@drift-labs/common 1.0.59 → 1.0.60

package/lib/utils/math/index.d.ts

@@ -0,0 +1,7 @@
+export * from './numbers';
+export * from './bn';
+export * from './bignum';
+export * from './precision';
+export * from './spread';
+export * from './price';
+export * from './sort';

package/lib/utils/math/index.js

@@ -0,0 +1,24 @@
+"use strict";
+var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    var desc = Object.getOwnPropertyDescriptor(m, k);
+    if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
+      desc = { enumerable: true, get: function() { return m[k]; } };
+    }
+    Object.defineProperty(o, k2, desc);
+}) : (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    o[k2] = m[k];
+}));
+var __exportStar = (this && this.__exportStar) || function(m, exports) {
+    for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+__exportStar(require("./numbers"), exports);
+__exportStar(require("./bn"), exports);
+__exportStar(require("./bignum"), exports);
+__exportStar(require("./precision"), exports);
+__exportStar(require("./spread"), exports);
+__exportStar(require("./price"), exports);
+__exportStar(require("./sort"), exports);
+//# sourceMappingURL=index.js.map

package/lib/utils/math/index.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/utils/math/index.ts"],"names":[],"mappings":";;;;;;;;;;;;;;;;AAAA,4CAA0B;AAC1B,uCAAqB;AACrB,2CAAyB;AACzB,8CAA4B;AAC5B,2CAAyB;AACzB,0CAAwB;AACxB,yCAAuB","sourcesContent":["export * from './numbers';\nexport * from './bn';\nexport * from './bignum';\nexport * from './precision';\nexport * from './spread';\nexport * from './price';\nexport * from './sort';\n"]}

package/lib/utils/math/numbers.d.ts

@@ -0,0 +1,13 @@
+export declare const aprFromApy: (apy: number, compoundsPerYear: number) => number;
+export declare const calculateMean: (numbers: number[]) => number;
+export declare const calculateMedian: (numbers: number[]) => number;
+export declare const calculateStandardDeviation: (numbers: number[], mean: number) => number;
+/**
+ * Returns the number of standard deviations between a target value and the history of values to compare it to.
+ * @param target
+ * @param previousValues
+ * @returns
+ */
+export declare const calculateZScore: (target: number, previousValues: number[]) => number;
+export declare const getPctCompletion: (start: number, end: number, current: number) => number;
+export declare function roundToDecimal(value: number, decimals: number | undefined | null): number;

package/lib/utils/math/numbers.js

@@ -0,0 +1,56 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.roundToDecimal = exports.getPctCompletion = exports.calculateZScore = exports.calculateStandardDeviation = exports.calculateMedian = exports.calculateMean = exports.aprFromApy = void 0;
+const aprFromApy = (apy, compoundsPerYear) => {
+    const compoundedAmount = 1 + apy * 0.01;
+    const estimatedApr = (Math.pow(compoundedAmount, 1 / compoundsPerYear) - 1) * compoundsPerYear;
+    return estimatedApr * 100;
+};
+exports.aprFromApy = aprFromApy;
+const calculateMean = (numbers) => {
+    const sum = numbers.reduce((total, num) => total + num, 0);
+    return sum / numbers.length;
+};
+exports.calculateMean = calculateMean;
+const calculateMedian = (numbers) => {
+    const sortedNumbers = numbers.sort();
+    const middleIndex = Math.floor(sortedNumbers.length / 2);
+    if (sortedNumbers.length % 2 === 0) {
+        return (sortedNumbers[middleIndex - 1] + sortedNumbers[middleIndex]) / 2;
+    }
+    else {
+        return sortedNumbers[middleIndex];
+    }
+};
+exports.calculateMedian = calculateMedian;
+const calculateStandardDeviation = (numbers, mean) => {
+    const squaredDifferences = numbers.map((num) => Math.pow(num - mean, 2));
+    const sumSquaredDifferences = squaredDifferences.reduce((total, diff) => total + diff, 0);
+    const variance = sumSquaredDifferences / numbers.length;
+    return Math.sqrt(variance);
+};
+exports.calculateStandardDeviation = calculateStandardDeviation;
+/**
+ * Returns the number of standard deviations between a target value and the history of values to compare it to.
+ * @param target
+ * @param previousValues
+ * @returns
+ */
+const calculateZScore = (target, previousValues) => {
+    const meanValue = (0, exports.calculateMean)(previousValues);
+    const standardDeviationValue = (0, exports.calculateStandardDeviation)(previousValues, meanValue);
+    const zScore = (target - meanValue) / standardDeviationValue;
+    return zScore;
+};
+exports.calculateZScore = calculateZScore;
+const getPctCompletion = (start, end, current) => {
+    const totalProgressSize = end - start;
+    const currentProgressSize = current - start;
+    return (currentProgressSize / totalProgressSize) * 100;
+};
+exports.getPctCompletion = getPctCompletion;
+function roundToDecimal(value, decimals) {
+    return decimals ? Math.round(value * 10 ** decimals) / 10 ** decimals : value;
+}
+exports.roundToDecimal = roundToDecimal;
+//# sourceMappingURL=numbers.js.map

package/lib/utils/math/numbers.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"numbers.js","sourceRoot":"","sources":["../../../src/utils/math/numbers.ts"],"names":[],"mappings":";;;AAAO,MAAM,UAAU,GAAG,CAAC,GAAW,EAAE,gBAAwB,EAAE,EAAE;IACnE,MAAM,gBAAgB,GAAG,CAAC,GAAG,GAAG,GAAG,IAAI,CAAC;IACxC,MAAM,YAAY,GACjB,CAAC,IAAI,CAAC,GAAG,CAAC,gBAAgB,EAAE,CAAC,GAAG,gBAAgB,CAAC,GAAG,CAAC,CAAC,GAAG,gBAAgB,CAAC;IAE3E,OAAO,YAAY,GAAG,GAAG,CAAC;AAC3B,CAAC,CAAC;AANW,QAAA,UAAU,cAMrB;AAEK,MAAM,aAAa,GAAG,CAAC,OAAiB,EAAU,EAAE;IAC1D,MAAM,GAAG,GAAG,OAAO,CAAC,MAAM,CAAC,CAAC,KAAK,EAAE,GAAG,EAAE,EAAE,CAAC,KAAK,GAAG,GAAG,EAAE,CAAC,CAAC,CAAC;IAC3D,OAAO,GAAG,GAAG,OAAO,CAAC,MAAM,CAAC;AAC7B,CAAC,CAAC;AAHW,QAAA,aAAa,iBAGxB;AAEK,MAAM,eAAe,GAAG,CAAC,OAAiB,EAAU,EAAE;IAC5D,MAAM,aAAa,GAAG,OAAO,CAAC,IAAI,EAAE,CAAC;IACrC,MAAM,WAAW,GAAG,IAAI,CAAC,KAAK,CAAC,aAAa,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC;IACzD,IAAI,aAAa,CAAC,MAAM,GAAG,CAAC,KAAK,CAAC,EAAE,CAAC;QACpC,OAAO,CAAC,aAAa,CAAC,WAAW,GAAG,CAAC,CAAC,GAAG,aAAa,CAAC,WAAW,CAAC,CAAC,GAAG,CAAC,CAAC;IAC1E,CAAC;SAAM,CAAC;QACP,OAAO,aAAa,CAAC,WAAW,CAAC,CAAC;IACnC,CAAC;AACF,CAAC,CAAC;AARW,QAAA,eAAe,mBAQ1B;AAEK,MAAM,0BAA0B,GAAG,CACzC,OAAiB,EACjB,IAAY,EACH,EAAE;IACX,MAAM,kBAAkB,GAAG,OAAO,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,CAAC,IAAI,CAAC,GAAG,CAAC,GAAG,GAAG,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;IACzE,MAAM,qBAAqB,GAAG,kBAAkB,CAAC,MAAM,CACtD,CAAC,KAAK,EAAE,IAAI,EAAE,EAAE,CAAC,KAAK,GAAG,IAAI,EAC7B,CAAC,CACD,CAAC;IACF,MAAM,QAAQ,GAAG,qBAAqB,GAAG,OAAO,CAAC,MAAM,CAAC;IACxD,OAAO,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;AAC5B,CAAC,CAAC;AAXW,QAAA,0BAA0B,8BAWrC;AAEF;;;;;GAKG;AACI,MAAM,eAAe,GAAG,CAC9B,MAAc,EACd,cAAwB,EACf,EAAE;IACX,MAAM,SAAS,GAAG,IAAA,qBAAa,EAAC,cAAc,CAAC,CAAC;IAChD,MAAM,sBAAsB,GAAG,IAAA,kCAA0B,EACxD,cAAc,EACd,SAAS,CACT,CAAC;IAEF,MAAM,MAAM,GAAG,CAAC,MAAM,GAAG,SAAS,CAAC,GAAG,sBAAsB,CAAC;IAC7D,OAAO,MAAM,CAAC;AACf,CAAC,CAAC;AAZW,QAAA,eAAe,mBAY1B;AAEK,MAAM,gBAAgB,GAAG,CAC/B,KAAa,EACb,GAAW,EACX,OAAe,EACd,EAAE;IACH,MAAM,iBAAiB,GAAG,GAAG,GAAG,KAAK,CAAC;IACtC,MAAM,mBAAmB,GAAG,OAAO,GAAG,KAAK,CAAC;IAE5C,OAAO,CAAC,mBAAmB,GAAG,iBAAiB,CAAC,GAAG,GAAG,CAAC;AACxD,CAAC,CAAC;AATW,QAAA,gBAAgB,oBAS3B;AAEF,SAAgB,cAAc,CAC7B,KAAa,EACb,QAAmC;IAEnC,OAAO,QAAQ,CAAC,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,KAAK,GAAG,EAAE,IAAI,QAAQ,CAAC,GAAG,EAAE,IAAI,QAAQ,CAAC,CAAC,CAAC,KAAK,CAAC;AAC/E,CAAC;AALD,wCAKC","sourcesContent":["export const aprFromApy = (apy: number, compoundsPerYear: number) => {\n\tconst compoundedAmount = 1 + apy * 0.01;\n\tconst estimatedApr =\n\t\t(Math.pow(compoundedAmount, 1 / compoundsPerYear) - 1) * compoundsPerYear;\n\n\treturn estimatedApr * 100;\n};\n\nexport const calculateMean = (numbers: number[]): number => {\n\tconst sum = numbers.reduce((total, num) => total + num, 0);\n\treturn sum / numbers.length;\n};\n\nexport const calculateMedian = (numbers: number[]): number => {\n\tconst sortedNumbers = numbers.sort();\n\tconst middleIndex = Math.floor(sortedNumbers.length / 2);\n\tif (sortedNumbers.length % 2 === 0) {\n\t\treturn (sortedNumbers[middleIndex - 1] + sortedNumbers[middleIndex]) / 2;\n\t} else {\n\t\treturn sortedNumbers[middleIndex];\n\t}\n};\n\nexport const calculateStandardDeviation = (\n\tnumbers: number[],\n\tmean: number\n): number => {\n\tconst squaredDifferences = numbers.map((num) => Math.pow(num - mean, 2));\n\tconst sumSquaredDifferences = squaredDifferences.reduce(\n\t\t(total, diff) => total + diff,\n\t\t0\n\t);\n\tconst variance = sumSquaredDifferences / numbers.length;\n\treturn Math.sqrt(variance);\n};\n\n/**\n * Returns the number of standard deviations between a target value and the history of values to compare it to.\n * @param target\n * @param previousValues\n * @returns\n */\nexport const calculateZScore = (\n\ttarget: number,\n\tpreviousValues: number[]\n): number => {\n\tconst meanValue = calculateMean(previousValues);\n\tconst standardDeviationValue = calculateStandardDeviation(\n\t\tpreviousValues,\n\t\tmeanValue\n\t);\n\n\tconst zScore = (target - meanValue) / standardDeviationValue;\n\treturn zScore;\n};\n\nexport const getPctCompletion = (\n\tstart: number,\n\tend: number,\n\tcurrent: number\n) => {\n\tconst totalProgressSize = end - start;\n\tconst currentProgressSize = current - start;\n\n\treturn (currentProgressSize / totalProgressSize) * 100;\n};\n\nexport function roundToDecimal(\n\tvalue: number,\n\tdecimals: number | undefined | null\n) {\n\treturn decimals ? Math.round(value * 10 ** decimals) / 10 ** decimals : value;\n}\n"]}

package/lib/utils/math/precision.d.ts

@@ -0,0 +1,19 @@
+export declare const TRADE_PRECISION = 6;
+export declare const truncateInputToPrecision: (input: string, marketPrecisionExp: BN) => string;
+export declare const roundToStepSize: (value: string, stepSize?: number) => string;
+export declare const roundToStepSizeIfLargeEnough: (value: string, stepSize?: number) => string;
+export declare const valueIsBelowStepSize: (value: string, stepSize: number) => boolean;
+/**
+ * NOTE: Do not use modulo alone to check if numbers fit evenly.
+ * Due to floating point precision issues this can return incorrect results.
+ * i.e. 5.1 % 0.1 = 0.09999999999999959 (should be 0)
+ * tells me 5.1 / 0.1 = 50.99999999999999
+ */
+export declare const numbersFitEvenly: (numberOne: number, numberTwo: number) => boolean;
+/**
+ * Check if numbers divide exactly, accounting for floating point division annoyingness
+ * @param numerator
+ * @param denominator
+ * @returns
+ */
+export declare const dividesExactly: (numerator: number, denominator: number) => boolean;

package/lib/utils/math/precision.js

@@ -0,0 +1,73 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.dividesExactly = exports.numbersFitEvenly = exports.valueIsBelowStepSize = exports.roundToStepSizeIfLargeEnough = exports.roundToStepSize = exports.truncateInputToPrecision = exports.TRADE_PRECISION = void 0;
+const sdk_1 = require("@drift-labs/sdk");
+exports.TRADE_PRECISION = 6;
+const truncateInputToPrecision = (input, marketPrecisionExp) => {
+    var _a, _b;
+    const decimalPlaces = (_b = (_a = input.split('.')[1]) === null || _a === void 0 ? void 0 : _a.length) !== null && _b !== void 0 ? _b : 0;
+    const maxDecimals = marketPrecisionExp.toNumber();
+    if (decimalPlaces > maxDecimals) {
+        return input.slice(0, input.length - (decimalPlaces - maxDecimals));
+    }
+    return input;
+};
+exports.truncateInputToPrecision = truncateInputToPrecision;
+const roundToStepSize = (value, stepSize) => {
+    var _a, _b;
+    const stepSizeExp = (_b = (_a = stepSize === null || stepSize === void 0 ? void 0 : stepSize.toString().split('.')[1]) === null || _a === void 0 ? void 0 : _a.length) !== null && _b !== void 0 ? _b : 0;
+    const truncatedValue = (0, exports.truncateInputToPrecision)(value, new sdk_1.BN(stepSizeExp));
+    if (truncatedValue.charAt(truncatedValue.length - 1) === '.') {
+        return truncatedValue.slice(0, -1);
+    }
+    return truncatedValue;
+};
+exports.roundToStepSize = roundToStepSize;
+const roundToStepSizeIfLargeEnough = (value, stepSize) => {
+    const parsedValue = parseFloat(value);
+    if (isNaN(parsedValue) || stepSize === 0 || !value || parsedValue === 0) {
+        return value;
+    }
+    return (0, exports.roundToStepSize)(value, stepSize);
+};
+exports.roundToStepSizeIfLargeEnough = roundToStepSizeIfLargeEnough;
+const valueIsBelowStepSize = (value, stepSize) => {
+    const parsedValue = parseFloat(value);
+    if (isNaN(parsedValue))
+        return false;
+    return parsedValue < stepSize;
+};
+exports.valueIsBelowStepSize = valueIsBelowStepSize;
+/**
+ * NOTE: Do not use modulo alone to check if numbers fit evenly.
+ * Due to floating point precision issues this can return incorrect results.
+ * i.e. 5.1 % 0.1 = 0.09999999999999959 (should be 0)
+ * tells me 5.1 / 0.1 = 50.99999999999999
+ */
+const numbersFitEvenly = (numberOne, numberTwo) => {
+    if (isNaN(numberOne) || isNaN(numberTwo))
+        return false;
+    if (numberOne === 0 || numberTwo === 0)
+        return true;
+    return (Number.isInteger(Number((numberOne / numberTwo).toFixed(9))) ||
+        numberOne % numberTwo === 0);
+};
+exports.numbersFitEvenly = numbersFitEvenly;
+/**
+ * Check if numbers divide exactly, accounting for floating point division annoyingness
+ * @param numerator
+ * @param denominator
+ * @returns
+ */
+const dividesExactly = (numerator, denominator) => {
+    const division = numerator / denominator;
+    const remainder = division % 1;
+    if (remainder === 0)
+        return true;
+    // Because of floating point weirdness, we're just going to assume that if the remainder after dividing is less than 1/10^6 then the numbers do divide exactly
+    if (Math.abs(remainder - 1) < 1 / 10 ** 6)
+        return true;
+    return false;
+};
+exports.dividesExactly = dividesExactly;
+//# sourceMappingURL=precision.js.map

package/lib/utils/math/precision.js.map

@@ -0,0 +1 @@
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package/lib/utils/math/price.d.ts

@@ -0,0 +1,12 @@
+import { BigNum, OrderActionRecord } from '@drift-labs/sdk';
+import { UISerializableOrderActionRecord } from '../../serializableTypes';
+/**
+ * Returns the average price for a given base amount and quote amount.
+ * @param quoteAmount
+ * @param baseAmount
+ * @returns PRICE_PRECISION
+ */
+export declare const getPriceForBaseAndQuoteAmount: (quoteAmount: BN, baseAmount: BN) => any;
+export declare const getPriceForOrderRecord: (orderRecord: Pick<OrderActionRecord, 'quoteAssetAmountFilled' | 'baseAssetAmountFilled'>) => any;
+export declare const getPriceForUIOrderRecord: (orderRecord: Pick<UISerializableOrderActionRecord, 'quoteAssetAmountFilled' | 'baseAssetAmountFilled'>) => BigNum;
+export declare const calculateAverageEntryPrice: (quoteAssetAmount: BigNum, baseAssetAmount: BigNum) => BigNum;

package/lib/utils/math/price.js

@@ -0,0 +1,45 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateAverageEntryPrice = exports.getPriceForUIOrderRecord = exports.getPriceForOrderRecord = exports.getPriceForBaseAndQuoteAmount = void 0;
+const sdk_1 = require("@drift-labs/sdk");
+/**
+ * Returns the average price for a given base amount and quote amount.
+ * @param quoteAmount
+ * @param baseAmount
+ * @returns PRICE_PRECISION
+ */
+const getPriceForBaseAndQuoteAmount = (quoteAmount, baseAmount) => {
+    return quoteAmount
+        .mul(sdk_1.PRICE_PRECISION)
+        .mul(sdk_1.BASE_PRECISION)
+        .div(sdk_1.QUOTE_PRECISION)
+        .div(sdk_1.BigNum.from(baseAmount, sdk_1.BASE_PRECISION_EXP).val);
+};
+exports.getPriceForBaseAndQuoteAmount = getPriceForBaseAndQuoteAmount;
+const getPriceForOrderRecord = (orderRecord) => {
+    return (0, exports.getPriceForBaseAndQuoteAmount)(
+    // @ts-ignore
+    orderRecord.quoteAssetAmountFilled, 
+    // @ts-ignore
+    orderRecord.baseAssetAmountFilled);
+};
+exports.getPriceForOrderRecord = getPriceForOrderRecord;
+const getPriceForUIOrderRecord = (orderRecord) => {
+    return orderRecord.quoteAssetAmountFilled
+        .shiftTo(sdk_1.AMM_RESERVE_PRECISION_EXP)
+        .shift(sdk_1.PRICE_PRECISION_EXP)
+        .div(orderRecord.baseAssetAmountFilled.shiftTo(sdk_1.BASE_PRECISION_EXP))
+        .shiftTo(sdk_1.PRICE_PRECISION_EXP);
+};
+exports.getPriceForUIOrderRecord = getPriceForUIOrderRecord;
+const calculateAverageEntryPrice = (quoteAssetAmount, baseAssetAmount) => {
+    if (baseAssetAmount.eqZero())
+        return sdk_1.BigNum.zero();
+    return sdk_1.BigNum.from(quoteAssetAmount.val
+        .mul(sdk_1.PRICE_PRECISION)
+        .mul(sdk_1.AMM_TO_QUOTE_PRECISION_RATIO)
+        .div(baseAssetAmount.shiftTo(sdk_1.BASE_PRECISION_EXP).val)
+        .abs(), sdk_1.PRICE_PRECISION_EXP);
+};
+exports.calculateAverageEntryPrice = calculateAverageEntryPrice;
+//# sourceMappingURL=price.js.map

package/lib/utils/math/price.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"price.js","sourceRoot":"","sources":["../../../src/utils/math/price.ts"],"names":[],"mappings":";;;AAAA,yCAWyB;AAGzB;;;;;GAKG;AACI,MAAM,6BAA6B,GAAG,CAC5C,WAAe,EACf,UAAc,EACb,EAAE;IACH,OAAO,WAAW;SAChB,GAAG,CAAC,qBAAe,CAAC;SACpB,GAAG,CAAC,oBAAc,CAAC;SACnB,GAAG,CAAC,qBAAe,CAAC;SACpB,GAAG,CAAC,YAAM,CAAC,IAAI,CAAC,UAAU,EAAE,wBAAkB,CAAC,CAAC,GAAG,CAAC,CAAC;AACxD,CAAC,CAAC;AATW,QAAA,6BAA6B,iCASxC;AAEK,MAAM,sBAAsB,GAAG,CACrC,WAGC,EACA,EAAE;IACH,OAAO,IAAA,qCAA6B;IACnC,aAAa;IACb,WAAW,CAAC,sBAAsB;IAClC,aAAa;IACb,WAAW,CAAC,qBAAqB,CACjC,CAAC;AACH,CAAC,CAAC;AAZW,QAAA,sBAAsB,0BAYjC;AAEK,MAAM,wBAAwB,GAAG,CACvC,WAGC,EACA,EAAE;IACH,OAAO,WAAW,CAAC,sBAAsB;SACvC,OAAO,CAAC,+BAAyB,CAAC;SAClC,KAAK,CAAC,yBAAmB,CAAC;SAC1B,GAAG,CAAC,WAAW,CAAC,qBAAqB,CAAC,OAAO,CAAC,wBAAkB,CAAC,CAAC;SAClE,OAAO,CAAC,yBAAmB,CAAC,CAAC;AAChC,CAAC,CAAC;AAXW,QAAA,wBAAwB,4BAWnC;AAEK,MAAM,0BAA0B,GAAG,CACzC,gBAAwB,EACxB,eAAuB,EACd,EAAE;IACX,IAAI,eAAe,CAAC,MAAM,EAAE;QAAE,OAAO,YAAM,CAAC,IAAI,EAAE,CAAC;IAEnD,OAAO,YAAM,CAAC,IAAI,CACjB,gBAAgB,CAAC,GAAG;SAClB,GAAG,CAAC,qBAAe,CAAC;SACpB,GAAG,CAAC,kCAA4B,CAAC;SACjC,GAAG,CAAC,eAAe,CAAC,OAAO,CAAC,wBAAkB,CAAC,CAAC,GAAG,CAAC;SACpD,GAAG,EAAE,EACP,yBAAmB,CACnB,CAAC;AACH,CAAC,CAAC;AAdW,QAAA,0BAA0B,8BAcrC","sourcesContent":["import {\n\tAMM_RESERVE_PRECISION_EXP,\n\tAMM_TO_QUOTE_PRECISION_RATIO,\n\tBASE_PRECISION,\n\tBASE_PRECISION_EXP,\n\tBigNum,\n\tBN,\n\tOrderActionRecord,\n\tPRICE_PRECISION,\n\tPRICE_PRECISION_EXP,\n\tQUOTE_PRECISION,\n} from '@drift-labs/sdk';\nimport { UISerializableOrderActionRecord } from '../../serializableTypes';\n\n/**\n * Returns the average price for a given base amount and quote amount.\n * @param quoteAmount\n * @param baseAmount\n * @returns PRICE_PRECISION\n */\nexport const getPriceForBaseAndQuoteAmount = (\n\tquoteAmount: BN,\n\tbaseAmount: BN\n) => {\n\treturn quoteAmount\n\t\t.mul(PRICE_PRECISION)\n\t\t.mul(BASE_PRECISION)\n\t\t.div(QUOTE_PRECISION)\n\t\t.div(BigNum.from(baseAmount, BASE_PRECISION_EXP).val);\n};\n\nexport const getPriceForOrderRecord = (\n\torderRecord: Pick<\n\t\tOrderActionRecord,\n\t\t'quoteAssetAmountFilled' | 'baseAssetAmountFilled'\n\t>\n) => {\n\treturn getPriceForBaseAndQuoteAmount(\n\t\t// @ts-ignore\n\t\torderRecord.quoteAssetAmountFilled,\n\t\t// @ts-ignore\n\t\torderRecord.baseAssetAmountFilled\n\t);\n};\n\nexport const getPriceForUIOrderRecord = (\n\torderRecord: Pick<\n\t\tUISerializableOrderActionRecord,\n\t\t'quoteAssetAmountFilled' | 'baseAssetAmountFilled'\n\t>\n) => {\n\treturn orderRecord.quoteAssetAmountFilled\n\t\t.shiftTo(AMM_RESERVE_PRECISION_EXP)\n\t\t.shift(PRICE_PRECISION_EXP)\n\t\t.div(orderRecord.baseAssetAmountFilled.shiftTo(BASE_PRECISION_EXP))\n\t\t.shiftTo(PRICE_PRECISION_EXP);\n};\n\nexport const calculateAverageEntryPrice = (\n\tquoteAssetAmount: BigNum,\n\tbaseAssetAmount: BigNum\n): BigNum => {\n\tif (baseAssetAmount.eqZero()) return BigNum.zero();\n\n\treturn BigNum.from(\n\t\tquoteAssetAmount.val\n\t\t\t.mul(PRICE_PRECISION)\n\t\t\t.mul(AMM_TO_QUOTE_PRECISION_RATIO)\n\t\t\t.div(baseAssetAmount.shiftTo(BASE_PRECISION_EXP).val)\n\t\t\t.abs(),\n\t\tPRICE_PRECISION_EXP\n\t);\n};\n"]}

package/lib/utils/math/sort.d.ts

@@ -0,0 +1,13 @@
+/**
+ * Helper utility to get a sort score for "tiered" parameters.
+ *
+ * Example: Want to sort students by Grade, but fall back to using Age if they are equal. This method will accept an array for each student of [grade, age] and return the appropriate sort score for each.
+ *
+ * @param aScores
+ * @param bScores
+ * @returns
+ */
+export declare const getTieredSortScore: (aScores: number[], bScores: number[]) => number;
+export declare const sortRecordsByTs: <T extends {
+    ts: BN;
+}[]>(records: T | undefined, direction?: 'asc' | 'desc') => T[number][];

package/lib/utils/math/sort.js

@@ -0,0 +1,33 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.sortRecordsByTs = exports.getTieredSortScore = void 0;
+/**
+ * Helper utility to get a sort score for "tiered" parameters.
+ *
+ * Example: Want to sort students by Grade, but fall back to using Age if they are equal. This method will accept an array for each student of [grade, age] and return the appropriate sort score for each.
+ *
+ * @param aScores
+ * @param bScores
+ * @returns
+ */
+const getTieredSortScore = (aScores, bScores) => {
+    var _a, _b;
+    const maxIndex = Math.max(aScores.length, bScores.length);
+    for (let i = 0; i < maxIndex; i++) {
+        const aScore = (_a = aScores[i]) !== null && _a !== void 0 ? _a : Number.MIN_SAFE_INTEGER;
+        const bScore = (_b = bScores[i]) !== null && _b !== void 0 ? _b : Number.MIN_SAFE_INTEGER;
+        if (aScore !== bScore)
+            return aScore - bScore;
+    }
+    return 0;
+};
+exports.getTieredSortScore = getTieredSortScore;
+const sortRecordsByTs = (records, direction = 'desc') => {
+    if (!records || !(records === null || records === void 0 ? void 0 : records.length))
+        return [];
+    return direction === 'desc'
+        ? [...records].sort((a, b) => b.ts.toNumber() - a.ts.toNumber())
+        : [...records].sort((a, b) => a.ts.toNumber() - b.ts.toNumber());
+};
+exports.sortRecordsByTs = sortRecordsByTs;
+//# sourceMappingURL=sort.js.map

package/lib/utils/math/sort.js.map

@@ -0,0 +1 @@
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package/lib/utils/math/spread.d.ts

@@ -0,0 +1,8 @@
+import { L2OrderBook } from '@drift-labs/sdk';
+export declare const calculateSpreadBidAskMark: (l2: Pick<L2OrderBook, 'bids' | 'asks'>, oraclePrice?: BN) => {
+    bestBidPrice: BN;
+    bestAskPrice: BN;
+    markPrice: BN;
+    spreadPct: any;
+    spreadQuote: any;
+};

package/lib/utils/math/spread.js

@@ -0,0 +1,87 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateSpreadBidAskMark = void 0;
+const sdk_1 = require("@drift-labs/sdk");
+const calculateMarkPrice = (bestBidPrice, bestAskPrice, oraclePrice) => {
+    const bid = bestBidPrice;
+    const ask = bestAskPrice;
+    let mid;
+    // if bid/ask cross, force it to be the one closer to oracle, if oracle is in the middle, use oracle price
+    if (bid && ask && bid.gt(ask) && oraclePrice) {
+        if (bid.gt(oraclePrice) && ask.gt(oraclePrice)) {
+            mid = sdk_1.BN.min(bid, ask);
+        }
+        else if (bid.lt(oraclePrice) && ask.lt(oraclePrice)) {
+            mid = sdk_1.BN.max(bid, ask);
+        }
+        else {
+            mid = oraclePrice;
+        }
+    }
+    else {
+        if (bid && ask) {
+            mid = bid.add(ask).divn(2);
+        }
+        else if (oraclePrice) {
+            mid = oraclePrice;
+        }
+        else {
+            mid = undefined;
+        }
+    }
+    return mid;
+};
+const calculateBidAskAndmarkPrice = (l2, oraclePrice) => {
+    const bestBidPrice = l2.bids.reduce((previousMax, currentBid) => {
+        if (!previousMax)
+            return currentBid.price;
+        return sdk_1.BN.max(currentBid.price, previousMax);
+    }, undefined);
+    const bestAskPrice = l2.asks.reduce((previousMin, currentBid) => {
+        if (!previousMin)
+            return currentBid.price;
+        return sdk_1.BN.min(currentBid.price, previousMin);
+    }, undefined);
+    const markPrice = calculateMarkPrice(bestBidPrice, bestAskPrice, oraclePrice);
+    return {
+        bestBidPrice,
+        bestAskPrice,
+        markPrice,
+    };
+};
+const calculateSpreadQuote = (bestBidPrice, bestAskPrice) => {
+    return sdk_1.BN.max(bestAskPrice.sub(bestBidPrice), sdk_1.ZERO);
+};
+function calculateSpreadPct(markPricePrice, spreadQuote) {
+    return spreadQuote.muln(100).mul(sdk_1.PERCENTAGE_PRECISION).div(markPricePrice);
+}
+const calculateSpread = (bestBidPrice, bestAskPrice, markPrice) => {
+    const spreadQuote = calculateSpreadQuote(bestBidPrice, bestAskPrice);
+    const spreadPct = calculateSpreadPct(markPrice, spreadQuote);
+    return {
+        spreadPct,
+        spreadQuote,
+    };
+};
+const calculateSpreadBidAskMark = (l2, oraclePrice) => {
+    if (l2.asks.length === 0 || l2.bids.length === 0) {
+        return {
+            spreadQuote: undefined,
+            spreadPct: undefined,
+            markPrice: undefined,
+            bestBidPrice: undefined,
+            bestAskPrice: undefined,
+        };
+    }
+    const { bestBidPrice, bestAskPrice, markPrice } = calculateBidAskAndmarkPrice(l2, oraclePrice);
+    const { spreadPct, spreadQuote } = calculateSpread(bestBidPrice, bestAskPrice, markPrice);
+    return {
+        bestBidPrice,
+        bestAskPrice,
+        markPrice,
+        spreadPct,
+        spreadQuote,
+    };
+};
+exports.calculateSpreadBidAskMark = calculateSpreadBidAskMark;
+//# sourceMappingURL=spread.js.map

package/lib/utils/math/spread.js.map

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{ BN, L2OrderBook, PERCENTAGE_PRECISION, ZERO } from '@drift-labs/sdk';\n\nconst calculateMarkPrice = (\n\tbestBidPrice?: BN,\n\tbestAskPrice?: BN,\n\toraclePrice?: BN\n) => {\n\tconst bid = bestBidPrice;\n\tconst ask = bestAskPrice;\n\n\tlet mid: BN;\n\n\t// if bid/ask cross, force it to be the one closer to oracle, if oracle is in the middle, use oracle price\n\tif (bid && ask && bid.gt(ask) && oraclePrice) {\n\t\tif (bid.gt(oraclePrice) && ask.gt(oraclePrice)) {\n\t\t\tmid = BN.min(bid, ask);\n\t\t} else if (bid.lt(oraclePrice) && ask.lt(oraclePrice)) {\n\t\t\tmid = BN.max(bid, ask);\n\t\t} else {\n\t\t\tmid = oraclePrice;\n\t\t}\n\t} else {\n\t\tif (bid && ask) {\n\t\t\tmid = bid.add(ask).divn(2);\n\t\t} else if (oraclePrice) {\n\t\t\tmid = oraclePrice;\n\t\t} else {\n\t\t\tmid = undefined;\n\t\t}\n\t}\n\n\treturn mid;\n};\n\nconst calculateBidAskAndmarkPrice = (l2: L2OrderBook, oraclePrice?: BN) => {\n\tconst bestBidPrice = l2.bids.reduce((previousMax, currentBid) => {\n\t\tif (!previousMax) return currentBid.price;\n\t\treturn BN.max(currentBid.price, previousMax);\n\t}, undefined as BN);\n\n\tconst bestAskPrice = l2.asks.reduce((previousMin, currentBid) => {\n\t\tif (!previousMin) return currentBid.price;\n\t\treturn BN.min(currentBid.price, previousMin);\n\t}, undefined as BN);\n\n\tconst markPrice = calculateMarkPrice(bestBidPrice, bestAskPrice, oraclePrice);\n\n\treturn {\n\t\tbestBidPrice,\n\t\tbestAskPrice,\n\t\tmarkPrice,\n\t};\n};\n\nconst calculateSpreadQuote = (bestBidPrice: BN, bestAskPrice: BN) => {\n\treturn BN.max(bestAskPrice.sub(bestBidPrice), ZERO);\n};\n\nfunction calculateSpreadPct(markPricePrice: BN, spreadQuote: BN) {\n\treturn spreadQuote.muln(100).mul(PERCENTAGE_PRECISION).div(markPricePrice);\n}\n\nconst calculateSpread = (bestBidPrice: BN, bestAskPrice: BN, markPrice: BN) => {\n\tconst spreadQuote = calculateSpreadQuote(bestBidPrice, bestAskPrice);\n\tconst spreadPct = calculateSpreadPct(markPrice, spreadQuote);\n\n\treturn {\n\t\tspreadPct,\n\t\tspreadQuote,\n\t};\n};\n\nexport const calculateSpreadBidAskMark = (\n\tl2: Pick<L2OrderBook, 'bids' | 'asks'>,\n\toraclePrice?: BN\n) => {\n\tif (l2.asks.length === 0 || l2.bids.length === 0) {\n\t\treturn {\n\t\t\tspreadQuote: undefined,\n\t\t\tspreadPct: undefined,\n\t\t\tmarkPrice: undefined,\n\t\t\tbestBidPrice: undefined,\n\t\t\tbestAskPrice: undefined,\n\t\t};\n\t}\n\n\tconst { bestBidPrice, bestAskPrice, markPrice } = calculateBidAskAndmarkPrice(\n\t\tl2,\n\t\toraclePrice\n\t);\n\n\tconst { spreadPct, spreadQuote } = calculateSpread(\n\t\tbestBidPrice,\n\t\tbestAskPrice,\n\t\tmarkPrice\n\t);\n\treturn {\n\t\tbestBidPrice,\n\t\tbestAskPrice,\n\t\tmarkPrice,\n\t\tspreadPct,\n\t\tspreadQuote,\n\t};\n};\n"]}

package/lib/utils/orderbook/index.js

@@ -18,7 +18,7 @@ exports.getEmptyFilledBidsAsks = exports.l2ToDisplayBidsAndAsks = exports.format
 const sdk_1 = require("@drift-labs/sdk");
 const math_1 = require("../math");
 const types_1 = require("./types");
-const __1 = require("..");
+const math_2 = require("../math");
 const constants_1 = require("./constants");
 __exportStar(require("./types"), exports);
 __exportStar(require("./constants"), exports);
@@ -125,7 +125,7 @@ const calculateDynamicSlippageFromL2 = ({ l2Data, marketId, startPrice, worstPri
         ? { ...DEFAULT_DYNAMIC_SLIPPAGE_CONFIG, ...dynamicSlippageConfig }
         : DEFAULT_DYNAMIC_SLIPPAGE_CONFIG;
     // Calculate spread information from L2 data using the oracle price
-    const spreadBidAskMark = math_1.COMMON_MATH.calculateSpreadBidAskMark(l2Data, oraclePrice);
+    const spreadBidAskMark = (0, math_1.calculateSpreadBidAskMark)(l2Data, oraclePrice);
     const bestAskNum = ((_b = (_a = spreadBidAskMark.bestAskPrice) === null || _a === void 0 ? void 0 : _a.toNumber) === null || _b === void 0 ? void 0 : _b.call(_a)) || 0;
     const bestBidNum = ((_d = (_c = spreadBidAskMark.bestBidPrice) === null || _c === void 0 ? void 0 : _c.toNumber) === null || _d === void 0 ? void 0 : _d.call(_c)) || 0;
     const spreadPctFromL2 = sdk_1.BigNum.from(spreadBidAskMark.spreadPct, sdk_1.PERCENTAGE_PRECISION_EXP).toNum();
@@ -191,7 +191,7 @@ const roundForOrderbook = (num) => Number(num.toFixed(6));
 const getBucketFloorForPrice = (price, groupingSize) => {
     const priceIsNegative = price < 0;
     const _groupingSize = groupingSize;
-    if (__1.COMMON_UTILS.dividesExactly(price, _groupingSize)) {
+    if ((0, math_2.dividesExactly)(price, _groupingSize)) {
         return roundForOrderbook(price);
     }
     const amountToDeduct = priceIsNegative
@@ -221,7 +221,7 @@ const getBucketCeilingForPrice = (price, groupingSize) => {
 };
 const getBucketAnchorPrice = (type, price, groupingSize) => {
     // If the grouping size matches exactly then the anchor price should be the same as the floor price regardless
-    if (__1.COMMON_UTILS.dividesExactly(price, groupingSize)) {
+    if ((0, math_2.dividesExactly)(price, groupingSize)) {
         return (0, exports.getBucketFloorForPrice)(price, groupingSize);
     }
     if (type === 'bid') {