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add mid major setting for dynamic slippage (#509)

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This commit is contained in:
lowkeynicc
2025-09-17 15:52:57 -04:00
committed by GitHub
parent d3a9cccc16
commit 32d13d4b00
2 changed files with 8 additions and 1 deletions
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2
src/utils/constants.ts
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@@ -23,3 +23,5 @@ export const DEFAULT_AUCTION_PARAMS: Partial<AuctionParamArgs> = {
auctionStartPriceOffsetFrom: 'marketBased', auctionStartPriceOffsetFrom: 'marketBased',
auctionEndPriceOffsetFrom: DEFAULT_AUCTION_END_PRICE_FROM, auctionEndPriceOffsetFrom: DEFAULT_AUCTION_END_PRICE_FROM,
}; };
export const MID_MAJOR_MARKETS = [13, 23, 4, 59, 9]; // XRP, WIF, BONK, HYPE, SUI

7
src/utils/utils.ts
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@@ -31,7 +31,7 @@ import { NextFunction, Request, Response } from 'express';
import FEATURE_FLAGS from './featureFlags'; import FEATURE_FLAGS from './featureFlags';
import { Connection } from '@solana/web3.js'; import { Connection } from '@solana/web3.js';
import { wsMarketArgs } from 'src/dlob-subscriber/DLOBSubscriberIO'; import { wsMarketArgs } from 'src/dlob-subscriber/DLOBSubscriberIO';
import { DEFAULT_AUCTION_PARAMS } from './constants'; import { DEFAULT_AUCTION_PARAMS, MID_MAJOR_MARKETS } from './constants';
import { AuctionParamArgs } from './types'; import { AuctionParamArgs } from './types';
import { COMMON_MATH, ENUM_UTILS } from '@drift/common'; import { COMMON_MATH, ENUM_UTILS } from '@drift/common';
@@ -1143,9 +1143,12 @@ export const calculateDynamicSlippage = (
// Determine if this is a major market (PERP with marketIndex 0, 1, or 2) // Determine if this is a major market (PERP with marketIndex 0, 1, or 2)
const isPerp = marketType.toLowerCase() === 'perp'; const isPerp = marketType.toLowerCase() === 'perp';
const isMajor = isPerp && marketIndex < 3; const isMajor = isPerp && marketIndex < 3;
const isMidMajor = isPerp && MID_MAJOR_MARKETS.includes(marketIndex);
const baseSlippage = isMajor const baseSlippage = isMajor
? parseFloat(process.env.DYNAMIC_BASE_SLIPPAGE_MAJOR || '0') // 0% default ? parseFloat(process.env.DYNAMIC_BASE_SLIPPAGE_MAJOR || '0') // 0% default
: isMidMajor
? parseFloat(process.env.DYNAMIC_BASE_SLIPPAGE_MID_MAJOR || '0.025') // 0.025% default
: parseFloat(process.env.DYNAMIC_BASE_SLIPPAGE_NON_MAJOR || '0.5'); // 0.5% default : parseFloat(process.env.DYNAMIC_BASE_SLIPPAGE_NON_MAJOR || '0.5'); // 0.5% default
// Calculate spread using L2 data // Calculate spread using L2 data
@@ -1193,6 +1196,8 @@ export const calculateDynamicSlippage = (
// Apply multiplier from env var // Apply multiplier from env var
const multiplier = isMajor const multiplier = isMajor
? parseFloat(process.env.DYNAMIC_SLIPPAGE_MULTIPLIER_MAJOR || '1.01') ? parseFloat(process.env.DYNAMIC_SLIPPAGE_MULTIPLIER_MAJOR || '1.01')
: isMidMajor
? parseFloat(process.env.DYNAMIC_SLIPPAGE_MULTIPLIER_MID_MAJOR || '1.2')
: parseFloat(process.env.DYNAMIC_SLIPPAGE_MULTIPLIER_NON_MAJOR || '1.4'); : parseFloat(process.env.DYNAMIC_SLIPPAGE_MULTIPLIER_NON_MAJOR || '1.4');
dynamicSlippage = dynamicSlippage * multiplier; dynamicSlippage = dynamicSlippage * multiplier;