Potential order loss (#387)

Co-authored-by: Kelvin Lau <[email protected]>

CHANGELOG.md

@@ -3,6 +3,11 @@
 All notable changes to this project will be documented in this file.
 Version changes are pinned to SDK releases.
 
+## [1.28.0]
+
+- Add potential order loss to account margining.
+- Add 10% oracle deviation protection to orders.
+
 ## [1.26.4]
 
 - Respect Exchange.skipRpcConfirmation everywhere. ([#384](https://github.com/zetamarkets/sdk/pull/384))

package.json

@@ -1,7 +1,7 @@
 {
   "name": "@zetamarkets/sdk",
   "repository": "https://github.com/zetamarkets/sdk/",
-  "version": "1.27.3",
+  "version": "1.28.0",
   "description": "Zeta SDK",
   "main": "dist/index.js",
   "types": "dist/index.d.ts",

src/idl/zeta.json

@@ -8174,12 +8174,30 @@
             "name": "rebateRebalanceAmount",
             "type": "u64"
           },
+          {
+            "name": "potentialOrderLoss",
+            "type": {
+              "array": [
+                "u64",
+                15
+              ]
+            }
+          },
+          {
+            "name": "potentialOrderLossPadding",
+            "type": {
+              "array": [
+                "u64",
+                10
+              ]
+            }
+          },
           {
             "name": "padding",
             "type": {
               "array": [
                 "u8",
-                1976
+                1776
               ]
             }
           }
@@ -9721,7 +9739,7 @@
             "name": "STRK"
           },
           {
-            "name": "TNSR"
+            "name": "W"
           },
           {
             "name": "UNDEFINED"
@@ -11255,6 +11273,11 @@
       "code": 6169,
       "name": "InvalidOracleUpdate",
       "msg": "Invalid oracle update"
+    },
+    {
+      "code": 6170,
+      "name": "OrderPriceTooFarFromMarkPrice",
+      "msg": "Order price too far from mark price"
     }
   ]
 }

src/program-types.ts

@@ -212,6 +212,8 @@ export interface CrossMarginAccount {
   productLedgersPadding: Array<ProductLedger>;
   triggerOrderBits: anchor.BN;
   rebateRebalanceAmount: anchor.BN;
+  potentialOrderLoss: Array<anchor.BN>;
+  potentialOrderLossPadding: Array<anchor.BN>;
   padding: Array<number>;
 }
 

src/risk-utils.ts

@@ -28,7 +28,8 @@ export function collectRiskMaps(
   mmMap: Map<Asset, Number>,
   mmioMap: Map<Asset, Number>,
   upnlMap: Map<Asset, Number>,
-  unpaidFundingMap: Map<Asset, Number>
+  unpaidFundingMap: Map<Asset, Number>,
+  potentialOrderLossMap: Map<Asset, Number>
 ): Map<Asset, types.AssetRiskState> {
   let allAssets = assets.allAssets();
   let collectedRiskState = new Map();
@@ -40,6 +41,7 @@ export function collectRiskMaps(
       maintenanceMarginIncludingOrders: mmioMap.get(a),
       unrealizedPnl: upnlMap.get(a),
       unpaidFunding: unpaidFundingMap.get(a),
+      potentialOrderLoss: potentialOrderLossMap.get(a),
     });
   }
   return collectedRiskState;
@@ -326,6 +328,20 @@ export function addFakeCancelToAccount(
 
   const nativeOrderSize = convertDecimalToNativeLotSize(order.size);
 
+  let totalOrders =
+    marginAccount.productLedgers[assetIndex].orderState.closingOrders +
+    marginAccount.productLedgers[assetIndex].orderState.openingOrders[0] +
+    marginAccount.productLedgers[assetIndex].orderState.openingOrders[1];
+
+  if (totalOrders == nativeOrderSize) {
+    marginAccount.potentialOrderLoss[assetIndex] = 0;
+  } else {
+    let totalMaxLoss = marginAccount.potentialOrderLoss[assetIndex];
+    let maxLossPerLot = totalMaxLoss / totalOrders;
+    let averageMaxLoss = maxLossPerLot * nativeOrderSize;
+    marginAccount.potentialOrderLoss[assetIndex] -= averageMaxLoss;
+  }
+
   const cancelOpening = Math.min(
     marginAccount.productLedgers[assetIndex].orderState.openingOrders[
       bidAskIndex

src/risk.ts

@@ -391,6 +391,23 @@ export class RiskCalculator {
     }
   }
 
+  public getPotentialOrderLoss(
+    account: CrossMarginAccount
+  ): Map<Asset, number> {
+    const i_list = [...Array(constants.ACTIVE_PERP_MARKETS).keys()];
+
+    const potentialOrderLossMap: Map<Asset, number> = new Map();
+    for (var i of i_list) {
+      const asset = assets.indexToAsset(i);
+      const potentialOrderLoss = convertNativeIntegerToDecimal(
+        account.potentialOrderLoss[i].toNumber()
+      );
+      potentialOrderLossMap.set(asset, potentialOrderLoss);
+    }
+
+    return potentialOrderLossMap;
+  }
+
   /**
    * Returns the total initial margin requirement for a given account.
    * This includes initial margin on positions which is used for
@@ -675,6 +692,9 @@ export class RiskCalculator {
   ): types.CrossMarginAccountState {
     let balance = convertNativeBNToDecimal(marginAccount.balance);
     let accType = types.ProgramAccountType.CrossMarginAccount;
+
+    let potentialOrderLoss = this.getPotentialOrderLoss(marginAccount);
+
     let unrealizedPnl = this.calculateUnrealizedPnl(
       marginAccount,
       accType
@@ -703,6 +723,10 @@ export class RiskCalculator {
         accType
       ) as Map<Asset, number>;
 
+    let potentialOrderLossTotal = Array.from(
+      potentialOrderLoss.values()
+    ).reduce((a, b) => a + b, 0);
+
     let upnlTotal = Array.from(unrealizedPnl.values()).reduce(
       (a, b) => a + b,
       0
@@ -725,16 +749,28 @@ export class RiskCalculator {
 
     let equity: number = balance + upnlTotal + unpaidFundingTotal;
     let availableBalanceInitial: number =
-      balance + upnlTotal + unpaidFundingTotal - imTotal;
+      balance +
+      upnlTotal +
+      unpaidFundingTotal -
+      imTotal -
+      potentialOrderLossTotal;
     let availableBalanceWithdrawable: number =
       balance +
       Math.min(0, upnlTotal) +
       unpaidFundingTotal -
       imSkipConcessionTotal;
     let availableBalanceMaintenance: number =
-      balance + upnlTotal + unpaidFundingTotal - mmTotal;
+      balance +
+      upnlTotal +
+      unpaidFundingTotal -
+      mmTotal -
+      potentialOrderLossTotal;
     let availableBalanceMaintenanceIncludingOrders: number =
-      balance + upnlTotal + unpaidFundingTotal - mmioTotal;
+      balance +
+      upnlTotal +
+      unpaidFundingTotal -
+      mmioTotal -
+      potentialOrderLossTotal;
     return {
       balance,
       equity,
@@ -748,14 +784,16 @@ export class RiskCalculator {
         maintenanceMargin,
         maintenanceMarginIncludingOrders,
         unrealizedPnl,
-        unpaidFunding
+        unpaidFunding,
+        potentialOrderLoss
       ),
       initialMarginTotal: imTotal,
       initalMarginSkipConcessionTotal: imSkipConcessionTotal,
       maintenanceMarginTotal: mmTotal,
       maintenanceMarginIncludingOrdersTotal: mmioTotal,
       unrealizedPnlTotal: upnlTotal,
       unpaidFundingTotal: unpaidFundingTotal,
+      potentialOrderLossTotal,
     };
   }
 
@@ -868,7 +906,8 @@ export class RiskCalculator {
         ).values()
       ).reduce((a, b) => a + b, 0) +
       state.unpaidFundingTotal -
-      state.maintenanceMarginIncludingOrdersTotal;
+      state.maintenanceMarginIncludingOrdersTotal -
+      state.potentialOrderLossTotal;
 
     let fee =
       (getFeeBps(isTaker, marginAccount.accountType) / 10000) * tradePrice;

src/types.ts

@@ -284,6 +284,7 @@ export interface AssetRiskState {
   maintenanceMarginIncludingOrders: number;
   unrealizedPnl: number;
   unpaidFunding: number;
+  potentialOrderLoss: number;
 }
 
 export interface CrossMarginAccountState {
@@ -300,6 +301,7 @@ export interface CrossMarginAccountState {
   maintenanceMarginIncludingOrdersTotal: number;
   unrealizedPnlTotal: number;
   unpaidFundingTotal: number;
+  potentialOrderLossTotal: number;
 }
 
 export interface CancelArgs {

src/types/zeta.ts

@@ -8174,12 +8174,30 @@ export type Zeta = {
             "name": "rebateRebalanceAmount",
             "type": "u64"
           },
+          {
+            "name": "potentialOrderLoss",
+            "type": {
+              "array": [
+                "u64",
+                15
+              ]
+            }
+          },
+          {
+            "name": "potentialOrderLossPadding",
+            "type": {
+              "array": [
+                "u64",
+                10
+              ]
+            }
+          },
           {
             "name": "padding",
             "type": {
               "array": [
                 "u8",
-                1976
+                1776
               ]
             }
           }
@@ -9721,7 +9739,7 @@ export type Zeta = {
             "name": "STRK"
           },
           {
-            "name": "TNSR"
+            "name": "W"
           },
           {
             "name": "UNDEFINED"
@@ -11255,6 +11273,11 @@ export type Zeta = {
       "code": 6169,
       "name": "InvalidOracleUpdate",
       "msg": "Invalid oracle update"
+    },
+    {
+      "code": 6170,
+      "name": "OrderPriceTooFarFromMarkPrice",
+      "msg": "Order price too far from mark price"
     }
   ]
 };
@@ -19435,12 +19458,30 @@ export const IDL: Zeta = {
             "name": "rebateRebalanceAmount",
             "type": "u64"
           },
+          {
+            "name": "potentialOrderLoss",
+            "type": {
+              "array": [
+                "u64",
+                15
+              ]
+            }
+          },
+          {
+            "name": "potentialOrderLossPadding",
+            "type": {
+              "array": [
+                "u64",
+                10
+              ]
+            }
+          },
           {
             "name": "padding",
             "type": {
               "array": [
                 "u8",
-                1976
+                1776
               ]
             }
           }
@@ -20982,7 +21023,7 @@ export const IDL: Zeta = {
             "name": "STRK"
           },
           {
-            "name": "TNSR"
+            "name": "W"
           },
           {
             "name": "UNDEFINED"
@@ -22516,6 +22557,11 @@ export const IDL: Zeta = {
       "code": 6169,
       "name": "InvalidOracleUpdate",
       "msg": "Invalid oracle update"
+    },
+    {
+      "code": 6170,
+      "name": "OrderPriceTooFarFromMarkPrice",
+      "msg": "Order price too far from mark price"
     }
   ]
 };