program: allow settle pnl and spot fills via match when utilization i…

…s 100% (#525) * bigz/update-spot-tvl-invariant-check * loosen check in update_spot_balances * add tests/spotWithdrawUtil100.ts * in fill spot order, account for tvl leaving system * test for fulfill_spot_order_with_match with max utilization * more debugging for test * sdk: fix bug in transfer account creation (#532) * sdk: release v2.34.1-beta.5 * sdk: event subscriber avoids web3.js to get performance boost (#542) * sdk: create rpc method to get transactions to avoid some web3.js overhead * sdk: custom parse logs logic * sdk: release v2.34.1-beta.6 * sdk: remove extra console.log in fetchLogs * sdk: release v2.34.1-beta.7 * program: add post only slide for perps (#541) * program: add post only slide for perps * tests * add to ts types * CHANGELOG * sdk: release v2.34.1-beta.8 * program: add cancel_orders_by_ids (#540) * program: add cancelOrdersByIds * CHANGELOG * sdk: release v2.34.1-beta.9 * v2.35.0 * sdk: release v2.35.1-beta.0 * sdk: fixes for lp (liq price and lp share burn) (#522) * sdk: fix liq price issue * incorp getPerpPositionWithLPSettle across sdk/margin calc properly * rename burnLpShares, in getPerpPositionWithLPSettle * CHANGELOG --------- Co-authored-by: 0xbigz <[email protected]> Co-authored-by: Chris Heaney <[email protected]> * sdk: release v2.35.1-beta.1 * intermediate testing * more test progress * CHANGELOG fix * fix use of is_leaving_drift * more consistent naming * more consistent naming * revert test change * CHANGELOG --------- Co-authored-by: Chris Heaney <[email protected]> Co-authored-by: Evan Pipta <[email protected]> Co-authored-by: GitHub Actions <41898282+github-actions[bot]@users.noreply.github.com> Co-authored-by: lowkeynicc <[email protected]>
drift-labs · Jul 31, 2023 · 20f8f99 · 20f8f99
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -9,6 +9,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Features
 
+- program: allow settle pnl and spot fills via match when utilization is 100% ([#525](https://github.com/drift-labs/protocol-v2/pull/525)) 
 - program: new update_perp_bid_ask_twap ix ([#548](https://github.com/drift-labs/protocol-v2/pull/548))
 - program: dont check price bands for place order ([#556](https://github.com/drift-labs/protocol-v2/pull/556))
 

diff --git a/programs/drift/src/controller/amm.rs b/programs/drift/src/controller/amm.rs
@@ -635,8 +635,9 @@ pub fn update_pool_balances(
 
         // dont settle negative pnl to spot borrows when utilization is high (> 80%)
         let max_withdraw_amount =
-            -get_max_withdraw_for_market_with_token_amount(spot_market, token_amount, true)?
+            -get_max_withdraw_for_market_with_token_amount(spot_market, token_amount, false)?
                 .cast::<i128>()?;
+
         max_withdraw_amount.max(user_unsettled_pnl)
     };
 

diff --git a/programs/drift/src/controller/insurance.rs b/programs/drift/src/controller/insurance.rs
@@ -555,17 +555,17 @@ pub fn settle_revenue_to_insurance_fund(
     )?;
 
     let depositors_claim =
-        validate_spot_market_vault_amount(spot_market, spot_market_vault_amount)?.cast::<u128>()?;
+        validate_spot_market_vault_amount(spot_market, spot_market_vault_amount)?;
 
     let mut token_amount = get_token_amount(
         spot_market.revenue_pool.scaled_balance,
         spot_market,
         &SpotBalanceType::Deposit,
     )?;
 
-    if depositors_claim < token_amount {
+    if depositors_claim < token_amount.cast()? {
         // only allow half of withdraw available when utilization is high
-        token_amount = depositors_claim.safe_div(2)?;
+        token_amount = depositors_claim.max(0).cast::<u128>()?.safe_div(2)?;
     }
 
     if spot_market.insurance_fund.user_shares > 0 {

diff --git a/programs/drift/src/controller/orders.rs b/programs/drift/src/controller/orders.rs
@@ -3286,7 +3286,7 @@ pub fn fill_spot_order(
         let base_market = spot_market_map.get_ref(&market_index)?;
         let quote_market = spot_market_map.get_quote_spot_market()?;
         let (max_base_asset_amount, max_quote_asset_amount) =
-            get_max_fill_amounts(user, order_index, &base_market, &quote_market)?;
+            get_max_fill_amounts(user, order_index, &base_market, &quote_market, false)?;
         max_base_asset_amount == Some(0) || max_quote_asset_amount == Some(0)
     } else {
         false
@@ -3752,7 +3752,7 @@ pub fn fulfill_spot_order_with_match(
     }
 
     let (taker_max_base_asset_amount, taker_max_quote_asset_amount) =
-        get_max_fill_amounts(taker, taker_order_index, base_market, quote_market)?;
+        get_max_fill_amounts(taker, taker_order_index, base_market, quote_market, false)?;
 
     let taker_base_asset_amount =
         if let Some(taker_max_quote_asset_amount) = taker_max_quote_asset_amount {
@@ -3772,7 +3772,7 @@ pub fn fulfill_spot_order_with_match(
         };
 
     let (maker_max_base_asset_amount, maker_max_quote_asset_amount) =
-        get_max_fill_amounts(maker, maker_order_index, base_market, quote_market)?;
+        get_max_fill_amounts(maker, maker_order_index, base_market, quote_market, false)?;
 
     let maker_base_asset_amount =
         if let Some(maker_max_quote_asset_amount) = maker_max_quote_asset_amount {
@@ -4058,7 +4058,7 @@ pub fn fulfill_spot_order_with_external_market(
     let taker_order_slot = taker.orders[taker_order_index].slot;
 
     let (max_base_asset_amount, max_quote_asset_amount) =
-        get_max_fill_amounts(taker, taker_order_index, base_market, quote_market)?;
+        get_max_fill_amounts(taker, taker_order_index, base_market, quote_market, true)?;
 
     let taker_base_asset_amount =
         taker_base_asset_amount.min(max_base_asset_amount.unwrap_or(u64::MAX));
@@ -4206,12 +4206,14 @@ pub fn fulfill_spot_order_with_external_market(
         "Fill on external spot market lead to unexpected to update direction"
     )?;
 
+    let base_update_direction =
+        taker.orders[taker_order_index].get_spot_position_update_direction(AssetType::Base);
     update_spot_balances_and_cumulative_deposits(
         base_asset_amount_filled.cast()?,
-        &taker.orders[taker_order_index].get_spot_position_update_direction(AssetType::Base),
+        &base_update_direction,
         base_market,
         taker.force_get_spot_position_mut(base_market.market_index)?,
-        false,
+        base_update_direction == SpotBalanceType::Borrow,
         None,
     )?;
 
@@ -4222,12 +4224,14 @@ pub fn fulfill_spot_order_with_external_market(
         "Fill on external market lead to unexpected to update direction"
     )?;
 
+    let quote_update_direction =
+        taker.orders[taker_order_index].get_spot_position_update_direction(AssetType::Quote);
     update_spot_balances_and_cumulative_deposits(
         quote_spot_position_delta.cast()?,
-        &taker.orders[taker_order_index].get_spot_position_update_direction(AssetType::Quote),
+        &quote_update_direction,
         quote_market,
         taker.get_quote_spot_position_mut(),
-        false,
+        quote_update_direction == SpotBalanceType::Borrow,
         Some(quote_asset_amount_filled.cast()?),
     )?;
 

diff --git a/programs/drift/src/controller/orders/tests.rs b/programs/drift/src/controller/orders/tests.rs
@@ -4680,9 +4680,11 @@ pub mod fulfill_spot_order_with_match {
         LAMPORTS_PER_SOL_I64, LAMPORTS_PER_SOL_U64, PRICE_PRECISION_I64, PRICE_PRECISION_U64,
         QUOTE_PRECISION_U64, SPOT_BALANCE_PRECISION, SPOT_BALANCE_PRECISION_U64,
     };
+    use crate::math::spot_balance::calculate_utilization;
     use crate::state::spot_market::{SpotBalanceType, SpotMarket};
     use crate::state::user::{MarketType, Order, OrderType, SpotPosition, User, UserStats};
     use crate::test_utils::get_orders;
+    use crate::SPOT_UTILIZATION_PRECISION;
 
     use super::*;
 
@@ -7113,6 +7115,148 @@ pub mod fulfill_spot_order_with_match {
 
         assert_eq!(base_filled, 166666666);
     }
+
+    #[test]
+    fn max_utilization() {
+        let mut taker_spot_positions = [SpotPosition::default(); 8];
+        taker_spot_positions[0] = SpotPosition {
+            market_index: 0,
+            scaled_balance: 101 * SPOT_BALANCE_PRECISION_U64,
+            balance_type: SpotBalanceType::Deposit,
+            ..SpotPosition::default()
+        };
+        taker_spot_positions[1] = SpotPosition {
+            market_index: 1,
+            open_orders: 1,
+            open_bids: LAMPORTS_PER_SOL_I64,
+            ..SpotPosition::default()
+        };
+        let mut taker = User {
+            orders: get_orders(Order {
+                market_index: 1,
+                market_type: MarketType::Spot,
+                order_type: OrderType::Limit,
+                direction: PositionDirection::Long,
+                base_asset_amount: LAMPORTS_PER_SOL_U64,
+                slot: 0,
+                price: 100 * PRICE_PRECISION_U64,
+                ..Order::default()
+            }),
+            spot_positions: taker_spot_positions,
+            ..User::default()
+        };
+
+        let mut maker_spot_positions = [SpotPosition::default(); 8];
+        maker_spot_positions[1] = SpotPosition {
+            market_index: 1,
+            balance_type: SpotBalanceType::Deposit,
+            scaled_balance: SPOT_BALANCE_PRECISION_U64,
+            open_orders: 1,
+            open_asks: -LAMPORTS_PER_SOL_I64,
+            ..SpotPosition::default()
+        };
+        let mut maker = User {
+            orders: get_orders(Order {
+                market_index: 1,
+                post_only: true,
+                market_type: MarketType::Spot,
+                order_type: OrderType::Limit,
+                direction: PositionDirection::Short,
+                base_asset_amount: LAMPORTS_PER_SOL_U64,
+                price: 100 * PRICE_PRECISION_U64,
+                ..Order::default()
+            }),
+            spot_positions: maker_spot_positions,
+            ..User::default()
+        };
+
+        let mut base_market = SpotMarket {
+            deposit_balance: SPOT_BALANCE_PRECISION,
+            borrow_balance: SPOT_BALANCE_PRECISION,
+            utilization_twap: SPOT_UTILIZATION_PRECISION as u64,
+            ..SpotMarket::default_base_market()
+        };
+        let mut quote_market = SpotMarket {
+            deposit_balance: 101 * SPOT_BALANCE_PRECISION,
+            borrow_balance: 101 * SPOT_BALANCE_PRECISION,
+            utilization_twap: SPOT_UTILIZATION_PRECISION as u64,
+            ..SpotMarket::default_quote_market()
+        };
+
+        let base_utilization = calculate_utilization(
+            base_market.get_deposits().unwrap(),
+            base_market.get_borrows().unwrap(),
+        )
+        .unwrap();
+
+        assert_eq!(base_utilization, SPOT_UTILIZATION_PRECISION);
+
+        let quote_utilization = calculate_utilization(
+            base_market.get_deposits().unwrap(),
+            base_market.get_borrows().unwrap(),
+        )
+        .unwrap();
+
+        assert_eq!(quote_utilization, SPOT_UTILIZATION_PRECISION);
+
+        let now = 1_i64;
+        let slot = 1_u64;
+
+        let fee_structure = get_fee_structure();
+
+        let (taker_key, maker_key, filler_key) = get_user_keys();
+
+        let mut taker_stats = UserStats::default();
+        let mut maker_stats = UserStats::default();
+
+        fulfill_spot_order_with_match(
+            &mut base_market,
+            &mut quote_market,
+            &mut taker,
+            &mut taker_stats,
+            0,
+            &taker_key,
+            &mut maker,
+            &mut Some(&mut maker_stats),
+            0,
+            &maker_key,
+            None,
+            None,
+            &filler_key,
+            now,
+            slot,
+            &mut get_oracle_map(),
+            &fee_structure,
+        )
+        .unwrap();
+
+        let taker_quote_position = taker.spot_positions[0];
+        assert_eq!(taker_quote_position.scaled_balance, 950000000);
+
+        let taker_base_position = taker.spot_positions[1];
+        assert_eq!(
+            taker_base_position.scaled_balance,
+            SPOT_BALANCE_PRECISION_U64
+        );
+        assert_eq!(taker_base_position.open_bids, 0);
+        assert_eq!(taker_base_position.open_orders, 0);
+
+        let base_utilization = calculate_utilization(
+            base_market.get_deposits().unwrap(),
+            base_market.get_borrows().unwrap(),
+        )
+        .unwrap();
+
+        assert_eq!(base_utilization, SPOT_UTILIZATION_PRECISION);
+
+        let quote_utilization = calculate_utilization(
+            base_market.get_deposits().unwrap(),
+            base_market.get_borrows().unwrap(),
+        )
+        .unwrap();
+
+        assert_eq!(quote_utilization, SPOT_UTILIZATION_PRECISION);
+    }
 }
 
 pub mod fulfill_spot_order {

diff --git a/programs/drift/src/controller/pnl.rs b/programs/drift/src/controller/pnl.rs
@@ -62,7 +62,6 @@ pub fn settle_pnl(
     crate::controller::lp::settle_funding_payment_then_lp(user, user_key, &mut market, now)?;
 
     let oracle_price = oracle_map.get_price_data(&market.amm.oracle)?.price;
-
     drop(market);
 
     let position_index = get_position_index(&user.perp_positions, market_index)?;
@@ -129,7 +128,6 @@ pub fn settle_pnl(
         user_unsettled_pnl,
         now,
     )?;
-
     if user_unsettled_pnl == 0 {
         msg!("User has no unsettled pnl for market {}", market_index);
         return Ok(());

diff --git a/programs/drift/src/controller/spot_balance.rs b/programs/drift/src/controller/spot_balance.rs
@@ -204,7 +204,7 @@ pub fn update_spot_balances(
     update_direction: &SpotBalanceType,
     spot_market: &mut SpotMarket,
     spot_balance: &mut dyn SpotBalance,
-    force_round_up: bool,
+    is_leaving_drift: bool,
 ) -> DriftResult {
     let increase_user_existing_balance = update_direction == spot_balance.balance_type();
     if increase_user_existing_balance {
@@ -225,7 +225,7 @@ pub fn update_spot_balances(
             // determine how much to reduce balance based on size of current token amount
             let (token_delta, balance_delta) = if current_token_amount > token_amount {
                 let round_up =
-                    force_round_up || spot_balance.balance_type() == &SpotBalanceType::Borrow;
+                    is_leaving_drift || spot_balance.balance_type() == &SpotBalanceType::Borrow;
                 let balance_delta = get_spot_balance(
                     token_amount,
                     spot_market,
@@ -252,7 +252,7 @@ pub fn update_spot_balances(
         }
     }
 
-    if let SpotBalanceType::Borrow = update_direction {
+    if is_leaving_drift && update_direction == &SpotBalanceType::Borrow {
         let deposit_token_amount = get_token_amount(
             spot_market.deposit_balance,
             spot_market,
@@ -293,13 +293,15 @@ pub fn transfer_spot_balances(
         return Ok(());
     }
 
-    validate!(
-        spot_market.deposit_balance >= from_spot_balance.balance(),
-        ErrorCode::InvalidSpotMarketState,
-        "spot_market.deposit_balance={} lower than individual spot balance={}",
-        spot_market.deposit_balance,
-        from_spot_balance.balance()
-    )?;
+    if from_spot_balance.balance_type() == &SpotBalanceType::Deposit {
+        validate!(
+            spot_market.deposit_balance >= from_spot_balance.balance(),
+            ErrorCode::InvalidSpotMarketState,
+            "spot_market.deposit_balance={} lower than individual spot balance={}",
+            spot_market.deposit_balance,
+            from_spot_balance.balance()
+        )?;
+    }
 
     update_spot_balances(
         token_amount.unsigned_abs(),

diff --git a/programs/drift/src/controller/spot_position.rs b/programs/drift/src/controller/spot_position.rs
@@ -66,15 +66,15 @@ pub fn update_spot_balances_and_cumulative_deposits(
     update_direction: &SpotBalanceType,
     spot_market: &mut SpotMarket,
     spot_position: &mut SpotPosition,
-    force_round_up: bool,
+    is_leaving_drift: bool,
     cumulative_deposit_delta: Option<u128>,
 ) -> DriftResult {
     update_spot_balances(
         token_amount,
         update_direction,
         spot_market,
         spot_position,
-        force_round_up,
+        is_leaving_drift,
     )?;
 
     let cumulative_deposit_delta = cumulative_deposit_delta.unwrap_or(token_amount);

diff --git a/programs/drift/src/math/orders.rs b/programs/drift/src/math/orders.rs
@@ -746,27 +746,34 @@ pub fn get_max_fill_amounts(
     user_order_index: usize,
     base_market: &SpotMarket,
     quote_market: &SpotMarket,
+    is_leaving_drift: bool,
 ) -> DriftResult<(Option<u64>, Option<u64>)> {
     let direction: PositionDirection = user.orders[user_order_index].direction;
     match direction {
         PositionDirection::Long => {
-            let max_quote = get_max_fill_amounts_for_market(user, quote_market)?.cast::<u64>()?;
+            let max_quote = get_max_fill_amounts_for_market(user, quote_market, is_leaving_drift)?
+                .cast::<u64>()?;
             Ok((None, Some(max_quote)))
         }
         PositionDirection::Short => {
             let max_base = standardize_base_asset_amount(
-                get_max_fill_amounts_for_market(user, base_market)?.cast::<u64>()?,
+                get_max_fill_amounts_for_market(user, base_market, is_leaving_drift)?
+                    .cast::<u64>()?,
                 base_market.order_step_size,
             )?;
             Ok((Some(max_base), None))
         }
     }
 }
 
-fn get_max_fill_amounts_for_market(user: &User, market: &SpotMarket) -> DriftResult<u128> {
+fn get_max_fill_amounts_for_market(
+    user: &User,
+    market: &SpotMarket,
+    is_leaving_drift: bool,
+) -> DriftResult<u128> {
     let position_index = user.get_spot_position_index(market.market_index)?;
     let token_amount = user.spot_positions[position_index].get_signed_token_amount(market)?;
-    get_max_withdraw_for_market_with_token_amount(market, token_amount, false)
+    get_max_withdraw_for_market_with_token_amount(market, token_amount, is_leaving_drift)
 }
 
 pub fn find_fallback_maker_order(