@drift-labs/sdk 0.2.0-master.25 → 0.2.0-master.27

package/src/math/position.ts

@@ -10,7 +10,7 @@ import {
 	ZERO,
 } from '../constants/numericConstants';
 import { OraclePriceData } from '../oracles/types';
-import { MarketAccount, PositionDirection, UserPosition } from '../types';
+import { PerpMarketAccount, PositionDirection, PerpPosition } from '../types';
 import {
 	calculateUpdatedAMM,
 	calculateUpdatedAMMSpreadReserves,
@@ -29,8 +29,8 @@ import { calculateBaseAssetValueWithOracle } from './margin';
  * @returns Base Asset Value. : Precision QUOTE_PRECISION
  */
 export function calculateBaseAssetValue(
-	market: MarketAccount,
-	userPosition: UserPosition,
+	market: PerpMarketAccount,
+	userPosition: PerpPosition,
 	oraclePriceData: OraclePriceData
 ): BN {
 	if (userPosition.baseAssetAmount.eq(ZERO)) {
@@ -84,38 +84,38 @@ export function calculateBaseAssetValue(
  * calculatePositionPNL
  * = BaseAssetAmount * (Avg Exit Price - Avg Entry Price)
  * @param market
- * @param marketPosition
+ * @param PerpPosition
  * @param withFunding (adds unrealized funding payment pnl to result)
  * @param oraclePriceData
  * @returns BaseAssetAmount : Precision QUOTE_PRECISION
  */
 export function calculatePositionPNL(
-	market: MarketAccount,
-	marketPosition: UserPosition,
+	market: PerpMarketAccount,
+	perpPosition: PerpPosition,
 	withFunding = false,
 	oraclePriceData: OraclePriceData
 ): BN {
-	if (marketPosition.baseAssetAmount.eq(ZERO)) {
-		return marketPosition.quoteAssetAmount;
+	if (perpPosition.baseAssetAmount.eq(ZERO)) {
+		return perpPosition.quoteAssetAmount;
 	}
 
 	const baseAssetValue = calculateBaseAssetValueWithOracle(
 		market,
-		marketPosition,
+		perpPosition,
 		oraclePriceData
 	);
 
-	const baseAssetValueSign = marketPosition.baseAssetAmount.isNeg()
+	const baseAssetValueSign = perpPosition.baseAssetAmount.isNeg()
 		? new BN(-1)
 		: new BN(1);
 	let pnl = baseAssetValue
 		.mul(baseAssetValueSign)
-		.add(marketPosition.quoteAssetAmount);
+		.add(perpPosition.quoteAssetAmount);
 
 	if (withFunding) {
 		const fundingRatePnL = calculatePositionFundingPNL(
 			market,
-			marketPosition
+			perpPosition
 		).div(PRICE_TO_QUOTE_PRECISION);
 
 		pnl = pnl.add(fundingRatePnL);
@@ -125,26 +125,26 @@ export function calculatePositionPNL(
 }
 
 export function calculateUnsettledPnl(
-	market: MarketAccount,
-	marketPosition: UserPosition,
+	market: PerpMarketAccount,
+	perpPosition: PerpPosition,
 	oraclePriceData: OraclePriceData
 ): BN {
 	const unrealizedPnl = calculatePositionPNL(
 		market,
-		marketPosition,
+		perpPosition,
 		true,
 		oraclePriceData
 	);
 
 	let unsettledPnl = unrealizedPnl;
 	if (unrealizedPnl.gt(ZERO)) {
-		const fundingPnL = calculatePositionFundingPNL(market, marketPosition).div(
+		const fundingPnL = calculatePositionFundingPNL(market, perpPosition).div(
 			PRICE_TO_QUOTE_PRECISION
 		);
 
 		const maxPositivePnl = BN.max(
-			marketPosition.quoteAssetAmount
-				.sub(marketPosition.quoteEntryAmount)
+			perpPosition.quoteAssetAmount
+				.sub(perpPosition.quoteEntryAmount)
 				.add(fundingPnL),
 			ZERO
 		);
@@ -157,27 +157,27 @@ export function calculateUnsettledPnl(
 /**
  *
  * @param market
- * @param marketPosition
+ * @param PerpPosition
  * @returns // TODO-PRECISION
  */
 export function calculatePositionFundingPNL(
-	market: MarketAccount,
-	marketPosition: UserPosition
+	market: PerpMarketAccount,
+	perpPosition: PerpPosition
 ): BN {
-	if (marketPosition.baseAssetAmount.eq(ZERO)) {
+	if (perpPosition.baseAssetAmount.eq(ZERO)) {
 		return ZERO;
 	}
 
 	let ammCumulativeFundingRate: BN;
-	if (marketPosition.baseAssetAmount.gt(ZERO)) {
+	if (perpPosition.baseAssetAmount.gt(ZERO)) {
 		ammCumulativeFundingRate = market.amm.cumulativeFundingRateLong;
 	} else {
 		ammCumulativeFundingRate = market.amm.cumulativeFundingRateShort;
 	}
 
 	const perPositionFundingRate = ammCumulativeFundingRate
-		.sub(marketPosition.lastCumulativeFundingRate)
-		.mul(marketPosition.baseAssetAmount)
+		.sub(perpPosition.lastCumulativeFundingRate)
+		.mul(perpPosition.baseAssetAmount)
 		.div(AMM_RESERVE_PRECISION)
 		.div(FUNDING_PAYMENT_PRECISION)
 		.mul(new BN(-1));
@@ -185,7 +185,7 @@ export function calculatePositionFundingPNL(
 	return perPositionFundingRate;
 }
 
-export function positionIsAvailable(position: UserPosition): boolean {
+export function positionIsAvailable(position: PerpPosition): boolean {
 	return (
 		position.baseAssetAmount.eq(ZERO) &&
 		position.openOrders.eq(ZERO) &&
@@ -199,7 +199,7 @@ export function positionIsAvailable(position: UserPosition): boolean {
  * @param userPosition
  * @returns Precision: MARK_PRICE_PRECISION (10^10)
  */
-export function calculateEntryPrice(userPosition: UserPosition): BN {
+export function calculateEntryPrice(userPosition: PerpPosition): BN {
 	if (userPosition.baseAssetAmount.eq(ZERO)) {
 		return ZERO;
 	}
@@ -216,7 +216,7 @@ export function calculateEntryPrice(userPosition: UserPosition): BN {
  * @param userPosition
  * @returns Precision: MARK_PRICE_PRECISION (10^10)
  */
-export function calculateCostBasis(userPosition: UserPosition): BN {
+export function calculateCostBasis(userPosition: PerpPosition): BN {
 	if (userPosition.baseAssetAmount.eq(ZERO)) {
 		return ZERO;
 	}
@@ -229,7 +229,7 @@ export function calculateCostBasis(userPosition: UserPosition): BN {
 }
 
 export function findDirectionToClose(
-	userPosition: UserPosition
+	userPosition: PerpPosition
 ): PositionDirection {
 	return userPosition.baseAssetAmount.gt(ZERO)
 		? PositionDirection.SHORT
@@ -237,14 +237,14 @@ export function findDirectionToClose(
 }
 
 export function positionCurrentDirection(
-	userPosition: UserPosition
+	userPosition: PerpPosition
 ): PositionDirection {
 	return userPosition.baseAssetAmount.gte(ZERO)
 		? PositionDirection.LONG
 		: PositionDirection.SHORT;
 }
 
-export function isEmptyPosition(userPosition: UserPosition): boolean {
+export function isEmptyPosition(userPosition: PerpPosition): boolean {
 	return (
 		userPosition.baseAssetAmount.eq(ZERO) && userPosition.openOrders.eq(ZERO)
 	);

package/src/math/spotBalance.ts

@@ -0,0 +1,316 @@
+import {
+	SpotMarketAccount,
+	SpotBalanceType,
+	isVariant,
+	MarginCategory,
+} from '../types';
+import { BN } from '@project-serum/anchor';
+import {
+	SPOT_MARKET_UTILIZATION_PRECISION,
+	ONE,
+	TEN,
+	ZERO,
+	SPOT_MARKET_INTEREST_PRECISION,
+	SPOT_MARKET_WEIGHT_PRECISION,
+	ONE_YEAR,
+	AMM_RESERVE_PRECISION,
+} from '../constants/numericConstants';
+import {
+	calculateSizeDiscountAssetWeight,
+	calculateSizePremiumLiabilityWeight,
+} from './margin';
+import { OraclePriceData } from '../oracles/types';
+
+export function getBalance(
+	tokenAmount: BN,
+	spotMarket: SpotMarketAccount,
+	balanceType: SpotBalanceType
+): BN {
+	const precisionIncrease = TEN.pow(new BN(16 - spotMarket.decimals));
+
+	const cumulativeInterest = isVariant(balanceType, 'deposit')
+		? spotMarket.cumulativeDepositInterest
+		: spotMarket.cumulativeBorrowInterest;
+
+	let balance = tokenAmount.mul(precisionIncrease).div(cumulativeInterest);
+
+	if (!balance.eq(ZERO) && isVariant(balanceType, 'borrow')) {
+		balance = balance.add(ONE);
+	}
+
+	return balance;
+}
+
+export function getTokenAmount(
+	balanceAmount: BN,
+	spotMarket: SpotMarketAccount,
+	balanceType: SpotBalanceType
+): BN {
+	const precisionDecrease = TEN.pow(new BN(16 - spotMarket.decimals));
+
+	const cumulativeInterest = isVariant(balanceType, 'deposit')
+		? spotMarket.cumulativeDepositInterest
+		: spotMarket.cumulativeBorrowInterest;
+
+	return balanceAmount.mul(cumulativeInterest).div(precisionDecrease);
+}
+
+export function getSignedTokenAmount(
+	tokenAmount: BN,
+	balanceType: SpotBalanceType
+): BN {
+	if (isVariant(balanceType, 'deposit')) {
+		return tokenAmount;
+	} else {
+		return tokenAmount.abs().neg();
+	}
+}
+
+export function getTokenValue(
+	tokenAmount: BN,
+	spotDecimals: number,
+	oraclePriceData: OraclePriceData
+): BN {
+	if (tokenAmount.eq(ZERO)) {
+		return ZERO;
+	}
+
+	const precisionDecrease = TEN.pow(new BN(10 + spotDecimals - 6));
+
+	return tokenAmount.mul(oraclePriceData.price).div(precisionDecrease);
+}
+
+export function calculateAssetWeight(
+	balanceAmount: BN,
+	spotMarket: SpotMarketAccount,
+	marginCategory: MarginCategory
+): BN {
+	const sizePrecision = TEN.pow(new BN(spotMarket.decimals));
+	let sizeInAmmReservePrecision;
+	if (sizePrecision.gt(AMM_RESERVE_PRECISION)) {
+		sizeInAmmReservePrecision = balanceAmount.div(
+			sizePrecision.div(AMM_RESERVE_PRECISION)
+		);
+	} else {
+		sizeInAmmReservePrecision = balanceAmount
+			.mul(AMM_RESERVE_PRECISION)
+			.div(sizePrecision);
+	}
+
+	let assetWeight;
+
+	switch (marginCategory) {
+		case 'Initial':
+			assetWeight = calculateSizeDiscountAssetWeight(
+				sizeInAmmReservePrecision,
+				spotMarket.imfFactor,
+				spotMarket.initialAssetWeight
+			);
+			break;
+		case 'Maintenance':
+			assetWeight = calculateSizeDiscountAssetWeight(
+				sizeInAmmReservePrecision,
+				spotMarket.imfFactor,
+				spotMarket.maintenanceAssetWeight
+			);
+			break;
+		default:
+			assetWeight = spotMarket.initialAssetWeight;
+			break;
+	}
+
+	return assetWeight;
+}
+
+export function calculateLiabilityWeight(
+	balanceAmount: BN,
+	spotMarket: SpotMarketAccount,
+	marginCategory: MarginCategory
+): BN {
+	const sizePrecision = TEN.pow(new BN(spotMarket.decimals));
+	let sizeInAmmReservePrecision;
+	if (sizePrecision.gt(AMM_RESERVE_PRECISION)) {
+		sizeInAmmReservePrecision = balanceAmount.div(
+			sizePrecision.div(AMM_RESERVE_PRECISION)
+		);
+	} else {
+		sizeInAmmReservePrecision = balanceAmount
+			.mul(AMM_RESERVE_PRECISION)
+			.div(sizePrecision);
+	}
+
+	let assetWeight;
+
+	switch (marginCategory) {
+		case 'Initial':
+			assetWeight = calculateSizePremiumLiabilityWeight(
+				sizeInAmmReservePrecision,
+				spotMarket.imfFactor,
+				spotMarket.initialLiabilityWeight,
+				SPOT_MARKET_WEIGHT_PRECISION
+			);
+			break;
+		case 'Maintenance':
+			assetWeight = calculateSizePremiumLiabilityWeight(
+				sizeInAmmReservePrecision,
+				spotMarket.imfFactor,
+				spotMarket.maintenanceLiabilityWeight,
+				SPOT_MARKET_WEIGHT_PRECISION
+			);
+			break;
+		default:
+			assetWeight = spotMarket.initialLiabilityWeight;
+			break;
+	}
+
+	return assetWeight;
+}
+
+export function calculateUtilization(bank: SpotMarketAccount): BN {
+	const tokenDepositAmount = getTokenAmount(
+		bank.depositBalance,
+		bank,
+		SpotBalanceType.DEPOSIT
+	);
+	const tokenBorrowAmount = getTokenAmount(
+		bank.borrowBalance,
+		bank,
+		SpotBalanceType.BORROW
+	);
+
+	let utilization: BN;
+	if (tokenBorrowAmount.eq(ZERO) && tokenDepositAmount.eq(ZERO)) {
+		utilization = ZERO;
+	} else if (tokenDepositAmount.eq(ZERO)) {
+		utilization = SPOT_MARKET_UTILIZATION_PRECISION;
+	} else {
+		utilization = tokenBorrowAmount
+			.mul(SPOT_MARKET_UTILIZATION_PRECISION)
+			.div(tokenDepositAmount);
+	}
+
+	return utilization;
+}
+
+export function calculateInterestRate(bank: SpotMarketAccount): BN {
+	const utilization = calculateUtilization(bank);
+
+	let interestRate: BN;
+	if (utilization.gt(bank.optimalUtilization)) {
+		const surplusUtilization = utilization.sub(bank.optimalUtilization);
+		const borrowRateSlope = bank.maxBorrowRate
+			.sub(bank.optimalBorrowRate)
+			.mul(SPOT_MARKET_UTILIZATION_PRECISION)
+			.div(SPOT_MARKET_UTILIZATION_PRECISION.sub(bank.optimalUtilization));
+
+		interestRate = bank.optimalBorrowRate.add(
+			surplusUtilization
+				.mul(borrowRateSlope)
+				.div(SPOT_MARKET_UTILIZATION_PRECISION)
+		);
+	} else {
+		const borrowRateSlope = bank.optimalBorrowRate
+			.mul(SPOT_MARKET_UTILIZATION_PRECISION)
+			.div(SPOT_MARKET_UTILIZATION_PRECISION.sub(bank.optimalUtilization));
+
+		interestRate = utilization
+			.mul(borrowRateSlope)
+			.div(SPOT_MARKET_UTILIZATION_PRECISION);
+	}
+
+	return interestRate;
+}
+
+export function calculateDepositRate(bank: SpotMarketAccount): BN {
+	const utilization = calculateUtilization(bank);
+	const borrowRate = calculateBorrowRate(bank);
+	const depositRate = borrowRate
+		.mul(utilization)
+		.div(SPOT_MARKET_UTILIZATION_PRECISION);
+	return depositRate;
+}
+
+export function calculateBorrowRate(bank: SpotMarketAccount): BN {
+	return calculateInterestRate(bank);
+}
+
+export function calculateInterestAccumulated(
+	bank: SpotMarketAccount,
+	now: BN
+): { borrowInterest: BN; depositInterest: BN } {
+	const interestRate = calculateInterestRate(bank);
+
+	const timeSinceLastUpdate = now.sub(bank.lastInterestTs);
+
+	const modifiedBorrowRate = interestRate.mul(timeSinceLastUpdate);
+
+	const utilization = calculateUtilization(bank);
+
+	const modifiedDepositRate = modifiedBorrowRate
+		.mul(utilization)
+		.div(SPOT_MARKET_UTILIZATION_PRECISION);
+
+	const borrowInterest = bank.cumulativeBorrowInterest
+		.mul(modifiedBorrowRate)
+		.div(ONE_YEAR)
+		.div(SPOT_MARKET_INTEREST_PRECISION)
+		.add(ONE);
+	const depositInterest = bank.cumulativeDepositInterest
+		.mul(modifiedDepositRate)
+		.div(ONE_YEAR)
+		.div(SPOT_MARKET_INTEREST_PRECISION);
+
+	return { borrowInterest, depositInterest };
+}
+
+export function calculateWithdrawLimit(
+	spotMarket: SpotMarketAccount,
+	now: BN
+): { borrowLimit: BN; withdrawLimit: BN } {
+	const marketDepositTokenAmount = getTokenAmount(
+		spotMarket.depositBalance,
+		spotMarket,
+		SpotBalanceType.DEPOSIT
+	);
+	const marketBorrowTokenAmount = getTokenAmount(
+		spotMarket.borrowBalance,
+		spotMarket,
+		SpotBalanceType.BORROW
+	);
+
+	const twentyFourHours = new BN(60 * 60 * 24);
+	const sinceLast = now.sub(spotMarket.lastTwapTs);
+	const sinceStart = BN.max(ZERO, twentyFourHours.sub(sinceLast));
+	const borrowTokenTwapLive = spotMarket.borrowTokenTwap
+		.mul(sinceStart)
+		.add(marketBorrowTokenAmount.mul(sinceLast))
+		.div(sinceLast.add(sinceLast));
+
+	const depositTokenTwapLive = spotMarket.depositTokenTwap
+		.mul(sinceStart)
+		.add(marketDepositTokenAmount.mul(sinceLast))
+		.div(sinceLast.add(sinceLast));
+
+	const maxBorrowTokens = BN.min(
+		BN.max(
+			marketDepositTokenAmount.div(new BN(6)),
+			borrowTokenTwapLive.add(borrowTokenTwapLive.div(new BN(5)))
+		),
+		marketDepositTokenAmount.sub(marketDepositTokenAmount.div(new BN(10)))
+	); // between ~15-90% utilization with friction on twap
+
+	const minDepositTokens = depositTokenTwapLive.sub(
+		BN.min(
+			BN.max(
+				depositTokenTwapLive.div(new BN(5)),
+				spotMarket.withdrawGuardThreshold
+			),
+			depositTokenTwapLive
+		)
+	);
+
+	return {
+		borrowLimit: maxBorrowTokens.sub(marketBorrowTokenAmount),
+		withdrawLimit: marketDepositTokenAmount.sub(minDepositTokens),
+	};
+}

package/src/math/spotMarket.ts

@@ -0,0 +1,9 @@
+import { BN } from '@project-serum/anchor';
+import { SpotMarketAccount } from '../types';
+
+export function castNumberToSpotPrecision(
+	value: number,
+	spotMarket: SpotMarketAccount
+): BN {
+	return new BN(value * Math.pow(10, spotMarket.decimals));
+}

package/src/math/spotPosition.ts

@@ -0,0 +1,47 @@
+import { SpotMarketAccount, SpotPosition } from '../types';
+import { ZERO } from '../constants/numericConstants';
+import { BN } from '@project-serum/anchor';
+import {
+	getSignedTokenAmount,
+	getTokenAmount,
+	getTokenValue,
+} from './spotBalance';
+import { OraclePriceData } from '../oracles/types';
+
+export function isSpotPositionAvailable(position: SpotPosition): boolean {
+	return position.balance.eq(ZERO) && position.openOrders === 0;
+}
+
+export function getWorstCaseTokenAmounts(
+	spotPosition: SpotPosition,
+	spotMarketAccount: SpotMarketAccount,
+	oraclePriceData: OraclePriceData
+): [BN, BN] {
+	const tokenAmount = getSignedTokenAmount(
+		getTokenAmount(
+			spotPosition.balance,
+			spotMarketAccount,
+			spotPosition.balanceType
+		),
+		spotPosition.balanceType
+	);
+
+	const tokenAmountAllBidsFill = tokenAmount.add(spotPosition.openBids);
+	const tokenAmountAllAsksFill = tokenAmount.add(spotPosition.openAsks);
+
+	if (tokenAmountAllAsksFill.abs().gt(tokenAmountAllBidsFill.abs())) {
+		const worstCaseQuoteTokenAmount = getTokenValue(
+			spotPosition.openBids.neg(),
+			spotMarketAccount.decimals,
+			oraclePriceData
+		);
+		return [tokenAmountAllBidsFill, worstCaseQuoteTokenAmount];
+	} else {
+		const worstCaseQuoteTokenAmount = getTokenValue(
+			spotPosition.openAsks.neg(),
+			spotMarketAccount.decimals,
+			oraclePriceData
+		);
+		return [tokenAmountAllAsksFill, worstCaseQuoteTokenAmount];
+	}
+}

package/src/math/state.ts

@@ -8,7 +8,7 @@ import { StateAccount } from '../types';
  */
 export function getExchangeFee(state: StateAccount): number {
 	const exchangeFee =
-		state.feeStructure.feeNumerator.toNumber() /
-		state.feeStructure.feeDenominator.toNumber();
+		state.perpFeeStructure.feeNumerator.toNumber() /
+		state.perpFeeStructure.feeDenominator.toNumber();
 	return exchangeFee;
 }

package/src/math/trade.ts

@@ -1,4 +1,4 @@
-import { MarketAccount, PositionDirection } from '../types';
+import { PerpMarketAccount, PositionDirection } from '../types';
 import { BN } from '@project-serum/anchor';
 import { assert } from '../assert/assert';
 import {
@@ -59,7 +59,7 @@ export type PriceImpactUnit =
 export function calculateTradeSlippage(
 	direction: PositionDirection,
 	amount: BN,
-	market: MarketAccount,
+	market: PerpMarketAccount,
 	inputAssetType: AssetType = 'quote',
 	oraclePriceData?: OraclePriceData,
 	useSpread = true
@@ -147,7 +147,7 @@ export function calculateTradeSlippage(
 export function calculateTradeAcquiredAmounts(
 	direction: PositionDirection,
 	amount: BN,
-	market: MarketAccount,
+	market: PerpMarketAccount,
 	inputAssetType: AssetType = 'quote',
 	oraclePriceData: OraclePriceData,
 	useSpread = true
@@ -204,7 +204,7 @@ export function calculateTradeAcquiredAmounts(
  * ]
  */
 export function calculateTargetPriceTrade(
-	market: MarketAccount,
+	market: PerpMarketAccount,
 	targetPrice: BN,
 	pct: BN = MAXPCT,
 	outputAssetType: AssetType = 'quote',

package/src/orderParams.ts

@@ -2,32 +2,40 @@ import { OptionalOrderParams, OrderTriggerCondition, OrderType } from './types';
 import { BN } from '@project-serum/anchor';
 
 export function getLimitOrderParams(
-	params: Omit<OptionalOrderParams, 'orderType'> & { price: BN }
+	params: Omit<OptionalOrderParams, 'orderType' | 'marketType'> & { price: BN }
 ): OptionalOrderParams {
-	return Object.assign({}, params, { orderType: OrderType.LIMIT });
+	return Object.assign({}, params, {
+		orderType: OrderType.LIMIT,
+	});
 }
 
 export function getTriggerMarketOrderParams(
-	params: Omit<OptionalOrderParams, 'orderType'> & {
+	params: Omit<OptionalOrderParams, 'orderType' | 'marketType'> & {
 		triggerCondition: OrderTriggerCondition;
 		triggerPrice: BN;
 	}
 ): OptionalOrderParams {
-	return Object.assign({}, params, { orderType: OrderType.TRIGGER_MARKET });
+	return Object.assign({}, params, {
+		orderType: OrderType.TRIGGER_MARKET,
+	});
 }
 
 export function getTriggerLimitOrderParams(
-	params: Omit<OptionalOrderParams, 'orderType'> & {
+	params: Omit<OptionalOrderParams, 'orderType' | 'marketType'> & {
 		triggerCondition: OrderTriggerCondition;
 		triggerPrice: BN;
 		price: BN;
 	}
 ): OptionalOrderParams {
-	return Object.assign({}, params, { orderType: OrderType.TRIGGER_LIMIT });
+	return Object.assign({}, params, {
+		orderType: OrderType.TRIGGER_LIMIT,
+	});
 }
 
 export function getMarketOrderParams(
-	params: Omit<OptionalOrderParams, 'orderType'>
+	params: Omit<OptionalOrderParams, 'orderType' | 'marketType'>
 ): OptionalOrderParams {
-	return Object.assign({}, params, { orderType: OrderType.MARKET });
+	return Object.assign({}, params, {
+		orderType: OrderType.MARKET,
+	});
 }