vamm uses mm oracle (#1747)

* add offset

* working tests

* refactor to use MM oracle as its own type

* remove weird preface

* sdk updates

* bankrun tests all pass

* fix test

* changes and fixes

* widen confidence if mm oracle too diff

* sdk side for confidence adjust

Author: NourAlharithi

programs/drift/src/controller/funding.rs

@@ -188,11 +188,12 @@ pub fn update_funding_rate(
     if valid_funding_update {
         let oracle_price_data = oracle_map.get_price_data(&market.oracle_id())?;
         let sanitize_clamp_denominator = market.get_sanitize_clamp_denominator()?;
+        let mm_oracle_price_data = market.get_mm_oracle_price_data(*oracle_price_data, slot)?;
 
         let oracle_price_twap = amm::update_oracle_price_twap(
             &mut market.amm,
             now,
-            oracle_price_data,
+            &mm_oracle_price_data,
             Some(reserve_price),
             sanitize_clamp_denominator,
         )?;

programs/drift/src/controller/liquidation.rs

@@ -203,10 +203,11 @@ pub fn liquidate_perp(
 
     let mut market = perp_market_map.get_ref_mut(&market_index)?;
     let oracle_price_data = oracle_map.get_price_data(&market.oracle_id())?;
+    let mm_oracle_price_data = market.get_mm_oracle_price_data(*oracle_price_data, slot)?;
 
     update_amm_and_check_validity(
         &mut market,
-        oracle_price_data,
+        &mm_oracle_price_data,
         state,
         now,
         slot,
@@ -846,10 +847,11 @@ pub fn liquidate_perp_with_fill(
 
     let mut market = perp_market_map.get_ref_mut(&market_index)?;
     let oracle_price_data = oracle_map.get_price_data(&market.oracle_id())?;
+    let mm_oracle_price_data = market.get_mm_oracle_price_data(*oracle_price_data, slot)?;
 
     update_amm_and_check_validity(
         &mut market,
-        oracle_price_data,
+        &mm_oracle_price_data,
         state,
         now,
         slot,

programs/drift/src/controller/position/tests.rs

@@ -16,7 +16,7 @@ use crate::math::constants::{
 use crate::math::lp::calculate_settle_lp_metrics;
 use crate::math::position::swap_direction_to_close_position;
 use crate::math::repeg;
-use crate::state::oracle::{OraclePriceData, PrelaunchOracle};
+use crate::state::oracle::{MMOraclePriceData, OraclePriceData, PrelaunchOracle};
 use crate::state::oracle_map::OracleMap;
 use crate::state::perp_market::{AMMLiquiditySplit, PerpMarket, AMM};
 use crate::state::perp_market_map::PerpMarketMap;
@@ -40,6 +40,7 @@ use crate::test_utils::get_hardcoded_pyth_price;
 use crate::QUOTE_PRECISION_I64;
 use anchor_lang::prelude::{AccountLoader, Clock};
 use anchor_lang::Owner;
+use solana_program::clock;
 use solana_program::pubkey::Pubkey;
 use std::str::FromStr;
 
@@ -540,6 +541,9 @@ fn amm_pred_market_example() {
         delay: 1,
         has_sufficient_number_of_data_points: true,
     };
+    let mm_oracle_price_data = perp_market
+        .get_mm_oracle_price_data(oracle_price_data, clock_slot)
+        .unwrap();
 
     let (max_bids, max_asks) = calculate_market_open_bids_asks(&perp_market.amm).unwrap();
     perp_market.amm.curve_update_intensity = 99;
@@ -550,7 +554,7 @@ fn amm_pred_market_example() {
     assert_eq!(perp_market.amm.sqrt_k, 56_649_660_613_272);
 
     let (optimal_peg, fee_budget, _check_lower_bound) =
-        repeg::calculate_optimal_peg_and_budget(&perp_market, &oracle_price_data).unwrap();
+        repeg::calculate_optimal_peg_and_budget(&perp_market, &mm_oracle_price_data).unwrap();
 
     assert_eq!(perp_market.amm.terminal_quote_asset_reserve, 56405211622548);
     assert_eq!(perp_market.amm.quote_asset_reserve, 56933567973708);
@@ -581,7 +585,7 @@ fn amm_pred_market_example() {
 
     let cost = _update_amm(
         &mut perp_market,
-        &oracle_price_data,
+        &mm_oracle_price_data,
         &state,
         now,
         clock_slot,
@@ -678,9 +682,12 @@ fn amm_perp_ref_offset() {
         delay: 1,
         has_sufficient_number_of_data_points: true,
     };
+    let mm_oracle_price_data = perp_market
+        .get_mm_oracle_price_data(oracle_price_data, clock_slot)
+        .unwrap();
     let cost = _update_amm(
         &mut perp_market,
-        &oracle_price_data,
+        &mm_oracle_price_data,
         &state,
         now,
         clock_slot,
@@ -705,6 +712,47 @@ fn amm_perp_ref_offset() {
     assert_eq!(perp_market.amm.ask_base_asset_reserve, 4672813088646692);
 
     crate::validation::perp_market::validate_perp_market(&perp_market).unwrap();
+
+    // Update MM oracle and reference price offset stays the same and is applied to the MM oracle
+    perp_market.amm.mm_oracle_price = 7200000;
+    perp_market.amm.mm_oracle_slot = clock_slot;
+    let mm_oracle_price_data = perp_market
+        .get_mm_oracle_price_data(oracle_price_data, clock_slot)
+        .unwrap();
+
+    let _ = _update_amm(
+        &mut perp_market,
+        &mm_oracle_price_data,
+        &state,
+        now,
+        clock_slot,
+    );
+    let reserve_price_mm_offset = perp_market.amm.reserve_price().unwrap();
+    let (b2, a2) = perp_market
+        .amm
+        .bid_ask_price(reserve_price_mm_offset)
+        .unwrap();
+    assert_eq!(perp_market.amm.reference_price_offset, 132);
+    assert_eq!(reserve_price_mm_offset, 7199999);
+    assert_eq!(b2, 7197349);
+    assert_eq!(a2, 7204578);
+
+    // Uses the original oracle if the slot is old, ignoring MM oracle
+    perp_market.amm.mm_oracle_price = 7200000;
+    perp_market.amm.mm_oracle_slot = clock_slot - 100;
+    let mm_oracle_price = perp_market
+        .get_mm_oracle_price_data(oracle_price_data, clock_slot)
+        .unwrap();
+
+    let _ = _update_amm(&mut perp_market, &mm_oracle_price, &state, now, clock_slot);
+    let reserve_price_mm_offset_3 = perp_market.amm.reserve_price().unwrap();
+    let (b3, a3) = perp_market
+        .amm
+        .bid_ask_price(reserve_price_mm_offset_3)
+        .unwrap();
+    assert_eq!(reserve_price_mm_offset_3, r);
+    assert_eq!(b3, b);
+    assert_eq!(a3, a);
 }
 
 #[test]
@@ -1131,15 +1179,11 @@ fn amm_split_large_k_with_rebase() {
         delay: 14,
         has_sufficient_number_of_data_points: true,
     };
+    let mm_oracle_price = perp_market
+        .get_mm_oracle_price_data(oracle_price_data, clock_slot)
+        .unwrap();
 
-    let cost = _update_amm(
-        &mut perp_market,
-        &oracle_price_data,
-        &state,
-        now,
-        clock_slot,
-    )
-    .unwrap();
+    let cost = _update_amm(&mut perp_market, &mm_oracle_price, &state, now, clock_slot).unwrap();
     assert_eq!(cost, -3017938);
 
     assert_eq!(perp_market.amm.quote_asset_amount_per_lp, 12535655660);
@@ -2238,10 +2282,13 @@ fn update_amm_near_boundary() {
     println!("perp_market: {:?}", perp_market.amm.last_update_slot);
 
     let oracle_price_data = oracle_map.get_price_data(&perp_market.oracle_id()).unwrap();
+    let mm_oracle_price_data = perp_market
+        .get_mm_oracle_price_data(*oracle_price_data, slot)
+        .unwrap();
 
     let state = State::default();
 
-    let cost = _update_amm(&mut perp_market, oracle_price_data, &state, now, slot).unwrap();
+    let cost = _update_amm(&mut perp_market, &mm_oracle_price_data, &state, now, slot).unwrap();
 
     assert_eq!(cost, 18803837952);
 }
@@ -2280,10 +2327,13 @@ fn update_amm_near_boundary2() {
     println!("perp_market: {:?}", perp_market.amm.last_update_slot);
 
     let oracle_price_data = oracle_map.get_price_data(&perp_market.oracle_id()).unwrap();
-
+    let mm_oracle_price_data = perp_market
+        .get_mm_oracle_price_data(*oracle_price_data, slot)
+        .unwrap();
     let state = State::default();
 
-    let cost: i128 = _update_amm(&mut perp_market, oracle_price_data, &state, now, slot).unwrap();
+    let cost: i128 =
+        _update_amm(&mut perp_market, &mm_oracle_price_data, &state, now, slot).unwrap();
     assert!(perp_market.amm.last_oracle_valid);
     assert_eq!(cost, 2987010);
 }
@@ -2322,10 +2372,13 @@ fn recenter_amm_1() {
     println!("perp_market: {:?}", perp_market.amm.last_update_slot);
 
     let oracle_price_data = oracle_map.get_price_data(&perp_market.oracle_id()).unwrap();
+    let mm_oracle_price_data = perp_market
+        .get_mm_oracle_price_data(*oracle_price_data, slot)
+        .unwrap();
 
     let state = State::default();
 
-    let cost = _update_amm(&mut perp_market, oracle_price_data, &state, now, slot).unwrap();
+    let cost = _update_amm(&mut perp_market, &mm_oracle_price_data, &state, now, slot).unwrap();
 
     assert_eq!(cost, 2987010);
 
@@ -2422,10 +2475,15 @@ fn recenter_amm_2() {
     let oracle_price_data = oracle_map
         .get_price_data(&(oracle_price_key, OracleSource::Pyth))
         .unwrap();
+    let mm_oracle_price_data = MMOraclePriceData {
+        mm_oracle_price: oracle_price_data.price,
+        mm_oracle_delay: oracle_price_data.delay + 1,
+        oracle_price_data: *oracle_price_data,
+    };
 
     let state = State::default();
 
-    let cost = _update_amm(&mut perp_market, oracle_price_data, &state, now, slot).unwrap();
+    let cost = _update_amm(&mut perp_market, &mm_oracle_price_data, &state, now, slot).unwrap();
 
     assert_eq!(cost, 0);
 
@@ -2551,10 +2609,15 @@ fn test_move_amm() {
     let oracle_price_data = oracle_map
         .get_price_data(&(oracle_price_key, OracleSource::Pyth))
         .unwrap();
+    let mm_oracle_price_data = MMOraclePriceData {
+        mm_oracle_price: oracle_price_data.price,
+        mm_oracle_delay: oracle_price_data.delay + 1,
+        oracle_price_data: *oracle_price_data,
+    };
 
     let state = State::default();
 
-    let cost = _update_amm(&mut perp_market, oracle_price_data, &state, now, slot).unwrap();
+    let cost = _update_amm(&mut perp_market, &mm_oracle_price_data, &state, now, slot).unwrap();
 
     assert_eq!(cost, 0);
 

programs/drift/src/controller/repeg.rs

@@ -1,6 +1,7 @@
 use std::cmp::min;
 
 use crate::msg;
+use crate::state::oracle::MMOraclePriceData;
 use anchor_lang::prelude::AccountInfo;
 use anchor_lang::prelude::*;
 
@@ -24,7 +25,7 @@ use crate::math::repeg;
 use crate::math::safe_math::SafeMath;
 use crate::math::spot_balance::get_token_amount;
 
-use crate::state::oracle::{OraclePriceData, OracleSource};
+use crate::state::oracle::OracleSource;
 use crate::state::oracle_map::OracleMap;
 use crate::state::perp_market::{MarketStatus, PerpMarket};
 use crate::state::perp_market_map::PerpMarketMap;
@@ -110,8 +111,11 @@ pub fn update_amms(
     let updated = true; // todo
     for (_key, market_account_loader) in perp_market_map.0.iter_mut() {
         let market = &mut load_mut!(market_account_loader)?;
-        let oracle_price_data = &oracle_map.get_price_data(&market.oracle_id())?;
-        _update_amm(market, oracle_price_data, state, now, clock_slot)?;
+        let oracle_price_data = oracle_map.get_price_data(&market.oracle_id())?;
+        let mm_oracle_price_data =
+            market.get_mm_oracle_price_data(*oracle_price_data, clock_slot)?;
+
+        _update_amm(market, &mm_oracle_price_data, state, now, clock_slot)?;
     }
 
     Ok(updated)
@@ -126,10 +130,11 @@ pub fn update_amm(
 ) -> DriftResult<i128> {
     let market = &mut perp_market_map.get_ref_mut(&market_index)?;
     let oracle_price_data = oracle_map.get_price_data(&market.oracle_id())?;
+    let mm_oracle_price_data = market.get_mm_oracle_price_data(*oracle_price_data, clock.slot)?;
 
     let cost_of_update = _update_amm(
         market,
-        oracle_price_data,
+        &mm_oracle_price_data,
         state,
         clock.unix_timestamp,
         clock.slot,
@@ -140,7 +145,7 @@ pub fn update_amm(
 
 pub fn _update_amm(
     market: &mut PerpMarket,
-    oracle_price_data: &OraclePriceData,
+    mm_oracle_price_data: &MMOraclePriceData,
     state: &State,
     now: i64,
     clock_slot: u64,
@@ -156,7 +161,7 @@ pub fn _update_amm(
         MarketType::Perp,
         market.market_index,
         market.amm.historical_oracle_data.last_oracle_price_twap,
-        oracle_price_data,
+        &mm_oracle_price_data.oracle_price_data,
         &state.oracle_guard_rails.validity,
         market.get_max_confidence_interval_multiplier()?,
         &market.amm.oracle_source,
@@ -172,7 +177,7 @@ pub fn _update_amm(
 
         if curve_update_intensity > 0 {
             let (optimal_peg, fee_budget, check_lower_bound) =
-                repeg::calculate_optimal_peg_and_budget(market, oracle_price_data)?;
+                repeg::calculate_optimal_peg_and_budget(market, mm_oracle_price_data)?;
 
             let (repegged_market, repegged_cost) = repeg::adjust_amm(
                 market,
@@ -208,7 +213,7 @@ pub fn _update_amm(
         amm::update_oracle_price_twap(
             &mut market.amm,
             now,
-            oracle_price_data,
+            mm_oracle_price_data,
             Some(reserve_price_after),
             sanitize_clamp_denominator,
         )?;
@@ -230,13 +235,13 @@ pub fn _update_amm(
 
 pub fn update_amm_and_check_validity(
     market: &mut PerpMarket,
-    oracle_price_data: &OraclePriceData,
+    mm_oracle_price_data: &MMOraclePriceData,
     state: &State,
     now: i64,
     clock_slot: u64,
     action: Option<DriftAction>,
 ) -> DriftResult {
-    _update_amm(market, oracle_price_data, state, now, clock_slot)?;
+    _update_amm(market, mm_oracle_price_data, state, now, clock_slot)?;
 
     // 1 hour EMA
     let risk_ema_price = market.amm.historical_oracle_data.last_oracle_price_twap;
@@ -245,7 +250,7 @@ pub fn update_amm_and_check_validity(
         MarketType::Perp,
         market.market_index,
         risk_ema_price,
-        oracle_price_data,
+        &mm_oracle_price_data.oracle_price_data,
         &state.oracle_guard_rails.validity,
         market.get_max_confidence_interval_multiplier()?,
         &market.amm.oracle_source,
@@ -257,7 +262,7 @@ pub fn update_amm_and_check_validity(
         is_oracle_valid_for_action(oracle_validity, action)?,
         ErrorCode::InvalidOracle,
         "Invalid Oracle ({:?} vs ema={:?}) for perp market index={} and action={:?}",
-        oracle_price_data,
+        mm_oracle_price_data.oracle_price_data,
         risk_ema_price,
         market.market_index,
         action