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Revert "add check that slippage crosses bba (#548)" (#551)

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This reverts commit 2cf7aa4f28.
This commit is contained in:
lowkeynicc
2025-11-06 12:55:50 -05:00
committed by GitHub
parent b310221f39
commit b552322b1e
2 changed files with 2 additions and 375 deletions
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338
src/utils/tests/auctionParams.test.ts
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@@ -727,7 +727,6 @@ describe('calculateDynamicSlippage - crossed book handling', () => {
const worstPrice = new BN(100).mul(PRICE_PRECISION); const worstPrice = new BN(100).mul(PRICE_PRECISION);
const slip = calculateDynamicSlippage( const slip = calculateDynamicSlippage(
'long',
0, // major perp 0, // major perp
'perp', 'perp',
mockDriftClient, mockDriftClient,
@@ -762,7 +761,6 @@ describe('calculateDynamicSlippage - crossed book handling', () => {
const worstPrice = new BN(100).mul(PRICE_PRECISION); const worstPrice = new BN(100).mul(PRICE_PRECISION);
const slipNormal = calculateDynamicSlippage( const slipNormal = calculateDynamicSlippage(
'long',
0, 0,
'perp', 'perp',
mockDriftClient, mockDriftClient,
@@ -777,7 +775,6 @@ describe('calculateDynamicSlippage - crossed book handling', () => {
} as any; } as any;
const slipCrossed = calculateDynamicSlippage( const slipCrossed = calculateDynamicSlippage(
'long',
0, 0,
'perp', 'perp',
mockDriftClient, mockDriftClient,
@@ -790,338 +787,3 @@ describe('calculateDynamicSlippage - crossed book handling', () => {
expect(slipNormal).toBeGreaterThanOrEqual(slipCrossed); expect(slipNormal).toBeGreaterThanOrEqual(slipCrossed);
}); });
}); });
describe('calculateDynamicSlippage - 1bp best bid/ask adjustment', () => {
const mockDriftClient = {
getMMOracleDataForPerpMarket: jest.fn(),
getOracleDataForSpotMarket: jest.fn(),
} as any;
beforeEach(() => {
jest.clearAllMocks();
// Set deterministic env values
process.env.DYNAMIC_BASE_SLIPPAGE_MAJOR = '0';
process.env.DYNAMIC_SLIPPAGE_MULTIPLIER_MAJOR = '1';
process.env.DYNAMIC_SLIPPAGE_MIN = '0.01'; // 0.01% minimum
process.env.DYNAMIC_SLIPPAGE_MAX = '100';
});
it('should adjust slippage for LONG when impliedEndPrice < bestAskPrice', () => {
// Set very tight env to minimize base slippage
process.env.DYNAMIC_BASE_SLIPPAGE_MAJOR = '0';
process.env.DYNAMIC_SLIPPAGE_MIN = '0';
const oraclePrice = new BN(100).mul(PRICE_PRECISION); // $100
const bestBidPrice = new BN(100).mul(PRICE_PRECISION); // $100 (tight spread)
const bestAskPrice = new BN(101).mul(PRICE_PRECISION); // $101
const startPrice = new BN(99).mul(PRICE_PRECISION); // $99 (start below ask)
mockDriftClient.getMMOracleDataForPerpMarket.mockReturnValue({
price: oraclePrice,
});
const l2 = {
bids: [{ price: bestBidPrice, size: new BN(1) }],
asks: [{ price: bestAskPrice, size: new BN(1) }],
} as any;
// With start price at 99 and very small worst price, initial slippage will be tiny
const worstPrice = new BN(99100000); // $99.10 in PRICE_PRECISION
const slippage = calculateDynamicSlippage(
'long',
0, // major perp
'perp',
mockDriftClient,
l2,
startPrice,
worstPrice
);
// Calculate what the implied end price would be
const impliedEndPrice = startPrice.toNumber() * (1 + slippage / 100);
// Verify that impliedEndPrice is at least 1bp greater than bestAskPrice
const targetPrice = bestAskPrice.toNumber() * 1.0001; // 1bp above bestAsk
expect(impliedEndPrice).toBeGreaterThanOrEqual(targetPrice);
// With startPrice at 99 and bestAsk at 101, we need at least 2.02% slippage
// to reach 101 * 1.0001 = 101.0101
expect(slippage).toBeGreaterThan(2.0);
expect(slippage).toBeLessThan(3.0);
});
it('should adjust slippage for SHORT when impliedEndPrice > bestBidPrice', () => {
// Set very tight env to minimize base slippage
process.env.DYNAMIC_BASE_SLIPPAGE_MAJOR = '0';
process.env.DYNAMIC_SLIPPAGE_MIN = '0';
const oraclePrice = new BN(100).mul(PRICE_PRECISION); // $100
const bestBidPrice = new BN(99).mul(PRICE_PRECISION); // $99
const bestAskPrice = new BN(100).mul(PRICE_PRECISION); // $100 (tight spread)
const startPrice = new BN(101).mul(PRICE_PRECISION); // $101 (start above bid)
mockDriftClient.getMMOracleDataForPerpMarket.mockReturnValue({
price: oraclePrice,
});
const l2 = {
bids: [{ price: bestBidPrice, size: new BN(1) }],
asks: [{ price: bestAskPrice, size: new BN(1) }],
} as any;
// With start price at 101 and very small worst price, initial slippage will be tiny
const worstPrice = new BN(100900000); // $100.90 in PRICE_PRECISION
const slippage = calculateDynamicSlippage(
'short',
0, // major perp
'perp',
mockDriftClient,
l2,
startPrice,
worstPrice
);
// Calculate what the implied end price would be
const impliedEndPrice = startPrice.toNumber() * (1 - slippage / 100);
// Verify that impliedEndPrice is at least 1bp less than bestBidPrice
const targetPrice = bestBidPrice.toNumber() * 0.9999; // 1bp below bestBid
expect(impliedEndPrice).toBeLessThanOrEqual(targetPrice);
// With startPrice at 101 and bestBid at 99, we need at least 1.99% slippage
// to reach 99 * 0.9999 = 98.9901
expect(slippage).toBeGreaterThan(1.98);
expect(slippage).toBeLessThan(3.0);
});
it('should NOT adjust slippage for LONG when impliedEndPrice already > bestAskPrice', () => {
const oraclePrice = new BN(100).mul(PRICE_PRECISION); // $100
const bestBidPrice = new BN(99).mul(PRICE_PRECISION); // $99
const bestAskPrice = new BN(101).mul(PRICE_PRECISION); // $101
const startPrice = new BN(100).mul(PRICE_PRECISION); // $100
mockDriftClient.getMMOracleDataForPerpMarket.mockReturnValue({
price: oraclePrice,
});
const l2 = {
bids: [{ price: bestBidPrice, size: new BN(1) }],
asks: [{ price: bestAskPrice, size: new BN(1) }],
} as any;
// With large worst price, impliedEndPrice will already be > bestAskPrice
const worstPrice = new BN(105).mul(PRICE_PRECISION); // $105 - large slippage
const slippage = calculateDynamicSlippage(
'long',
0, // major perp
'perp',
mockDriftClient,
l2,
startPrice,
worstPrice
);
// Calculate what the implied end price would be
const impliedEndPrice = startPrice.toNumber() * (1 + slippage / 100);
// Should already be well above bestAskPrice
expect(impliedEndPrice).toBeGreaterThan(bestAskPrice.toNumber());
// Slippage should be driven by the size-adjusted calculation (halfway to worst)
// Expected: ((100 - 105) / 100 / 2) * 100 = 2.5%
expect(slippage).toBeGreaterThan(2.0);
expect(slippage).toBeLessThan(3.0);
});
it('should NOT adjust slippage for SHORT when impliedEndPrice already < bestBidPrice', () => {
const oraclePrice = new BN(100).mul(PRICE_PRECISION); // $100
const bestBidPrice = new BN(99).mul(PRICE_PRECISION); // $99
const bestAskPrice = new BN(101).mul(PRICE_PRECISION); // $101
const startPrice = new BN(100).mul(PRICE_PRECISION); // $100
mockDriftClient.getMMOracleDataForPerpMarket.mockReturnValue({
price: oraclePrice,
});
const l2 = {
bids: [{ price: bestBidPrice, size: new BN(1) }],
asks: [{ price: bestAskPrice, size: new BN(1) }],
} as any;
// With large worst price, impliedEndPrice will already be < bestBidPrice
const worstPrice = new BN(95).mul(PRICE_PRECISION); // $95 - large slippage
const slippage = calculateDynamicSlippage(
'short',
0, // major perp
'perp',
mockDriftClient,
l2,
startPrice,
worstPrice
);
// Calculate what the implied end price would be
const impliedEndPrice = startPrice.toNumber() * (1 - slippage / 100);
// Should already be well below bestBidPrice
expect(impliedEndPrice).toBeLessThan(bestBidPrice.toNumber());
// Slippage should be driven by the size-adjusted calculation
expect(slippage).toBeGreaterThan(2.0);
expect(slippage).toBeLessThan(3.0);
});
it('should handle tight spread with precise 1bp adjustment for LONG', () => {
const oraclePrice = new BN(100).mul(PRICE_PRECISION); // $100
const bestBidPrice = new BN(99950000); // $99.95 in PRICE_PRECISION
const bestAskPrice = new BN(100050000); // $100.05 in PRICE_PRECISION (5bp spread)
const startPrice = new BN(100).mul(PRICE_PRECISION); // $100
mockDriftClient.getMMOracleDataForPerpMarket.mockReturnValue({
price: oraclePrice,
});
const l2 = {
bids: [{ price: bestBidPrice, size: new BN(1) }],
asks: [{ price: bestAskPrice, size: new BN(1) }],
} as any;
const worstPrice = new BN(100010000); // $100.01 in PRICE_PRECISION
const slippage = calculateDynamicSlippage(
'long',
0,
'perp',
mockDriftClient,
l2,
startPrice,
worstPrice
);
// Calculate implied end price
const impliedEndPrice = startPrice.toNumber() * (1 + slippage / 100);
const targetPrice = bestAskPrice.toNumber() * 1.0001;
// Should be adjusted to go 1bp past bestAsk
expect(impliedEndPrice).toBeGreaterThanOrEqual(targetPrice);
// The slippage will be influenced by spread calculation (5bp spread * 0.9 = 0.45%)
// plus size adjustment, so it will be higher than just the 1bp adjustment
expect(slippage).toBeGreaterThan(0.05);
expect(slippage).toBeLessThan(1.5);
});
it('should handle tight spread with precise 1bp adjustment for SHORT', () => {
const oraclePrice = new BN(100).mul(PRICE_PRECISION); // $100
const bestBidPrice = new BN(99950000); // $99.95 in PRICE_PRECISION
const bestAskPrice = new BN(100050000); // $100.05 in PRICE_PRECISION (5bp spread)
const startPrice = new BN(100).mul(PRICE_PRECISION); // $100
mockDriftClient.getMMOracleDataForPerpMarket.mockReturnValue({
price: oraclePrice,
});
const l2 = {
bids: [{ price: bestBidPrice, size: new BN(1) }],
asks: [{ price: bestAskPrice, size: new BN(1) }],
} as any;
const worstPrice = new BN(99990000); // $99.99 in PRICE_PRECISION
const slippage = calculateDynamicSlippage(
'short',
0,
'perp',
mockDriftClient,
l2,
startPrice,
worstPrice
);
// Calculate implied end price
const impliedEndPrice = startPrice.toNumber() * (1 - slippage / 100);
const targetPrice = bestBidPrice.toNumber() * 0.9999;
// Should be adjusted to go 1bp past bestBid
expect(impliedEndPrice).toBeLessThanOrEqual(targetPrice);
// The slippage will be influenced by spread calculation (5bp spread * 0.9 = 0.45%)
// plus the 1bp adjustment needed, so it will be higher than just 0.06%
expect(slippage).toBeGreaterThan(0.05);
expect(slippage).toBeLessThan(1.5);
});
it('should handle crossed orderbook for LONG', () => {
const oraclePrice = new BN(100).mul(PRICE_PRECISION); // $100
const bestBidPrice = new BN(101).mul(PRICE_PRECISION); // $101 (crossed)
const bestAskPrice = new BN(99).mul(PRICE_PRECISION); // $99 (crossed)
const startPrice = new BN(100).mul(PRICE_PRECISION); // $100
mockDriftClient.getMMOracleDataForPerpMarket.mockReturnValue({
price: oraclePrice,
});
const l2 = {
bids: [{ price: bestBidPrice, size: new BN(1) }],
asks: [{ price: bestAskPrice, size: new BN(1) }],
} as any;
const worstPrice = new BN(100010000); // $100.01 in PRICE_PRECISION
const slippage = calculateDynamicSlippage(
'long',
0,
'perp',
mockDriftClient,
l2,
startPrice,
worstPrice
);
// Even with crossed book, should still calculate correctly
// bestAskPrice is 99, so targetPrice = 99 * 1.0001 = 99.0099
// impliedEndPrice should be >= 99.0099
const impliedEndPrice = startPrice.toNumber() * (1 + slippage / 100);
// Since bestAsk (99) < startPrice (100), the adjustment shouldn't trigger
// because impliedEndPrice will already be > bestAsk
expect(impliedEndPrice).toBeGreaterThan(bestAskPrice.toNumber());
});
it('should respect minimum slippage even with adjustment', () => {
process.env.DYNAMIC_SLIPPAGE_MIN = '2.0'; // 2% minimum
const oraclePrice = new BN(100).mul(PRICE_PRECISION);
const bestBidPrice = new BN(99).mul(PRICE_PRECISION);
const bestAskPrice = new BN(101).mul(PRICE_PRECISION);
const startPrice = new BN(100).mul(PRICE_PRECISION);
mockDriftClient.getMMOracleDataForPerpMarket.mockReturnValue({
price: oraclePrice,
});
const l2 = {
bids: [{ price: bestBidPrice, size: new BN(1) }],
asks: [{ price: bestAskPrice, size: new BN(1) }],
} as any;
const worstPrice = new BN(100010000); // $100.01 in PRICE_PRECISION
const slippage = calculateDynamicSlippage(
'long',
0,
'perp',
mockDriftClient,
l2,
startPrice,
worstPrice
);
// Should respect the 2% minimum
expect(slippage).toBeGreaterThanOrEqual(2.0);
});
});

39
src/utils/utils.ts
View File

@@ -1172,7 +1172,6 @@ export const mapToMarketOrderParams = async (
const startPrice = estimatedPrices[startPriceProperty]; const startPrice = estimatedPrices[startPriceProperty];
processedSlippageTolerance = calculateDynamicSlippage( processedSlippageTolerance = calculateDynamicSlippage(
direction === PositionDirection.LONG ? 'long' : 'short',
params.marketIndex, params.marketIndex,
params.marketType, params.marketType,
driftClient, driftClient,
@@ -1378,7 +1377,6 @@ export const fetchL2FromRedis = async (
* @returns Dynamic slippage tolerance as a number * @returns Dynamic slippage tolerance as a number
*/ */
export const calculateDynamicSlippage = ( export const calculateDynamicSlippage = (
direction: 'long' | 'short',
marketIndex: number, marketIndex: number,
marketType: string, marketType: string,
driftClient: DriftClient, driftClient: DriftClient,
@@ -1399,6 +1397,7 @@ export const calculateDynamicSlippage = (
// Calculate spread using L2 data // Calculate spread using L2 data
let spreadBaseSlippage = 0.0005; // 0.05% fallback spread let spreadBaseSlippage = 0.0005; // 0.05% fallback spread
try {
// Get oracle data // Get oracle data
const oracleData = isPerp const oracleData = isPerp
? driftClient.getMMOracleDataForPerpMarket(marketIndex) ? driftClient.getMMOracleDataForPerpMarket(marketIndex)
@@ -1413,8 +1412,6 @@ export const calculateDynamicSlippage = (
oraclePrice oraclePrice
); );
try {
const spreadPctNum = BigNum.from( const spreadPctNum = BigNum.from(
spreadInfo.spreadPct, spreadInfo.spreadPct,
PERCENTAGE_PRECISION_EXP PERCENTAGE_PRECISION_EXP
@@ -1467,39 +1464,7 @@ export const calculateDynamicSlippage = (
const minSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MIN || '0.035'); // 0.035% minimum const minSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MIN || '0.035'); // 0.035% minimum
const maxSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MAX || '5'); // 5% maximum const maxSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MAX || '5'); // 5% maximum
let finalSlippage = Math.min(Math.max(dynamicSlippage, minSlippage), maxSlippage); return 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;
}; };
/** /**