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liquidator: rebalancing - rework route selection to avoid rebalancing…
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… cycles
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@farnyser
farnyser committed Apr 1, 2024
1 parent ec7f4ea commit 95ccab6
Showing 1 changed file with 98 additions and 34 deletions.
132 changes: 98 additions & 34 deletions bin/liquidator/src/rebalance.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -128,12 +128,13 @@ impl Rebalancer {
.await
}

/// Grab multiple possibles routes:
/// Grab multiples possible routes:
/// 1. USDC -> output (complex routes)
/// 2. USDC -> output (direct route only)
/// 3. alternate_jupiter_route_tokens -> output (direct route only)
/// 4. if enabled, sanctum routes
/// Use 1. if it fits into a tx. Otherwise use the better of 2./3.
/// 3. if enabled, sanctum routes - might generate 0, 1 or more routes
/// 4. input -> alternate_jupiter_route_tokens (direct route only) - might generate 0, 1 or more routes
/// Use best of 1/2/3. if it fits into a tx,
/// Otherwise use the best of 4.
async fn token_swap_buy(
&self,
output_mint: Pubkey,
Expand All @@ -159,48 +160,60 @@ impl Rebalancer {
);
let mut jobs = vec![full_route_job, direct_quote_route_job];

for in_token_index in &self.config.alternate_jupiter_route_tokens {
let (alt_mint, alt_in_amount) =
self.get_alternative_token_amount(in_token_index, in_amount_quote)?;
let direct_route_job =
self.swap_quote(alt_mint, output_mint, alt_in_amount, true, jupiter_version);
jobs.push(direct_route_job);
}

if self.config.use_sanctum && self.is_lst(output_mint) {
// go through an alternative token
if self.can_use_sanctum_for_token(output_mint)? {
for in_token_index in &self.config.alternate_sanctum_route_tokens {
let (alt_mint, alt_in_amount) =
self.get_alternative_token_amount(in_token_index, in_amount_quote)?;
let sanctum_alt_route_job = self.swap_quote(
alt_mint,
output_mint,
alt_in_amount,
true,
false,
swap::Version::Sanctum,
);
jobs.push(sanctum_alt_route_job);
}
}

let results = futures::future::join_all(jobs).await;
let routes = results.into_iter().filter_map(|v| v.ok()).collect_vec();
let routes: Vec<_> = results.into_iter().filter_map(|v| v.ok()).collect_vec();

let (tx_builder, route) = self
let best_route_res = self
.determine_best_swap_tx(routes, quote_mint, output_mint)
.await?;
.await;

let (tx_builder, route) = match best_route_res {
Ok(x) => x,
Err(e) => {
warn!("could not use simple routes because of {}, trying with an alternative one (if configured)", e);

self.get_jupiter_alt_route(
|in_token_index| {
let (alt_mint, alt_in_amount) =
self.get_alternative_token_amount(in_token_index, in_amount_quote)?;
Ok((alt_mint, output_mint, alt_in_amount, true))
},
output_mint,
jupiter_version,
quote_mint,
)
.await?
}
};

let sig = tx_builder
.send_and_confirm(&self.mango_client.client)
.await?;
Ok((sig, route))
}

/// Grab three possible routes:
/// Grab multiples possible routes:
/// 1. input -> USDC (complex routes)
/// 2. input -> USDC (direct route only)
/// 3. input -> alternate_jupiter_route_tokens (direct route only)
/// 4. if enabled, sanctum routes
/// Use 1. if it fits into a tx. Otherwise use the better of 2./3.
/// 3. if enabled, sanctum routes - might generate 0, 1 or more routes
/// 4. input -> alternate_jupiter_route_tokens (direct route only) - might generate 0, 1 or more routes
/// Use best of 1/2/3. if it fits into a tx,
/// Otherwise use the best of 4.
async fn token_swap_sell(
&self,
input_mint: Pubkey,
Expand All @@ -216,14 +229,7 @@ impl Rebalancer {
self.swap_quote(input_mint, quote_mint, in_amount, true, jupiter_version);
let mut jobs = vec![full_route_job, direct_quote_route_job];

for out_token_index in &self.config.alternate_jupiter_route_tokens {
let out_token = self.mango_client.context.token(*out_token_index);
let direct_route_job =
self.swap_quote(input_mint, out_token.mint, in_amount, true, jupiter_version);
jobs.push(direct_route_job);
}

if self.config.use_sanctum && self.is_lst(input_mint) {
if self.can_use_sanctum_for_token(input_mint)? {
for out_token_index in &self.config.alternate_sanctum_route_tokens {
let out_token = self.mango_client.context.token(*out_token_index);
let sanctum_job = self.swap_quote(
Expand All @@ -238,11 +244,29 @@ impl Rebalancer {
}

let results = futures::future::join_all(jobs).await;
let routes = results.into_iter().filter_map(|v| v.ok()).collect_vec();
let routes: Vec<_> = results.into_iter().filter_map(|v| v.ok()).collect_vec();

let (tx_builder, route) = self
let best_route_res = self
.determine_best_swap_tx(routes, input_mint, quote_mint)
.await?;
.await;

let (tx_builder, route) = match best_route_res {
Ok(x) => x,
Err(e) => {
warn!("could not use simple routes because of {}, trying with an alternative one (if configured)", e);

self.get_jupiter_alt_route(
|out_token_index| {
let out_token = self.mango_client.context.token(*out_token_index);
Ok((input_mint, out_token.mint, in_amount, true))
},
quote_mint,
jupiter_version,
input_mint,
)
.await?
}
};

let sig = tx_builder
.send_and_confirm(&self.mango_client.client)
Expand All @@ -266,6 +290,45 @@ impl Rebalancer {
Ok((in_token.mint, in_amount))
}

fn can_use_sanctum_for_token(&self, mint: Pubkey) -> anyhow::Result<bool> {
if !self.config.use_sanctum {
return Ok(false);
}

let token = self.mango_client.context.token_by_mint(&mint)?;

let is_lst = self.is_lst(mint);

// forbid swapping to something that could be used in another sanctum swap, creating a cycle
let is_an_alt_for_sanctum = self
.config
.alternate_sanctum_route_tokens
.contains(&token.token_index);

Ok(is_lst && !is_an_alt_for_sanctum)
}

async fn get_jupiter_alt_route(
&self,
quote_fetcher: impl Fn(&u16) -> anyhow::Result<(Pubkey, Pubkey, u64, bool)>,
output_mint: Pubkey,
jupiter_version: swap::Version,
quote_mint: Pubkey,
) -> anyhow::Result<(TransactionBuilder, swap::Quote)> {
let mut alt_jobs = vec![];
for in_token_index in &self.config.alternate_jupiter_route_tokens {
let args = quote_fetcher(in_token_index)?;
alt_jobs.push(self.swap_quote(args.0, args.1, args.2, args.3, jupiter_version));
}
let alt_results = futures::future::join_all(alt_jobs).await;
let alt_routes: Vec<_> = alt_results.into_iter().filter_map(|v| v.ok()).collect_vec();

let best_route = self
.determine_best_swap_tx(alt_routes, quote_mint, output_mint)
.await?;
Ok(best_route)
}

async fn determine_best_swap_tx(
&self,
mut routes: Vec<swap::Quote>,
Expand Down Expand Up @@ -300,7 +363,8 @@ impl Rebalancer {
swap::RawQuote::V6(_) => "jupiter",
swap::RawQuote::Sanctum(_) => "sanctum",
};
tracing::debug!(

debug!(
"quote for {} vs {} [using {}] is {}@{} vs {}@{} -> amount={}",
r.input_mint,
r.output_mint,
Expand Down

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