Capture Drift Funding Rates On-Chain

Program API

• initialize_vault: initialize a new vault
• deposit: deposit collateral (usdc) into vault and get vault tokens
• withdraw: withdraw deposited collateral from vault by burning vault tokens
• update_position: update the vault's position (can be called by anyone)
  • if the funding rate means the shorts pays the longs => will go long
  • if the funding rate means the longs pays the shorts => will go short

Tests

• test/
  • drift_vault.ts: main vault tests
    • ✔ initializes the vault (500ms)
    • ✔ deposits into vault (545ms)
    • ✔ opens a long when mark < oracle (1539ms)
    • ✔ closes long and goes short when mark > oracle (1555ms)
    • ✔ withdraws from the vault (510ms)
    • ✔ re-deposits in the vault, goes long, captures funding, closes for profit (15625ms)
  • clearing_house_primitives: example tests of how to interact directly with the clearing house via API

other files are copy-pasta'd from the cpi-examples repo (see References).

Setup

• change [provider] wallet path in Anchor.toml
• install anchor version manager (avm) with versions 0.22.0 and 0.19.0 installed
• bash setup.sh: build the clearing house, sdk, mock-pyth program, and vault program

Notes

• protocol-v1 is modified to include a new method update_twaps which allows anyone to set the oracle / mark twaps to whatever they want -- was useful for unit testing different funding rates

References

• largely based off of drift's cpi-example