@drift-labs/sdk 0.1.34-master.2 → 0.1.34-master.5

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Files changed (6) hide show
  1. package/lib/constants/markets.js +11 -0
  2. package/lib/math/funding.d.ts +4 -4
  3. package/lib/math/funding.js +25 -20
  4. package/package.json +1 -1
  5. package/src/constants/markets.ts +11 -0
  6. package/src/math/funding.ts +38 -29
package/lib/constants/markets.js CHANGED
@@ -221,4 +221,15 @@ exports.Markets = [
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  launchTs: 1651017354000,
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  oracleSource: __1.OracleSource.SWITCHBOARD,
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  },
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+ {
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+ fullName: 'Fantom',
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+ category: ['L1', 'Infra'],
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+ symbol: 'FTM-PERP',
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+ baseAssetSymbol: 'FTM',
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+ marketIndex: new __1.BN(20),
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+ devnetPublicKey: 'BTwrLU4so1oJMViWA3BTzh8YmFwiLZ6CL4U3JryG7Q5S',
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+ mainnetPublicKey: '7Dn52EY5EGE8Nvvw98KVMGPWTiTGn3PF4y24TVLyXdT9',
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+ launchTs: 1651559653000,
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+ oracleSource: __1.OracleSource.PYTH,
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+ },
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  ];
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
@@ -28,6 +28,7 @@ function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustm
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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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+ const ONE = new anchor_1.BN(1);
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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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  }
@@ -51,30 +52,34 @@ 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.max(ONE, anchor_1.BN.min(secondsInHour, anchor_1.BN.max(ONE, 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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81
  .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 @@
1
1
  {
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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.5",
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  "main": "lib/index.js",
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5
  "types": "lib/index.d.ts",
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  "author": "crispheaney",
package/src/constants/markets.ts CHANGED
@@ -231,4 +231,15 @@ export const Markets: MarketConfig[] = [
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  launchTs: 1651017354000,
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  oracleSource: OracleSource.SWITCHBOARD,
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  },
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+ {
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+ fullName: 'Fantom',
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+ category: ['L1', 'Infra'],
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+ symbol: 'FTM-PERP',
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+ baseAssetSymbol: 'FTM',
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+ marketIndex: new BN(20),
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+ devnetPublicKey: 'BTwrLU4so1oJMViWA3BTzh8YmFwiLZ6CL4U3JryG7Q5S',
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+ mainnetPublicKey: '7Dn52EY5EGE8Nvvw98KVMGPWTiTGn3PF4y24TVLyXdT9',
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+ launchTs: 1651559653000,
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+ oracleSource: OracleSource.PYTH,
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+ },
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  ];
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
@@ -27,6 +27,7 @@ export async function calculateAllEstimatedFundingRate(
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  // 24 * 365.25: annualized
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  const secondsInHour = new BN(3600);
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  const hoursInDay = new BN(24);
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+ const ONE = new BN(1);
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  if (!market.initialized) {
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  return [ZERO, ZERO, ZERO, ZERO, ZERO];
@@ -66,39 +67,47 @@ export async function calculateAllEstimatedFundingRate(
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  const timeSinceLastOracleTwapUpdate = now.sub(lastOraclePriceTwapTs);
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  const oracleTwapTimeSinceLastUpdate = BN.max(
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- secondsInHour,
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- secondsInHour.sub(timeSinceLastOracleTwapUpdate)
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+ ONE,
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+ BN.min(
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+ secondsInHour,
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+ BN.max(ONE, secondsInHour.sub(timeSinceLastOracleTwapUpdate))
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+ )
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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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77
 
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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
84
- if (oracleLiveVsTwap.lte(MARK_PRICE_PRECISION.mul(new BN(10)))) {
85
- oracleTwapWithMantissa = oracleTwapTimeSinceLastUpdate
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- .mul(lastOracleTwapWithMantissa)
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- .add(timeSinceLastMarkChange.mul(oraclePrice))
88
- .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
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- .div(
90
- 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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97
 
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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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+
103
+ const twapSpread = lastMarkTwapWithMantissa.sub(
104
+ shrunkLastOracleTwapwithMantissa
105
+ );
97
106
 
98
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  const twapSpreadPct = twapSpread
99
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  .mul(MARK_PRICE_PRECISION)
100
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  .mul(new BN(100))
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- .div(oracleTwapWithMantissa);
110
+ .div(shrunkLastOracleTwapwithMantissa);
102
111
 
103
112
  const lowerboundEst = twapSpreadPct
104
113
  .mul(payFreq)
@@ -197,9 +206,9 @@ export async function calculateAllEstimatedFundingRate(
197
206
  */
198
207
  export async function calculateEstimatedFundingRate(
199
208
  market: Market,
200
- oraclePriceData: OraclePriceData,
209
+ oraclePriceData?: OraclePriceData,
201
210
  periodAdjustment: BN = new BN(1),
202
- estimationMethod: 'interpolated' | 'lowerbound' | 'capped'
211
+ estimationMethod?: 'interpolated' | 'lowerbound' | 'capped'
203
212
  ): Promise<BN> {
204
213
  const [_1, _2, lowerboundEst, cappedAltEst, interpEst] =
205
214
  await calculateAllEstimatedFundingRate(
@@ -227,7 +236,7 @@ export async function calculateEstimatedFundingRate(
227
236
  */
228
237
  export async function calculateLongShortFundingRate(
229
238
  market: Market,
230
- oraclePriceData: OraclePriceData,
239
+ oraclePriceData?: OraclePriceData,
231
240
  periodAdjustment: BN = new BN(1)
232
241
  ): Promise<[BN, BN]> {
233
242
  const [_1, _2, _, cappedAltEst, interpEst] =
@@ -255,7 +264,7 @@ export async function calculateLongShortFundingRate(
255
264
  */
256
265
  export async function calculateLongShortFundingRateAndLiveTwaps(
257
266
  market: Market,
258
- oraclePriceData: OraclePriceData,
267
+ oraclePriceData?: OraclePriceData,
259
268
  periodAdjustment: BN = new BN(1)
260
269
  ): Promise<[BN, BN, BN, BN]> {
261
270
  const [markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst] =