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Bigz/amm repegged min max bar fix #282

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merged 7 commits into from
Dec 7, 2022
Merged

Bigz/amm repegged min max bar fix #282

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0448821
BIGZ/update-amm-cleanup
0xbigz Dec 7, 2022
f99c346
expand tests with same logic
0xbigz Dec 7, 2022
1d0d780
improve per_peg_cost logic
0xbigz Dec 7, 2022
da893f6
fix cargo tests
0xbigz Dec 7, 2022
5058d73
cleanup dlog/msg
0xbigz Dec 7, 2022
e59540a
remove dead code
0xbigz Dec 7, 2022
300a86c
update changelog.md
0xbigz Dec 7, 2022
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28 changes: 20 additions & 8 deletions programs/drift/src/controller/repeg.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -15,6 +15,7 @@ use crate::math::casting::Cast;
use crate::math::constants::{K_BPS_UPDATE_SCALE, QUOTE_PRECISION, QUOTE_SPOT_MARKET_INDEX};
use crate::math::cp_curve;
use crate::math::cp_curve::get_update_k_result;
use crate::math::cp_curve::UpdateKResult;
use crate::math::oracle;
use crate::math::oracle::{is_oracle_valid_for_action, oracle_validity, DriftAction};
use crate::math::repeg;
Expand Down Expand Up @@ -154,6 +155,7 @@ pub fn _update_amm(
)?;

let mut amm_update_cost = 0;
let mut amm_not_successfully_updated = false;
if is_oracle_valid_for_action(oracle_validity, Some(DriftAction::UpdateAMMCurve))? {
let curve_update_intensity =
min(market.amm.curve_update_intensity, 100_u8).cast::<i128>()?;
Expand All @@ -166,16 +168,24 @@ pub fn _update_amm(
repeg::adjust_amm(market, optimal_peg, fee_budget, true)?;

let cost_applied = apply_cost_to_market(market, repegged_cost, check_lower_bound)?;

if cost_applied {
market.amm.base_asset_reserve = repegged_market.amm.base_asset_reserve;
market.amm.quote_asset_reserve = repegged_market.amm.quote_asset_reserve;
market.amm.sqrt_k = repegged_market.amm.sqrt_k;

market.amm.terminal_quote_asset_reserve =
repegged_market.amm.terminal_quote_asset_reserve;
cp_curve::update_k(
market,
&UpdateKResult {
sqrt_k: repegged_market.amm.sqrt_k,
base_asset_reserve: repegged_market.amm.base_asset_reserve,
quote_asset_reserve: repegged_market.amm.quote_asset_reserve,
},
)?;
// market.amm.base_asset_reserve = repegged_market.amm.base_asset_reserve;
// market.amm.quote_asset_reserve = repegged_market.amm.quote_asset_reserve;
// market.amm.sqrt_k = repegged_market.amm.sqrt_k;
// market.amm.terminal_quote_asset_reserve =
// repegged_market.amm.terminal_quote_asset_reserve;
market.amm.peg_multiplier = repegged_market.amm.peg_multiplier;
amm_update_cost = repegged_cost;
} else {
amm_not_successfully_updated = true;
}
}
}
Expand All @@ -195,7 +205,9 @@ pub fn _update_amm(
}

if is_oracle_valid_for_action(oracle_validity, Some(DriftAction::FillOrderAmm))? {
market.amm.last_update_slot = clock_slot;
if !amm_not_successfully_updated {
market.amm.last_update_slot = clock_slot;
}
market.amm.last_oracle_valid = true;
} else {
market.amm.last_oracle_valid = false;
Expand Down
92 changes: 68 additions & 24 deletions programs/drift/src/controller/repeg/tests.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -30,6 +30,8 @@ pub fn update_amm_test() {
base_spread: 250,
curve_update_intensity: 100,
max_spread: 55500,
concentration_coef: 1020710,

..AMM::default()
},
status: MarketStatus::Initialized,
Expand Down Expand Up @@ -93,7 +95,7 @@ pub fn update_amm_test() {
== OracleValidity::Valid;

let reserve_price_after_prepeg = market.amm.reserve_price().unwrap();
assert_eq!(reserve_price_after_prepeg, 12744099999);
assert_eq!(reserve_price_after_prepeg, 12743902020);
assert_eq!(
market.amm.historical_oracle_data.last_oracle_price,
12400000000
Expand All @@ -116,7 +118,7 @@ pub fn update_amm_test() {
Some(reserve_price_after_prepeg),
)
.unwrap();
assert_eq!(oracle_reserve_price_spread_pct_before, -330349);
assert_eq!(oracle_reserve_price_spread_pct_before, -330370);
let too_diverge = amm::is_oracle_mark_too_divergent(
oracle_reserve_price_spread_pct_before,
&state.oracle_guard_rails.price_divergence,
Expand All @@ -129,8 +131,8 @@ pub fn update_amm_test() {
assert_eq!(-cost_of_update, profit);
assert!(is_oracle_valid);
assert!(profit < 0);
assert_eq!(profit, -6158311901);
assert_eq!(peg, 13_145_464_477);
assert_eq!(peg, 13145260263);
assert_eq!(profit, -6158609290);

let reserve_price = market.amm.reserve_price().unwrap();
let (bid, ask) = market.amm.bid_ask_price(reserve_price).unwrap();
Expand All @@ -142,12 +144,12 @@ pub fn update_amm_test() {
(market.margin_ratio_initial * 100) as u32
);

assert_eq!(bid, 12039058154);
assert_eq!(bid, 12038871128);
assert!(bid < (oracle_price_data.price as u64));
assert_eq!(reserve_price, 12744099999);
assert_eq!(ask, 12746355704);
assert_eq!(reserve_price, 12743902020);
assert_eq!(ask, 12746157690);
assert!(ask >= (oracle_price_data.price as u64));
//(12746355704-12039058154)/12746355704 == .05547 (max spread=.0555)
assert!((ask - bid) * 1000000 / reserve_price < market.amm.max_spread as u64);
}

#[test]
Expand All @@ -162,6 +164,7 @@ pub fn update_amm_test_bad_oracle() {
base_asset_amount_with_amm: -(AMM_RESERVE_PRECISION as i128),
mark_std: PRICE_PRECISION as u64,
last_mark_price_twap_ts: 0,
concentration_coef: 1020710,
historical_oracle_data: HistoricalOracleData {
last_oracle_price_twap: 19_400 * PRICE_PRECISION_I64,
..HistoricalOracleData::default()
Expand Down Expand Up @@ -348,6 +351,7 @@ pub fn update_amm_larg_conf_w_neg_tfmd_test() {
let slot = 81680085;

let mut market = PerpMarket::default_btc_test();
market.amm.concentration_coef = 1414213;
market.amm.total_fee_minus_distributions = -(10000 * QUOTE_PRECISION as i128);
assert_eq!(market.amm.base_asset_amount_with_amm, -1000000000);

Expand Down Expand Up @@ -378,11 +382,32 @@ pub fn update_amm_larg_conf_w_neg_tfmd_test() {
};
assert_eq!(market.amm.long_spread, 0);
assert_eq!(market.amm.short_spread, 0);
assert_eq!(market.amm.last_update_slot, 0);
assert_eq!(market.amm.sqrt_k, 64000000000);
let prev_peg_multiplier = market.amm.peg_multiplier;
let prev_total_fee_minus_distributions = market.amm.total_fee_minus_distributions;

let cost_of_update = _update_amm(&mut market, &oracle_price_data, &state, now, slot).unwrap();
assert_eq!(cost_of_update, -42992787); // amm wins when price increases
assert_eq!(market.amm.long_spread, 390);
assert_eq!(market.amm.short_spread, 975 - 390);
assert_eq!(market.amm.sqrt_k, 64000000000);
assert_eq!(market.amm.base_asset_reserve, 65000000000);
assert_eq!(market.amm.quote_asset_reserve, 63015384615);
assert_eq!(market.amm.terminal_quote_asset_reserve, 64000000000);
assert_eq!(market.amm.min_base_asset_reserve, 45254851991);
assert_eq!(market.amm.max_base_asset_reserve, 90509632000);
assert_eq!(market.amm.peg_multiplier, 19443664550);
assert_eq!(market.amm.peg_multiplier > prev_peg_multiplier, true);
assert_eq!(market.amm.total_fee_minus_distributions, -9957007213);
assert_eq!(
market.amm.total_fee_minus_distributions > prev_total_fee_minus_distributions,
true
);

assert_eq!(market.amm.last_oracle_valid, true);
assert_eq!(market.amm.last_update_slot, slot);

assert_eq!(market.amm.long_spread, 389);
assert_eq!(market.amm.short_spread, 975 - 389);

let reserve_price_after = market.amm.reserve_price().unwrap();
assert_eq!(reserve_price_after, 18849999999);
Expand All @@ -402,14 +427,15 @@ pub fn update_amm_larg_conf_w_neg_tfmd_test() {
let mrk = market.amm.reserve_price().unwrap();
let (bid, ask) = market.amm.bid_ask_price(mrk).unwrap();

assert_eq!(bid, 18838972749);
assert_eq!(bid, 18838953899);
assert_eq!(mrk, 18849999999);
assert_eq!(ask, 18857351498);
assert_eq!(ask, 18857332648);

assert_eq!(market.amm.long_spread, 390);
assert_eq!(market.amm.short_spread, 585);
assert_eq!(market.amm.long_spread, 389);
assert_eq!(market.amm.short_spread, 586);

// add move lower
msg!("SHOULD LOWER K");
let oracle_price_data = OraclePriceData {
price: (18_820 * PRICE_PRECISION) as i64,
confidence: 100 * PRICE_PRECISION_U64,
Expand All @@ -433,20 +459,38 @@ pub fn update_amm_larg_conf_w_neg_tfmd_test() {
let optimal_peg_cost = calculate_repeg_cost(&market.amm, optimal_peg).unwrap();
assert_eq!(optimal_peg_cost, 30468749);

let prev_peg_multiplier = market.amm.peg_multiplier;
let prev_total_fee_minus_distributions = market.amm.total_fee_minus_distributions;
let cost_of_update = _update_amm(&mut market, &oracle_price_data, &state, now, slot).unwrap();
assert_eq!(cost_of_update, 21160200);
assert_eq!(market.amm.peg_multiplier, 19422173721);
assert_eq!(cost_of_update, 21459607); // amm loses when price decreases (given users are net short)
assert_eq!(market.amm.sqrt_k, 63936000000); // k lowered since cost_of_update is positive and total_fee_minus_distributions negative
assert_eq!(market.amm.base_asset_reserve, 64935000000);
assert_eq!(market.amm.quote_asset_reserve, 62952369231);
assert_eq!(market.amm.terminal_quote_asset_reserve, 63937000015);
assert_eq!(market.amm.min_base_asset_reserve, 45208890032);
assert_eq!(market.amm.max_base_asset_reserve, 90417708155);
assert_eq!(market.amm.peg_multiplier, 19421869977);
assert_eq!(market.amm.peg_multiplier < prev_peg_multiplier, true);
// assert_eq!(market.amm.total_fee_minus_distributions, -9978167413);
assert_eq!(
market.amm.total_fee_minus_distributions < prev_total_fee_minus_distributions,
true
);

assert_eq!(market.amm.last_oracle_valid, true);
assert_eq!(market.amm.last_update_slot, slot);

assert_eq!(market.amm.long_spread, 369);
assert_eq!(market.amm.short_spread, 975 - 369);

let mrk = market.amm.reserve_price().unwrap();
let (bid, ask) = market.amm.bid_ask_price(mrk).unwrap();

let orc = oracle_price_data.price as u64;
assert_eq!(bid, 18817754864);
assert_eq!(bid, 18817460574);
assert_eq!(orc, 18820000000);
assert_eq!(mrk, 18829165339);
assert_eq!(ask, 18836113301);
assert_eq!(mrk, 18828870870);
assert_eq!(ask, 18835818723);

assert_eq!(bid <= orc, true);

Expand All @@ -460,15 +504,15 @@ pub fn update_amm_larg_conf_w_neg_tfmd_test() {

let cost_of_update = _update_amm(&mut market, &oracle_price_data, &state, now, slot).unwrap();
assert_eq!(cost_of_update, 0);
assert_eq!(market.amm.long_spread, 378);
assert_eq!(market.amm.short_spread, 975 - 378);
assert_eq!(market.amm.long_spread, 377);
assert_eq!(market.amm.short_spread, 975 - 377);

let mrk = market.amm.reserve_price().unwrap();
let (bid, ask) = market.amm.bid_ask_price(mrk).unwrap();

assert_eq!(bid, 18817924327);
assert_eq!(mrk, 18829165339);
assert_eq!(ask, 18836282763);
assert_eq!(bid, 18817611205);
assert_eq!(mrk, 18828870870);
assert_eq!(ask, 18835969354);
assert_eq!((oracle_price_data.price as u64) > bid, true);
assert_eq!((oracle_price_data.price as u64) < ask, true);
}
28 changes: 21 additions & 7 deletions programs/drift/src/math/repeg.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -252,17 +252,25 @@ pub fn calculate_per_peg_cost(
terminal_quote_asset_reserve: u128,
) -> DriftResult<i128> {
// returns a signed per_peg_cost relative to delta peg
// signed means that "cost" to amm is influenced whether delta_peg is the same sign

let per_peg_cost = if quote_asset_reserve != terminal_quote_asset_reserve {
quote_asset_reserve
.cast::<i128>()?
.safe_sub(terminal_quote_asset_reserve.cast::<i128>()?)?
.safe_div(AMM_RESERVE_PRECISION_I128 / PEG_PRECISION_I128)?
.safe_add(1)?
.safe_div_ceil(AMM_RESERVE_PRECISION_I128 / PEG_PRECISION_I128)?
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@crispheaney this will make negative number "larger negative" than otherwise?

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it rounds to positive infinity

} else {
0
};

Ok(per_peg_cost)
// round to make magnitude higher
Ok(if per_peg_cost > 0 {
per_peg_cost.safe_add(1)?
} else if per_peg_cost < 0 {
per_peg_cost.safe_sub(1)?
} else {
per_peg_cost
})
}

pub fn adjust_amm(
Expand Down Expand Up @@ -302,9 +310,12 @@ pub fn adjust_amm(
budget_delta_peg_magnitude = budget_delta_peg.unsigned_abs();
}

if (per_peg_cost == 0 || per_peg_cost > 0 && delta_peg < 0 || per_peg_cost < 0 && delta_peg > 0)
|| (budget_delta_peg_magnitude > delta_peg.unsigned_abs())
{
let use_optimal_peg = (per_peg_cost == 0 // if per peg cost is 0 => free
|| per_peg_cost > 0 && delta_peg < 0 // or if per peg positive and the direction is down => revenue
|| per_peg_cost < 0 && delta_peg > 0) // or if per peg negative and the direction is up => revenue
|| (budget_delta_peg_magnitude > delta_peg.unsigned_abs()); // the peg movement from full budget usage exceeds delta to optimal

if use_optimal_peg {
// use optimal peg
new_peg = optimal_peg;
cost = calculate_repeg_cost(&market_clone.amm, new_peg)?;
Expand Down Expand Up @@ -342,6 +353,7 @@ pub fn adjust_amm(
market_clone.amm.quote_asset_reserve,
market_clone.amm.terminal_quote_asset_reserve,
)?;

adjustment_cost
} else {
0
Expand Down Expand Up @@ -370,7 +382,6 @@ pub fn adjust_amm(

cost = calculate_repeg_cost(&market_clone.amm, new_peg)?;
}

market_clone.amm.peg_multiplier = new_peg;

Ok((market_clone, cost))
Expand All @@ -394,6 +405,7 @@ pub fn calculate_optimal_peg_and_budget(
let optimal_peg_cost = calculate_repeg_cost(&market.amm, optimal_peg)?;

let mut check_lower_bound = true;

if fee_budget < max(0, optimal_peg_cost).cast()? {
let half_max_price_spread = target_price
.cast::<u128>()?
Expand Down Expand Up @@ -421,7 +433,9 @@ pub fn calculate_optimal_peg_and_budget(
market.amm.base_asset_reserve,
target_price.cast()?,
)?;

fee_budget = calculate_repeg_cost(&market.amm, optimal_peg)?.cast::<u128>()?;

check_lower_bound = false;
}
}
Expand Down
8 changes: 4 additions & 4 deletions tests/imbalancePerpPnl.ts
View file
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Original file line number Diff line number Diff line change
Expand Up @@ -444,7 +444,7 @@ describe('imbalanced large perp pnl w/ borrow hitting limits', () => {
oraclePriceData00Again
);
console.log('bid0After:', bid0After.toString(), ask0After.toString());
assert(bid0After.eq(new BN(254194605)));
assert(bid0After.eq(new BN(254194105)));
assert(
oraclePriceData00Again.price.eq(
new BN(260.5 * PRICE_PRECISION.toNumber())
Expand Down Expand Up @@ -756,7 +756,7 @@ describe('imbalanced large perp pnl w/ borrow hitting limits', () => {
console.log(prepegAMM.pegMultiplier.toString());
console.log(bid.toString());
console.log(ask.toString());
assert(bid.eq(new BN('254194605')));
assert(bid.eq(new BN('254194105')));
assert(prepegAMM.pegMultiplier.eq(new BN('254313113')));
assert(oraclePriceData0.price.eq(new BN('260500000')));
assert(ask.eq(new BN('266567441')));
Expand Down Expand Up @@ -882,8 +882,8 @@ describe('imbalanced large perp pnl w/ borrow hitting limits', () => {
);

console.log('pnlimbalance:', imbalance.toString());
assert(imbalance.lt(new BN(44454586870 + 20000))); //44k still :o
assert(imbalance.gt(new BN(44454586870 - 20000))); //44k still :o
assert(imbalance.lt(new BN(44454575549 + 20000))); //44k still :o
assert(imbalance.gt(new BN(44454575549 - 20000))); //44k still :o

console.log(
'revenueWithdrawSinceLastSettle:',
Expand Down