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program: min/max last fill price with inital amm price #1821

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program: min/max last fill price with inital amm price #1821

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18 changes: 12 additions & 6 deletions programs/drift/src/controller/orders.rs
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -1296,7 +1296,7 @@ pub fn fill_perp_order(
AMMAvailability::Unavailable
};

let (base_asset_amount, quote_asset_amount) = fulfill_perp_order(
let (base_asset_amount, quote_asset_amount, initial_amm_price) = fulfill_perp_order(
user,
order_index,
&user_key,
Expand Down Expand Up @@ -1339,7 +1339,13 @@ pub fn fill_perp_order(
None,
)?;

perp_market.last_fill_price = fill_price;
if initial_amm_price != 0 {
if order_direction == PositionDirection::Long {
perp_market.last_fill_price = initial_amm_price.min(fill_price);
} else {
perp_market.last_fill_price = initial_amm_price.max(fill_price);
}
}
}

let base_asset_amount_after = user.perp_positions[position_index].base_asset_amount;
Expand Down Expand Up @@ -1754,7 +1760,7 @@ fn fulfill_perp_order(
amm_availability: AMMAvailability,
fill_mode: FillMode,
oracle_stale_for_margin: bool,
) -> DriftResult<(u64, u64)> {
) -> DriftResult<(u64, u64, u64)> {
let market_index = user.orders[user_order_index].market_index;

let user_order_position_decreasing =
Expand All @@ -1771,7 +1777,7 @@ fn fulfill_perp_order(
let perp_market_oi_before = perp_market.get_open_interest();
drop(perp_market);

let fulfillment_methods = {
let (fulfillment_methods, initial_amm_price) = {
let market = perp_market_map.get_ref(&market_index)?;
let oracle_price = oracle_map.get_price_data(&market.oracle_id())?.price;

Expand All @@ -1790,7 +1796,7 @@ fn fulfill_perp_order(
};

if fulfillment_methods.is_empty() {
return Ok((0, 0));
return Ok((0, 0, initial_amm_price));
}

let mut base_asset_amount = 0_u64;
Expand Down Expand Up @@ -2055,7 +2061,7 @@ fn fulfill_perp_order(
)?;
}

Ok((base_asset_amount, quote_asset_amount))
Ok((base_asset_amount, quote_asset_amount, initial_amm_price))
}

#[allow(clippy::type_complexity)]
Expand Down
26 changes: 14 additions & 12 deletions programs/drift/src/math/fulfillment.rs
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -24,7 +24,7 @@ pub fn determine_perp_fulfillment_methods(
slot: u64,
min_auction_duration: u8,
fill_mode: FillMode,
) -> DriftResult<Vec<PerpFulfillmentMethod>> {
) -> DriftResult<(Vec<PerpFulfillmentMethod>, u64)> {
if order.post_only {
return determine_perp_fulfillment_methods_for_maker(
order,
Expand Down Expand Up @@ -52,11 +52,13 @@ pub fn determine_perp_fulfillment_methods(

let maker_direction = order.direction.opposite();

let mut amm_price = match maker_direction {
let initial_amm_price = match maker_direction {
PositionDirection::Long => amm.bid_price(amm_reserve_price)?,
PositionDirection::Short => amm.ask_price(amm_reserve_price)?,
};

let mut amm_price = initial_amm_price;

for (maker_key, maker_order_index, maker_price) in maker_orders_info.iter() {
let taker_crosses_maker = match limit_price {
Some(taker_price) => do_orders_cross(maker_direction, *maker_price, taker_price),
Expand Down Expand Up @@ -101,7 +103,7 @@ pub fn determine_perp_fulfillment_methods(
}
}

Ok(fulfillment_methods)
Ok((fulfillment_methods, initial_amm_price))
}

fn determine_perp_fulfillment_methods_for_maker(
Expand All @@ -114,9 +116,14 @@ fn determine_perp_fulfillment_methods_for_maker(
slot: u64,
min_auction_duration: u8,
fill_mode: FillMode,
) -> DriftResult<Vec<PerpFulfillmentMethod>> {
) -> DriftResult<(Vec<PerpFulfillmentMethod>, u64)> {
let maker_direction = order.direction;

let amm_price = match maker_direction {
PositionDirection::Long => amm.ask_price(amm_reserve_price)?,
PositionDirection::Short => amm.bid_price(amm_reserve_price)?,
};

let can_fill_with_amm = can_fill_with_amm(
amm_availability,
valid_oracle_price,
Expand All @@ -127,22 +134,17 @@ fn determine_perp_fulfillment_methods_for_maker(
)?;

if !can_fill_with_amm {
return Ok(vec![]);
return Ok((vec![], amm_price));
}

let amm_price = match maker_direction {
PositionDirection::Long => amm.ask_price(amm_reserve_price)?,
PositionDirection::Short => amm.bid_price(amm_reserve_price)?,
};

let maker_price = limit_price.safe_unwrap()?;

let amm_crosses_maker = do_orders_cross(maker_direction, maker_price, amm_price);

if amm_crosses_maker {
Ok(vec![PerpFulfillmentMethod::AMM(None)])
Ok((vec![PerpFulfillmentMethod::AMM(None)], amm_price))
} else {
Ok(vec![])
Ok((vec![], amm_price))
}
}

Expand Down
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