@drift-labs/sdk 0.1.36-master.5 → 0.2.0-master.0

package/lib/math/bankBalance.js

@@ -0,0 +1,75 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateInterestAccumulated = exports.getTokenAmount = exports.getBalance = void 0;
+const types_1 = require("../types");
+const anchor_1 = require("@project-serum/anchor");
+const numericConstants_1 = require("../constants/numericConstants");
+function getBalance(tokenAmount, bank, balanceType) {
+    const precisionIncrease = numericConstants_1.TEN.pow(new anchor_1.BN(16 - bank.decimals));
+    const cumulativeInterest = (0, types_1.isVariant)(balanceType, 'deposit')
+        ? bank.cumulativeDepositInterest
+        : bank.cumulativeBorrowInterest;
+    let balance = tokenAmount.mul(precisionIncrease).div(cumulativeInterest);
+    if (!balance.eq(numericConstants_1.ZERO) && (0, types_1.isVariant)(balanceType, 'borrow')) {
+        balance = balance.add(numericConstants_1.ONE);
+    }
+    return balance;
+}
+exports.getBalance = getBalance;
+function getTokenAmount(balanceAmount, bank, balanceType) {
+    const precisionDecrease = numericConstants_1.TEN.pow(new anchor_1.BN(16 - bank.decimals));
+    const cumulativeInterest = (0, types_1.isVariant)(balanceType, 'deposit')
+        ? bank.cumulativeDepositInterest
+        : bank.cumulativeBorrowInterest;
+    return balanceAmount.mul(cumulativeInterest).div(precisionDecrease);
+}
+exports.getTokenAmount = getTokenAmount;
+function calculateInterestAccumulated(bank, now) {
+    const token_deposit_amount = getTokenAmount(bank.depositBalance, bank, types_1.BankBalanceType.DEPOSIT);
+    const token_borrow_amount = getTokenAmount(bank.borrowBalance, bank, types_1.BankBalanceType.BORROW);
+    let utilization;
+    if (token_borrow_amount.eq(numericConstants_1.ZERO) && token_deposit_amount.eq(numericConstants_1.ZERO)) {
+        utilization = numericConstants_1.ZERO;
+    }
+    else if (token_deposit_amount.eq(numericConstants_1.ZERO)) {
+        utilization = numericConstants_1.BANK_UTILIZATION_PRECISION;
+    }
+    else {
+        utilization = token_borrow_amount
+            .mul(numericConstants_1.BANK_UTILIZATION_PRECISION)
+            .div(token_deposit_amount);
+    }
+    let interest_rate;
+    if (utilization.gt(bank.optimalUtilization)) {
+        const surplusUtilization = utilization.sub(bank.optimalUtilization);
+        const borrowRateSlope = bank.maxBorrowRate
+            .sub(bank.optimalBorrowRate)
+            .mul(numericConstants_1.BANK_UTILIZATION_PRECISION)
+            .div(numericConstants_1.BANK_UTILIZATION_PRECISION.sub(bank.optimalUtilization));
+        interest_rate = bank.optimalBorrowRate.add(surplusUtilization.mul(borrowRateSlope).div(numericConstants_1.BANK_UTILIZATION_PRECISION));
+    }
+    else {
+        const borrowRateSlope = bank.optimalBorrowRate
+            .mul(numericConstants_1.BANK_UTILIZATION_PRECISION)
+            .div(numericConstants_1.BANK_UTILIZATION_PRECISION.sub(bank.optimalUtilization));
+        interest_rate = utilization
+            .mul(borrowRateSlope)
+            .div(numericConstants_1.BANK_UTILIZATION_PRECISION);
+    }
+    const timeSinceLastUpdate = now.sub(bank.lastUpdated);
+    const modifiedBorrowRate = interest_rate.mul(timeSinceLastUpdate);
+    const modifiedDepositRate = modifiedBorrowRate
+        .mul(utilization)
+        .div(numericConstants_1.BANK_UTILIZATION_PRECISION);
+    const borrowInterest = bank.cumulativeBorrowInterest
+        .mul(modifiedBorrowRate)
+        .div(numericConstants_1.ONE_YEAR)
+        .div(numericConstants_1.BANK_INTEREST_PRECISION)
+        .add(numericConstants_1.ONE);
+    const depositInterest = bank.cumulativeDepositInterest
+        .mul(modifiedDepositRate)
+        .div(numericConstants_1.ONE_YEAR)
+        .div(numericConstants_1.BANK_INTEREST_PRECISION);
+    return { borrowInterest, depositInterest };
+}
+exports.calculateInterestAccumulated = calculateInterestAccumulated;

package/lib/math/conversion.d.ts

@@ -1,3 +1,2 @@
 import { BN } from '../';
 export declare const convertToNumber: (bigNumber: BN, precision?: BN) => number;
-export declare const convertBaseAssetAmountToNumber: (baseAssetAmount: BN) => number;

package/lib/math/conversion.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.convertBaseAssetAmountToNumber = exports.convertToNumber = void 0;
+exports.convertToNumber = void 0;
 const numericConstants_1 = require("../constants/numericConstants");
 const convertToNumber = (bigNumber, precision = numericConstants_1.MARK_PRICE_PRECISION) => {
     if (!bigNumber)
@@ -9,7 +9,3 @@ const convertToNumber = (bigNumber, precision = numericConstants_1.MARK_PRICE_PR
         bigNumber.mod(precision).toNumber() / precision.toNumber());
 };
 exports.convertToNumber = convertToNumber;
-const convertBaseAssetAmountToNumber = (baseAssetAmount) => {
-    return (0, exports.convertToNumber)(baseAssetAmount, numericConstants_1.MARK_PRICE_PRECISION.mul(numericConstants_1.PEG_PRECISION));
-};
-exports.convertBaseAssetAmountToNumber = convertBaseAssetAmountToNumber;

package/lib/math/funding.d.ts

@@ -1,6 +1,6 @@
 /// <reference types="bn.js" />
 import { BN } from '@project-serum/anchor';
-import { Market } from '../types';
+import { MarketAccount } from '../types';
 import { OraclePriceData } from '../oracles/types';
 /**
  *
@@ -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: MarketAccount, 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: MarketAccount, 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: MarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN]>;
 /**
  *
  * @param market
@@ -34,10 +34,10 @@ 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: MarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN]>;
 /**
  *
  * @param market
  * @returns Estimated fee pool size
  */
-export declare function calculateFundingPool(market: Market): BN;
+export declare function calculateFundingPool(market: MarketAccount): BN;

package/lib/math/funding.js

@@ -1,13 +1,4 @@
 "use strict";
-var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
-    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
-    return new (P || (P = Promise))(function (resolve, reject) {
-        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
-        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
-        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
-        step((generator = generator.apply(thisArg, _arguments || [])).next());
-    });
-};
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.calculateFundingPool = exports.calculateLongShortFundingRateAndLiveTwaps = exports.calculateLongShortFundingRate = exports.calculateEstimatedFundingRate = exports.calculateAllEstimatedFundingRate = void 0;
 const anchor_1 = require("@project-serum/anchor");
@@ -20,112 +11,88 @@ const market_1 = require("./market");
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
-    return __awaiter(this, void 0, void 0, function* () {
-        // periodAdjustment
-        // 	1: hourly
-        //  24: daily
-        //  24 * 365.25: annualized
-        const secondsInHour = new anchor_1.BN(3600);
-        const hoursInDay = new anchor_1.BN(24);
-        const ONE = new anchor_1.BN(1);
-        if (!market.initialized) {
-            return [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO];
-        }
-        const payFreq = new anchor_1.BN(market.amm.fundingPeriod);
-        // todo: sufficiently differs from blockchain timestamp?
-        const now = new anchor_1.BN((Date.now() / 1000).toFixed(0));
-        const timeSinceLastUpdate = now.sub(market.amm.lastFundingRateTs);
-        // calculate real-time mark twap
-        const lastMarkTwapWithMantissa = market.amm.lastMarkPriceTwap;
-        const lastMarkPriceTwapTs = market.amm.lastMarkPriceTwapTs;
-        const timeSinceLastMarkChange = now.sub(lastMarkPriceTwapTs);
-        const markTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, anchor_1.BN.max(numericConstants_1.ZERO, secondsInHour.sub(timeSinceLastMarkChange)));
-        const baseAssetPriceWithMantissa = (0, market_1.calculateMarkPrice)(market);
-        const markTwapWithMantissa = markTwapTimeSinceLastUpdate
-            .mul(lastMarkTwapWithMantissa)
-            .add(timeSinceLastMarkChange.mul(baseAssetPriceWithMantissa))
-            .div(timeSinceLastMarkChange.add(markTwapTimeSinceLastUpdate));
-        // calculate real-time (predicted) oracle twap
-        // note: oracle twap depends on `when the chord is struck` (market is trade)
-        const lastOracleTwapWithMantissa = market.amm.lastOraclePriceTwap;
-        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(ONE, anchor_1.BN.min(secondsInHour, anchor_1.BN.max(ONE, secondsInHour.sub(timeSinceLastOracleTwapUpdate))));
-        let oracleTwapWithMantissa = 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
+async function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
+    // periodAdjustment
+    // 	1: hourly
+    //  24: daily
+    //  24 * 365.25: annualized
+    const secondsInHour = new anchor_1.BN(3600);
+    const hoursInDay = new anchor_1.BN(24);
+    const ONE = new anchor_1.BN(1);
+    if (!market.initialized) {
+        return [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO];
+    }
+    const payFreq = new anchor_1.BN(market.amm.fundingPeriod);
+    // todo: sufficiently differs from blockchain timestamp?
+    const now = new anchor_1.BN((Date.now() / 1000).toFixed(0));
+    const timeSinceLastUpdate = now.sub(market.amm.lastFundingRateTs);
+    // calculate real-time mark twap
+    const lastMarkTwapWithMantissa = market.amm.lastMarkPriceTwap;
+    const lastMarkPriceTwapTs = market.amm.lastMarkPriceTwapTs;
+    const timeSinceLastMarkChange = now.sub(lastMarkPriceTwapTs);
+    const markTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, anchor_1.BN.max(numericConstants_1.ZERO, secondsInHour.sub(timeSinceLastMarkChange)));
+    const baseAssetPriceWithMantissa = (0, market_1.calculateMarkPrice)(market, oraclePriceData);
+    const markTwapWithMantissa = markTwapTimeSinceLastUpdate
+        .mul(lastMarkTwapWithMantissa)
+        .add(timeSinceLastMarkChange.mul(baseAssetPriceWithMantissa))
+        .div(timeSinceLastMarkChange.add(markTwapTimeSinceLastUpdate));
+    // calculate real-time (predicted) oracle twap
+    // note: oracle twap depends on `when the chord is struck` (market is trade)
+    const lastOracleTwapWithMantissa = market.amm.lastOraclePriceTwap;
+    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(ONE, anchor_1.BN.min(secondsInHour, anchor_1.BN.max(ONE, secondsInHour.sub(timeSinceLastOracleTwapUpdate))));
+    let oracleTwapWithMantissa = 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(shrunkLastOracleTwapwithMantissa);
-        const lowerboundEst = twapSpreadPct
-            .mul(payFreq)
-            .mul(anchor_1.BN.min(secondsInHour, timeSinceLastUpdate))
-            .mul(periodAdjustment)
-            .div(secondsInHour)
-            .div(secondsInHour)
-            .div(hoursInDay);
-        const interpEst = twapSpreadPct.mul(periodAdjustment).div(hoursInDay);
-        const interpRateQuote = twapSpreadPct
-            .mul(periodAdjustment)
-            .div(hoursInDay)
-            .div(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION));
-        let feePoolSize = calculateFundingPool(market);
-        if (interpRateQuote.lt(new anchor_1.BN(0))) {
-            feePoolSize = feePoolSize.mul(new anchor_1.BN(-1));
-        }
-        let cappedAltEst;
-        let largerSide;
-        let smallerSide;
-        if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
-            largerSide = market.baseAssetAmountLong.abs();
-            smallerSide = market.baseAssetAmountShort.abs();
-            if (twapSpread.gt(new anchor_1.BN(0))) {
-                return [
-                    markTwapWithMantissa,
-                    oracleTwapWithMantissa,
-                    lowerboundEst,
-                    interpEst,
-                    interpEst,
-                ];
-            }
-        }
-        else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
-            largerSide = market.baseAssetAmountShort.abs();
-            smallerSide = market.baseAssetAmountLong.abs();
-            if (twapSpread.lt(new anchor_1.BN(0))) {
-                return [
-                    markTwapWithMantissa,
-                    oracleTwapWithMantissa,
-                    lowerboundEst,
-                    interpEst,
-                    interpEst,
-                ];
-            }
-        }
-        else {
+            .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(shrunkLastOracleTwapwithMantissa);
+    const lowerboundEst = twapSpreadPct
+        .mul(payFreq)
+        .mul(anchor_1.BN.min(secondsInHour, timeSinceLastUpdate))
+        .mul(periodAdjustment)
+        .div(secondsInHour)
+        .div(secondsInHour)
+        .div(hoursInDay);
+    const interpEst = twapSpreadPct.mul(periodAdjustment).div(hoursInDay);
+    const interpRateQuote = twapSpreadPct
+        .mul(periodAdjustment)
+        .div(hoursInDay)
+        .div(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION));
+    let feePoolSize = calculateFundingPool(market);
+    if (interpRateQuote.lt(new anchor_1.BN(0))) {
+        feePoolSize = feePoolSize.mul(new anchor_1.BN(-1));
+    }
+    let cappedAltEst;
+    let largerSide;
+    let smallerSide;
+    if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
+        largerSide = market.baseAssetAmountLong.abs();
+        smallerSide = market.baseAssetAmountShort.abs();
+        if (twapSpread.gt(new anchor_1.BN(0))) {
             return [
                 markTwapWithMantissa,
                 oracleTwapWithMantissa,
@@ -134,33 +101,55 @@ function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustm
                 interpEst,
             ];
         }
-        if (largerSide.gt(numericConstants_1.ZERO)) {
-            // funding smaller flow
-            cappedAltEst = smallerSide.mul(twapSpread).div(hoursInDay);
-            const feePoolTopOff = feePoolSize
-                .mul(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION))
-                .mul(numericConstants_1.AMM_RESERVE_PRECISION);
-            cappedAltEst = cappedAltEst.add(feePoolTopOff).div(largerSide);
-            cappedAltEst = cappedAltEst
-                .mul(numericConstants_1.MARK_PRICE_PRECISION)
-                .mul(new anchor_1.BN(100))
-                .div(oracleTwapWithMantissa)
-                .mul(periodAdjustment);
-            if (cappedAltEst.abs().gte(interpEst.abs())) {
-                cappedAltEst = interpEst;
-            }
-        }
-        else {
-            cappedAltEst = interpEst;
+    }
+    else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
+        largerSide = market.baseAssetAmountShort.abs();
+        smallerSide = market.baseAssetAmountLong.abs();
+        if (twapSpread.lt(new anchor_1.BN(0))) {
+            return [
+                markTwapWithMantissa,
+                oracleTwapWithMantissa,
+                lowerboundEst,
+                interpEst,
+                interpEst,
+            ];
         }
+    }
+    else {
         return [
             markTwapWithMantissa,
             oracleTwapWithMantissa,
             lowerboundEst,
-            cappedAltEst,
+            interpEst,
             interpEst,
         ];
-    });
+    }
+    if (largerSide.gt(numericConstants_1.ZERO)) {
+        // funding smaller flow
+        cappedAltEst = smallerSide.mul(twapSpread).div(hoursInDay);
+        const feePoolTopOff = feePoolSize
+            .mul(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION))
+            .mul(numericConstants_1.AMM_RESERVE_PRECISION);
+        cappedAltEst = cappedAltEst.add(feePoolTopOff).div(largerSide);
+        cappedAltEst = cappedAltEst
+            .mul(numericConstants_1.MARK_PRICE_PRECISION)
+            .mul(new anchor_1.BN(100))
+            .div(oracleTwapWithMantissa)
+            .mul(periodAdjustment);
+        if (cappedAltEst.abs().gte(interpEst.abs())) {
+            cappedAltEst = interpEst;
+        }
+    }
+    else {
+        cappedAltEst = interpEst;
+    }
+    return [
+        markTwapWithMantissa,
+        oracleTwapWithMantissa,
+        lowerboundEst,
+        cappedAltEst,
+        interpEst,
+    ];
 }
 exports.calculateAllEstimatedFundingRate = calculateAllEstimatedFundingRate;
 /**
@@ -171,20 +160,18 @@ exports.calculateAllEstimatedFundingRate = calculateAllEstimatedFundingRate;
  * @param estimationMethod
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-function calculateEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1), estimationMethod) {
-    return __awaiter(this, void 0, void 0, function* () {
-        const [_1, _2, lowerboundEst, cappedAltEst, interpEst] = yield calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
-        if (estimationMethod == 'lowerbound') {
-            //assuming remaining funding period has no gap
-            return lowerboundEst;
-        }
-        else if (estimationMethod == 'capped') {
-            return cappedAltEst;
-        }
-        else {
-            return interpEst;
-        }
-    });
+async function calculateEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1), estimationMethod) {
+    const [_1, _2, lowerboundEst, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
+    if (estimationMethod == 'lowerbound') {
+        //assuming remaining funding period has no gap
+        return lowerboundEst;
+    }
+    else if (estimationMethod == 'capped') {
+        return cappedAltEst;
+    }
+    else {
+        return interpEst;
+    }
 }
 exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
 /**
@@ -194,19 +181,17 @@ exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-function calculateLongShortFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
-    return __awaiter(this, void 0, void 0, function* () {
-        const [_1, _2, _, cappedAltEst, interpEst] = yield calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
-        if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort)) {
-            return [cappedAltEst, interpEst];
-        }
-        else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort)) {
-            return [interpEst, cappedAltEst];
-        }
-        else {
-            return [interpEst, interpEst];
-        }
-    });
+async function calculateLongShortFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
+    const [_1, _2, _, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
+    if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort)) {
+        return [cappedAltEst, interpEst];
+    }
+    else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort)) {
+        return [interpEst, cappedAltEst];
+    }
+    else {
+        return [interpEst, interpEst];
+    }
 }
 exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
 /**
@@ -216,19 +201,17 @@ exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-function calculateLongShortFundingRateAndLiveTwaps(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
-    return __awaiter(this, void 0, void 0, function* () {
-        const [markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst] = yield calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
-        if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
-            return [markTwapLive, oracleTwapLive, cappedAltEst, interpEst];
-        }
-        else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
-            return [markTwapLive, oracleTwapLive, interpEst, cappedAltEst];
-        }
-        else {
-            return [markTwapLive, oracleTwapLive, interpEst, interpEst];
-        }
-    });
+async function calculateLongShortFundingRateAndLiveTwaps(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
+    const [markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst] = await calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
+    if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
+        return [markTwapLive, oracleTwapLive, cappedAltEst, interpEst];
+    }
+    else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
+        return [markTwapLive, oracleTwapLive, interpEst, cappedAltEst];
+    }
+    else {
+        return [markTwapLive, oracleTwapLive, interpEst, interpEst];
+    }
 }
 exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRateAndLiveTwaps;
 /**
@@ -238,10 +221,10 @@ exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRat
  */
 function calculateFundingPool(market) {
     // todo
-    const totalFeeLB = market.amm.totalFee.div(new anchor_1.BN(2));
+    const totalFeeLB = market.amm.totalExchangeFee.div(new anchor_1.BN(2));
     const feePool = anchor_1.BN.max(numericConstants_1.ZERO, market.amm.totalFeeMinusDistributions
         .sub(totalFeeLB)
-        .mul(new anchor_1.BN(2))
+        .mul(new anchor_1.BN(1))
         .div(new anchor_1.BN(3)));
     return feePool;
 }

package/lib/math/market.d.ts

@@ -1,6 +1,6 @@
 /// <reference types="bn.js" />
 import { BN } from '@project-serum/anchor';
-import { Market, PositionDirection } from '../types';
+import { MarketAccount, PositionDirection } from '../types';
 import { OraclePriceData } from '../oracles/types';
 /**
  * Calculates market mark price
@@ -8,21 +8,21 @@ import { OraclePriceData } from '../oracles/types';
  * @param market
  * @return markPrice : Precision MARK_PRICE_PRECISION
  */
-export declare function calculateMarkPrice(market: Market): BN;
+export declare function calculateMarkPrice(market: MarketAccount, oraclePriceData: OraclePriceData): BN;
 /**
  * Calculates market bid price
  *
  * @param market
  * @return bidPrice : Precision MARK_PRICE_PRECISION
  */
-export declare function calculateBidPrice(market: Market): BN;
+export declare function calculateBidPrice(market: MarketAccount, oraclePriceData: OraclePriceData): BN;
 /**
  * Calculates market ask price
  *
  * @param market
  * @return bidPrice : Precision MARK_PRICE_PRECISION
  */
-export declare function calculateAskPrice(market: Market): BN;
-export declare function calculateNewMarketAfterTrade(baseAssetAmount: BN, direction: PositionDirection, market: Market): Market;
-export declare function calculateMarkOracleSpread(market: Market, oraclePriceData: OraclePriceData): BN;
+export declare function calculateAskPrice(market: MarketAccount, oraclePriceData: OraclePriceData): BN;
+export declare function calculateNewMarketAfterTrade(baseAssetAmount: BN, direction: PositionDirection, market: MarketAccount): MarketAccount;
+export declare function calculateMarkOracleSpread(market: MarketAccount, oraclePriceData: OraclePriceData): BN;
 export declare function calculateOracleSpread(price: BN, oraclePriceData: OraclePriceData): BN;

package/lib/math/market.js

@@ -9,8 +9,9 @@ const amm_1 = require("./amm");
  * @param market
  * @return markPrice : Precision MARK_PRICE_PRECISION
  */
-function calculateMarkPrice(market) {
-    return (0, amm_1.calculatePrice)(market.amm.baseAssetReserve, market.amm.quoteAssetReserve, market.amm.pegMultiplier);
+function calculateMarkPrice(market, oraclePriceData) {
+    const newAmm = (0, amm_1.calculateUpdatedAMM)(market.amm, oraclePriceData);
+    return (0, amm_1.calculatePrice)(newAmm.baseAssetReserve, newAmm.quoteAssetReserve, newAmm.pegMultiplier);
 }
 exports.calculateMarkPrice = calculateMarkPrice;
 /**
@@ -19,9 +20,9 @@ exports.calculateMarkPrice = calculateMarkPrice;
  * @param market
  * @return bidPrice : Precision MARK_PRICE_PRECISION
  */
-function calculateBidPrice(market) {
-    const { baseAssetReserve, quoteAssetReserve } = (0, amm_1.calculateSpreadReserves)(market.amm, types_1.PositionDirection.SHORT);
-    return (0, amm_1.calculatePrice)(baseAssetReserve, quoteAssetReserve, market.amm.pegMultiplier);
+function calculateBidPrice(market, oraclePriceData) {
+    const { baseAssetReserve, quoteAssetReserve, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, types_1.PositionDirection.SHORT, oraclePriceData);
+    return (0, amm_1.calculatePrice)(baseAssetReserve, quoteAssetReserve, newPeg);
 }
 exports.calculateBidPrice = calculateBidPrice;
 /**
@@ -30,9 +31,9 @@ exports.calculateBidPrice = calculateBidPrice;
  * @param market
  * @return bidPrice : Precision MARK_PRICE_PRECISION
  */
-function calculateAskPrice(market) {
-    const { baseAssetReserve, quoteAssetReserve } = (0, amm_1.calculateSpreadReserves)(market.amm, types_1.PositionDirection.LONG);
-    return (0, amm_1.calculatePrice)(baseAssetReserve, quoteAssetReserve, market.amm.pegMultiplier);
+function calculateAskPrice(market, oraclePriceData) {
+    const { baseAssetReserve, quoteAssetReserve, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, types_1.PositionDirection.LONG, oraclePriceData);
+    return (0, amm_1.calculatePrice)(baseAssetReserve, quoteAssetReserve, newPeg);
 }
 exports.calculateAskPrice = calculateAskPrice;
 function calculateNewMarketAfterTrade(baseAssetAmount, direction, market) {
@@ -46,7 +47,7 @@ function calculateNewMarketAfterTrade(baseAssetAmount, direction, market) {
 }
 exports.calculateNewMarketAfterTrade = calculateNewMarketAfterTrade;
 function calculateMarkOracleSpread(market, oraclePriceData) {
-    const markPrice = calculateMarkPrice(market);
+    const markPrice = calculateMarkPrice(market, oraclePriceData);
     return calculateOracleSpread(markPrice, oraclePriceData);
 }
 exports.calculateMarkOracleSpread = calculateMarkOracleSpread;

package/lib/math/oracles.d.ts

@@ -0,0 +1,3 @@
+import { AMM, OracleGuardRails } from '../types';
+import { OraclePriceData } from '../oracles/types';
+export declare function isOracleValid(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, slot: number): boolean;