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add check that slippage crosses bba (#548)

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* add check that slippage crosses bba

* fix tests
This commit is contained in:
lowkeynicc
2025-11-05 18:03:59 -05:00
committed by GitHub
parent 6e65379742
commit 2cf7aa4f28
2 changed files with 375 additions and 2 deletions
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39
src/utils/utils.ts
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@@ -1172,6 +1172,7 @@ export const mapToMarketOrderParams = async (
const startPrice = estimatedPrices[startPriceProperty];
processedSlippageTolerance = calculateDynamicSlippage(
direction === PositionDirection.LONG ? 'long' : 'short',
params.marketIndex,
params.marketType,
driftClient,
@@ -1377,6 +1378,7 @@ export const fetchL2FromRedis = async (
* @returns Dynamic slippage tolerance as a number
*/
export const calculateDynamicSlippage = (
direction: 'long' | 'short',
marketIndex: number,
marketType: string,
driftClient: DriftClient,
@@ -1397,7 +1399,6 @@ export const calculateDynamicSlippage = (
// Calculate spread using L2 data
let spreadBaseSlippage = 0.0005; // 0.05% fallback spread
try {
// Get oracle data
const oracleData = isPerp
? driftClient.getMMOracleDataForPerpMarket(marketIndex)
@@ -1412,6 +1413,8 @@ export const calculateDynamicSlippage = (
oraclePrice
);
try {
const spreadPctNum = BigNum.from(
spreadInfo.spreadPct,
PERCENTAGE_PRECISION_EXP
@@ -1464,7 +1467,39 @@ export const calculateDynamicSlippage = (
const minSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MIN || '0.035'); // 0.035% minimum
const maxSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MAX || '5'); // 5% maximum
return Math.min(Math.max(dynamicSlippage, minSlippage), maxSlippage);
let finalSlippage = Math.min(Math.max(dynamicSlippage, minSlippage), maxSlippage);
// make sure the slippage goes at least 1bp past the bestBid/bestAsk
const impliedEndPriceNum = direction === 'long' ? (startPrice.toNumber() * (1 + finalSlippage / 100)) : (startPrice.toNumber() * (1 - finalSlippage / 100));
const impliedEndPrice = new BN(impliedEndPriceNum);
// Adjust slippage to ensure it goes 1bp past best bid/ask if needed
try {
const ONE_BP = 0.0001; // 1 basis point = 0.01%
if (direction === 'long' && spreadInfo.bestAskPrice) {
// For LONG: if impliedEndPrice < bestAskPrice, adjust so startPrice + finalSlippage is 1bp greater than bestAskPrice
if (impliedEndPrice.lt(spreadInfo.bestAskPrice)) {
// Calculate required slippage: ((bestAskPrice * (1 + 1bp)) / startPrice - 1) * 100
const targetPrice = spreadInfo.bestAskPrice.toNumber() * (1 + ONE_BP);
const requiredSlippagePct = ((targetPrice / startPrice.toNumber()) - 1) * 100;
finalSlippage = Math.max(finalSlippage, requiredSlippagePct);
}
} else if (direction === 'short' && spreadInfo.bestBidPrice) {
// For SHORT: if impliedEndPrice > bestBidPrice, adjust so startPrice - finalSlippage is 1bp less than bestBidPrice
if (impliedEndPrice.gt(spreadInfo.bestBidPrice)) {
// Calculate required slippage: (1 - (bestBidPrice * (1 - 1bp)) / startPrice) * 100
const targetPrice = spreadInfo.bestBidPrice.toNumber() * (1 - ONE_BP);
const requiredSlippagePct = (1 - (targetPrice / startPrice.toNumber())) * 100;
finalSlippage = Math.max(finalSlippage, requiredSlippagePct);
}
}
} catch (error) {
logger.error('Failed to adjust slippage for best bid/ask:', error);
}
return finalSlippage;
};
/**