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Merged
0xahzam merged 2 commits into from
Dec 8, 2025
Merged

Handle missing oracle data in margin calculations #22

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f5f6e60
handle missing oracle data in margin calculations
0xahzam Dec 5, 2025
05026ec
fix lockfile version
0xahzam Dec 5, 2025
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2 changes: 1 addition & 1 deletion Cargo.lock
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163 changes: 85 additions & 78 deletions src/margin.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -85,7 +85,10 @@ pub fn calculate_simplified_margin_requirement(
}

let spot_market = market_state.get_spot_market(spot_position.market_index);
let oracle = market_state.get_spot_oracle_price(spot_position.market_index);
let oracle = market_state
.get_spot_oracle_price(spot_position.market_index)
.ok_or(drift_program::error::ErrorCode::OracleNotFound)?;

let pyth = market_state.get_spot_pyth_price(spot_position.market_index);

let oracle_price = match pyth {
Expand Down Expand Up @@ -199,7 +202,9 @@ pub fn calculate_simplified_margin_requirement(
}

let perp_market = market_state.get_perp_market(perp_position.market_index);
let oracle = market_state.get_perp_oracle_price(perp_position.market_index);
let oracle = market_state
.get_perp_oracle_price(perp_position.market_index)
.ok_or(drift_program::error::ErrorCode::OracleNotFound)?;
let pyth = market_state.get_perp_pyth_price(perp_position.market_index);

let oracle_price = match pyth {
Expand All @@ -217,8 +222,9 @@ pub fn calculate_simplified_margin_requirement(
};

let strict_quote_price = {
let quote_price_data =
market_state.get_spot_oracle_price(perp_market.quote_spot_market_index);
let quote_price_data = market_state
.get_spot_oracle_price(perp_market.quote_spot_market_index)
.ok_or(drift_program::error::ErrorCode::OracleNotFound)?;
StrictOraclePrice {
current: quote_price_data.price,
twap_5min: None,
Expand Down Expand Up @@ -433,58 +439,58 @@ impl IncrementalMarginCalculation {
.position(|c| c.market_index == spot_position.market_index && c.exists())
{
// Calculate new contribution and mutate in place
let new_collateral = calculate_spot_position_collateral(
if let Some(new_collateral) = calculate_spot_position_collateral(
spot_position,
market_state,
self.margin_type,
self.user_custom_margin_ratio,
self.margin_buffer,
timestamp,
self.user_pool_id,
);

// Update the existing position in place
let old_collateral = &self.spot_collateral[pos];

self.total_collateral -= old_collateral.collateral_value;
self.margin_requirement -= old_collateral.liability_value;
self.total_collateral_buffer -= old_collateral.collateral_buffer;
self.margin_requirement_plus_buffer -= old_collateral.liability_buffer;

if spot_position.is_available() {
// removed
self.spot_collateral[pos] = Default::default();
} else {
self.total_collateral += new_collateral.collateral_value;
self.margin_requirement += new_collateral.liability_value;
self.total_collateral_buffer += new_collateral.collateral_buffer;
self.margin_requirement_plus_buffer += new_collateral.liability_buffer;
self.spot_collateral[pos] = new_collateral;
) {
// Update the existing position in place
let old_collateral = &self.spot_collateral[pos];

self.total_collateral -= old_collateral.collateral_value;
self.margin_requirement -= old_collateral.liability_value;
self.total_collateral_buffer -= old_collateral.collateral_buffer;
self.margin_requirement_plus_buffer -= old_collateral.liability_buffer;

if spot_position.is_available() {
// removed
self.spot_collateral[pos] = Default::default();
} else {
self.total_collateral += new_collateral.collateral_value;
self.margin_requirement += new_collateral.liability_value;
self.total_collateral_buffer += new_collateral.collateral_buffer;
self.margin_requirement_plus_buffer += new_collateral.liability_buffer;
self.spot_collateral[pos] = new_collateral;
}
}
} else if !spot_position.is_available() {
// New position, calculate and add
let new_collateral = calculate_spot_position_collateral(
if let Some(new_collateral) = calculate_spot_position_collateral(
spot_position,
market_state,
self.margin_type,
self.user_custom_margin_ratio,
self.margin_buffer,
timestamp,
self.user_pool_id,
);

// Add new contribution
self.total_collateral += new_collateral.collateral_value;
self.margin_requirement += new_collateral.liability_value;
self.total_collateral_buffer += new_collateral.collateral_buffer;
self.margin_requirement_plus_buffer +=
new_collateral.liability_value + new_collateral.liability_buffer;

// insert position
if let Some(idx) = self.spot_collateral.iter().position(|x| {
x.last_updated == 0 && x.collateral_value == 0 && x.liability_value == 0
}) {
self.spot_collateral[idx] = new_collateral;
) {
// Add new contribution
self.total_collateral += new_collateral.collateral_value;
self.margin_requirement += new_collateral.liability_value;
self.total_collateral_buffer += new_collateral.collateral_buffer;
self.margin_requirement_plus_buffer +=
new_collateral.liability_value + new_collateral.liability_buffer;

// insert position
if let Some(idx) = self.spot_collateral.iter().position(|x| {
x.last_updated == 0 && x.collateral_value == 0 && x.liability_value == 0
}) {
self.spot_collateral[idx] = new_collateral;
}
}
}

Expand All @@ -507,52 +513,52 @@ impl IncrementalMarginCalculation {
// Remove old contribution
let old_collateral = &self.perp_collateral[pos];
// Calculate new contribution and mutate in place
let new_collateral = calculate_perp_position_collateral(
if let Some(new_collateral) = calculate_perp_position_collateral(
perp_position,
market_state,
self.margin_type,
self.user_high_leverage_mode,
self.margin_buffer,
timestamp,
);

self.total_collateral -= old_collateral.collateral_value;
self.margin_requirement -= old_collateral.liability_value;
self.total_collateral_buffer -= old_collateral.collateral_buffer;
self.margin_requirement_plus_buffer -= old_collateral.liability_buffer;

if perp_position.is_available() {
// removed
self.perp_collateral[pos] = Default::default();
} else {
self.total_collateral += new_collateral.collateral_value;
self.margin_requirement += new_collateral.liability_value;
self.total_collateral_buffer += new_collateral.collateral_buffer;
self.margin_requirement_plus_buffer += new_collateral.liability_buffer;
self.perp_collateral[pos] = new_collateral;
) {
self.total_collateral -= old_collateral.collateral_value;
self.margin_requirement -= old_collateral.liability_value;
self.total_collateral_buffer -= old_collateral.collateral_buffer;
self.margin_requirement_plus_buffer -= old_collateral.liability_buffer;

if perp_position.is_available() {
// removed
self.perp_collateral[pos] = Default::default();
} else {
self.total_collateral += new_collateral.collateral_value;
self.margin_requirement += new_collateral.liability_value;
self.total_collateral_buffer += new_collateral.collateral_buffer;
self.margin_requirement_plus_buffer += new_collateral.liability_buffer;
self.perp_collateral[pos] = new_collateral;
}
}
} else if !perp_position.is_available() {
// New position, calculate and insert
let new_collateral = calculate_perp_position_collateral(
if let Some(new_collateral) = calculate_perp_position_collateral(
perp_position,
market_state,
self.margin_type,
self.user_high_leverage_mode,
self.margin_buffer,
timestamp,
);
) {
// Add new contribution
self.total_collateral += new_collateral.collateral_value;
self.margin_requirement += new_collateral.liability_value;
self.total_collateral_buffer += new_collateral.collateral_buffer;
self.margin_requirement_plus_buffer += new_collateral.liability_buffer;

// Add new contribution
self.total_collateral += new_collateral.collateral_value;
self.margin_requirement += new_collateral.liability_value;
self.total_collateral_buffer += new_collateral.collateral_buffer;
self.margin_requirement_plus_buffer += new_collateral.liability_buffer;

// insert position
if let Some(idx) = self.perp_collateral.iter().position(|x| {
x.last_updated == 0 && x.collateral_value == 0 && x.liability_value == 0
}) {
self.perp_collateral[idx] = new_collateral;
// insert position
if let Some(idx) = self.perp_collateral.iter().position(|x| {
x.last_updated == 0 && x.collateral_value == 0 && x.liability_value == 0
}) {
self.perp_collateral[idx] = new_collateral;
}
}
}

Expand Down Expand Up @@ -592,10 +598,10 @@ fn calculate_spot_position_collateral(
margin_buffer: u32,
timestamp: u64,
user_pool_id: u8,
) -> PositionCollateral {
) -> Option<PositionCollateral> {
let margin_buffer = margin_buffer as u128;
let spot_market = market_state.get_spot_market(spot_position.market_index);
let oracle_price = market_state.get_spot_oracle_price(spot_position.market_index);
let oracle_price = market_state.get_spot_oracle_price(spot_position.market_index)?;

// Create strict oracle price for worst-case simulation
// in non-strict mode ignore twap (same as simplified calculation)
Expand Down Expand Up @@ -683,14 +689,14 @@ fn calculate_spot_position_collateral(
let open_order_margin = calculate_spot_open_order_margin(spot_position);
liability_value += open_order_margin;

PositionCollateral {
Some(PositionCollateral {
market_index: spot_position.market_index,
collateral_value,
collateral_buffer: 0,
liability_value,
liability_buffer,
last_updated: timestamp,
}
})
}

fn calculate_perp_position_collateral(
Expand All @@ -700,12 +706,13 @@ fn calculate_perp_position_collateral(
user_high_leverage_mode: bool,
margin_buffer: u32,
timestamp: u64,
) -> PositionCollateral {
) -> Option<PositionCollateral> {
let perp_market = market_state.get_perp_market(perp_position.market_index);
let oracle_price = market_state.get_perp_oracle_price(perp_position.market_index);
let oracle_price = market_state.get_perp_oracle_price(perp_position.market_index)?;

// Get quote price for the perp market
let quote_oracle_data = market_state.get_spot_oracle_price(perp_market.quote_spot_market_index);
let quote_oracle_data =
market_state.get_spot_oracle_price(perp_market.quote_spot_market_index)?;
let strict_quote_price = StrictOraclePrice {
current: quote_oracle_data.price,
twap_5min: None,
Expand Down Expand Up @@ -744,14 +751,14 @@ fn calculate_perp_position_collateral(
collateral_buffer = (collateral_value * margin_buffer as i128) / MARGIN_PRECISION_I128;
}

PositionCollateral {
Some(PositionCollateral {
market_index: perp_position.market_index,
collateral_value,
collateral_buffer,
liability_value,
liability_buffer,
last_updated: timestamp,
}
})
}

// Utility functions
Expand Down
8 changes: 4 additions & 4 deletions src/types.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -241,12 +241,12 @@ impl MarketState {
self.perp_markets.get(&market_index).unwrap()
}

pub fn get_spot_oracle_price(&self, market_index: u16) -> &OraclePriceData {
self.spot_oracle_prices.get(&market_index).unwrap()
pub fn get_spot_oracle_price(&self, market_index: u16) -> Option<&OraclePriceData> {
self.spot_oracle_prices.get(&market_index)
}

pub fn get_perp_oracle_price(&self, market_index: u16) -> &OraclePriceData {
self.perp_oracle_prices.get(&market_index).unwrap()
pub fn get_perp_oracle_price(&self, market_index: u16) -> Option<&OraclePriceData> {
self.perp_oracle_prices.get(&market_index)
}

pub fn get_spot_pyth_price(&self, market_index: u16) -> Option<OraclePriceData> {
Expand Down