@drift-labs/sdk 0.1.26 → 0.1.27

package/src/math/amm.js

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+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateBudgetedPeg = exports.calculateBudgetedK = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.calculateRepegCost = exports.calculateAdjustKCost = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = void 0;
+const anchor_1 = require("@project-serum/anchor");
+const numericConstants_1 = require("../constants/numericConstants");
+const position_1 = require("./position");
+const types_1 = require("../types");
+const assert_1 = require("../assert/assert");
+const __1 = require("..");
+/**
+ * Calculates a price given an arbitrary base and quote amount (they must have the same precision)
+ *
+ * @param baseAssetAmount
+ * @param quoteAssetAmount
+ * @param peg_multiplier
+ * @returns price : Precision MARK_PRICE_PRECISION
+ */
+function calculatePrice(baseAssetAmount, quoteAssetAmount, peg_multiplier) {
+    if (baseAssetAmount.abs().lte(numericConstants_1.ZERO)) {
+        return new anchor_1.BN(0);
+    }
+    return quoteAssetAmount
+        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .mul(peg_multiplier)
+        .div(numericConstants_1.PEG_PRECISION)
+        .div(baseAssetAmount);
+}
+exports.calculatePrice = calculatePrice;
+/**
+ * Calculates what the amm reserves would be after swapping a quote or base asset amount.
+ *
+ * @param amm
+ * @param inputAssetType
+ * @param swapAmount
+ * @param swapDirection
+ * @returns quoteAssetReserve and baseAssetReserve after swap. : Precision AMM_RESERVE_PRECISION
+ */
+function calculateAmmReservesAfterSwap(amm, inputAssetType, swapAmount, swapDirection) {
+    (0, assert_1.assert)(swapAmount.gte(numericConstants_1.ZERO), 'swapAmount must be greater than 0');
+    let newQuoteAssetReserve;
+    let newBaseAssetReserve;
+    if (inputAssetType === 'quote') {
+        swapAmount = swapAmount
+            .mul(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO)
+            .div(amm.pegMultiplier);
+        [newQuoteAssetReserve, newBaseAssetReserve] = calculateSwapOutput(amm.quoteAssetReserve, swapAmount, swapDirection, amm.sqrtK.mul(amm.sqrtK));
+    }
+    else {
+        [newBaseAssetReserve, newQuoteAssetReserve] = calculateSwapOutput(amm.baseAssetReserve, swapAmount, swapDirection, amm.sqrtK.mul(amm.sqrtK));
+    }
+    return [newQuoteAssetReserve, newBaseAssetReserve];
+}
+exports.calculateAmmReservesAfterSwap = calculateAmmReservesAfterSwap;
+/**
+ * Helper function calculating constant product curve output. Agnostic to whether input asset is quote or base
+ *
+ * @param inputAssetReserve
+ * @param swapAmount
+ * @param swapDirection
+ * @param invariant
+ * @returns newInputAssetReserve and newOutputAssetReserve after swap. : Precision AMM_RESERVE_PRECISION
+ */
+function calculateSwapOutput(inputAssetReserve, swapAmount, swapDirection, invariant) {
+    let newInputAssetReserve;
+    if (swapDirection === types_1.SwapDirection.ADD) {
+        newInputAssetReserve = inputAssetReserve.add(swapAmount);
+    }
+    else {
+        newInputAssetReserve = inputAssetReserve.sub(swapAmount);
+    }
+    const newOutputAssetReserve = invariant.div(newInputAssetReserve);
+    return [newInputAssetReserve, newOutputAssetReserve];
+}
+exports.calculateSwapOutput = calculateSwapOutput;
+/**
+ * Translate long/shorting quote/base asset into amm operation
+ *
+ * @param inputAssetType
+ * @param positionDirection
+ */
+function getSwapDirection(inputAssetType, positionDirection) {
+    if ((0, types_1.isVariant)(positionDirection, 'long') && inputAssetType === 'base') {
+        return types_1.SwapDirection.REMOVE;
+    }
+    if ((0, types_1.isVariant)(positionDirection, 'short') && inputAssetType === 'quote') {
+        return types_1.SwapDirection.REMOVE;
+    }
+    return types_1.SwapDirection.ADD;
+}
+exports.getSwapDirection = getSwapDirection;
+/**
+ * Helper function calculating adjust k cost
+ * @param market
+ * @param marketIndex
+ * @param numerator
+ * @param denomenator
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+function calculateAdjustKCost(market, marketIndex, numerator, denomenator) {
+    const netUserPosition = {
+        baseAssetAmount: market.baseAssetAmount,
+        lastCumulativeFundingRate: market.amm.cumulativeFundingRate,
+        marketIndex: new anchor_1.BN(marketIndex),
+        quoteAssetAmount: new anchor_1.BN(0),
+        openOrders: new anchor_1.BN(0),
+    };
+    const currentValue = (0, position_1.calculateBaseAssetValue)(market, netUserPosition);
+    const marketNewK = Object.assign({}, market);
+    marketNewK.amm = Object.assign({}, market.amm);
+    marketNewK.amm.baseAssetReserve = market.amm.baseAssetReserve
+        .mul(numerator)
+        .div(denomenator);
+    marketNewK.amm.quoteAssetReserve = market.amm.quoteAssetReserve
+        .mul(numerator)
+        .div(denomenator);
+    marketNewK.amm.sqrtK = market.amm.sqrtK.mul(numerator).div(denomenator);
+    netUserPosition.quoteAssetAmount = currentValue;
+    const cost = (0, __1.calculatePositionPNL)(marketNewK, netUserPosition);
+    const p = numericConstants_1.PEG_PRECISION.mul(numerator).div(denomenator);
+    const x = market.amm.baseAssetReserve;
+    const y = market.amm.quoteAssetReserve;
+    const delta = market.baseAssetAmount;
+    const k = market.amm.sqrtK.mul(market.amm.sqrtK);
+    const numer1 = numericConstants_1.PEG_PRECISION.sub(p).mul(y).div(numericConstants_1.PEG_PRECISION);
+    const numer20 = k
+        .mul(p)
+        .mul(p)
+        .div(numericConstants_1.PEG_PRECISION)
+        .div(numericConstants_1.PEG_PRECISION)
+        .div(x.mul(p).div(numericConstants_1.PEG_PRECISION).add(delta));
+    const numer21 = k.div(x.add(delta));
+    const formulaCost = numer21
+        .sub(numer20)
+        .sub(numer1)
+        .mul(market.amm.pegMultiplier)
+        .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
+    console.log((0, __1.convertToNumber)(formulaCost, numericConstants_1.QUOTE_PRECISION));
+    // p.div(p.mul(x).add(delta)).sub()
+    return cost;
+}
+exports.calculateAdjustKCost = calculateAdjustKCost;
+/**
+ * Helper function calculating adjust pegMultiplier (repeg) cost
+ *
+ * @param market
+ * @param marketIndex
+ * @param newPeg
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+function calculateRepegCost(market, marketIndex, newPeg) {
+    const netUserPosition = {
+        baseAssetAmount: market.baseAssetAmount,
+        lastCumulativeFundingRate: market.amm.cumulativeFundingRate,
+        marketIndex: new anchor_1.BN(marketIndex),
+        quoteAssetAmount: new anchor_1.BN(0),
+        openOrders: new anchor_1.BN(0),
+    };
+    const currentValue = (0, position_1.calculateBaseAssetValue)(market, netUserPosition);
+    netUserPosition.quoteAssetAmount = currentValue;
+    const prevMarketPrice = (0, __1.calculateMarkPrice)(market);
+    const marketNewPeg = Object.assign({}, market);
+    marketNewPeg.amm = Object.assign({}, market.amm);
+    // const marketNewPeg = JSON.parse(JSON.stringify(market));
+    marketNewPeg.amm.pegMultiplier = newPeg;
+    console.log('Price moves from', (0, __1.convertToNumber)(prevMarketPrice), 'to', (0, __1.convertToNumber)((0, __1.calculateMarkPrice)(marketNewPeg)));
+    const cost = (0, __1.calculatePositionPNL)(marketNewPeg, netUserPosition);
+    const k = market.amm.sqrtK.mul(market.amm.sqrtK);
+    const newQuoteAssetReserve = k.div(market.amm.baseAssetReserve.add(netUserPosition.baseAssetAmount));
+    const deltaQuoteAssetReserves = newQuoteAssetReserve.sub(market.amm.quoteAssetReserve);
+    const cost2 = deltaQuoteAssetReserves
+        .mul(market.amm.pegMultiplier.sub(newPeg))
+        .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
+    console.log((0, __1.convertToNumber)(cost2, numericConstants_1.QUOTE_PRECISION));
+    return cost;
+}
+exports.calculateRepegCost = calculateRepegCost;
+/**
+ * Helper function calculating terminal price of amm
+ *
+ * @param market
+ * @returns cost : Precision MARK_PRICE_PRECISION
+ */
+function calculateTerminalPrice(market) {
+    const directionToClose = market.baseAssetAmount.gt(numericConstants_1.ZERO)
+        ? types_1.PositionDirection.SHORT
+        : types_1.PositionDirection.LONG;
+    const [newQuoteAssetReserve, newBaseAssetReserve] = calculateAmmReservesAfterSwap(market.amm, 'base', market.baseAssetAmount.abs(), getSwapDirection('base', directionToClose));
+    const terminalPrice = newQuoteAssetReserve
+        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .mul(market.amm.pegMultiplier)
+        .div(numericConstants_1.PEG_PRECISION)
+        .div(newBaseAssetReserve);
+    return terminalPrice;
+}
+exports.calculateTerminalPrice = calculateTerminalPrice;
+function calculateMaxBaseAssetAmountToTrade(amm, limit_price) {
+    const invariant = amm.sqrtK.mul(amm.sqrtK);
+    const newBaseAssetReserveSquared = invariant
+        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .mul(amm.pegMultiplier)
+        .div(limit_price)
+        .div(numericConstants_1.PEG_PRECISION);
+    const newBaseAssetReserve = (0, __1.squareRootBN)(newBaseAssetReserveSquared);
+    if (newBaseAssetReserve.gt(amm.baseAssetReserve)) {
+        return [
+            newBaseAssetReserve.sub(amm.baseAssetReserve),
+            types_1.PositionDirection.SHORT,
+        ];
+    }
+    else if (newBaseAssetReserve.lt(amm.baseAssetReserve)) {
+        return [
+            amm.baseAssetReserve.sub(newBaseAssetReserve),
+            types_1.PositionDirection.LONG,
+        ];
+    }
+    else {
+        console.log('tradeSize Too Small');
+        return [new anchor_1.BN(0), types_1.PositionDirection.LONG];
+    }
+}
+exports.calculateMaxBaseAssetAmountToTrade = calculateMaxBaseAssetAmountToTrade;
+function calculateBudgetedK(market, cost) {
+    // wolframalpha.com
+    // (1/(x+d) - p/(x*p+d))*y*d*Q = C solve for p
+    // p = (d(y*d*Q - C(x+d))) / (C*x(x+d) + y*y*d*Q)
+    // todo: assumes k = x * y
+    // otherwise use: (y(1-p) + (kp^2/(x*p+d)) - k/(x+d)) * Q = C solve for p
+    // const k = market.amm.sqrtK.mul(market.amm.sqrtK);
+    const x = market.amm.baseAssetReserve;
+    const y = market.amm.quoteAssetReserve;
+    const d = market.baseAssetAmount;
+    const Q = market.amm.pegMultiplier;
+    const C = cost.mul(new anchor_1.BN(-1));
+    const numer1 = y.mul(d).mul(Q).div(numericConstants_1.AMM_RESERVE_PRECISION).div(numericConstants_1.PEG_PRECISION);
+    const numer2 = C.mul(x.add(d)).div(numericConstants_1.QUOTE_PRECISION);
+    const denom1 = C.mul(x)
+        .mul(x.add(d))
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.QUOTE_PRECISION);
+    const denom2 = y
+        .mul(d)
+        .mul(d)
+        .mul(Q)
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.PEG_PRECISION);
+    const numerator = d
+        .mul(numer1.add(numer2))
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO);
+    const denominator = denom1
+        .add(denom2)
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO);
+    console.log(numerator, denominator);
+    // const p = (numerator).div(denominator);
+    // const formulaCost = (numer21.sub(numer20).sub(numer1)).mul(market.amm.pegMultiplier).div(AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO)
+    // console.log(convertToNumber(formulaCost, QUOTE_PRECISION))
+    return [numerator, denominator];
+}
+exports.calculateBudgetedK = calculateBudgetedK;
+function calculateBudgetedPeg(market, cost) {
+    // wolframalpha.com
+    // (1/(x+d) - p/(x*p+d))*y*d*Q = C solve for p
+    // p = (d(y*d*Q - C(x+d))) / (C*x(x+d) + y*y*d*Q)
+    // todo: assumes k = x * y
+    // otherwise use: (y(1-p) + (kp^2/(x*p+d)) - k/(x+d)) * Q = C solve for p
+    const k = market.amm.sqrtK.mul(market.amm.sqrtK);
+    const x = market.amm.baseAssetReserve;
+    const y = market.amm.quoteAssetReserve;
+    const d = market.baseAssetAmount;
+    const Q = market.amm.pegMultiplier;
+    const C = cost.mul(new anchor_1.BN(-1));
+    const deltaQuoteAssetReserves = y.sub(k.div(x.add(d)));
+    const deltaPegMultiplier = C.mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .div(deltaQuoteAssetReserves.div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO))
+        .mul(numericConstants_1.PEG_PRECISION)
+        .div(numericConstants_1.QUOTE_PRECISION);
+    console.log(Q.toNumber(), 'change by', deltaPegMultiplier.toNumber() / numericConstants_1.MARK_PRICE_PRECISION.toNumber());
+    const newPeg = Q.sub(deltaPegMultiplier.mul(numericConstants_1.PEG_PRECISION).div(numericConstants_1.MARK_PRICE_PRECISION));
+    return newPeg;
+}
+exports.calculateBudgetedPeg = calculateBudgetedPeg;
+//# sourceMappingURL=amm.js.map

package/src/math/amm.js.map

@@ -0,0 +1 @@
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package/src/math/conversion.js

@@ -0,0 +1,16 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.convertBaseAssetAmountToNumber = exports.convertToNumber = void 0;
+const numericConstants_1 = require("../constants/numericConstants");
+const convertToNumber = (bigNumber, precision = numericConstants_1.MARK_PRICE_PRECISION) => {
+    if (!bigNumber)
+        return 0;
+    return (bigNumber.div(precision).toNumber() +
+        bigNumber.mod(precision).toNumber() / precision.toNumber());
+};
+exports.convertToNumber = convertToNumber;
+const convertBaseAssetAmountToNumber = (baseAssetAmount) => {
+    return (0, exports.convertToNumber)(baseAssetAmount, numericConstants_1.MARK_PRICE_PRECISION.mul(numericConstants_1.PEG_PRECISION));
+};
+exports.convertBaseAssetAmountToNumber = convertBaseAssetAmountToNumber;
+//# sourceMappingURL=conversion.js.map

package/src/math/conversion.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"conversion.js","sourceRoot":"","sources":["conversion.ts"],"names":[],"mappings":";;;AACA,oEAGuC;AAEhC,MAAM,eAAe,GAAG,CAC9B,SAAa,EACb,YAAgB,uCAAoB,EACnC,EAAE;IACH,IAAI,CAAC,SAAS;QAAE,OAAO,CAAC,CAAC;IACzB,OAAO,CACN,SAAS,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC,QAAQ,EAAE;QACnC,SAAS,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC,QAAQ,EAAE,GAAG,SAAS,CAAC,QAAQ,EAAE,CAC1D,CAAC;AACH,CAAC,CAAC;AATW,QAAA,eAAe,mBAS1B;AAEK,MAAM,8BAA8B,GAAG,CAAC,eAAmB,EAAE,EAAE;IACrE,OAAO,IAAA,uBAAe,EACrB,eAAe,EACf,uCAAoB,CAAC,GAAG,CAAC,gCAAa,CAAC,CACvC,CAAC;AACH,CAAC,CAAC;AALW,QAAA,8BAA8B,kCAKzC"}

package/src/math/funding.js

@@ -0,0 +1,223 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateFundingPool = exports.calculateLongShortFundingRateAndLiveTwaps = exports.calculateLongShortFundingRate = exports.calculateEstimatedFundingRate = exports.calculateAllEstimatedFundingRate = void 0;
+const anchor_1 = require("@project-serum/anchor");
+const numericConstants_1 = require("../constants/numericConstants");
+const market_1 = require("./market");
+/**
+ *
+ * @param market
+ * @param oraclePriceData
+ * @param periodAdjustment
+ * @returns Estimated funding rate. : Precision //TODO-PRECISION
+ */
+async function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
+    // periodAdjustment
+    // 	1: hourly
+    //  24: daily
+    //  24 * 365.25: annualized
+    const secondsInHour = new anchor_1.BN(3600);
+    const hoursInDay = new anchor_1.BN(24);
+    if (!market.initialized) {
+        return [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO];
+    }
+    const payFreq = new anchor_1.BN(market.amm.fundingPeriod);
+    // todo: sufficiently differs from blockchain timestamp?
+    const now = new anchor_1.BN((Date.now() / 1000).toFixed(0));
+    const timeSinceLastUpdate = now.sub(market.amm.lastFundingRateTs);
+    // calculate real-time mark twap
+    const lastMarkTwapWithMantissa = market.amm.lastMarkPriceTwap;
+    const lastMarkPriceTwapTs = market.amm.lastMarkPriceTwapTs;
+    const timeSinceLastMarkChange = now.sub(lastMarkPriceTwapTs);
+    const markTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, secondsInHour.sub(timeSinceLastMarkChange));
+    const baseAssetPriceWithMantissa = (0, market_1.calculateMarkPrice)(market);
+    const markTwapWithMantissa = markTwapTimeSinceLastUpdate
+        .mul(lastMarkTwapWithMantissa)
+        .add(timeSinceLastMarkChange.mul(baseAssetPriceWithMantissa))
+        .div(timeSinceLastMarkChange.add(markTwapTimeSinceLastUpdate));
+    // calculate real-time (predicted) oracle twap
+    // note: oracle twap depends on `when the chord is struck` (market is trade)
+    const lastOracleTwapWithMantissa = market.amm.lastOraclePriceTwap;
+    const lastOraclePriceTwapTs = market.amm.lastOraclePriceTwapTs;
+    const timeSinceLastOracleTwapUpdate = now.sub(lastOraclePriceTwapTs);
+    const oracleTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, secondsInHour.sub(timeSinceLastOracleTwapUpdate));
+    const oraclePrice = oraclePriceData.price;
+    let oracleTwapWithMantissa = lastOracleTwapWithMantissa;
+    const oracleLiveVsTwap = oraclePrice
+        .sub(lastOracleTwapWithMantissa)
+        .abs()
+        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .mul(new anchor_1.BN(100))
+        .div(lastOracleTwapWithMantissa);
+    // verify pyth live input is within 10% of last twap for live update
+    if (oracleLiveVsTwap.lte(numericConstants_1.MARK_PRICE_PRECISION.mul(new anchor_1.BN(10)))) {
+        oracleTwapWithMantissa = oracleTwapTimeSinceLastUpdate
+            .mul(lastOracleTwapWithMantissa)
+            .add(timeSinceLastMarkChange.mul(oraclePrice))
+            .div(timeSinceLastOracleTwapUpdate.add(oracleTwapTimeSinceLastUpdate));
+    }
+    const twapSpread = lastMarkTwapWithMantissa.sub(lastOracleTwapWithMantissa);
+    const twapSpreadPct = twapSpread
+        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .mul(new anchor_1.BN(100))
+        .div(oracleTwapWithMantissa);
+    const lowerboundEst = twapSpreadPct
+        .mul(payFreq)
+        .mul(anchor_1.BN.min(secondsInHour, timeSinceLastUpdate))
+        .mul(periodAdjustment)
+        .div(secondsInHour)
+        .div(secondsInHour)
+        .div(hoursInDay);
+    const interpEst = twapSpreadPct.mul(periodAdjustment).div(hoursInDay);
+    const interpRateQuote = twapSpreadPct
+        .mul(periodAdjustment)
+        .div(hoursInDay)
+        .div(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION));
+    let feePoolSize = calculateFundingPool(market);
+    if (interpRateQuote.lt(new anchor_1.BN(0))) {
+        feePoolSize = feePoolSize.mul(new anchor_1.BN(-1));
+    }
+    let cappedAltEst;
+    let largerSide;
+    let smallerSide;
+    if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
+        largerSide = market.baseAssetAmountLong.abs();
+        smallerSide = market.baseAssetAmountShort.abs();
+        if (twapSpread.gt(new anchor_1.BN(0))) {
+            return [
+                markTwapWithMantissa,
+                oracleTwapWithMantissa,
+                lowerboundEst,
+                interpEst,
+                interpEst,
+            ];
+        }
+    }
+    else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
+        largerSide = market.baseAssetAmountShort.abs();
+        smallerSide = market.baseAssetAmountLong.abs();
+        if (twapSpread.lt(new anchor_1.BN(0))) {
+            return [
+                markTwapWithMantissa,
+                oracleTwapWithMantissa,
+                lowerboundEst,
+                interpEst,
+                interpEst,
+            ];
+        }
+    }
+    else {
+        return [
+            markTwapWithMantissa,
+            oracleTwapWithMantissa,
+            lowerboundEst,
+            interpEst,
+            interpEst,
+        ];
+    }
+    if (largerSide.gt(numericConstants_1.ZERO)) {
+        // funding smaller flow
+        cappedAltEst = smallerSide.mul(twapSpread).div(hoursInDay);
+        const feePoolTopOff = feePoolSize
+            .mul(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION))
+            .mul(numericConstants_1.AMM_RESERVE_PRECISION);
+        cappedAltEst = cappedAltEst.add(feePoolTopOff).div(largerSide);
+        cappedAltEst = cappedAltEst
+            .mul(numericConstants_1.MARK_PRICE_PRECISION)
+            .mul(new anchor_1.BN(100))
+            .div(oracleTwapWithMantissa)
+            .mul(periodAdjustment);
+        if (cappedAltEst.abs().gte(interpEst.abs())) {
+            cappedAltEst = interpEst;
+        }
+    }
+    else {
+        cappedAltEst = interpEst;
+    }
+    return [
+        markTwapWithMantissa,
+        oracleTwapWithMantissa,
+        lowerboundEst,
+        cappedAltEst,
+        interpEst,
+    ];
+}
+exports.calculateAllEstimatedFundingRate = calculateAllEstimatedFundingRate;
+/**
+ *
+ * @param market
+ * @param oraclePriceData
+ * @param periodAdjustment
+ * @param estimationMethod
+ * @returns Estimated funding rate. : Precision //TODO-PRECISION
+ */
+async function calculateEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1), estimationMethod) {
+    const [_1, _2, lowerboundEst, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
+    if (estimationMethod == 'lowerbound') {
+        //assuming remaining funding period has no gap
+        return lowerboundEst;
+    }
+    else if (estimationMethod == 'capped') {
+        return cappedAltEst;
+    }
+    else {
+        return interpEst;
+    }
+}
+exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
+/**
+ *
+ * @param market
+ * @param oraclePriceData
+ * @param periodAdjustment
+ * @returns Estimated funding rate. : Precision //TODO-PRECISION
+ */
+async function calculateLongShortFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
+    const [_1, _2, _, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
+    if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort)) {
+        return [cappedAltEst, interpEst];
+    }
+    else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort)) {
+        return [interpEst, cappedAltEst];
+    }
+    else {
+        return [interpEst, interpEst];
+    }
+}
+exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
+/**
+ *
+ * @param market
+ * @param oraclePriceData
+ * @param periodAdjustment
+ * @returns Estimated funding rate. : Precision //TODO-PRECISION
+ */
+async function calculateLongShortFundingRateAndLiveTwaps(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
+    const [markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
+    if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
+        return [markTwapLive, oracleTwapLive, cappedAltEst, interpEst];
+    }
+    else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
+        return [markTwapLive, oracleTwapLive, interpEst, cappedAltEst];
+    }
+    else {
+        return [markTwapLive, oracleTwapLive, interpEst, interpEst];
+    }
+}
+exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRateAndLiveTwaps;
+/**
+ *
+ * @param market
+ * @returns Estimated fee pool size
+ */
+function calculateFundingPool(market) {
+    // todo
+    const totalFeeLB = market.amm.totalFee.div(new anchor_1.BN(2));
+    const feePool = anchor_1.BN.max(numericConstants_1.ZERO, market.amm.totalFeeMinusDistributions
+        .sub(totalFeeLB)
+        .mul(new anchor_1.BN(2))
+        .div(new anchor_1.BN(3)));
+    return feePool;
+}
+exports.calculateFundingPool = calculateFundingPool;
+//# sourceMappingURL=funding.js.map

package/src/math/funding.js.map

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package/src/math/insuranceFund.js

@@ -0,0 +1,23 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateInsuranceFundSize = void 0;
+const __1 = require("../");
+/**
+ * In the case of a levered loss, the exchange first pays out undistributed fees and then the insurance fund.
+ * Thus the de facto size of the insurance fund is the amount in the insurance vault plus the sum of each markets
+ * undistributed fees.
+ *
+ * @param connection
+ * @param state
+ * @param marketsAccount
+ * @returns Precision : QUOTE_ASSET_PRECISION
+ */
+async function calculateInsuranceFundSize(connection, state, marketsAccount) {
+    const insuranceVaultPublicKey = state.insuranceVault;
+    const insuranceVaultAmount = new __1.BN((await connection.getTokenAccountBalance(insuranceVaultPublicKey)).value.amount);
+    return marketsAccount.markets.reduce((insuranceVaultAmount, market) => {
+        return insuranceVaultAmount.add(market.amm.totalFee.div(new __1.BN(2)));
+    }, insuranceVaultAmount);
+}
+exports.calculateInsuranceFundSize = calculateInsuranceFundSize;
+//# sourceMappingURL=insuranceFund.js.map

package/src/math/insuranceFund.js.map

@@ -0,0 +1 @@
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package/src/math/market.js

@@ -0,0 +1,30 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateOracleMarkSpread = exports.calculateNewMarketAfterTrade = exports.calculateMarkPrice = void 0;
+const amm_1 = require("./amm");
+/**
+ * Calculates market mark price
+ *
+ * @param market
+ * @return markPrice : Precision MARK_PRICE_PRECISION
+ */
+function calculateMarkPrice(market) {
+    return (0, amm_1.calculatePrice)(market.amm.baseAssetReserve, market.amm.quoteAssetReserve, market.amm.pegMultiplier);
+}
+exports.calculateMarkPrice = calculateMarkPrice;
+function calculateNewMarketAfterTrade(baseAssetAmount, direction, market) {
+    const [newQuoteAssetReserve, newBaseAssetReserve] = (0, amm_1.calculateAmmReservesAfterSwap)(market.amm, 'base', baseAssetAmount.abs(), (0, amm_1.getSwapDirection)('base', direction));
+    const newAmm = Object.assign({}, market.amm);
+    const newMarket = Object.assign({}, market);
+    newMarket.amm = newAmm;
+    newMarket.amm.quoteAssetReserve = newQuoteAssetReserve;
+    newMarket.amm.baseAssetReserve = newBaseAssetReserve;
+    return newMarket;
+}
+exports.calculateNewMarketAfterTrade = calculateNewMarketAfterTrade;
+function calculateOracleMarkSpread(market, oraclePriceData) {
+    const markPrice = calculateMarkPrice(market);
+    return oraclePriceData.price.sub(markPrice);
+}
+exports.calculateOracleMarkSpread = calculateOracleMarkSpread;
+//# sourceMappingURL=market.js.map

package/src/math/market.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"market.js","sourceRoot":"","sources":["market.ts"],"names":[],"mappings":";;;AAEA,+BAIe;AAGf;;;;;GAKG;AACH,SAAgB,kBAAkB,CAAC,MAAc;IAChD,OAAO,IAAA,oBAAc,EACpB,MAAM,CAAC,GAAG,CAAC,gBAAgB,EAC3B,MAAM,CAAC,GAAG,CAAC,iBAAiB,EAC5B,MAAM,CAAC,GAAG,CAAC,aAAa,CACxB,CAAC;AACH,CAAC;AAND,gDAMC;AAED,SAAgB,4BAA4B,CAC3C,eAAmB,EACnB,SAA4B,EAC5B,MAAc;IAEd,MAAM,CAAC,oBAAoB,EAAE,mBAAmB,CAAC,GAChD,IAAA,mCAA6B,EAC5B,MAAM,CAAC,GAAG,EACV,MAAM,EACN,eAAe,CAAC,GAAG,EAAE,EACrB,IAAA,sBAAgB,EAAC,MAAM,EAAE,SAAS,CAAC,CACnC,CAAC;IAEH,MAAM,MAAM,GAAG,MAAM,CAAC,MAAM,CAAC,EAAE,EAAE,MAAM,CAAC,GAAG,CAAC,CAAC;IAC7C,MAAM,SAAS,GAAG,MAAM,CAAC,MAAM,CAAC,EAAE,EAAE,MAAM,CAAC,CAAC;IAC5C,SAAS,CAAC,GAAG,GAAG,MAAM,CAAC;IACvB,SAAS,CAAC,GAAG,CAAC,iBAAiB,GAAG,oBAAoB,CAAC;IACvD,SAAS,CAAC,GAAG,CAAC,gBAAgB,GAAG,mBAAmB,CAAC;IAErD,OAAO,SAAS,CAAC;AAClB,CAAC;AApBD,oEAoBC;AAED,SAAgB,yBAAyB,CACxC,MAAc,EACd,eAAgC;IAEhC,MAAM,SAAS,GAAG,kBAAkB,CAAC,MAAM,CAAC,CAAC;IAC7C,OAAO,eAAe,CAAC,KAAK,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC;AAC7C,CAAC;AAND,8DAMC"}

package/src/math/market.ts

@@ -5,6 +5,7 @@ import {
 	calculatePrice,
 	getSwapDirection,
 } from './amm';
+import { OraclePriceData } from '../oracles/types';
 
 /**
  * Calculates market mark price
@@ -41,3 +42,11 @@ export function calculateNewMarketAfterTrade(
 
 	return newMarket;
 }
+
+export function calculateMarkOracleSpread(
+	market: Market,
+	oraclePriceData: OraclePriceData
+): BN {
+	const markPrice = calculateMarkPrice(market);
+	return markPrice.sub(oraclePriceData.price);
+}