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program: ref-price-offset-enhance-2 #2035

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14 changes: 7 additions & 7 deletions programs/drift/src/controller/position/tests.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -801,7 +801,7 @@ fn amm_ref_price_offset_decay_logic() {
max_ref_offset,
)
.unwrap();
assert_eq!(res, 10000);
assert_eq!(res, 576);

let mut now = perp_market.amm.last_mark_price_twap_ts + 10;
let mut clock_slot = perp_market.amm.last_update_slot;
Expand Down Expand Up @@ -830,7 +830,7 @@ fn amm_ref_price_offset_decay_logic() {
.unwrap();
assert_eq!(perp_market.amm.last_update_slot, clock_slot);
assert_eq!(perp_market.amm.last_oracle_valid, true);
assert_eq!(perp_market.amm.reference_price_offset, 10000);
assert_eq!(perp_market.amm.reference_price_offset, 384);

perp_market.amm.last_mark_price_twap_5min = (perp_market
.amm
Expand Down Expand Up @@ -978,7 +978,7 @@ fn amm_negative_ref_price_offset_decay_logic() {
max_ref_offset,
)
.unwrap();
assert_eq!(res, 10000);
assert_eq!(res, 576);

let mut now = perp_market.amm.last_mark_price_twap_ts + 10;
let mut clock_slot = perp_market.amm.last_update_slot;
Expand Down Expand Up @@ -1007,7 +1007,7 @@ fn amm_negative_ref_price_offset_decay_logic() {
.unwrap();
assert_eq!(perp_market.amm.last_update_slot, clock_slot);
assert_eq!(perp_market.amm.last_oracle_valid, true);
assert_eq!(perp_market.amm.reference_price_offset, 10000);
assert_eq!(perp_market.amm.reference_price_offset, 384);

perp_market.amm.last_mark_price_twap_5min = (perp_market
.amm
Expand Down Expand Up @@ -1174,7 +1174,7 @@ fn amm_perp_ref_offset() {
max_ref_offset,
)
.unwrap();
assert_eq!(res, 45000);
assert_eq!(res, 132);
assert_eq!(perp_market.amm.reference_price_offset, 18000); // not updated vs market account

let now = 1741207620 + 1;
Expand Down Expand Up @@ -1207,8 +1207,8 @@ fn amm_perp_ref_offset() {

let r = perp_market.amm.reserve_price().unwrap();
let (b, a) = perp_market.amm.bid_ask_price(r).unwrap();
assert_eq!(b, 7108594);
assert_eq!(a, 7115724);
assert_eq!(b, 7098516);
assert_eq!(a, 7105646);
assert_eq!(
perp_market.amm.historical_oracle_data.last_oracle_price,
7101600
Expand Down
8 changes: 5 additions & 3 deletions programs/drift/src/math/amm_spread.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -640,9 +640,11 @@ pub fn calculate_reference_price_offset(
let offset_pct = if (mark_premium_avg_pct >= 0 && liquidity_fraction >= 0)
|| (mark_premium_avg_pct <= 0 && liquidity_fraction <= 0)
{
mark_premium_avg_pct
.safe_mul(liquidity_fraction.unsigned_abs().cast::<i64>()?)?
.safe_div(2)?
mark_premium_avg_pct.safe_add(
mark_premium_avg_pct
.safe_mul(liquidity_fraction.unsigned_abs().cast::<i64>()?)?
.safe_div(PRICE_PRECISION_I64)?,
)?
} else {
0
};
Expand Down
6 changes: 3 additions & 3 deletions programs/drift/src/math/amm_spread/tests.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -60,11 +60,11 @@ mod test {
max_offset,
)
.unwrap();
assert_eq!(res, 455); // 237*2/3); // 1 penny divergence
assert_eq!(res, 91); // 237*2/3); // 1 penny divergence
let res = calculate_reference_price_offset(
rev_price,
1,
10,
100000,
1,
4216 * 10000,
4219 * 10000,
Expand All @@ -73,7 +73,7 @@ mod test {
max_offset,
)
.unwrap();
assert_eq!(res, 2035);
assert_eq!(res, 447);

let res = calculate_reference_price_offset(
rev_price,
Expand Down
12 changes: 4 additions & 8 deletions sdk/src/math/amm.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -503,16 +503,12 @@ export function calculateReferencePriceOffset(
.mul(PRICE_PRECISION)
.div(reservePrice);

const inventoryPct = clampBN(
liquidityFraction.mul(new BN(maxOffsetPct)).div(PERCENTAGE_PRECISION),
new BN(maxOffsetPct).mul(new BN(-1)),
new BN(maxOffsetPct)
);

// Only apply when inventory is consistent with recent and 24h market premium
let offsetPct = markPremiumAvgPct.add(inventoryPct);
let offsetPct = markPremiumAvgPct.add(
markPremiumAvgPct.mul(liquidityFraction).div(PERCENTAGE_PRECISION)
);

if (!sigNum(inventoryPct).eq(sigNum(markPremiumAvgPct))) {
if (!sigNum(liquidityFraction).eq(sigNum(markPremiumAvgPct))) {
offsetPct = ZERO;
}

Expand Down
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