add test for calculate_limit_price_with_buffer

drift-labs · Oct 19, 2023 · 4dd470a · 4dd470a
1 parent 971632b
commit 4dd470a
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Showing 3 changed files with 160 additions and 20 deletions.
diff --git a/programs/drift/src/controller/orders/tests.rs b/programs/drift/src/controller/orders/tests.rs
@@ -3910,6 +3910,7 @@ pub mod fulfill_order {
             slot,
             0,
             true,
+            FillMode::Fill,
         )
         .unwrap();
 

diff --git a/programs/drift/src/math/orders.rs b/programs/drift/src/math/orders.rs
@@ -71,44 +71,54 @@ pub fn calculate_base_asset_amount_for_amm_to_fulfill(
         return Ok((0, limit_price));
     }
 
-    let limit_price_with_buffer = if !order.post_only {
-        limit_price
+    let limit_price_with_buffer =
+        calculate_limit_price_with_buffer(order, limit_price, fee_tier, market.fee_adjustment)?;
+
+    let base_asset_amount = calculate_base_asset_amount_to_fill_up_to_limit_price(
+        order,
+        market,
+        limit_price_with_buffer,
+        Some(existing_base_asset_amount),
+    )?;
+    let max_base_asset_amount = calculate_amm_available_liquidity(&market.amm, &order.direction)?;
+
+    Ok((min(base_asset_amount, max_base_asset_amount), limit_price))
+}
+
+fn calculate_limit_price_with_buffer(
+    order: &Order,
+    limit_price: Option<u64>,
+    fee_tier: &FeeTier,
+    fee_adjustment: i16,
+) -> DriftResult<Option<u64>> {
+    if !order.post_only {
+        Ok(limit_price)
     } else if let Some(limit_price) = limit_price {
         let mut buffer = limit_price
             .safe_mul(fee_tier.maker_rebate_numerator.cast()?)?
             .safe_div(fee_tier.maker_rebate_denominator.cast()?)?;
 
-        if market.fee_adjustment < 0 {
+        if fee_adjustment < 0 {
             buffer = buffer.saturating_sub(
                 buffer
-                    .safe_mul(market.fee_adjustment.abs().cast()?)?
+                    .safe_mul(fee_adjustment.abs().cast()?)?
                     .safe_div(FEE_ADJUSTMENT_MAX)?,
             );
-        } else if market.fee_adjustment > 0 {
+        } else if fee_adjustment > 0 {
             buffer = buffer.saturating_add(
                 buffer
-                    .safe_mul(market.fee_adjustment.cast()?)?
+                    .safe_mul(fee_adjustment.cast()?)?
                     .safe_div(FEE_ADJUSTMENT_MAX)?,
             );
         }
 
         match order.direction {
-            PositionDirection::Long => Some(limit_price.safe_sub(buffer)?),
-            PositionDirection::Short => Some(limit_price.safe_add(buffer)?),
+            PositionDirection::Long => limit_price.safe_sub(buffer).map(Some),
+            PositionDirection::Short => limit_price.safe_add(buffer).map(Some),
         }
     } else {
-        None
-    };
-
-    let base_asset_amount = calculate_base_asset_amount_to_fill_up_to_limit_price(
-        order,
-        market,
-        limit_price_with_buffer,
-        Some(existing_base_asset_amount),
-    )?;
-    let max_base_asset_amount = calculate_amm_available_liquidity(&market.amm, &order.direction)?;
-
-    Ok((min(base_asset_amount, max_base_asset_amount), limit_price))
+        Ok(None)
+    }
 }
 
 pub fn calculate_base_asset_amount_to_fill_up_to_limit_price(

diff --git a/programs/drift/src/math/orders/tests.rs b/programs/drift/src/math/orders/tests.rs
@@ -2782,3 +2782,132 @@ pub mod find_bids_and_asks_from_users {
         assert_eq!(asks, expected_asks);
     }
 }
+
+pub mod calculate_limit_price_with_buffer {
+    use crate::math::orders::calculate_limit_price_with_buffer;
+    use crate::state::user::Order;
+    use crate::{FeeTier, PositionDirection, PRICE_PRECISION_U64};
+
+    #[test]
+    fn test() {
+        // No limit price
+        let order = Order::default();
+        let fee_tier = FeeTier::default();
+        let fee_adjustment = 0_i16;
+        let limit_price = None;
+
+        let limit_price_with_buffer =
+            calculate_limit_price_with_buffer(&order, limit_price, &fee_tier, fee_adjustment)
+                .unwrap();
+
+        assert_eq!(limit_price_with_buffer, None);
+
+        // No post only
+        let order = Order {
+            post_only: false,
+            ..Order::default()
+        };
+        let limit_price = Some(100 * PRICE_PRECISION_U64);
+        let fee_tier = FeeTier {
+            maker_rebate_numerator: 2,
+            maker_rebate_denominator: 1000,
+            ..FeeTier::default()
+        };
+
+        let limit_price_with_buffer =
+            calculate_limit_price_with_buffer(&order, limit_price, &fee_tier, fee_adjustment)
+                .unwrap();
+
+        assert_eq!(limit_price_with_buffer, limit_price);
+
+        // Post only bid
+        let order = Order {
+            post_only: true,
+            direction: PositionDirection::Long,
+            ..Order::default()
+        };
+        let limit_price = Some(100 * PRICE_PRECISION_U64);
+        let fee_tier = FeeTier {
+            maker_rebate_numerator: 2,
+            maker_rebate_denominator: 10000, // 2bps
+            ..FeeTier::default()
+        };
+
+        let limit_price_with_buffer =
+            calculate_limit_price_with_buffer(&order, limit_price, &fee_tier, fee_adjustment)
+                .unwrap();
+
+        assert_eq!(
+            limit_price_with_buffer,
+            Some(100 * PRICE_PRECISION_U64 - PRICE_PRECISION_U64 / 50) // 99.98
+        );
+
+        // Post only bid
+        let order = Order {
+            post_only: true,
+            direction: PositionDirection::Short,
+            ..Order::default()
+        };
+        let limit_price = Some(100 * PRICE_PRECISION_U64);
+        let fee_tier = FeeTier {
+            maker_rebate_numerator: 2,
+            maker_rebate_denominator: 10000, // 2bps
+            ..FeeTier::default()
+        };
+
+        let limit_price_with_buffer =
+            calculate_limit_price_with_buffer(&order, limit_price, &fee_tier, fee_adjustment)
+                .unwrap();
+
+        assert_eq!(
+            limit_price_with_buffer,
+            Some(100 * PRICE_PRECISION_U64 + PRICE_PRECISION_U64 / 50) // 99.98
+        );
+
+        // Post only bid w fee adjustment
+        let order = Order {
+            post_only: true,
+            direction: PositionDirection::Long,
+            ..Order::default()
+        };
+        let limit_price = Some(100 * PRICE_PRECISION_U64);
+        let fee_tier = FeeTier {
+            maker_rebate_numerator: 2,
+            maker_rebate_denominator: 10000, // 2bps
+            ..FeeTier::default()
+        };
+        let fee_adjustment = -75;
+
+        let limit_price_with_buffer =
+            calculate_limit_price_with_buffer(&order, limit_price, &fee_tier, fee_adjustment)
+                .unwrap();
+
+        assert_eq!(
+            limit_price_with_buffer,
+            Some(100 * PRICE_PRECISION_U64 - PRICE_PRECISION_U64 / 50 / 4) // 99.995
+        );
+
+        // Post only ask w fee adjustment
+        let order = Order {
+            post_only: true,
+            direction: PositionDirection::Short,
+            ..Order::default()
+        };
+        let limit_price = Some(100 * PRICE_PRECISION_U64);
+        let fee_tier = FeeTier {
+            maker_rebate_numerator: 2,
+            maker_rebate_denominator: 10000, // 2bps
+            ..FeeTier::default()
+        };
+        let fee_adjustment = -75;
+
+        let limit_price_with_buffer =
+            calculate_limit_price_with_buffer(&order, limit_price, &fee_tier, fee_adjustment)
+                .unwrap();
+
+        assert_eq!(
+            limit_price_with_buffer,
+            Some(100 * PRICE_PRECISION_U64 + PRICE_PRECISION_U64 / 50 / 4) // 100.005
+        );
+    }
+}
-Original file line number
+Diff line change
@@ Expand Up / @@ -3910,6 +3910,7 @@ pub mod fulfill_order { @@
                 slot,
 ,
                 true,
+                FillMode::Fill,
             )
             .unwrap();
@@ Expand Down @@