diff --git a/example.config.yaml b/example.config.yaml index 6347f60a..7cef99df 100644 --- a/example.config.yaml +++ b/example.config.yaml @@ -150,7 +150,7 @@ botConfigs: metricsPort: 9669 intervalMs: 7500 orderOffset: 95 - orderSize: 5 + orderSize: 4 # If subAccountId is set, it should also be included on the subaccounts config above subAccountId: 1 perpMarketIndices: diff --git a/src/bots/floatingMaker.ts b/src/bots/floatingMaker.ts index e68ee4dc..d915f436 100644 --- a/src/bots/floatingMaker.ts +++ b/src/bots/floatingMaker.ts @@ -9,10 +9,13 @@ import { PositionDirection, OrderType, BASE_PRECISION, + QUOTE_PRECISION, convertToNumber, PRICE_PRECISION, Order, PerpPosition, + User, + ZERO, } from '@drift-labs/sdk'; import { Mutex, tryAcquire, E_ALREADY_LOCKED } from 'async-mutex'; @@ -66,6 +69,8 @@ export class FloatingPerpMakerBot implements Bot { private intervalIds: Array = []; + private user: User; + // metrics private metricsInitialized = false; private metricsPort?: number; @@ -125,6 +130,7 @@ export class FloatingPerpMakerBot implements Bot { ); } this.driftClient.switchActiveUser(this.subAccountId); + this.user = this.driftClient.getUser(); this.marketIndices = new Set(config.perpMarketIndices); @@ -325,6 +331,58 @@ export class FloatingPerpMakerBot implements Bot { // cancel orders if not quoting both sides of the market let placeNewOrders = openOrders.length === 0; + logger.info( + `Orders open: ${openOrders.length}. Placing? ${placeNewOrders}` + ); + + // Skew order size based on total exposure and asset value + const totalAssetValue = convertToNumber( + this.user.getSpotMarketAssetValue( + 0, // USDC + 'Maintenance', + true + ), + QUOTE_PRECISION + ); + const position = this.user.getPerpPosition(marketIndex); + const posAmount = convertToNumber( + position?.baseAssetAmount ?? ZERO, + BASE_PRECISION + ); + const perpValue = convertToNumber( + this.user.getPerpPositionValue(marketIndex, oracle), + QUOTE_PRECISION + ); + const exposure = perpValue / totalAssetValue; + const pctExpAllowed = + 1 - perpValue / (totalAssetValue * this.MAX_POSITION_EXPOSURE); + // Yes, this will give a LONG direction when there's no position. It makes no difference, + // because in that case the exposure will be 0 and it'll be evenly split. + const exposureDir = + Math.sign(posAmount) >= 0 + ? PositionDirection.LONG + : PositionDirection.SHORT; + logger.info( + `PerpPosition value: $${perpValue} with ${posAmount}. Exposure: ${exposure}. Allowance used: ${pctExpAllowed}` + ); + + // Calculate the order size. + // + // Notice that if this ever gets too small - say, we have hit the exposure + // allowance and need to skew it to one side - order placing will barf. + // + // How to handle this is left as an exercise. You may only want to quote one + // side and keep that order open for a while, or keep canceling it and + // moving it closer to the oracle (see openOrders.length comparison below). + const pctCurrent = pctExpAllowed / 2; + const orderSizeCurrent = pctCurrent * (this.orderSize * 2); + const orderSizeOther = (1 - pctCurrent) * (this.orderSize * 2); + const orderSizeLong = + exposureDir == PositionDirection.LONG ? orderSizeCurrent : orderSizeOther; + const orderSizeShort = + exposureDir == PositionDirection.SHORT + ? orderSizeCurrent + : orderSizeOther; if (openOrders.length > 0 && openOrders.length != 2) { // cancel orders @@ -362,7 +420,7 @@ export class FloatingPerpMakerBot implements Bot { marketIndex: marketIndex, orderType: OrderType.LIMIT, direction: PositionDirection.LONG, - baseAssetAmount: BASE_PRECISION.mul(new BN(this.orderSize)), + baseAssetAmount: new BN(orderSizeLong * BASE_PRECISION.toNumber()), oraclePriceOffset: oracleBidSpread .mul(biasNum) .div(biasDenom) @@ -373,7 +431,7 @@ export class FloatingPerpMakerBot implements Bot { marketIndex: marketIndex, orderType: OrderType.LIMIT, direction: PositionDirection.SHORT, - baseAssetAmount: BASE_PRECISION.mul(new BN(this.orderSize)), + baseAssetAmount: new BN(orderSizeShort * BASE_PRECISION.toNumber()), oraclePriceOffset: oracleAskSpread .mul(biasNum) .div(biasDenom)