@drift-labs/sdk 0.2.0-master.1 → 0.2.0-master.4

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/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;

package/lib/orderParams.js

@@ -2,107 +2,19 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.getMarketOrderParams = exports.getTriggerLimitOrderParams = exports.getTriggerMarketOrderParams = exports.getLimitOrderParams = void 0;
 const types_1 = require("./types");
-const numericConstants_1 = require("./constants/numericConstants");
-function getLimitOrderParams(marketIndex, direction, baseAssetAmount, price, reduceOnly, discountToken = false, referrer = false, userOrderId = 0, postOnly = false, oraclePriceOffset = numericConstants_1.ZERO, immediateOrCancel = false) {
-    return {
-        orderType: types_1.OrderType.LIMIT,
-        userOrderId,
-        marketIndex,
-        direction,
-        quoteAssetAmount: numericConstants_1.ZERO,
-        baseAssetAmount,
-        price,
-        reduceOnly,
-        postOnly,
-        immediateOrCancel,
-        positionLimit: numericConstants_1.ZERO,
-        padding0: true,
-        padding1: numericConstants_1.ZERO,
-        optionalAccounts: {
-            discountToken,
-            referrer,
-        },
-        triggerCondition: types_1.OrderTriggerCondition.ABOVE,
-        triggerPrice: numericConstants_1.ZERO,
-        oraclePriceOffset,
-    };
+function getLimitOrderParams(params) {
+    return Object.assign({}, params, { orderType: types_1.OrderType.LIMIT });
 }
 exports.getLimitOrderParams = getLimitOrderParams;
-function getTriggerMarketOrderParams(marketIndex, direction, baseAssetAmount, triggerPrice, triggerCondition, reduceOnly, discountToken = false, referrer = false, userOrderId = 0) {
-    return {
-        orderType: types_1.OrderType.TRIGGER_MARKET,
-        userOrderId,
-        marketIndex,
-        direction,
-        quoteAssetAmount: numericConstants_1.ZERO,
-        baseAssetAmount,
-        price: numericConstants_1.ZERO,
-        reduceOnly,
-        postOnly: false,
-        immediateOrCancel: false,
-        positionLimit: numericConstants_1.ZERO,
-        padding0: true,
-        padding1: numericConstants_1.ZERO,
-        optionalAccounts: {
-            discountToken,
-            referrer,
-        },
-        triggerCondition,
-        triggerPrice,
-        oraclePriceOffset: numericConstants_1.ZERO,
-    };
+function getTriggerMarketOrderParams(params) {
+    return Object.assign({}, params, { orderType: types_1.OrderType.TRIGGER_MARKET });
 }
 exports.getTriggerMarketOrderParams = getTriggerMarketOrderParams;
-function getTriggerLimitOrderParams(marketIndex, direction, baseAssetAmount, price, triggerPrice, triggerCondition, reduceOnly, discountToken = false, referrer = false, userOrderId = 0) {
-    return {
-        orderType: types_1.OrderType.TRIGGER_LIMIT,
-        userOrderId,
-        marketIndex,
-        direction,
-        quoteAssetAmount: numericConstants_1.ZERO,
-        baseAssetAmount,
-        price,
-        reduceOnly,
-        postOnly: false,
-        immediateOrCancel: false,
-        positionLimit: numericConstants_1.ZERO,
-        padding0: true,
-        padding1: numericConstants_1.ZERO,
-        optionalAccounts: {
-            discountToken,
-            referrer,
-        },
-        triggerCondition,
-        triggerPrice,
-        oraclePriceOffset: numericConstants_1.ZERO,
-    };
+function getTriggerLimitOrderParams(params) {
+    return Object.assign({}, params, { orderType: types_1.OrderType.TRIGGER_LIMIT });
 }
 exports.getTriggerLimitOrderParams = getTriggerLimitOrderParams;
-function getMarketOrderParams(marketIndex, direction, quoteAssetAmount, baseAssetAmount, reduceOnly, price = numericConstants_1.ZERO, discountToken = false, referrer = false) {
-    if (baseAssetAmount.eq(numericConstants_1.ZERO) && quoteAssetAmount.eq(numericConstants_1.ZERO)) {
-        throw Error('baseAssetAmount or quoteAssetAmount must be zero');
-    }
-    return {
-        orderType: types_1.OrderType.MARKET,
-        userOrderId: 0,
-        marketIndex,
-        direction,
-        quoteAssetAmount,
-        baseAssetAmount,
-        price,
-        reduceOnly,
-        postOnly: false,
-        immediateOrCancel: false,
-        positionLimit: numericConstants_1.ZERO,
-        padding0: true,
-        padding1: numericConstants_1.ZERO,
-        optionalAccounts: {
-            discountToken,
-            referrer,
-        },
-        triggerCondition: types_1.OrderTriggerCondition.ABOVE,
-        triggerPrice: numericConstants_1.ZERO,
-        oraclePriceOffset: numericConstants_1.ZERO,
-    };
+function getMarketOrderParams(params) {
+    return Object.assign({}, params, { orderType: types_1.OrderType.MARKET });
 }
 exports.getMarketOrderParams = getMarketOrderParams;

package/lib/orders.d.ts

@@ -1,9 +1,8 @@
 /// <reference types="bn.js" />
 import { MarketAccount, Order, UserAccount, UserPosition } from './types';
-import { BN, ClearingHouseUser } from '.';
+import { BN } from '.';
 import { OraclePriceData } from '.';
 export declare function calculateNewStateAfterOrder(userAccount: UserAccount, userPosition: UserPosition, market: MarketAccount, order: Order): [UserAccount, UserPosition, MarketAccount] | null;
 export declare function calculateBaseAssetAmountMarketCanExecute(market: MarketAccount, order: Order, oraclePriceData?: OraclePriceData): BN;
 export declare function calculateAmountToTradeForLimit(market: MarketAccount, order: Order, oraclePriceData?: OraclePriceData): BN;
 export declare function calculateAmountToTradeForTriggerLimit(market: MarketAccount, order: Order): BN;
-export declare function calculateBaseAssetAmountUserCanExecute(market: MarketAccount, order: Order, user: ClearingHouseUser, oraclePriceData?: OraclePriceData): BN;

package/lib/orders.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateBaseAssetAmountUserCanExecute = exports.calculateAmountToTradeForTriggerLimit = exports.calculateAmountToTradeForLimit = exports.calculateBaseAssetAmountMarketCanExecute = exports.calculateNewStateAfterOrder = void 0;
+exports.calculateAmountToTradeForTriggerLimit = exports.calculateAmountToTradeForLimit = exports.calculateBaseAssetAmountMarketCanExecute = exports.calculateNewStateAfterOrder = void 0;
 const types_1 = require("./types");
 const _1 = require(".");
 const market_1 = require("./math/market");
@@ -88,7 +88,6 @@ function calculateBaseAssetAmountMarketCanExecute(market, order, oraclePriceData
         return calculateAmountToTradeForTriggerLimit(market, order);
     }
     else if ((0, types_1.isVariant)(order.orderType, 'market')) {
-        // should never be a market order queued
         return numericConstants_1.ZERO;
     }
     else {
@@ -102,15 +101,7 @@ function calculateAmountToTradeForLimit(market, order, oraclePriceData) {
         if (!oraclePriceData) {
             throw Error('Cant calculate limit price for oracle offset oracle without OraclePriceData');
         }
-        const floatingPrice = oraclePriceData.price.add(order.oraclePriceOffset);
-        if (order.postOnly) {
-            limitPrice = (0, types_1.isVariant)(order.direction, 'long')
-                ? _1.BN.min(order.price, floatingPrice)
-                : _1.BN.max(order.price, floatingPrice);
-        }
-        else {
-            limitPrice = floatingPrice;
-        }
+        limitPrice = oraclePriceData.price.add(order.oraclePriceOffset);
     }
     const [maxAmountToTrade, direction] = (0, amm_1.calculateMaxBaseAssetAmountToTrade)(market.amm, limitPrice, order.direction);
     const baseAssetAmount = (0, _1.standardizeBaseAssetAmount)(maxAmountToTrade, market.amm.baseAssetAmountStepSize);
@@ -125,11 +116,8 @@ function calculateAmountToTradeForLimit(market, order, oraclePriceData) {
 }
 exports.calculateAmountToTradeForLimit = calculateAmountToTradeForLimit;
 function calculateAmountToTradeForTriggerLimit(market, order) {
-    if (order.baseAssetAmountFilled.eq(numericConstants_1.ZERO)) {
-        const baseAssetAmount = calculateAmountToTradeForTriggerMarket(market, order);
-        if (baseAssetAmount.eq(numericConstants_1.ZERO)) {
-            return numericConstants_1.ZERO;
-        }
+    if (!order.triggered) {
+        return numericConstants_1.ZERO;
     }
     return calculateAmountToTradeForLimit(market, order);
 }
@@ -139,75 +127,8 @@ function isSameDirection(firstDirection, secondDirection) {
         ((0, types_1.isVariant)(firstDirection, 'short') && (0, types_1.isVariant)(secondDirection, 'short')));
 }
 function calculateAmountToTradeForTriggerMarket(market, order) {
-    return isTriggerConditionSatisfied(market, order)
-        ? order.baseAssetAmount
-        : numericConstants_1.ZERO;
-}
-function isTriggerConditionSatisfied(market, order, oraclePriceData) {
-    const markPrice = (0, market_1.calculateMarkPrice)(market, oraclePriceData);
-    if ((0, types_1.isVariant)(order.triggerCondition, 'above')) {
-        return markPrice.gt(order.triggerPrice);
-    }
-    else {
-        return markPrice.lt(order.triggerPrice);
-    }
-}
-function calculateBaseAssetAmountUserCanExecute(market, order, user, oraclePriceData) {
-    const maxLeverage = user.getMaxLeverage(order.marketIndex, 'Initial');
-    const freeCollateral = user.getFreeCollateral();
-    let quoteAssetAmount;
-    if ((0, _1.isOrderRiskIncreasingInSameDirection)(user, order)) {
-        quoteAssetAmount = freeCollateral.mul(maxLeverage).div(_1.TEN_THOUSAND);
-    }
-    else {
-        const position = user.getUserPosition(order.marketIndex) ||
-            user.getEmptyPosition(order.marketIndex);
-        const positionValue = (0, _1.calculateBaseAssetValue)(market, position, oraclePriceData);
-        quoteAssetAmount = freeCollateral
-            .mul(maxLeverage)
-            .div(_1.TEN_THOUSAND)
-            .add(positionValue.mul(numericConstants_1.TWO));
-    }
-    if (quoteAssetAmount.lte(numericConstants_1.ZERO)) {
+    if (!order.triggered) {
         return numericConstants_1.ZERO;
     }
-    const swapDirection = (0, types_1.isVariant)(order.direction, 'long')
-        ? types_1.SwapDirection.ADD
-        : types_1.SwapDirection.REMOVE;
-    const useSpread = !order.postOnly;
-    let amm;
-    if (useSpread) {
-        const { baseAssetReserve, quoteAssetReserve } = (0, _1.calculateSpreadReserves)(market.amm, order.direction, oraclePriceData);
-        amm = {
-            baseAssetReserve,
-            quoteAssetReserve,
-            sqrtK: market.amm.sqrtK,
-            pegMultiplier: market.amm.pegMultiplier,
-        };
-    }
-    else {
-        amm = market.amm;
-    }
-    const baseAssetReservesBefore = amm.baseAssetReserve;
-    const [_, baseAssetReservesAfter] = (0, _1.calculateAmmReservesAfterSwap)(amm, 'quote', quoteAssetAmount, swapDirection);
-    let baseAssetAmount = baseAssetReservesBefore
-        .sub(baseAssetReservesAfter)
-        .abs();
-    if (order.reduceOnly) {
-        const position = user.getUserPosition(order.marketIndex) ||
-            user.getEmptyPosition(order.marketIndex);
-        if ((0, types_1.isVariant)(order.direction, 'long') &&
-            position.baseAssetAmount.gte(numericConstants_1.ZERO)) {
-            baseAssetAmount = numericConstants_1.ZERO;
-        }
-        else if ((0, types_1.isVariant)(order.direction, 'short') &&
-            position.baseAssetAmount.lte(numericConstants_1.ZERO)) {
-            baseAssetAmount = numericConstants_1.ZERO;
-        }
-        else {
-            _1.BN.min(baseAssetAmount, position.baseAssetAmount.abs());
-        }
-    }
-    return baseAssetAmount;
+    return order.baseAssetAmount;
 }
-exports.calculateBaseAssetAmountUserCanExecute = calculateBaseAssetAmountUserCanExecute;