fix: price liquidations with price bias

Timmy4444 · Nov 1, 2023 · 8ffa916 · 8ffa916
1 parent 74737e0
commit 8ffa916
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Showing 2 changed files with 44 additions and 2 deletions.
diff --git a/programs/marginfi/src/instructions/marginfi_account/liquidate.rs b/programs/marginfi/src/instructions/marginfi_account/liquidate.rs
@@ -118,7 +118,7 @@ pub fn lending_account_liquidate(
                 current_timestamp,
                 MAX_PRICE_AGE_SEC,
             )?;
-            asset_pf.get_price()?
+            asset_pf.get_price_with_lower_bias()?
         };
 
         let mut liab_bank = ctx.accounts.liab_bank.load_mut()?;
@@ -131,7 +131,7 @@ pub fn lending_account_liquidate(
                 MAX_PRICE_AGE_SEC,
             )?;
 
-            liab_pf.get_price()?
+            liab_pf.get_price_with_higher_bias()?
         };
 
         let final_discount = I80F48::ONE - (LIQUIDATION_INSURANCE_FEE + LIQUIDATION_LIQUIDATOR_FEE);

diff --git a/programs/marginfi/src/state/price.rs b/programs/marginfi/src/state/price.rs
@@ -32,6 +32,8 @@ pub trait PriceAdapter {
     /// Get a normalized price range for the given price feed.
     /// The range is the price +/- the CONF_INTERVAL_MULTIPLE * confidence interval.
     fn get_price_range(&self) -> MarginfiResult<(I80F48, I80F48)>;
+    fn get_price_with_lower_bias(&self) -> MarginfiResult<I80F48>;
+    fn get_price_with_higher_bias(&self) -> MarginfiResult<I80F48>;
 }
 
 #[enum_dispatch(PriceAdapter)]
@@ -161,6 +163,24 @@ impl PriceAdapter for PythEmaPriceFeed {
 
         Ok((lowest_price, highest_price))
     }
+
+    fn get_price_with_lower_bias(&self) -> MarginfiResult<I80F48> {
+        let price = self.get_price()?;
+        let conf_interval = self.get_confidence_interval()?;
+
+        let price = price.checked_sub(conf_interval).ok_or_else(math_error!())?;
+
+        Ok(price)
+    }
+
+    fn get_price_with_higher_bias(&self) -> MarginfiResult<I80F48> {
+        let price = self.get_price()?;
+        let conf_interval = self.get_confidence_interval()?;
+
+        let price = price.checked_add(conf_interval).ok_or_else(math_error!())?;
+
+        Ok(price)
+    }
 }
 
 pub struct SwitchboardV2PriceFeed {
@@ -248,6 +268,28 @@ impl PriceAdapter for SwitchboardV2PriceFeed {
 
         Ok((lowest_price, highest_price))
     }
+
+    fn get_price_with_lower_bias(&self) -> MarginfiResult<I80F48> {
+        let base_price = self.get_price()?;
+        let price_range = self.get_confidence_interval()?;
+
+        let lowest_price = base_price
+            .checked_sub(price_range)
+            .ok_or_else(math_error!())?;
+
+        Ok(lowest_price)
+    }
+
+    fn get_price_with_higher_bias(&self) -> MarginfiResult<I80F48> {
+        let base_price = self.get_price()?;
+        let price_range = self.get_confidence_interval()?;
+
+        let highest_price = base_price
+            .checked_add(price_range)
+            .ok_or_else(math_error!())?;
+
+        Ok(highest_price)
+    }
 }
 
 /// A slimmed down version of the AggregatorAccountData struct copied from the switchboard-v2/src/aggregator.rs