liquidator: use limit orders with auction params (#119)

* liquidator: use limit orders with auction params

* liquidator: normalize slippage config to bps

* fix priority fee rounding

example.config.yaml

@@ -114,8 +114,16 @@ botConfigs:
     spotSubAccountConfig:
       0: # subaccount 0 will watch all spot markets
 
-    # max slippage (from oracle price) to incur allow when derisking
-    maxSlippagePct: 0.005
+    # deprecated (bad naming): use maxSlippageBps
+    maxSlippagePct: 50
+
+    # Max slippage to incur allow when derisking (in bps).
+    # This is used to calculate the auction end price (worse price) when derisking
+    # and also passed into jupiter when doing swaps.
+    maxSlippageBps: 50
+
+    # duration of jit auction for derisk orders
+    deriskAuctionDurationSlots: 100
 
     # what algo to use for derisking. Options are "market" or "twap"
     deriskAlgo: "market"

src/bots/liquidator.ts

@@ -20,7 +20,6 @@ import {
 	SerumFulfillmentConfigMap,
 	initialize,
 	DriftEnv,
-	getMarketOrderParams,
 	findDirectionToClose,
 	getSignedTokenAmount,
 	standardizeBaseAssetAmount,
@@ -38,6 +37,8 @@ import {
 	TxParams,
 	PriorityFeeSubscriber,
 	QuoteResponse,
+	getLimitOrderParams,
+	PERCENTAGE_PRECISION,
 } from '@drift-labs/sdk';
 
 import { PrometheusExporter } from '@opentelemetry/exporter-prometheus';
@@ -76,6 +77,7 @@ const errorCodesToSuppress = [
 	6010, // Error Number: 6010. Error Message: User Has No Position In Market.
 ];
 
+const BPS_PRECISION = 10000;
 const LIQUIDATE_THROTTLE_BACKOFF = 5000; // the time to wait before trying to liquidate a throttled user again
 const MAX_COMPUTE_UNIT_PRICE_MICRO_LAMPORTS = 20_000; // cap the computeUnitPrice to pay per fill tx
 
@@ -326,6 +328,10 @@ export class LiquidatorBot implements Bot {
 		SERUM_LOOKUP_TABLE: PublicKey
 	) {
 		this.liquidatorConfig = config;
+		if (this.liquidatorConfig.maxSlippageBps === undefined) {
+			this.liquidatorConfig.maxSlippageBps =
+				this.liquidatorConfig.maxSlippagePct!;
+		}
 
 		this.liquidatorConfig.deriskAlgoPerp =
 			config.deriskAlgoPerp ?? config.deriskAlgo;
@@ -534,7 +540,7 @@ export class LiquidatorBot implements Bot {
 		return {
 			computeUnits: 1_400_000,
 			computeUnitsPrice: Math.min(
-				this.priorityFeeSubscriber.maxPriorityFee * 1.1,
+				Math.floor(this.priorityFeeSubscriber.maxPriorityFee),
 				MAX_COMPUTE_UNIT_PRICE_MICRO_LAMPORTS
 			),
 		};
@@ -653,16 +659,48 @@ export class LiquidatorBot implements Bot {
 		return healthy;
 	}
 
+	/**
+	 * Calculates the worse price to execute at (used for auction end when derisking)
+	 * @param oracle for asset we trading
+	 * @param direction of trade
+	 * @returns
+	 */
 	private calculateOrderLimitPrice(
 		oracle: OraclePriceData,
 		direction: PositionDirection
 	): BN {
-		const slippageBN = new BN(this.liquidatorConfig.maxSlippagePct! * 10000);
+		const slippageBN = new BN(
+			(this.liquidatorConfig.maxSlippageBps! / BPS_PRECISION) *
+				PERCENTAGE_PRECISION.toNumber()
+		);
+		if (isVariant(direction, 'long')) {
+			return oracle.price
+				.mul(PERCENTAGE_PRECISION.add(slippageBN))
+				.div(PERCENTAGE_PRECISION);
+		} else {
+			return oracle.price
+				.mul(PERCENTAGE_PRECISION.sub(slippageBN))
+				.div(PERCENTAGE_PRECISION);
+		}
+	}
+
+	/**
+	 * Calcualtes the auctionStart price when derisking (the best price we want to execute at)
+	 * @param oracle for asset we trading
+	 * @param direction of trade
+	 * @returns
+	 */
+	private calculateDeriskAuctionStartPrice(
+		oracle: OraclePriceData,
+		direction: PositionDirection
+	): BN {
+		let auctionStartPrice: BN;
 		if (isVariant(direction, 'long')) {
-			return oracle.price.mul(new BN(10000).add(slippageBN)).div(new BN(10000));
+			auctionStartPrice = oracle.price.sub(oracle.confidence);
 		} else {
-			return oracle.price.mul(new BN(10000).sub(slippageBN)).div(new BN(10000));
+			auctionStartPrice = oracle.price.add(oracle.confidence);
 		}
+		return auctionStartPrice;
 	}
 
 	private async driftSpotTrade(
@@ -696,13 +734,22 @@ export class LiquidatorBot implements Bot {
 				return;
 			}
 
+			const oracle = this.driftClient.getOracleDataForSpotMarket(marketIndex);
+			const auctionStartPrice = this.calculateDeriskAuctionStartPrice(
+				oracle,
+				orderDirection
+			);
+
 			const tx = await this.driftClient.placeSpotOrder(
-				getMarketOrderParams({
+				getLimitOrderParams({
 					marketIndex: marketIndex,
 					direction: orderDirection,
 					baseAssetAmount: standardizedTokenAmount,
 					reduceOnly: true,
 					price: limitPrice,
+					auctionDuration: this.liquidatorConfig.deriskAuctionDurationSlots!,
+					auctionStartPrice,
+					auctionEndPrice: limitPrice,
 				})
 			);
 			logger.info(
@@ -892,13 +939,20 @@ export class LiquidatorBot implements Bot {
 		);
 		const direction = findDirectionToClose(position);
 		const limitPrice = this.calculateOrderLimitPrice(oracle, direction);
+		const auctionStartPrice = this.calculateDeriskAuctionStartPrice(
+			oracle,
+			direction
+		);
 
-		return getMarketOrderParams({
+		return getLimitOrderParams({
 			direction,
 			baseAssetAmount,
 			reduceOnly: true,
 			marketIndex: position.marketIndex,
 			price: limitPrice,
+			auctionDuration: this.liquidatorConfig.deriskAuctionDurationSlots!,
+			auctionEndPrice: limitPrice,
+			auctionStartPrice,
 		});
 	}
 
@@ -1245,8 +1299,7 @@ export class LiquidatorBot implements Bot {
 				continue;
 			}
 
-			const slippageDenom = 10000;
-			const slippageBps = this.liquidatorConfig.maxSlippagePct! * slippageDenom;
+			const slippageBps = this.liquidatorConfig.maxSlippageBps! * BPS_PRECISION;
 			const jupQuote = await this.determineBestSpotSwapRoute(
 				position.marketIndex,
 				orderParams.direction,

src/config.ts

@@ -36,7 +36,12 @@ export type LiquidatorConfig = BaseBotConfig & {
 	spotMarketIndicies?: Array<number>;
 	perpSubAccountConfig?: SubaccountConfig;
 	spotSubAccountConfig?: SubaccountConfig;
+
+	// deprecated: use maxSlippageBps (misnamed)
 	maxSlippagePct?: number;
+	maxSlippageBps?: number;
+
+	deriskAuctionDurationSlots?: number;
 	deriskAlgo?: OrderExecutionAlgoType;
 	deriskAlgoSpot?: OrderExecutionAlgoType;
 	deriskAlgoPerp?: OrderExecutionAlgoType;
@@ -251,7 +256,10 @@ export function loadConfigFromOpts(opts: any): Config {
 			perpMarketIndicies: loadCommaDelimitToArray(opts.perpMarketIndicies),
 			spotMarketIndicies: loadCommaDelimitToArray(opts.spotMarketIndicies),
 			runOnce: opts.runOnce ?? false,
-			maxSlippagePct: opts.maxSlippagePct ?? 0.05,
+			// deprecated: use maxSlippageBps
+			maxSlippagePct: opts.maxSlippagePct ?? 50,
+			maxSlippageBps: opts.maxSlippageBps ?? 50,
+			deriskAuctionDurationSlots: opts.deriskAuctionDurationSlots ?? 100,
 			deriskAlgo: opts.deriskAlgo ?? OrderExecutionAlgoType.Market,
 			twapDurationSec: parseInt(opts.twapDurationSec ?? '300'),
 			notifyOnLiquidation: opts.notifyOnLiquidation ?? false,