bigz/calculate_long_short_vol_spread-math-in-u128

CHANGELOG.md

@@ -14,6 +14,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Fixes
 
+- program: fix overflow in calculate_long_short_vol_spread ([#352](https://github.com/drift-labs/protocol-v2/pull/352))
 - program: dont let users disable margin trading if they have margin orders open 
 - program: tweaks to fix max leverage order param flag with imf factor ([#351](https://github.com/drift-labs/protocol-v2/pull/351))
 

programs/drift/src/math/amm_spread.rs

@@ -12,7 +12,7 @@ use crate::math::constants::{
     AMM_TO_QUOTE_PRECISION_RATIO_I128, BID_ASK_SPREAD_PRECISION, BID_ASK_SPREAD_PRECISION_I128,
     BID_ASK_SPREAD_PRECISION_U128, DEFAULT_LARGE_BID_ASK_FACTOR,
     DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT, MAX_BID_ASK_INVENTORY_SKEW_FACTOR,
-    PEG_PRECISION, PERCENTAGE_PRECISION_U64, PRICE_PRECISION, PRICE_PRECISION_I128,
+    PEG_PRECISION, PERCENTAGE_PRECISION, PRICE_PRECISION, PRICE_PRECISION_I128,
 };
 use crate::math::safe_math::SafeMath;
 
@@ -105,43 +105,50 @@ pub fn calculate_long_short_vol_spread(
     reserve_price: u64,
     mark_std: u64,
     oracle_std: u64,
-    long_intensity: u64,
-    short_intensity: u64,
+    long_intensity_volume: u64,
+    short_intensity_volume: u64,
     volume_24h: u64,
 ) -> DriftResult<(u64, u64)> {
     // 1.6 * std
-    let market_avg_std_pct = oracle_std
+    let market_avg_std_pct: u128 = oracle_std
         .safe_add(mark_std)?
-        .safe_mul(PERCENTAGE_PRECISION_U64)?
-        .safe_div(reserve_price)?
+        .cast::<u128>()?
+        .safe_mul(PERCENTAGE_PRECISION)?
+        .safe_div(reserve_price.cast::<u128>()?)?
         .safe_div(2)?;
 
-    let vol_spread: u64 = last_oracle_conf_pct.max(market_avg_std_pct.safe_div(2)?);
+    let vol_spread: u128 = last_oracle_conf_pct
+        .cast::<u128>()?
+        .max(market_avg_std_pct.safe_div(2)?);
 
-    let factor_clamp_min = PERCENTAGE_PRECISION_U64 / 100; // .01
-    let factor_clamp_max = 16 * PERCENTAGE_PRECISION_U64 / 10; // 1.6
+    let factor_clamp_min: u128 = PERCENTAGE_PRECISION / 100; // .01
+    let factor_clamp_max: u128 = 16 * PERCENTAGE_PRECISION / 10; // 1.6
 
-    let long_vol_spread_factor: u64 = long_intensity
-        .safe_mul(PERCENTAGE_PRECISION_U64)?
-        .safe_div(max(volume_24h, 1))?
+    let long_vol_spread_factor: u128 = long_intensity_volume
+        .cast::<u128>()?
+        .safe_mul(PERCENTAGE_PRECISION)?
+        .safe_div(max(volume_24h.cast::<u128>()?, 1))?
         .clamp(factor_clamp_min, factor_clamp_max);
-    let short_vol_spread_factor: u64 = short_intensity
-        .safe_mul(PERCENTAGE_PRECISION_U64)?
-        .safe_div(max(volume_24h, 1))?
+    let short_vol_spread_factor: u128 = short_intensity_volume
+        .cast::<u128>()?
+        .safe_mul(PERCENTAGE_PRECISION)?
+        .safe_div(max(volume_24h.cast::<u128>()?, 1))?
         .clamp(factor_clamp_min, factor_clamp_max);
 
     Ok((
         max(
             last_oracle_conf_pct,
             vol_spread
                 .safe_mul(long_vol_spread_factor)?
-                .safe_div(PERCENTAGE_PRECISION_U64)?,
+                .safe_div(PERCENTAGE_PRECISION)?
+                .cast::<u64>()?,
         ),
         max(
             last_oracle_conf_pct,
             vol_spread
                 .safe_mul(short_vol_spread_factor)?
-                .safe_div(PERCENTAGE_PRECISION_U64)?,
+                .safe_div(PERCENTAGE_PRECISION)?
+                .cast::<u64>()?,
         ),
     ))
 }
@@ -274,17 +281,17 @@ pub fn calculate_spread(
     max_base_asset_reserve: u128,
     mark_std: u64,
     oracle_std: u64,
-    long_intensity: u64,
-    short_intensity: u64,
+    long_intensity_volume: u64,
+    short_intensity_volume: u64,
     volume_24h: u64,
 ) -> DriftResult<(u32, u32)> {
     let (long_vol_spread, short_vol_spread) = calculate_long_short_vol_spread(
         last_oracle_conf_pct,
         reserve_price,
         mark_std,
         oracle_std,
-        long_intensity,
-        short_intensity,
+        long_intensity_volume,
+        short_intensity_volume,
         volume_24h,
     )?;