@ox-fun/order-filler v0.1.0

Setting up

This repo has two main branches:

• master: bleeding edge, may be unstable, currently running on the devnet cluster
• mainnet-beta: stable, currently running on the mainnet-beta cluster

Setup Environment

yaml Config file:

A .yaml file can be used to configure the bot setup now. See example.config.yaml for a commented example.

Then you can run the bot by loading the config file:

yarn run dev --config-file=example.config.yaml

Here is a table defining the various fields and their usage/defaults:

Install dependencies

Run from repo root to install npm dependencies:

yarn

Initialize User

A ClearingHouseUser must be created before interacting with the ClearingHouse program.

yarn run dev --init-user

Alternatively, you can put the private key into a browser wallet and use the UI at https://app.drift.trade to initialize the user.

Collateral

Some bots (i.e. trading, liquidator and JIT makers) require collateral in order to keep positions open, a helper function is included to help with depositing collateral. A user must be initialized first before collateral may be deposited.

# deposit 10,000 USDC
yarn run dev --force-deposit 10000

Alternatively, you can put the private key into a browser wallet and use the UI at https://app.drift.trade to deposit collateral.

Free collateral is what is determines the size of borrows and perp positions that an account can have. Free collateral = total collateral - initial margin requirement. Total collateral is the value of the spot assets in your account + unrealized perp pnl. The initial margin requirement is the total weighted value of the perp positions and spot liabilities in your account. The initial margin requirement weights are determined here. In simple terms, free collateral is essentially the amount of total collateral that is not being used up by borrows and existing perp positions and open orders.

Run Bots

After creating your config.yaml file as above, run with:

yarn run dev --config-file=config.yaml

By default, some Prometheus metrics are exposed on localhost:9464/metrics.

Notes on some bots

Filler Bot

Include filler and/or spotFiller under .enabledBots in config.yaml. For a lightweight version of a filler bot for perp markets, include fillerLite rather than filler in config.yaml. The lighter version of the filler can be run on public RPCs for testing, but is not as stable.

Read the docs: https://docs.drift.trade/keepers-and-decentralised-orderbook

Fills (matches) crossing orders on the exchange for a small cut of the taker fees. Fillers maintain a copy of the DLOB to look for orders that cross. Fillers will also attempt to execute triggerable orders.

Common errors

When running the filler bots, you might see the following error codes in the transaction logs on a failed in pre-flight simulation:

For perps

Other messages

Liquidator Bot

The liquidator bot monitors spot and perp markets for bankrupt accounts, and attempts to liquidate positions according to the protocol's liquidation process.

Notes on derisking (useJupiter)

This liquidator implementation includes an option to useJupiter to derisk (sell) spot assets into USDC. The derisk loop will use the more favorable of Drift spot or Jupiter before executing. Set useJupiter under the liquidator config to enable this behavior (see below).

You may also set disableAutoDerisking to true, to disable the derisking loop. You may want to do this as part of a larger strategy where you are ok with taking on risk at a favorable to market price (liquidation fee applied).

Notes on configuring subaccount

By default the liquidator will attempt to liqudate (inherit the risk of) endangered positions in all markets. Set botConfigs.liquidator.perpMarketIndicies and/or botConfigs.liquidator.spotMarketIndicies in the config file to restrict which markets you want to liquidate. The account specified in global.subaccounts will be used as the active account.

perpSubaccountConfig and spotSubaccountConfig can be used instead of perpMarketIndicies and spotMarketIndicies to specify a mapping from subaccount to list of market indicies. The value of these 2 fields are json strings:

An example config.yaml

botConfigs:
  ...
  liquidator:
    ...
    useJupiter: true
    perpSubAccountConfig:
      0:
        - 0
        - 1
        - 2
      1:
        - 3
        - 4
        - 5
        - 6
        - 7
        - 8
        - 9
        - 10
        - 11
        - 12
    spotSubAccountConfig:
      0:
        - 0
        - 1
        - 2

Means the liquidator will liquidate perp markets 0-2 using subaccount 0, perp markets 3-12 using subaccount 1, and spot markets 0-2 using subaccount 0. It will also use jupiter to derisk spot assets into USDC. Make sure that for all subaccounts specified in the botConfigs, that they are also listed in the global configs. So for the above example config:

global:
  ...
  subaccounts: [0, 1]

Common errors

When running the liquidator, you might see the following error codes in the transaction logs on a failed in pre-flight simulation:

Jit Maker

The jit maker bot supplies liquidity to the protocol by participating in jit acutions for perp markets. Before running a jit maker bot, be sure to read the documentation below:

Read the docs on jit auctions: https://docs.drift.trade/just-in-time-jit-auctions

Read the docs on the jit proxy client: https://github.com/drift-labs/jit-proxy/blob/master/ts/sdk/Readme.md

Be aware that running a jit maker means taking on positional risk, so be sure to manage your risk properly!

Implementation

This sample jit maker uses the jit proxy client, and updates JitParams for the markets specified in the config. The bot will update its bid and ask to match the current top level market in the DLOB, and specifies its maximum position size to keep leverage at 1. The jit maker will attempt to fill taker orders that cross its market that's specified in the JitParams. If the current auction price does not cross the bid/ask the transaction will fail during pre-flight simulation, because for the purposes of the jit proxy program, the market is considered the market maker's worst acceptable price of execution. For order execution, the jit maker currently uses the JitterSniper -- read more on the jitters and different options in the jit proxy client documentation (link above).

This bot is meant to serve as a starting off point for participating in jit auctions. To increase strategy complexity, consider different strategies for updating your markets. To change the amount of leverage, change the constant TARGET_LEVERAGE_PER_ACCOUNT before running.

Common errors

Running the bot and notes on configs

jitMaker.config.yaml is supplied as an example, and a jit maker can be run with yarn run dev --config-file=jitMaker.config.yaml. Jit maker bots require colleteral, so make sure to specify depositing collateral in the config file using forceDeposit, or deposit collateral using the app or SDK before running the bot.

To avoid errors being thrown during initialization, remember to enumerate in the global configs the subaccounts being used in the bot configs. An example below in a config.yaml file:

global:
  ...
  subaccounts: [0, 1] <----- bot configs specify subaccounts of [0, 1, 1], so make sure we load in [0, 1] in global configs to properly initialize driftClient!


botConfigs:
  jitMaker:
    botId: "jitMaker"
    dryRun: false
    # below, ordering is important: match the subaccountIds to perpMarketindices.
    # e.g. to MM perp markets 0, 1 both on subaccount 0, then subaccounts=[0,0], perpMarketIndicies=[0,1]
    #      to MM perp market 0 on subaccount 0 and perp market 1 on subaccount 1, then subaccounts=[0, 1], perpMarketIndicies=[0, 1]
    # also, make sure all subaccounts are loaded in the global config subaccounts above to avoid errors
    subaccounts: [0, 1, 1] <--------------- the subaccount set should be specified above too!
    perpMarketIndicies: [0, 1, 2]