@drift-labs/sdk 0.1.34-master.0 → 0.1.34-master.3

package/lib/accounts/pollingClearingHouseAccountSubscriber.d.ts

@@ -35,6 +35,7 @@ export declare class PollingClearingHouseAccountSubscriber implements ClearingHo
     getClearingHouseAccounts(): Promise<ClearingHouseAccounts>;
     addToAccountLoader(): Promise<void>;
     fetch(): Promise<void>;
+    didSubscriptionSucceed(): boolean;
     unsubscribe(): Promise<void>;
     assertIsSubscribed(): void;
     assertOptionalIsSubscribed(optionalSubscription: ClearingHouseAccountTypes): void;

package/lib/accounts/pollingClearingHouseAccountSubscriber.js

@@ -42,11 +42,14 @@ class PollingClearingHouseAccountSubscriber {
             yield this.updateAccountsToPoll();
             yield this.addToAccountLoader();
             yield this.fetch();
-            this.eventEmitter.emit('update');
+            const subscriptionSucceeded = this.didSubscriptionSucceed();
+            if (subscriptionSucceeded) {
+                this.eventEmitter.emit('update');
+            }
             this.isSubscribing = false;
-            this.isSubscribed = true;
-            this.subscriptionPromiseResolver(true);
-            return true;
+            this.isSubscribed = subscriptionSucceeded;
+            this.subscriptionPromiseResolver(subscriptionSucceeded);
+            return subscriptionSucceeded;
         });
     }
     updateAccountsToPoll() {
@@ -177,6 +180,16 @@ class PollingClearingHouseAccountSubscriber {
             }
         });
     }
+    didSubscriptionSucceed() {
+        let success = true;
+        for (const [_, accountToPoll] of this.accountsToPoll) {
+            if (!this[accountToPoll.key]) {
+                success = false;
+                break;
+            }
+        }
+        return success;
+    }
     unsubscribe() {
         return __awaiter(this, void 0, void 0, function* () {
             if (!this.isSubscribed) {

package/lib/accounts/pollingUserAccountSubscriber.d.ts

@@ -24,6 +24,7 @@ export declare class PollingUserAccountSubscriber implements UserAccountSubscrib
     addToAccountLoader(userPublicKeys?: UserPublicKeys): Promise<void>;
     fetchIfUnloaded(): Promise<void>;
     fetch(): Promise<void>;
+    didSubscriptionSucceed(): boolean;
     unsubscribe(): Promise<void>;
     assertIsSubscribed(): void;
     getUserAccount(): UserAccount;

package/lib/accounts/pollingUserAccountSubscriber.js

@@ -31,9 +31,12 @@ class PollingUserAccountSubscriber {
             }
             yield this.addToAccountLoader();
             yield this.fetchIfUnloaded();
-            this.eventEmitter.emit('update');
-            this.isSubscribed = true;
-            return true;
+            const subscriptionSucceeded = this.didSubscriptionSucceed();
+            if (subscriptionSucceeded) {
+                this.eventEmitter.emit('update');
+            }
+            this.isSubscribed = subscriptionSucceeded;
+            return subscriptionSucceeded;
         });
     }
     addToAccountLoader(userPublicKeys) {
@@ -122,6 +125,17 @@ class PollingUserAccountSubscriber {
             }
         });
     }
+    didSubscriptionSucceed() {
+        let success = true;
+        for (const [_, accountToPoll] of this.accountsToPoll) {
+            // userOrders may not exist
+            if (accountToPoll.key !== 'userOrders' && !this[accountToPoll.key]) {
+                success = false;
+                break;
+            }
+        }
+        return success;
+    }
     unsubscribe() {
         return __awaiter(this, void 0, void 0, function* () {
             if (!this.isSubscribed) {

package/lib/idl/clearing_house.json

@@ -2538,7 +2538,11 @@
                     },
                     {
                         "name": "totalFeePaid",
-                        "type": "u128"
+                        "type": "u64"
+                    },
+                    {
+                        "name": "totalFeeRebate",
+                        "type": "u64"
                     },
                     {
                         "name": "totalTokenDiscount",
@@ -3369,7 +3373,7 @@
                     },
                     {
                         "name": "fee",
-                        "type": "u128"
+                        "type": "i128"
                     },
                     {
                         "name": "fillerReward",
@@ -3620,7 +3624,7 @@
                     },
                     {
                         "name": "fee",
-                        "type": "u128"
+                        "type": "i128"
                     },
                     {
                         "name": "quoteAssetAmountSurplus",
@@ -3772,7 +3776,7 @@
                     },
                     {
                         "name": "fee",
-                        "type": "u128"
+                        "type": "i128"
                     },
                     {
                         "name": "direction",

package/lib/math/funding.d.ts

@@ -9,7 +9,7 @@ import { OraclePriceData } from '../oracles/types';
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-export declare function calculateAllEstimatedFundingRate(market: Market, oraclePriceData: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN, BN]>;
+export declare function calculateAllEstimatedFundingRate(market: Market, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN, BN]>;
 /**
  *
  * @param market
@@ -18,7 +18,7 @@ export declare function calculateAllEstimatedFundingRate(market: Market, oracleP
  * @param estimationMethod
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-export declare function calculateEstimatedFundingRate(market: Market, oraclePriceData: OraclePriceData, periodAdjustment: BN, estimationMethod: 'interpolated' | 'lowerbound' | 'capped'): Promise<BN>;
+export declare function calculateEstimatedFundingRate(market: Market, oraclePriceData?: OraclePriceData, periodAdjustment?: BN, estimationMethod?: 'interpolated' | 'lowerbound' | 'capped'): Promise<BN>;
 /**
  *
  * @param market
@@ -26,7 +26,7 @@ export declare function calculateEstimatedFundingRate(market: Market, oraclePric
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-export declare function calculateLongShortFundingRate(market: Market, oraclePriceData: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN]>;
+export declare function calculateLongShortFundingRate(market: Market, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN]>;
 /**
  *
  * @param market
@@ -34,7 +34,7 @@ export declare function calculateLongShortFundingRate(market: Market, oraclePric
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-export declare function calculateLongShortFundingRateAndLiveTwaps(market: Market, oraclePriceData: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN]>;
+export declare function calculateLongShortFundingRateAndLiveTwaps(market: Market, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN]>;
 /**
  *
  * @param market

package/lib/math/funding.js

@@ -51,30 +51,34 @@ function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustm
         const lastOraclePriceTwapTs = market.amm.lastOraclePriceTwapTs;
         const oracleInvalidDuration = anchor_1.BN.max(numericConstants_1.ZERO, lastMarkPriceTwapTs.sub(lastOraclePriceTwapTs));
         const timeSinceLastOracleTwapUpdate = now.sub(lastOraclePriceTwapTs);
-        const oracleTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, secondsInHour.sub(timeSinceLastOracleTwapUpdate));
-        const oraclePrice = oraclePriceData.price;
+        const oracleTwapTimeSinceLastUpdate = anchor_1.BN.min(secondsInHour, anchor_1.BN.max(numericConstants_1.ZERO, secondsInHour.sub(timeSinceLastOracleTwapUpdate)));
         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))
-                .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
-                .div(timeSinceLastMarkChange
-                .add(oracleTwapTimeSinceLastUpdate)
-                .add(oracleInvalidDuration));
-        }
-        const twapSpread = lastMarkTwapWithMantissa.sub(lastOracleTwapWithMantissa);
+        // if passing live oracle data, improve predicted calc estimate
+        if (oraclePriceData) {
+            const oraclePrice = oraclePriceData.price;
+            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(timeSinceLastMarkChange.add(oracleTwapTimeSinceLastUpdate));
+            }
+        }
+        const shrunkLastOracleTwapwithMantissa = oracleTwapTimeSinceLastUpdate
+            .mul(lastOracleTwapWithMantissa)
+            .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
+            .div(oracleTwapTimeSinceLastUpdate.add(oracleInvalidDuration));
+        const twapSpread = lastMarkTwapWithMantissa.sub(shrunkLastOracleTwapwithMantissa);
         const twapSpreadPct = twapSpread
             .mul(numericConstants_1.MARK_PRICE_PRECISION)
             .mul(new anchor_1.BN(100))
-            .div(oracleTwapWithMantissa);
+            .div(shrunkLastOracleTwapwithMantissa);
         const lowerboundEst = twapSpreadPct
             .mul(payFreq)
             .mul(anchor_1.BN.min(secondsInHour, timeSinceLastUpdate))

package/lib/types.d.ts

@@ -333,6 +333,7 @@ export declare type UserAccount = {
     cumulativeDeposits: BN;
     positions: PublicKey;
     totalFeePaid: BN;
+    totalFeeRebate: BN;
     totalTokenDiscount: BN;
     totalReferralReward: BN;
     totalRefereeDiscount: BN;

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "0.1.34-master.0",
+	"version": "0.1.34-master.3",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/accounts/pollingClearingHouseAccountSubscriber.ts

@@ -86,13 +86,17 @@ export class PollingClearingHouseAccountSubscriber
 		await this.updateAccountsToPoll();
 		await this.addToAccountLoader();
 		await this.fetch();
-		this.eventEmitter.emit('update');
+		const subscriptionSucceeded = this.didSubscriptionSucceed();
+
+		if (subscriptionSucceeded) {
+			this.eventEmitter.emit('update');
+		}
 
 		this.isSubscribing = false;
-		this.isSubscribed = true;
-		this.subscriptionPromiseResolver(true);
+		this.isSubscribed = subscriptionSucceeded;
+		this.subscriptionPromiseResolver(subscriptionSucceeded);
 
-		return true;
+		return subscriptionSucceeded;
 	}
 
 	async updateAccountsToPoll(): Promise<void> {
@@ -254,6 +258,17 @@ export class PollingClearingHouseAccountSubscriber
 		}
 	}
 
+	didSubscriptionSucceed(): boolean {
+		let success = true;
+		for (const [_, accountToPoll] of this.accountsToPoll) {
+			if (!this[accountToPoll.key]) {
+				success = false;
+				break;
+			}
+		}
+		return success;
+	}
+
 	public async unsubscribe(): Promise<void> {
 		if (!this.isSubscribed) {
 			return;

package/src/accounts/pollingUserAccountSubscriber.ts

@@ -53,10 +53,15 @@ export class PollingUserAccountSubscriber implements UserAccountSubscriber {
 
 		await this.addToAccountLoader();
 		await this.fetchIfUnloaded();
-		this.eventEmitter.emit('update');
 
-		this.isSubscribed = true;
-		return true;
+		const subscriptionSucceeded = this.didSubscriptionSucceed();
+
+		if (subscriptionSucceeded) {
+			this.eventEmitter.emit('update');
+		}
+
+		this.isSubscribed = subscriptionSucceeded;
+		return subscriptionSucceeded;
 	}
 
 	async addToAccountLoader(userPublicKeys?: UserPublicKeys): Promise<void> {
@@ -168,6 +173,18 @@ export class PollingUserAccountSubscriber implements UserAccountSubscriber {
 		}
 	}
 
+	didSubscriptionSucceed(): boolean {
+		let success = true;
+		for (const [_, accountToPoll] of this.accountsToPoll) {
+			// userOrders may not exist
+			if (accountToPoll.key !== 'userOrders' && !this[accountToPoll.key]) {
+				success = false;
+				break;
+			}
+		}
+		return success;
+	}
+
 	async unsubscribe(): Promise<void> {
 		if (!this.isSubscribed) {
 			return;

package/src/idl/clearing_house.json

@@ -2538,7 +2538,11 @@
           },
           {
             "name": "totalFeePaid",
-            "type": "u128"
+            "type": "u64"
+          },
+          {
+            "name": "totalFeeRebate",
+            "type": "u64"
           },
           {
             "name": "totalTokenDiscount",
@@ -3369,7 +3373,7 @@
           },
           {
             "name": "fee",
-            "type": "u128"
+            "type": "i128"
           },
           {
             "name": "fillerReward",
@@ -3620,7 +3624,7 @@
           },
           {
             "name": "fee",
-            "type": "u128"
+            "type": "i128"
           },
           {
             "name": "quoteAssetAmountSurplus",
@@ -3772,7 +3776,7 @@
           },
           {
             "name": "fee",
-            "type": "u128"
+            "type": "i128"
           },
           {
             "name": "direction",

package/src/math/funding.ts

@@ -18,7 +18,7 @@ import { OraclePriceData } from '../oracles/types';
  */
 export async function calculateAllEstimatedFundingRate(
 	market: Market,
-	oraclePriceData: OraclePriceData,
+	oraclePriceData?: OraclePriceData,
 	periodAdjustment: BN = new BN(1)
 ): Promise<[BN, BN, BN, BN, BN]> {
 	// periodAdjustment
@@ -65,40 +65,45 @@ export async function calculateAllEstimatedFundingRate(
 	);
 
 	const timeSinceLastOracleTwapUpdate = now.sub(lastOraclePriceTwapTs);
-	const oracleTwapTimeSinceLastUpdate = BN.max(
+	const oracleTwapTimeSinceLastUpdate = BN.min(
 		secondsInHour,
-		secondsInHour.sub(timeSinceLastOracleTwapUpdate)
+		BN.max(ZERO, secondsInHour.sub(timeSinceLastOracleTwapUpdate))
 	);
-
-	const oraclePrice = oraclePriceData.price;
 	let oracleTwapWithMantissa = lastOracleTwapWithMantissa;
 
-	const oracleLiveVsTwap = oraclePrice
-		.sub(lastOracleTwapWithMantissa)
-		.abs()
-		.mul(MARK_PRICE_PRECISION)
-		.mul(new BN(100))
-		.div(lastOracleTwapWithMantissa);
-
-	// verify pyth live input is within 10% of last twap for live update
-	if (oracleLiveVsTwap.lte(MARK_PRICE_PRECISION.mul(new BN(10)))) {
-		oracleTwapWithMantissa = oracleTwapTimeSinceLastUpdate
-			.mul(lastOracleTwapWithMantissa)
-			.add(timeSinceLastMarkChange.mul(oraclePrice))
-			.add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
-			.div(
-				timeSinceLastMarkChange
-					.add(oracleTwapTimeSinceLastUpdate)
-					.add(oracleInvalidDuration)
-			);
+	// if passing live oracle data, improve predicted calc estimate
+	if (oraclePriceData) {
+		const oraclePrice = oraclePriceData.price;
+
+		const oracleLiveVsTwap = oraclePrice
+			.sub(lastOracleTwapWithMantissa)
+			.abs()
+			.mul(MARK_PRICE_PRECISION)
+			.mul(new BN(100))
+			.div(lastOracleTwapWithMantissa);
+
+		// verify pyth live input is within 10% of last twap for live update
+		if (oracleLiveVsTwap.lte(MARK_PRICE_PRECISION.mul(new BN(10)))) {
+			oracleTwapWithMantissa = oracleTwapTimeSinceLastUpdate
+				.mul(lastOracleTwapWithMantissa)
+				.add(timeSinceLastMarkChange.mul(oraclePrice))
+				.div(timeSinceLastMarkChange.add(oracleTwapTimeSinceLastUpdate));
+		}
 	}
 
-	const twapSpread = lastMarkTwapWithMantissa.sub(lastOracleTwapWithMantissa);
+	const shrunkLastOracleTwapwithMantissa = oracleTwapTimeSinceLastUpdate
+		.mul(lastOracleTwapWithMantissa)
+		.add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
+		.div(oracleTwapTimeSinceLastUpdate.add(oracleInvalidDuration));
+
+	const twapSpread = lastMarkTwapWithMantissa.sub(
+		shrunkLastOracleTwapwithMantissa
+	);
 
 	const twapSpreadPct = twapSpread
 		.mul(MARK_PRICE_PRECISION)
 		.mul(new BN(100))
-		.div(oracleTwapWithMantissa);
+		.div(shrunkLastOracleTwapwithMantissa);
 
 	const lowerboundEst = twapSpreadPct
 		.mul(payFreq)
@@ -197,9 +202,9 @@ export async function calculateAllEstimatedFundingRate(
  */
 export async function calculateEstimatedFundingRate(
 	market: Market,
-	oraclePriceData: OraclePriceData,
+	oraclePriceData?: OraclePriceData,
 	periodAdjustment: BN = new BN(1),
-	estimationMethod: 'interpolated' | 'lowerbound' | 'capped'
+	estimationMethod?: 'interpolated' | 'lowerbound' | 'capped'
 ): Promise<BN> {
 	const [_1, _2, lowerboundEst, cappedAltEst, interpEst] =
 		await calculateAllEstimatedFundingRate(
@@ -227,7 +232,7 @@ export async function calculateEstimatedFundingRate(
  */
 export async function calculateLongShortFundingRate(
 	market: Market,
-	oraclePriceData: OraclePriceData,
+	oraclePriceData?: OraclePriceData,
 	periodAdjustment: BN = new BN(1)
 ): Promise<[BN, BN]> {
 	const [_1, _2, _, cappedAltEst, interpEst] =
@@ -255,7 +260,7 @@ export async function calculateLongShortFundingRate(
  */
 export async function calculateLongShortFundingRateAndLiveTwaps(
 	market: Market,
-	oraclePriceData: OraclePriceData,
+	oraclePriceData?: OraclePriceData,
 	periodAdjustment: BN = new BN(1)
 ): Promise<[BN, BN, BN, BN]> {
 	const [markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst] =

package/src/types.ts

@@ -332,6 +332,7 @@ export type UserAccount = {
 	cumulativeDeposits: BN;
 	positions: PublicKey;
 	totalFeePaid: BN;
+	totalFeeRebate: BN;
 	totalTokenDiscount: BN;
 	totalReferralReward: BN;
 	totalRefereeDiscount: BN;