Skip to content

program: calc-ref-price-offset-calc-enhance #1786

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
wants to merge 2 commits into
base: master
Choose a base branch
from
Open

program: calc-ref-price-offset-calc-enhance #1786

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
93f9eb9
program: calc-ref-price-offset-calc-enhance
0xbigz Jul 25, 2025
f161589
less jumpy calc and smaller control for max offset
0xbigz Jul 29, 2025
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
28 changes: 14 additions & 14 deletions programs/drift/src/math/amm_spread.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -11,9 +11,9 @@ use crate::math::constants::{
AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO_I128, AMM_TO_QUOTE_PRECISION_RATIO_I128,
BID_ASK_SPREAD_PRECISION, BID_ASK_SPREAD_PRECISION_I128, DEFAULT_LARGE_BID_ASK_FACTOR,
DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT, FUNDING_RATE_BUFFER,
MAX_BID_ASK_INVENTORY_SKEW_FACTOR, PEG_PRECISION, PERCENTAGE_PRECISION,
PERCENTAGE_PRECISION_I128, PERCENTAGE_PRECISION_U64, PRICE_PRECISION, PRICE_PRECISION_I128,
PRICE_PRECISION_I64,
FUNDING_RATE_OFFSET_DENOMINATOR, MAX_BID_ASK_INVENTORY_SKEW_FACTOR, PEG_PRECISION,
PERCENTAGE_PRECISION, PERCENTAGE_PRECISION_I128, PERCENTAGE_PRECISION_U64, PRICE_PRECISION,
PRICE_PRECISION_I128, PRICE_PRECISION_I64,
};
use crate::math::safe_math::SafeMath;
use crate::state::perp_market::{ContractType, PerpMarket, AMM};
Expand Down Expand Up @@ -591,9 +591,13 @@ pub fn calculate_reference_price_offset(
let mark_premium_day: i64 = last_24h_avg_funding_rate
.safe_div(FUNDING_RATE_BUFFER.cast()?)?
.safe_mul(24)?
.safe_sub(
oracle_twap_slow
.abs()
.safe_div(FUNDING_RATE_OFFSET_DENOMINATOR)?,
)?
.clamp(-max_offset_in_price, max_offset_in_price); // todo: look at how 24h funding is calc w.r.t. the funding_period

// take average clamped premium as the price-based offset
// take average clamped premium as the price-based offset
let mark_premium_avg = mark_premium_minute
.safe_add(mark_premium_hour)?
.safe_add(mark_premium_day)?
Expand All @@ -603,17 +607,13 @@ pub fn calculate_reference_price_offset(
.safe_mul(PRICE_PRECISION_I64)?
.safe_div(reserve_price.cast()?)?;

let inventory_pct = liquidity_fraction
.cast::<i64>()?
.safe_mul(max_offset_pct)?
.safe_div(PERCENTAGE_PRECISION.cast::<i64>()?)?
.clamp(-max_offset_pct, max_offset_pct);

// only apply when inventory is consistent with recent and 24h market premium
let offset_pct = if (mark_premium_avg_pct >= 0 && inventory_pct >= 0)
|| (mark_premium_avg_pct <= 0 && inventory_pct <= 0)
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_add(inventory_pct)?
mark_premium_avg_pct
.safe_mul(liquidity_fraction.cast::<i64>()?)?
.safe_div(5)?
} else {
0
};
Expand Down
6 changes: 4 additions & 2 deletions programs/drift/src/state/perp_market.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -1225,15 +1225,17 @@ impl AMM {
pub fn get_max_reference_price_offset(self) -> DriftResult<i64> {
if self.curve_update_intensity <= 100 {
return Ok(0);
} else if self.curve_update_intensity >= 200 {
return Ok(self.max_spread.cast::<i64>()? / 2);
}

let lower_bound_multiplier: i64 =
self.curve_update_intensity.safe_sub(100)?.cast::<i64>()?;

// always higher of 1-100 bps of price offset and half of the market's max_spread
// always the lesser of 1-100 bps of price offset and half of the market's max_spread
let lb_bps =
(PERCENTAGE_PRECISION.cast::<i64>()? / 10000).safe_mul(lower_bound_multiplier)?;
let max_offset = (self.max_spread.cast::<i64>()? / 2).max(lb_bps);
let max_offset = (self.max_spread.cast::<i64>()? / 2).min(lb_bps);

Ok(max_offset)
}
Expand Down
Loading