589 lines
21 KiB
Rust
589 lines
21 KiB
Rust
use itertools::Itertools;
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use mango_v4::accounts_zerocopy::KeyedAccountSharedData;
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use mango_v4::state::{
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Bank, BookSide, MangoAccountValue, OracleAccountInfos, PerpMarket, PerpPosition,
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PlaceOrderType, Side, TokenIndex, QUOTE_TOKEN_INDEX,
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};
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use mango_v4_client::{
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chain_data, jupiter, perp_pnl, MangoClient, PerpMarketContext, TokenContext,
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TransactionBuilder, TransactionSize,
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};
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use {fixed::types::I80F48, solana_sdk::pubkey::Pubkey};
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use solana_sdk::signature::Signature;
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use std::sync::Arc;
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use std::time::Duration;
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use tracing::*;
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#[derive(Clone)]
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pub struct Config {
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pub enabled: bool,
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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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pub jupiter_version: jupiter::Version,
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pub skip_tokens: Vec<TokenIndex>,
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pub allow_withdraws: bool,
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}
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fn token_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.first_bank())
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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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if !self.config.enabled {
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return Ok(());
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}
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trace!(
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pubkey = %self.mango_account_address,
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"checking for rebalance"
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);
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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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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 jupiter_quote(
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&self,
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input_mint: Pubkey,
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output_mint: Pubkey,
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amount: u64,
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only_direct_routes: bool,
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jupiter_version: jupiter::Version,
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) -> anyhow::Result<jupiter::Quote> {
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self.mango_client
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.jupiter()
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.quote(
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input_mint,
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output_mint,
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amount,
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self.config.slippage_bps,
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only_direct_routes,
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jupiter_version,
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)
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.await
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}
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/// Grab three possible routes:
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/// 1. USDC -> output (complex routes)
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/// 2. USDC -> output (direct route only)
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/// 3. SOL -> output (direct route only)
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/// Use 1. if it fits into a tx. Otherwise use the better of 2./3.
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async fn token_swap_buy(
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&self,
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output_mint: Pubkey,
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in_amount_quote: u64,
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) -> anyhow::Result<(Signature, jupiter::Quote)> {
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let quote_token = self.mango_client.context.token(QUOTE_TOKEN_INDEX);
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let sol_token = self.mango_client.context.token(
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*self
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.mango_client
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.context
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.token_indexes_by_name
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.get("SOL") // TODO: better use mint
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.unwrap(),
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);
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let quote_mint = quote_token.mint;
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let sol_mint = sol_token.mint;
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let jupiter_version = self.config.jupiter_version;
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let full_route_job = self.jupiter_quote(
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quote_mint,
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output_mint,
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in_amount_quote,
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false,
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jupiter_version,
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);
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let direct_quote_route_job = self.jupiter_quote(
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quote_mint,
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output_mint,
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in_amount_quote,
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true,
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jupiter_version,
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);
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// For the SOL -> output route we need to adjust the in amount by the SOL price
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let sol_price = self
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.account_fetcher
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.fetch_bank_price(&sol_token.first_bank())?;
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let in_amount_sol = (I80F48::from(in_amount_quote) / sol_price)
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.ceil()
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.to_num::<u64>();
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let direct_sol_route_job =
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self.jupiter_quote(sol_mint, output_mint, in_amount_sol, true, jupiter_version);
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let mut jobs = vec![full_route_job, direct_quote_route_job, direct_sol_route_job];
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// for v6, add a v4 fallback
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if self.config.jupiter_version == jupiter::Version::V6 {
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jobs.push(self.jupiter_quote(
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quote_mint,
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output_mint,
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in_amount_quote,
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false,
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jupiter::Version::V4,
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));
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}
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let mut results = futures::future::join_all(jobs).await;
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let full_route = results.remove(0)?;
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let alternatives = results.into_iter().filter_map(|v| v.ok()).collect_vec();
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let (tx_builder, route) = self
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.determine_best_jupiter_tx(
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// If the best_route couldn't be fetched, something is wrong
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&full_route,
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&alternatives,
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)
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.await?;
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let sig = tx_builder
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.send_and_confirm(&self.mango_client.client)
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.await?;
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Ok((sig, route))
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}
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/// Grab three possible routes:
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/// 1. input -> USDC (complex routes)
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/// 2. input -> USDC (direct route only)
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/// 3. input -> SOL (direct route only)
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/// Use 1. if it fits into a tx. Otherwise use the better of 2./3.
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async fn token_swap_sell(
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&self,
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input_mint: Pubkey,
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in_amount: u64,
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) -> anyhow::Result<(Signature, jupiter::Quote)> {
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let quote_token = self.mango_client.context.token(QUOTE_TOKEN_INDEX);
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let sol_token = self.mango_client.context.token(
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*self
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.mango_client
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.context
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.token_indexes_by_name
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.get("SOL") // TODO: better use mint
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.unwrap(),
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);
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let quote_mint = quote_token.mint;
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let sol_mint = sol_token.mint;
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let jupiter_version = self.config.jupiter_version;
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let full_route_job =
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self.jupiter_quote(input_mint, quote_mint, in_amount, false, jupiter_version);
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let direct_quote_route_job =
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self.jupiter_quote(input_mint, quote_mint, in_amount, true, jupiter_version);
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let direct_sol_route_job =
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self.jupiter_quote(input_mint, sol_mint, in_amount, true, jupiter_version);
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let mut jobs = vec![full_route_job, direct_quote_route_job, direct_sol_route_job];
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// for v6, add a v4 fallback
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if self.config.jupiter_version == jupiter::Version::V6 {
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jobs.push(self.jupiter_quote(
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input_mint,
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quote_mint,
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in_amount,
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false,
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jupiter::Version::V4,
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));
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}
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let mut results = futures::future::join_all(jobs).await;
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let full_route = results.remove(0)?;
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let alternatives = results.into_iter().filter_map(|v| v.ok()).collect_vec();
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let (tx_builder, route) = self
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.determine_best_jupiter_tx(
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// If the best_route couldn't be fetched, something is wrong
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&full_route,
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&alternatives,
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)
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.await?;
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let sig = tx_builder
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.send_and_confirm(&self.mango_client.client)
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.await?;
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Ok((sig, route))
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}
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async fn determine_best_jupiter_tx(
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&self,
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full: &jupiter::Quote,
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alternatives: &[jupiter::Quote],
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) -> anyhow::Result<(TransactionBuilder, jupiter::Quote)> {
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let builder = self
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.mango_client
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.jupiter()
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.prepare_swap_transaction(full)
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.await?;
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let tx_size = builder.transaction_size()?;
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if tx_size.is_ok() {
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return Ok((builder, full.clone()));
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}
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trace!(
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route_label = full.first_route_label(),
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%full.input_mint,
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%full.output_mint,
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?tx_size,
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limit = ?TransactionSize::limit(),
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"full route does not fit in a tx",
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);
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if alternatives.is_empty() {
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anyhow::bail!(
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"no alternative routes from {} to {}",
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full.input_mint,
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full.output_mint
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);
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}
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let best = alternatives
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.iter()
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.min_by(|a, b| a.price_impact_pct.partial_cmp(&b.price_impact_pct).unwrap())
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.unwrap();
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let builder = self
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.mango_client
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.jupiter()
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.prepare_swap_transaction(best)
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.await?;
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Ok((builder, best.clone()))
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}
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fn mango_account(&self) -> anyhow::Result<Box<MangoAccountValue>> {
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Ok(Box::new(
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self.account_fetcher
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.fetch_mango_account(&self.mango_account_address)?,
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))
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}
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async fn rebalance_tokens(&self) -> anyhow::Result<()> {
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let account = self.mango_account()?;
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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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for token_position in account.active_token_positions() {
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let token_index = token_position.token_index;
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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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|| self.config.skip_tokens.contains(&token_index)
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{
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continue;
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}
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let token_mint = token.mint;
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let token_price = self.account_fetcher.fetch_bank_price(&token.first_bank())?;
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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_price;
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// Some rebalancing can actually change non-USDC positions (rebalancing to SOL)
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// So re-fetch the current token position amount
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let bank = token_bank(token, &self.account_fetcher)?;
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let fresh_amount = || -> anyhow::Result<I80F48> {
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Ok(self
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.mango_account()?
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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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let mut amount = fresh_amount()?;
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trace!(token_index, %amount, %dust_threshold, "checking");
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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 =
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buy_amount * token_price * I80F48::from_num(self.config.borrow_settle_excess);
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let (txsig, route) = self
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.token_swap_buy(token_mint, input_amount.to_num())
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.await?;
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let in_token = self
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.mango_client
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.context
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.token_by_mint(&route.input_mint)
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.unwrap();
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info!(
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%txsig,
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"bought {} {} for {} {}",
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token.native_to_ui(I80F48::from(route.out_amount)),
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token.name,
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in_token.native_to_ui(I80F48::from(route.in_amount)),
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in_token.name,
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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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amount = fresh_amount()?;
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}
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if amount > dust_threshold {
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// Sell
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let (txsig, route) = self
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.token_swap_sell(token_mint, amount.to_num::<u64>())
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.await?;
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let out_token = self
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.mango_client
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.context
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.token_by_mint(&route.output_mint)
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.unwrap();
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info!(
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%txsig,
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"sold {} {} for {} {}",
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token.native_to_ui(I80F48::from(route.in_amount)),
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token.name,
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out_token.native_to_ui(I80F48::from(route.out_amount)),
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out_token.name,
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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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amount = fresh_amount()?;
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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
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&& amount <= dust_threshold
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&& !token_position.is_in_use()
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&& self.config.allow_withdraws
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{
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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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info!(
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%txsig,
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"withdrew {} {} to liqor wallet",
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token.native_to_ui(amount),
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token.name,
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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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warn!(
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"unexpected {} position after rebalance swap: {} native",
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token.name, 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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#[instrument(
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skip_all,
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fields(
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perp_market_name = perp.name,
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base_lots = perp_position.base_position_lots(),
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effective_lots = perp_position.effective_base_position_lots(),
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quote_native = %perp_position.quote_position_native()
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)
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)]
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async fn rebalance_perp(
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&self,
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account: &MangoAccountValue,
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perp: &PerpMarketContext,
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perp_position: &PerpPosition,
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) -> anyhow::Result<bool> {
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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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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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let perp_market: PerpMarket = self.account_fetcher.fetch(&perp.address)?;
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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.oracle)?;
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let oracle_account = KeyedAccountSharedData::new(perp.oracle, oracle_account_data);
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let oracle_price = perp_market
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.oracle_price(&OracleAccountInfos::from_reader(&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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warn!(?side, oo_lots, "cannot place reduce-only order",);
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return Ok(true);
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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.bids,
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Side::Ask => perp.asks,
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};
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let bookside = Box::new(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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warn!(
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other_side = ?side.invert_side(),
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%order_price,
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%oracle_price,
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"no liquidity",
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);
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return Ok(true);
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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
|
|
0,
|
|
10,
|
|
mango_v4::state::SelfTradeBehavior::DecrementTake,
|
|
)
|
|
.await?;
|
|
info!(
|
|
%txsig,
|
|
%order_price,
|
|
"attempt to ioc reduce perp base position"
|
|
);
|
|
if !self.refresh_mango_account_after_tx(txsig).await? {
|
|
return Ok(false);
|
|
}
|
|
} else if base_lots == 0 && quote_native != 0 {
|
|
// settle pnl
|
|
let direction = if quote_native > 0 {
|
|
perp_pnl::Direction::MaxNegative
|
|
} else {
|
|
perp_pnl::Direction::MaxPositive
|
|
};
|
|
let counters = perp_pnl::fetch_top(
|
|
&self.mango_client.context,
|
|
&self.mango_client.client.config().fallback_oracle_config,
|
|
self.account_fetcher.as_ref(),
|
|
perp_position.market_index,
|
|
direction,
|
|
2,
|
|
)
|
|
.await?;
|
|
if counters.is_empty() {
|
|
// If we can't settle some positive PNL because we're lacking a suitable counterparty,
|
|
// then liquidation should continue, even though this step produced no transaction
|
|
info!("could not settle perp pnl on perp market: no counterparty",);
|
|
return Ok(true);
|
|
}
|
|
let (counter_key, counter_acc, _counter_pnl) = counters.first().unwrap();
|
|
|
|
let (account_a, account_b) = if quote_native > 0 {
|
|
(
|
|
(&self.mango_account_address, account),
|
|
(counter_key, counter_acc),
|
|
)
|
|
} else {
|
|
(
|
|
(counter_key, counter_acc),
|
|
(&self.mango_account_address, account),
|
|
)
|
|
};
|
|
let txsig = self
|
|
.mango_client
|
|
.perp_settle_pnl(perp_position.market_index, account_a, account_b)
|
|
.await?;
|
|
info!(%txsig, "settled perp pnl");
|
|
if !self.refresh_mango_account_after_tx(txsig).await? {
|
|
return Ok(false);
|
|
}
|
|
} else if base_lots == 0 && quote_native == 0 {
|
|
// close perp position
|
|
let txsig = self
|
|
.mango_client
|
|
.perp_deactivate_position(perp_position.market_index)
|
|
.await?;
|
|
info!(
|
|
%txsig, "closed perp position"
|
|
);
|
|
if !self.refresh_mango_account_after_tx(txsig).await? {
|
|
return Ok(false);
|
|
}
|
|
} else {
|
|
// maybe we're still waiting for consume_events
|
|
info!("cannot deactivate perp position, waiting for consume events?");
|
|
}
|
|
Ok(true)
|
|
}
|
|
|
|
async fn rebalance_perps(&self) -> anyhow::Result<()> {
|
|
let account = self.mango_account()?;
|
|
|
|
for perp_position in account.active_perp_positions() {
|
|
let perp = self.mango_client.context.perp(perp_position.market_index);
|
|
if !self.rebalance_perp(&account, perp, perp_position).await? {
|
|
return Ok(());
|
|
}
|
|
}
|
|
|
|
Ok(())
|
|
}
|
|
}
|