program: allow amm to fill instantly (drift-labs#1258)

* program: add-amm-availability-enum * passing tests * add init skip duration logic * amm skip auction duration check for prelaunch oracle * cargo fmt -- * add state check for pause * add protected maker mode for user * improve naming * filter protected makers in get_maker_orders_info * add helper function for amm fill check * Revert "filter protected makers in get_maker_orders_info" This reverts commit e1a9e1a. * Revert "add protected maker mode for user" This reverts commit c59e2b2. * wip - cache amm imbalance math * add support for cached amm imbalance * use cached amm_lp_allowed_to_jit_make, simplier criteria for user skip * add PerpOperation AmmImmediateFill * user skip check on sub_account_id stats * add sufficient_slippage for user skip_duration * simplify number_of_sub_accounts_created check * some optimizations * fix test * add logs and test * cargo fmt -- * CHANGELOG --------- Co-authored-by: Chris Heaney <[email protected]>
Ganjiali · Nov 3, 2024 · 50f67cf · 50f67cf
1 parent 149bf50
commit 50f67cf
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Showing 19 changed files with 408 additions and 98 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -12,6 +12,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - sdk: init referrerMap ([#1295](https://github.com/drift-labs/protocol-v2/pull/1295))
 - program: allow disable high leverage mode after 1 hour ([#1289](https://github.com/drift-labs/protocol-v2/pull/1289))
 - sdk: driftClient unsub from delisted markets by default ([#1298](https://github.com/drift-labs/protocol-v2/pull/1298))
+- program: allow amm to fill immediately ([#1258](https://github.com/drift-labs/protocol-v2/pull/1258))
 
 ### Fixes
 

diff --git a/programs/drift/src/controller/orders.rs b/programs/drift/src/controller/orders.rs
@@ -23,9 +23,8 @@ use crate::controller::spot_position::{
 };
 use crate::error::DriftResult;
 use crate::error::ErrorCode;
-use crate::get_struct_values;
-use crate::get_then_update_id;
 use crate::load_mut;
+use crate::math::amm::calculate_amm_available_liquidity;
 use crate::math::amm_jit::calculate_amm_jit_liquidity;
 use crate::math::auction::{calculate_auction_params_for_trigger_order, calculate_auction_prices};
 use crate::math::casting::Cast;
@@ -35,23 +34,17 @@ use crate::math::fulfillment::{
     determine_perp_fulfillment_methods, determine_spot_fulfillment_methods,
 };
 use crate::math::liquidation::validate_user_not_being_liquidated;
+use crate::math::lp::calculate_lp_shares_to_burn_for_risk_reduction;
 use crate::math::matching::{
     are_orders_same_market_but_different_sides, calculate_fill_for_matched_orders,
     calculate_filler_multiplier_for_matched_orders, do_orders_cross, is_maker_for_taker,
 };
 use crate::math::oracle::{is_oracle_valid_for_action, DriftAction, OracleValidity};
 use crate::math::safe_math::SafeMath;
-use crate::math::spot_balance::{get_signed_token_amount, get_token_amount};
-use crate::math::{amm, fees, margin::*, orders::*};
-use crate::state::order_params::{
-    ModifyOrderParams, ModifyOrderPolicy, OrderParams, PlaceOrderOptions, PostOnlyParam, RFQMatch,
-};
-use crate::{controller, ID};
-
-use crate::math::amm::calculate_amm_available_liquidity;
-use crate::math::lp::calculate_lp_shares_to_burn_for_risk_reduction;
 use crate::math::safe_unwrap::SafeUnwrap;
+use crate::math::spot_balance::{get_signed_token_amount, get_token_amount};
 use crate::math::spot_swap::select_margin_type_for_swap;
+use crate::math::{amm, fees, margin::*, orders::*};
 use crate::print_error;
 use crate::state::events::{
     emit_stack, get_order_action_record, LPAction, LPRecord, OrderActionRecord, OrderRecord,
@@ -62,8 +55,11 @@ use crate::state::fulfillment::{PerpFulfillmentMethod, SpotFulfillmentMethod};
 use crate::state::margin_calculation::{MarginCalculation, MarginContext};
 use crate::state::oracle::{OraclePriceData, StrictOraclePrice};
 use crate::state::oracle_map::OracleMap;
+use crate::state::order_params::{
+    ModifyOrderParams, ModifyOrderPolicy, OrderParams, PlaceOrderOptions, PostOnlyParam, RFQMatch,
+};
 use crate::state::paused_operations::{PerpOperation, SpotOperation};
-use crate::state::perp_market::{AMMLiquiditySplit, MarketStatus, PerpMarket};
+use crate::state::perp_market::{AMMAvailability, AMMLiquiditySplit, MarketStatus, PerpMarket};
 use crate::state::perp_market_map::PerpMarketMap;
 use crate::state::rfq_user::{RFQOrderId, RFQUser};
 use crate::state::spot_fulfillment_params::{ExternalSpotFill, SpotFulfillmentParams};
@@ -82,6 +78,9 @@ use crate::validation;
 use crate::validation::order::{
     validate_order, validate_order_for_force_reduce_only, validate_spot_order,
 };
+use crate::{controller, ID};
+use crate::{get_struct_values, PERCENTAGE_PRECISION};
+use crate::{get_then_update_id, PERCENTAGE_PRECISION_I64};
 
 #[cfg(test)]
 mod tests;
@@ -1079,12 +1078,23 @@ pub fn fill_perp_order(
         .position(|order| order.order_id == order_id)
         .ok_or_else(print_error!(ErrorCode::OrderDoesNotExist))?;
 
-    let (order_status, market_index, order_market_type, order_direction) = get_struct_values!(
+    let (
+        order_status,
+        market_index,
+        order_market_type,
+        order_price,
+        order_oracle_price_offset,
+        order_direction,
+        order_auction_duration,
+    ) = get_struct_values!(
         user.orders[order_index],
         status,
         market_index,
         market_type,
-        direction
+        price,
+        oracle_price_offset,
+        direction,
+        auction_duration
     );
 
     validate!(
@@ -1152,6 +1162,9 @@ pub fn fill_perp_order(
     let oracle_price: i64;
     let oracle_twap_5min: i64;
     let perp_market_index: u16;
+    let user_can_skip_duration: bool;
+    let amm_can_skip_duration: bool;
+    let amm_lp_allowed_to_jit_make: bool;
 
     let mut amm_is_available = !state.amm_paused()? && !fill_mode.is_rfq();
     {
@@ -1176,6 +1189,27 @@ pub fn fill_perp_order(
         amm_is_available &= !market.is_operation_paused(PerpOperation::AmmFill);
         amm_is_available &= !market.has_too_much_drawdown()?;
 
+        let amm_wants_to_jit_make = market.amm.amm_wants_to_jit_make(order_direction)?;
+        amm_lp_allowed_to_jit_make = market
+            .amm
+            .amm_lp_allowed_to_jit_make(amm_wants_to_jit_make)?;
+        amm_can_skip_duration =
+            market.can_skip_auction_duration(&state, amm_lp_allowed_to_jit_make)?;
+
+        user_can_skip_duration = if amm_can_skip_duration && amm_is_available {
+            user.can_skip_auction_duration(
+                user_stats,
+                order_auction_duration > 0,
+                fill_mode.is_ioc(),
+                order_direction,
+                order_price,
+                order_oracle_price_offset,
+                oracle_price_data.price,
+            )?
+        } else {
+            false
+        };
+
         reserve_price_before = market.amm.reserve_price()?;
         oracle_price = oracle_price_data.price;
         oracle_twap_5min = market
@@ -1320,6 +1354,16 @@ pub fn fill_perp_order(
         return Ok((0, 0));
     }
 
+    let amm_availability = if amm_is_available {
+        if amm_can_skip_duration && user_can_skip_duration {
+            AMMAvailability::Immediate
+        } else {
+            AMMAvailability::AfterMinDuration
+        }
+    } else {
+        AMMAvailability::Unavailable
+    };
+
     let (base_asset_amount, quote_asset_amount) = fulfill_perp_order(
         user,
         order_index,
@@ -1341,8 +1385,9 @@ pub fn fill_perp_order(
         now,
         slot,
         state.min_perp_auction_duration,
-        amm_is_available,
+        amm_availability,
         fill_mode,
+        Some(amm_lp_allowed_to_jit_make),
     )?;
 
     if base_asset_amount != 0 {
@@ -1735,8 +1780,9 @@ fn fulfill_perp_order(
     now: i64,
     slot: u64,
     min_auction_duration: u8,
-    amm_is_available: bool,
+    amm_availability: AMMAvailability,
     fill_mode: FillMode,
+    amm_lp_allowed_to_jit_make: Option<bool>,
 ) -> DriftResult<(u64, u64)> {
     let market_index = user.orders[user_order_index].market_index;
 
@@ -1764,7 +1810,7 @@ fn fulfill_perp_order(
             reserve_price_before,
             Some(oracle_price),
             limit_price,
-            amm_is_available,
+            amm_availability,
             slot,
             min_auction_duration,
             fill_mode,
@@ -1878,6 +1924,7 @@ fn fulfill_perp_order(
                         fee_structure,
                         oracle_map,
                         fill_mode.is_liquidation(),
+                        None,
                     )?;
 
                 if maker_fill_base_asset_amount != 0 {
@@ -2424,6 +2471,7 @@ pub fn fulfill_perp_order_with_match(
     fee_structure: &FeeStructure,
     oracle_map: &mut OracleMap,
     is_liquidation: bool,
+    amm_lp_allowed_to_jit_make: Option<bool>,
 ) -> DriftResult<(u64, u64, u64)> {
     if !are_orders_same_market_but_different_sides(
         &maker.orders[maker_order_index],
@@ -2512,6 +2560,7 @@ pub fn fulfill_perp_order_with_match(
         taker_base_asset_amount,
         maker_base_asset_amount,
         taker.orders[taker_order_index].has_limit_price(slot)?,
+        amm_lp_allowed_to_jit_make,
     )?;
 
     if jit_base_asset_amount > 0 {

diff --git a/programs/drift/src/controller/orders/amm_jit_tests.rs b/programs/drift/src/controller/orders/amm_jit_tests.rs
@@ -298,8 +298,9 @@ pub mod amm_jit {
             now,
             slot,
             0,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -487,8 +488,9 @@ pub mod amm_jit {
             now,
             slot,
             10,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -684,8 +686,9 @@ pub mod amm_jit {
             now,
             slot,
             10,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -880,8 +883,9 @@ pub mod amm_jit {
             now,
             slot,
             10,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -1078,8 +1082,9 @@ pub mod amm_jit {
             now,
             slot,
             0,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -1285,8 +1290,9 @@ pub mod amm_jit {
             now,
             slot,
             0,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -1490,8 +1496,9 @@ pub mod amm_jit {
             now,
             slot,
             0,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -1718,8 +1725,9 @@ pub mod amm_jit {
             now,
             slot,
             0,
-            false,
+            crate::state::perp_market::AMMAvailability::Unavailable,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -1917,8 +1925,9 @@ pub mod amm_jit {
             now,
             slot,
             0,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -2104,8 +2113,9 @@ pub mod amm_jit {
             now,
             slot,
             10,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -2303,8 +2313,9 @@ pub mod amm_jit {
             now,
             slot,
             10,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();
 
@@ -2553,8 +2564,9 @@ pub mod amm_jit {
                 now,
                 slot,
                 auction_duration,
-                true,
+                crate::state::perp_market::AMMAvailability::AfterMinDuration,
                 FillMode::Fill,
+                None,
             )
             .unwrap();
 
@@ -2836,8 +2848,9 @@ pub mod amm_jit {
                 now,
                 slot,
                 10,
-                true,
+                crate::state::perp_market::AMMAvailability::AfterMinDuration,
                 FillMode::Fill,
+                None,
             )
             .unwrap();
 
@@ -3064,8 +3077,9 @@ pub mod amm_jit {
             now,
             slot,
             0,
-            true,
+            crate::state::perp_market::AMMAvailability::AfterMinDuration,
             FillMode::Fill,
+            None,
         )
         .unwrap();