@drift-labs/sdk 0.1.29-master.0 → 0.1.29-master.1

package/src/math/repeg.ts

@@ -0,0 +1,253 @@
+import { BN } from '@project-serum/anchor';
+import {
+	MARK_PRICE_PRECISION,
+	AMM_RESERVE_PRECISION,
+	PEG_PRECISION,
+	AMM_TO_QUOTE_PRECISION_RATIO,
+	QUOTE_PRECISION,
+	ZERO,
+} from '../constants/numericConstants';
+import { calculateBaseAssetValue } from './position';
+import { calculateTerminalPrice } from './amm';
+
+import { Market } from '../types';
+import { calculatePositionPNL, calculateMarkPrice, convertToNumber } from '..';
+
+/**
+ * Helper function calculating adjust k cost
+ * @param market
+ * @param marketIndex
+ * @param numerator
+ * @param denomenator
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+export function calculateAdjustKCost(
+	market: Market,
+	marketIndex: BN,
+	numerator: BN,
+	denomenator: BN
+): BN {
+	const netUserPosition = {
+		baseAssetAmount: market.baseAssetAmount,
+		lastCumulativeFundingRate: market.amm.cumulativeFundingRate,
+		marketIndex: new BN(marketIndex),
+		quoteAssetAmount: ZERO,
+		openOrders: ZERO,
+	};
+
+	const currentValue = 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 = calculatePositionPNL(marketNewK, netUserPosition);
+
+	return cost;
+}
+
+/**
+ * Helper function calculating adjust pegMultiplier (repeg) cost
+ *
+ * @param market
+ * @param marketIndex
+ * @param newPeg
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+export function calculateRepegCost(
+	market: Market,
+	marketIndex: BN,
+	newPeg: BN
+): BN {
+	const netUserPosition = {
+		baseAssetAmount: market.baseAssetAmount,
+		lastCumulativeFundingRate: market.amm.cumulativeFundingRate,
+		marketIndex: new BN(marketIndex),
+		quoteAssetAmount: new BN(0),
+		openOrders: ZERO,
+	};
+
+	const currentValue = calculateBaseAssetValue(market, netUserPosition);
+	netUserPosition.quoteAssetAmount = currentValue;
+	const prevMarketPrice = 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',
+		convertToNumber(prevMarketPrice),
+		'to',
+		convertToNumber(calculateMarkPrice(marketNewPeg))
+	);
+
+	const cost = calculatePositionPNL(marketNewPeg, netUserPosition);
+
+	return cost;
+}
+
+/**
+ * Helper function calculating adjust pegMultiplier (repeg) cost
+ *
+ * @param market
+ * @param marketIndex
+ * @param newPeg
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+export function calculateReserveRebalanceCost(
+	market: Market,
+	marketIndex: BN
+): BN {
+	const netUserPosition = {
+		baseAssetAmount: market.baseAssetAmount,
+		lastCumulativeFundingRate: market.amm.cumulativeFundingRate,
+		marketIndex: new BN(marketIndex),
+		quoteAssetAmount: new BN(0),
+		openOrders: ZERO,
+	};
+
+	const currentValue = calculateBaseAssetValue(market, netUserPosition);
+	netUserPosition.quoteAssetAmount = currentValue;
+	const prevMarketPrice = calculateMarkPrice(market);
+	const marketNewPeg = Object.assign({}, market);
+	marketNewPeg.amm = Object.assign({}, market.amm);
+
+	// const marketNewPeg = JSON.parse(JSON.stringify(market));
+	const newPeg = calculateTerminalPrice(market)
+		.mul(PEG_PRECISION)
+		.div(MARK_PRICE_PRECISION);
+	// const newPeg = prevMarketPrice.mul(PEG_PRECISION).div(MARK_PRICE_PRECISION);
+
+	const newBaseReserve = market.amm.baseAssetReserve.add(
+		market.baseAssetAmount
+	);
+	const newQuoteReserve = market.amm.sqrtK
+		.mul(market.amm.sqrtK)
+		.div(newBaseReserve);
+	console.log(
+		'current reserves on close, quote:',
+		convertToNumber(newQuoteReserve, AMM_RESERVE_PRECISION),
+		'base:',
+		convertToNumber(newBaseReserve, AMM_RESERVE_PRECISION)
+	);
+
+	let newSqrtK;
+	if (newPeg.lt(market.amm.pegMultiplier)) {
+		newSqrtK = newBaseReserve;
+	} else {
+		newSqrtK = newQuoteReserve;
+	}
+
+	marketNewPeg.amm.baseAssetReserve = newSqrtK.sub(market.baseAssetAmount); // newSqrtK.sub(market.baseAssetAmount);
+	marketNewPeg.amm.quoteAssetReserve = newSqrtK
+		.mul(newSqrtK)
+		.div(marketNewPeg.amm.baseAssetReserve);
+	marketNewPeg.amm.sqrtK = newSqrtK;
+	marketNewPeg.amm.pegMultiplier = newPeg;
+
+	console.log(
+		'Price moves from',
+		convertToNumber(prevMarketPrice),
+		'to',
+		convertToNumber(calculateMarkPrice(marketNewPeg))
+	);
+
+	const cost = calculatePositionPNL(marketNewPeg, netUserPosition);
+
+	return cost;
+}
+
+export function calculateBudgetedK(market: Market, cost: BN): [BN, BN] {
+	// 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 BN(-1));
+
+	const numer1 = y.mul(d).mul(Q).div(AMM_RESERVE_PRECISION).div(PEG_PRECISION);
+	const numer2 = C.mul(x.add(d)).div(QUOTE_PRECISION);
+	const denom1 = C.mul(x)
+		.mul(x.add(d))
+		.div(AMM_RESERVE_PRECISION)
+		.div(QUOTE_PRECISION);
+	const denom2 = y
+		.mul(d)
+		.mul(d)
+		.mul(Q)
+		.div(AMM_RESERVE_PRECISION)
+		.div(AMM_RESERVE_PRECISION)
+		.div(PEG_PRECISION);
+
+	const numerator = d
+		.mul(numer1.add(numer2))
+		.div(AMM_RESERVE_PRECISION)
+		.div(AMM_RESERVE_PRECISION)
+		.div(AMM_TO_QUOTE_PRECISION_RATIO);
+	const denominator = denom1
+		.add(denom2)
+		.div(AMM_RESERVE_PRECISION)
+		.div(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];
+}
+
+export function calculateBudgetedPeg(market: Market, cost: BN): BN {
+	// 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 BN(-1));
+
+	const deltaQuoteAssetReserves = y.sub(k.div(x.add(d)));
+	const deltaPegMultiplier = C.mul(MARK_PRICE_PRECISION).div(
+		deltaQuoteAssetReserves.div(AMM_TO_QUOTE_PRECISION_RATIO)
+	);
+	// .mul(PEG_PRECISION)
+	// .div(QUOTE_PRECISION);
+	console.log(
+		Q.toNumber(),
+		'change by',
+		deltaPegMultiplier.toNumber() / MARK_PRICE_PRECISION.toNumber()
+	);
+	const newPeg = Q.sub(
+		deltaPegMultiplier.mul(PEG_PRECISION).div(MARK_PRICE_PRECISION)
+	);
+
+	return newPeg;
+}

package/src/addresses.js

@@ -1,59 +0,0 @@
-"use strict";
-var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    Object.defineProperty(o, k2, { enumerable: true, get: function() { return m[k]; } });
-}) : (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    o[k2] = m[k];
-}));
-var __setModuleDefault = (this && this.__setModuleDefault) || (Object.create ? (function(o, v) {
-    Object.defineProperty(o, "default", { enumerable: true, value: v });
-}) : function(o, v) {
-    o["default"] = v;
-});
-var __importStar = (this && this.__importStar) || function (mod) {
-    if (mod && mod.__esModule) return mod;
-    var result = {};
-    if (mod != null) for (var k in mod) if (k !== "default" && Object.prototype.hasOwnProperty.call(mod, k)) __createBinding(result, mod, k);
-    __setModuleDefault(result, mod);
-    return result;
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.getUserOrdersAccountPublicKey = exports.getUserOrdersAccountPublicKeyAndNonce = exports.getUserAccountPublicKey = exports.getUserAccountPublicKeyAndNonce = exports.getClearingHouseStateAccountPublicKey = exports.getOrderStateAccountPublicKeyAndNonce = exports.getOrderStateAccountPublicKey = exports.getClearingHouseStateAccountPublicKeyAndNonce = void 0;
-const anchor = __importStar(require("@project-serum/anchor"));
-async function getClearingHouseStateAccountPublicKeyAndNonce(programId) {
-    return anchor.web3.PublicKey.findProgramAddress([Buffer.from(anchor.utils.bytes.utf8.encode('clearing_house'))], programId);
-}
-exports.getClearingHouseStateAccountPublicKeyAndNonce = getClearingHouseStateAccountPublicKeyAndNonce;
-async function getOrderStateAccountPublicKey(programId) {
-    return (await getOrderStateAccountPublicKeyAndNonce(programId))[0];
-}
-exports.getOrderStateAccountPublicKey = getOrderStateAccountPublicKey;
-async function getOrderStateAccountPublicKeyAndNonce(programId) {
-    return anchor.web3.PublicKey.findProgramAddress([Buffer.from(anchor.utils.bytes.utf8.encode('order_state'))], programId);
-}
-exports.getOrderStateAccountPublicKeyAndNonce = getOrderStateAccountPublicKeyAndNonce;
-async function getClearingHouseStateAccountPublicKey(programId) {
-    return (await getClearingHouseStateAccountPublicKeyAndNonce(programId))[0];
-}
-exports.getClearingHouseStateAccountPublicKey = getClearingHouseStateAccountPublicKey;
-async function getUserAccountPublicKeyAndNonce(programId, authority) {
-    return anchor.web3.PublicKey.findProgramAddress([Buffer.from(anchor.utils.bytes.utf8.encode('user')), authority.toBuffer()], programId);
-}
-exports.getUserAccountPublicKeyAndNonce = getUserAccountPublicKeyAndNonce;
-async function getUserAccountPublicKey(programId, authority) {
-    return (await getUserAccountPublicKeyAndNonce(programId, authority))[0];
-}
-exports.getUserAccountPublicKey = getUserAccountPublicKey;
-async function getUserOrdersAccountPublicKeyAndNonce(programId, userAccount) {
-    return anchor.web3.PublicKey.findProgramAddress([
-        Buffer.from(anchor.utils.bytes.utf8.encode('user_orders')),
-        userAccount.toBuffer(),
-    ], programId);
-}
-exports.getUserOrdersAccountPublicKeyAndNonce = getUserOrdersAccountPublicKeyAndNonce;
-async function getUserOrdersAccountPublicKey(programId, userAccount) {
-    return (await getUserOrdersAccountPublicKeyAndNonce(programId, userAccount))[0];
-}
-exports.getUserOrdersAccountPublicKey = getUserOrdersAccountPublicKey;
-//# sourceMappingURL=addresses.js.map

package/src/addresses.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"addresses.js","sourceRoot":"","sources":["addresses.ts"],"names":[],"mappings":";;;;;;;;;;;;;;;;;;;;;;AACA,8DAAgD;AAEzC,KAAK,UAAU,6CAA6C,CAClE,SAAoB;IAEpB,OAAO,MAAM,CAAC,IAAI,CAAC,SAAS,CAAC,kBAAkB,CAC9C,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,MAAM,CAAC,gBAAgB,CAAC,CAAC,CAAC,EAC/D,SAAS,CACT,CAAC;AACH,CAAC;AAPD,sGAOC;AAEM,KAAK,UAAU,6BAA6B,CAClD,SAAoB;IAEpB,OAAO,CAAC,MAAM,qCAAqC,CAAC,SAAS,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;AACpE,CAAC;AAJD,sEAIC;AAEM,KAAK,UAAU,qCAAqC,CAC1D,SAAoB;IAEpB,OAAO,MAAM,CAAC,IAAI,CAAC,SAAS,CAAC,kBAAkB,CAC9C,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,MAAM,CAAC,aAAa,CAAC,CAAC,CAAC,EAC5D,SAAS,CACT,CAAC;AACH,CAAC;AAPD,sFAOC;AAEM,KAAK,UAAU,qCAAqC,CAC1D,SAAoB;IAEpB,OAAO,CAAC,MAAM,6CAA6C,CAAC,SAAS,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;AAC5E,CAAC;AAJD,sFAIC;AAEM,KAAK,UAAU,+BAA+B,CACpD,SAAoB,EACpB,SAAoB;IAEpB,OAAO,MAAM,CAAC,IAAI,CAAC,SAAS,CAAC,kBAAkB,CAC9C,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC,EAAE,SAAS,CAAC,QAAQ,EAAE,CAAC,EAC3E,SAAS,CACT,CAAC;AACH,CAAC;AARD,0EAQC;AAEM,KAAK,UAAU,uBAAuB,CAC5C,SAAoB,EACpB,SAAoB;IAEpB,OAAO,CAAC,MAAM,+BAA+B,CAAC,SAAS,EAAE,SAAS,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;AACzE,CAAC;AALD,0DAKC;AAEM,KAAK,UAAU,qCAAqC,CAC1D,SAAoB,EACpB,WAAsB;IAEtB,OAAO,MAAM,CAAC,IAAI,CAAC,SAAS,CAAC,kBAAkB,CAC9C;QACC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,MAAM,CAAC,aAAa,CAAC,CAAC;QAC1D,WAAW,CAAC,QAAQ,EAAE;KACtB,EACD,SAAS,CACT,CAAC;AACH,CAAC;AAXD,sFAWC;AAEM,KAAK,UAAU,6BAA6B,CAClD,SAAoB,EACpB,WAAsB;IAEtB,OAAO,CACN,MAAM,qCAAqC,CAAC,SAAS,EAAE,WAAW,CAAC,CACnE,CAAC,CAAC,CAAC,CAAC;AACN,CAAC;AAPD,sEAOC"}