remove price bands logic

moosecat2 · moosecat2 · commit 607a687b853d · 2025-07-24T14:30:35.000-07:00
diff --git a/programs/drift/src/controller/orders.rs b/programs/drift/src/controller/orders.rs
@@ -1300,6 +1300,7 @@ pub fn fill_perp_order(
         let perp_market = perp_market_map.get_ref(&market_index)?;
         validate_fill_price_within_price_bands(
             fill_price,
+            order_direction,
             oracle_price,
             oracle_twap_5min,
             perp_market.margin_ratio_initial,
@@ -4041,6 +4042,7 @@ pub fn fill_spot_order(
             .last_oracle_price_twap_5min;
         validate_fill_price_within_price_bands(
             fill_price,
+            order_direction,
             oracle_price,
             oracle_twap_5min,
             spot_market.get_margin_ratio(&MarginRequirementType::Initial)?,
diff --git a/programs/drift/src/math/orders.rs b/programs/drift/src/math/orders.rs
@@ -7,11 +7,13 @@ use crate::controller::position::PositionDelta;
 use crate::controller::position::PositionDirection;
 use crate::error::{DriftResult, ErrorCode};
 use crate::math::amm::calculate_amm_available_liquidity;
+use crate::math::auction::is_amm_available_liquidity_source;
 use crate::math::casting::Cast;
+use crate::state::fill_mode::FillMode;
 use crate::state::protected_maker_mode_config::ProtectedMakerParams;
 use crate::state::user::OrderBitFlag;
 use crate::{
-    load, math, FeeTier, BASE_PRECISION_I128, FEE_ADJUSTMENT_MAX, MARGIN_PRECISION_I128,
+    load, math, FeeTier, State, BASE_PRECISION_I128, FEE_ADJUSTMENT_MAX, MARGIN_PRECISION_I128,
     MAX_PREDICTION_MARKET_PRICE, MAX_PREDICTION_MARKET_PRICE_I64, OPEN_ORDER_MARGIN_REQUIREMENT,
     PERCENTAGE_PRECISION, PERCENTAGE_PRECISION_U64, PRICE_PRECISION_I128, PRICE_PRECISION_U64,
     QUOTE_PRECISION_I128, SPOT_WEIGHT_PRECISION, SPOT_WEIGHT_PRECISION_I128,
@@ -484,6 +486,7 @@ pub fn limit_price_breaches_maker_oracle_price_bands(
 
 pub fn validate_fill_price_within_price_bands(
     fill_price: u64,
+    direction: PositionDirection,
     oracle_price: i64,
     oracle_twap_5min: i64,
     margin_ratio_initial: u32,
@@ -508,37 +511,79 @@ pub fn validate_fill_price_within_price_bands(
     let max_oracle_diff = margin_ratio_initial.cast::<u128>()?;
     let max_oracle_twap_diff = oracle_twap_5min_percent_divergence.cast::<u128>()?; // 50%
 
-    let percent_diff: u128 = fill_price
-        .abs_diff(oracle_price)
-        .cast::<u128>()?
-        .safe_mul(MARGIN_PRECISION_U128)?
-        .safe_div(oracle_price.cast()?)?;
-
-    validate!(
-        percent_diff < max_oracle_diff,
-        ErrorCode::PriceBandsBreached,
-        "Fill Price Breaches Oracle Price Bands: {} % <= {} % (fill: {} >= oracle: {})",
-        max_oracle_diff,
-        percent_diff,
-        fill_price,
-        oracle_price
-    )?;
+    if direction == PositionDirection::Long {
+        if fill_price < oracle_price && fill_price < oracle_twap_5min {
+            return Ok(());
+        }
 
-    let percent_diff = fill_price
-        .abs_diff(oracle_twap_5min)
-        .cast::<u128>()?
-        .safe_mul(PERCENTAGE_PRECISION)?
-        .safe_div(oracle_twap_5min.cast()?)?;
-
-    validate!(
-        percent_diff < max_oracle_twap_diff,
-        ErrorCode::PriceBandsBreached,
-        "Fill Price Breaches Oracle TWAP Price Bands:  {} % <= {} % (fill: {} >= twap: {})",
-        max_oracle_twap_diff,
-        percent_diff,
-        fill_price,
-        oracle_twap_5min
-    )?;
+        let percent_diff: u128 = fill_price
+            .saturating_sub(oracle_price)
+            .cast::<u128>()?
+            .safe_mul(MARGIN_PRECISION_U128)?
+            .safe_div(oracle_price.cast()?)?;
+
+        validate!(
+            percent_diff < max_oracle_diff,
+            ErrorCode::PriceBandsBreached,
+            "Fill Price Breaches Oracle Price Bands: {} % <= {} % (fill: {} >= oracle: {})",
+            max_oracle_diff,
+            percent_diff,
+            fill_price,
+            oracle_price
+        )?;
+
+        let percent_diff = fill_price
+            .saturating_sub(oracle_twap_5min)
+            .cast::<u128>()?
+            .safe_mul(PERCENTAGE_PRECISION)?
+            .safe_div(oracle_twap_5min.cast()?)?;
+
+        validate!(
+            percent_diff < max_oracle_twap_diff,
+            ErrorCode::PriceBandsBreached,
+            "Fill Price Breaches Oracle TWAP Price Bands:  {} % <= {} % (fill: {} >= twap: {})",
+            max_oracle_twap_diff,
+            percent_diff,
+            fill_price,
+            oracle_twap_5min
+        )?;
+    } else {
+        if fill_price > oracle_price && fill_price > oracle_twap_5min {
+            return Ok(());
+        }
+
+        let percent_diff: u128 = oracle_price
+            .saturating_sub(fill_price)
+            .cast::<u128>()?
+            .safe_mul(MARGIN_PRECISION_U128)?
+            .safe_div(oracle_price.cast()?)?;
+
+        validate!(
+            percent_diff < max_oracle_diff,
+            ErrorCode::PriceBandsBreached,
+            "Fill Price Breaches Oracle Price Bands: {} % <= {} % (fill: {} <= oracle: {})",
+            max_oracle_diff,
+            percent_diff,
+            fill_price,
+            oracle_price
+        )?;
+
+        let percent_diff = oracle_twap_5min
+            .saturating_sub(fill_price)
+            .cast::<u128>()?
+            .safe_mul(PERCENTAGE_PRECISION)?
+            .safe_div(oracle_twap_5min.cast()?)?;
+
+        validate!(
+            percent_diff < max_oracle_twap_diff,
+            ErrorCode::PriceBandsBreached,
+            "Fill Price Breaches Oracle TWAP Price Bands:  {} % <= {} % (fill: {} <= twap: {})",
+            max_oracle_twap_diff,
+            percent_diff,
+            fill_price,
+            oracle_twap_5min
+        )?;
+    }
 
     Ok(())
 }
diff --git a/programs/drift/src/math/orders/tests.rs b/programs/drift/src/math/orders/tests.rs
@@ -3161,17 +3161,22 @@ mod calculate_max_perp_order_size {
 
 pub mod validate_fill_price_within_price_bands {
     use crate::math::orders::validate_fill_price_within_price_bands;
-    use crate::{MARGIN_PRECISION, PERCENTAGE_PRECISION, PRICE_PRECISION_I64, PRICE_PRECISION_U64};
+    use crate::{
+        PositionDirection, MARGIN_PRECISION, PERCENTAGE_PRECISION, PRICE_PRECISION_I64,
+        PRICE_PRECISION_U64,
+    };
 
     #[test]
     fn valid_long() {
         let oracle_price = 100 * PRICE_PRECISION_I64;
         let twap = oracle_price;
         let fill_price = 105 * PRICE_PRECISION_U64;
+        let direction = PositionDirection::Long;
         let margin_ratio_initial = MARGIN_PRECISION / 10;
 
         assert!(validate_fill_price_within_price_bands(
             fill_price,
+            direction,
             oracle_price,
             twap,
             margin_ratio_initial,
@@ -3186,10 +3191,12 @@ pub mod validate_fill_price_within_price_bands {
         let oracle_price = 100 * PRICE_PRECISION_I64;
         let twap = oracle_price;
         let fill_price = 95 * PRICE_PRECISION_U64;
+        let direction = PositionDirection::Short;
         let margin_ratio_initial = MARGIN_PRECISION / 10;
 
         assert!(validate_fill_price_within_price_bands(
             fill_price,
+            direction,
             oracle_price,
             twap,
             margin_ratio_initial,
@@ -3205,10 +3212,12 @@ pub mod validate_fill_price_within_price_bands {
         let twap = oracle_price;
         // 11% greater than oracle price
         let fill_price = 111 * PRICE_PRECISION_U64;
+        let direction = PositionDirection::Long;
         let margin_ratio_initial = MARGIN_PRECISION / 10; // 10x
 
         assert!(validate_fill_price_within_price_bands(
             fill_price,
+            direction,
             oracle_price,
             twap,
             margin_ratio_initial,
@@ -3224,10 +3233,12 @@ pub mod validate_fill_price_within_price_bands {
         let twap = oracle_price;
         // 11% less than oracle price
         let fill_price = 89 * PRICE_PRECISION_U64;
+        let direction = PositionDirection::Short;
         let margin_ratio_initial = MARGIN_PRECISION / 10; // 10x
 
         assert!(validate_fill_price_within_price_bands(
             fill_price,
+            direction,
             oracle_price,
             twap,
             margin_ratio_initial,
@@ -3243,10 +3254,12 @@ pub mod validate_fill_price_within_price_bands {
         let twap = 100 * PRICE_PRECISION_I64;
         // 50% greater than twap
         let fill_price = 150 * PRICE_PRECISION_U64;
+        let direction = PositionDirection::Long;
         let margin_ratio_initial = MARGIN_PRECISION / 10; // 10x
 
         assert!(validate_fill_price_within_price_bands(
             fill_price,
+            direction,
             oracle_price,
             twap,
             margin_ratio_initial,
@@ -3262,29 +3275,12 @@ pub mod validate_fill_price_within_price_bands {
         let twap = 100 * PRICE_PRECISION_I64;
         // 50% less than twap
         let fill_price = 50 * PRICE_PRECISION_U64;
+        let direction = PositionDirection::Short;
         let margin_ratio_initial = MARGIN_PRECISION / 10; // 10x
 
         assert!(validate_fill_price_within_price_bands(
             fill_price,
-            oracle_price,
-            twap,
-            margin_ratio_initial,
-            (PERCENTAGE_PRECISION / 2) as u64,
-            false,
-        )
-        .is_err())
-    }
-
-    #[test]
-    fn invalid_long_too_volatile() {
-        let oracle_price = 100 * PRICE_PRECISION_I64;
-        let twap = 100 * PRICE_PRECISION_I64;
-        // 50% less than twap
-        let fill_price = 10 * PRICE_PRECISION_U64;
-        let margin_ratio_initial = MARGIN_PRECISION / 10; // 10x
-
-        assert!(validate_fill_price_within_price_bands(
-            fill_price,
+            direction,
             oracle_price,
             twap,
             margin_ratio_initial,
diff --git a/programs/drift/src/math/spot_swap.rs b/programs/drift/src/math/spot_swap.rs
@@ -6,7 +6,7 @@ use crate::math::safe_math::SafeMath;
 use crate::math::spot_balance::{get_strict_token_value, get_token_value};
 use crate::state::oracle::StrictOraclePrice;
 use crate::state::spot_market::SpotMarket;
-use crate::{PRICE_PRECISION, SPOT_WEIGHT_PRECISION_U128};
+use crate::{PositionDirection, PRICE_PRECISION, SPOT_WEIGHT_PRECISION_U128};
 
 #[cfg(test)]
 mod tests;
@@ -100,7 +100,7 @@ pub fn validate_price_bands_for_swap(
     out_price: i64,
     oracle_twap_5min_percent_divergence: u64,
 ) -> DriftResult {
-    let (fill_price, oracle_price, oracle_twap_5min, margin_ratio) = {
+    let (fill_price, direction, oracle_price, oracle_twap_5min, margin_ratio) = {
         let in_market_margin_ratio = in_market.get_margin_ratio(&MarginRequirementType::Initial)?;
 
         if in_market_margin_ratio != 0 {
@@ -113,6 +113,7 @@ pub fn validate_price_bands_for_swap(
 
             (
                 fill_price,
+                PositionDirection::Short,
                 in_price,
                 in_market.historical_oracle_data.last_oracle_price_twap_5min,
                 in_market_margin_ratio,
@@ -123,6 +124,7 @@ pub fn validate_price_bands_for_swap(
 
             (
                 fill_price,
+                PositionDirection::Long,
                 out_price,
                 out_market
                     .historical_oracle_data
@@ -134,6 +136,7 @@ pub fn validate_price_bands_for_swap(
 
     validate_fill_price_within_price_bands(
         fill_price,
+        direction,
         oracle_price,
         oracle_twap_5min,
         margin_ratio,
