@drift-labs/sdk 0.2.0-master.25 → 0.2.0-master.26

package/src/math/funding.js

@@ -8,11 +8,39 @@ var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, ge
         step((generator = generator.apply(thisArg, _arguments || [])).next());
     });
 };
-Object.defineProperty(exports, "__esModule", { value: true });
+var __generator = (this && this.__generator) || function (thisArg, body) {
+    var _ = { label: 0, sent: function() { if (t[0] & 1) throw t[1]; return t[1]; }, trys: [], ops: [] }, f, y, t, g;
+    return g = { next: verb(0), "throw": verb(1), "return": verb(2) }, typeof Symbol === "function" && (g[Symbol.iterator] = function() { return this; }), g;
+    function verb(n) { return function (v) { return step([n, v]); }; }
+    function step(op) {
+        if (f) throw new TypeError("Generator is already executing.");
+        while (_) try {
+            if (f = 1, y && (t = op[0] & 2 ? y["return"] : op[0] ? y["throw"] || ((t = y["return"]) && t.call(y), 0) : y.next) && !(t = t.call(y, op[1])).done) return t;
+            if (y = 0, t) op = [op[0] & 2, t.value];
+            switch (op[0]) {
+                case 0: case 1: t = op; break;
+                case 4: _.label++; return { value: op[1], done: false };
+                case 5: _.label++; y = op[1]; op = [0]; continue;
+                case 7: op = _.ops.pop(); _.trys.pop(); continue;
+                default:
+                    if (!(t = _.trys, t = t.length > 0 && t[t.length - 1]) && (op[0] === 6 || op[0] === 2)) { _ = 0; continue; }
+                    if (op[0] === 3 && (!t || (op[1] > t[0] && op[1] < t[3]))) { _.label = op[1]; break; }
+                    if (op[0] === 6 && _.label < t[1]) { _.label = t[1]; t = op; break; }
+                    if (t && _.label < t[2]) { _.label = t[2]; _.ops.push(op); break; }
+                    if (t[2]) _.ops.pop();
+                    _.trys.pop(); continue;
+            }
+            op = body.call(thisArg, _);
+        } catch (e) { op = [6, e]; y = 0; } finally { f = t = 0; }
+        if (op[0] & 5) throw op[1]; return { value: op[0] ? op[1] : void 0, done: true };
+    }
+};
+exports.__esModule = true;
 exports.calculateFundingPool = exports.calculateLongShortFundingRateAndLiveTwaps = exports.calculateLongShortFundingRate = exports.calculateEstimatedFundingRate = exports.calculateAllEstimatedFundingRate = void 0;
-const anchor_1 = require("@project-serum/anchor");
-const numericConstants_1 = require("../constants/numericConstants");
-const market_1 = require("./market");
+var anchor_1 = require("@project-serum/anchor");
+var numericConstants_1 = require("../constants/numericConstants");
+var types_1 = require("../types");
+var market_1 = require("./market");
 /**
  *
  * @param market
@@ -20,146 +48,139 @@ const market_1 = require("./market");
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
-    return __awaiter(this, void 0, void 0, function* () {
-        // periodAdjustment
-        // 	1: hourly
-        //  24: daily
-        //  24 * 365.25: annualized
-        const secondsInHour = new anchor_1.BN(3600);
-        const hoursInDay = new anchor_1.BN(24);
-        const ONE = new anchor_1.BN(1);
-        if (!market.initialized) {
-            return [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO];
-        }
-        const payFreq = new anchor_1.BN(market.amm.fundingPeriod);
-        // todo: sufficiently differs from blockchain timestamp?
-        const now = new anchor_1.BN((Date.now() / 1000).toFixed(0));
-        const timeSinceLastUpdate = now.sub(market.amm.lastFundingRateTs);
-        // calculate real-time mark twap
-        const lastMarkTwapWithMantissa = market.amm.lastMarkPriceTwap;
-        const lastMarkPriceTwapTs = market.amm.lastMarkPriceTwapTs;
-        const timeSinceLastMarkChange = now.sub(lastMarkPriceTwapTs);
-        const markTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, anchor_1.BN.max(numericConstants_1.ZERO, secondsInHour.sub(timeSinceLastMarkChange)));
-        const baseAssetPriceWithMantissa = market_1.calculateMarkPrice(market, oraclePriceData);
-        const markTwapWithMantissa = markTwapTimeSinceLastUpdate
-            .mul(lastMarkTwapWithMantissa)
-            .add(timeSinceLastMarkChange.mul(baseAssetPriceWithMantissa))
-            .div(timeSinceLastMarkChange.add(markTwapTimeSinceLastUpdate));
-        // calculate real-time (predicted) oracle twap
-        // note: oracle twap depends on `when the chord is struck` (market is trade)
-        const lastOracleTwapWithMantissa = market.amm.lastOraclePriceTwap;
-        const lastOraclePriceTwapTs = market.amm.lastOraclePriceTwapTs;
-        const oracleInvalidDuration = anchor_1.BN.max(numericConstants_1.ZERO, lastMarkPriceTwapTs.sub(lastOraclePriceTwapTs));
-        const timeSinceLastOracleTwapUpdate = now.sub(lastOraclePriceTwapTs);
-        const oracleTwapTimeSinceLastUpdate = anchor_1.BN.max(ONE, anchor_1.BN.min(secondsInHour, anchor_1.BN.max(ONE, secondsInHour.sub(timeSinceLastOracleTwapUpdate))));
-        let oracleTwapWithMantissa = lastOracleTwapWithMantissa;
-        // if passing live oracle data, improve predicted calc estimate
-        if (oraclePriceData) {
-            const oraclePrice = oraclePriceData.price;
-            const oracleLiveVsTwap = oraclePrice
-                .sub(lastOracleTwapWithMantissa)
-                .abs()
+function calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment) {
+    if (periodAdjustment === void 0) { periodAdjustment = new anchor_1.BN(1); }
+    return __awaiter(this, void 0, void 0, function () {
+        var secondsInHour, hoursInDay, ONE, payFreq, now, timeSinceLastUpdate, lastMarkTwapWithMantissa, lastMarkPriceTwapTs, timeSinceLastMarkChange, markTwapTimeSinceLastUpdate, baseAssetPriceWithMantissa, markTwapWithMantissa, lastOracleTwapWithMantissa, lastOraclePriceTwapTs, oracleInvalidDuration, timeSinceLastOracleTwapUpdate, oracleTwapTimeSinceLastUpdate, oracleTwapWithMantissa, oraclePrice, oracleLiveVsTwap, shrunkLastOracleTwapwithMantissa, twapSpread, twapSpreadPct, lowerboundEst, interpEst, interpRateQuote, feePoolSize, cappedAltEst, largerSide, smallerSide, feePoolTopOff;
+        return __generator(this, function (_a) {
+            secondsInHour = new anchor_1.BN(3600);
+            hoursInDay = new anchor_1.BN(24);
+            ONE = new anchor_1.BN(1);
+            if ((0, types_1.isVariant)(market.status, 'uninitialized')) {
+                return [2 /*return*/, [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO]];
+            }
+            payFreq = new anchor_1.BN(market.amm.fundingPeriod);
+            now = new anchor_1.BN((Date.now() / 1000).toFixed(0));
+            timeSinceLastUpdate = now.sub(market.amm.lastFundingRateTs);
+            lastMarkTwapWithMantissa = market.amm.lastMarkPriceTwap;
+            lastMarkPriceTwapTs = market.amm.lastMarkPriceTwapTs;
+            timeSinceLastMarkChange = now.sub(lastMarkPriceTwapTs);
+            markTwapTimeSinceLastUpdate = anchor_1.BN.max(secondsInHour, anchor_1.BN.max(numericConstants_1.ZERO, secondsInHour.sub(timeSinceLastMarkChange)));
+            baseAssetPriceWithMantissa = (0, market_1.calculateMarkPrice)(market, oraclePriceData);
+            markTwapWithMantissa = markTwapTimeSinceLastUpdate
+                .mul(lastMarkTwapWithMantissa)
+                .add(timeSinceLastMarkChange.mul(baseAssetPriceWithMantissa))
+                .div(timeSinceLastMarkChange.add(markTwapTimeSinceLastUpdate));
+            lastOracleTwapWithMantissa = market.amm.lastOraclePriceTwap;
+            lastOraclePriceTwapTs = market.amm.lastOraclePriceTwapTs;
+            oracleInvalidDuration = anchor_1.BN.max(numericConstants_1.ZERO, lastMarkPriceTwapTs.sub(lastOraclePriceTwapTs));
+            timeSinceLastOracleTwapUpdate = now.sub(lastOraclePriceTwapTs);
+            oracleTwapTimeSinceLastUpdate = anchor_1.BN.max(ONE, anchor_1.BN.min(secondsInHour, anchor_1.BN.max(ONE, secondsInHour.sub(timeSinceLastOracleTwapUpdate))));
+            oracleTwapWithMantissa = lastOracleTwapWithMantissa;
+            // if passing live oracle data, improve predicted calc estimate
+            if (oraclePriceData) {
+                oraclePrice = oraclePriceData.price;
+                oracleLiveVsTwap = oraclePrice
+                    .sub(lastOracleTwapWithMantissa)
+                    .abs()
+                    .mul(numericConstants_1.MARK_PRICE_PRECISION)
+                    .mul(new anchor_1.BN(100))
+                    .div(lastOracleTwapWithMantissa);
+                // verify pyth live input is within 10% of last twap for live update
+                if (oracleLiveVsTwap.lte(numericConstants_1.MARK_PRICE_PRECISION.mul(new anchor_1.BN(10)))) {
+                    oracleTwapWithMantissa = oracleTwapTimeSinceLastUpdate
+                        .mul(lastOracleTwapWithMantissa)
+                        .add(timeSinceLastMarkChange.mul(oraclePrice))
+                        .div(timeSinceLastMarkChange.add(oracleTwapTimeSinceLastUpdate));
+                }
+            }
+            shrunkLastOracleTwapwithMantissa = oracleTwapTimeSinceLastUpdate
+                .mul(lastOracleTwapWithMantissa)
+                .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
+                .div(oracleTwapTimeSinceLastUpdate.add(oracleInvalidDuration));
+            twapSpread = lastMarkTwapWithMantissa.sub(shrunkLastOracleTwapwithMantissa);
+            twapSpreadPct = twapSpread
                 .mul(numericConstants_1.MARK_PRICE_PRECISION)
                 .mul(new anchor_1.BN(100))
-                .div(lastOracleTwapWithMantissa);
-            // verify pyth live input is within 10% of last twap for live update
-            if (oracleLiveVsTwap.lte(numericConstants_1.MARK_PRICE_PRECISION.mul(new anchor_1.BN(10)))) {
-                oracleTwapWithMantissa = oracleTwapTimeSinceLastUpdate
-                    .mul(lastOracleTwapWithMantissa)
-                    .add(timeSinceLastMarkChange.mul(oraclePrice))
-                    .div(timeSinceLastMarkChange.add(oracleTwapTimeSinceLastUpdate));
+                .div(shrunkLastOracleTwapwithMantissa);
+            lowerboundEst = twapSpreadPct
+                .mul(payFreq)
+                .mul(anchor_1.BN.min(secondsInHour, timeSinceLastUpdate))
+                .mul(periodAdjustment)
+                .div(secondsInHour)
+                .div(secondsInHour)
+                .div(hoursInDay);
+            interpEst = twapSpreadPct.mul(periodAdjustment).div(hoursInDay);
+            interpRateQuote = twapSpreadPct
+                .mul(periodAdjustment)
+                .div(hoursInDay)
+                .div(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION));
+            feePoolSize = calculateFundingPool(market);
+            if (interpRateQuote.lt(new anchor_1.BN(0))) {
+                feePoolSize = feePoolSize.mul(new anchor_1.BN(-1));
             }
-        }
-        const shrunkLastOracleTwapwithMantissa = oracleTwapTimeSinceLastUpdate
-            .mul(lastOracleTwapWithMantissa)
-            .add(oracleInvalidDuration.mul(lastMarkTwapWithMantissa))
-            .div(oracleTwapTimeSinceLastUpdate.add(oracleInvalidDuration));
-        const twapSpread = lastMarkTwapWithMantissa.sub(shrunkLastOracleTwapwithMantissa);
-        const twapSpreadPct = twapSpread
-            .mul(numericConstants_1.MARK_PRICE_PRECISION)
-            .mul(new anchor_1.BN(100))
-            .div(shrunkLastOracleTwapwithMantissa);
-        const lowerboundEst = twapSpreadPct
-            .mul(payFreq)
-            .mul(anchor_1.BN.min(secondsInHour, timeSinceLastUpdate))
-            .mul(periodAdjustment)
-            .div(secondsInHour)
-            .div(secondsInHour)
-            .div(hoursInDay);
-        const interpEst = twapSpreadPct.mul(periodAdjustment).div(hoursInDay);
-        const interpRateQuote = twapSpreadPct
-            .mul(periodAdjustment)
-            .div(hoursInDay)
-            .div(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION));
-        let feePoolSize = calculateFundingPool(market);
-        if (interpRateQuote.lt(new anchor_1.BN(0))) {
-            feePoolSize = feePoolSize.mul(new anchor_1.BN(-1));
-        }
-        let cappedAltEst;
-        let largerSide;
-        let smallerSide;
-        if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
-            largerSide = market.baseAssetAmountLong.abs();
-            smallerSide = market.baseAssetAmountShort.abs();
-            if (twapSpread.gt(new anchor_1.BN(0))) {
-                return [
-                    markTwapWithMantissa,
-                    oracleTwapWithMantissa,
-                    lowerboundEst,
-                    interpEst,
-                    interpEst,
-                ];
+            if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
+                largerSide = market.baseAssetAmountLong.abs();
+                smallerSide = market.baseAssetAmountShort.abs();
+                if (twapSpread.gt(new anchor_1.BN(0))) {
+                    return [2 /*return*/, [
+                            markTwapWithMantissa,
+                            oracleTwapWithMantissa,
+                            lowerboundEst,
+                            interpEst,
+                            interpEst,
+                        ]];
+                }
+            }
+            else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
+                largerSide = market.baseAssetAmountShort.abs();
+                smallerSide = market.baseAssetAmountLong.abs();
+                if (twapSpread.lt(new anchor_1.BN(0))) {
+                    return [2 /*return*/, [
+                            markTwapWithMantissa,
+                            oracleTwapWithMantissa,
+                            lowerboundEst,
+                            interpEst,
+                            interpEst,
+                        ]];
+                }
+            }
+            else {
+                return [2 /*return*/, [
+                        markTwapWithMantissa,
+                        oracleTwapWithMantissa,
+                        lowerboundEst,
+                        interpEst,
+                        interpEst,
+                    ]];
+            }
+            if (largerSide.gt(numericConstants_1.ZERO)) {
+                // funding smaller flow
+                cappedAltEst = smallerSide.mul(twapSpread).div(hoursInDay);
+                feePoolTopOff = feePoolSize
+                    .mul(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION))
+                    .mul(numericConstants_1.AMM_RESERVE_PRECISION);
+                cappedAltEst = cappedAltEst.add(feePoolTopOff).div(largerSide);
+                cappedAltEst = cappedAltEst
+                    .mul(numericConstants_1.MARK_PRICE_PRECISION)
+                    .mul(new anchor_1.BN(100))
+                    .div(oracleTwapWithMantissa)
+                    .mul(periodAdjustment);
+                if (cappedAltEst.abs().gte(interpEst.abs())) {
+                    cappedAltEst = interpEst;
+                }
             }
-        }
-        else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
-            largerSide = market.baseAssetAmountShort.abs();
-            smallerSide = market.baseAssetAmountLong.abs();
-            if (twapSpread.lt(new anchor_1.BN(0))) {
-                return [
+            else {
+                cappedAltEst = interpEst;
+            }
+            return [2 /*return*/, [
                     markTwapWithMantissa,
                     oracleTwapWithMantissa,
                     lowerboundEst,
+                    cappedAltEst,
                     interpEst,
-                    interpEst,
-                ];
-            }
-        }
-        else {
-            return [
-                markTwapWithMantissa,
-                oracleTwapWithMantissa,
-                lowerboundEst,
-                interpEst,
-                interpEst,
-            ];
-        }
-        if (largerSide.gt(numericConstants_1.ZERO)) {
-            // funding smaller flow
-            cappedAltEst = smallerSide.mul(twapSpread).div(hoursInDay);
-            const feePoolTopOff = feePoolSize
-                .mul(numericConstants_1.MARK_PRICE_PRECISION.div(numericConstants_1.QUOTE_PRECISION))
-                .mul(numericConstants_1.AMM_RESERVE_PRECISION);
-            cappedAltEst = cappedAltEst.add(feePoolTopOff).div(largerSide);
-            cappedAltEst = cappedAltEst
-                .mul(numericConstants_1.MARK_PRICE_PRECISION)
-                .mul(new anchor_1.BN(100))
-                .div(oracleTwapWithMantissa)
-                .mul(periodAdjustment);
-            if (cappedAltEst.abs().gte(interpEst.abs())) {
-                cappedAltEst = interpEst;
-            }
-        }
-        else {
-            cappedAltEst = interpEst;
-        }
-        return [
-            markTwapWithMantissa,
-            oracleTwapWithMantissa,
-            lowerboundEst,
-            cappedAltEst,
-            interpEst,
-        ];
+                ]];
+        });
     });
 }
 exports.calculateAllEstimatedFundingRate = calculateAllEstimatedFundingRate;
@@ -171,19 +192,28 @@ exports.calculateAllEstimatedFundingRate = calculateAllEstimatedFundingRate;
  * @param estimationMethod
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-function calculateEstimatedFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1), estimationMethod) {
-    return __awaiter(this, void 0, void 0, function* () {
-        const [_1, _2, lowerboundEst, cappedAltEst, interpEst] = yield calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
-        if (estimationMethod == 'lowerbound') {
-            //assuming remaining funding period has no gap
-            return lowerboundEst;
-        }
-        else if (estimationMethod == 'capped') {
-            return cappedAltEst;
-        }
-        else {
-            return interpEst;
-        }
+function calculateEstimatedFundingRate(market, oraclePriceData, periodAdjustment, estimationMethod) {
+    if (periodAdjustment === void 0) { periodAdjustment = new anchor_1.BN(1); }
+    return __awaiter(this, void 0, void 0, function () {
+        var _a, _1, _2, lowerboundEst, cappedAltEst, interpEst;
+        return __generator(this, function (_b) {
+            switch (_b.label) {
+                case 0: return [4 /*yield*/, calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment)];
+                case 1:
+                    _a = _b.sent(), _1 = _a[0], _2 = _a[1], lowerboundEst = _a[2], cappedAltEst = _a[3], interpEst = _a[4];
+                    if (estimationMethod == 'lowerbound') {
+                        //assuming remaining funding period has no gap
+                        return [2 /*return*/, lowerboundEst];
+                    }
+                    else if (estimationMethod == 'capped') {
+                        return [2 /*return*/, cappedAltEst];
+                    }
+                    else {
+                        return [2 /*return*/, interpEst];
+                    }
+                    return [2 /*return*/];
+            }
+        });
     });
 }
 exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
@@ -194,18 +224,27 @@ exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-function calculateLongShortFundingRate(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
-    return __awaiter(this, void 0, void 0, function* () {
-        const [_1, _2, _, cappedAltEst, interpEst] = yield calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
-        if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort)) {
-            return [cappedAltEst, interpEst];
-        }
-        else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort)) {
-            return [interpEst, cappedAltEst];
-        }
-        else {
-            return [interpEst, interpEst];
-        }
+function calculateLongShortFundingRate(market, oraclePriceData, periodAdjustment) {
+    if (periodAdjustment === void 0) { periodAdjustment = new anchor_1.BN(1); }
+    return __awaiter(this, void 0, void 0, function () {
+        var _a, _1, _2, _, cappedAltEst, interpEst;
+        return __generator(this, function (_b) {
+            switch (_b.label) {
+                case 0: return [4 /*yield*/, calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment)];
+                case 1:
+                    _a = _b.sent(), _1 = _a[0], _2 = _a[1], _ = _a[2], cappedAltEst = _a[3], interpEst = _a[4];
+                    if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort)) {
+                        return [2 /*return*/, [cappedAltEst, interpEst]];
+                    }
+                    else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort)) {
+                        return [2 /*return*/, [interpEst, cappedAltEst]];
+                    }
+                    else {
+                        return [2 /*return*/, [interpEst, interpEst]];
+                    }
+                    return [2 /*return*/];
+            }
+        });
     });
 }
 exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
@@ -216,18 +255,27 @@ exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-function calculateLongShortFundingRateAndLiveTwaps(market, oraclePriceData, periodAdjustment = new anchor_1.BN(1)) {
-    return __awaiter(this, void 0, void 0, function* () {
-        const [markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst] = yield calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment);
-        if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
-            return [markTwapLive, oracleTwapLive, cappedAltEst, interpEst];
-        }
-        else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
-            return [markTwapLive, oracleTwapLive, interpEst, cappedAltEst];
-        }
-        else {
-            return [markTwapLive, oracleTwapLive, interpEst, interpEst];
-        }
+function calculateLongShortFundingRateAndLiveTwaps(market, oraclePriceData, periodAdjustment) {
+    if (periodAdjustment === void 0) { periodAdjustment = new anchor_1.BN(1); }
+    return __awaiter(this, void 0, void 0, function () {
+        var _a, markTwapLive, oracleTwapLive, _2, cappedAltEst, interpEst;
+        return __generator(this, function (_b) {
+            switch (_b.label) {
+                case 0: return [4 /*yield*/, calculateAllEstimatedFundingRate(market, oraclePriceData, periodAdjustment)];
+                case 1:
+                    _a = _b.sent(), markTwapLive = _a[0], oracleTwapLive = _a[1], _2 = _a[2], cappedAltEst = _a[3], interpEst = _a[4];
+                    if (market.baseAssetAmountLong.gt(market.baseAssetAmountShort.abs())) {
+                        return [2 /*return*/, [markTwapLive, oracleTwapLive, cappedAltEst, interpEst]];
+                    }
+                    else if (market.baseAssetAmountLong.lt(market.baseAssetAmountShort.abs())) {
+                        return [2 /*return*/, [markTwapLive, oracleTwapLive, interpEst, cappedAltEst]];
+                    }
+                    else {
+                        return [2 /*return*/, [markTwapLive, oracleTwapLive, interpEst, interpEst]];
+                    }
+                    return [2 /*return*/];
+            }
+        });
     });
 }
 exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRateAndLiveTwaps;
@@ -238,8 +286,8 @@ exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRat
  */
 function calculateFundingPool(market) {
     // todo
-    const totalFeeLB = market.amm.totalExchangeFee.div(new anchor_1.BN(2));
-    const feePool = anchor_1.BN.max(numericConstants_1.ZERO, market.amm.totalFeeMinusDistributions
+    var totalFeeLB = market.amm.totalExchangeFee.div(new anchor_1.BN(2));
+    var feePool = anchor_1.BN.max(numericConstants_1.ZERO, market.amm.totalFeeMinusDistributions
         .sub(totalFeeLB)
         .mul(new anchor_1.BN(1))
         .div(new anchor_1.BN(3)));

package/src/math/funding.ts

@@ -5,7 +5,7 @@ import {
 	QUOTE_PRECISION,
 	ZERO,
 } from '../constants/numericConstants';
-import { MarketAccount } from '../types';
+import { PerpMarketAccount, isVariant } from '../types';
 import { calculateMarkPrice } from './market';
 import { OraclePriceData } from '../oracles/types';
 
@@ -17,7 +17,7 @@ import { OraclePriceData } from '../oracles/types';
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
 export async function calculateAllEstimatedFundingRate(
-	market: MarketAccount,
+	market: PerpMarketAccount,
 	oraclePriceData?: OraclePriceData,
 	periodAdjustment: BN = new BN(1)
 ): Promise<[BN, BN, BN, BN, BN]> {
@@ -29,7 +29,7 @@ export async function calculateAllEstimatedFundingRate(
 	const hoursInDay = new BN(24);
 	const ONE = new BN(1);
 
-	if (!market.initialized) {
+	if (isVariant(market.status, 'uninitialized')) {
 		return [ZERO, ZERO, ZERO, ZERO, ZERO];
 	}
 
@@ -208,7 +208,7 @@ export async function calculateAllEstimatedFundingRate(
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
 export async function calculateEstimatedFundingRate(
-	market: MarketAccount,
+	market: PerpMarketAccount,
 	oraclePriceData?: OraclePriceData,
 	periodAdjustment: BN = new BN(1),
 	estimationMethod?: 'interpolated' | 'lowerbound' | 'capped'
@@ -238,7 +238,7 @@ export async function calculateEstimatedFundingRate(
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
 export async function calculateLongShortFundingRate(
-	market: MarketAccount,
+	market: PerpMarketAccount,
 	oraclePriceData?: OraclePriceData,
 	periodAdjustment: BN = new BN(1)
 ): Promise<[BN, BN]> {
@@ -266,7 +266,7 @@ export async function calculateLongShortFundingRate(
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
 export async function calculateLongShortFundingRateAndLiveTwaps(
-	market: MarketAccount,
+	market: PerpMarketAccount,
 	oraclePriceData?: OraclePriceData,
 	periodAdjustment: BN = new BN(1)
 ): Promise<[BN, BN, BN, BN]> {
@@ -291,7 +291,7 @@ export async function calculateLongShortFundingRateAndLiveTwaps(
  * @param market
  * @returns Estimated fee pool size
  */
-export function calculateFundingPool(market: MarketAccount): BN {
+export function calculateFundingPool(market: PerpMarketAccount): BN {
 	// todo
 	const totalFeeLB = market.amm.totalExchangeFee.div(new BN(2));
 	const feePool = BN.max(

package/src/math/insurance.js

@@ -0,0 +1,27 @@
+"use strict";
+exports.__esModule = true;
+exports.unstakeSharesToAmount = exports.stakeAmountToShares = void 0;
+var numericConstants_1 = require("../constants/numericConstants");
+var index_1 = require("../index");
+function stakeAmountToShares(amount, totalIfShares, insuranceFundVaultBalance) {
+    var nShares;
+    if (insuranceFundVaultBalance.gt(numericConstants_1.ZERO)) {
+        nShares = amount.mul(totalIfShares).div(insuranceFundVaultBalance);
+    }
+    else {
+        nShares = amount;
+    }
+    return nShares;
+}
+exports.stakeAmountToShares = stakeAmountToShares;
+function unstakeSharesToAmount(nShares, totalIfShares, insuranceFundVaultBalance) {
+    var amount;
+    if (totalIfShares.gt(numericConstants_1.ZERO)) {
+        amount = index_1.BN.max(numericConstants_1.ZERO, nShares.mul(insuranceFundVaultBalance).div(totalIfShares).sub(numericConstants_1.ONE));
+    }
+    else {
+        amount = numericConstants_1.ZERO;
+    }
+    return amount;
+}
+exports.unstakeSharesToAmount = unstakeSharesToAmount;

package/src/math/margin.js

@@ -0,0 +1,77 @@
+"use strict";
+exports.__esModule = true;
+exports.calculateWorstCaseBaseAssetAmount = exports.calculateBaseAssetValueWithOracle = exports.calculateOraclePriceForPerpMargin = exports.calculateSizeDiscountAssetWeight = exports.calculateSizePremiumLiabilityWeight = void 0;
+var utils_1 = require("./utils");
+var numericConstants_1 = require("../constants/numericConstants");
+var anchor_1 = require("@project-serum/anchor");
+var assert_1 = require("../assert/assert");
+function calculateSizePremiumLiabilityWeight(size, // AMM_RESERVE_PRECISION
+imfFactor, liabilityWeight, precision) {
+    if (imfFactor.eq(numericConstants_1.ZERO)) {
+        return liabilityWeight;
+    }
+    var sizeSqrt = (0, utils_1.squareRootBN)(size.div(new anchor_1.BN(1000)).add(new anchor_1.BN(1))); //1e13 -> 1e10 -> 1e5
+    var denom0 = anchor_1.BN.max(new anchor_1.BN(1), numericConstants_1.SPOT_MARKET_IMF_PRECISION.div(imfFactor));
+    (0, assert_1.assert)(denom0.gt(numericConstants_1.ZERO));
+    var liabilityWeightNumerator = liabilityWeight.sub(liabilityWeight.div(anchor_1.BN.max(new anchor_1.BN(1), numericConstants_1.SPOT_MARKET_IMF_PRECISION.div(imfFactor))));
+    var denom = new anchor_1.BN(100000).mul(numericConstants_1.SPOT_MARKET_IMF_PRECISION).div(precision);
+    (0, assert_1.assert)(denom.gt(numericConstants_1.ZERO));
+    var sizePremiumLiabilityWeight = liabilityWeightNumerator.add(sizeSqrt // 1e5
+        .mul(imfFactor)
+        .div(denom) // 1e5
+    );
+    var maxLiabilityWeight = anchor_1.BN.max(liabilityWeight, sizePremiumLiabilityWeight);
+    return maxLiabilityWeight;
+}
+exports.calculateSizePremiumLiabilityWeight = calculateSizePremiumLiabilityWeight;
+function calculateSizeDiscountAssetWeight(size, // AMM_RESERVE_PRECISION
+imfFactor, assetWeight) {
+    if (imfFactor.eq(numericConstants_1.ZERO)) {
+        return assetWeight;
+    }
+    var sizeSqrt = (0, utils_1.squareRootBN)(size.div(new anchor_1.BN(1000)).add(new anchor_1.BN(1))); //1e13 -> 1e10 -> 1e5
+    var imfNumerator = numericConstants_1.SPOT_MARKET_IMF_PRECISION.add(numericConstants_1.SPOT_MARKET_IMF_PRECISION.div(new anchor_1.BN(10)));
+    var sizeDiscountAssetWeight = imfNumerator
+        .mul(numericConstants_1.SPOT_MARKET_WEIGHT_PRECISION)
+        .div(numericConstants_1.SPOT_MARKET_IMF_PRECISION.add(sizeSqrt // 1e5
+        .mul(imfFactor)
+        .div(new anchor_1.BN(100000)) // 1e5
+    ));
+    var minAssetWeight = anchor_1.BN.min(assetWeight, sizeDiscountAssetWeight);
+    return minAssetWeight;
+}
+exports.calculateSizeDiscountAssetWeight = calculateSizeDiscountAssetWeight;
+function calculateOraclePriceForPerpMargin(perpPosition, market, oraclePriceData) {
+    var oraclePriceOffset = anchor_1.BN.min(new anchor_1.BN(market.amm.maxSpread)
+        .mul(oraclePriceData.price)
+        .div(numericConstants_1.BID_ASK_SPREAD_PRECISION), oraclePriceData.confidence.add(new anchor_1.BN(market.amm.baseSpread)
+        .mul(oraclePriceData.price)
+        .div(numericConstants_1.BID_ASK_SPREAD_PRECISION)));
+    var marginPrice;
+    if (perpPosition.baseAssetAmount.gt(numericConstants_1.ZERO)) {
+        marginPrice = oraclePriceData.price.sub(oraclePriceOffset);
+    }
+    else {
+        marginPrice = oraclePriceData.price.add(oraclePriceOffset);
+    }
+    return marginPrice;
+}
+exports.calculateOraclePriceForPerpMargin = calculateOraclePriceForPerpMargin;
+function calculateBaseAssetValueWithOracle(market, perpPosition, oraclePriceData) {
+    return perpPosition.baseAssetAmount
+        .abs()
+        .mul(oraclePriceData.price)
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.MARK_PRICE_PRECISION));
+}
+exports.calculateBaseAssetValueWithOracle = calculateBaseAssetValueWithOracle;
+function calculateWorstCaseBaseAssetAmount(perpPosition) {
+    var allBids = perpPosition.baseAssetAmount.add(perpPosition.openBids);
+    var allAsks = perpPosition.baseAssetAmount.add(perpPosition.openAsks);
+    if (allBids.abs().gt(allAsks.abs())) {
+        return allBids;
+    }
+    else {
+        return allAsks;
+    }
+}
+exports.calculateWorstCaseBaseAssetAmount = calculateWorstCaseBaseAssetAmount;