Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

fix check_position_limits #7

Merged
merged 2 commits into from
Oct 18, 2023
Merged

fix check_position_limits #7

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
3c2b927
fix check_position_limits
wphan Oct 18, 2023
11bdce0
file layout
wphan Oct 18, 2023
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
2 changes: 2 additions & 0 deletions programs/jit-proxy/src/error.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -19,4 +19,6 @@ pub enum ErrorCode {
NoArbOpportunity,
#[msg("UnprofitableArb")]
UnprofitableArb,
#[msg("PositionLimitBreached")]
PositionLimitBreached,
}
141 changes: 118 additions & 23 deletions programs/jit-proxy/src/instructions/jit.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -103,30 +103,16 @@ pub fn jit<'info>(ctx: Context<'_, '_, '_, 'info, Jit<'info>>, params: JitParams
.cast::<i64>()?
};

let maker_base_asset_amount = if maker_direction == PositionDirection::Long {
let size = params.max_position.safe_sub(maker_existing_position)?;

if size <= 0 {
msg!(
"maker existing position {} >= max position {}",
maker_existing_position,
params.max_position
);
}

size.unsigned_abs().min(taker_base_asset_amount_unfilled)
} else {
let size = maker_existing_position.safe_sub(params.min_position)?;

if size <= 0 {
msg!(
"maker existing position {} <= max position {}",
maker_existing_position,
params.max_position
);
let maker_base_asset_amount = match check_position_limits(
params,
maker_direction,
taker_base_asset_amount_unfilled,
maker_existing_position,
) {
Ok(size) => size,
Err(e) => {
return Err(e);
}

size.unsigned_abs().min(taker_base_asset_amount_unfilled)
};

let order_params = OrderParams {
Expand Down Expand Up @@ -186,6 +172,20 @@ pub struct JitParams {
pub post_only: Option<PostOnlyParam>,
}

impl Default for JitParams {
fn default() -> Self {
Self {
taker_order_id: 0,
max_position: 0,
min_position: 0,
bid: 0,
ask: 0,
price_type: PriceType::Limit,
post_only: None,
}
}
}

impl JitParams {
pub fn get_worst_price(
self,
Expand All @@ -205,6 +205,101 @@ impl JitParams {
}
}

fn check_position_limits(
params: JitParams,
maker_direction: PositionDirection,
taker_base_asset_amount_unfilled: u64,
maker_existing_position: i64,
) -> Result<u64> {
if maker_direction == PositionDirection::Long {
let size = params.max_position.safe_sub(maker_existing_position)?;

if size <= 0 {
msg!(
"maker existing position {} >= max position {}",
maker_existing_position,
params.max_position
);
return Err(ErrorCode::PositionLimitBreached.into());
}

Ok(size.unsigned_abs().min(taker_base_asset_amount_unfilled))
} else {
let size = maker_existing_position.safe_sub(params.min_position)?;

if size <= 0 {
msg!(
"maker existing position {} <= min position {}",
maker_existing_position,
params.min_position
);
return Err(ErrorCode::PositionLimitBreached.into());
}

Ok(size.unsigned_abs().min(taker_base_asset_amount_unfilled))
}
}

#[cfg(test)]
mod tests {
use super::*;

#[test]
fn test_check_position_limits() {
let params = JitParams {
max_position: 100,
min_position: -100,
..Default::default()
};

// same direction, doesn't breach
let result = check_position_limits(params, PositionDirection::Long, 10, 40);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 10);
let result = check_position_limits(params, PositionDirection::Short, 10, -40);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 10);

// same direction, whole order breaches, only takes enough to hit limit
let result = check_position_limits(params, PositionDirection::Long, 100, 40);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 60);
let result = check_position_limits(params, PositionDirection::Short, 100, -40);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 60);

// opposite direction, doesn't breach
let result = check_position_limits(params, PositionDirection::Long, 10, -40);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 10);
let result = check_position_limits(params, PositionDirection::Short, 10, 40);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 10);

// opposite direction, whole order breaches, only takes enough to take flipped limit
let result = check_position_limits(params, PositionDirection::Long, 200, -40);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 140);
let result = check_position_limits(params, PositionDirection::Short, 200, 40);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 140);

// opposite direction, maker already breached, allows reducing
let result = check_position_limits(params, PositionDirection::Long, 200, -150);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 200);
let result = check_position_limits(params, PositionDirection::Short, 200, 150);
assert!(result.is_ok());
assert_eq!(result.unwrap(), 200);

// same direction, maker already breached, errors
let result = check_position_limits(params, PositionDirection::Long, 200, 150);
assert!(result.is_err());
let result = check_position_limits(params, PositionDirection::Short, 200, -150);
assert!(result.is_err());
}
}

fn place_and_make<'info>(
ctx: Context<'_, '_, '_, 'info, Jit<'info>>,
taker_order_id: u32,
Expand Down