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Bigz/fix for inventory scale max values #322

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merged 6 commits into from
Jan 11, 2023
Merged

Bigz/fix for inventory scale max values #322

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ba61935
bigz/fix-for-large-inventory-scale
0xbigz Jan 10, 2023
0146137
incorp comment
0xbigz Jan 10, 2023
69d9996
remove redudant abs
0xbigz Jan 10, 2023
ad468f7
Merge branch 'master' into bigz/fix-for-inventory-scale-max-values
crispheaney Jan 11, 2023
11d96a9
CHANGELOG
crispheaney Jan 11, 2023
27c45b8
Merge branch 'master' into bigz/fix-for-inventory-scale-max-values
crispheaney Jan 11, 2023
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1 change: 1 addition & 0 deletions CHANGELOG.md
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Original file line number Diff line number Diff line change
Expand Up @@ -15,6 +15,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Fixes

- program: avoid overflow when calculating overflow ([#322](https://github.com/drift-labs/protocol-v2/pull/322))
- ts-sdk: fix user.getUnrealizedPnl to account for lp position
- program: cancel market order for not satisfying limit price only if there was some base asset amount filled

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15 changes: 8 additions & 7 deletions programs/drift/src/math/amm_spread.rs
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Expand Up @@ -167,13 +167,12 @@ pub fn calculate_spread_inventory_scale(

let min_side_liquidity = max_bids.min(max_asks.abs());

// cap so (6e9 * AMM_RESERVE_PRECISION)^2 < 2^127
let amm_inventory_size = base_asset_amount_with_amm.abs().min(6000000000000000000);

// inventory scale
let inventory_scale = base_asset_amount_with_amm
.safe_mul(
base_asset_amount_with_amm
.abs()
.max(AMM_RESERVE_PRECISION_I128),
)?
let inventory_scale = amm_inventory_size
.safe_mul(amm_inventory_size.max(AMM_RESERVE_PRECISION_I128))?
.safe_div(AMM_RESERVE_PRECISION_I128)?
.safe_mul(DEFAULT_LARGE_BID_ASK_FACTOR.cast::<i128>()?)?
.safe_div(min_side_liquidity.max(1))?
Expand All @@ -189,7 +188,9 @@ pub fn calculate_spread_inventory_scale(

let inventory_scale_capped = min(
inventory_scale_max,
BID_ASK_SPREAD_PRECISION.safe_add(inventory_scale.cast()?)?,
BID_ASK_SPREAD_PRECISION
.safe_add(inventory_scale.cast()?)
.unwrap_or(u64::MAX),
);

Ok(inventory_scale_capped)
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