take into account open orders when placing reduce only order on luna …

…perp; use perp market pubkey instead of market index for determining if luna market in price bands check
blockworks-foundation · May 14, 2022 · 8b52fdd · 8b52fdd
1 parent a25df7d
commit 8b52fdd
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Showing 4 changed files with 37 additions and 14 deletions.
diff --git a/changelog.md b/changelog.md
@@ -5,6 +5,7 @@ Deployed: | Slot:
 1. Force reduce only for perp market advanced order
 2. Allow LUNA-PERP bids to be as high as 9c
 3. Fix LUNA spot orders
+4. Fix LUNA-PERP reduce only to take into account open orders
 
 ## v3.4.5
 Deployed: May 12, 2022 at 14:29:36 UTC | Slot: 133,529,809

diff --git a/program/src/ids.rs b/program/src/ids.rs
@@ -29,6 +29,9 @@ pub mod luna_spot_market {
 
 pub mod luna_perp_market {
     use solana_program::declare_id;
+    #[cfg(feature = "devnet")]
+    declare_id!("CuYEjB3vneuzpimL5iZXeiQRHuDwRefcVbJSsBPoxgwF");
+    #[cfg(not(feature = "devnet"))]
     declare_id!("BCJrpvsB2BJtqiDgKVC4N6gyX1y24Jz96C6wMraYmXss");
 }
 

diff --git a/program/src/matching.rs b/program/src/matching.rs
@@ -36,8 +36,6 @@ const NODE_SIZE: usize = 88;
 /// This exists as a guard against excessive compute use.
 const DROP_EXPIRED_ORDER_LIMIT: usize = 5;
 
-const LUNA_MARKET_INDEX: usize = 13;
-
 #[derive(IntoPrimitive, TryFromPrimitive)]
 #[repr(u32)]
 pub enum NodeTag {
@@ -949,6 +947,7 @@ impl<'a> Book<'a> {
         now_ts: u64,
         referrer_mango_account_ai: Option<&AccountInfo>,
         limit: u8,
+        is_luna_market: bool,
     ) -> MangoResult {
         match side {
             Side::Bid => self.new_bid(
@@ -971,6 +970,7 @@ impl<'a> Book<'a> {
                 now_ts,
                 referrer_mango_account_ai,
                 limit,
+                is_luna_market,
             ),
             Side::Ask => self.new_ask(
                 program_id,
@@ -1008,7 +1008,7 @@ impl<'a> Book<'a> {
         max_quote_quantity: i64, // guaranteed to be greater than zero due to initial check
         order_type: OrderType,
         now_ts: u64,
-        market_index: usize,
+        is_luna_market: bool,
     ) -> MangoResult<(i64, i64, i64, i64)> {
         let (mut taker_base, mut taker_quote, mut bids_quantity, asks_quantity) = (0, 0, 0i64, 0);
 
@@ -1032,11 +1032,11 @@ impl<'a> Book<'a> {
 
             // Temporary hard coding LUNA price limit for bid to be below 10c.
             // This is safe because it's already in reduce only mode
-            if market_index == LUNA_MARKET_INDEX && native_price >= market.lot_to_native_price(10) {
-                msg!(
-                    "Posting on book disallowed due to price limits. Price must be below 10 cents."
-                );
-                post_allowed = false;
+            if is_luna_market {
+                if native_price >= market.lot_to_native_price(10) {
+                    msg!("Posting on book disallowed due to price limits. Price must be below 10 cents.");
+                    post_allowed = false;
+                }
             } else if native_price.checked_div(oracle_price).unwrap() > info.maint_liab_weight {
                 msg!("Posting on book disallowed due to price limits");
                 post_allowed = false;
@@ -1164,6 +1164,7 @@ impl<'a> Book<'a> {
         now_ts: u64,
         referrer_mango_account_ai: Option<&AccountInfo>,
         mut limit: u8, // max number of FillEvents allowed; guaranteed to be greater than 0
+        is_luna_market: bool,
     ) -> MangoResult {
         // TODO proper error handling
         // TODO handle the case where we run out of compute (right now just fails)
@@ -1188,11 +1189,11 @@ impl<'a> Book<'a> {
 
             // Temporary hard coding LUNA price limit for bid to be below 10c.
             // This is safe because it's already in reduce only mode
-            if market_index == LUNA_MARKET_INDEX && native_price >= market.lot_to_native_price(10) {
-                msg!(
-                    "Posting on book disallowed due to price limits. Price must be below 10 cents."
-                );
-                post_allowed = false;
+            if is_luna_market {
+                if native_price >= market.lot_to_native_price(10) {
+                    msg!("Posting on book disallowed due to price limits. Price must be below 10 cents.");
+                    post_allowed = false;
+                }
             } else if native_price.checked_div(oracle_price).unwrap() > info.maint_liab_weight {
                 msg!("Posting on book disallowed due to price limits");
                 post_allowed = false;
@@ -2407,6 +2408,7 @@ mod tests {
                     now_ts,
                     None,
                     u8::MAX,
+                    false,
                 )
                 .unwrap();
                 mango_account.orders[0]

diff --git a/program/src/processor.rs b/program/src/processor.rs
@@ -2560,6 +2560,13 @@ impl Processor {
 
             if (side == Side::Bid && base_pos > 0) || (side == Side::Ask && base_pos < 0) {
                 0
+            } else if is_luna_market {
+                // Take into account outstanding open orders as well
+                let on_orders = match side {
+                    Side::Bid => mango_account.perp_accounts[market_index].bids_quantity,
+                    Side::Ask => mango_account.perp_accounts[market_index].asks_quantity,
+                };
+                base_pos.abs().checked_sub(on_orders).unwrap().min(quantity).max(0)
             } else {
                 base_pos.abs().min(quantity)
             }
@@ -2592,6 +2599,7 @@ impl Processor {
             now_ts,
             referrer_mango_account_ai,
             u8::MAX,
+            is_luna_market,
         )?;
 
         health_cache.update_perp_val(&mango_group, &mango_cache, &mango_account, market_index)?;
@@ -2724,6 +2732,13 @@ impl Processor {
 
             if (side == Side::Bid && base_pos > 0) || (side == Side::Ask && base_pos < 0) {
                 0
+            } else if is_luna_market {
+                // Take into account outstanding open orders as well
+                let on_orders = match side {
+                    Side::Bid => mango_account.perp_accounts[market_index].bids_quantity,
+                    Side::Ask => mango_account.perp_accounts[market_index].asks_quantity,
+                };
+                base_pos.abs().checked_sub(on_orders).unwrap().min(max_base_quantity).max(0)
             } else {
                 base_pos.abs().min(max_base_quantity)
             }
@@ -2755,6 +2770,7 @@ impl Processor {
             now_ts,
             referrer_mango_account_ai,
             limit,
+            is_luna_market,
         )?;
 
         health_cache.update_perp_val(&mango_group, &mango_cache, &mango_account, market_index)?;
@@ -5527,7 +5543,7 @@ impl Processor {
                     i64::MAX,
                     order.order_type,
                     now_ts,
-                    market_index,
+                    is_luna_market,
                 )?,
                 Side::Ask => book.sim_new_ask(
                     &perp_market,
@@ -5586,6 +5602,7 @@ impl Processor {
                     now_ts,
                     None,
                     u8::MAX,
+                    is_luna_market,
                 )?;
 
                 // TODO OPT - unnecessary, remove after testing