@drift-labs/sdk 0.2.0-master.1 → 0.2.0-master.12

package/src/math/amm.ts

@@ -6,8 +6,10 @@ import {
 	ZERO,
 	BID_ASK_SPREAD_PRECISION,
 	ONE,
-	// QUOTE_PRECISION,
 	AMM_TO_QUOTE_PRECISION_RATIO,
+	QUOTE_PRECISION,
+	MARGIN_PRECISION,
+	PRICE_DIV_PEG,
 } from '../constants/numericConstants';
 import {
 	AMM,
@@ -25,6 +27,71 @@ import {
 	calculateAdjustKCost,
 	calculateBudgetedPeg,
 } from './repeg';
+
+export function calculatePegFromTargetPrice(
+	targetPrice: BN,
+	baseAssetReserve: BN,
+	quoteAssetReserve: BN
+): BN {
+	return targetPrice
+		.mul(baseAssetReserve)
+		.div(quoteAssetReserve)
+		.add(PRICE_DIV_PEG.div(new BN(2)))
+		.div(PRICE_DIV_PEG);
+}
+
+export function calculateOptimalPegAndBudget(
+	amm: AMM,
+	oraclePriceData: OraclePriceData
+): [BN, BN, BN, boolean] {
+	const markPriceBefore = calculatePrice(
+		amm.baseAssetReserve,
+		amm.quoteAssetReserve,
+		amm.pegMultiplier
+	);
+	const targetPrice = oraclePriceData.price;
+	const newPeg = calculatePegFromTargetPrice(
+		targetPrice,
+		amm.baseAssetReserve,
+		amm.quoteAssetReserve
+	);
+	const prePegCost = calculateRepegCost(amm, newPeg);
+
+	const totalFeeLB = amm.totalExchangeFee.div(new BN(2));
+	const budget = BN.max(ZERO, amm.totalFeeMinusDistributions.sub(totalFeeLB));
+	if (budget.lt(prePegCost)) {
+		const maxPriceSpread = new BN(amm.maxSpread)
+			.mul(targetPrice)
+			.div(BID_ASK_SPREAD_PRECISION);
+
+		let newTargetPrice: BN;
+		let newOptimalPeg: BN;
+		let newBudget: BN;
+		const targetPriceGap = markPriceBefore.sub(targetPrice);
+
+		if (targetPriceGap.abs().gt(maxPriceSpread)) {
+			const markAdj = targetPriceGap.abs().sub(maxPriceSpread);
+
+			if (targetPriceGap.lt(new BN(0))) {
+				newTargetPrice = markPriceBefore.add(markAdj);
+			} else {
+				newTargetPrice = markPriceBefore.sub(markAdj);
+			}
+
+			newOptimalPeg = calculatePegFromTargetPrice(
+				newTargetPrice,
+				amm.baseAssetReserve,
+				amm.quoteAssetReserve
+			);
+
+			newBudget = calculateRepegCost(amm, newOptimalPeg);
+			return [newTargetPrice, newOptimalPeg, newBudget, false];
+		}
+	}
+
+	return [targetPrice, newPeg, budget, true];
+}
+
 export function calculateNewAmm(
 	amm: AMM,
 	oraclePriceData: OraclePriceData
@@ -32,18 +99,12 @@ export function calculateNewAmm(
 	let pKNumer = new BN(1);
 	let pKDenom = new BN(1);
 
-	const targetPrice = oraclePriceData.price;
-	let newPeg = targetPrice
-		.mul(amm.baseAssetReserve)
-		.div(amm.quoteAssetReserve)
-		.add(MARK_PRICE_PRECISION.div(PEG_PRECISION).div(new BN(2)))
-		.div(MARK_PRICE_PRECISION.div(PEG_PRECISION));
-	let prePegCost = calculateRepegCost(amm, newPeg);
-
-	const totalFeeLB = amm.totalExchangeFee.div(new BN(2));
-	const budget = BN.max(ZERO, amm.totalFeeMinusDistributions.sub(totalFeeLB));
+	const [targetPrice, _newPeg, budget, checkLowerBound] =
+		calculateOptimalPegAndBudget(amm, oraclePriceData);
+	let prePegCost = calculateRepegCost(amm, _newPeg);
+	let newPeg = _newPeg;
 
-	if (prePegCost.gt(budget)) {
+	if (prePegCost.gt(budget) && checkLowerBound) {
 		[pKNumer, pKDenom] = [new BN(999), new BN(1000)];
 		const deficitMadeup = calculateAdjustKCost(amm, pKNumer, pKDenom);
 		assert(deficitMadeup.lte(new BN(0)));
@@ -136,9 +197,16 @@ export function calculateUpdatedAMMSpreadReserves(
 
 export function calculateBidAskPrice(
 	amm: AMM,
-	oraclePriceData: OraclePriceData
+	oraclePriceData: OraclePriceData,
+	withUpdate = true
 ): [BN, BN] {
-	const newAmm = calculateUpdatedAMM(amm, oraclePriceData);
+	let newAmm: AMM;
+	if (withUpdate) {
+		newAmm = calculateUpdatedAMM(amm, oraclePriceData);
+	} else {
+		newAmm = amm;
+	}
+
 	const askReserves = calculateSpreadReserves(
 		newAmm,
 		PositionDirection.LONG,
@@ -237,15 +305,115 @@ export function calculateAmmReservesAfterSwap(
 	return [newQuoteAssetReserve, newBaseAssetReserve];
 }
 
+export function calculateEffectiveLeverage(
+	baseSpread: number,
+	quoteAssetReserve: BN,
+	terminalQuoteAssetReserve: BN,
+	pegMultiplier: BN,
+	netBaseAssetAmount: BN,
+	markPrice: BN,
+	totalFeeMinusDistributions: BN
+): number {
+	// inventory skew
+	const netBaseAssetValue = quoteAssetReserve
+		.sub(terminalQuoteAssetReserve)
+		.mul(pegMultiplier)
+		.div(AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
+
+	const localBaseAssetValue = netBaseAssetAmount
+		.mul(markPrice)
+		.div(AMM_TO_QUOTE_PRECISION_RATIO.mul(MARK_PRICE_PRECISION));
+
+	const effectiveLeverage =
+		localBaseAssetValue.sub(netBaseAssetValue).toNumber() /
+			(Math.max(0, totalFeeMinusDistributions.toNumber()) + 1) +
+		1 / QUOTE_PRECISION.toNumber();
+
+	return effectiveLeverage;
+}
+
+export function calculateMaxSpread(marginRatioInitial: number): number {
+	const maxTargetSpread: number = new BN(marginRatioInitial)
+		.mul(BID_ASK_SPREAD_PRECISION.div(MARGIN_PRECISION))
+		.toNumber();
+
+	return maxTargetSpread;
+}
+
+export function calculateSpreadBN(
+	baseSpread: number,
+	lastOracleMarkSpreadPct: BN,
+	lastOracleConfPct: BN,
+	maxSpread: number,
+	quoteAssetReserve: BN,
+	terminalQuoteAssetReserve: BN,
+	pegMultiplier: BN,
+	netBaseAssetAmount: BN,
+	markPrice: BN,
+	totalFeeMinusDistributions: BN
+): [number, number] {
+	let longSpread = baseSpread / 2;
+	let shortSpread = baseSpread / 2;
+
+	if (lastOracleMarkSpreadPct.gt(ZERO)) {
+		shortSpread = Math.max(
+			shortSpread,
+			lastOracleMarkSpreadPct.abs().toNumber() + lastOracleConfPct.toNumber()
+		);
+	} else if (lastOracleMarkSpreadPct.lt(ZERO)) {
+		longSpread = Math.max(
+			longSpread,
+			lastOracleMarkSpreadPct.abs().toNumber() + lastOracleConfPct.toNumber()
+		);
+	}
+
+	const maxTargetSpread: number = maxSpread;
+
+	const MAX_INVENTORY_SKEW = 5;
+
+	const effectiveLeverage = calculateEffectiveLeverage(
+		baseSpread,
+		quoteAssetReserve,
+		terminalQuoteAssetReserve,
+		pegMultiplier,
+		netBaseAssetAmount,
+		markPrice,
+		totalFeeMinusDistributions
+	);
+
+	if (totalFeeMinusDistributions.gt(ZERO)) {
+		const spreadScale = Math.min(MAX_INVENTORY_SKEW, 1 + effectiveLeverage);
+		if (netBaseAssetAmount.gt(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];
+}
+
 export function calculateSpread(
 	amm: AMM,
 	direction: PositionDirection,
 	oraclePriceData: OraclePriceData
 ): number {
-	let spread = amm.baseSpread / 2;
-
 	if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
-		return spread;
+		return amm.baseSpread / 2;
 	}
 
 	const markPrice = calculatePrice(
@@ -255,49 +423,36 @@ export function calculateSpread(
 	);
 
 	const targetPrice = oraclePriceData?.price || markPrice;
+	const confInterval = oraclePriceData.confidence || ZERO;
 
 	const targetMarkSpreadPct = markPrice
 		.sub(targetPrice)
 		.mul(BID_ASK_SPREAD_PRECISION)
 		.div(markPrice);
 
-	// oracle retreat
-	if (
-		(isVariant(direction, 'long') && targetMarkSpreadPct.lt(ZERO)) ||
-		(isVariant(direction, 'short') && targetMarkSpreadPct.gt(ZERO))
-	) {
-		spread = Math.max(spread, targetMarkSpreadPct.abs().toNumber());
-	}
+	const confIntervalPct = confInterval
+		.mul(BID_ASK_SPREAD_PRECISION)
+		.div(markPrice);
 
-	// inventory skew
-	const MAX_INVENTORY_SKEW = 5;
-	if (
-		(amm.netBaseAssetAmount.gt(ZERO) && isVariant(direction, 'long')) ||
-		(amm.netBaseAssetAmount.lt(ZERO) && isVariant(direction, 'short')) ||
-		amm.totalFeeMinusDistributions.eq(ZERO)
-	) {
-		const netCostBasis = amm.quoteAssetAmountLong.sub(
-			amm.quoteAssetAmountShort
-		);
-		const netBaseAssetValue = amm.quoteAssetReserve
-			.sub(amm.terminalQuoteAssetReserve)
-			.mul(amm.pegMultiplier)
-			.div(AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
-
-		const localBaseAssetValue = amm.netBaseAssetAmount
-			.mul(markPrice)
-			.div(AMM_TO_QUOTE_PRECISION_RATIO.mul(MARK_PRICE_PRECISION));
-		const netPnl = netBaseAssetValue.sub(netCostBasis);
-		const localPnl = localBaseAssetValue.sub(netCostBasis);
-
-		let effectiveLeverage = MAX_INVENTORY_SKEW;
-		if (amm.totalFeeMinusDistributions.gt(ZERO)) {
-			effectiveLeverage =
-				localPnl.sub(netPnl).toNumber() /
-				amm.totalFeeMinusDistributions.toNumber();
-		}
+	const [longSpread, shortSpread] = calculateSpreadBN(
+		amm.baseSpread,
+		targetMarkSpreadPct,
+		confIntervalPct,
+		amm.maxSpread,
+		amm.quoteAssetReserve,
+		amm.terminalQuoteAssetReserve,
+		amm.pegMultiplier,
+		amm.netBaseAssetAmount,
+		markPrice,
+		amm.totalFeeMinusDistributions
+	);
+
+	let spread: number;
 
-		spread *= Math.min(MAX_INVENTORY_SKEW, 1 + effectiveLeverage);
+	if (isVariant(direction, 'long')) {
+		spread = longSpread;
+	} else {
+		spread = shortSpread;
 	}
 
 	return spread;

package/src/math/auction.js

@@ -0,0 +1,42 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getAuctionPrice = exports.isAuctionComplete = void 0;
+const types_1 = require("../types");
+const _1 = require("../.");
+function isAuctionComplete(order, slot) {
+    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) {
+    const slotsElapsed = new _1.BN(slot).sub(order.slot);
+    const deltaDenominator = new _1.BN(order.auctionDuration);
+    const deltaNumerator = _1.BN.min(slotsElapsed, deltaDenominator);
+    if (deltaDenominator.eq(_1.ZERO)) {
+        return order.auctionEndPrice;
+    }
+    let priceDelta;
+    if (types_1.isVariant(order.direction, 'long')) {
+        priceDelta = order.auctionEndPrice
+            .sub(order.auctionStartPrice)
+            .mul(deltaNumerator)
+            .div(deltaDenominator);
+    }
+    else {
+        priceDelta = order.auctionStartPrice
+            .sub(order.auctionEndPrice)
+            .mul(deltaNumerator)
+            .div(deltaDenominator);
+    }
+    let price;
+    if (types_1.isVariant(order.direction, 'long')) {
+        price = order.auctionStartPrice.add(priceDelta);
+    }
+    else {
+        price = order.auctionStartPrice.sub(priceDelta);
+    }
+    return price;
+}
+exports.getAuctionPrice = getAuctionPrice;

package/src/math/auction.ts

@@ -2,7 +2,11 @@ import { isVariant, Order } from '../types';
 import { BN, ZERO } from '../.';
 
 export function isAuctionComplete(order: Order, slot: number): boolean {
-	return new BN(slot).sub(order.slot).gte(new BN(order.auctionDuration));
+	if (order.auctionDuration === 0) {
+		return true;
+	}
+
+	return new BN(slot).sub(order.slot).gt(new BN(order.auctionDuration));
 }
 
 export function getAuctionPrice(order: Order, slot: number): BN {

package/src/math/bankBalance.ts

@@ -1,4 +1,9 @@
-import { BankAccount, BankBalanceType, isVariant } from '../types';
+import {
+	BankAccount,
+	BankBalanceType,
+	isVariant,
+	MarginCategory,
+} from '../types';
 import { BN } from '@project-serum/anchor';
 import {
 	BANK_UTILIZATION_PRECISION,
@@ -6,8 +11,14 @@ import {
 	TEN,
 	ZERO,
 	BANK_INTEREST_PRECISION,
+	BANK_WEIGHT_PRECISION,
 	ONE_YEAR,
+	AMM_RESERVE_PRECISION,
 } from '../constants/numericConstants';
+import {
+	calculateSizeDiscountAssetWeight,
+	calculateSizePremiumLiabilityWeight,
+} from './margin';
 
 export function getBalance(
 	tokenAmount: BN,
@@ -43,6 +54,92 @@ export function getTokenAmount(
 	return balanceAmount.mul(cumulativeInterest).div(precisionDecrease);
 }
 
+export function calculateAssetWeight(
+	balanceAmount: BN,
+	bank: BankAccount,
+	marginCategory: MarginCategory
+): BN {
+	const sizePrecision = TEN.pow(new BN(bank.decimals));
+	let sizeInAmmReservePrecision;
+	if (sizePrecision.gt(AMM_RESERVE_PRECISION)) {
+		sizeInAmmReservePrecision = balanceAmount.div(
+			sizePrecision.div(AMM_RESERVE_PRECISION)
+		);
+	} else {
+		sizeInAmmReservePrecision = balanceAmount
+			.mul(AMM_RESERVE_PRECISION)
+			.div(sizePrecision);
+	}
+
+	let assetWeight;
+
+	switch (marginCategory) {
+		case 'Initial':
+			assetWeight = calculateSizeDiscountAssetWeight(
+				sizeInAmmReservePrecision,
+				bank.imfFactor,
+				bank.initialAssetWeight
+			);
+			break;
+		case 'Maintenance':
+			assetWeight = calculateSizeDiscountAssetWeight(
+				sizeInAmmReservePrecision,
+				bank.imfFactor,
+				bank.maintenanceAssetWeight
+			);
+			break;
+		default:
+			assetWeight = bank.initialAssetWeight;
+			break;
+	}
+
+	return assetWeight;
+}
+
+export function calculateLiabilityWeight(
+	balanceAmount: BN,
+	bank: BankAccount,
+	marginCategory: MarginCategory
+): BN {
+	const sizePrecision = TEN.pow(new BN(bank.decimals));
+	let sizeInAmmReservePrecision;
+	if (sizePrecision.gt(AMM_RESERVE_PRECISION)) {
+		sizeInAmmReservePrecision = balanceAmount.div(
+			sizePrecision.div(AMM_RESERVE_PRECISION)
+		);
+	} else {
+		sizeInAmmReservePrecision = balanceAmount
+			.mul(AMM_RESERVE_PRECISION)
+			.div(sizePrecision);
+	}
+
+	let assetWeight;
+
+	switch (marginCategory) {
+		case 'Initial':
+			assetWeight = calculateSizePremiumLiabilityWeight(
+				sizeInAmmReservePrecision,
+				bank.imfFactor,
+				bank.initialLiabilityWeight,
+				BANK_WEIGHT_PRECISION
+			);
+			break;
+		case 'Maintenance':
+			assetWeight = calculateSizePremiumLiabilityWeight(
+				sizeInAmmReservePrecision,
+				bank.imfFactor,
+				bank.maintenanceLiabilityWeight,
+				BANK_WEIGHT_PRECISION
+			);
+			break;
+		default:
+			assetWeight = bank.initialLiabilityWeight;
+			break;
+	}
+
+	return assetWeight;
+}
+
 export function calculateInterestAccumulated(
 	bank: BankAccount,
 	now: BN

package/src/math/conversion.js

@@ -0,0 +1,11 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.convertToNumber = void 0;
+const numericConstants_1 = require("../constants/numericConstants");
+const convertToNumber = (bigNumber, precision = numericConstants_1.MARK_PRICE_PRECISION) => {
+    if (!bigNumber)
+        return 0;
+    return (bigNumber.div(precision).toNumber() +
+        bigNumber.mod(precision).toNumber() / precision.toNumber());
+};
+exports.convertToNumber = convertToNumber;