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Copy pathOpenBookSolUsdc.java
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OpenBookSolUsdc.java
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package com.mmorrell.strategies.openbook.sol;
import com.google.common.collect.ImmutableList;
import com.mmorrell.SerumApplication;
import com.mmorrell.config.OpenBookConfig;
import com.mmorrell.pricing.PythPricingSource;
import com.mmorrell.serum.manager.SerumManager;
import com.mmorrell.serum.model.MarketBuilder;
import com.mmorrell.serum.model.Order;
import com.mmorrell.serum.model.OrderBook;
import com.mmorrell.serum.model.OrderTypeLayout;
import com.mmorrell.serum.model.SelfTradeBehaviorLayout;
import com.mmorrell.serum.model.SerumUtils;
import com.mmorrell.serum.program.SerumProgram;
import com.mmorrell.strategies.Strategy;
import jakarta.annotation.PostConstruct;
import lombok.Getter;
import lombok.extern.slf4j.Slf4j;
import org.p2p.solanaj.core.Account;
import org.p2p.solanaj.core.PublicKey;
import org.p2p.solanaj.core.Transaction;
import org.p2p.solanaj.programs.ComputeBudgetProgram;
import org.p2p.solanaj.programs.SystemProgram;
import org.p2p.solanaj.programs.TokenProgram;
import org.p2p.solanaj.rpc.RpcClient;
import org.p2p.solanaj.rpc.RpcException;
import org.p2p.solanaj.rpc.types.config.Commitment;
import org.springframework.beans.factory.annotation.Qualifier;
import org.springframework.beans.factory.annotation.Value;
import org.springframework.core.io.ClassPathResource;
import org.springframework.scheduling.annotation.Scheduled;
import org.springframework.stereotype.Component;
import java.io.IOException;
import java.io.InputStream;
import java.nio.charset.StandardCharsets;
import java.time.Duration;
import java.time.Instant;
import java.util.ArrayDeque;
import java.util.ArrayList;
import java.util.Deque;
import java.util.List;
import java.util.Map;
import java.util.Optional;
import java.util.concurrent.ExecutorService;
import java.util.concurrent.Executors;
import java.util.concurrent.ScheduledExecutorService;
import java.util.concurrent.ThreadLocalRandom;
import java.util.concurrent.TimeUnit;
import static com.mmorrell.config.OpenBookConfig.ADVERSITY_BASE_PRIORITY_RATE_TO_ADD;
import static com.mmorrell.config.OpenBookConfig.ADVERSITY_BASE_REDUCTION;
import static com.mmorrell.config.OpenBookConfig.ALLOWED_PRICING_BPS_MISMATCH;
import static com.mmorrell.config.OpenBookConfig.ASK_API_TUNING_FACTOR;
import static com.mmorrell.config.OpenBookConfig.ASK_SPREAD_MULTIPLIER;
import static com.mmorrell.config.OpenBookConfig.BID_API_TUNING_FACTOR;
import static com.mmorrell.config.OpenBookConfig.BID_SPREAD_MULTIPLIER;
import static com.mmorrell.config.OpenBookConfig.CROSS_DETECTION_PADDING;
import static com.mmorrell.config.OpenBookConfig.DEFAULT_ASK_SPREAD_MULTIPLIER;
import static com.mmorrell.config.OpenBookConfig.DEFAULT_BID_SPREAD_MULTIPLIER;
import static com.mmorrell.config.OpenBookConfig.GIGA_LEANING;
import static com.mmorrell.config.OpenBookConfig.IS_WSOL_LEANING;
import static com.mmorrell.config.OpenBookConfig.KNOWN_FISH;
import static com.mmorrell.config.OpenBookConfig.KNOWN_SHARPS;
import static com.mmorrell.config.OpenBookConfig.MIN_MIDPOINT_CHANGE;
import static com.mmorrell.config.OpenBookConfig.NEW_ORDER_DELAY_DURATION_SECONDS;
import static com.mmorrell.config.OpenBookConfig.PRIORITY_MICRO_LAMPORTS;
import static com.mmorrell.config.OpenBookConfig.PRIORITY_MICRO_LAMPORTS_DEFAULT;
import static com.mmorrell.config.OpenBookConfig.PRIORITY_UNITS;
import static com.mmorrell.config.OpenBookConfig.PYTH_CONFIDENCE_INTERVAL_CONFIDENCE;
import static com.mmorrell.config.OpenBookConfig.PYTH_PREDICTIVE_FACTOR;
import static com.mmorrell.config.OpenBookConfig.PYTH_PREDICTIVE_FACTOR_BIDS;
import static com.mmorrell.config.OpenBookConfig.SOL_ASK_AMOUNT;
import static com.mmorrell.config.OpenBookConfig.SOL_QUOTE_SIZE;
import static com.mmorrell.config.OpenBookConfig.SOL_USDC_MARKET_ID;
import static com.mmorrell.config.OpenBookConfig.SPACE_MONKEY;
import static com.mmorrell.config.OpenBookConfig.START_SOL_PRICE;
import static com.mmorrell.config.OpenBookConfig.TARGET_MAX_UNITS;
import static com.mmorrell.config.OpenBookConfig.USDC_BID_AMOUNT_IN_WSOL;
import static com.mmorrell.config.OpenBookConfig.USDC_THRESHOLD_TO_LEAN_WSOL;
import static com.mmorrell.config.OpenBookConfig.generateLeanFactor;
import static com.mmorrell.config.OpenBookConfig.getPriorityMicroLamports;
import static com.mmorrell.config.OpenBookConfig.solUsdcMarket;
@Component
@Slf4j
@Getter
public class OpenBookSolUsdc extends Strategy {
private final RpcClient rpcClient;
private final RpcClient dataRpcClient;
private final SerumManager serumManager;
private final ScheduledExecutorService executorService;
private final ExecutorService orderExecutorService = Executors.newFixedThreadPool(64);
private final PythPricingSource pythPricingSource;
private double bestBidPrice;
private double bestAskPrice;
private float lastPlacedBidPrice = 0.0f, lastPlacedAskPrice = 0.0f;
private static Instant bidAdversityTimestamp = Instant.now();
private static Instant askAdversityTimestamp = Instant.now();
private static Instant lastHardCancelBidTimestamp = Instant.now(); // Hard cancel timers
private static Instant lastHardCancelAskTimestamp = Instant.now();
private static Instant lastBidTimestamp = Instant.now();
private static Instant lastAskTimestamp = Instant.now();
private static final Deque<Float> smaValues = new ArrayDeque<>(5);
private static final Deque<Float> askSmaValues = new ArrayDeque<>(4);
private List<Order> bidOrders;
private List<Order> askOrders;
@Value("${openbook.strategies.solusdc.ooa}")
public String solUsdcOoa;
private PublicKey solUsdcOoaPubkey;
@Value("${openbook.strategies.solusdc.quoteWallet}")
public String solUsdcQuoteWallet;
private PublicKey solUsdcQuoteWalletPubkey;
public OpenBookSolUsdc(final SerumManager serumManager,
final RpcClient rpcClient,
@Qualifier("data") final RpcClient dataRpcClient,
final PythPricingSource pythPricingSource) {
this.executorService = Executors.newScheduledThreadPool(128);
this.serumManager = serumManager;
this.rpcClient = rpcClient;
this.dataRpcClient = dataRpcClient;
this.pythPricingSource = pythPricingSource;
OpenBookConfig.mmAccount = readMmAccountFromPrivateKey();
initializeWrappedSolAccount();
OpenBookConfig.solUsdcMarketBuilder = new MarketBuilder()
.setClient(dataRpcClient)
.setPublicKey(SOL_USDC_MARKET_ID)
//.setRetrieveEventQueue(true)
.setRetrieveOrderBooks(true);
solUsdcMarket = OpenBookConfig.solUsdcMarketBuilder.build();
this.bestBidPrice = solUsdcMarket.getBidOrderBook().getBestBid().getFloatPrice();
this.bestAskPrice = solUsdcMarket.getAskOrderBook().getBestAsk().getFloatPrice();
updateOb();
}
@PostConstruct
public void init() {
this.solUsdcOoaPubkey = new PublicKey(solUsdcOoa);
this.solUsdcQuoteWalletPubkey = new PublicKey(solUsdcQuoteWallet);
log.info("SOL/USDC OOA: " + solUsdcOoaPubkey.toBase58());
}
private void solUsdcEventLoop() {
// Whole block synchronized, dont want diff states sent at same time. Orders are async/instant / non-blocking
synchronized (this) {
OrderBook bidOrderBook;
OrderBook askOrderBook;
Optional<Float> pythSolPrice;
Optional<Float> pythSolPriceConfidence;
bidOrderBook = solUsdcMarket.getBidOrderBook();
bidOrders = ImmutableList.copyOf(bidOrderBook.getOrders());
askOrderBook = solUsdcMarket.getAskOrderBook();
askOrders = ImmutableList.copyOf(askOrderBook.getOrders());
pythSolPrice = pythPricingSource.getSolMidpointPrice(); //25
pythSolPriceConfidence = pythPricingSource.getSolPriceConfidence(); //0.03
final Order bestBid = bidOrderBook.getBestBid();
final Order bestAsk = askOrderBook.getBestAsk();
final Optional<Order> topOfBookFish = askOrders.stream()
.filter(order -> KNOWN_FISH.contains(order.getOwner()))
.min((o1, o2) -> Float.compare(o1.getFloatPrice(), o2.getFloatPrice()));
this.bestBidPrice = bidOrders.stream()
.filter(order -> !KNOWN_FISH.contains(order.getOwner()))
.filter(order -> !order.getOwner().equals(solUsdcOoaPubkey)) // not us either
.max((o1, o2) -> Float.compare(o1.getFloatPrice(), o2.getFloatPrice()))
.map(Order::getFloatPrice)
.orElse(bestBid.getFloatPrice());
this.bestAskPrice = askOrders.stream()
.filter(order -> !KNOWN_FISH.contains(order.getOwner()))
.filter(order -> !order.getOwner().equals(solUsdcOoaPubkey)) // not us either
.min((o1, o2) -> Float.compare(o1.getFloatPrice(), o2.getFloatPrice()))
.map(Order::getFloatPrice)
.orElse(bestAsk.getFloatPrice());
if (topOfBookFish.isPresent()) {
Order fishOrder = topOfBookFish.get(); // Average it with the next best quote
if (fishOrder.getFloatPrice() <= bestAskPrice) {
Optional<Order> topOfBookNotFish = askOrders.stream()
.filter(order -> !KNOWN_FISH.contains(order.getOwner()))
.filter(order -> !order.getOwner().equals(solUsdcOoaPubkey)) // not us either
.min((o1, o2) -> Float.compare(o1.getFloatPrice(), o2.getFloatPrice()));
topOfBookNotFish.ifPresent(order -> this.bestAskPrice =
(fishOrder.getFloatPrice() + order.getFloatPrice()) / 2.0);
}
}
boolean isCancelBid, isReadyToNewBid, shouldCancelBid;
synchronized (this) {
isCancelBid = bidOrders.stream().anyMatch(order -> order.getOwner().equals(solUsdcOoaPubkey));
isReadyToNewBid = Math.abs(Duration.between(Instant.now(), lastBidTimestamp).toSeconds()) >=
NEW_ORDER_DELAY_DURATION_SECONDS;
shouldCancelBid = isCancelBid || !isReadyToNewBid;
}
float nextPlacedBidPrice = (float) bestBidPrice * BID_SPREAD_MULTIPLIER;
if (pythSolPrice.isPresent() && pythSolPriceConfidence.isPresent()) {
float halfConfidence = pythSolPriceConfidence.get() * PYTH_CONFIDENCE_INTERVAL_CONFIDENCE;
float lowerBoundEstimation = pythSolPrice.get() - halfConfidence;
float pythSolPriceFloat = lowerBoundEstimation * (1.0f - PYTH_PREDICTIVE_FACTOR_BIDS); //DEJ
if (lastPlacedBidPrice != 0 && lastPlacedBidPrice >= pythSolPriceFloat) {
lastPlacedBidPrice = 0;
bidAdversityTimestamp = Instant.now();
nextPlacedBidPrice =
((float) (Math.max(nextPlacedBidPrice, bestBidPrice) + pythSolPriceFloat) / 2.0f);
}
}
long durationSinceBidAdversity = Math.abs(Duration.between(Instant.now(), bidAdversityTimestamp).toSeconds());
long durationSinceBidAdversityMs = Math.abs(Duration.between(Instant.now(), bidAdversityTimestamp).toMillis());
long durationSinceBid = Math.abs(Duration.between(Instant.now(), lastBidTimestamp).toSeconds());
int bidSpreadAdversityDurationThreshold = 4;
if (durationSinceBidAdversityMs <= (bidSpreadAdversityDurationThreshold * 1_000L)) {
double bpsToRemove = 0.999999 - (.000003 * (4.001 - (durationSinceBidAdversityMs / 1_000.0)));
nextPlacedBidPrice = nextPlacedBidPrice * (float) bpsToRemove; //bug
}
int bidAdversityDurationThreshold = 3;
if (durationSinceBidAdversity < bidAdversityDurationThreshold) {
double rateToAdd = ((double) (bidAdversityDurationThreshold - (durationSinceBidAdversity - 1))
* ADVERSITY_BASE_PRIORITY_RATE_TO_ADD) - ADVERSITY_BASE_REDUCTION;
double newRate = PRIORITY_MICRO_LAMPORTS_DEFAULT + rateToAdd;
OpenBookConfig.setPriorityMicroLamports((int) newRate);
} else {
OpenBookConfig.useDefaultPriorityMicroLamports();
}
float percentageChangeFromLastBid = 1.00f - (lastPlacedBidPrice / nextPlacedBidPrice);
boolean asxBidPresent = false;
for (Order bidOrder : bidOrders) {
if (bidOrder.getOwner().equals(SPACE_MONKEY) && bidOrder.getFloatPrice() >= nextPlacedBidPrice &&
(bidOrder.getFloatQuantity() * bidOrder.getFloatPrice() >= 700)) {
asxBidPresent = true; // If ASX isn't quoting (ABOVE YOU) widen
OpenBookConfig.setPriorityMicroLamports(getPriorityMicroLamports() + 15_000);
nextPlacedBidPrice = nextPlacedBidPrice * 1.00015f; // add bps if hes above us
}
}
Order ourCurrentBid = null;
for (Order bidOrder : bidOrders) {
if (bidOrder.getOwner().equals(solUsdcOoaPubkey)) {
if (ourCurrentBid == null || bidOrder.getFloatPrice() >= ourCurrentBid.getFloatPrice()) {
ourCurrentBid = bidOrder; // use this as our best bid
}
}
}
boolean isOurBidInModel = true;
if (ourCurrentBid != null) {
float ourCurrentPrice = ourCurrentBid.getFloatPrice();
float difference = Math.abs(nextPlacedBidPrice - ourCurrentPrice);
float bpsDifference = difference / nextPlacedBidPrice; // 0.01 cent / 25$
if (bpsDifference >= ALLOWED_PRICING_BPS_MISMATCH) {
isOurBidInModel = false;
//log.info("Bid stale. Ex: " + nextPlacedBidPrice + ", seen: " + ourCurrentPrice + ", diff: " +
// bpsDifference);
}
}
if (!shouldCancelBid) {
OpenBookConfig.setPriorityMicroLamports((int) ((double) getPriorityMicroLamports() * 1.35)); // fresh order
}
float smoothedBidPrice = nextPlacedBidPrice;
final float finalSmoothedBidPrice = smoothedBidPrice;
Optional<Order> sharpAboveBid = bidOrders.stream()
.filter(order -> order.getFloatPrice() >= finalSmoothedBidPrice)
.filter(order -> !order.getOwner().equals(solUsdcOoaPubkey))
.filter(order -> KNOWN_SHARPS.contains(order.getOwner()))
.min((o1, o2) -> Float.compare(o1.getFloatPrice(), o2.getFloatPrice()))
.stream().findAny();
if (sharpAboveBid.isPresent()) {
float jumpsPrice = sharpAboveBid.get().getFloatPrice();
if (Math.abs(jumpsPrice - smoothedBidPrice) <= 0.0058 && jumpsPrice >= smoothedBidPrice) {
smoothedBidPrice += 0.0059f;
}
}
// API tuning
if (BID_API_TUNING_FACTOR != 1f) {
smoothedBidPrice = smoothedBidPrice * BID_API_TUNING_FACTOR;
log.info("Tuning bid: " + smoothedBidPrice + ", " + BID_API_TUNING_FACTOR);
}
float incomingBid = smoothedBidPrice;
if (lastPlacedBidPrice == 0 || (Math.abs(percentageChangeFromLastBid) >= MIN_MIDPOINT_CHANGE) ||
(!asxBidPresent && durationSinceBid >= 1) || !isOurBidInModel) {
if ((incomingBid >= lastPlacedAskPrice * (1 - CROSS_DETECTION_PADDING)) && durationSinceBid <= 1) {
log.info("USDC Bid cross: " + incomingBid + ", last ask: " + lastPlacedAskPrice);
} else {
placeUsdcBid(USDC_BID_AMOUNT_IN_WSOL, incomingBid, shouldCancelBid);
lastPlacedBidPrice = incomingBid;
}
}
// Asks
boolean isCancelAsk, isReadyToPlaceNewAsk, shouldCancelAsk;
synchronized (this) {
isCancelAsk = askOrders.stream().anyMatch(order -> order.getOwner().equals(solUsdcOoaPubkey));
isReadyToPlaceNewAsk = Math.abs(Duration.between(Instant.now(), lastAskTimestamp).toSeconds()) >=
NEW_ORDER_DELAY_DURATION_SECONDS;
shouldCancelAsk = isCancelAsk || !isReadyToPlaceNewAsk;
}
float nextPlacedAskPrice = (float) bestAskPrice * ASK_SPREAD_MULTIPLIER;
if (pythSolPrice.isPresent() && pythSolPriceConfidence.isPresent()) {
float halfConfidence = pythSolPriceConfidence.get() * PYTH_CONFIDENCE_INTERVAL_CONFIDENCE;
float upperBoundEstimation = pythSolPrice.get() + halfConfidence;
float pythSolPriceFloat = upperBoundEstimation * (1 + PYTH_PREDICTIVE_FACTOR); // DEJ
if (lastPlacedAskPrice != 0 && lastPlacedAskPrice <= pythSolPriceFloat) {
//log.info("Adv ask: " + nextPlacedAskPrice + " vs. Pyth " + pythSolPriceFloat);
askAdversityTimestamp = Instant.now();
nextPlacedAskPrice =
((float) (Math.min(nextPlacedAskPrice, bestAskPrice) + pythSolPriceFloat) / 2.0f);
//log.info("Next ask:" + nextPlacedAskPrice);
lastPlacedAskPrice = 0; // re-quote
}
}
long durationSinceAskAdversity = Math.abs(Duration.between(Instant.now(), askAdversityTimestamp).toSeconds());
long durationSinceAskAdversityMs = Math.abs(Duration.between(Instant.now(), askAdversityTimestamp).toMillis());
long durationSinceAsk = Math.abs(Duration.between(Instant.now(), lastAskTimestamp).toSeconds());
// If adversity in past 4 sec, widen
int askSpreadAdversityDurationThreshold = 3;
if (durationSinceAskAdversityMs <= (askSpreadAdversityDurationThreshold * 1_000L)) {
double bpsToAddMultiplier = 0.000001;
if (GIGA_LEANING) {
bpsToAddMultiplier = 0.0000001;
}
float before = nextPlacedAskPrice;
double bpsToAdd =
1.00000 + Math.abs(bpsToAddMultiplier * ((double) askSpreadAdversityDurationThreshold -
(durationSinceBidAdversityMs / 1_000.0)));
nextPlacedAskPrice = nextPlacedAskPrice * (float) bpsToAdd; //bug
// log.info("Adv bps: " + bpsToAdd + ", new: " + nextPlacedAskPrice + ", old: " + before);
}
// If recent ask adversity, use a massive priority fee.
int askAdversityDurationThreshold = 2;
if (durationSinceAskAdversity < askAdversityDurationThreshold || GIGA_LEANING) {
double rateToAdd = ((double) (askAdversityDurationThreshold - (durationSinceAskAdversity - 1)) *
ADVERSITY_BASE_PRIORITY_RATE_TO_ADD) - ADVERSITY_BASE_REDUCTION;
double newRate = PRIORITY_MICRO_LAMPORTS_DEFAULT + Math.abs(rateToAdd);
OpenBookConfig.setPriorityMicroLamports((int) newRate);
} else {
OpenBookConfig.useDefaultPriorityMicroLamports();
}
float percentageChangeFromLastAsk = 1.00f - (lastPlacedAskPrice / nextPlacedAskPrice);
boolean asxAskPresent = false; // If ASX isn't quoting (BELOW YOU) raise proirity rate
for (Order askOrder : askOrders) {
if (askOrder.getOwner().equals(SPACE_MONKEY) && askOrder.getFloatPrice() <= nextPlacedAskPrice &&
(askOrder.getFloatQuantity() * askOrder.getFloatPrice() >= 700)) {
asxAskPresent = true;
OpenBookConfig.setPriorityMicroLamports(getPriorityMicroLamports() + 15_000);
}
}
Order ourCurrentAsk = null;
for (Order askOrder : askOrders) {
if (askOrder.getOwner().equals(solUsdcOoaPubkey)) {
if (ourCurrentAsk == null || askOrder.getFloatPrice() <= ourCurrentAsk.getFloatPrice()) {
// use this as our best ask
ourCurrentAsk = askOrder;
}
}
}
boolean isOurAskInModel = true;
if (ourCurrentAsk != null) {
float ourCurrentPrice = ourCurrentAsk.getFloatPrice();
float expectedAskPrice = nextPlacedAskPrice;
float difference = Math.abs(expectedAskPrice - ourCurrentPrice);
float bpsDifference = difference / expectedAskPrice; // 0.01 cent / 25$
// half a bip of mispricing allowed for float fuckery
if (bpsDifference >= ALLOWED_PRICING_BPS_MISMATCH) {
isOurAskInModel = false;
}
}
if (!shouldCancelAsk) {
// Add fee for fresh placements
OpenBookConfig.setPriorityMicroLamports((int) ((double) getPriorityMicroLamports() * 1.55));
}
// Cheat codes
final List<PublicKey> askSharps = new ArrayList<>(KNOWN_SHARPS);
final float nextPlacedAskFinal = nextPlacedAskPrice;
askSharps.add(PublicKey.valueOf("7pYyuhKrMTswQqZ9eXx813Qsx99yzvnbaUD3mUvX7wFm")); // ground
Optional<Order> jumpsBestAsk = askOrders.stream()
.filter(order -> order.getFloatPrice() < nextPlacedAskFinal)
.filter(order -> !order.getOwner().equals(solUsdcOoaPubkey))
.filter(order -> askSharps.contains(order.getOwner()))
.max((o1, o2) -> Float.compare(o1.getFloatPrice(), o2.getFloatPrice()))
.stream().findAny();
if (jumpsBestAsk.isPresent()) {
float jumpsPrice = jumpsBestAsk.get().getFloatPrice();
if (Math.abs(jumpsPrice - nextPlacedAskPrice) <= 0.0058 && jumpsPrice <= nextPlacedAskPrice) {
nextPlacedAskPrice -= 0.0059f;
}
}
// API tuning
if (ASK_API_TUNING_FACTOR != 1f) {
nextPlacedAskPrice = nextPlacedAskPrice * ASK_API_TUNING_FACTOR;
log.info("Tuning ask: " + nextPlacedAskPrice + ", " + ASK_API_TUNING_FACTOR);
}
// Event Queue size-based tuning. If EQ >= 30 length, widen ask 1 bps
// 30 to be replaced by standard deviation or moving average
// int eventQueueSize = solUsdcMarket.getEventQueue().getEvents().size();
// if (eventQueueSize >= EVENT_QUEUE_SIZE_THRESHOLD_FOR_WIDEN) {
// float newAskPrice = nextPlacedAskPrice * EVENT_QUEUE_SIZE_ASK_WIDEN;
// log.info("EQ size: Wide ask " + nextPlacedAskPrice + " to " + newAskPrice + ", # = " + eventQueueSize);
// nextPlacedAskPrice = newAskPrice;
// }
// Only place ask if we haven't placed, or the change is >= 0.1% change
if (lastPlacedAskPrice == 0 || (Math.abs(percentageChangeFromLastAsk) >= MIN_MIDPOINT_CHANGE) ||
(!asxAskPresent && durationSinceAsk >= 1) || !isOurAskInModel ) {
if (nextPlacedAskPrice <= lastPlacedBidPrice * (1 + CROSS_DETECTION_PADDING) /* padding */ && (durationSinceAsk <= 1)) {
log.info("SOL Ask cross: " + nextPlacedAskPrice + ", last bid: " + lastPlacedBidPrice);
} else {
placeSolAsk(SOL_ASK_AMOUNT, nextPlacedAskPrice, shouldCancelAsk);
lastPlacedAskPrice = nextPlacedAskPrice;
}
}
}
}
@Scheduled(
initialDelay = OpenBookConfig.LEAN_CALCULATION_INITIAL_DELAY,
fixedRate = OpenBookConfig.LEAN_CALCULATION_INTERVAL
)
public void updateLeanSizes() {
// Lean WSOL is USDC balance is low.
OpenBookConfig.USDC_BALANCE = getUsdcBalance();
OpenBookConfig.WSOL_BALANCE = getWSolBalance();
if (OpenBookConfig.USDC_BALANCE.isPresent()) {
double amount = OpenBookConfig.USDC_BALANCE.get();
if (amount <= USDC_THRESHOLD_TO_LEAN_WSOL) {
double leanFactor = generateLeanFactor("WSOL");
SOL_ASK_AMOUNT = OpenBookConfig.SOL_QUOTE_SIZE * (float) leanFactor;
if (OpenBookConfig.WSOL_BALANCE.isPresent() && OpenBookConfig.WSOL_BALANCE.get() <= SOL_ASK_AMOUNT) {
SOL_ASK_AMOUNT = OpenBookConfig.SOL_QUOTE_SIZE;
} else {
GIGA_LEANING = false;
}
// Tighten if we have high WSOL inventory (half units), Improvement: As a function, not constant
float spreadTightenFactor = 0.99985f;
if (OpenBookConfig.WSOL_BALANCE.isPresent()) {
if (OpenBookConfig.WSOL_BALANCE.get() >= (OpenBookConfig.SOL_QUOTE_SIZE * TARGET_MAX_UNITS) / 2) {
if (OpenBookConfig.WSOL_BALANCE.get() > OpenBookConfig.SOL_QUOTE_SIZE) {
GIGA_LEANING = true;
}
}
}
// Tighten spread too
ASK_SPREAD_MULTIPLIER = DEFAULT_ASK_SPREAD_MULTIPLIER * spreadTightenFactor;
// set last placed Ask to zero, so it re-quotes
lastPlacedAskPrice = 0f;
IS_WSOL_LEANING = true;
} else {
SOL_ASK_AMOUNT = SOL_QUOTE_SIZE;
IS_WSOL_LEANING = false;
}
}
// Lean USDC is WSOL balance is low.
if (OpenBookConfig.WSOL_BALANCE.isPresent()) {
double amount = OpenBookConfig.WSOL_BALANCE.get();
if (amount <= OpenBookConfig.WSOL_THRESHOLD_TO_LEAN_USDC) {
BID_SPREAD_MULTIPLIER = DEFAULT_BID_SPREAD_MULTIPLIER * 1.0012f; // Tighten spread only
lastPlacedBidPrice = 0f; // set last placed Bid to zero, so it re-quotes
} else {
BID_SPREAD_MULTIPLIER = DEFAULT_BID_SPREAD_MULTIPLIER;
}
}
}
@Scheduled(fixedRate = OpenBookConfig.ORDER_BOOK_POLL_INTERVAL)
public void updateOb() {
try {
solUsdcMarket.reload(OpenBookConfig.solUsdcMarketBuilder);
} catch (Exception ex) {
log.debug("OB load error: " + ex.getClass().getName());
}
}
private void placeSolAsk(float solAmount, float price, boolean cancel) {
if (price <= lastPlacedBidPrice) {
log.info("SOL Ask cross: " + price + ", last bid: " + lastPlacedBidPrice);
return;
}
final Transaction placeTx = new Transaction();
placeTx.addInstruction(
ComputeBudgetProgram.setComputeUnitPrice(
PRIORITY_MICRO_LAMPORTS
)
);
placeTx.addInstruction(
ComputeBudgetProgram.setComputeUnitLimit(
PRIORITY_UNITS
)
);
placeTx.addInstruction(
SerumProgram.consumeEvents(
OpenBookConfig.mmAccount.getPublicKey(),
List.of(solUsdcOoaPubkey),
solUsdcMarket,
OpenBookConfig.WSOL_BASE_WALLET,
solUsdcQuoteWalletPubkey
)
);
float inputPrice = price;
int smaPeriod = 4;
// Price SMA calculation
synchronized (askSmaValues) {
if (askSmaValues.size() < smaPeriod) {
askSmaValues.push(price);
inputPrice = price;
} else if (askSmaValues.size() == smaPeriod) {
askSmaValues.removeLast();
askSmaValues.addFirst(inputPrice);
inputPrice = askSmaValues.stream().reduce(0f, Float::sum) / (float) smaPeriod;
//log.info("SMA ask: " + inputPrice);
}
}
Order askOrder = Order.builder()
.buy(false)
.clientOrderId(OpenBookConfig.ASK_CLIENT_ID)
.orderTypeLayout(OrderTypeLayout.POST_ONLY) // ONLY DO LIMIT WHEN WE HAVE CHECKANDSETSEQUENCENumber
.selfTradeBehaviorLayout(SelfTradeBehaviorLayout.ABORT_TRANSACTION)
.floatPrice(inputPrice)
.floatQuantity(solAmount)
.build();
serumManager.setOrderPrices(askOrder, solUsdcMarket);
if (cancel) {
placeTx.addInstruction(
SerumProgram.cancelOrderByClientId(
solUsdcMarket,
solUsdcOoaPubkey,
OpenBookConfig.mmAccount.getPublicKey(),
OpenBookConfig.ASK_CLIENT_ID
)
);
} else {
lastAskTimestamp = Instant.now();
}
// Settle - base wallet gets created first then closed after
placeTx.addInstruction(
SerumProgram.consumeEvents(
OpenBookConfig.mmAccount.getPublicKey(),
List.of(solUsdcOoaPubkey),
solUsdcMarket,
OpenBookConfig.WSOL_BASE_WALLET,
solUsdcQuoteWalletPubkey
)
);
placeTx.addInstruction(
SerumProgram.settleFunds(
solUsdcMarket,
solUsdcOoaPubkey,
OpenBookConfig.mmAccount.getPublicKey(),
OpenBookConfig.WSOL_BASE_WALLET, //random wsol acct for settles
solUsdcQuoteWalletPubkey
)
);
placeTx.addInstruction(
SerumProgram.placeOrder(
OpenBookConfig.mmAccount,
OpenBookConfig.WSOL_BASE_WALLET,
solUsdcOoaPubkey,
solUsdcMarket,
askOrder
)
);
Runnable runnable = () -> {
try {
String orderTx = rpcClient.getApi().sendTransaction(placeTx, OpenBookConfig.mmAccount);
log.info("SOL Ask: $" + askOrder.getFloatPrice() + " x " + askOrder.getFloatQuantity() + ": " +
orderTx + ", Pyth: " + pythPricingSource.getSolMidpointPrice().orElse(0.0f) + " +/-" +
pythPricingSource.getSolPriceConfidence().orElse(0.0f));
} catch (RpcException e) {
log.error("SOL OrderTx Error = " + e.getMessage());
}
};
orderExecutorService.submit(runnable);
}
private void placeUsdcBid(float amount, float price, boolean cancel) {
final Transaction placeTx = new Transaction();
placeTx.addInstruction(
ComputeBudgetProgram.setComputeUnitPrice(
PRIORITY_MICRO_LAMPORTS
)
);
placeTx.addInstruction(
ComputeBudgetProgram.setComputeUnitLimit(
PRIORITY_UNITS
)
);
placeTx.addInstruction(
SerumProgram.consumeEvents(
OpenBookConfig.mmAccount.getPublicKey(),
List.of(solUsdcOoaPubkey),
solUsdcMarket,
OpenBookConfig.WSOL_BASE_WALLET,
solUsdcQuoteWalletPubkey
)
);
float inputPrice = price;
int smaPeriod = 5;
// Price SMA calculation
synchronized (smaValues) {
if (smaValues.size() < smaPeriod) {
smaValues.push(price);
inputPrice = price;
} else if (smaValues.size() == smaPeriod) {
smaValues.removeLast();
smaValues.addFirst(inputPrice);
inputPrice = smaValues.stream().reduce(0f, Float::sum) / (float) smaPeriod;
//log.info("SMA bid: " + inputPrice);
}
}
Order bidOrder = Order.builder()
.buy(true)
.clientOrderId(OpenBookConfig.BID_CLIENT_ID)
.orderTypeLayout(OrderTypeLayout.POST_ONLY) //limit requires setSequence smart contract
.selfTradeBehaviorLayout(SelfTradeBehaviorLayout.ABORT_TRANSACTION)
.floatPrice(inputPrice)
.floatQuantity(amount)
.build();
serumManager.setOrderPrices(bidOrder, solUsdcMarket);
if (cancel) {
placeTx.addInstruction(
SerumProgram.cancelOrderByClientId(
solUsdcMarket,
solUsdcOoaPubkey,
OpenBookConfig.mmAccount.getPublicKey(),
OpenBookConfig.BID_CLIENT_ID
)
);
} else {
lastBidTimestamp = Instant.now();
}
// Settle - base wallet gets created first then closed after
placeTx.addInstruction(
SerumProgram.consumeEvents(
OpenBookConfig.mmAccount.getPublicKey(),
List.of(solUsdcOoaPubkey),
solUsdcMarket,
OpenBookConfig.WSOL_BASE_WALLET,
solUsdcQuoteWalletPubkey
)
);
placeTx.addInstruction(
SerumProgram.settleFunds(
solUsdcMarket,
solUsdcOoaPubkey,
OpenBookConfig.mmAccount.getPublicKey(),
OpenBookConfig.WSOL_BASE_WALLET, //random wsol acct for settles
solUsdcQuoteWalletPubkey
)
);
placeTx.addInstruction(
SerumProgram.placeOrder(
OpenBookConfig.mmAccount,
solUsdcQuoteWalletPubkey,
solUsdcOoaPubkey,
solUsdcMarket,
bidOrder
)
);
Runnable runnable = () -> {
try {
String orderTx = rpcClient.getApi().sendTransaction(placeTx, OpenBookConfig.mmAccount);
log.info("USDC Bid: $" + bidOrder.getFloatPrice() + " x " + bidOrder.getFloatQuantity() + ": " +
orderTx + ", Pyth: " + pythPricingSource.getSolMidpointPrice().orElse(0.0f) + " +/-" +
pythPricingSource.getSolPriceConfidence().orElse(0.0f));
} catch (RpcException e) {
log.error("BID OrderTx Error = " + e.getMessage());
}
};
orderExecutorService.submit(runnable);
}
public void hardCancelSingleBid() {
long durationSinceBidHardCxl = Math.abs(Duration.between(Instant.now(),
lastHardCancelBidTimestamp).toSeconds());
if (durationSinceBidHardCxl >= 8) {
// do hard cxl
Account sessionWsolAccount = new Account();
Transaction newTx = new Transaction();
newTx.addInstruction(
ComputeBudgetProgram.setComputeUnitPrice(
210_000
)
);
newTx.addInstruction(
ComputeBudgetProgram.setComputeUnitLimit(
PRIORITY_UNITS * 2
)
);
// Create WSOL account for session. 0.5 to start
newTx.addInstruction(
SystemProgram.createAccount(
OpenBookConfig.mmAccount.getPublicKey(),
sessionWsolAccount.getPublicKey(),
(long) (0.01 * 1000000000.0) + 2039280, //.05 SOL
165,
TokenProgram.PROGRAM_ID
)
);
newTx.addInstruction(
TokenProgram.initializeAccount(
sessionWsolAccount.getPublicKey(),
SerumUtils.WRAPPED_SOL_MINT,
OpenBookConfig.mmAccount.getPublicKey()
)
);
newTx.addInstruction(
SerumProgram.cancelOrderByClientId(
solUsdcMarket,
solUsdcOoaPubkey,
OpenBookConfig.mmAccount.getPublicKey(),
OpenBookConfig.BID_CLIENT_ID
)
);
newTx.addInstruction(
SerumProgram.settleFunds(
solUsdcMarket,
solUsdcOoaPubkey,
OpenBookConfig.mmAccount.getPublicKey(),
sessionWsolAccount.getPublicKey(), //random wsol acct for settles
solUsdcQuoteWalletPubkey
)
);
newTx.addInstruction(TokenProgram.closeAccount(
sessionWsolAccount.getPublicKey(),
OpenBookConfig.mmAccount.getPublicKey(),
OpenBookConfig.mmAccount.getPublicKey()
));
try {
log.info("hardSettle cxl = " + rpcClient.getApi().sendTransaction(
newTx,
List.of(
OpenBookConfig.mmAccount,
sessionWsolAccount
),
rpcClient.getApi().getRecentBlockhash(Commitment.PROCESSED)
));
} catch (RpcException e) {
log.error("hardCXL BID error: " + e.getMessage());
}
}
lastHardCancelBidTimestamp = Instant.now();
}
public void hardCancelSingleAsk() {
long durationSinceAskHardCxl = Math.abs(Duration.between(Instant.now(),
lastHardCancelAskTimestamp).toSeconds());
if (durationSinceAskHardCxl >= 8) {
// do hard cxl
Account sessionWsolAccount = new Account();
Transaction newTx = new Transaction();
newTx.addInstruction(
ComputeBudgetProgram.setComputeUnitPrice(
210_000
)
);
newTx.addInstruction(
ComputeBudgetProgram.setComputeUnitLimit(
PRIORITY_UNITS * 2
)
);
// Create WSOL account for session. 0.5 to start
newTx.addInstruction(
SystemProgram.createAccount(
OpenBookConfig.mmAccount.getPublicKey(),
sessionWsolAccount.getPublicKey(),
(long) (0.01 * 1000000000.0) + 2039280, //.05 SOL
165,
TokenProgram.PROGRAM_ID
)
);
newTx.addInstruction(
TokenProgram.initializeAccount(
sessionWsolAccount.getPublicKey(),
SerumUtils.WRAPPED_SOL_MINT,
OpenBookConfig.mmAccount.getPublicKey()
)
);
newTx.addInstruction(
SerumProgram.cancelOrderByClientId(
solUsdcMarket,
solUsdcOoaPubkey,
OpenBookConfig.mmAccount.getPublicKey(),
OpenBookConfig.ASK_CLIENT_ID
)
);
newTx.addInstruction(
SerumProgram.settleFunds(
solUsdcMarket,
solUsdcOoaPubkey,
OpenBookConfig.mmAccount.getPublicKey(),
sessionWsolAccount.getPublicKey(), //random wsol acct for settles
solUsdcQuoteWalletPubkey
)
);
newTx.addInstruction(TokenProgram.closeAccount(
sessionWsolAccount.getPublicKey(),
OpenBookConfig.mmAccount.getPublicKey(),
OpenBookConfig.mmAccount.getPublicKey()
));
try {
log.info("ASK hardSettle cxl = " + rpcClient.getApi().sendTransaction(
newTx,
List.of(
OpenBookConfig.mmAccount,
sessionWsolAccount
),
rpcClient.getApi().getRecentBlockhash(Commitment.PROCESSED)
));
} catch (RpcException e) {
log.error("hardCXL ASK error: " + e.getMessage());
}
}
lastHardCancelAskTimestamp = Instant.now();
}
private void initializeWrappedSolAccount() {
Account sessionWsolAccount = new Account();
Transaction newTx = new Transaction();
newTx.addInstruction(
ComputeBudgetProgram.setComputeUnitPrice(
1811_500_000
)
);
newTx.addInstruction(
ComputeBudgetProgram.setComputeUnitLimit(
10_700
)
);
double startingAmount = OpenBookConfig.WSOL_STARTING_AMOUNT; // get native SOL balance
try {
double amount = (double) dataRpcClient.getApi().getAccountInfo(
PublicKey.valueOf("mikefsWLEcNYHgsiwSRr6PVd7yVcoKeaURQqeDE1tXN")
, Map.of("commitment", Commitment.PROCESSED)).getValue().getLamports() / 1_000_000_000.0;
if (amount >= 0 && amount <= 10000) {
// Use 95% of our SOL, or base amount, whichever is larger
startingAmount = Math.max(amount * .95, OpenBookConfig.WSOL_STARTING_AMOUNT);
log.info("Starting WSOL: " + startingAmount);
}
} catch (RpcException e) {
throw new RuntimeException(e);
}
// Create WSOL account for session. 0.5 to start
newTx.addInstruction(
SystemProgram.createAccount(
OpenBookConfig.mmAccount.getPublicKey(),
sessionWsolAccount.getPublicKey(),
(long) (startingAmount * 1000000000.0) + 5039280, //.05 SOL
165,
TokenProgram.PROGRAM_ID
)
);
newTx.addInstruction(
TokenProgram.initializeAccount(
sessionWsolAccount.getPublicKey(),
SerumUtils.WRAPPED_SOL_MINT,
OpenBookConfig.mmAccount.getPublicKey()
)
);
try {
String txId = rpcClient.getApi().sendTransaction(newTx, List.of(OpenBookConfig.mmAccount, sessionWsolAccount), null);
OpenBookConfig.WSOL_BASE_WALLET = sessionWsolAccount.getPublicKey();
log.info("WSOL Base Wallet = " + OpenBookConfig.WSOL_BASE_WALLET.toBase58() + ", TXID + " + txId);
} catch (RpcException e) {
log.error(e.getMessage());
}
}
private Optional<Double> getUsdcBalance() {
try {
double amount = dataRpcClient.getApi().getTokenAccountBalance(
solUsdcQuoteWalletPubkey,
Commitment.PROCESSED
)
.getUiAmount();
// For now, always assume a huge bid is sitting (2 units of notional)
double assumedQuotedSize = 1.5;
amount -= ((SOL_QUOTE_SIZE * assumedQuotedSize) * START_SOL_PRICE);
int nonNegativeSafeMinQuantity = 100 + ThreadLocalRandom.current().nextInt(1, 50);
// to avoid negative by any possibility
amount = Math.max(amount, nonNegativeSafeMinQuantity);
// todo Add balance from the current USDC quotes
return Optional.of(amount);
} catch (RpcException e) {
log.error("Unable to get USDC balance: " + e.getMessage());
return Optional.empty();
}
}
private Optional<Double> getWSolBalance() {
try {
double amount = dataRpcClient.getApi().getTokenAccountBalance(
OpenBookConfig.WSOL_BASE_WALLET,
Commitment.PROCESSED
)
.getUiAmount();
return Optional.of(amount);
} catch (RpcException e) {
log.error("Unable to get WSOL balance: " + e.getMessage());
return Optional.empty();
}
}
private Account readMmAccountFromPrivateKey() {
final Account mmAccount;
ClassPathResource resource = new ClassPathResource(
"/mikefsWLEcNYHgsiwSRr6PVd7yVcoKeaURQqeDE1tXN.json",
SerumApplication.class
);
try (InputStream inputStream = resource.getInputStream()) {
String privateKeyJson = new String(inputStream.readAllBytes(), StandardCharsets.UTF_8);
mmAccount = Account.fromJson(privateKeyJson);
} catch (IOException e) {
throw new RuntimeException(e);
}
return mmAccount;
}
private void eventLoopWithCatch() {
try {
solUsdcEventLoop();
} catch (Exception ex) {
log.error("Exception during event loop: " + ex.getMessage());
ex.printStackTrace();
}
}
@Override
public void start() {
log.info(this.getClass().getSimpleName() + " started.");
log.info("OOA: " + solUsdcOoaPubkey.toBase58());
log.info("Quote Wallet: " + solUsdcQuoteWalletPubkey.toBase58());
final Runnable solUsdcEventLoopRunnable = this::eventLoopWithCatch;
executorService.scheduleAtFixedRate(
solUsdcEventLoopRunnable,
OpenBookConfig.EVENT_LOOP_INITIAL_DELAY_MS,
OpenBookConfig.EVENT_LOOP_DURATION_MS,
TimeUnit.MILLISECONDS
);
}
public void marketSell(float floatSize) {
final Transaction mktSellTx = new Transaction();
mktSellTx.addInstruction(
ComputeBudgetProgram.setComputeUnitPrice(
PRIORITY_MICRO_LAMPORTS
)
);
mktSellTx.addInstruction(
ComputeBudgetProgram.setComputeUnitLimit(
PRIORITY_UNITS
)
);
mktSellTx.addInstruction(
SerumProgram.consumeEvents(
OpenBookConfig.mmAccount.getPublicKey(),
List.of(solUsdcOoaPubkey),
solUsdcMarket,
OpenBookConfig.WSOL_BASE_WALLET,
solUsdcQuoteWalletPubkey
)
);
Order askOrder = Order.builder()
.buy(false)
.clientOrderId(OpenBookConfig.ASK_CLIENT_ID + ThreadLocalRandom.current().nextInt(1, 500))
.orderTypeLayout(OrderTypeLayout.IOC) // ONLY DO LIMIT WHEN WE HAVE CHECKANDSETSEQUENCENumber
.selfTradeBehaviorLayout(SelfTradeBehaviorLayout.CANCEL_PROVIDE)
.floatPrice((float) this.bestBidPrice * .9998f)
.floatQuantity(floatSize)
.build();
serumManager.setOrderPrices(askOrder, solUsdcMarket);
// Settle - base wallet gets created first then closed after
mktSellTx.addInstruction(
SerumProgram.consumeEvents(
OpenBookConfig.mmAccount.getPublicKey(),
List.of(solUsdcOoaPubkey),
solUsdcMarket,
OpenBookConfig.WSOL_BASE_WALLET,
solUsdcQuoteWalletPubkey
)
);