@drift-labs/sdk 0.2.0-master.2 → 0.2.0-master.22

package/src/math/orders.ts

@@ -1,9 +1,20 @@
 import { ClearingHouseUser } from '../clearingHouseUser';
-import { isVariant, Order } from '../types';
+import {
+	isOneOfVariant,
+	isVariant,
+	MarketAccount,
+	Order,
+	PositionDirection,
+} from '../types';
 import { ZERO, TWO } from '../constants/numericConstants';
 import { BN } from '@project-serum/anchor';
 import { OraclePriceData } from '../oracles/types';
-import { getAuctionPrice } from './auction';
+import { getAuctionPrice, isAuctionComplete } from './auction';
+import { calculateAskPrice, calculateBidPrice } from './market';
+import {
+	calculateMaxBaseAssetAmountFillable,
+	calculateMaxBaseAssetAmountToTrade,
+} from './amm';
 
 export function isOrderRiskIncreasing(
 	user: ClearingHouseUser,
@@ -120,27 +131,132 @@ export function standardizeBaseAssetAmount(
 
 export function getLimitPrice(
 	order: Order,
+	market: MarketAccount,
 	oraclePriceData: OraclePriceData,
 	slot: number
 ): BN {
 	let limitPrice;
 	if (!order.oraclePriceOffset.eq(ZERO)) {
-		const floatingPrice = oraclePriceData.price.add(order.oraclePriceOffset);
-		if (order.postOnly) {
-			limitPrice = isVariant(order.direction, 'long')
-				? BN.min(order.price, floatingPrice)
-				: BN.max(order.price, floatingPrice);
+		limitPrice = oraclePriceData.price.add(order.oraclePriceOffset);
+	} else if (isOneOfVariant(order.orderType, ['market', 'triggerMarket'])) {
+		if (!isAuctionComplete(order, slot)) {
+			limitPrice = getAuctionPrice(order, slot);
+		} else if (!order.price.eq(ZERO)) {
+			limitPrice = order.price;
+		} else if (isVariant(order.direction, 'long')) {
+			const askPrice = calculateAskPrice(market, oraclePriceData);
+			const delta = askPrice.div(new BN(market.amm.maxSlippageRatio));
+			limitPrice = askPrice.add(delta);
 		} else {
-			limitPrice = floatingPrice;
+			const bidPrice = calculateBidPrice(market, oraclePriceData);
+			const delta = bidPrice.div(new BN(market.amm.maxSlippageRatio));
+			limitPrice = bidPrice.sub(delta);
 		}
-	} else if (
-		isVariant(order.orderType, 'market') ||
-		isVariant(order.orderType, 'triggerMarket')
-	) {
-		limitPrice = getAuctionPrice(order, slot);
 	} else {
 		limitPrice = order.price;
 	}
 
 	return limitPrice;
 }
+
+export function isFillableByVAMM(
+	order: Order,
+	market: MarketAccount,
+	oraclePriceData: OraclePriceData,
+	slot: number,
+	maxAuctionDuration: number
+): boolean {
+	return (
+		(isAuctionComplete(order, slot) &&
+			!calculateBaseAssetAmountForAmmToFulfill(
+				order,
+				market,
+				oraclePriceData,
+				slot
+			).eq(ZERO)) ||
+		isOrderExpired(order, slot, maxAuctionDuration)
+	);
+}
+
+export function calculateBaseAssetAmountForAmmToFulfill(
+	order: Order,
+	market: MarketAccount,
+	oraclePriceData: OraclePriceData,
+	slot: number
+): BN {
+	if (
+		isOneOfVariant(order.orderType, ['triggerMarket', 'triggerLimit']) &&
+		order.triggered === false
+	) {
+		return ZERO;
+	}
+
+	const limitPrice = getLimitPrice(order, market, oraclePriceData, slot);
+	const baseAssetAmount = calculateBaseAssetAmountToFillUpToLimitPrice(
+		order,
+		market,
+		limitPrice,
+		oraclePriceData
+	);
+
+	const maxBaseAssetAmount = calculateMaxBaseAssetAmountFillable(
+		market.amm,
+		order.direction
+	);
+
+	return BN.min(maxBaseAssetAmount, baseAssetAmount);
+}
+
+export function calculateBaseAssetAmountToFillUpToLimitPrice(
+	order: Order,
+	market: MarketAccount,
+	limitPrice: BN,
+	oraclePriceData: OraclePriceData
+): BN {
+	const [maxAmountToTrade, direction] = calculateMaxBaseAssetAmountToTrade(
+		market.amm,
+		limitPrice,
+		order.direction,
+		oraclePriceData
+	);
+
+	const baseAssetAmount = standardizeBaseAssetAmount(
+		maxAmountToTrade,
+		market.amm.baseAssetAmountStepSize
+	);
+
+	// Check that directions are the same
+	const sameDirection = isSameDirection(direction, order.direction);
+	if (!sameDirection) {
+		return ZERO;
+	}
+
+	return baseAssetAmount.gt(order.baseAssetAmount)
+		? order.baseAssetAmount
+		: baseAssetAmount;
+}
+
+function isSameDirection(
+	firstDirection: PositionDirection,
+	secondDirection: PositionDirection
+): boolean {
+	return (
+		(isVariant(firstDirection, 'long') && isVariant(secondDirection, 'long')) ||
+		(isVariant(firstDirection, 'short') && isVariant(secondDirection, 'short'))
+	);
+}
+
+export function isOrderExpired(
+	order: Order,
+	slot: number,
+	maxAuctionDuration: number
+): boolean {
+	if (
+		!isVariant(order.orderType, 'market') ||
+		!isVariant(order.status, 'open')
+	) {
+		return false;
+	}
+
+	return new BN(slot).sub(order.slot).gt(new BN(maxAuctionDuration));
+}

package/src/math/position.ts

@@ -18,6 +18,8 @@ import {
 	getSwapDirection,
 } from './amm';
 
+import { calculateMarginBaseAssetValue } from './margin';
+
 /**
  * calculateBaseAssetValue
  * = market value of closing entire position
@@ -84,6 +86,7 @@ export function calculateBaseAssetValue(
  * @param market
  * @param marketPosition
  * @param withFunding (adds unrealized funding payment pnl to result)
+ * @param oraclePriceData
  * @returns BaseAssetAmount : Precision QUOTE_PRECISION
  */
 export function calculatePositionPNL(
@@ -93,21 +96,21 @@ export function calculatePositionPNL(
 	oraclePriceData: OraclePriceData
 ): BN {
 	if (marketPosition.baseAssetAmount.eq(ZERO)) {
-		return ZERO;
+		return marketPosition.quoteAssetAmount;
 	}
 
-	const baseAssetValue = calculateBaseAssetValue(
+	const baseAssetValue = calculateMarginBaseAssetValue(
 		market,
 		marketPosition,
 		oraclePriceData
 	);
 
-	let pnl;
-	if (marketPosition.baseAssetAmount.gt(ZERO)) {
-		pnl = baseAssetValue.sub(marketPosition.quoteAssetAmount);
-	} else {
-		pnl = marketPosition.quoteAssetAmount.sub(baseAssetValue);
-	}
+	const baseAssetValueSign = marketPosition.baseAssetAmount.isNeg()
+		? new BN(-1)
+		: new BN(1);
+	let pnl = baseAssetValue
+		.mul(baseAssetValueSign)
+		.add(marketPosition.quoteAssetAmount);
 
 	if (withFunding) {
 		const fundingRatePnL = calculatePositionFundingPNL(
@@ -121,6 +124,36 @@ export function calculatePositionPNL(
 	return pnl;
 }
 
+export function calculateUnsettledPnl(
+	market: MarketAccount,
+	marketPosition: UserPosition,
+	oraclePriceData: OraclePriceData
+): BN {
+	const unrealizedPnl = calculatePositionPNL(
+		market,
+		marketPosition,
+		true,
+		oraclePriceData
+	);
+
+	let unsettledPnl = unrealizedPnl;
+	if (unrealizedPnl.gt(ZERO)) {
+		const fundingPnL = calculatePositionFundingPNL(market, marketPosition).div(
+			PRICE_TO_QUOTE_PRECISION
+		);
+
+		const maxPositivePnl = BN.max(
+			marketPosition.quoteAssetAmount
+				.sub(marketPosition.quoteEntryAmount)
+				.add(fundingPnL),
+			ZERO
+		);
+
+		unsettledPnl = BN.min(maxPositivePnl, unrealizedPnl);
+	}
+	return unsettledPnl;
+}
+
 /**
  *
  * @param market
@@ -153,7 +186,12 @@ export function calculatePositionFundingPNL(
 }
 
 export function positionIsAvailable(position: UserPosition): boolean {
-	return position.baseAssetAmount.eq(ZERO) && position.openOrders.eq(ZERO);
+	return (
+		position.baseAssetAmount.eq(ZERO) &&
+		position.openOrders.eq(ZERO) &&
+		position.quoteAssetAmount.eq(ZERO) &&
+		position.lpShares.eq(ZERO)
+	);
 }
 
 /**
@@ -166,6 +204,23 @@ export function calculateEntryPrice(userPosition: UserPosition): BN {
 		return ZERO;
 	}
 
+	return userPosition.quoteEntryAmount
+		.mul(MARK_PRICE_PRECISION)
+		.mul(AMM_TO_QUOTE_PRECISION_RATIO)
+		.div(userPosition.baseAssetAmount)
+		.abs();
+}
+
+/**
+ *
+ * @param userPosition
+ * @returns Precision: MARK_PRICE_PRECISION (10^10)
+ */
+export function calculateCostBasis(userPosition: UserPosition): BN {
+	if (userPosition.baseAssetAmount.eq(ZERO)) {
+		return ZERO;
+	}
+
 	return userPosition.quoteAssetAmount
 		.mul(MARK_PRICE_PRECISION)
 		.mul(AMM_TO_QUOTE_PRECISION_RATIO)

package/src/math/repeg.js

@@ -0,0 +1,128 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateBudgetedPeg = exports.calculateBudgetedK = exports.calculateBudgetedKBN = exports.calculateRepegCost = exports.calculateAdjustKCost = void 0;
+const anchor_1 = require("@project-serum/anchor");
+const assert_1 = require("../assert/assert");
+const numericConstants_1 = require("../constants/numericConstants");
+/**
+ * Helper function calculating adjust k cost
+ * @param amm
+ * @param numerator
+ * @param denomenator
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+function calculateAdjustKCost(amm, numerator, denomenator) {
+    // const k = market.amm.sqrtK.mul(market.amm.sqrtK);
+    const x = amm.baseAssetReserve;
+    const y = amm.quoteAssetReserve;
+    const d = amm.netBaseAssetAmount;
+    const Q = amm.pegMultiplier;
+    const quoteScale = y.mul(d).mul(Q); //.div(AMM_RESERVE_PRECISION);
+    const p = numerator.mul(numericConstants_1.MARK_PRICE_PRECISION).div(denomenator);
+    const cost = quoteScale
+        .div(x.add(d))
+        .sub(quoteScale
+        .mul(p)
+        .div(numericConstants_1.MARK_PRICE_PRECISION)
+        .div(x.mul(p).div(numericConstants_1.MARK_PRICE_PRECISION).add(d)))
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO)
+        .div(numericConstants_1.PEG_PRECISION);
+    return cost.mul(new anchor_1.BN(-1));
+}
+exports.calculateAdjustKCost = calculateAdjustKCost;
+/**
+ * Helper function calculating adjust pegMultiplier (repeg) cost
+ *
+ * @param amm
+ * @param newPeg
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+function calculateRepegCost(amm, newPeg) {
+    const dqar = amm.quoteAssetReserve.sub(amm.terminalQuoteAssetReserve);
+    const cost = dqar
+        .mul(newPeg.sub(amm.pegMultiplier))
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO)
+        .div(numericConstants_1.PEG_PRECISION);
+    return cost;
+}
+exports.calculateRepegCost = calculateRepegCost;
+function calculateBudgetedKBN(x, y, budget, Q, d) {
+    assert_1.assert(Q.gt(new anchor_1.BN(0)));
+    const C = budget.mul(new anchor_1.BN(-1));
+    let dSign = new anchor_1.BN(1);
+    if (d.lt(new anchor_1.BN(0))) {
+        dSign = new anchor_1.BN(-1);
+    }
+    const pegged_y_d_d = y
+        .mul(d)
+        .mul(d)
+        .mul(Q)
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.PEG_PRECISION);
+    const numer1 = pegged_y_d_d;
+    const numer2 = C.mul(d)
+        .div(numericConstants_1.QUOTE_PRECISION)
+        .mul(x.add(d))
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .mul(dSign);
+    const denom1 = C.mul(x)
+        .mul(x.add(d))
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.QUOTE_PRECISION);
+    const denom2 = pegged_y_d_d;
+    const numerator = numer1.sub(numer2).div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO);
+    const denominator = denom1.add(denom2).div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO);
+    return [numerator, denominator];
+}
+exports.calculateBudgetedKBN = calculateBudgetedKBN;
+function calculateBudgetedK(amm, cost) {
+    // wolframalpha.com
+    // (1/(x+d) - p/(x*p+d))*y*d*Q = C solve for p
+    // p = (d(y*d*Q - C(x+d))) / (C*x(x+d) + y*d*d*Q)
+    // numer
+    //   =  y*d*d*Q - Cxd - Cdd
+    //   =  y/x*Q*d*d - Cd - Cd/x
+    //   = mark      - C/d - C/(x)
+    //   =  mark/C    - 1/d - 1/x
+    // denom
+    // = C*x*x + C*x*d + y*d*d*Q
+    // = x/d**2 + 1 / d + mark/C
+    // todo: assumes k = x * y
+    // otherwise use: (y(1-p) + (kp^2/(x*p+d)) - k/(x+d)) * Q = C solve for p
+    const x = amm.baseAssetReserve;
+    const y = amm.quoteAssetReserve;
+    const d = amm.netBaseAssetAmount;
+    const Q = amm.pegMultiplier;
+    const [numerator, denominator] = calculateBudgetedKBN(x, y, cost, Q, d);
+    return [numerator, denominator];
+}
+exports.calculateBudgetedK = calculateBudgetedK;
+function calculateBudgetedPeg(amm, cost, targetPrice) {
+    // wolframalpha.com
+    // (1/(x+d) - p/(x*p+d))*y*d*Q = C solve for p
+    // p = (d(y*d*Q - C(x+d))) / (C*x(x+d) + y*y*d*Q)
+    // todo: assumes k = x * y
+    // otherwise use: (y(1-p) + (kp^2/(x*p+d)) - k/(x+d)) * Q = C solve for p
+    const targetPeg = targetPrice
+        .mul(amm.baseAssetReserve)
+        .div(amm.quoteAssetReserve)
+        .div(numericConstants_1.PRICE_DIV_PEG);
+    const k = amm.sqrtK.mul(amm.sqrtK);
+    const x = amm.baseAssetReserve;
+    const y = amm.quoteAssetReserve;
+    const d = amm.netBaseAssetAmount;
+    const Q = amm.pegMultiplier;
+    const C = cost.mul(new anchor_1.BN(-1));
+    const deltaQuoteAssetReserves = y.sub(k.div(x.add(d)));
+    const pegChangeDirection = targetPeg.sub(Q);
+    const useTargetPeg = (deltaQuoteAssetReserves.lt(numericConstants_1.ZERO) && pegChangeDirection.gt(numericConstants_1.ZERO)) ||
+        (deltaQuoteAssetReserves.gt(numericConstants_1.ZERO) && pegChangeDirection.lt(numericConstants_1.ZERO));
+    if (deltaQuoteAssetReserves.eq(numericConstants_1.ZERO) || useTargetPeg) {
+        return targetPeg;
+    }
+    const deltaPegMultiplier = C.mul(numericConstants_1.MARK_PRICE_PRECISION).div(deltaQuoteAssetReserves.div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO));
+    const newPeg = Q.sub(deltaPegMultiplier.mul(numericConstants_1.PEG_PRECISION).div(numericConstants_1.MARK_PRICE_PRECISION));
+    return newPeg;
+}
+exports.calculateBudgetedPeg = calculateBudgetedPeg;

package/src/math/state.js

@@ -0,0 +1,15 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getExchangeFee = void 0;
+/**
+ * Get the clearing house percent fee charged on notional of taking trades
+ *
+ * @param state
+ * @returns Precision : basis points (bps)
+ */
+function getExchangeFee(state) {
+    const exchangeFee = state.feeStructure.feeNumerator.toNumber() /
+        state.feeStructure.feeDenominator.toNumber();
+    return exchangeFee;
+}
+exports.getExchangeFee = getExchangeFee;

package/src/math/trade.js

@@ -0,0 +1,253 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateTargetPriceTrade = exports.calculateTradeAcquiredAmounts = exports.calculateTradeSlippage = void 0;
+const types_1 = require("../types");
+const anchor_1 = require("@project-serum/anchor");
+const assert_1 = require("../assert/assert");
+const numericConstants_1 = require("../constants/numericConstants");
+const market_1 = require("./market");
+const amm_1 = require("./amm");
+const utils_1 = require("./utils");
+const types_2 = require("../types");
+const MAXPCT = new anchor_1.BN(1000); //percentage units are [0,1000] => [0,1]
+/**
+ * Calculates avg/max slippage (price impact) for candidate trade
+ * @param direction
+ * @param amount
+ * @param market
+ * @param inputAssetType which asset is being traded
+ * @param useSpread whether to consider spread with calculating slippage
+ * @return [pctAvgSlippage, pctMaxSlippage, entryPrice, newPrice]
+ *
+ * 'pctAvgSlippage' =>  the percentage change to entryPrice (average est slippage in execution) : Precision MARK_PRICE_PRECISION
+ *
+ * 'pctMaxSlippage' =>  the percentage change to maxPrice (highest est slippage in execution) : Precision MARK_PRICE_PRECISION
+ *
+ * 'entryPrice' => the average price of the trade : Precision MARK_PRICE_PRECISION
+ *
+ * 'newPrice' => the price of the asset after the trade : Precision MARK_PRICE_PRECISION
+ */
+function calculateTradeSlippage(direction, amount, market, inputAssetType = 'quote', oraclePriceData, useSpread = true) {
+    let oldPrice;
+    if (useSpread && market.amm.baseSpread > 0) {
+        if (types_2.isVariant(direction, 'long')) {
+            oldPrice = market_1.calculateAskPrice(market, oraclePriceData);
+        }
+        else {
+            oldPrice = market_1.calculateBidPrice(market, oraclePriceData);
+        }
+    }
+    else {
+        oldPrice = market_1.calculateMarkPrice(market, oraclePriceData);
+    }
+    if (amount.eq(numericConstants_1.ZERO)) {
+        return [numericConstants_1.ZERO, numericConstants_1.ZERO, oldPrice, oldPrice];
+    }
+    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(acquiredBaseReserve.abs());
+    let amm;
+    if (useSpread && market.amm.baseSpread > 0) {
+        const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } = amm_1.calculateUpdatedAMMSpreadReserves(market.amm, direction, oraclePriceData);
+        amm = {
+            baseAssetReserve,
+            quoteAssetReserve,
+            sqrtK: sqrtK,
+            pegMultiplier: newPeg,
+        };
+    }
+    else {
+        amm = market.amm;
+    }
+    const newPrice = amm_1.calculatePrice(amm.baseAssetReserve.sub(acquiredBaseReserve), amm.quoteAssetReserve.sub(acquiredQuoteReserve), amm.pegMultiplier);
+    if (direction == types_1.PositionDirection.SHORT) {
+        assert_1.assert(newPrice.lte(oldPrice));
+    }
+    else {
+        assert_1.assert(oldPrice.lte(newPrice));
+    }
+    const pctMaxSlippage = newPrice
+        .sub(oldPrice)
+        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .div(oldPrice)
+        .abs();
+    const pctAvgSlippage = entryPrice
+        .sub(oldPrice)
+        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .div(oldPrice)
+        .abs();
+    return [pctAvgSlippage, pctMaxSlippage, entryPrice, newPrice];
+}
+exports.calculateTradeSlippage = calculateTradeSlippage;
+/**
+ * Calculates acquired amounts for trade executed
+ * @param direction
+ * @param amount
+ * @param market
+ * @param inputAssetType
+ * @param useSpread
+ * @return
+ * 	| 'acquiredBase' =>  positive/negative change in user's base : BN AMM_RESERVE_PRECISION
+ * 	| 'acquiredQuote' => positive/negative change in user's quote : BN TODO-PRECISION
+ */
+function calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType = 'quote', oraclePriceData, useSpread = true) {
+    if (amount.eq(numericConstants_1.ZERO)) {
+        return [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO];
+    }
+    const swapDirection = amm_1.getSwapDirection(inputAssetType, direction);
+    let amm;
+    if (useSpread && market.amm.baseSpread > 0) {
+        const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } = amm_1.calculateUpdatedAMMSpreadReserves(market.amm, direction, oraclePriceData);
+        amm = {
+            baseAssetReserve,
+            quoteAssetReserve,
+            sqrtK: sqrtK,
+            pegMultiplier: newPeg,
+        };
+    }
+    else {
+        amm = market.amm;
+    }
+    const [newQuoteAssetReserve, newBaseAssetReserve] = amm_1.calculateAmmReservesAfterSwap(amm, inputAssetType, amount, swapDirection);
+    const acquiredBase = amm.baseAssetReserve.sub(newBaseAssetReserve);
+    const acquiredQuote = amm.quoteAssetReserve.sub(newQuoteAssetReserve);
+    const acquiredQuoteAssetamount = amm_1.calculateQuoteAssetAmountSwapped(acquiredQuote.abs(), amm.pegMultiplier, swapDirection);
+    return [acquiredBase, acquiredQuote, acquiredQuoteAssetamount];
+}
+exports.calculateTradeAcquiredAmounts = calculateTradeAcquiredAmounts;
+/**
+ * calculateTargetPriceTrade
+ * simple function for finding arbitraging trades
+ * @param market
+ * @param targetPrice
+ * @param pct optional default is 100% gap filling, can set smaller.
+ * @param outputAssetType which asset to trade.
+ * @param useSpread whether or not to consider the spread when calculating the trade size
+ * @returns trade direction/size in order to push price to a targetPrice,
+ *
+ * [
+ *   direction => direction of trade required, PositionDirection
+ *   tradeSize => size of trade required, TODO-PRECISION
+ *   entryPrice => the entry price for the trade, MARK_PRICE_PRECISION
+ *   targetPrice => the target price MARK_PRICE_PRECISION
+ * ]
+ */
+function calculateTargetPriceTrade(market, targetPrice, pct = MAXPCT, outputAssetType = 'quote', oraclePriceData, useSpread = true) {
+    assert_1.assert(market.amm.baseAssetReserve.gt(numericConstants_1.ZERO));
+    assert_1.assert(targetPrice.gt(numericConstants_1.ZERO));
+    assert_1.assert(pct.lte(MAXPCT) && pct.gt(numericConstants_1.ZERO));
+    const markPriceBefore = market_1.calculateMarkPrice(market, oraclePriceData);
+    const bidPriceBefore = market_1.calculateBidPrice(market, oraclePriceData);
+    const askPriceBefore = market_1.calculateAskPrice(market, oraclePriceData);
+    let direction;
+    if (targetPrice.gt(markPriceBefore)) {
+        const priceGap = targetPrice.sub(markPriceBefore);
+        const priceGapScaled = priceGap.mul(pct).div(MAXPCT);
+        targetPrice = markPriceBefore.add(priceGapScaled);
+        direction = types_1.PositionDirection.LONG;
+    }
+    else {
+        const priceGap = markPriceBefore.sub(targetPrice);
+        const priceGapScaled = priceGap.mul(pct).div(MAXPCT);
+        targetPrice = markPriceBefore.sub(priceGapScaled);
+        direction = types_1.PositionDirection.SHORT;
+    }
+    let tradeSize;
+    let baseSize;
+    let baseAssetReserveBefore;
+    let quoteAssetReserveBefore;
+    let peg = market.amm.pegMultiplier;
+    if (useSpread && market.amm.baseSpread > 0) {
+        const { baseAssetReserve, quoteAssetReserve, newPeg } = amm_1.calculateUpdatedAMMSpreadReserves(market.amm, direction, oraclePriceData);
+        baseAssetReserveBefore = baseAssetReserve;
+        quoteAssetReserveBefore = quoteAssetReserve;
+        peg = newPeg;
+    }
+    else {
+        baseAssetReserveBefore = market.amm.baseAssetReserve;
+        quoteAssetReserveBefore = market.amm.quoteAssetReserve;
+    }
+    const invariant = market.amm.sqrtK.mul(market.amm.sqrtK);
+    const k = invariant.mul(numericConstants_1.MARK_PRICE_PRECISION);
+    let baseAssetReserveAfter;
+    let quoteAssetReserveAfter;
+    const biasModifier = new anchor_1.BN(1);
+    let markPriceAfter;
+    if (useSpread &&
+        targetPrice.lt(askPriceBefore) &&
+        targetPrice.gt(bidPriceBefore)) {
+        // no trade, market is at target
+        if (markPriceBefore.gt(targetPrice)) {
+            direction = types_1.PositionDirection.SHORT;
+        }
+        else {
+            direction = types_1.PositionDirection.LONG;
+        }
+        tradeSize = numericConstants_1.ZERO;
+        return [direction, tradeSize, targetPrice, targetPrice];
+    }
+    else if (markPriceBefore.gt(targetPrice)) {
+        // overestimate y2
+        baseAssetReserveAfter = utils_1.squareRootBN(k.div(targetPrice).mul(peg).div(numericConstants_1.PEG_PRECISION).sub(biasModifier)).sub(new anchor_1.BN(1));
+        quoteAssetReserveAfter = k
+            .div(numericConstants_1.MARK_PRICE_PRECISION)
+            .div(baseAssetReserveAfter);
+        markPriceAfter = amm_1.calculatePrice(baseAssetReserveAfter, quoteAssetReserveAfter, peg);
+        direction = types_1.PositionDirection.SHORT;
+        tradeSize = quoteAssetReserveBefore
+            .sub(quoteAssetReserveAfter)
+            .mul(peg)
+            .div(numericConstants_1.PEG_PRECISION)
+            .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO);
+        baseSize = baseAssetReserveAfter.sub(baseAssetReserveBefore);
+    }
+    else if (markPriceBefore.lt(targetPrice)) {
+        // underestimate y2
+        baseAssetReserveAfter = utils_1.squareRootBN(k.div(targetPrice).mul(peg).div(numericConstants_1.PEG_PRECISION).add(biasModifier)).add(new anchor_1.BN(1));
+        quoteAssetReserveAfter = k
+            .div(numericConstants_1.MARK_PRICE_PRECISION)
+            .div(baseAssetReserveAfter);
+        markPriceAfter = amm_1.calculatePrice(baseAssetReserveAfter, quoteAssetReserveAfter, peg);
+        direction = types_1.PositionDirection.LONG;
+        tradeSize = quoteAssetReserveAfter
+            .sub(quoteAssetReserveBefore)
+            .mul(peg)
+            .div(numericConstants_1.PEG_PRECISION)
+            .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO);
+        baseSize = baseAssetReserveBefore.sub(baseAssetReserveAfter);
+    }
+    else {
+        // no trade, market is at target
+        direction = types_1.PositionDirection.LONG;
+        tradeSize = numericConstants_1.ZERO;
+        return [direction, tradeSize, targetPrice, targetPrice];
+    }
+    let tp1 = targetPrice;
+    let tp2 = markPriceAfter;
+    let originalDiff = targetPrice.sub(markPriceBefore);
+    if (direction == types_1.PositionDirection.SHORT) {
+        tp1 = markPriceAfter;
+        tp2 = targetPrice;
+        originalDiff = markPriceBefore.sub(targetPrice);
+    }
+    const entryPrice = tradeSize
+        .mul(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO)
+        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .div(baseSize.abs());
+    assert_1.assert(tp1.sub(tp2).lte(originalDiff), 'Target Price Calculation incorrect');
+    assert_1.assert(tp2.lte(tp1) || tp2.sub(tp1).abs() < 100000, 'Target Price Calculation incorrect' +
+        tp2.toString() +
+        '>=' +
+        tp1.toString() +
+        'err: ' +
+        tp2.sub(tp1).abs().toString());
+    if (outputAssetType == 'quote') {
+        return [direction, tradeSize, entryPrice, targetPrice];
+    }
+    else {
+        return [direction, baseSize, entryPrice, targetPrice];
+    }
+}
+exports.calculateTargetPriceTrade = calculateTargetPriceTrade;