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reduce allocations in risk code #1004

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reduce allocations in risk code #1004

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2ff8db3
reduce allocations in risk code
mschneider Aug 13, 2024
f2b70f2
ts: remove unused
microwavedcola1 Aug 30, 2024
67fd0c3
ts: remove unused
microwavedcola1 Aug 30, 2024
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2 changes: 0 additions & 2 deletions package.json
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -42,8 +42,6 @@
"@typescript-eslint/parser": "^8.0.1",
"axios": "^1.4.0",
"chai": "^4.3.4",
"cli-table3": "^0.6.3",
"console-table-printer": "^2.11.1",
"eslint": "^9.9.0",
"eslint-config-prettier": "^9.1.0",
"fast-csv": "^4.3.6",
Expand Down
72 changes: 29 additions & 43 deletions ts/client/src/accounts/healthCache.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -44,19 +44,22 @@
// ██████████████████████████████████████████
// warning: this code is copy pasta from rust, keep in sync with health.rs

/**
* WARNING this potentially modifies health & starting spot inplace
*/
function spotAmountTakenForHealthZero(
health: I80F48,
startingSpot: I80F48,
assetWeightedPrice: I80F48,
liabWeightedPrice: I80F48,
): I80F48 {
if (health.lte(ZERO_I80F48())) {
if (!health.isPos()) {
return ZERO_I80F48();
}

let takenSpot = ZERO_I80F48();
if (startingSpot.gt(ZERO_I80F48())) {
if (assetWeightedPrice.gt(ZERO_I80F48())) {
if (startingSpot.isPos()) {
if (assetWeightedPrice.isPos()) {
const assetMax = health.div(assetWeightedPrice);
if (assetMax.lte(startingSpot)) {
return assetMax;
Expand All @@ -65,29 +68,15 @@
takenSpot = startingSpot;
health.isub(startingSpot.mul(assetWeightedPrice));
}
if (health.gt(ZERO_I80F48())) {
if (liabWeightedPrice.lte(ZERO_I80F48())) {
if (health.isPos()) {
if (!liabWeightedPrice.isPos()) {
throw new Error('LiabWeightedPrice must be greater than 0!');
}
takenSpot.iadd(health.div(liabWeightedPrice));
}
return takenSpot;
}

function _spotAmountGivenForHealthZero(
health: I80F48,
startingSpot: I80F48,
assetWeightedPrice: I80F48,
liabWeightedPrice: I80F48,
): I80F48 {
return spotAmountTakenForHealthZero(
health.neg(),
startingSpot.neg(),
liabWeightedPrice,
assetWeightedPrice,
);
}

export class HealthCache {
constructor(
public tokenInfos: TokenInfo[],
Expand Down Expand Up @@ -193,7 +182,7 @@
quoteAsset.div(baseLiab),
);
let allReservedAsBase;
if (!info.reservedQuoteAsBaseHighestBid.eq(ZERO_I80F48())) {
if (!info.reservedQuoteAsBaseHighestBid.isZero()) {
allReservedAsBase = reservedBase.add(
reservedQuoteAsBaseOracle.min(info.reservedQuoteAsBaseHighestBid),
);
Expand All @@ -207,7 +196,7 @@
baseAsset.div(quoteLiab),
);
let allReservedAsQuote;
if (!info.reservedBaseAsQuoteLowestAsk.eq(ZERO_I80F48())) {
if (!info.reservedBaseAsQuoteLowestAsk.isZero()) {
allReservedAsQuote = reservedQuote.add(
reservedBaseAsQuoteOracle.min(info.reservedBaseAsQuoteLowestAsk),
);
Expand Down Expand Up @@ -249,7 +238,7 @@
);
const perpSettleToken = tokenBalances[settleTokenIndex];
const healthUnsettled = perpInfo.healthUnsettledPnl(healthType);
if (!ignoreNegativePerp || healthUnsettled.gt(ZERO_I80F48())) {
if (!ignoreNegativePerp || healthUnsettled.isPos()) {
perpSettleToken.spotAndPerp.iadd(healthUnsettled);
}
}
Expand Down Expand Up @@ -287,7 +276,7 @@
group.getMintDecimalsByTokenIndex(perpInfo.settleTokenIndex),
),
});
if (!ignoreNegativePerp || healthUnsettled.gt(ZERO_I80F48())) {
if (!ignoreNegativePerp || healthUnsettled.isPos()) {
perpSettleToken.spotAndPerp.iadd(healthUnsettled);
}
}
Expand Down Expand Up @@ -509,11 +498,11 @@

public healthRatio(healthType: HealthType): I80F48 {
const res = this.healthAssetsAndLiabsStableLiabs(healthType);
const hundred = I80F48.fromNumber(100);
// console.log(`assets ${res.assets}`);
// console.log(`liabs ${res.liabs}`);
if (res.liabs.gt(I80F48.fromNumber(0.001))) {
return hundred.mul(res.assets.sub(res.liabs)).div(res.liabs);
const hundred = I80F48.fromNumber(100);
return hundred.imul(res.assets.sub(res.liabs)).idiv(res.liabs);
}
return MAX_I80F48();
}
Expand Down Expand Up @@ -931,10 +920,7 @@
targetFn: (cache) => I80F48,
): I80F48 {
if (
sourceBank.initLiabWeight
.sub(targetBank.initAssetWeight)
.abs()
.lte(ZERO_I80F48())
!sourceBank.initLiabWeight.sub(targetBank.initAssetWeight).abs().isPos()
) {
return ZERO_I80F48();
}
Expand Down Expand Up @@ -979,7 +965,7 @@
.mul(price),
);

if (finalHealthSlope.gte(ZERO_I80F48())) {
if (!finalHealthSlope.isNeg()) {
return MAX_I80F48();
}

Expand Down Expand Up @@ -1044,9 +1030,9 @@
const healthAtMaxValue = cacheAfterSwap(amountForMaxValue).health(
HealthType.init,
);
if (healthAtMaxValue.eq(ZERO_I80F48())) {
if (healthAtMaxValue.isZero()) {
return amountForMaxValue;
} else if (healthAtMaxValue.lt(ZERO_I80F48())) {
} else if (healthAtMaxValue.isNeg()) {
return ZERO_I80F48();
}
const zeroHealthEstimate = amountForMaxValue.sub(
Expand Down Expand Up @@ -1106,7 +1092,7 @@
const initialAmount = ZERO_I80F48();
const initialHealth = this.health(HealthType.init);
const initialRatio = this.healthRatio(HealthType.init);
if (initialRatio.lte(ZERO_I80F48())) {
if (!initialRatio.isPos()) {
return ZERO_I80F48();
}

Expand All @@ -1121,7 +1107,7 @@
// and when its a bid, then quote->bid
let zeroAmount;
if (side == Serum3Side.ask) {
const quoteBorrows = quote.balanceSpot.lt(ZERO_I80F48())
const quoteBorrows = quote.balanceSpot.isNeg()
? quote.balanceSpot.abs().mul(quote.prices.liab(HealthType.init))
: ZERO_I80F48();
const max = base.balanceSpot.mul(base.prices.oracle).max(quoteBorrows);
Expand All @@ -1138,7 +1124,7 @@
// console.log(` - quoteBorrows ${quoteBorrows.toLocaleString()}`);
// console.log(` - max ${max.toLocaleString()}`);
} else {
const baseBorrows = base.balanceSpot.lt(ZERO_I80F48())
const baseBorrows = base.balanceSpot.isNeg()
? base.balanceSpot.abs().mul(base.prices.liab(HealthType.init))
: ZERO_I80F48();
const max = quote.balanceSpot.mul(quote.prices.oracle).max(baseBorrows);
Expand Down Expand Up @@ -1170,7 +1156,7 @@
// adjustedCache.logHealthCache(` before placing order ${amount}`);
// TODO: there should also be some issue with oracle vs stable price here;
// probably better to pass in not the quote amount but the base or quote native amount
side === Serum3Side.ask

Check warning on line 1159 in ts/client/src/accounts/healthCache.ts

View workflow job for this annotation

GitHub Actions / Lint 

Expected an assignment or function call and instead saw an expression
? adjustedCache.tokenInfos[baseIndex].balanceSpot.isub(
amount.div(base.prices.oracle),
)
Expand Down Expand Up @@ -1220,7 +1206,7 @@
const healthCacheClone: HealthCache = deepClone<HealthCache>(this);

const initialRatio = this.healthRatio(HealthType.init);
if (initialRatio.lt(ZERO_I80F48())) {
if (initialRatio.isNeg()) {
return ZERO_I80F48();
}

Expand All @@ -1243,7 +1229,7 @@
.neg()
.mul(prices.liab(HealthType.init))
.add(price);
if (finalHealthSlope.gte(ZERO_I80F48())) {
if (!finalHealthSlope.isNeg()) {
return MAX_I80F48();
}
finalHealthSlope.imul(settleInfo.liabWeightedPrice(HealthType.init));
Expand Down Expand Up @@ -1277,8 +1263,8 @@
// 1. We are increasing abs(baseLots)
// 2. We are bringing the base position to 0, and then going to case 1.
const hasCase2 =
(initialBaseLots.gt(ZERO_I80F48()) && direction == -1) ||
(initialBaseLots.lt(ZERO_I80F48()) && direction == 1);
(initialBaseLots.isPos() && direction == -1) ||
(initialBaseLots.isNeg() && direction == 1);

let case1Start: I80F48, case1StartRatio: I80F48;
if (hasCase2) {
Expand Down Expand Up @@ -1309,7 +1295,7 @@
settleInfo.initAssetWeight = settleInfo.initLiabWeight;
settleInfo.initScaledAssetWeight = settleInfo.initScaledLiabWeight;
const startHealth = startCache.health(HealthType.init);
if (startHealth.lte(ZERO_I80F48())) {
if (!startHealth.isPos()) {
return ZERO_I80F48();
}

Expand Down Expand Up @@ -1372,7 +1358,7 @@
if (perpPosition.getBasePosition(perpMarket).isPos()) {
const zero = ZERO_I80F48();
const healthAtPriceZero = healthAfterPriceChange(zero);
if (healthAtPriceZero.gt(ZERO_I80F48())) {
if (healthAtPriceZero.isPos()) {
return null;
}

Expand Down Expand Up @@ -1793,7 +1779,7 @@
if (this.settleTokenIndex !== settleToken.tokenIndex) {
throw new Error('Settle token index should match!');
}
if (unweighted.gt(ZERO_I80F48())) {
if (unweighted.isPos()) {
return (
healthType == HealthType.init
? settleToken.initScaledAssetWeight
Expand All @@ -1819,7 +1805,7 @@
unweighted: I80F48,
healthType: HealthType | undefined,
): I80F48 {
if (unweighted.gt(ZERO_I80F48())) {
if (unweighted.isPos()) {
return (
healthType == HealthType.init || healthType == HealthType.liquidationEnd
? this.initOverallAssetWeight
Expand Down
4 changes: 2 additions & 2 deletions ts/client/src/accounts/mangoAccount.ts
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -311,10 +311,10 @@ export class MangoAccount {
)) {
const oo = this.serum3OosMapByMarketIndex.get(serum3Market.marketIndex);
if (serum3Market.baseTokenIndex == bank.tokenIndex && oo) {
bal.add(I80F48.fromI64(oo.baseTokenFree));
bal.iadd(I80F48.fromI64(oo.baseTokenFree));
}
if (serum3Market.quoteTokenIndex == bank.tokenIndex && oo) {
bal.add(I80F48.fromI64(oo.quoteTokenFree));
bal.iadd(I80F48.fromI64(oo.quoteTokenFree));
}
}
return bal;
Expand Down
26 changes: 0 additions & 26 deletions yarn.lock
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -35,11 +35,6 @@
dependencies:
"@soncodi/signal" "~2.0.7"

"@colors/colors@1.5.0":
version "1.5.0"
resolved "https://registry.yarnpkg.com/@colors/colors/-/colors-1.5.0.tgz#bb504579c1cae923e6576a4f5da43d25f97bdbd9"
integrity sha512-ooWCrlZP11i8GImSjTHYHLkvFDP48nS4+204nGb1RiX/WXYHmJA2III9/e2DWVabCESdW7hBAEzHRqUn9OUVvQ==

"@coral-xyz/anchor-30@npm:@coral-xyz/anchor@0.30.1", "switchboard-anchor@npm:@coral-xyz/anchor@0.30.1":
version "0.30.1"
resolved "https://registry.yarnpkg.com/@coral-xyz/anchor/-/anchor-0.30.1.tgz#17f3e9134c28cd0ea83574c6bab4e410bcecec5d"
Expand Down Expand Up @@ -1577,15 +1572,6 @@ chokidar@^3.6.0:
optionalDependencies:
fsevents "~2.3.2"

cli-table3@^0.6.3:
version "0.6.5"
resolved "https://registry.yarnpkg.com/cli-table3/-/cli-table3-0.6.5.tgz#013b91351762739c16a9567c21a04632e449bf2f"
integrity sha512-+W/5efTR7y5HRD7gACw9yQjqMVvEMLBHmboM/kPWam+H+Hmyrgjh6YncVKK122YZkXrLudzTuAukUw9FnMf7IQ==
dependencies:
string-width "^4.2.0"
optionalDependencies:
"@colors/colors" "1.5.0"

cliui@^7.0.2:
version "7.0.4"
resolved "https://registry.yarnpkg.com/cliui/-/cliui-7.0.4.tgz#a0265ee655476fc807aea9df3df8df7783808b4f"
Expand Down Expand Up @@ -1639,13 +1625,6 @@ consola@^3.2.3:
resolved "https://registry.yarnpkg.com/consola/-/consola-3.2.3.tgz#0741857aa88cfa0d6fd53f1cff0375136e98502f"
integrity sha512-I5qxpzLv+sJhTVEoLYNcTW+bThDCPsit0vLNKShZx6rLtpilNpmmeTPaeqJb9ZE9dV3DGaeby6Vuhrw38WjeyQ==

console-table-printer@^2.11.1:
version "2.12.1"
resolved "https://registry.yarnpkg.com/console-table-printer/-/console-table-printer-2.12.1.tgz#4a9646537a246a6d8de57075d4fae1e08abae267"
integrity sha512-wKGOQRRvdnd89pCeH96e2Fn4wkbenSP6LMHfjfyNLMbGuHEFbMqQNuxXqd0oXG9caIOQ1FTvc5Uijp9/4jujnQ==
dependencies:
simple-wcswidth "^1.0.1"

crc@^4.1.0:
version "4.3.2"
resolved "https://registry.yarnpkg.com/crc/-/crc-4.3.2.tgz#49b7821cbf2cf61dfd079ed93863bbebd5469b9a"
Expand Down Expand Up @@ -3145,11 +3124,6 @@ signal-exit@^4.0.1:
resolved "https://registry.yarnpkg.com/signal-exit/-/signal-exit-4.1.0.tgz#952188c1cbd546070e2dd20d0f41c0ae0530cb04"
integrity sha512-bzyZ1e88w9O1iNJbKnOlvYTrWPDl46O1bG0D3XInv+9tkPrxrN8jUUTiFlDkkmKWgn1M6CfIA13SuGqOa9Korw==

simple-wcswidth@^1.0.1:
version "1.0.1"
resolved "https://registry.yarnpkg.com/simple-wcswidth/-/simple-wcswidth-1.0.1.tgz#8ab18ac0ae342f9d9b629604e54d2aa1ecb018b2"
integrity sha512-xMO/8eNREtaROt7tJvWJqHBDTMFN4eiQ5I4JRMuilwfnFcV5W9u7RUkueNkdw0jPqGMX36iCywelS5yilTuOxg==

slash@^3.0.0:
version "3.0.0"
resolved "https://registry.yarnpkg.com/slash/-/slash-3.0.0.tgz#6539be870c165adbd5240220dbe361f1bc4d4634"
Expand Down
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