program: trigger price based on oracle and basis

programs/drift/src/controller/funding.rs

@@ -269,6 +269,7 @@ 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

@@ -691,6 +691,7 @@ 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

@@ -428,6 +428,7 @@ pub fn place_perp_order(
         None,
         None,
         None,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -707,6 +708,7 @@ pub fn cancel_order(
             None,
             None,
             None,
+            None,
         )?;
         emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
     }
@@ -1295,7 +1297,7 @@ 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,
             order_direction,
@@ -1307,6 +1309,8 @@ 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;
@@ -2419,6 +2423,7 @@ 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)?;
 
@@ -2864,6 +2869,7 @@ 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)?;
 
@@ -3016,10 +3022,8 @@ 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)?;
+    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
@@ -3086,6 +3090,7 @@ pub fn trigger_order(
         None,
         None,
         None,
+        Some(trigger_price),
     )?;
     emit!(order_action_record);
 
@@ -3761,6 +3766,7 @@ pub fn place_spot_order(
         None,
         None,
         None,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -4992,6 +4998,7 @@ pub fn fulfill_spot_order_with_match(
         None,
         None,
         None,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -5262,6 +5269,7 @@ pub fn fulfill_spot_order_with_external_market(
         None,
         None,
         None,
+        None,
     )?;
     emit_stack::<_, { OrderActionRecord::SIZE }>(order_action_record)?;
 
@@ -5459,6 +5467,7 @@ pub fn trigger_spot_order(
         None,
         None,
         None,
+        Some(oracle_price.unsigned_abs()),
     )?;
 
     emit!(order_action_record);

programs/drift/src/instructions/admin.rs

@@ -955,7 +955,9 @@ 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,
@@ -1052,7 +1054,8 @@ 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,
         },
     };
 

programs/drift/src/instructions/user.rs

@@ -1874,6 +1874,7 @@ 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/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,
     })
 }
 

programs/drift/src/state/perp_market.rs

@@ -9,17 +9,17 @@ use crate::error::{DriftResult, ErrorCode};
 use crate::math::amm;
 use crate::math::casting::Cast;
 #[cfg(test)]
-use crate::math::constants::{
-    AMM_RESERVE_PRECISION, MAX_CONCENTRATION_COEFFICIENT, PRICE_PRECISION_I64,
-};
+use crate::math::constants::{AMM_RESERVE_PRECISION, MAX_CONCENTRATION_COEFFICIENT};
 use crate::math::constants::{
     AMM_RESERVE_PRECISION_I128, AMM_TO_QUOTE_PRECISION_RATIO, BID_ASK_SPREAD_PRECISION,
     BID_ASK_SPREAD_PRECISION_I128, BID_ASK_SPREAD_PRECISION_U128,
-    DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT, LIQUIDATION_FEE_PRECISION,
+    DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT, FUNDING_RATE_BUFFER_I128,
+    FUNDING_RATE_OFFSET_PERCENTAGE, LIQUIDATION_FEE_PRECISION,
     LIQUIDATION_FEE_TO_MARGIN_PRECISION_RATIO, LP_FEE_SLICE_DENOMINATOR, LP_FEE_SLICE_NUMERATOR,
     MARGIN_PRECISION, MARGIN_PRECISION_U128, MAX_LIQUIDATION_MULTIPLIER, PEG_PRECISION,
     PERCENTAGE_PRECISION, PERCENTAGE_PRECISION_I128, PERCENTAGE_PRECISION_I64,
-    PERCENTAGE_PRECISION_U64, PRICE_PRECISION, SPOT_WEIGHT_PRECISION, TWENTY_FOUR_HOUR,
+    PERCENTAGE_PRECISION_U64, PRICE_PRECISION, PRICE_PRECISION_I128, PRICE_PRECISION_I64,
+    SPOT_WEIGHT_PRECISION, TWENTY_FOUR_HOUR,
 };
 use crate::math::helpers::get_proportion_i128;
 use crate::math::margin::{
@@ -251,7 +251,9 @@ pub struct PerpMarket {
     pub high_leverage_margin_ratio_maintenance: u16,
     pub protected_maker_limit_price_divisor: u8,
     pub protected_maker_dynamic_divisor: u8,
-    pub padding: [u8; 36],
+    pub padding1: u32,
+    pub last_fill_price: u64,
+    pub padding: [u8; 24],
 }
 
 impl Default for PerpMarket {
@@ -293,7 +295,9 @@ impl Default for PerpMarket {
             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],
         }
     }
 }
@@ -747,6 +751,96 @@ impl PerpMarket {
             default_min_auction_duration
         }
     }
+
+    pub fn get_trigger_price(&self, oracle_price: i64, now: i64) -> DriftResult<u64> {
+        let last_fill_price = self.last_fill_price;
+
+        let mark_price_5min_twap = self.amm.last_mark_price_twap;
+        let last_oracle_price_twap_5min =
+            self.amm.historical_oracle_data.last_oracle_price_twap_5min;
+
+        let basis_5min = mark_price_5min_twap
+            .cast::<i64>()?
+            .safe_sub(last_oracle_price_twap_5min)?;
+
+        let oracle_plus_basis_5min = oracle_price.safe_add(basis_5min)?.unsigned_abs();
+
+        let last_funding_basis = self.get_last_funding_basis(oracle_price, now)?;
+
+        let oracle_plus_funding_basis = oracle_price.safe_add(last_funding_basis)?.unsigned_abs();
+
+        let median_price = if last_fill_price > 0 {
+            let mut prices = [
+                last_fill_price,
+                oracle_plus_funding_basis,
+                oracle_plus_basis_5min,
+            ];
+            prices.sort_unstable();
+
+            prices[1]
+        } else {
+            let mut prices = [
+                oracle_price.unsigned_abs(),
+                oracle_plus_funding_basis,
+                oracle_plus_basis_5min,
+            ];
+            prices.sort_unstable();
+
+            prices[1]
+        };
+
+        self.clamp_trigger_price(oracle_price.unsigned_abs(), median_price)
+    }
+
+    #[inline(always)]
+    fn get_last_funding_basis(&self, oracle_price: i64, now: i64) -> DriftResult<i64> {
+        if self.amm.last_funding_oracle_twap > 0 {
+            let last_funding_rate = self
+                .amm
+                .last_funding_rate
+                .cast::<i128>()?
+                .safe_mul(PRICE_PRECISION_I128)?
+                .safe_div(self.amm.last_funding_oracle_twap.cast::<i128>()?)?
+                .safe_mul(24)?;
+            let last_funding_rate_pre_adj =
+                last_funding_rate.safe_sub(FUNDING_RATE_OFFSET_PERCENTAGE as i128)?;
+
+            let time_left_until_funding_update = now
+                .safe_sub(self.amm.last_funding_rate_ts)?
+                .min(self.amm.funding_period);
+
+            let last_funding_basis = oracle_price
+                .cast::<i128>()?
+                .safe_mul(last_funding_rate_pre_adj)?
+                .safe_div(PERCENTAGE_PRECISION_I128)?
+                .safe_mul(
+                    self.amm
+                        .funding_period
+                        .safe_sub(time_left_until_funding_update)?
+                        .cast::<i128>()?,
+                )?
+                .safe_div(self.amm.funding_period.cast::<i128>()?)?
+                / FUNDING_RATE_BUFFER_I128;
+
+            last_funding_basis.cast::<i64>()
+        } else {
+            Ok(0)
+        }
+    }
+
+    #[inline(always)]
+    fn clamp_trigger_price(&self, oracle_price: u64, median_price: u64) -> DriftResult<u64> {
+        let max_bps_diff = if matches!(self.contract_tier, ContractTier::A | ContractTier::B) {
+            500 // 20 BPS
+        } else {
+            100 // 100 BPS
+        };
+        let max_oracle_diff = oracle_price / max_bps_diff;
+
+        Ok(median_price
+            .max(oracle_price.safe_sub(max_oracle_diff)?)
+            .min(oracle_price.safe_add(max_oracle_diff)?))
+    }
 }
 
 #[cfg(test)]
@@ -912,10 +1006,10 @@ pub struct AMM {
     /// precision: AMM_RESERVE_PRECISION
     pub user_lp_shares: u128,
     /// last funding rate in this perp market (unit is quote per base)
-    /// precision: QUOTE_PRECISION
+    /// precision: FUNDING_RATE_PRECISION
     pub last_funding_rate: i64,
     /// last funding rate for longs in this perp market (unit is quote per base)
-    /// precision: QUOTE_PRECISION
+    /// precision: FUNDING_RATE_PRECISION
     pub last_funding_rate_long: i64,
     /// last funding rate for shorts in this perp market (unit is quote per base)
     /// precision: QUOTE_PRECISION
@@ -1058,7 +1152,8 @@ pub struct AMM {
     pub reference_price_offset: i32,
     /// signed scale amm_spread similar to fee_adjustment logic (-100 = 0, 100 = double)
     pub amm_inventory_spread_adjustment: i8,
-    pub padding: [u8; 11],
+    pub padding: [u8; 3],
+    pub last_funding_oracle_twap: i64,
 }
 
 impl Default for AMM {
@@ -1149,7 +1244,8 @@ impl Default for AMM {
             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,
         }
     }
 }