Skip to content

program: update-amm-spread-and-availability-constraints #1663

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
merged 2 commits into from
Jun 12, 2025
Merged

program: update-amm-spread-and-availability-constraints #1663

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
b490e42
program: update-amm-spread-and-availability-constraints
0xbigz Jun 11, 2025
2b1f08b
fix cargo tests
0xbigz Jun 12, 2025
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
4 changes: 2 additions & 2 deletions programs/drift/src/controller/position/tests.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -2338,8 +2338,8 @@ fn recenter_amm_1() {
)
.unwrap();

assert_eq!(r1_orig, 334837204625);
assert_eq!(r2_orig, 703359043);
assert_eq!(r1_orig, 334835721519);
assert_eq!(r2_orig, 704842149);

let current_k = perp_market.amm.sqrt_k;
let _current_peg = perp_market.amm.peg_multiplier;
Expand Down
4 changes: 2 additions & 2 deletions programs/drift/src/controller/repeg/tests.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -159,10 +159,10 @@ pub fn update_amm_test() {
244822 // (market.margin_ratio_initial * 100) as u32
);

assert_eq!(bid, 9781849613);
assert_eq!(bid, 9757967541);
assert!(bid < (oracle_price_data.price as u64));
assert_eq!(reserve_price, 12743902015);
assert_eq!(ask, 12901837192);
assert_eq!(ask, 12877955120);
assert!(ask >= (oracle_price_data.price as u64));
assert_eq!(
(ask - bid) * 1000000 / reserve_price,
Expand Down
6 changes: 3 additions & 3 deletions programs/drift/src/math/amm_spread.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -121,10 +121,10 @@ pub fn calculate_long_short_vol_spread(

let vol_spread: u128 = last_oracle_conf_pct
.cast::<u128>()?
.max(market_avg_std_pct.safe_div(2)?);
.max(market_avg_std_pct.safe_div(4)?);

let factor_clamp_min: u128 = PERCENTAGE_PRECISION / 100; // .01
let factor_clamp_max: u128 = 16 * PERCENTAGE_PRECISION / 10; // 1.6
let factor_clamp_max: u128 = PERCENTAGE_PRECISION; // 1

let long_vol_spread_factor: u128 = long_intensity_volume
.cast::<u128>()?
Expand All @@ -141,7 +141,7 @@ pub fn calculate_long_short_vol_spread(
let conf_component = if last_oracle_conf_pct > PERCENTAGE_PRECISION_U64 / 400 {
last_oracle_conf_pct
} else {
last_oracle_conf_pct.safe_div(10)?
last_oracle_conf_pct.safe_div(20)?
};

Ok((
Expand Down
46 changes: 23 additions & 23 deletions programs/drift/src/math/amm_spread/tests.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -490,7 +490,7 @@ mod test {
.unwrap();

assert_eq!(long_spread_btc, 250);
assert_eq!(short_spread_btc, 74142);
assert_eq!(short_spread_btc, 74117);

let (long_spread_btc1, short_spread_btc1) = calculate_spread(
500,
Expand Down Expand Up @@ -1064,8 +1064,8 @@ mod test {
volume_24h,
)
.unwrap();
assert_eq!(long_vspread, 1639);
assert_eq!(short_vspread, 4918);
assert_eq!(long_vspread, 819);
assert_eq!(short_vspread, 2459);

// since short volume ~= 3 * long volume intensity, expect short spread to be larger by this factor
assert_eq!(short_vspread >= long_vspread * 3, true);
Expand Down Expand Up @@ -1125,15 +1125,15 @@ mod test {
.unwrap();

// since total_fee_minus_distributions <=0, 10 * vol spread
assert_eq!(long_spread, 16390); // vs 2500
assert_eq!(long_spread, 8190); // vs 2500
assert_eq!(
long_spread
> (base_spread
* ((DEFAULT_LARGE_BID_ASK_FACTOR / BID_ASK_SPREAD_PRECISION) as u32)),
true
);

assert_eq!(short_spread, 49180);
assert_eq!(short_spread, 24590);
assert_eq!(
short_spread
> (base_spread
Expand Down Expand Up @@ -1164,8 +1164,8 @@ mod test {
)
.unwrap();

assert_eq!(long_spread, 1639);
assert_eq!(short_spread, 4918);
assert_eq!(long_spread, 819);
assert_eq!(short_spread, 2459);

let (long_spread, short_spread) = calculate_spread(
base_spread,
Expand All @@ -1189,8 +1189,8 @@ mod test {
volume_24h,
)
.unwrap();
assert_eq!(long_spread, 195556);
assert_eq!(short_spread, 4444);
assert_eq!(long_spread, 197666);
assert_eq!(short_spread, 2334);

let (long_spread, short_spread) = calculate_spread(
base_spread,
Expand All @@ -1214,8 +1214,8 @@ mod test {
volume_24h,
)
.unwrap();
assert_eq!(long_spread, 1639);
assert_eq!(short_spread, 24917);
assert_eq!(long_spread, 819);
assert_eq!(short_spread, 22458);
}

#[test]
Expand Down Expand Up @@ -1254,8 +1254,8 @@ mod test {
volume_24h,
)
.unwrap();
assert_eq!(long_vspread, 1639);
assert_eq!(short_vspread, 4918);
assert_eq!(long_vspread, 819);
assert_eq!(short_vspread, 2459);

// since short volume ~= 3 * long volume intensity, expect short spread to be larger by this factor
assert_eq!(short_vspread >= long_vspread * 3, true);
Expand Down Expand Up @@ -1315,15 +1315,15 @@ mod test {
.unwrap();

// since total_fee_minus_distributions <=0, 10 * vol spread
assert_eq!(long_spread, 16390); // vs 2500
assert_eq!(long_spread, 8190); // vs 2500
assert_eq!(
long_spread
> (base_spread
* ((DEFAULT_LARGE_BID_ASK_FACTOR / BID_ASK_SPREAD_PRECISION) as u32)),
true
);

assert_eq!(short_spread, 99180);
assert_eq!(short_spread, 74590);
assert_eq!(
short_spread
> (base_spread
Expand Down Expand Up @@ -1354,8 +1354,8 @@ mod test {
)
.unwrap();

assert_eq!(long_spread, 1639);
assert_eq!(short_spread, 9918);
assert_eq!(long_spread, 819);
assert_eq!(short_spread, 7459);

let (long_spread, short_spread) = calculate_spread(
base_spread,
Expand All @@ -1379,8 +1379,8 @@ mod test {
volume_24h,
)
.unwrap();
assert_eq!(long_spread, 197138); // big cause of oracel pct
assert_eq!(short_spread, 2862);
assert_eq!(long_spread, 197814); // big cause of oracel pct
assert_eq!(short_spread, 2186);

let (long_spread, short_spread) = calculate_spread(
base_spread,
Expand All @@ -1404,8 +1404,8 @@ mod test {
volume_24h,
)
.unwrap();
assert_eq!(long_spread, 1639);
assert_eq!(short_spread, 76584); // big
assert_eq!(long_spread, 819);
assert_eq!(short_spread, 74125); // big
}

#[test]
Expand Down Expand Up @@ -1513,8 +1513,8 @@ mod test {
427588331503,
)
.unwrap();
assert_eq!(long_spread, 22137);
assert_eq!(short_spread, 217356);
assert_eq!(long_spread, 11068);
assert_eq!(short_spread, 135916);
}

#[test]
Expand Down
9 changes: 6 additions & 3 deletions programs/drift/src/state/perp_market.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -336,9 +336,12 @@ impl PerpMarket {
return Ok(false);
}

let amm_low_inventory_and_profitable =
self.amm.net_revenue_since_last_funding > 0 && amm_lp_allowed_to_jit_make;
let amm_oracle_no_latency = self.amm.oracle_source == OracleSource::Prelaunch;
let amm_low_inventory_and_profitable = self.amm.net_revenue_since_last_funding
>= DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT
&& amm_lp_allowed_to_jit_make;
let amm_oracle_no_latency = self.amm.oracle_source == OracleSource::Prelaunch
|| (self.amm.historical_oracle_data.last_oracle_delay == 0
&& self.amm.oracle_source == OracleSource::PythLazer);
let can_skip = amm_low_inventory_and_profitable || amm_oracle_no_latency;

if can_skip {
Expand Down
Loading