@drift-labs/sdk 0.1.29 → 0.1.30-master.2

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (85) hide show
  1. package/lib/accounts/bulkAccountLoader.d.ts +2 -1
  2. package/lib/accounts/bulkAccountLoader.js +44 -32
  3. package/lib/accounts/pollingClearingHouseAccountSubscriber.d.ts +15 -0
  4. package/lib/accounts/pollingClearingHouseAccountSubscriber.js +50 -23
  5. package/lib/clearingHouse.d.ts +0 -1
  6. package/lib/clearingHouse.js +0 -14
  7. package/lib/constants/accounts.d.ts +15 -0
  8. package/lib/constants/accounts.js +18 -0
  9. package/lib/factory/clearingHouse.d.ts +14 -4
  10. package/lib/factory/clearingHouse.js +23 -6
  11. package/lib/idl/clearing_house.json +2 -33
  12. package/lib/index.d.ts +0 -1
  13. package/lib/index.js +0 -1
  14. package/lib/math/amm.d.ts +20 -0
  15. package/lib/math/amm.js +151 -1
  16. package/lib/tx/retryTxSender.d.ts +5 -2
  17. package/lib/tx/retryTxSender.js +14 -1
  18. package/lib/util/promiseTimeout.d.ts +1 -0
  19. package/lib/util/promiseTimeout.js +14 -0
  20. package/package.json +1 -1
  21. package/src/accounts/bulkAccountLoader.ts +51 -40
  22. package/src/accounts/pollingClearingHouseAccountSubscriber.ts +73 -30
  23. package/src/clearingHouse.ts +0 -13
  24. package/src/constants/accounts.ts +26 -0
  25. package/src/factory/clearingHouse.ts +47 -7
  26. package/src/idl/clearing_house.json +2 -33
  27. package/src/index.ts +0 -1
  28. package/src/math/amm.ts +212 -1
  29. package/src/tx/retryTxSender.ts +19 -1
  30. package/src/util/promiseTimeout.ts +14 -0
  31. package/lib/math/repeg.d.ts +0 -32
  32. package/lib/math/repeg.js +0 -178
  33. package/src/accounts/pollingClearingHouseAccountSubscriber.js +0 -210
  34. package/src/accounts/pollingClearingHouseAccountSubscriber.js.map +0 -1
  35. package/src/accounts/pollingOracleSubscriber.js +0 -65
  36. package/src/accounts/pollingOracleSubscriber.js.map +0 -1
  37. package/src/accounts/pollingTokenAccountSubscriber.js +0 -65
  38. package/src/accounts/pollingTokenAccountSubscriber.js.map +0 -1
  39. package/src/accounts/utils.js +0 -8
  40. package/src/accounts/utils.js.map +0 -1
  41. package/src/accounts/webSocketAccountSubscriber.js +0 -64
  42. package/src/accounts/webSocketAccountSubscriber.js.map +0 -1
  43. package/src/accounts/webSocketClearingHouseAccountSubscriber.js +0 -212
  44. package/src/accounts/webSocketClearingHouseAccountSubscriber.js.map +0 -1
  45. package/src/assert/assert.js +0 -10
  46. package/src/assert/assert.js.map +0 -1
  47. package/src/constants/markets.js +0 -167
  48. package/src/constants/markets.js.map +0 -1
  49. package/src/constants/numericConstants.js +0 -22
  50. package/src/constants/numericConstants.js.map +0 -1
  51. package/src/math/conversion.js +0 -16
  52. package/src/math/conversion.js.map +0 -1
  53. package/src/math/funding.js +0 -223
  54. package/src/math/funding.js.map +0 -1
  55. package/src/math/insuranceFund.js +0 -23
  56. package/src/math/insuranceFund.js.map +0 -1
  57. package/src/math/market.js +0 -30
  58. package/src/math/market.js.map +0 -1
  59. package/src/math/orders.js +0 -73
  60. package/src/math/orders.js.map +0 -1
  61. package/src/math/position.js +0 -121
  62. package/src/math/position.js.map +0 -1
  63. package/src/math/repeg.ts +0 -253
  64. package/src/math/trade.js +0 -182
  65. package/src/math/trade.js.map +0 -1
  66. package/src/math/utils.js +0 -27
  67. package/src/math/utils.js.map +0 -1
  68. package/src/oracles/switchboardClient.js +0 -60
  69. package/src/oracles/switchboardClient.js.map +0 -1
  70. package/src/oracles/types.js +0 -3
  71. package/src/oracles/types.js.map +0 -1
  72. package/src/token/index.js +0 -39
  73. package/src/token/index.js.map +0 -1
  74. package/src/tx/defaultTxSender.js +0 -13
  75. package/src/tx/defaultTxSender.js.map +0 -1
  76. package/src/tx/retryTxSender.js +0 -137
  77. package/src/tx/retryTxSender.js.map +0 -1
  78. package/src/tx/types.js +0 -3
  79. package/src/tx/types.js.map +0 -1
  80. package/src/tx/utils.js +0 -9
  81. package/src/tx/utils.js.map +0 -1
  82. package/src/util/computeUnits.js +0 -17
  83. package/src/util/computeUnits.js.map +0 -1
  84. package/src/util/tps.js +0 -17
  85. package/src/util/tps.js.map +0 -1
@@ -1,223 +0,0 @@
1
- "use strict";
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- Object.defineProperty(exports, "__esModule", { value: true });
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- exports.calculateFundingPool = exports.calculateLongShortFundingRateAndLiveTwaps = exports.calculateLongShortFundingRate = exports.calculateEstimatedFundingRate = exports.calculateAllEstimatedFundingRate = void 0;
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- const anchor_1 = require("@project-serum/anchor");
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- const numericConstants_1 = require("../constants/numericConstants");
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- const market_1 = require("./market");
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- /**
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- *
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- * @param market
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- * @param oraclePriceData
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- * @param periodAdjustment
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- * @returns Estimated funding rate. : Precision //TODO-PRECISION
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- */
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- async function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
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- // periodAdjustment
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- // 1: hourly
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- // 24: daily
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- // 24 * 365.25: annualized
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- const secondsInHour = new anchor_1.BN(3600);
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- const hoursInDay = new anchor_1.BN(24);
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- if (!market.initialized) {
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- return [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO];
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- }
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- const payFreq = new anchor_1.BN(market.amm.fundingPeriod);
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- // todo: sufficiently differs from blockchain timestamp?
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- const now = new anchor_1.BN((Date.now() / 1000).toFixed(0));
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- const timeSinceLastUpdate = now.sub(market.amm.lastFundingRateTs);
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- // calculate real-time mark twap
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- const lastMarkTwapWithMantissa = market.amm.lastMarkPriceTwap;
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- const lastMarkPriceTwapTs = market.amm.lastMarkPriceTwapTs;
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- const timeSinceLastMarkChange = now.sub(lastMarkPriceTwapTs);
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- const markTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, secondsInHour.sub(timeSinceLastMarkChange));
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- const baseAssetPriceWithMantissa = (0, market_1.calculateMarkPrice)(market);
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- const markTwapWithMantissa = markTwapTimeSinceLastUpdate
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- .mul(lastMarkTwapWithMantissa)
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- .add(timeSinceLastMarkChange.mul(baseAssetPriceWithMantissa))
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- .div(timeSinceLastMarkChange.add(markTwapTimeSinceLastUpdate));
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- // calculate real-time (predicted) oracle twap
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- // note: oracle twap depends on `when the chord is struck` (market is trade)
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- const lastOracleTwapWithMantissa = market.amm.lastOraclePriceTwap;
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- const lastOraclePriceTwapTs = market.amm.lastOraclePriceTwapTs;
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- const timeSinceLastOracleTwapUpdate = now.sub(lastOraclePriceTwapTs);
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- const oracleTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, secondsInHour.sub(timeSinceLastOracleTwapUpdate));
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- const oraclePrice = oraclePriceData.price;
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- let oracleTwapWithMantissa = lastOracleTwapWithMantissa;
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- const oracleLiveVsTwap = oraclePrice
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- .sub(lastOracleTwapWithMantissa)
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- .abs()
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- .mul(numericConstants_1.MARK_PRICE_PRECISION)
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- .mul(new anchor_1.BN(100))
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- .div(lastOracleTwapWithMantissa);
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- // verify pyth live input is within 10% of last twap for live update
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- if (oracleLiveVsTwap.lte(numericConstants_1.MARK_PRICE_PRECISION.mul(new anchor_1.BN(10)))) {
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- oracleTwapWithMantissa = oracleTwapTimeSinceLastUpdate
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- .mul(lastOracleTwapWithMantissa)
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- .add(timeSinceLastMarkChange.mul(oraclePrice))
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- .div(timeSinceLastOracleTwapUpdate.add(oracleTwapTimeSinceLastUpdate));
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- }
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- const twapSpread = lastMarkTwapWithMantissa.sub(lastOracleTwapWithMantissa);
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- const twapSpreadPct = twapSpread
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- .mul(numericConstants_1.MARK_PRICE_PRECISION)
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- .mul(new anchor_1.BN(100))
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- .div(oracleTwapWithMantissa);
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- const lowerboundEst = twapSpreadPct
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- .mul(payFreq)
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- .mul(anchor_1.BN.min(secondsInHour, timeSinceLastUpdate))
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- .mul(periodAdjustment)
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- .div(secondsInHour)
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- .div(secondsInHour)
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- .div(hoursInDay);
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- const interpEst = twapSpreadPct.mul(periodAdjustment).div(hoursInDay);
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- const interpRateQuote = twapSpreadPct
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- .mul(periodAdjustment)
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- .div(hoursInDay)
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- .div(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION));
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- let feePoolSize = calculateFundingPool(market);
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- if (interpRateQuote.lt(new anchor_1.BN(0))) {
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- feePoolSize = feePoolSize.mul(new anchor_1.BN(-1));
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- }
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- let cappedAltEst;
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- let largerSide;
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- let smallerSide;
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- if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
84
- largerSide = market.baseAssetAmountLong.abs();
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- smallerSide = market.baseAssetAmountShort.abs();
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- if (twapSpread.gt(new anchor_1.BN(0))) {
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- return [
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- markTwapWithMantissa,
89
- oracleTwapWithMantissa,
90
- lowerboundEst,
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- interpEst,
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- interpEst,
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- ];
94
- }
95
- }
96
- else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
97
- largerSide = market.baseAssetAmountShort.abs();
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- smallerSide = market.baseAssetAmountLong.abs();
99
- if (twapSpread.lt(new anchor_1.BN(0))) {
100
- return [
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- markTwapWithMantissa,
102
- oracleTwapWithMantissa,
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- lowerboundEst,
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- interpEst,
105
- interpEst,
106
- ];
107
- }
108
- }
109
- else {
110
- return [
111
- markTwapWithMantissa,
112
- oracleTwapWithMantissa,
113
- lowerboundEst,
114
- interpEst,
115
- interpEst,
116
- ];
117
- }
118
- if (largerSide.gt(numericConstants_1.ZERO)) {
119
- // funding smaller flow
120
- cappedAltEst = smallerSide.mul(twapSpread).div(hoursInDay);
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- const feePoolTopOff = feePoolSize
122
- .mul(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION))
123
- .mul(numericConstants_1.AMM_RESERVE_PRECISION);
124
- cappedAltEst = cappedAltEst.add(feePoolTopOff).div(largerSide);
125
- cappedAltEst = cappedAltEst
126
- .mul(numericConstants_1.MARK_PRICE_PRECISION)
127
- .mul(new anchor_1.BN(100))
128
- .div(oracleTwapWithMantissa)
129
- .mul(periodAdjustment);
130
- if (cappedAltEst.abs().gte(interpEst.abs())) {
131
- cappedAltEst = interpEst;
132
- }
133
- }
134
- else {
135
- cappedAltEst = interpEst;
136
- }
137
- return [
138
- markTwapWithMantissa,
139
- oracleTwapWithMantissa,
140
- lowerboundEst,
141
- cappedAltEst,
142
- interpEst,
143
- ];
144
- }
145
- exports.calculateAllEstimatedFundingRate = calculateAllEstimatedFundingRate;
146
- /**
147
- *
148
- * @param market
149
- * @param oraclePriceData
150
- * @param periodAdjustment
151
- * @param estimationMethod
152
- * @returns Estimated funding rate. : Precision //TODO-PRECISION
153
- */
154
- async function calculateEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1), estimationMethod) {
155
- const [_1, _2, lowerboundEst, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
156
- if (estimationMethod == 'lowerbound') {
157
- //assuming remaining funding period has no gap
158
- return lowerboundEst;
159
- }
160
- else if (estimationMethod == 'capped') {
161
- return cappedAltEst;
162
- }
163
- else {
164
- return interpEst;
165
- }
166
- }
167
- exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
168
- /**
169
- *
170
- * @param market
171
- * @param oraclePriceData
172
- * @param periodAdjustment
173
- * @returns Estimated funding rate. : Precision //TODO-PRECISION
174
- */
175
- async function calculateLongShortFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
176
- const [_1, _2, _, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
177
- if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort)) {
178
- return [cappedAltEst, interpEst];
179
- }
180
- else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort)) {
181
- return [interpEst, cappedAltEst];
182
- }
183
- else {
184
- return [interpEst, interpEst];
185
- }
186
- }
187
- exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
188
- /**
189
- *
190
- * @param market
191
- * @param oraclePriceData
192
- * @param periodAdjustment
193
- * @returns Estimated funding rate. : Precision //TODO-PRECISION
194
- */
195
- async function calculateLongShortFundingRateAndLiveTwaps(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
196
- const [markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
197
- if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
198
- return [markTwapLive, oracleTwapLive, cappedAltEst, interpEst];
199
- }
200
- else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
201
- return [markTwapLive, oracleTwapLive, interpEst, cappedAltEst];
202
- }
203
- else {
204
- return [markTwapLive, oracleTwapLive, interpEst, interpEst];
205
- }
206
- }
207
- exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRateAndLiveTwaps;
208
- /**
209
- *
210
- * @param market
211
- * @returns Estimated fee pool size
212
- */
213
- function calculateFundingPool(market) {
214
- // todo
215
- const totalFeeLB = market.amm.totalFee.div(new anchor_1.BN(2));
216
- const feePool = anchor_1.BN.max(numericConstants_1.ZERO, market.amm.totalFeeMinusDistributions
217
- .sub(totalFeeLB)
218
- .mul(new anchor_1.BN(2))
219
- .div(new anchor_1.BN(3)));
220
- return feePool;
221
- }
222
- exports.calculateFundingPool = calculateFundingPool;
223
- //# sourceMappingURL=funding.js.map
@@ -1 +0,0 @@
1
- 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@@ -1,23 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.calculateInsuranceFundSize = void 0;
4
- const __1 = require("../");
5
- /**
6
- * In the case of a levered loss, the exchange first pays out undistributed fees and then the insurance fund.
7
- * Thus the de facto size of the insurance fund is the amount in the insurance vault plus the sum of each markets
8
- * undistributed fees.
9
- *
10
- * @param connection
11
- * @param state
12
- * @param marketsAccount
13
- * @returns Precision : QUOTE_ASSET_PRECISION
14
- */
15
- async function calculateInsuranceFundSize(connection, state, marketsAccount) {
16
- const insuranceVaultPublicKey = state.insuranceVault;
17
- const insuranceVaultAmount = new __1.BN((await connection.getTokenAccountBalance(insuranceVaultPublicKey)).value.amount);
18
- return marketsAccount.markets.reduce((insuranceVaultAmount, market) => {
19
- return insuranceVaultAmount.add(market.amm.totalFee.div(new __1.BN(2)));
20
- }, insuranceVaultAmount);
21
- }
22
- exports.calculateInsuranceFundSize = calculateInsuranceFundSize;
23
- //# sourceMappingURL=insuranceFund.js.map
@@ -1 +0,0 @@
1
- {"version":3,"file":"insuranceFund.js","sourceRoot":"","sources":["insuranceFund.ts"],"names":[],"mappings":";;;AACA,2BAAyB;AAGzB;;;;;;;;;GASG;AACI,KAAK,UAAU,0BAA0B,CAC/C,UAAsB,EACtB,KAAmB,EACnB,cAA8B;IAE9B,MAAM,uBAAuB,GAAG,KAAK,CAAC,cAAc,CAAC;IACrD,MAAM,oBAAoB,GAAG,IAAI,MAAE,CAClC,CACC,MAAM,UAAU,CAAC,sBAAsB,CAAC,uBAAuB,CAAC,CAChE,CAAC,KAAK,CAAC,MAAM,CACd,CAAC;IACF,OAAO,cAAc,CAAC,OAAO,CAAC,MAAM,CAAC,CAAC,oBAAoB,EAAE,MAAM,EAAE,EAAE;QACrE,OAAO,oBAAoB,CAAC,GAAG,CAAC,MAAM,CAAC,GAAG,CAAC,QAAQ,CAAC,GAAG,CAAC,IAAI,MAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IACrE,CAAC,EAAE,oBAAoB,CAAC,CAAC;AAC1B,CAAC;AAdD,gEAcC"}
@@ -1,30 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.calculateOracleMarkSpread = exports.calculateNewMarketAfterTrade = exports.calculateMarkPrice = void 0;
4
- const amm_1 = require("./amm");
5
- /**
6
- * Calculates market mark price
7
- *
8
- * @param market
9
- * @return markPrice : Precision MARK_PRICE_PRECISION
10
- */
11
- function calculateMarkPrice(market) {
12
- return (0, amm_1.calculatePrice)(market.amm.baseAssetReserve, market.amm.quoteAssetReserve, market.amm.pegMultiplier);
13
- }
14
- exports.calculateMarkPrice = calculateMarkPrice;
15
- function calculateNewMarketAfterTrade(baseAssetAmount, direction, market) {
16
- const [newQuoteAssetReserve, newBaseAssetReserve] = (0, amm_1.calculateAmmReservesAfterSwap)(market.amm, 'base', baseAssetAmount.abs(), (0, amm_1.getSwapDirection)('base', direction));
17
- const newAmm = Object.assign({}, market.amm);
18
- const newMarket = Object.assign({}, market);
19
- newMarket.amm = newAmm;
20
- newMarket.amm.quoteAssetReserve = newQuoteAssetReserve;
21
- newMarket.amm.baseAssetReserve = newBaseAssetReserve;
22
- return newMarket;
23
- }
24
- exports.calculateNewMarketAfterTrade = calculateNewMarketAfterTrade;
25
- function calculateOracleMarkSpread(market, oraclePriceData) {
26
- const markPrice = calculateMarkPrice(market);
27
- return oraclePriceData.price.sub(markPrice);
28
- }
29
- exports.calculateOracleMarkSpread = calculateOracleMarkSpread;
30
- //# sourceMappingURL=market.js.map
@@ -1 +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"}
@@ -1,73 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.isOrderReduceOnly = exports.isOrderRiskIncreasingInSameDirection = exports.isOrderRiskIncreasing = void 0;
4
- const types_1 = require("../types");
5
- const numericConstants_1 = require("../constants/numericConstants");
6
- function isOrderRiskIncreasing(user, order) {
7
- if ((0, types_1.isVariant)(order.status, 'init')) {
8
- return false;
9
- }
10
- const position = user.getUserPosition(order.marketIndex) ||
11
- user.getEmptyPosition(order.marketIndex);
12
- // if no position exists, it's risk increasing
13
- if (position.baseAssetAmount.eq(numericConstants_1.ZERO)) {
14
- return true;
15
- }
16
- // if position is long and order is long
17
- if (position.baseAssetAmount.gt(numericConstants_1.ZERO) && (0, types_1.isVariant)(order.direction, 'long')) {
18
- return true;
19
- }
20
- // if position is short and order is short
21
- if (position.baseAssetAmount.lt(numericConstants_1.ZERO) &&
22
- (0, types_1.isVariant)(order.direction, 'short')) {
23
- return true;
24
- }
25
- const baseAssetAmountToFill = order.baseAssetAmount.sub(order.baseAssetAmountFilled);
26
- // if order will flip position
27
- if (baseAssetAmountToFill.gt(position.baseAssetAmount.abs().mul(numericConstants_1.TWO))) {
28
- return true;
29
- }
30
- return false;
31
- }
32
- exports.isOrderRiskIncreasing = isOrderRiskIncreasing;
33
- function isOrderRiskIncreasingInSameDirection(user, order) {
34
- if ((0, types_1.isVariant)(order.status, 'init')) {
35
- return false;
36
- }
37
- const position = user.getUserPosition(order.marketIndex) ||
38
- user.getEmptyPosition(order.marketIndex);
39
- // if no position exists, it's risk increasing
40
- if (position.baseAssetAmount.eq(numericConstants_1.ZERO)) {
41
- return true;
42
- }
43
- // if position is long and order is long
44
- if (position.baseAssetAmount.gt(numericConstants_1.ZERO) && (0, types_1.isVariant)(order.direction, 'long')) {
45
- return true;
46
- }
47
- // if position is short and order is short
48
- if (position.baseAssetAmount.lt(numericConstants_1.ZERO) &&
49
- (0, types_1.isVariant)(order.direction, 'short')) {
50
- return true;
51
- }
52
- return false;
53
- }
54
- exports.isOrderRiskIncreasingInSameDirection = isOrderRiskIncreasingInSameDirection;
55
- function isOrderReduceOnly(user, order) {
56
- if ((0, types_1.isVariant)(order.status, 'init')) {
57
- return false;
58
- }
59
- const position = user.getUserPosition(order.marketIndex) ||
60
- user.getEmptyPosition(order.marketIndex);
61
- // if position is long and order is long
62
- if (position.baseAssetAmount.gt(numericConstants_1.ZERO) && (0, types_1.isVariant)(order.direction, 'long')) {
63
- return false;
64
- }
65
- // if position is short and order is short
66
- if (position.baseAssetAmount.lt(numericConstants_1.ZERO) &&
67
- (0, types_1.isVariant)(order.direction, 'short')) {
68
- return false;
69
- }
70
- return order.baseAssetAmount.abs().lte(position.baseAssetAmount.abs());
71
- }
72
- exports.isOrderReduceOnly = isOrderReduceOnly;
73
- //# sourceMappingURL=orders.js.map
@@ -1 +0,0 @@
1
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@@ -1,121 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.isEmptyPosition = exports.positionCurrentDirection = exports.findDirectionToClose = exports.calculateEntryPrice = exports.calculatePositionFundingPNL = exports.calculatePositionPNL = exports.calculateBaseAssetValue = void 0;
4
- const __1 = require("../");
5
- const numericConstants_1 = require("../constants/numericConstants");
6
- const types_1 = require("../types");
7
- const amm_1 = require("./amm");
8
- /**
9
- * calculateBaseAssetValue
10
- * = market value of closing entire position
11
- * @param market
12
- * @param userPosition
13
- * @returns Base Asset Value. : Precision QUOTE_PRECISION
14
- */
15
- function calculateBaseAssetValue(market, userPosition) {
16
- if (userPosition.baseAssetAmount.eq(numericConstants_1.ZERO)) {
17
- return numericConstants_1.ZERO;
18
- }
19
- const directionToClose = findDirectionToClose(userPosition);
20
- const [newQuoteAssetReserve, _] = (0, amm_1.calculateAmmReservesAfterSwap)(market.amm, 'base', userPosition.baseAssetAmount.abs(), (0, amm_1.getSwapDirection)('base', directionToClose));
21
- switch (directionToClose) {
22
- case types_1.PositionDirection.SHORT:
23
- return market.amm.quoteAssetReserve
24
- .sub(newQuoteAssetReserve)
25
- .mul(market.amm.pegMultiplier)
26
- .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
27
- case types_1.PositionDirection.LONG:
28
- return newQuoteAssetReserve
29
- .sub(market.amm.quoteAssetReserve)
30
- .mul(market.amm.pegMultiplier)
31
- .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO)
32
- .add(numericConstants_1.ONE);
33
- }
34
- }
35
- exports.calculateBaseAssetValue = calculateBaseAssetValue;
36
- /**
37
- * calculatePositionPNL
38
- * = BaseAssetAmount * (Avg Exit Price - Avg Entry Price)
39
- * @param market
40
- * @param marketPosition
41
- * @param withFunding (adds unrealized funding payment pnl to result)
42
- * @returns BaseAssetAmount : Precision QUOTE_PRECISION
43
- */
44
- function calculatePositionPNL(market, marketPosition, withFunding = false) {
45
- if (marketPosition.baseAssetAmount.eq(numericConstants_1.ZERO)) {
46
- return numericConstants_1.ZERO;
47
- }
48
- const baseAssetValue = calculateBaseAssetValue(market, marketPosition);
49
- let pnl;
50
- if (marketPosition.baseAssetAmount.gt(numericConstants_1.ZERO)) {
51
- pnl = baseAssetValue.sub(marketPosition.quoteAssetAmount);
52
- }
53
- else {
54
- pnl = marketPosition.quoteAssetAmount.sub(baseAssetValue);
55
- }
56
- if (withFunding) {
57
- const fundingRatePnL = calculatePositionFundingPNL(market, marketPosition).div(numericConstants_1.PRICE_TO_QUOTE_PRECISION);
58
- pnl = pnl.add(fundingRatePnL);
59
- }
60
- return pnl;
61
- }
62
- exports.calculatePositionPNL = calculatePositionPNL;
63
- /**
64
- *
65
- * @param market
66
- * @param marketPosition
67
- * @returns // TODO-PRECISION
68
- */
69
- function calculatePositionFundingPNL(market, marketPosition) {
70
- if (marketPosition.baseAssetAmount.eq(numericConstants_1.ZERO)) {
71
- return numericConstants_1.ZERO;
72
- }
73
- let ammCumulativeFundingRate;
74
- if (marketPosition.baseAssetAmount.gt(numericConstants_1.ZERO)) {
75
- ammCumulativeFundingRate = market.amm.cumulativeFundingRateLong;
76
- }
77
- else {
78
- ammCumulativeFundingRate = market.amm.cumulativeFundingRateShort;
79
- }
80
- const perPositionFundingRate = ammCumulativeFundingRate
81
- .sub(marketPosition.lastCumulativeFundingRate)
82
- .mul(marketPosition.baseAssetAmount)
83
- .div(numericConstants_1.AMM_RESERVE_PRECISION)
84
- .div(numericConstants_1.FUNDING_PAYMENT_PRECISION)
85
- .mul(new __1.BN(-1));
86
- return perPositionFundingRate;
87
- }
88
- exports.calculatePositionFundingPNL = calculatePositionFundingPNL;
89
- /**
90
- *
91
- * @param userPosition
92
- * @returns Precision: MARK_PRICE_PRECISION (10^10)
93
- */
94
- function calculateEntryPrice(userPosition) {
95
- if (userPosition.baseAssetAmount.eq(numericConstants_1.ZERO)) {
96
- return numericConstants_1.ZERO;
97
- }
98
- return userPosition.quoteAssetAmount
99
- .mul(numericConstants_1.MARK_PRICE_PRECISION)
100
- .mul(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO)
101
- .div(userPosition.baseAssetAmount)
102
- .abs();
103
- }
104
- exports.calculateEntryPrice = calculateEntryPrice;
105
- function findDirectionToClose(userPosition) {
106
- return userPosition.baseAssetAmount.gt(numericConstants_1.ZERO)
107
- ? types_1.PositionDirection.SHORT
108
- : types_1.PositionDirection.LONG;
109
- }
110
- exports.findDirectionToClose = findDirectionToClose;
111
- function positionCurrentDirection(userPosition) {
112
- return userPosition.baseAssetAmount.gte(numericConstants_1.ZERO)
113
- ? types_1.PositionDirection.LONG
114
- : types_1.PositionDirection.SHORT;
115
- }
116
- exports.positionCurrentDirection = positionCurrentDirection;
117
- function isEmptyPosition(userPosition) {
118
- return (userPosition.baseAssetAmount.eq(numericConstants_1.ZERO) && userPosition.openOrders.eq(numericConstants_1.ZERO));
119
- }
120
- exports.isEmptyPosition = isEmptyPosition;
121
- //# sourceMappingURL=position.js.map
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