add auction anchoring in v2
This commit is contained in:
wphan
@@ -34,6 +34,7 @@ import { wsMarketArgs } from 'src/dlob-subscriber/DLOBSubscriberIO';
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import { DEFAULT_AUCTION_PARAMS, MID_MAJOR_MARKETS } from './constants';
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import { AuctionParamArgs } from './types';
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import { COMMON_MATH, ENUM_UTILS } from '@drift/common';
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import { TakerFillVsOracleBpsRedisResult } from '../athena/repositories/fillQualityAnalytics';
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export const GROUPING_OPTIONS = [1, 10, 100, 500, 1000];
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export const GROUPING_DEPENDENCIES = {
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@@ -312,10 +313,17 @@ export function publishGroupings(
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asks: aggregatedAsks,
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});
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if(['SOL-PERP', 'BTC-PERP', 'ETH-PERP'].includes(l2Formatted_grouped20.marketName) && aggregatedBids.length !== 20 || aggregatedAsks.length !== 20) {
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logger.error(`Error aggregating dlob levels: group=${group}, bids=${fullAggregatedBids.length}, asks=${fullAggregatedAsks.length}`)
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logger.error(`Response: ${JSON.stringify(l2Formatted_grouped20)}`)
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if (
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(['SOL-PERP', 'BTC-PERP', 'ETH-PERP'].includes(
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l2Formatted_grouped20.marketName
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) &&
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aggregatedBids.length !== 20) ||
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aggregatedAsks.length !== 20
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) {
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logger.error(
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`Error aggregating dlob levels: group=${group}, bids=${fullAggregatedBids.length}, asks=${fullAggregatedAsks.length}`
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);
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logger.error(`Response: ${JSON.stringify(l2Formatted_grouped20)}`);
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}
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redisClient.publish(
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@@ -911,6 +919,8 @@ export const getEstimatedPrices = async (
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* @param driftClient - DriftClient instance (optional, for price calculation)
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* @param fetchFromRedis - Redis fetch function (optional, for price calculation)
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* @param selectMostRecentBySlot - Slot selection function (optional, for price calculation)
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* @param fillQualityInfo - Fill quality analytics data (version 2 only)
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* @param apiVersion - API version (1 or 2)
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* @returns Object formatted for deriveMarketOrderParams function or error response
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*/
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export const mapToMarketOrderParams = async (
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@@ -920,7 +930,9 @@ export const mapToMarketOrderParams = async (
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key: string,
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selectionCriteria: (responses: any) => any
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) => Promise<any>,
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selectMostRecentBySlot?: (responses: any[]) => any
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selectMostRecentBySlot?: (responses: any[]) => any,
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fillQualityInfo?: TakerFillVsOracleBpsRedisResult,
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apiVersion: number = 1
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): Promise<{
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success: boolean;
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data?: {
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@@ -960,6 +972,15 @@ export const mapToMarketOrderParams = async (
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let estimatedPrices;
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let processedSlippageTolerance = params.slippageTolerance;
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// Track debug info for logging
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let debugInfo = {
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originalOraclePrice: null as string | null,
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adjustedOraclePrice: null as string | null,
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isCrossed: false,
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fillQualityBps: null as number | null,
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appliedV2Adjustment: false,
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};
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if (driftClient && fetchFromRedis && selectMostRecentBySlot) {
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// Get L2 orderbook data using the utility function
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const redisL2 = await fetchL2FromRedis(
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@@ -980,6 +1001,73 @@ export const mapToMarketOrderParams = async (
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redisL2
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);
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// Store original oracle for debugging
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debugInfo.originalOraclePrice = estimatedPrices.oraclePrice.toString();
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// VERSION 2: Adjust oracle price based on fill quality when orderbook is crossed
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if (apiVersion === 2 && fillQualityInfo && redisL2) {
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try {
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// Convert raw L2 to formatted L2 for cross detection
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const l2Formatted = convertRawL2ToBN(redisL2);
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const isSpot = isVariant(marketType, 'spot');
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const oracleData = isSpot
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? driftClient.getOracleDataForSpotMarket(params.marketIndex)
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: driftClient.getOracleDataForPerpMarket(params.marketIndex);
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const oraclePrice = oracleData.price ?? ZERO;
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// Detect if orderbook is crossed
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const spreadInfo = COMMON_MATH.calculateSpreadBidAskMark(
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l2Formatted,
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oraclePrice
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);
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const isCrossed =
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spreadInfo.bestBidPrice &&
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spreadInfo.bestAskPrice &&
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spreadInfo.bestBidPrice.gte(spreadInfo.bestAskPrice);
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debugInfo.isCrossed = isCrossed;
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if (isCrossed) {
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// Get fill quality metric based on direction
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const fillQualityBpsStr =
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direction === PositionDirection.LONG
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? fillQualityInfo.takerBuyBpsFromOracle?.all
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: fillQualityInfo.takerSellBpsFromOracle?.all;
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if (
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fillQualityBpsStr &&
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fillQualityBpsStr !== 'null' &&
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fillQualityBpsStr !== null
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) {
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const fillQualityBps = Math.round(
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parseFloat(fillQualityBpsStr) * 100
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); // mul 100 to maintain 2 sigfigs (1.23 bps = 0.000123)
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debugInfo.fillQualityBps = fillQualityBps;
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if (!isNaN(fillQualityBps)) {
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const adjustment = oraclePrice
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.muln(fillQualityBps)
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.divn(10000 * 100); // adjustmentFactor is in bps
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const adjustedOraclePrice = oraclePrice.add(adjustment);
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// Update the oracle price in estimatedPrices
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estimatedPrices.oraclePrice = adjustedOraclePrice;
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debugInfo.adjustedOraclePrice = adjustedOraclePrice.toString();
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debugInfo.appliedV2Adjustment = true;
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}
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}
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}
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} catch (error) {
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logger.warn(
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'Version 2: Failed to apply fill quality adjustment, using standard oracle:',
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error
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);
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// Fall through to use unadjusted oracle
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}
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}
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// Handle dynamic slippage tolerance calculation if needed
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if (params.slippageTolerance === undefined) {
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// Convert raw L2 to formatted L2 for slippage calculation
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@@ -1028,6 +1116,62 @@ export const mapToMarketOrderParams = async (
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baseAmount = amount.mul(BASE_PRECISION).div(estimatedPrices.entryPrice);
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}
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// Comprehensive debug logging
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logger.info(
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JSON.stringify({
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event: 'auction_params_calculated',
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requestParams: {
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marketIndex: params.marketIndex,
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marketType: params.marketType,
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direction: direction === PositionDirection.LONG ? 'long' : 'short',
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amount: params.amount,
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assetType: params.assetType,
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slippageTolerance: params.slippageTolerance,
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apiVersion,
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},
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priceDiscovery: {
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originalOraclePrice: debugInfo.originalOraclePrice,
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finalOraclePrice: estimatedPrices.oraclePrice.toString(),
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bestPrice: estimatedPrices.bestPrice.toString(),
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entryPrice: estimatedPrices.entryPrice.toString(),
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worstPrice: estimatedPrices.worstPrice.toString(),
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markPrice: estimatedPrices.markPrice.toString(),
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priceImpactBps: estimatedPrices.priceImpact.toString(),
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},
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v2CrossDetection:
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apiVersion === 2
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? {
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isCrossed: debugInfo.isCrossed,
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fillQualityBps: debugInfo.fillQualityBps,
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adjustedOraclePrice: debugInfo.adjustedOraclePrice,
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appliedAdjustment: debugInfo.appliedV2Adjustment,
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fillQualityData: fillQualityInfo
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? {
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takerBuyBpsAll: fillQualityInfo.takerBuyBpsFromOracle?.all,
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takerSellBpsAll:
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fillQualityInfo.takerSellBpsFromOracle?.all,
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}
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: null,
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}
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: undefined,
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auctionConfig: {
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duration: params.auctionDuration,
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startPriceOffset: params.auctionStartPriceOffset,
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startPriceOffsetFrom: params.auctionStartPriceOffsetFrom,
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endPriceOffset: params.auctionEndPriceOffset,
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endPriceOffsetFrom: params.auctionEndPriceOffsetFrom,
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slippageTolerance: processedSlippageTolerance,
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isOracleOrder: params.isOracleOrder,
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reduceOnly: params.reduceOnly ?? false,
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allowInfSlippage: params.allowInfSlippage ?? false,
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},
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calculatedValues: {
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baseAmount: baseAmount.toString(),
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slippageToleranceFinal: processedSlippageTolerance,
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},
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})
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);
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return {
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success: true,
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data: {
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