Fix price impact for USDC pairs (#990)

* workaround for different WIF symbol in API response * handle price impact for TCS swaps with USDC in pair * handle price impact in other tcs function
blockworks-foundation · Aug 9, 2024 · 96db0b1 · 96db0b1
1 parent 4a868c4
commit 96db0b1
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Showing 4 changed files with 60 additions and 19 deletions.
diff --git a/ts/client/src/accounts/group.ts b/ts/client/src/accounts/group.ts
@@ -604,9 +604,15 @@ export class Group {
   public getPriceImpactByTokenIndex(
     tokenIndex: TokenIndex,
     usdcAmountUi: number,
+    side: 'bid' | 'ask' | undefined = undefined,
   ): number {
     const bank = this.getFirstBankByTokenIndex(tokenIndex);
-    const pisBps = computePriceImpactOnJup(this.pis, usdcAmountUi, bank.name);
+    const pisBps = computePriceImpactOnJup(
+      this.pis,
+      usdcAmountUi,
+      bank.name,
+      side,
+    );
     return (pisBps * 100) / 10000;
   }
 

diff --git a/ts/client/src/accounts/mangoAccount.ts b/ts/client/src/accounts/mangoAccount.ts
@@ -2250,18 +2250,32 @@ export class TokenConditionalSwap {
       liqorTcsChunkSizeInUsd = 1000;
     }
 
-    const buyTokenPriceImpact = group.getPriceImpactByTokenIndex(
-      buyBank.tokenIndex,
-      liqorTcsChunkSizeInUsd,
-    );
-    const sellTokenPriceImpact = group.getPriceImpactByTokenIndex(
-      sellBank.tokenIndex,
-      liqorTcsChunkSizeInUsd,
-    );
+    const buyTokenPriceImpact =
+      buyBank.tokenIndex == 0
+        ? group.getPriceImpactByTokenIndex(
+            sellBank.tokenIndex,
+            liqorTcsChunkSizeInUsd,
+            'ask',
+          )
+        : group.getPriceImpactByTokenIndex(
+            buyBank.tokenIndex,
+            liqorTcsChunkSizeInUsd,
+          );
+    const sellTokenPriceImpact =
+      sellBank.tokenIndex == 0
+        ? group.getPriceImpactByTokenIndex(
+            buyBank.tokenIndex,
+            liqorTcsChunkSizeInUsd,
+            'bid',
+          )
+        : group.getPriceImpactByTokenIndex(
+            buyBank.tokenIndex,
+            liqorTcsChunkSizeInUsd,
+          );
 
     if (buyTokenPriceImpact <= 0 || sellTokenPriceImpact <= 0) {
       throw new Error(
-        `Error compitong slippage/premium for token conditional swap!`,
+        `Error computing slippage/premium for token conditional swap!`,
       );
     }
 

diff --git a/ts/client/src/client.ts b/ts/client/src/client.ts
@@ -4624,14 +4624,28 @@ export class MangoClient {
 
     // TODO: The max premium should likely be computed differently
     if (!maxPricePremiumPercent) {
-      const buyTokenPriceImpact = group.getPriceImpactByTokenIndex(
-        buyBank.tokenIndex,
-        liqorTcsChunkSizeInUsd,
-      );
-      const sellTokenPriceImpact = group.getPriceImpactByTokenIndex(
-        sellBank.tokenIndex,
-        liqorTcsChunkSizeInUsd,
-      );
+      const buyTokenPriceImpact =
+        buyBank.tokenIndex == 0
+          ? group.getPriceImpactByTokenIndex(
+              sellBank.tokenIndex,
+              liqorTcsChunkSizeInUsd,
+              'ask',
+            )
+          : group.getPriceImpactByTokenIndex(
+              buyBank.tokenIndex,
+              liqorTcsChunkSizeInUsd,
+            );
+      const sellTokenPriceImpact =
+        sellBank.tokenIndex == 0
+          ? group.getPriceImpactByTokenIndex(
+              buyBank.tokenIndex,
+              liqorTcsChunkSizeInUsd,
+              'bid',
+            )
+          : group.getPriceImpactByTokenIndex(
+              buyBank.tokenIndex,
+              liqorTcsChunkSizeInUsd,
+            );
 
       if (buyTokenPriceImpact <= 0 || sellTokenPriceImpact <= 0) {
         throw new Error(

diff --git a/ts/client/src/risk.ts b/ts/client/src/risk.ts
@@ -70,6 +70,7 @@ export function computePriceImpactOnJup(
   pis: PriceImpact[],
   usdcAmount: number,
   tokenName: string,
+  side: 'bid' | 'ask' | undefined = undefined,
 ): number {
   try {
     const closestTo = [
@@ -81,8 +82,14 @@ export function computePriceImpactOnJup(
     if (tokenName == 'ETH (Portal)') {
       tokenName = 'ETH';
     }
+    if (tokenName == 'WIF') {
+      tokenName = '$WIF';
+    }
     const filteredPis: PriceImpact[] = pis.filter(
-      (pi) => pi.symbol == tokenName && pi.target_amount == closestTo,
+      (pi) =>
+        pi.symbol == tokenName &&
+        pi.target_amount == closestTo &&
+        (side !== undefined ? pi.side == side : true),
     );
     if (filteredPis.length > 0) {
       return (filteredPis[0].p90 * 10000) / 100;