hedge jit [idea]

[0xbigz]

pub struct JitParams {
    pub taker_order_id: u32,
    pub max_position: i64,
    pub worst_price: u64,
    pub post_only: Option<PostOnlyParam>,
}

jit params could include

• max_base_per_fill: as a mitigation for high swap price impact
• spot_market_index: spot market leg
• perp_market_index: perp market leg
• spot_hedge_factor: multiplier for acceptable fill price on hedge leg

for a specific taker_order, you can calculate the maker_base_asset_amount (based on the taker unfilled + position/trade constraints)

inspect the current spot token amount and perp position base amount

on each jit crank:

1. compute gap (spot token amount * spot_hedge_factor) vs perp position base amount + maker_base_asset_amount
2. do begin_swap + end_swap for "SPOT"/USDC pair (up to maker_base_asset_amount s.t. it closes this gap)
3. calculate price of this swap, $P_{swap}$, and multiply by spot_hedge_factor
4. if user's auction price is better maker, then fill base amount up to maker_base_asset_amount, otherwise fail

the worst thing that can happen:

• the perp pnl is sufficiently negative and starts to open expensive usdc borrow (potentially risking liquidation)
• the initial deposit for this strategy is not USDC, the delta hedge logic would need to examine spot hedge gap and fix
• filling users better than oracle enough could lead to hourly funding rate out of favor for maker

example: SOL-PERP maker who hedges with mSOL

• deposit 100 USDC, enable margin trading
• watch user accounts with auction orders (using memcpy for rpc get program accounts)
• attempt to fulfill 1 SOL-PERP long at 1 bps better than oracle (maker short)
• margin borrow 1 * (spot_hedge_factor=1/1.112) mSOL -> USDC @ $17.8
• if auction price > 17.8 * 1/1.112, fulfill 1 SOL-PERP long