program: trigger price based on oracle and basis (#1716)

* init

* shrink for time since last funding

* add max diff

* use trigger price isntead of oracle

* add event

* more tests

* update for contract tier C

* add ts code

* return early instead of throw error

* sdk: rename oraclePrice to triggerPrice

* feature flag

* styling

* address comments

* parentheses

* casts

* CHANGELOG

Author: crispheaney

CHANGELOG.md

@@ -9,6 +9,8 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Features
 
+- program: new median price for trigger orders ([#1716](https://github.com/drift-labs/protocol-v2/pull/1716))
+
 ### Fixes
 
 ### Breaking

programs/drift/src/controller/funding.rs

@@ -271,6 +271,7 @@ pub fn update_funding_rate(
             .safe_add(funding_rate_short)?;
 
         market.amm.last_funding_rate = funding_rate;
+        market.amm.last_funding_oracle_twap = oracle_price_twap;
         market.amm.last_funding_rate_long = funding_rate_long.cast()?;
         market.amm.last_funding_rate_short = funding_rate_short.cast()?;
         market.amm.last_24h_avg_funding_rate = calculate_new_twap(

programs/drift/src/controller/liquidation.rs

@@ -698,6 +698,7 @@ pub fn liquidate_perp(
         taker_existing_base_asset_amount: taker_existing_base_asset_amount,
         maker_existing_quote_entry_amount: maker_existing_quote_entry_amount,
         maker_existing_base_asset_amount: maker_existing_base_asset_amount,
+        trigger_price: None,
     };
     emit!(fill_record);
 

programs/drift/src/controller/orders.rs

@@ -442,6 +442,7 @@ pub fn place_perp_order(
         None,
         None,
         None,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -721,6 +722,7 @@ pub fn cancel_order(
             None,
             None,
             None,
+            None,
         )?;
         emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
     }
@@ -1324,7 +1326,7 @@ pub fn fill_perp_order(
         let fill_price =
             calculate_fill_price(quote_asset_amount, base_asset_amount, BASE_PRECISION_U64)?;
 
-        let perp_market = perp_market_map.get_ref(&market_index)?;
+        let mut perp_market = perp_market_map.get_ref_mut(&market_index)?;
         validate_fill_price_within_price_bands(
             fill_price,
             oracle_price,
@@ -1335,6 +1337,8 @@ pub fn fill_perp_order(
                 .max_oracle_twap_5min_percent_divergence(),
             perp_market.is_prediction_market(),
         )?;
+
+        perp_market.last_fill_price = fill_price;
     }
 
     let base_asset_amount_after = user.perp_positions[position_index].base_asset_amount;
@@ -2449,6 +2453,7 @@ pub fn fulfill_perp_order_with_amm(
         taker_existing_base_asset_amount,
         maker_existing_quote_entry_amount,
         maker_existing_base_asset_amount,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -2897,6 +2902,7 @@ pub fn fulfill_perp_order_with_match(
         taker_existing_base_asset_amount,
         maker_existing_quote_entry_amount,
         maker_existing_base_asset_amount,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -2989,11 +2995,10 @@ pub fn trigger_order(
         "Order is not triggerable"
     )?;
 
-    validate!(
-        !user.orders[order_index].triggered(),
-        ErrorCode::OrderNotTriggerable,
-        "Order is already triggered"
-    )?;
+    if user.orders[order_index].triggered() {
+        msg!("Order is already triggered");
+        return Ok(());
+    }
 
     validate!(
         market_type == MarketType::Perp,
@@ -3049,10 +3054,9 @@ pub fn trigger_order(
         "oracle price vs twap too divergent"
     )?;
 
-    let can_trigger = order_satisfies_trigger_condition(
-        &user.orders[order_index],
-        oracle_price.unsigned_abs().cast()?,
-    )?;
+    let trigger_price =
+        perp_market.get_trigger_price(oracle_price, now, state.use_median_trigger_price())?;
+    let can_trigger = order_satisfies_trigger_condition(&user.orders[order_index], trigger_price)?;
     validate!(can_trigger, ErrorCode::OrderDidNotSatisfyTriggerCondition)?;
 
     let (_, worst_case_liability_value_before) = user
@@ -3125,6 +3129,7 @@ pub fn trigger_order(
         None,
         None,
         None,
+        Some(trigger_price),
     )?;
     emit!(order_action_record);
 
@@ -3810,6 +3815,7 @@ pub fn place_spot_order(
         None,
         None,
         None,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -5046,6 +5052,7 @@ pub fn fulfill_spot_order_with_match(
         None,
         None,
         None,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -5319,6 +5326,7 @@ pub fn fulfill_spot_order_with_external_market(
         None,
         None,
         None,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -5522,6 +5530,7 @@ pub fn trigger_spot_order(
         None,
         None,
         None,
+        Some(oracle_price.unsigned_abs()),
     )?;
 
     emit!(order_action_record);

programs/drift/src/instructions/admin.rs

@@ -1,7 +1,7 @@
 use std::convert::{identity, TryInto};
 use std::mem::size_of;
 
-use crate::msg;
+use crate::{msg, FeatureBitFlags};
 use anchor_lang::prelude::*;
 use anchor_spl::token_2022::Token2022;
 use anchor_spl::token_interface::{Mint, TokenAccount, TokenInterface};
@@ -114,7 +114,7 @@ pub fn handle_initialize(ctx: Context<Initialize>) -> Result<()> {
         initial_pct_to_liquidate: 0,
         max_number_of_sub_accounts: 0,
         max_initialize_user_fee: 0,
-        disable_bit_flags: 0,
+        feature_bit_flags: 0,
         padding: [0; 9],
     };
 
@@ -965,7 +965,9 @@ pub fn handle_initialize_perp_market(
         high_leverage_margin_ratio_maintenance: 0,
         protected_maker_limit_price_divisor: 0,
         protected_maker_dynamic_divisor: 0,
-        padding: [0; 36],
+        padding1: 0,
+        last_fill_price: 0,
+        padding: [0; 24],
         amm: AMM {
             oracle: *ctx.accounts.oracle.key,
             oracle_source,
@@ -1061,7 +1063,8 @@ pub fn handle_initialize_perp_market(
             quote_asset_amount_with_unsettled_lp: 0,
             reference_price_offset: 0,
             amm_inventory_spread_adjustment: 0,
-            padding: [0; 11],
+            padding: [0; 3],
+            last_funding_oracle_twap: 0,
         },
     };
 
@@ -4853,7 +4856,7 @@ pub fn handle_zero_mm_oracle_fields(ctx: Context<HotAdminUpdatePerpMarket>) -> R
 pub fn handle_update_mm_oracle_native(accounts: &[AccountInfo], data: &[u8]) -> Result<()> {
     // Verify this ix is allowed
     let state = &accounts[3].data.borrow();
-    assert!(state[982] & 1 == 0, "ix disabled by admin state");
+    assert!(state[982] & 1 > 0, "ix disabled by admin state");
 
     let signer_account = &accounts[1];
     #[cfg(not(feature = "anchor-test"))]
@@ -4898,22 +4901,47 @@ pub fn handle_update_amm_spread_adjustment_native(
     Ok(())
 }
 
-pub fn handle_update_disable_bitflags_mm_oracle(
+pub fn handle_update_feature_bit_flags_mm_oracle(
     ctx: Context<HotAdminUpdateState>,
-    disable: bool,
+    enable: bool,
 ) -> Result<()> {
     let state = &mut ctx.accounts.state;
-    if disable {
-        msg!("Setting first bit to 1, disabling mm oracle update");
-        state.disable_bit_flags = state.disable_bit_flags | 1;
+    if enable {
+        validate!(
+            ctx.accounts.admin.key().eq(&state.admin),
+            ErrorCode::DefaultError,
+            "Only state admin can re-enable after kill switch"
+        )?;
+
+        msg!("Setting first bit to 1, enabling mm oracle update");
+        state.feature_bit_flags = state.feature_bit_flags | (FeatureBitFlags::MmOracleUpdate as u8);
     } else {
+        msg!("Setting first bit to 0, disabling mm oracle update");
+        state.feature_bit_flags =
+            state.feature_bit_flags & !(FeatureBitFlags::MmOracleUpdate as u8);
+    }
+    Ok(())
+}
+
+pub fn handle_update_feature_bit_flags_median_trigger_price(
+    ctx: Context<HotAdminUpdateState>,
+    enable: bool,
+) -> Result<()> {
+    let state = &mut ctx.accounts.state;
+    if enable {
         validate!(
             ctx.accounts.admin.key().eq(&state.admin),
             ErrorCode::DefaultError,
             "Only state admin can re-enable after kill switch"
         )?;
-        msg!("Setting first bit to 0, enabling mm oracle update");
-        state.disable_bit_flags = state.disable_bit_flags & !1;
+
+        msg!("Setting second bit to 1, enabling median trigger price");
+        state.feature_bit_flags =
+            state.feature_bit_flags | (FeatureBitFlags::MedianTriggerPrice as u8);
+    } else {
+        msg!("Setting second bit to 0, disabling median trigger price");
+        state.feature_bit_flags =
+            state.feature_bit_flags & !(FeatureBitFlags::MedianTriggerPrice as u8);
     }
     Ok(())
 }

programs/drift/src/instructions/user.rs

@@ -1888,6 +1888,7 @@ pub fn handle_transfer_perp_position<'c: 'info, 'info>(
         taker_existing_base_asset_amount: to_existing_base_asset_amount,
         maker_existing_quote_entry_amount: from_existing_quote_entry_amount,
         maker_existing_base_asset_amount: from_existing_base_asset_amount,
+        trigger_price: None,
     };
 
     emit_stack::<_, { OrderActionRecord::SIZE }>(fill_record)?;

programs/drift/src/lib.rs

@@ -1810,16 +1810,23 @@ pub mod drift {
         handle_update_if_rebalance_config(ctx, params)
     }
 
-    pub fn update_disable_bitflags_mm_oracle(
+    pub fn update_feature_bit_flags_mm_oracle(
         ctx: Context<HotAdminUpdateState>,
-        disable: bool,
+        enable: bool,
     ) -> Result<()> {
-        handle_update_disable_bitflags_mm_oracle(ctx, disable)
+        handle_update_feature_bit_flags_mm_oracle(ctx, enable)
     }
 
     pub fn zero_mm_oracle_fields(ctx: Context<HotAdminUpdatePerpMarket>) -> Result<()> {
         handle_zero_mm_oracle_fields(ctx)
     }
+
+    pub fn update_feature_bit_flags_median_trigger_price(
+        ctx: Context<HotAdminUpdateState>,
+        enable: bool,
+    ) -> Result<()> {
+        handle_update_feature_bit_flags_median_trigger_price(ctx, enable)
+    }
 }
 
 #[cfg(not(feature = "no-entrypoint"))]

programs/drift/src/math/constants.rs

@@ -204,6 +204,8 @@ pub const DEFAULT_QUOTE_ASSET_AMOUNT_TICK_SIZE: u64 =
 
 // FUNDING
 pub const FUNDING_RATE_OFFSET_DENOMINATOR: i64 = 5000; // 5000 => 7.3% annualized rate for hourly funding
+pub const FUNDING_RATE_OFFSET_PERCENTAGE: i64 =
+    FUNDING_RATE_PRECISION_I64 / FUNDING_RATE_OFFSET_DENOMINATOR;
 
 // ORDERS
 pub const AUCTION_DERIVE_PRICE_FRACTION: i64 = 200;

programs/drift/src/state/events.rs

@@ -254,10 +254,12 @@ pub struct OrderActionRecord {
     /// precision: BASE_PRECISION
     /// Only Some if the maker flipped position direction
     pub maker_existing_base_asset_amount: Option<u64>,
+    /// precision: PRICE_PRECISION
+    pub trigger_price: Option<u64>,
 }
 
 impl Size for OrderActionRecord {
-    const SIZE: usize = 448;
+    const SIZE: usize = 464;
 }
 
 pub fn get_order_action_record(
@@ -285,6 +287,7 @@ pub fn get_order_action_record(
     taker_existing_base_asset_amount: Option<u64>,
     maker_existing_quote_entry_amount: Option<u64>,
     maker_existing_base_asset_amount: Option<u64>,
+    trigger_price: Option<u64>,
 ) -> DriftResult<OrderActionRecord> {
     Ok(OrderActionRecord {
         ts,
@@ -337,6 +340,7 @@ pub fn get_order_action_record(
         taker_existing_base_asset_amount,
         maker_existing_quote_entry_amount,
         maker_existing_base_asset_amount,
+        trigger_price,
     })
 }