@drift-labs/sdk 0.1.18-orders.1 → 0.1.19-master.2

package/src/orders.ts

@@ -1,230 +0,0 @@
-import {
-	isVariant,
-	Market,
-	Order,
-	PositionDirection,
-	UserAccount,
-	UserPosition,
-} from './types';
-import BN from 'bn.js';
-import {
-	calculateMarkPrice,
-	calculateNewMarketAfterTrade,
-} from './math/market';
-import {
-	AMM_TO_QUOTE_PRECISION_RATIO,
-	PEG_PRECISION,
-	ZERO,
-} from './constants/numericConstants';
-import { calculateMaxBaseAssetAmountToTrade } from './math/amm';
-import {
-	findDirectionToClose,
-	positionCurrentDirection,
-} from './math/position';
-
-export function calculateNewStateAfterOrder(
-	userAccount: UserAccount,
-	userPosition: UserPosition,
-	market: Market,
-	order: Order
-): [UserAccount, UserPosition, Market] | null {
-	if (isVariant(order.status, 'init')) {
-		return null;
-	}
-
-	const baseAssetAmountToTrade = calculateAmountToTrade(market, order);
-	if (baseAssetAmountToTrade.lt(market.amm.minimumBaseAssetTradeSize)) {
-		return null;
-	}
-
-	const userAccountAfter = Object.assign({}, userAccount);
-	const userPositionAfter = Object.assign({}, userPosition);
-
-	const currentPositionDirection = positionCurrentDirection(userPosition);
-	const increasePosition =
-		userPosition.baseAssetAmount.eq(ZERO) ||
-		isSameDirection(order.direction, currentPositionDirection);
-
-	if (increasePosition) {
-		const marketAfter = calculateNewMarketAfterTrade(
-			baseAssetAmountToTrade,
-			order.direction,
-			market
-		);
-
-		const { quoteAssetAmountSwapped, baseAssetAmountSwapped } =
-			calculateAmountSwapped(market, marketAfter);
-
-		userPositionAfter.baseAssetAmount = userPositionAfter.baseAssetAmount.add(
-			baseAssetAmountSwapped
-		);
-		userPositionAfter.quoteAssetAmount = userPositionAfter.quoteAssetAmount.add(
-			quoteAssetAmountSwapped
-		);
-
-		return [userAccountAfter, userPositionAfter, marketAfter];
-	} else {
-		const reversePosition = baseAssetAmountToTrade.gt(
-			userPosition.baseAssetAmount.abs()
-		);
-
-		if (reversePosition) {
-			const intermediateMarket = calculateNewMarketAfterTrade(
-				userPosition.baseAssetAmount,
-				findDirectionToClose(userPosition),
-				market
-			);
-
-			const { quoteAssetAmountSwapped: baseAssetValue } =
-				calculateAmountSwapped(market, intermediateMarket);
-
-			let pnl;
-			if (isVariant(currentPositionDirection, 'long')) {
-				pnl = baseAssetValue.sub(userPosition.quoteAssetAmount);
-			} else {
-				pnl = userPosition.quoteAssetAmount.sub(baseAssetValue);
-			}
-
-			userAccountAfter.collateral = userAccountAfter.collateral.add(pnl);
-
-			const baseAssetAmountLeft = baseAssetAmountToTrade.sub(
-				userPosition.baseAssetAmount.abs()
-			);
-
-			const marketAfter = calculateNewMarketAfterTrade(
-				baseAssetAmountLeft,
-				order.direction,
-				intermediateMarket
-			);
-
-			const { quoteAssetAmountSwapped, baseAssetAmountSwapped } =
-				calculateAmountSwapped(intermediateMarket, marketAfter);
-
-			userPositionAfter.quoteAssetAmount = quoteAssetAmountSwapped;
-			userPositionAfter.baseAssetAmount = baseAssetAmountSwapped;
-
-			return [userAccountAfter, userPositionAfter, marketAfter];
-		} else {
-			const marketAfter = calculateNewMarketAfterTrade(
-				baseAssetAmountToTrade,
-				order.direction,
-				market
-			);
-
-			const {
-				quoteAssetAmountSwapped: baseAssetValue,
-				baseAssetAmountSwapped,
-			} = calculateAmountSwapped(market, marketAfter);
-
-			const costBasisRealized = userPosition.quoteAssetAmount
-				.mul(baseAssetAmountSwapped.abs())
-				.div(userPosition.baseAssetAmount.abs());
-
-			let pnl;
-			if (isVariant(currentPositionDirection, 'long')) {
-				pnl = baseAssetValue.sub(costBasisRealized);
-			} else {
-				pnl = costBasisRealized.sub(baseAssetValue);
-			}
-
-			userAccountAfter.collateral = userAccountAfter.collateral.add(pnl);
-
-			userPositionAfter.baseAssetAmount = userPositionAfter.baseAssetAmount.add(
-				baseAssetAmountSwapped
-			);
-			userPositionAfter.quoteAssetAmount =
-				userPositionAfter.quoteAssetAmount.sub(costBasisRealized);
-
-			return [userAccountAfter, userPositionAfter, marketAfter];
-		}
-	}
-}
-
-function calculateAmountSwapped(
-	marketBefore: Market,
-	marketAfter: Market
-): { quoteAssetAmountSwapped: BN; baseAssetAmountSwapped: BN } {
-	return {
-		quoteAssetAmountSwapped: marketBefore.amm.quoteAssetReserve
-			.sub(marketAfter.amm.quoteAssetReserve)
-			.abs()
-			.mul(marketBefore.amm.pegMultiplier)
-			.div(PEG_PRECISION)
-			.div(AMM_TO_QUOTE_PRECISION_RATIO),
-		baseAssetAmountSwapped: marketBefore.amm.baseAssetReserve.sub(
-			marketAfter.amm.baseAssetReserve
-		),
-	};
-}
-
-function calculateAmountToTrade(market: Market, order: Order): BN {
-	if (isVariant(order.orderType, 'limit')) {
-		return calculateAmountToTradeForLimit(market, order);
-	} else if (isVariant(order.orderType, 'stopLimit')) {
-		return calculateAmountToTradeForStopLimit(market, order);
-	} else if (isVariant(order.orderType, 'market')) {
-		// should never be a market order queued
-		return ZERO;
-	} else {
-		return calculateAmountToTradeForStop(market, order);
-	}
-}
-
-export function calculateAmountToTradeForLimit(
-	market: Market,
-	order: Order
-): BN {
-	const [maxAmountToTrade, direction] = calculateMaxBaseAssetAmountToTrade(
-		market.amm,
-		order.price
-	);
-
-	// Check that directions are the same
-	const sameDirection = isSameDirection(direction, order.direction);
-	if (!sameDirection) {
-		return ZERO;
-	}
-
-	return maxAmountToTrade.gt(order.baseAssetAmount)
-		? order.baseAssetAmount
-		: maxAmountToTrade;
-}
-
-export function calculateAmountToTradeForStopLimit(
-	market: Market,
-	order: Order
-): BN {
-	if (order.baseAssetAmountFilled.eq(ZERO)) {
-		const baseAssetAmount = calculateAmountToTradeForStop(market, order);
-		if (baseAssetAmount.eq(ZERO)) {
-			return ZERO;
-		}
-	}
-
-	return calculateAmountToTradeForLimit(market, order);
-}
-
-function isSameDirection(
-	firstDirection: PositionDirection,
-	secondDirection: PositionDirection
-): boolean {
-	return (
-		(isVariant(firstDirection, 'long') && isVariant(secondDirection, 'long')) ||
-		(isVariant(firstDirection, 'short') && isVariant(secondDirection, 'short'))
-	);
-}
-
-function calculateAmountToTradeForStop(market: Market, order: Order): BN {
-	return isTriggerConditionSatisfied(market, order)
-		? order.baseAssetAmount
-		: ZERO;
-}
-
-function isTriggerConditionSatisfied(market: Market, order: Order): boolean {
-	const markPrice = calculateMarkPrice(market);
-	if (isVariant(order.triggerCondition, 'above')) {
-		return markPrice.gt(order.triggerPrice);
-	} else {
-		return markPrice.lt(order.triggerPrice);
-	}
-}