@drift-labs/sdk 0.2.0-master.0 → 0.2.0-master.11

package/lib/idl/{mock_usdc_faucet.json → token_faucet.json}

@@ -1,23 +1,23 @@
 {
-    "version": "0.0.0",
-    "name": "mock_usdc_faucet",
+    "version": "0.1.0",
+    "name": "token_faucet",
     "instructions": [
         {
             "name": "initialize",
             "accounts": [
                 {
-                    "name": "mockUsdcFaucetState",
+                    "name": "faucetConfig",
                     "isMut": true,
                     "isSigner": false
                 },
                 {
                     "name": "admin",
-                    "isMut": false,
+                    "isMut": true,
                     "isSigner": true
                 },
                 {
                     "name": "mintAccount",
-                    "isMut": false,
+                    "isMut": true,
                     "isSigner": false
                 },
                 {
@@ -29,20 +29,20 @@
                     "name": "systemProgram",
                     "isMut": false,
                     "isSigner": false
-                }
-            ],
-            "args": [
+                },
                 {
-                    "name": "mockUsdcFaucetNonce",
-                    "type": "u8"
+                    "name": "tokenProgram",
+                    "isMut": false,
+                    "isSigner": false
                 }
-            ]
+            ],
+            "args": []
         },
         {
             "name": "mintToUser",
             "accounts": [
                 {
-                    "name": "mockUsdcFaucetState",
+                    "name": "faucetConfig",
                     "isMut": false,
                     "isSigner": false
                 },
@@ -73,11 +73,42 @@
                     "type": "u64"
                 }
             ]
+        },
+        {
+            "name": "transferMintAuthority",
+            "accounts": [
+                {
+                    "name": "faucetConfig",
+                    "isMut": false,
+                    "isSigner": false
+                },
+                {
+                    "name": "admin",
+                    "isMut": true,
+                    "isSigner": true
+                },
+                {
+                    "name": "mintAccount",
+                    "isMut": true,
+                    "isSigner": false
+                },
+                {
+                    "name": "mintAuthority",
+                    "isMut": false,
+                    "isSigner": false
+                },
+                {
+                    "name": "tokenProgram",
+                    "isMut": false,
+                    "isSigner": false
+                }
+            ],
+            "args": []
         }
     ],
     "accounts": [
         {
-            "name": "MockUSDCFaucetState",
+            "name": "FaucetConfig",
             "type": {
                 "kind": "struct",
                 "fields": [
@@ -103,17 +134,9 @@
     ],
     "errors": [
         {
-            "code": 300,
+            "code": 6000,
             "name": "InvalidMintAccountAuthority",
             "msg": "Program not mint authority"
-        },
-        {
-            "code": 301,
-            "name": "Unauthorized",
-            "msg": "Signer must be MockUSDCFaucet admin"
         }
-    ],
-    "metadata": {
-        "address": "2z2DLVD3tBWc86pbvvy5qN31v1NXprM6zA5MDr2FMx64"
-    }
+    ]
 }

package/lib/index.d.ts

@@ -1,6 +1,7 @@
 import { BN } from '@project-serum/anchor';
 import { PublicKey } from '@solana/web3.js';
-export * from './mockUSDCFaucet';
+import pyth from '@pythnetwork/client';
+export * from './tokenFaucet';
 export * from './oracles/types';
 export * from './oracles/pythClient';
 export * from './oracles/switchboardClient';
@@ -47,4 +48,4 @@ export * from './util/tps';
 export * from './math/bankBalance';
 export * from './constants/banks';
 export * from './clearingHouseConfig';
-export { BN, PublicKey };
+export { BN, PublicKey, pyth };

package/lib/index.js

@@ -13,13 +13,18 @@ var __createBinding = (this && this.__createBinding) || (Object.create ? (functi
 var __exportStar = (this && this.__exportStar) || function(m, exports) {
     for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
 };
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.PublicKey = exports.BN = void 0;
+exports.pyth = exports.PublicKey = exports.BN = void 0;
 const anchor_1 = require("@project-serum/anchor");
 Object.defineProperty(exports, "BN", { enumerable: true, get: function () { return anchor_1.BN; } });
 const web3_js_1 = require("@solana/web3.js");
 Object.defineProperty(exports, "PublicKey", { enumerable: true, get: function () { return web3_js_1.PublicKey; } });
-__exportStar(require("./mockUSDCFaucet"), exports);
+const client_1 = __importDefault(require("@pythnetwork/client"));
+exports.pyth = client_1.default;
+__exportStar(require("./tokenFaucet"), exports);
 __exportStar(require("./oracles/types"), exports);
 __exportStar(require("./oracles/pythClient"), exports);
 __exportStar(require("./oracles/switchboardClient"), exports);

package/lib/math/amm.d.ts

@@ -2,6 +2,8 @@
 import { BN } from '@project-serum/anchor';
 import { AMM, PositionDirection, SwapDirection, MarketAccount } from '../types';
 import { OraclePriceData } from '../oracles/types';
+export declare function calculatePegFromTargetPrice(targetPrice: BN, baseAssetReserve: BN, quoteAssetReserve: BN): BN;
+export declare function calculateOptimalPegAndBudget(amm: AMM, oraclePriceData: OraclePriceData): [BN, BN, BN, boolean];
 export declare function calculateNewAmm(amm: AMM, oraclePriceData: OraclePriceData): [BN, BN, BN, BN];
 export declare function calculateUpdatedAMM(amm: AMM, oraclePriceData: OraclePriceData): AMM;
 export declare function calculateUpdatedAMMSpreadReserves(amm: AMM, direction: PositionDirection, oraclePriceData: OraclePriceData): {
@@ -10,7 +12,7 @@ export declare function calculateUpdatedAMMSpreadReserves(amm: AMM, direction: P
     sqrtK: BN;
     newPeg: BN;
 };
-export declare function calculateBidAskPrice(amm: AMM, oraclePriceData: OraclePriceData): [BN, BN];
+export declare function calculateBidAskPrice(amm: AMM, oraclePriceData: OraclePriceData, withUpdate?: boolean): [BN, BN];
 /**
  * Calculates a price given an arbitrary base and quote amount (they must have the same precision)
  *
@@ -31,6 +33,9 @@ export declare type AssetType = 'quote' | 'base';
  * @returns quoteAssetReserve and baseAssetReserve after swap. : Precision AMM_RESERVE_PRECISION
  */
 export declare function calculateAmmReservesAfterSwap(amm: Pick<AMM, 'pegMultiplier' | 'quoteAssetReserve' | 'sqrtK' | 'baseAssetReserve'>, inputAssetType: AssetType, swapAmount: BN, swapDirection: SwapDirection): [BN, BN];
+export declare function calculateEffectiveLeverage(baseSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, netBaseAssetAmount: BN, markPrice: BN, totalFeeMinusDistributions: BN): number;
+export declare function calculateMaxSpread(marginRatioInitial: number): number;
+export declare function calculateSpreadBN(baseSpread: number, lastOracleMarkSpreadPct: BN, lastOracleConfPct: BN, maxSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, netBaseAssetAmount: BN, markPrice: BN, totalFeeMinusDistributions: BN): [number, number];
 export declare function calculateSpread(amm: AMM, direction: PositionDirection, oraclePriceData: OraclePriceData): number;
 export declare function calculateSpreadReserves(amm: AMM, direction: PositionDirection, oraclePriceData: OraclePriceData): {
     baseAssetReserve: BN;

package/lib/math/amm.js

@@ -1,25 +1,58 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = void 0;
+exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateMaxSpread = exports.calculateEffectiveLeverage = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = exports.calculateOptimalPegAndBudget = exports.calculatePegFromTargetPrice = void 0;
 const anchor_1 = require("@project-serum/anchor");
 const numericConstants_1 = require("../constants/numericConstants");
 const types_1 = require("../types");
 const assert_1 = require("../assert/assert");
 const __1 = require("..");
 const repeg_1 = require("./repeg");
-function calculateNewAmm(amm, oraclePriceData) {
-    let pKNumer = new anchor_1.BN(1);
-    let pKDenom = new anchor_1.BN(1);
+function calculatePegFromTargetPrice(targetPrice, baseAssetReserve, quoteAssetReserve) {
+    return targetPrice
+        .mul(baseAssetReserve)
+        .div(quoteAssetReserve)
+        .add(numericConstants_1.PRICE_DIV_PEG.div(new anchor_1.BN(2)))
+        .div(numericConstants_1.PRICE_DIV_PEG);
+}
+exports.calculatePegFromTargetPrice = calculatePegFromTargetPrice;
+function calculateOptimalPegAndBudget(amm, oraclePriceData) {
+    const markPriceBefore = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     const targetPrice = oraclePriceData.price;
-    let newPeg = targetPrice
-        .mul(amm.baseAssetReserve)
-        .div(amm.quoteAssetReserve)
-        .add(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.PEG_PRECISION).div(new anchor_1.BN(2)))
-        .div(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.PEG_PRECISION));
-    let prePegCost = (0, repeg_1.calculateRepegCost)(amm, newPeg);
+    const newPeg = calculatePegFromTargetPrice(targetPrice, amm.baseAssetReserve, amm.quoteAssetReserve);
+    const prePegCost = (0, repeg_1.calculateRepegCost)(amm, newPeg);
     const totalFeeLB = amm.totalExchangeFee.div(new anchor_1.BN(2));
     const budget = anchor_1.BN.max(numericConstants_1.ZERO, amm.totalFeeMinusDistributions.sub(totalFeeLB));
-    if (prePegCost.gt(budget)) {
+    if (budget.lt(prePegCost)) {
+        const maxPriceSpread = new anchor_1.BN(amm.maxSpread)
+            .mul(targetPrice)
+            .div(numericConstants_1.BID_ASK_SPREAD_PRECISION);
+        let newTargetPrice;
+        let newOptimalPeg;
+        let newBudget;
+        const targetPriceGap = markPriceBefore.sub(targetPrice);
+        if (targetPriceGap.abs().gt(maxPriceSpread)) {
+            const markAdj = targetPriceGap.abs().sub(maxPriceSpread);
+            if (targetPriceGap.lt(new anchor_1.BN(0))) {
+                newTargetPrice = markPriceBefore.add(markAdj);
+            }
+            else {
+                newTargetPrice = markPriceBefore.sub(markAdj);
+            }
+            newOptimalPeg = calculatePegFromTargetPrice(newTargetPrice, amm.baseAssetReserve, amm.quoteAssetReserve);
+            newBudget = (0, repeg_1.calculateRepegCost)(amm, newOptimalPeg);
+            return [newTargetPrice, newOptimalPeg, newBudget, false];
+        }
+    }
+    return [targetPrice, newPeg, budget, true];
+}
+exports.calculateOptimalPegAndBudget = calculateOptimalPegAndBudget;
+function calculateNewAmm(amm, oraclePriceData) {
+    let pKNumer = new anchor_1.BN(1);
+    let pKDenom = new anchor_1.BN(1);
+    const [targetPrice, _newPeg, budget, checkLowerBound] = calculateOptimalPegAndBudget(amm, oraclePriceData);
+    let prePegCost = (0, repeg_1.calculateRepegCost)(amm, _newPeg);
+    let newPeg = _newPeg;
+    if (prePegCost.gt(budget) && checkLowerBound) {
         [pKNumer, pKDenom] = [new anchor_1.BN(999), new anchor_1.BN(1000)];
         const deficitMadeup = (0, repeg_1.calculateAdjustKCost)(amm, pKNumer, pKDenom);
         (0, assert_1.assert)(deficitMadeup.lte(new anchor_1.BN(0)));
@@ -73,8 +106,14 @@ function calculateUpdatedAMMSpreadReserves(amm, direction, oraclePriceData) {
     return result;
 }
 exports.calculateUpdatedAMMSpreadReserves = calculateUpdatedAMMSpreadReserves;
-function calculateBidAskPrice(amm, oraclePriceData) {
-    const newAmm = calculateUpdatedAMM(amm, oraclePriceData);
+function calculateBidAskPrice(amm, oraclePriceData, withUpdate = true) {
+    let newAmm;
+    if (withUpdate) {
+        newAmm = calculateUpdatedAMM(amm, oraclePriceData);
+    }
+    else {
+        newAmm = amm;
+    }
     const askReserves = calculateSpreadReserves(newAmm, types_1.PositionDirection.LONG, oraclePriceData);
     const bidReserves = calculateSpreadReserves(newAmm, types_1.PositionDirection.SHORT, oraclePriceData);
     const askPrice = calculatePrice(askReserves.baseAssetReserve, askReserves.quoteAssetReserve, newAmm.pegMultiplier);
@@ -126,44 +165,88 @@ function calculateAmmReservesAfterSwap(amm, inputAssetType, swapAmount, swapDire
     return [newQuoteAssetReserve, newBaseAssetReserve];
 }
 exports.calculateAmmReservesAfterSwap = calculateAmmReservesAfterSwap;
+function calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions) {
+    // inventory skew
+    const netBaseAssetValue = quoteAssetReserve
+        .sub(terminalQuoteAssetReserve)
+        .mul(pegMultiplier)
+        .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
+    const localBaseAssetValue = netBaseAssetAmount
+        .mul(markPrice)
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.MARK_PRICE_PRECISION));
+    const effectiveLeverage = localBaseAssetValue.sub(netBaseAssetValue).toNumber() /
+        (Math.max(0, totalFeeMinusDistributions.toNumber()) + 1) +
+        1 / numericConstants_1.QUOTE_PRECISION.toNumber();
+    return effectiveLeverage;
+}
+exports.calculateEffectiveLeverage = calculateEffectiveLeverage;
+function calculateMaxSpread(marginRatioInitial) {
+    const maxTargetSpread = new anchor_1.BN(marginRatioInitial)
+        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION.div(numericConstants_1.MARGIN_PRECISION))
+        .toNumber();
+    return maxTargetSpread;
+}
+exports.calculateMaxSpread = calculateMaxSpread;
+function calculateSpreadBN(baseSpread, lastOracleMarkSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions) {
+    let longSpread = baseSpread / 2;
+    let shortSpread = baseSpread / 2;
+    if (lastOracleMarkSpreadPct.gt(numericConstants_1.ZERO)) {
+        shortSpread = Math.max(shortSpread, lastOracleMarkSpreadPct.abs().toNumber() + lastOracleConfPct.toNumber());
+    }
+    else if (lastOracleMarkSpreadPct.lt(numericConstants_1.ZERO)) {
+        longSpread = Math.max(longSpread, lastOracleMarkSpreadPct.abs().toNumber() + lastOracleConfPct.toNumber());
+    }
+    const maxTargetSpread = maxSpread;
+    const MAX_INVENTORY_SKEW = 5;
+    const effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions);
+    if (totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
+        const spreadScale = Math.min(MAX_INVENTORY_SKEW, 1 + effectiveLeverage);
+        if (netBaseAssetAmount.gt(numericConstants_1.ZERO)) {
+            longSpread *= spreadScale;
+        }
+        else {
+            shortSpread *= spreadScale;
+        }
+    }
+    else {
+        longSpread *= MAX_INVENTORY_SKEW;
+        shortSpread *= MAX_INVENTORY_SKEW;
+    }
+    const totalSpread = longSpread + shortSpread;
+    if (totalSpread > maxTargetSpread) {
+        if (longSpread > shortSpread) {
+            longSpread = Math.min(longSpread, maxTargetSpread);
+            shortSpread = maxTargetSpread - longSpread;
+        }
+        else {
+            shortSpread = Math.min(shortSpread, maxTargetSpread);
+            longSpread = maxTargetSpread - shortSpread;
+        }
+    }
+    return [longSpread, shortSpread];
+}
+exports.calculateSpreadBN = calculateSpreadBN;
 function calculateSpread(amm, direction, oraclePriceData) {
-    let spread = amm.baseSpread / 2;
     if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
-        return spread;
+        return amm.baseSpread / 2;
     }
     const markPrice = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     const targetPrice = (oraclePriceData === null || oraclePriceData === void 0 ? void 0 : oraclePriceData.price) || markPrice;
+    const confInterval = oraclePriceData.confidence || numericConstants_1.ZERO;
     const targetMarkSpreadPct = markPrice
         .sub(targetPrice)
         .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
         .div(markPrice);
-    // oracle retreat
-    if (((0, types_1.isVariant)(direction, 'long') && targetMarkSpreadPct.lt(numericConstants_1.ZERO)) ||
-        ((0, types_1.isVariant)(direction, 'short') && targetMarkSpreadPct.gt(numericConstants_1.ZERO))) {
-        spread = Math.max(spread, targetMarkSpreadPct.abs().toNumber());
+    const confIntervalPct = confInterval
+        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
+        .div(markPrice);
+    const [longSpread, shortSpread] = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.netBaseAssetAmount, markPrice, amm.totalFeeMinusDistributions);
+    let spread;
+    if ((0, types_1.isVariant)(direction, 'long')) {
+        spread = longSpread;
     }
-    // inventory skew
-    const MAX_INVENTORY_SKEW = 5;
-    if ((amm.netBaseAssetAmount.gt(numericConstants_1.ZERO) && (0, types_1.isVariant)(direction, 'long')) ||
-        (amm.netBaseAssetAmount.lt(numericConstants_1.ZERO) && (0, types_1.isVariant)(direction, 'short')) ||
-        amm.totalFeeMinusDistributions.eq(numericConstants_1.ZERO)) {
-        const netCostBasis = amm.quoteAssetAmountLong.sub(amm.quoteAssetAmountShort);
-        const netBaseAssetValue = amm.quoteAssetReserve
-            .sub(amm.terminalQuoteAssetReserve)
-            .mul(amm.pegMultiplier)
-            .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
-        const localBaseAssetValue = amm.netBaseAssetAmount
-            .mul(markPrice)
-            .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.MARK_PRICE_PRECISION));
-        const netPnl = netBaseAssetValue.sub(netCostBasis);
-        const localPnl = localBaseAssetValue.sub(netCostBasis);
-        let effectiveLeverage = MAX_INVENTORY_SKEW;
-        if (amm.totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
-            effectiveLeverage =
-                localPnl.sub(netPnl).toNumber() /
-                    amm.totalFeeMinusDistributions.toNumber();
-        }
-        spread *= Math.min(MAX_INVENTORY_SKEW, 1 + effectiveLeverage);
+    else {
+        spread = shortSpread;
     }
     return spread;
 }

package/lib/math/auction.js

@@ -4,7 +4,10 @@ exports.getAuctionPrice = exports.isAuctionComplete = void 0;
 const types_1 = require("../types");
 const _1 = require("../.");
 function isAuctionComplete(order, slot) {
-    return new _1.BN(slot).sub(order.slot).gte(new _1.BN(order.auctionDuration));
+    if (order.auctionDuration === 0) {
+        return true;
+    }
+    return new _1.BN(slot).sub(order.slot).gt(new _1.BN(order.auctionDuration));
 }
 exports.isAuctionComplete = isAuctionComplete;
 function getAuctionPrice(order, slot) {

package/lib/math/orders.d.ts

@@ -1,10 +1,10 @@
 /// <reference types="bn.js" />
 import { ClearingHouseUser } from '../clearingHouseUser';
-import { Order } from '../types';
+import { MarketAccount, Order } from '../types';
 import { BN } from '@project-serum/anchor';
 import { OraclePriceData } from '../oracles/types';
 export declare function isOrderRiskIncreasing(user: ClearingHouseUser, order: Order): boolean;
 export declare function isOrderRiskIncreasingInSameDirection(user: ClearingHouseUser, order: Order): boolean;
 export declare function isOrderReduceOnly(user: ClearingHouseUser, order: Order): boolean;
 export declare function standardizeBaseAssetAmount(baseAssetAmount: BN, stepSize: BN): BN;
-export declare function getLimitPrice(order: Order, oraclePriceData: OraclePriceData, slot: number): BN;
+export declare function getLimitPrice(order: Order, market: MarketAccount, oraclePriceData: OraclePriceData, slot: number): BN;

package/lib/math/orders.js

@@ -5,6 +5,7 @@ const types_1 = require("../types");
 const numericConstants_1 = require("../constants/numericConstants");
 const anchor_1 = require("@project-serum/anchor");
 const auction_1 = require("./auction");
+const market_1 = require("./market");
 function isOrderRiskIncreasing(user, order) {
     if ((0, types_1.isVariant)(order.status, 'init')) {
         return false;
@@ -78,23 +79,29 @@ function standardizeBaseAssetAmount(baseAssetAmount, stepSize) {
     return baseAssetAmount.sub(remainder);
 }
 exports.standardizeBaseAssetAmount = standardizeBaseAssetAmount;
-function getLimitPrice(order, oraclePriceData, slot) {
+function getLimitPrice(order, market, oraclePriceData, slot) {
     let limitPrice;
     if (!order.oraclePriceOffset.eq(numericConstants_1.ZERO)) {
-        const floatingPrice = oraclePriceData.price.add(order.oraclePriceOffset);
-        if (order.postOnly) {
-            limitPrice = (0, types_1.isVariant)(order.direction, 'long')
-                ? anchor_1.BN.min(order.price, floatingPrice)
-                : anchor_1.BN.max(order.price, floatingPrice);
+        limitPrice = oraclePriceData.price.add(order.oraclePriceOffset);
+    }
+    else if ((0, types_1.isOneOfVariant)(order.orderType, ['market', 'triggerMarket'])) {
+        if ((0, auction_1.isAuctionComplete)(order, slot)) {
+            limitPrice = (0, auction_1.getAuctionPrice)(order, slot);
+        }
+        else if (!order.price.eq(numericConstants_1.ZERO)) {
+            limitPrice = order.price;
+        }
+        else if ((0, types_1.isVariant)(order.direction, 'long')) {
+            const askPrice = (0, market_1.calculateAskPrice)(market, oraclePriceData);
+            const delta = askPrice.div(new anchor_1.BN(market.amm.maxSlippageRatio));
+            limitPrice = askPrice.add(delta);
         }
         else {
-            limitPrice = floatingPrice;
+            const bidPrice = (0, market_1.calculateBidPrice)(market, oraclePriceData);
+            const delta = bidPrice.div(new anchor_1.BN(market.amm.maxSlippageRatio));
+            limitPrice = bidPrice.sub(delta);
         }
     }
-    else if ((0, types_1.isVariant)(order.orderType, 'market') ||
-        (0, types_1.isVariant)(order.orderType, 'triggerMarket')) {
-        limitPrice = (0, auction_1.getAuctionPrice)(order, slot);
-    }
     else {
         limitPrice = order.price;
     }

package/lib/math/position.js

@@ -101,7 +101,9 @@ function calculatePositionFundingPNL(market, marketPosition) {
 }
 exports.calculatePositionFundingPNL = calculatePositionFundingPNL;
 function positionIsAvailable(position) {
-    return position.baseAssetAmount.eq(numericConstants_1.ZERO) && position.openOrders.eq(numericConstants_1.ZERO);
+    return (position.baseAssetAmount.eq(numericConstants_1.ZERO) &&
+        position.openOrders.eq(numericConstants_1.ZERO) &&
+        position.unsettledPnl.eq(numericConstants_1.ZERO));
 }
 exports.positionIsAvailable = positionIsAvailable;
 /**

package/lib/math/repeg.js

@@ -107,7 +107,7 @@ function calculateBudgetedPeg(amm, cost, targetPrice) {
     const targetPeg = targetPrice
         .mul(amm.baseAssetReserve)
         .div(amm.quoteAssetReserve)
-        .div(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.PEG_PRECISION));
+        .div(numericConstants_1.PRICE_DIV_PEG);
     const k = amm.sqrtK.mul(amm.sqrtK);
     const x = amm.baseAssetReserve;
     const y = amm.quoteAssetReserve;

package/lib/math/trade.d.ts

@@ -33,7 +33,7 @@ export declare function calculateTradeSlippage(direction: PositionDirection, amo
  * 	| 'acquiredBase' =>  positive/negative change in user's base : BN AMM_RESERVE_PRECISION
  * 	| 'acquiredQuote' => positive/negative change in user's quote : BN TODO-PRECISION
  */
-export declare function calculateTradeAcquiredAmounts(direction: PositionDirection, amount: BN, market: MarketAccount, inputAssetType: AssetType, oraclePriceData: OraclePriceData, useSpread?: boolean): [BN, BN];
+export declare function calculateTradeAcquiredAmounts(direction: PositionDirection, amount: BN, market: MarketAccount, inputAssetType: AssetType, oraclePriceData: OraclePriceData, useSpread?: boolean): [BN, BN, BN];
 /**
  * calculateTargetPriceTrade
  * simple function for finding arbitraging trades

package/lib/math/trade.js

@@ -43,15 +43,11 @@ function calculateTradeSlippage(direction, amount, market, inputAssetType = 'quo
     if (amount.eq(numericConstants_1.ZERO)) {
         return [numericConstants_1.ZERO, numericConstants_1.ZERO, oldPrice, oldPrice];
     }
-    const [acquiredBase, acquiredQuote] = calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType, oraclePriceData, useSpread);
-    const swapDirection = (0, types_2.isVariant)(direction, 'long')
-        ? types_1.SwapDirection.REMOVE
-        : types_1.SwapDirection.ADD;
-    const quoteAssetAmountAcquired = (0, amm_1.calculateQuoteAssetAmountSwapped)(acquiredQuote.abs(), market.amm.pegMultiplier, swapDirection);
-    const entryPrice = quoteAssetAmountAcquired
+    const [acquiredBaseReserve, acquiredQuoteReserve, acquiredQuoteAssetAmount] = calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType, oraclePriceData, useSpread);
+    const entryPrice = acquiredQuoteAssetAmount
         .mul(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO)
         .mul(numericConstants_1.MARK_PRICE_PRECISION)
-        .div(acquiredBase.abs());
+        .div(acquiredBaseReserve.abs());
     let amm;
     if (useSpread && market.amm.baseSpread > 0) {
         const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, direction, oraclePriceData);
@@ -65,7 +61,7 @@ function calculateTradeSlippage(direction, amount, market, inputAssetType = 'quo
     else {
         amm = market.amm;
     }
-    const newPrice = (0, amm_1.calculatePrice)(amm.baseAssetReserve.sub(acquiredBase), amm.quoteAssetReserve.sub(acquiredQuote), amm.pegMultiplier);
+    const newPrice = (0, amm_1.calculatePrice)(amm.baseAssetReserve.sub(acquiredBaseReserve), amm.quoteAssetReserve.sub(acquiredQuoteReserve), amm.pegMultiplier);
     if (direction == types_1.PositionDirection.SHORT) {
         (0, assert_1.assert)(newPrice.lte(oldPrice));
     }
@@ -98,7 +94,7 @@ exports.calculateTradeSlippage = calculateTradeSlippage;
  */
 function calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType = 'quote', oraclePriceData, useSpread = true) {
     if (amount.eq(numericConstants_1.ZERO)) {
-        return [numericConstants_1.ZERO, numericConstants_1.ZERO];
+        return [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO];
     }
     const swapDirection = (0, amm_1.getSwapDirection)(inputAssetType, direction);
     let amm;
@@ -117,7 +113,8 @@ function calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType
     const [newQuoteAssetReserve, newBaseAssetReserve] = (0, amm_1.calculateAmmReservesAfterSwap)(amm, inputAssetType, amount, swapDirection);
     const acquiredBase = amm.baseAssetReserve.sub(newBaseAssetReserve);
     const acquiredQuote = amm.quoteAssetReserve.sub(newQuoteAssetReserve);
-    return [acquiredBase, acquiredQuote];
+    const acquiredQuoteAssetamount = (0, amm_1.calculateQuoteAssetAmountSwapped)(acquiredQuote.abs(), amm.pegMultiplier, swapDirection);
+    return [acquiredBase, acquiredQuote, acquiredQuoteAssetamount];
 }
 exports.calculateTradeAcquiredAmounts = calculateTradeAcquiredAmounts;
 /**

package/lib/orderParams.d.ts

@@ -1,7 +1,16 @@
 /// <reference types="bn.js" />
-import { OrderParams, OrderTriggerCondition, PositionDirection } from './types';
+import { OptionalOrderParams, OrderTriggerCondition } from './types';
 import { BN } from '@project-serum/anchor';
-export declare function getLimitOrderParams(marketIndex: BN, direction: PositionDirection, baseAssetAmount: BN, price: BN, reduceOnly: boolean, discountToken?: boolean, referrer?: boolean, userOrderId?: number, postOnly?: boolean, oraclePriceOffset?: BN, immediateOrCancel?: boolean): OrderParams;
-export declare function getTriggerMarketOrderParams(marketIndex: BN, direction: PositionDirection, baseAssetAmount: BN, triggerPrice: BN, triggerCondition: OrderTriggerCondition, reduceOnly: boolean, discountToken?: boolean, referrer?: boolean, userOrderId?: number): OrderParams;
-export declare function getTriggerLimitOrderParams(marketIndex: BN, direction: PositionDirection, baseAssetAmount: BN, price: BN, triggerPrice: BN, triggerCondition: OrderTriggerCondition, reduceOnly: boolean, discountToken?: boolean, referrer?: boolean, userOrderId?: number): OrderParams;
-export declare function getMarketOrderParams(marketIndex: BN, direction: PositionDirection, quoteAssetAmount: BN, baseAssetAmount: BN, reduceOnly: boolean, price?: BN, discountToken?: boolean, referrer?: boolean): OrderParams;
+export declare function getLimitOrderParams(params: Omit<OptionalOrderParams, 'orderType'> & {
+    price: BN;
+}): OptionalOrderParams;
+export declare function getTriggerMarketOrderParams(params: Omit<OptionalOrderParams, 'orderType'> & {
+    triggerCondition: OrderTriggerCondition;
+    triggerPrice: BN;
+}): OptionalOrderParams;
+export declare function getTriggerLimitOrderParams(params: Omit<OptionalOrderParams, 'orderType'> & {
+    triggerCondition: OrderTriggerCondition;
+    triggerPrice: BN;
+    price: BN;
+}): OptionalOrderParams;
+export declare function getMarketOrderParams(params: Omit<OptionalOrderParams, 'orderType'>): OptionalOrderParams;