subtract exchange fees from amount settled (#1849)

* subtract exchange fees from amount settled

* add exchange fee scalar to settling

* use percents isntead of scalars

Author: moosecat2

programs/drift/src/instructions/admin.rs

@@ -990,7 +990,8 @@ pub fn handle_initialize_perp_market(
         lp_status: 0,
         padding1: 0,
         last_fill_price: 0,
-        padding: [0; 24],
+        lp_exchange_fee_excluscion_scalar: 1,
+        padding: [0; 23],
         amm: AMM {
             oracle: *ctx.accounts.oracle.key,
             oracle_source,
@@ -3970,17 +3971,32 @@ pub fn handle_update_perp_market_min_order_size(
 )]
 pub fn handle_update_perp_market_lp_pool_fee_transfer_scalar(
     ctx: Context<AdminUpdatePerpMarket>,
-    lp_fee_transfer_scalar: u8,
+    optional_lp_fee_transfer_scalar: Option<u8>,
+    optional_lp_net_pnl_transfer_scalar: Option<u8>,
 ) -> Result<()> {
     let perp_market = &mut load_mut!(ctx.accounts.perp_market)?;
     msg!("perp market {}", perp_market.market_index);
-    msg!(
-        "perp_market.: {:?} -> {:?}",
-        perp_market.lp_fee_transfer_scalar,
-        lp_fee_transfer_scalar
-    );
 
-    perp_market.lp_fee_transfer_scalar = lp_fee_transfer_scalar;
+    if let Some(lp_fee_transfer_scalar) = optional_lp_fee_transfer_scalar {
+        msg!(
+            "perp_market.: {:?} -> {:?}",
+            perp_market.lp_fee_transfer_scalar,
+            lp_fee_transfer_scalar
+        );
+
+        perp_market.lp_fee_transfer_scalar = lp_fee_transfer_scalar;
+    }
+
+    if let Some(lp_net_pnl_transfer_scalar) = optional_lp_net_pnl_transfer_scalar {
+        msg!(
+            "perp_market.: {:?} -> {:?}",
+            perp_market.lp_exchange_fee_excluscion_scalar,
+            lp_net_pnl_transfer_scalar
+        );
+
+        perp_market.lp_exchange_fee_excluscion_scalar = lp_net_pnl_transfer_scalar;
+    }
+
     Ok(())
 }
 

programs/drift/src/lib.rs

@@ -1064,9 +1064,14 @@ pub mod drift {
 
     pub fn update_perp_market_lp_pool_fee_transfer_scalar(
         ctx: Context<AdminUpdatePerpMarket>,
-        lp_fee_transfer_scalar: u8,
+        optional_lp_fee_transfer_scalar: Option<u8>,
+        optional_lp_net_pnl_transfer_scalar: Option<u8>,
     ) -> Result<()> {
-        handle_update_perp_market_lp_pool_fee_transfer_scalar(ctx, lp_fee_transfer_scalar)
+        handle_update_perp_market_lp_pool_fee_transfer_scalar(
+            ctx,
+            optional_lp_fee_transfer_scalar,
+            optional_lp_net_pnl_transfer_scalar,
+        )
     }
 
     pub fn settle_expired_market_pools_to_revenue_pool(

programs/drift/src/state/perp_market.rs

@@ -245,7 +245,8 @@ pub struct PerpMarket {
     pub lp_status: u8,
     pub padding1: u16,
     pub last_fill_price: u64,
-    pub padding: [u8; 24],
+    pub lp_exchange_fee_excluscion_scalar: u8,
+    pub padding: [u8; 23],
 }
 
 impl Default for PerpMarket {
@@ -287,11 +288,12 @@ impl Default for PerpMarket {
             high_leverage_margin_ratio_maintenance: 0,
             protected_maker_limit_price_divisor: 0,
             protected_maker_dynamic_divisor: 0,
-            lp_fee_transfer_scalar: 1,
+            lp_fee_transfer_scalar: 0,
             lp_status: 0,
             padding1: 0,
             last_fill_price: 0,
-            padding: [0; 24],
+            lp_exchange_fee_excluscion_scalar: 0,
+            padding: [0; 23],
         }
     }
 }
@@ -1709,6 +1711,7 @@ pub struct AmmCache {
 pub struct CacheInfo {
     pub last_fee_pool_token_amount: u128,
     pub last_net_pnl_pool_token_amount: i128,
+    pub last_exchange_fees: u128,
     /// BASE PRECISION
     pub position: i64,
     pub slot: u64,
@@ -1745,6 +1748,7 @@ impl Default for CacheInfo {
             oracle: Pubkey::default(),
             last_fee_pool_token_amount: 0u128,
             last_net_pnl_pool_token_amount: 0i128,
+            last_exchange_fees: 0u128,
             last_settle_amount: 0u64,
             last_settle_slot: 0u64,
             oracle_source: 0u8,
@@ -1856,9 +1860,11 @@ impl<'a> AccountZeroCopyMut<'a, CacheInfo, AmmCacheFixed> {
         perp_market: &PerpMarket,
         quote_market: &SpotMarket,
     ) -> DriftResult<()> {
-        if perp_market.lp_fee_transfer_scalar == 0 {
+        if perp_market.lp_fee_transfer_scalar == 0
+            && perp_market.lp_exchange_fee_excluscion_scalar == 0
+        {
             msg!(
-                "lp_fee_transfer_scalar is 0 for perp market {}. not updating quote amount owed in cache",
+                "lp_fee_transfer_scalar and lp_net_pnl_transfer_scalar are 0 for perp market {}. not updating quote amount owed in cache",
                 perp_market.market_index
             );
             return Ok(());
@@ -1888,29 +1894,37 @@ impl<'a> AccountZeroCopyMut<'a, CacheInfo, AmmCacheFixed> {
 
         if cached_info.last_net_pnl_pool_token_amount == 0
             && cached_info.last_fee_pool_token_amount == 0
+            && cached_info.last_exchange_fees == 0
         {
             cached_info.last_fee_pool_token_amount = fee_pool_token_amount;
             cached_info.last_net_pnl_pool_token_amount = net_pnl_pool_token_amount;
+            cached_info.last_exchange_fees = perp_market.amm.total_exchange_fee;
             return Ok(());
         }
 
-        let amount_to_send = amm_amount_available
-            .abs_diff(cached_info.get_last_available_amm_balance()?)
-            .safe_div_ceil(perp_market.lp_fee_transfer_scalar as u128)?
-            .cast::<u64>()?;
+        let exchange_fee_delta = perp_market
+            .amm
+            .total_exchange_fee
+            .saturating_sub(cached_info.last_exchange_fees);
+
+        let amount_to_send_to_lp_pool = amm_amount_available
+            .safe_sub(cached_info.get_last_available_amm_balance()?)?
+            .safe_mul(perp_market.lp_fee_transfer_scalar as i128)?
+            .safe_div_ceil(100)?
+            .safe_sub(
+                exchange_fee_delta
+                    .cast::<i128>()?
+                    .safe_mul(perp_market.lp_exchange_fee_excluscion_scalar as i128)?
+                    .safe_div_ceil(100)?,
+            )?;
 
-        if amm_amount_available < cached_info.get_last_available_amm_balance()? {
-            cached_info.quote_owed_from_lp_pool = cached_info
-                .quote_owed_from_lp_pool
-                .safe_add(amount_to_send.cast::<i64>()?)?;
-        } else {
-            cached_info.quote_owed_from_lp_pool = cached_info
-                .quote_owed_from_lp_pool
-                .safe_sub(amount_to_send.cast::<i64>()?)?;
-        }
+        cached_info.quote_owed_from_lp_pool = cached_info
+            .quote_owed_from_lp_pool
+            .safe_sub(amount_to_send_to_lp_pool.cast::<i64>()?)?;
 
         cached_info.last_fee_pool_token_amount = fee_pool_token_amount;
         cached_info.last_net_pnl_pool_token_amount = net_pnl_pool_token_amount;
+        cached_info.last_exchange_fees = perp_market.amm.total_exchange_fee;
 
         Ok(())
     }

sdk/src/adminClient.ts

@@ -6017,11 +6017,13 @@ export class AdminClient extends DriftClient {
 
 	public async updatePerpMarketLpPoolFeeTransferScalar(
 		marketIndex: number,
-		lpFeeTransferScalar: number
+		lpFeeTransferScalar?: number,
+		lpExchangeFeeExcluscionScalar?: number
 	) {
 		const ix = await this.getUpdatePerpMarketLpPoolFeeTransferScalarIx(
 			marketIndex,
-			lpFeeTransferScalar
+			lpFeeTransferScalar,
+			lpExchangeFeeExcluscionScalar
 		);
 		const tx = await this.buildTransaction(ix);
 		const { txSig } = await this.sendTransaction(tx, [], this.opts);
@@ -6030,10 +6032,12 @@ export class AdminClient extends DriftClient {
 
 	public async getUpdatePerpMarketLpPoolFeeTransferScalarIx(
 		marketIndex: number,
-		lpFeeTransferScalar: number
+		lpFeeTransferScalar?: number,
+		lpExchangeFeeExcluscionScalar?: number
 	): Promise<TransactionInstruction> {
-		return await this.program.instruction.updatePerpMarketLpPoolFeeTransferScalar(
-			lpFeeTransferScalar,
+		return this.program.instruction.updatePerpMarketLpPoolFeeTransferScalar(
+			lpFeeTransferScalar ?? null,
+			lpExchangeFeeExcluscionScalar ?? null,
 			{
 				accounts: {
 					admin: this.isSubscribed

sdk/src/idl/drift.json

@@ -4748,8 +4748,16 @@
       ],
       "args": [
         {
-          "name": "lpFeeTransferScalar",
-          "type": "u8"
+          "name": "optionalLpFeeTransferScalar",
+          "type": {
+            "option": "u8"
+          }
+        },
+        {
+          "name": "optionalLpNetPnlTransferScalar",
+          "type": {
+            "option": "u8"
+          }
         }
       ]
     },
@@ -10295,12 +10303,16 @@
             "name": "lastFillPrice",
             "type": "u64"
           },
+          {
+            "name": "lpExchangeFeeExcluscionScalar",
+            "type": "u8"
+          },
           {
             "name": "padding",
             "type": {
               "array": [
                 "u8",
-                24
+                23
               ]
             }
           }
@@ -13478,6 +13490,10 @@
             "name": "lastNetPnlPoolTokenAmount",
             "type": "i128"
           },
+          {
+            "name": "lastExchangeFees",
+            "type": "u128"
+          },
           {
             "name": "position",
             "docs": [

sdk/src/types.ts

@@ -864,6 +864,7 @@ export type PerpMarketAccount = {
 	lastFillPrice: BN;
 
 	lpFeeTransferScalar: number;
+	lpExchangeFeeExcluscionScalar: number;
 	lpStatus: number;
 };
 
@@ -1732,6 +1733,7 @@ export type CacheInfo = {
 	oraclePrice: BN;
 	oracleDelay: BN;
 	oracleConfidence: BN;
+	lastExchangeFees: BN;
 	lastFeePoolTokenAmount: BN;
 	lastNetPnlPoolTokenAmount: BN;
 	lastSettleAmount: BN;

tests/lpPool.ts

@@ -846,6 +846,22 @@ describe('LP Pool', () => {
 			lpPoolKey
 		)) as LPPoolAccount;
 
+		// Exclude 25% of exchange fees, put 100 dollars there to make sure that the
+		await adminClient.updatePerpMarketLpPoolFeeTransferScalar(0, 100, 25);
+		await adminClient.updatePerpMarketLpPoolFeeTransferScalar(1, 100, 0);
+		await adminClient.updatePerpMarketLpPoolFeeTransferScalar(2, 100, 0);
+
+		const perpMarket = adminClient.getPerpMarketAccount(0);
+		perpMarket.amm.totalExchangeFee = perpMarket.amm.totalExchangeFee.add(
+			QUOTE_PRECISION.muln(100)
+		);
+		await overWritePerpMarket(
+			adminClient,
+			bankrunContextWrapper,
+			perpMarket.pubkey,
+			perpMarket
+		);
+
 		await adminClient.depositIntoPerpMarketFeePool(
 			0,
 			new BN(100).mul(QUOTE_PRECISION),
@@ -880,7 +896,7 @@ describe('LP Pool', () => {
 		assert(
 			ammCache.cache[0].quoteOwedFromLpPool.eq(
 				ammCacheBeforeAdjust.cache[0].quoteOwedFromLpPool.sub(
-					new BN(100).mul(QUOTE_PRECISION)
+					new BN(75).mul(QUOTE_PRECISION)
 				)
 			)
 		);
@@ -901,7 +917,7 @@ describe('LP Pool', () => {
 		const lpAumAfterUpdateCacheBeforeSettle = lpPool.lastAum;
 		assert(
 			lpAumAfterUpdateCacheBeforeSettle.eq(
-				lpAumAfterDeposit.add(new BN(200).mul(QUOTE_PRECISION))
+				lpAumAfterDeposit.add(new BN(175).mul(QUOTE_PRECISION))
 			)
 		);
 
@@ -932,7 +948,7 @@ describe('LP Pool', () => {
 		// Expected transfers per pool are capital constrained by the actual balances
 		const expectedTransfer0 = BN.min(
 			ammCache.cache[0].quoteOwedFromLpPool.muln(-1),
-			pnlPoolBalance0.add(feePoolBalance0)
+			pnlPoolBalance0.add(feePoolBalance0).sub(QUOTE_PRECISION.muln(25))
 		);
 		const expectedTransfer1 = BN.min(
 			ammCache.cache[1].quoteOwedFromLpPool.muln(-1),
@@ -1174,7 +1190,9 @@ describe('LP Pool', () => {
 			lpPoolKey
 		)) as LPPoolAccount;
 
-		assert(ammCache.cache[0].quoteOwedFromLpPool.eq(owedAmount.divn(2)));
+		expect(
+			ammCache.cache[0].quoteOwedFromLpPool.toNumber()
+		).to.be.approximately(owedAmount.divn(2).toNumber(), 1);
 		assert(constituent.tokenBalance.eq(ZERO));
 		assert(lpPool.lastAum.eq(ZERO));