@drift-labs/sdk 0.1.34-master.2 → 0.1.34-master.3

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Files changed (4) hide show
  1. package/lib/math/funding.d.ts +4 -4
  2. package/lib/math/funding.js +24 -20
  3. package/package.json +1 -1
  4. package/src/math/funding.ts +34 -29
package/lib/math/funding.d.ts CHANGED
@@ -9,7 +9,7 @@ import { OraclePriceData } from '../oracles/types';
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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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- export declare function calculateAllEstimatedFundingRate(market: Market, oraclePriceData: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN, BN]>;
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+ export declare function calculateAllEstimatedFundingRate(market: Market, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN, BN]>;
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  /**
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  *
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  * @param market
@@ -18,7 +18,7 @@ export declare function calculateAllEstimatedFundingRate(market: Market, oracleP
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  * @param estimationMethod
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  * @returns Estimated funding rate. : Precision //TODO-PRECISION
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  */
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- export declare function calculateEstimatedFundingRate(market: Market, oraclePriceData: OraclePriceData, periodAdjustment: BN, estimationMethod: 'interpolated' | 'lowerbound' | 'capped'): Promise<BN>;
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+ export declare function calculateEstimatedFundingRate(market: Market, oraclePriceData?: OraclePriceData, periodAdjustment?: BN, estimationMethod?: 'interpolated' | 'lowerbound' | 'capped'): Promise<BN>;
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  /**
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  *
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  * @param market
@@ -26,7 +26,7 @@ export declare function calculateEstimatedFundingRate(market: Market, oraclePric
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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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- export declare function calculateLongShortFundingRate(market: Market, oraclePriceData: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN]>;
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+ export declare function calculateLongShortFundingRate(market: Market, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN]>;
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  /**
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  *
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  * @param market
@@ -34,7 +34,7 @@ export declare function calculateLongShortFundingRate(market: Market, oraclePric
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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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- export declare function calculateLongShortFundingRateAndLiveTwaps(market: Market, oraclePriceData: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN]>;
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+ export declare function calculateLongShortFundingRateAndLiveTwaps(market: Market, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN]>;
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  /**
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  *
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  * @param market
package/lib/math/funding.js CHANGED
@@ -51,30 +51,34 @@ function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustm
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  const lastOraclePriceTwapTs = market.amm.lastOraclePriceTwapTs;
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  const oracleInvalidDuration = anchor_1.BN.max(numericConstants_1.ZERO, lastMarkPriceTwapTs.sub(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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+ const oracleTwapTimeSinceLastUpdate = anchor_1.BN.min(secondsInHour, anchor_1.BN.max(numericConstants_1.ZERO, secondsInHour.sub(timeSinceLastOracleTwapUpdate)));
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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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- .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
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- .div(timeSinceLastMarkChange
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- .add(oracleTwapTimeSinceLastUpdate)
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- .add(oracleInvalidDuration));
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- }
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- const twapSpread = lastMarkTwapWithMantissa.sub(lastOracleTwapWithMantissa);
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+ // if passing live oracle data, improve predicted calc estimate
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+ if (oraclePriceData) {
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+ const oraclePrice = oraclePriceData.price;
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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(timeSinceLastMarkChange.add(oracleTwapTimeSinceLastUpdate));
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+ }
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+ }
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+ const shrunkLastOracleTwapwithMantissa = oracleTwapTimeSinceLastUpdate
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+ .mul(lastOracleTwapWithMantissa)
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+ .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
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+ .div(oracleTwapTimeSinceLastUpdate.add(oracleInvalidDuration));
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+ const twapSpread = lastMarkTwapWithMantissa.sub(shrunkLastOracleTwapwithMantissa);
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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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+ .div(shrunkLastOracleTwapwithMantissa);
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  const lowerboundEst = twapSpreadPct
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  .mul(payFreq)
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  .mul(anchor_1.BN.min(secondsInHour, timeSinceLastUpdate))
package/package.json CHANGED
@@ -1,6 +1,6 @@
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  {
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  "name": "@drift-labs/sdk",
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- "version": "0.1.34-master.2",
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+ "version": "0.1.34-master.3",
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  "main": "lib/index.js",
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  "types": "lib/index.d.ts",
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  "author": "crispheaney",
package/src/math/funding.ts CHANGED
@@ -18,7 +18,7 @@ import { OraclePriceData } from '../oracles/types';
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  */
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  export async function calculateAllEstimatedFundingRate(
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  market: Market,
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- oraclePriceData: OraclePriceData,
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+ oraclePriceData?: OraclePriceData,
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  periodAdjustment: BN = new BN(1)
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  ): Promise<[BN, BN, BN, BN, BN]> {
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  // periodAdjustment
@@ -65,40 +65,45 @@ export async function calculateAllEstimatedFundingRate(
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  );
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  const timeSinceLastOracleTwapUpdate = now.sub(lastOraclePriceTwapTs);
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- const oracleTwapTimeSinceLastUpdate = BN.max(
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+ const oracleTwapTimeSinceLastUpdate = BN.min(
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  secondsInHour,
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- secondsInHour.sub(timeSinceLastOracleTwapUpdate)
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+ BN.max(ZERO, secondsInHour.sub(timeSinceLastOracleTwapUpdate))
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  );
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-
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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(MARK_PRICE_PRECISION)
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- .mul(new BN(100))
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- .div(lastOracleTwapWithMantissa);
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-
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- // verify pyth live input is within 10% of last twap for live update
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- if (oracleLiveVsTwap.lte(MARK_PRICE_PRECISION.mul(new 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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- .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
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- .div(
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- timeSinceLastMarkChange
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- .add(oracleTwapTimeSinceLastUpdate)
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- .add(oracleInvalidDuration)
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- );
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+ // if passing live oracle data, improve predicted calc estimate
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+ if (oraclePriceData) {
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+ const oraclePrice = oraclePriceData.price;
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+
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+ const oracleLiveVsTwap = oraclePrice
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+ .sub(lastOracleTwapWithMantissa)
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+ .abs()
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+ .mul(MARK_PRICE_PRECISION)
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+ .mul(new BN(100))
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+ .div(lastOracleTwapWithMantissa);
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+
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+ // verify pyth live input is within 10% of last twap for live update
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+ if (oracleLiveVsTwap.lte(MARK_PRICE_PRECISION.mul(new 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(timeSinceLastMarkChange.add(oracleTwapTimeSinceLastUpdate));
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+ }
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  }
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- const twapSpread = lastMarkTwapWithMantissa.sub(lastOracleTwapWithMantissa);
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+ const shrunkLastOracleTwapwithMantissa = oracleTwapTimeSinceLastUpdate
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+ .mul(lastOracleTwapWithMantissa)
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+ .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
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+ .div(oracleTwapTimeSinceLastUpdate.add(oracleInvalidDuration));
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+
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+ const twapSpread = lastMarkTwapWithMantissa.sub(
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+ shrunkLastOracleTwapwithMantissa
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+ );
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  const twapSpreadPct = twapSpread
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  .mul(MARK_PRICE_PRECISION)
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  .mul(new BN(100))
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- .div(oracleTwapWithMantissa);
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+ .div(shrunkLastOracleTwapwithMantissa);
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  const lowerboundEst = twapSpreadPct
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  .mul(payFreq)
@@ -197,9 +202,9 @@ export async function calculateAllEstimatedFundingRate(
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  */
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  export async function calculateEstimatedFundingRate(
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  market: Market,
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- oraclePriceData: OraclePriceData,
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+ oraclePriceData?: OraclePriceData,
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  periodAdjustment: BN = new BN(1),
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- estimationMethod: 'interpolated' | 'lowerbound' | 'capped'
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+ estimationMethod?: 'interpolated' | 'lowerbound' | 'capped'
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  ): Promise<BN> {
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  const [_1, _2, lowerboundEst, cappedAltEst, interpEst] =
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  await calculateAllEstimatedFundingRate(
@@ -227,7 +232,7 @@ export async function calculateEstimatedFundingRate(
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  */
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  export async function calculateLongShortFundingRate(
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  market: Market,
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- oraclePriceData: OraclePriceData,
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+ oraclePriceData?: OraclePriceData,
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  periodAdjustment: BN = new BN(1)
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  ): Promise<[BN, BN]> {
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  const [_1, _2, _, cappedAltEst, interpEst] =
@@ -255,7 +260,7 @@ export async function calculateLongShortFundingRate(
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  */
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  export async function calculateLongShortFundingRateAndLiveTwaps(
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  market: Market,
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- oraclePriceData: OraclePriceData,
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+ oraclePriceData?: OraclePriceData,
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  periodAdjustment: BN = new BN(1)
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  ): Promise<[BN, BN, BN, BN]> {
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  const [markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst] =