Time In Force (#23) (#25)

Time-in-force (TIF) orders for Phoenix v1.

Changes:
- Uses the padding on the FIFORestingOrder to store and expiration slot
and an expiration time
- Modifies the OrderPacket struct to enable specification of expiration
- Injects logic into the matching engine to skip orders that are expired

Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "phoenix-v1"
-version = "0.1.4"
+version = "0.2.0"
 edition = "2021"
 resolver = "2"
 repository = "https://github.com/Ellipsis-Labs/phoenix-v1"

idl/generateClient.js

@@ -1,4 +1,5 @@
 const { Solita } = require("@metaplex-foundation/solita");
+const { spawn } = require("child_process");
 
 const path = require("path");
 const idlDir = __dirname;
@@ -8,7 +9,18 @@ const PROGRAM_NAME = "phoenix_v1";
 
 async function main() {
   generateTypeScriptSDK().then(() => {
-    conoole.log("done");
+    console.log("Running prettier on generated files...");
+    // Note: prettier is not a dependency of this package, so it must be installed
+    // TODO: Add a prettier config file for consistent style
+    spawn("prettier", ["--write", sdkDir], { stdio: "inherit" })
+      .on("error", (err) => {
+        console.error(
+          "Failed to lint client files. Try installing prettier (`npm install --save-dev --save-exact prettier`)"
+        );
+      })
+      .on("exit", () => {
+        console.log("Finished linting files.");
+      });
   });
 }
 
@@ -18,8 +30,6 @@ async function generateTypeScriptSDK() {
   const idl = require(generatedIdlPath);
   const gen = new Solita(idl, { formatCode: true });
   await gen.renderAndWriteTo(sdkDir);
-  console.error("Success!");
-  process.exit(0);
 }
 
 main().catch((err) => {

idl/phoenix_v1.json

@@ -1,5 +1,5 @@
 {
-  "version": "0.1.4",
+  "version": "0.2.0",
   "name": "phoenix_v1",
   "instructions": [
     {
@@ -1800,6 +1800,58 @@
         ]
       }
     },
+    {
+      "name": "TimeInForceEvent",
+      "type": {
+        "kind": "struct",
+        "fields": [
+          {
+            "name": "index",
+            "type": "u16"
+          },
+          {
+            "name": "orderSequenceNumber",
+            "type": "u64"
+          },
+          {
+            "name": "lastValidSlot",
+            "type": "u64"
+          },
+          {
+            "name": "lastValidUnixTimestampInSeconds",
+            "type": "u64"
+          }
+        ]
+      }
+    },
+    {
+      "name": "ExpiredOrderEvent",
+      "type": {
+        "kind": "struct",
+        "fields": [
+          {
+            "name": "index",
+            "type": "u16"
+          },
+          {
+            "name": "makerId",
+            "type": "publicKey"
+          },
+          {
+            "name": "orderSequenceNumber",
+            "type": "u64"
+          },
+          {
+            "name": "priceInTicks",
+            "type": "u64"
+          },
+          {
+            "name": "baseLotsRemoved",
+            "type": "u64"
+          }
+        ]
+      }
+    },
     {
       "name": "CancelUpToParams",
       "type": {
@@ -1950,6 +2002,18 @@
           {
             "name": "sizeInBaseLots",
             "type": "u64"
+          },
+          {
+            "name": "lastValidSlot",
+            "type": {
+              "option": "u64"
+            }
+          },
+          {
+            "name": "lastValidUnixTimestampInSeconds",
+            "type": {
+              "option": "u64"
+            }
           }
         ]
       }
@@ -2156,6 +2220,22 @@
                 "defined": "FeeEvent"
               }
             ]
+          },
+          {
+            "name": "TimeInForce",
+            "fields": [
+              {
+                "defined": "TimeInForceEvent"
+              }
+            ]
+          },
+          {
+            "name": "ExpiredOrder",
+            "fields": [
+              {
+                "defined": "ExpiredOrderEvent"
+              }
+            ]
           }
         ]
       }
@@ -2236,6 +2316,18 @@
               {
                 "name": "use_only_deposited_funds",
                 "type": "bool"
+              },
+              {
+                "name": "last_valid_slot",
+                "type": {
+                  "option": "u64"
+                }
+              },
+              {
+                "name": "last_valid_unix_timestamp_in_seconds",
+                "type": {
+                  "option": "u64"
+                }
               }
             ]
           },
@@ -2275,6 +2367,18 @@
               {
                 "name": "use_only_deposited_funds",
                 "type": "bool"
+              },
+              {
+                "name": "last_valid_slot",
+                "type": {
+                  "option": "u64"
+                }
+              },
+              {
+                "name": "last_valid_unix_timestamp_in_seconds",
+                "type": {
+                  "option": "u64"
+                }
               }
             ]
           },

src/program/events.rs

@@ -65,6 +65,23 @@ pub struct FeeEvent {
     pub fees_collected_in_quote_lots: u64,
 }
 
+#[derive(Debug, Copy, Clone, BorshDeserialize, BorshSerialize)]
+pub struct TimeInForceEvent {
+    pub index: u16,
+    pub order_sequence_number: u64,
+    pub last_valid_slot: u64,
+    pub last_valid_unix_timestamp_in_seconds: u64,
+}
+
+#[derive(Debug, Copy, Clone, BorshDeserialize, BorshSerialize)]
+pub struct ExpiredOrderEvent {
+    pub index: u16,
+    pub maker_id: Pubkey,
+    pub order_sequence_number: u64,
+    pub price_in_ticks: u64,
+    pub base_lots_removed: u64,
+}
+
 #[derive(Debug, Copy, Clone, BorshDeserialize, BorshSerialize)]
 pub enum PhoenixMarketEvent {
     Uninitialized,
@@ -75,6 +92,8 @@ pub enum PhoenixMarketEvent {
     Evict(EvictEvent),
     FillSummary(FillSummaryEvent),
     Fee(FeeEvent),
+    TimeInForce(TimeInForceEvent),
+    ExpiredOrder(ExpiredOrderEvent),
 }
 
 impl Default for PhoenixMarketEvent {
@@ -92,6 +111,8 @@ impl PhoenixMarketEvent {
             Self::FillSummary(FillSummaryEvent { index, .. }) => *index = i,
             Self::Evict(EvictEvent { index, .. }) => *index = i,
             Self::Fee(FeeEvent { index, .. }) => *index = i,
+            Self::TimeInForce(TimeInForceEvent { index, .. }) => *index = i,
+            Self::ExpiredOrder(ExpiredOrderEvent { index, .. }) => *index = i,
             _ => panic!("Cannot set index on uninitialized or header event"),
         }
     }
@@ -168,6 +189,28 @@ impl From<MarketEvent<Pubkey>> for PhoenixMarketEvent {
                 fees_collected_in_quote_lots: fees_collected_in_quote_lots.into(),
                 index: 0,
             }),
+            MarketEvent::<Pubkey>::TimeInForce {
+                order_sequence_number,
+                last_valid_slot,
+                last_valid_unix_timestamp_in_seconds,
+            } => Self::TimeInForce(TimeInForceEvent {
+                order_sequence_number,
+                last_valid_slot,
+                last_valid_unix_timestamp_in_seconds,
+                index: 0,
+            }),
+            MarketEvent::<Pubkey>::ExpiredOrder {
+                maker_id,
+                order_sequence_number,
+                price_in_ticks,
+                base_lots_removed,
+            } => Self::ExpiredOrder(ExpiredOrderEvent {
+                maker_id,
+                order_sequence_number,
+                price_in_ticks: price_in_ticks.into(),
+                base_lots_removed: base_lots_removed.into(),
+                index: 0,
+            }),
         }
     }
 }

src/program/processor/cancel_multiple_orders.rs

@@ -1,8 +1,9 @@
 use crate::{
     program::{
-        dispatch_market::load_with_dispatch_mut, loaders::CancelOrWithdrawContext as Cancel,
-        token_utils::try_withdraw, validation::checkers::phoenix_checkers::MarketAccountInfo,
-        MarketHeader, PhoenixMarketContext, PhoenixVaultContext,
+        assert_with_msg, dispatch_market::load_with_dispatch_mut,
+        loaders::CancelOrWithdrawContext as Cancel, token_utils::try_withdraw,
+        validation::checkers::phoenix_checkers::MarketAccountInfo, MarketHeader, PhoenixError,
+        PhoenixMarketContext, PhoenixVaultContext,
     },
     quantities::{Ticks, WrapperU64},
     state::{
@@ -279,6 +280,19 @@ pub(crate) fn process_cancel_orders<'a, 'info>(
             num_quote_lots_out * header.get_quote_lot_size(),
             num_base_lots_out * header.get_base_lot_size(),
         )?;
+    } else {
+        // This case is only reached if the user invoked CancelUpToWithFreeFunds
+        // In this case, there should be no funds to claim
+        assert_with_msg(
+            num_quote_lots_out == 0,
+            PhoenixError::CancelMultipleOrdersError,
+            "num_quote_lots_out must be 0",
+        )?;
+        assert_with_msg(
+            num_base_lots_out == 0,
+            PhoenixError::CancelMultipleOrdersError,
+            "num_base_lots_out must be 0",
+        )?;
     }
 
     Ok(())