467 lines
18 KiB
Rust
467 lines
18 KiB
Rust
use crate::logs::{FilledPerpOrderLog, PerpTakerTradeLog};
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use crate::state::MangoAccountRefMut;
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use crate::{
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error::*,
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state::{orderbook::bookside::*, EventQueue, PerpMarket},
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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 std::cell::RefMut;
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use super::*;
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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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pub struct Orderbook<'a> {
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pub bids: RefMut<'a, BookSide>,
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pub asks: RefMut<'a, BookSide>,
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}
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impl<'a> Orderbook<'a> {
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pub fn init(&mut self) {
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self.bids.nodes.order_tree_type = OrderTreeType::Bids.into();
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self.asks.nodes.order_tree_type = OrderTreeType::Asks.into();
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}
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pub fn bookside_mut(&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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pub fn bookside(&self, side: Side) -> &BookSide {
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match side {
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Side::Bid => &self.bids,
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Side::Ask => &self.asks,
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}
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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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order: Order,
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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: &mut MangoAccountRefMut,
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mango_account_pk: &Pubkey,
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now_ts: u64,
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mut limit: u8,
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) -> std::result::Result<Option<u128>, Error> {
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let side = order.side;
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let other_side = side.invert_side();
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let market = perp_market;
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let oracle_price_lots = market.native_price_to_lot(oracle_price);
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let post_only = order.is_post_only();
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let mut post_target = order.post_target();
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let (price_lots, price_data) = order.price(now_ts, oracle_price_lots, self)?;
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// generate new order id
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let order_id = market.gen_order_id(side, price_data);
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// IOC orders have a fee penalty applied regardless of match
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let fee_penalty = if order.needs_penalty_fee() {
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apply_penalty(market, mango_account)?
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} else {
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I80F48::ZERO
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};
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let perp_position = mango_account.perp_position_mut(market.perp_market_index)?;
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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 = order.max_base_lots;
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let mut remaining_quote_lots = order.max_quote_lots;
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let mut decremented_quote_lots = 0i64;
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let mut orders_to_change: Vec<(BookSideOrderHandle, i64)> = vec![];
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let mut orders_to_delete: Vec<(BookSideOrderTree, u128)> = vec![];
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let mut number_of_dropped_expired_orders = 0;
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let opposing_bookside = self.bookside_mut(other_side);
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for best_opposing in opposing_bookside.iter_all_including_invalid(now_ts, oracle_price_lots)
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{
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if remaining_base_lots == 0 || remaining_quote_lots == 0 {
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break;
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}
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if !best_opposing.is_valid() {
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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.node.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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best_opposing.node.owner,
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best_opposing.node.quantity,
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);
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event_queue.push_back(cast(event)).unwrap();
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orders_to_delete
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.push((best_opposing.handle.order_tree, best_opposing.node.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_lots;
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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_target = None;
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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_target = None;
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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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if max_match_by_quote == 0 {
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break;
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}
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let match_base_lots = remaining_base_lots
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.min(best_opposing.node.quantity)
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.min(max_match_by_quote);
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let match_quote_lots = match_base_lots * best_opposing_price;
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let order_would_self_trade = *mango_account_pk == best_opposing.node.owner;
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if order_would_self_trade {
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match order.self_trade_behavior {
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SelfTradeBehavior::DecrementTake => {
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// remember all decremented quote lots to only charge fees on not-self-trades
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decremented_quote_lots += match_quote_lots;
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}
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SelfTradeBehavior::CancelProvide => {
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let event = OutEvent::new(
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other_side,
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best_opposing.node.owner_slot,
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now_ts,
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event_queue.header.seq_num,
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best_opposing.node.owner,
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best_opposing.node.quantity,
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);
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event_queue.push_back(cast(event)).unwrap();
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orders_to_delete
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.push((best_opposing.handle.order_tree, best_opposing.node.key));
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// skip actual matching
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continue;
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}
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SelfTradeBehavior::AbortTransaction => return err!(MangoError::WouldSelfTrade),
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}
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assert!(order.self_trade_behavior == SelfTradeBehavior::DecrementTake);
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}
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remaining_base_lots -= match_base_lots;
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remaining_quote_lots -= match_quote_lots;
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assert!(remaining_quote_lots >= 0);
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let new_best_opposing_quantity = best_opposing.node.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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orders_to_delete.push((best_opposing.handle.order_tree, best_opposing.node.key));
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} else {
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orders_to_change.push((best_opposing.handle, new_best_opposing_quantity));
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}
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// order_would_self_trade is only true in the DecrementTake case, in which we don't charge fees
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let seq_num = event_queue.header.seq_num;
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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.node.owner_slot,
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now_ts,
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seq_num,
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best_opposing.node.owner,
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best_opposing.node.client_order_id,
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if order_would_self_trade {
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I80F48::ZERO
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} else {
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market.maker_fee
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},
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best_opposing.node.timestamp,
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*mango_account_pk,
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order.client_order_id,
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if order_would_self_trade {
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I80F48::ZERO
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} else {
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// NOTE: this does not include the IOC penalty, but this value is not used to calculate fees
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market.taker_fee
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},
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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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emit!(FilledPerpOrderLog {
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mango_group: market.group.key(),
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perp_market_index: market.perp_market_index,
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seq_num,
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});
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}
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let total_quote_lots_taken = order.max_quote_lots - remaining_quote_lots;
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let total_base_lots_taken = order.max_base_lots - remaining_base_lots;
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assert!(total_quote_lots_taken >= 0);
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assert!(total_base_lots_taken >= 0);
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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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if total_quote_lots_taken > 0 || total_base_lots_taken > 0 {
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perp_position.add_taker_trade(side, total_base_lots_taken, total_quote_lots_taken);
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// reduce fees to apply by decrement take volume
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let taker_fees_paid = apply_fees(
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market,
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mango_account,
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total_quote_lots_taken - decremented_quote_lots,
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)?;
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emit!(PerpTakerTradeLog {
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mango_group: market.group.key(),
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mango_account: *mango_account_pk,
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perp_market_index: market.perp_market_index,
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taker_side: side as u8,
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total_base_lots_taken,
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total_quote_lots_taken,
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total_quote_lots_decremented: decremented_quote_lots,
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taker_fees_paid: taker_fees_paid.to_bits(),
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fee_penalty: fee_penalty.to_bits(),
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});
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}
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// Apply changes to matched asks (handles invalidate on delete!)
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for (handle, new_quantity) in orders_to_change {
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opposing_bookside
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.node_mut(handle.node)
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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 (component, key) in orders_to_delete {
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let _removed_leaf = opposing_bookside.remove_by_key(component, key).unwrap();
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}
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//
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// Place remainder on the book if requested
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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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if book_base_quantity <= 0 {
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post_target = None;
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}
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if post_target.is_some() {
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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, order price {:?}, oracle price {:?}", native_price, oracle_price);
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post_target = None;
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}
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}
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if let Some(order_tree_target) = post_target {
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let bookside = self.bookside_mut(side);
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// Drop an expired order if possible
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if let Some(expired_order) = bookside.remove_one_expired(order_tree_target, 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, worst_price) =
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bookside.remove_worst(now_ts, oracle_price_lots).unwrap();
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// MangoErrorCode::OutOfSpace
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require!(
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side.is_price_better(price_lots, worst_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.perp_next_order_slot()?;
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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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now_ts,
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PostOrderType::Limit, // TODO: Support order types? needed?
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order.time_in_force,
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order.peg_limit(),
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order.client_order_id,
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);
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let _result = bookside.insert_leaf(order_tree_target, &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.add_perp_order(
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market.perp_market_index,
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side,
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order_tree_target,
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&new_order,
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order.client_order_id,
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)?;
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}
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if post_target.is_some() {
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Ok(Some(order_id))
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} else {
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Ok(None)
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}
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}
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/// Cancels up to `limit` orders that are listed on the mango account for the given perp market.
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/// Optionally filters by `side_to_cancel_option`.
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/// The orders are removed from the book and from the mango account open order list.
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pub fn cancel_all_orders(
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&mut self,
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mango_account: &mut MangoAccountRefMut,
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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..mango_account.header.perp_oo_count() {
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let oo = mango_account.perp_order_by_raw_index(i);
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if !oo.is_active_for_market(perp_market.perp_market_index) {
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continue;
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}
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let order_side_and_tree = oo.side_and_tree();
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if let Some(side_to_cancel) = side_to_cancel_option {
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if side_to_cancel != order_side_and_tree.side() {
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continue;
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}
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}
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let order_id = oo.id;
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let cancel_result =
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self.cancel_order(mango_account, order_id, order_side_and_tree, None);
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if cancel_result.is_anchor_error_with_code(MangoError::PerpOrderIdNotFound.into()) {
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// It's possible for the order to be filled or expired already.
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// There will be an event on the queue, the perp order slot is freed once
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// it is processed.
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msg!(
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"order {} was not found on orderbook, expired or filled already",
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order_id
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);
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} else {
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cancel_result?;
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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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/// Cancels an order on a side, removing it from the book and the mango account orders list
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pub fn cancel_order(
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&mut self,
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mango_account: &mut MangoAccountRefMut,
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order_id: u128,
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side_and_tree: SideAndOrderTree,
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expected_owner: Option<Pubkey>,
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) -> Result<LeafNode> {
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let side = side_and_tree.side();
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let book_component = side_and_tree.order_tree();
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let leaf_node = self.bookside_mut(side).
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remove_by_key(book_component, order_id).ok_or_else(|| {
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// possibly already filled or expired?
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error_msg_typed!(MangoError::PerpOrderIdNotFound, "no perp order with id {order_id}, side {side:?}, component {book_component:?} found on the orderbook")
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})?;
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if let Some(owner) = expected_owner {
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require_keys_eq!(leaf_node.owner, owner);
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}
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mango_account.remove_perp_order(leaf_node.owner_slot as usize, leaf_node.quantity)?;
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Ok(leaf_node)
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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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account: &mut MangoAccountRefMut,
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quote_lots: i64,
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) -> Result<I80F48> {
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let quote_native = I80F48::from_num(market.quote_lot_size * quote_lots);
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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 = quote_native * market.maker_fee;
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let taker_fees = quote_native * market.taker_fee;
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// taker fees should never be negative
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require_gte!(taker_fees, 0);
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// Part of the taker fees that go to the dao, instead of paying for maker rebates
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let taker_dao_fees = (taker_fees + maker_fees.min(I80F48::ZERO)).max(I80F48::ZERO);
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account
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.fixed
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.accrue_buyback_fees(taker_dao_fees.floor().to_num::<u64>());
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let perp_position = account.perp_position_mut(market.perp_market_index)?;
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perp_position.record_trading_fee(taker_fees);
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// taker fees are applied to volume during matching, quote volume only during consume
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perp_position.taker_volume += taker_fees.to_num::<u64>();
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// Accrue 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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market.fees_accrued += taker_fees + maker_fees;
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Ok(taker_fees)
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}
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/// Applies a fixed penalty fee to the account, and update the market's fees_accrued
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fn apply_penalty(market: &mut PerpMarket, account: &mut MangoAccountRefMut) -> Result<I80F48> {
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let fee_penalty = I80F48::from_num(market.fee_penalty);
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account
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.fixed
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.accrue_buyback_fees(fee_penalty.floor().to_num::<u64>());
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let perp_position = account.perp_position_mut(market.perp_market_index)?;
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perp_position.record_trading_fee(fee_penalty);
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market.fees_accrued += fee_penalty;
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Ok(fee_penalty)
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}
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