient>,
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pub account_fetcher: Arc<chain_data::AccountFetcher>,
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pub mango_account_address: Pubkey,
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pub config: Config,
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}
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impl Rebalancer {
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pub async fn zero_all_non_quote(&self) -> anyhow::Result<()> {
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log::trace!("checking for rebalance: {}", self.mango_account_address);
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self.rebalance_perps().await?;
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self.rebalance_tokens().await?;
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Ok(())
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}
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/// Function to refresh the mango account after the txsig confirmed. Returns false on timeout.
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async fn refresh_mango_account_after_tx(&self, txsig: Signature) -> anyhow::Result<bool> {
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let max_slot = self.account_fetcher.transaction_max_slot(&[txsig]).await?;
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if let Err(e) = self
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.account_fetcher
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.refresh_accounts_via_rpc_until_slot(
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&[self.mango_account_address],
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max_slot,
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self.config.refresh_timeout,
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)
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.await
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{
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// If we don't get fresh data, maybe the tx landed on a fork?
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// Rebalance is technically still ok.
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log::info!("could not refresh account data: {}", e);
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return Ok(false);
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}
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Ok(true)
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}
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async fn rebalance_tokens(&self) -> anyhow::Result<()> {
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let account = self
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.account_fetcher
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.fetch_mango_account(&self.mango_account_address)?;
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// TODO: configurable?
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let quote_token = self.mango_client.context.token(QUOTE_TOKEN_INDEX);
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let tokens: anyhow::Result<HashMap<TokenIndex, TokenState>> =
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stream::iter(account.active_token_positions())
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.then(|token_position| async {
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let token = self.mango_client.context.token(token_position.token_index);
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Ok((
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token.token_index,
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TokenState::new_position(token, token_position, &self.account_fetcher)
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.await?,
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))
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})
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.try_collect()
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.await;
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let tokens = tokens?;
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log::trace!("account tokens: {:?}", tokens);
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for (token_index, token_state) in tokens {
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let token = self.mango_client.context.token(token_index);
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if token_index == quote_token.token_index {
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continue;
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}
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let token_mint = token.mint_info.mint;
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let quote_mint = quote_token.mint_info.mint;
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// It's not always possible to bring the native balance to 0 through swaps:
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// Consider a price <1. You need to sell a bunch of tokens to get 1 USDC native and
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// similarly will get multiple tokens when buying.
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// Imagine SOL at 0.04 USDC-native per SOL-native: Any amounts below 25 SOL-native
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// would not be worth a single USDC-native.
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//
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// To avoid errors, we consider all amounts below 2 * (1/oracle) dust and don't try
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// to sell them. Instead they will be withdrawn at the end.
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// Purchases will aim to purchase slightly more than is needed, such that we can
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// again withdraw the dust at the end.
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let dust_threshold = I80F48::from(2) / token_state.price;
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let mut amount = token_state.native_position;
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if amount < 0 {
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// Buy
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let buy_amount =
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amount.abs().ceil() + (dust_threshold - I80F48::ONE).max(I80F48::ZERO);
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let input_amount = buy_amount
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* token_state.price
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* I80F48::from_num(self.config.borrow_settle_excess);
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let txsig = self
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.mango_client
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.jupiter_swap(
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quote_mint,
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token_mint,
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input_amount.to_num::<u64>(),
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self.config.slippage_bps,
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JupiterSwapMode::ExactIn,
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)
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.await?;
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log::info!(
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"bought {} {} for {} in tx {}",
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token.native_to_ui(buy_amount),
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token.name,
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quote_token.name,
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txsig
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);
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if !self.refresh_mango_account_after_tx(txsig).await? {
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return Ok(());
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}
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let bank = TokenState::bank(token, &self.account_fetcher)?;
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amount = self
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.mango_client
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.mango_account()
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.await?
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.token_position_and_raw_index(token_index)
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.map(|(position, _)| position.native(&bank))
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.unwrap_or(I80F48::ZERO);
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}
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if amount > dust_threshold {
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// Sell
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let txsig = self
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.mango_client
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.jupiter_swap(
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token_mint,
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quote_mint,
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amount.to_num::<u64>(),
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self.config.slippage_bps,
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JupiterSwapMode::ExactIn,
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)
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.await?;
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log::info!(
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"sold {} {} for {} in tx {}",
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token.native_to_ui(amount),
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token.name,
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quote_token.name,
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txsig
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);
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if !self.refresh_mango_account_after_tx(txsig).await? {
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return Ok(());
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}
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let bank = TokenState::bank(token, &self.account_fetcher)?;
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amount = self
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.mango_client
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.mango_account()
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.await?
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.token_position_and_raw_index(token_index)
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.map(|(position, _)| position.native(&bank))
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.unwrap_or(I80F48::ZERO);
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}
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// Any remainder that could not be sold just gets withdrawn to ensure the
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// TokenPosition is freed up
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if amount > 0 && amount <= dust_threshold && !token_state.in_use {
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let allow_borrow = false;
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let txsig = self
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.mango_client
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.token_withdraw(token_mint, u64::MAX, allow_borrow)
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.await?;
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log::info!(
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"withdrew {} {} to liqor wallet in {}",
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token.native_to_ui(amount),
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token.name,
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txsig
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);
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if !self.refresh_mango_account_after_tx(txsig).await? {
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return Ok(());
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}
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} else if amount > dust_threshold {
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anyhow::bail!(
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"unexpected {} position after rebalance swap: {} native",
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token.name,
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amount
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);
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}
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}
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Ok(())
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}
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async fn rebalance_perps(&self) -> anyhow::Result<()> {
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let now_ts: u64 = std::time::SystemTime::now()
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.duration_since(std::time::UNIX_EPOCH)?
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.as_secs()
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.try_into()?;
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let account = self
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.account_fetcher
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.fetch_mango_account(&self.mango_account_address)?;
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for perp_position in account.active_perp_positions() {
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let perp = self.mango_client.context.perp(perp_position.market_index);
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let base_lots = perp_position.base_position_lots();
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let effective_lots = perp_position.effective_base_position_lots();
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let quote_native = perp_position.quote_position_native();
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log::info!(
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"active perp position on {}, base lots: {}, effective lots: {}, quote native: {}",
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perp.market.name(),
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base_lots,
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effective_lots,
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quote_native,
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);
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if effective_lots != 0 {
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// send an ioc order to reduce the base position
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let oracle_account_data = self.account_fetcher.fetch_raw(&perp.market.oracle)?;
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let oracle_account =
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KeyedAccountSharedData::new(perp.market.oracle, oracle_account_data);
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let oracle_price = perp.market.oracle_price(&oracle_account, None)?;
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let oracle_price_lots = perp.market.native_price_to_lot(oracle_price);
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let (side, order_price, oo_lots) = if effective_lots > 0 {
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(
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Side::Ask,
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oracle_price * (I80F48::ONE - perp.market.base_liquidation_fee),
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perp_position.asks_base_lots,
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)
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} else {
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(
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Side::Bid,
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oracle_price * (I80F48::ONE + perp.market.base_liquidation_fee),
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perp_position.bids_base_lots,
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)
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};
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let price_lots = perp.market.native_price_to_lot(order_price);
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let max_base_lots = effective_lots.abs() - oo_lots;
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if max_base_lots <= 0 {
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log::warn!(
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"cannot place reduce-only order on {} {:?}, base pos: {}, in open orders: {}",
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perp.market.name(),
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side,
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effective_lots,
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oo_lots,
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);
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continue;
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}
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// Check the orderbook before sending the ioc order to see if we could
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// even match anything. That way we don't need to pay the tx fee and
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// ioc penalty fee unnecessarily.
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let opposite_side_key = match side.invert_side() {
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Side::Bid => perp.market.bids,
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Side::Ask => perp.market.asks,
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};
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let bookside = self.account_fetcher.fetch::<BookSide>(&opposite_side_key)?;
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if bookside.quantity_at_price(price_lots, now_ts, oracle_price_lots) <= 0 {
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log::warn!(
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"no liquidity on {} {:?} at price {}, oracle price {}",
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perp.market.name(),
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side.invert_side(),
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order_price,
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oracle_price,
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);
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continue;
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}
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let txsig = self
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.mango_client
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.perp_place_order(
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perp_position.market_index,
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side,
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price_lots,
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max_base_lots,
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i64::MAX,
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0,
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PlaceOrderType::ImmediateOrCancel,
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true, // reduce only
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0,
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10,
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mango_v4::state::SelfTradeBehavior::DecrementTake,
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)
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.await?;
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log::info!(
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"attempt to ioc reduce perp base position of {} {} at price {} in {}",
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perp_position.base_position_native(&perp.market),
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perp.market.name(),
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order_price,
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txsig
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);
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if !self.refresh_mango_account_after_tx(txsig).await? {
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return Ok(());
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}
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} else if base_lots == 0 && quote_native != 0 {
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// settle pnl
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let direction = if quote_native > 0 {
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perp_pnl::Direction::MaxNegative
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} else {
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perp_pnl::Direction::MaxPositive
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};
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let counters = perp_pnl::fetch_top(
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&self.mango_client.context,
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self.account_fetcher.as_ref(),
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perp_position.market_index,
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direction,
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2,
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)
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.await?;
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if counters.is_empty() {
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// If we can't settle some positive PNL because we're lacking a suitable counterparty,
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// then liquidation should continue, even though this step produced no transaction
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log::info!(
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"could not settle perp pnl on perp market {}: no counterparty",
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perp.market.name()
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);
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continue;
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}
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let (counter_key, counter_acc, _counter_pnl) = counters.first().unwrap();
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let (account_a, account_b) = if quote_native > 0 {
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(
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(&self.mango_account_address, &account),
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(counter_key, counter_acc),
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)
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} else {
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(
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(counter_key, counter_acc),
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(&self.mango_account_address, &account),
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)
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};
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let txsig = self
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.mango_client
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.perp_settle_pnl(perp_position.market_index, account_a, account_b)
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.await?;
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log::info!("settled perp {} pnl, tx sig {}", perp.market.name(), txsig);
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if !self.refresh_mango_account_after_tx(txsig).await? {
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return Ok(());
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}
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} else if base_lots == 0 && quote_native == 0 {
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// close perp position
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let txsig = self
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.mango_client
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.perp_deactivate_position(perp_position.market_index)
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.await?;
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log::info!(
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"closed perp position on {} in {}",
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perp.market.name(),
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txsig
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);
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if !self.refresh_mango_account_after_tx(txsig).await? {
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return Ok(());
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}
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} else {
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// maybe we're still waiting for consume_events
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log::info!(
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"cannot deactivate perp {} position, base lots {}, effective lots {}, quote {}",
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perp.market.name(),
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perp_position.base_position_lots(),
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effective_lots,
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perp_position.quote_position_native()
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);
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}
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}
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Ok(())
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}
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}
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