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Add filler taking #36

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251 changes: 246 additions & 5 deletions src/filler.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -10,8 +10,8 @@ use dashmap::DashMap;
use drift_rs::{
constants::PROGRAM_ID,
dlob::{
CrossesAndTopMakers, CrossingRegion, DLOBNotifier, MakerCrosses, OrderKind, TakerOrder,
DLOB,
CrossesAndTopMakers, CrossingRegion, DLOBNotifier, L3Order, MakerCrosses, OrderKind,
TakerOrder, DLOB,
},
event_subscriber::DriftEvent,
ffi::calculate_auction_price,
Expand All @@ -24,8 +24,8 @@ use drift_rs::{
types::{
accounts::{PerpMarket, User, UserStats},
CommitmentConfig, FeatureBitFlags, FeeTier, MarketId, MarketPrecision, MarketStatus,
MarketType, Order, OrderTriggerCondition, OrderType, PositionDirection, PostOnlyParam,
RpcSendTransactionConfig, VersionedMessage, VersionedTransaction, AMM,
MarketType, Order, OrderStatus, OrderTriggerCondition, OrderType, PositionDirection,
PostOnlyParam, RpcSendTransactionConfig, VersionedMessage, VersionedTransaction, AMM,
},
DriftClient, GrpcSubscribeOpts, Pubkey, TransactionBuilder, Wallet,
};
Expand All @@ -48,6 +48,35 @@ use crate::{

const TARGET: &str = "filler";

#[derive(Copy, Clone, Debug, Eq, PartialEq)]
enum VAMMTakerSide {
Bid,
Ask,
}

impl VAMMTakerSide {
fn taker_direction(self) -> PositionDirection {
match self {
Self::Bid => PositionDirection::Long,
Self::Ask => PositionDirection::Short,
}
}

fn still_crosses(self, maker_price: u64, perp_market: &PerpMarket) -> bool {
match self {
Self::Bid => perp_market.bid_price(None) > maker_price,
Self::Ask => perp_market.ask_price(None) < maker_price,
}
}

fn label(self) -> &'static str {
match self {
Self::Bid => "bid",
Self::Ask => "ask",
}
}
}

pub struct FillerBot {
drift: DriftClient,
dlob: &'static DLOB,
Expand Down Expand Up @@ -339,6 +368,8 @@ impl FillerBot {

let mut crosses_and_top_makers = dlob.find_crosses_for_auctions(market_index, MarketType::Perp, slot, oracle_price, Some(&perp_market), trigger_price, None);
crosses_and_top_makers.crosses.retain(|(o, _)| limiter.allow_event(slot, o.order_id));
let vamm_taker_bid = crosses_and_top_makers.vamm_taker_bid.clone();
let vamm_taker_ask = crosses_and_top_makers.vamm_taker_ask.clone();

if !crosses_and_top_makers.crosses.is_empty() {
log::info!(target: TARGET, "found auction crosses. market: {},{crosses_and_top_makers:?}", market.index());
Expand All @@ -350,7 +381,7 @@ impl FillerBot {
filler_subaccount,
crosses_and_top_makers,
tx_worker_ref.clone(),
pyth_update,
pyth_update.clone(),
trigger_price,
move |maker_cross| {
perp_market.has_too_much_drawdown() && amm_wants_to_jit_make(&perp_market.amm, maker_cross.taker_direction)
Expand All @@ -365,6 +396,33 @@ impl FillerBot {
if let Some(crosses) = dlob.find_crossing_region(oracle_price, market_index, MarketType::Perp, Some(&perp_market)) {
log::info!(target: TARGET, "found limit crosses (market: {market_index}), top bid: {:?}, top ask: {:?}", crosses.crossing_bids.first(), crosses.crossing_asks.first());
try_uncross(drift, slot + 1, priority_fee, config.fill_cu_limit, market_index, filler_subaccount, crosses, &tx_worker_ref).await;
} else if config.enable_vamm_taker {
for (side, candidate) in [
(VAMMTakerSide::Bid, vamm_taker_bid.as_ref()),
(VAMMTakerSide::Ask, vamm_taker_ask.as_ref()),
] {
let Some(candidate) = candidate else {
continue;
};
if !limiter.allow_event(slot, candidate.order_id) {
continue;
}
try_vamm_taker_fill(
drift,
priority_fee,
config.fill_cu_limit,
market_index,
filler_subaccount,
slot,
candidate.clone(),
side,
&tx_worker_ref,
&perp_market,
oracle_stale_for_amm,
pyth_update.clone(),
)
.await;
}
}
}

Expand Down Expand Up @@ -763,6 +821,171 @@ async fn try_auction_fill(
}
}

async fn try_vamm_taker_fill(
drift: &'static DriftClient,
priority_fee: u64,
cu_limit: u32,
market_index: u16,
filler_subaccount: Pubkey,
slot: u64,
maker_order: L3Order,
side: VAMMTakerSide,
tx_worker_ref: &TxSender,
perp_market: &PerpMarket,
oracle_stale_for_amm: bool,
oracle_update: Option<PythPriceUpdate>,
) {
if oracle_stale_for_amm {
log::info!(
target: TARGET,
"skip vamm taker {}: oracle stale for AMM (market={market_index})",
side.label()
);
return;
}

if perp_market.has_too_much_drawdown()
&& amm_wants_to_jit_make(&perp_market.amm, side.taker_direction())
{
log::debug!(
target: TARGET,
"skip vamm taker {}: AMM wants to jit make (market={market_index}, maker_order_id={})",
side.label(),
maker_order.order_id,
);
return;
}

if maker_order.user == filler_subaccount {
log::debug!(
target: TARGET,
"skip vamm taker {}: filler owns maker order {}",
side.label(),
maker_order.order_id,
);
return;
}

if maker_order.size < perp_market.amm.min_order_size {
log::debug!(
target: TARGET,
"skip vamm taker {}: maker order {} below min order size",
side.label(),
maker_order.order_id,
);
return;
}

if !side.still_crosses(maker_order.price, perp_market) {
log::debug!(
target: TARGET,
"skip vamm taker {}: maker order {} no longer crosses vAMM",
side.label(),
maker_order.order_id,
);
return;
}

let filler_account_data = drift
.try_get_account::<User>(&filler_subaccount)
.expect("filler account");
let maker_account = match drift.try_get_account::<User>(&maker_order.user) {
Ok(user) => user,
Err(err) => {
log::warn!(
target: TARGET,
"skip vamm taker {}: missing maker account {}: {err:?}",
side.label(),
maker_order.user
);
return;
}
};
let maker_stats = match drift
.try_get_account::<UserStats>(&Wallet::derive_stats_account(&maker_account.authority))
{
Ok(stats) => stats,
Err(err) => {
log::warn!(
target: TARGET,
"skip vamm taker {}: missing maker stats {}: {err:?}",
side.label(),
maker_order.user
);
return;
}
};

let Some(live_order) = maker_account
.orders
.iter()
.find(|order| order.order_id == maker_order.order_id)
else {
log::debug!(
target: TARGET,
"skip vamm taker {}: maker order {} no longer exists",
side.label(),
maker_order.order_id,
);
return;
};

if live_order.status != OrderStatus::Open || !live_order.post_only {
log::debug!(
target: TARGET,
"skip vamm taker {}: maker order {} is not open post-only",
side.label(),
maker_order.order_id,
);
return;
}

let mut tx_builder = TransactionBuilder::new(
drift.program_data(),
filler_subaccount,
std::borrow::Cow::Borrowed(&filler_account_data),
false,
)
.with_priority_fee(priority_fee, Some(cu_limit));

if let Some(ref update_msg) = oracle_update {
tx_builder =
tx_builder.post_pyth_lazer_oracle_update(&[update_msg.feed_id], &update_msg.message);
}

tx_builder = tx_builder.fill_perp_order(
market_index,
maker_order.user,
&maker_account,
&maker_stats,
Some(maker_order.order_id),
&[],
None,
);

let tx = tx_builder.build();

log::info!(
target: TARGET,
"try vamm taker {} fill: market={}, maker={}, maker_order_id={}",
side.label(),
market_index,
maker_order.user,
maker_order.order_id,
);
tx_worker_ref
.send_tx(
tx,
TxIntent::VAMMTakerFill {
slot,
market_index,
maker_order_id: maker_order.order_id,
},
cu_limit as u64,
)
.await;
}

/// Try to uncross top of book
///
/// - `crosses` list of one or more crosses to fill
Expand Down Expand Up @@ -1434,3 +1657,21 @@ impl TxSender {
Some(sig)
}
}

#[cfg(test)]
mod tests {
use super::VAMMTakerSide;
use drift_rs::types::PositionDirection;

#[test]
fn vamm_taker_side_maps_to_expected_direction() {
assert_eq!(
VAMMTakerSide::Bid.taker_direction(),
PositionDirection::Long
);
assert_eq!(
VAMMTakerSide::Ask.taker_direction(),
PositionDirection::Short
);
}
}
3 changes: 3 additions & 0 deletions src/main.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -55,6 +55,9 @@ pub struct Config {
pub swift_cu_limit: u32,
#[clap(long, default_value = "256000")]
pub fill_cu_limit: u32,
/// Enable vAMM taker fills against crossed post-only makers
#[clap(long, env = "ENABLE_VAMM_TAKER", default_value = "false")]
pub enable_vamm_taker: bool,
#[clap(long, env = "DRY_RUN", default_value = "false")]
pub dry: bool,
#[clap(long, default_value = "0")]
Expand Down