@drift-labs/sdk 0.2.0-master.26 → 0.2.0-master.27

package/src/math/funding.js

@@ -8,39 +8,11 @@ var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, ge
         step((generator = generator.apply(thisArg, _arguments || [])).next());
     });
 };
-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;
+Object.defineProperty(exports, "__esModule", { value: true });
 exports.calculateFundingPool = exports.calculateLongShortFundingRateAndLiveTwaps = exports.calculateLongShortFundingRate = exports.calculateEstimatedFundingRate = exports.calculateAllEstimatedFundingRate = void 0;
-var anchor_1 = require("@project-serum/anchor");
-var numericConstants_1 = require("../constants/numericConstants");
-var types_1 = require("../types");
-var market_1 = require("./market");
+const anchor_1 = require("@project-serum/anchor");
+const numericConstants_1 = require("../constants/numericConstants");
+const market_1 = require("./market");
 /**
  *
  * @param market
@@ -48,139 +20,146 @@ var market_1 = require("./market");
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-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
+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()
                 .mul(numericConstants_1.MARK_PRICE_PRECISION)
                 .mul(new anchor_1.BN(100))
-                .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));
-            }
-            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,
-                        ]];
-                }
+                .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));
             }
-            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 {
-                cappedAltEst = interpEst;
+        }
+        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,
+                ];
             }
-            return [2 /*return*/, [
+        }
+        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 [
                     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;
@@ -192,28 +171,19 @@ exports.calculateAllEstimatedFundingRate = calculateAllEstimatedFundingRate;
  * @param estimationMethod
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-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*/];
-            }
-        });
+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;
+        }
     });
 }
 exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
@@ -224,27 +194,18 @@ exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-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*/];
-            }
-        });
+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];
+        }
     });
 }
 exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
@@ -255,27 +216,18 @@ exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-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*/];
-            }
-        });
+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];
+        }
     });
 }
 exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRateAndLiveTwaps;
@@ -286,8 +238,8 @@ exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRat
  */
 function calculateFundingPool(market) {
     // todo
-    var totalFeeLB = market.amm.totalExchangeFee.div(new anchor_1.BN(2));
-    var feePool = anchor_1.BN.max(numericConstants_1.ZERO, market.amm.totalFeeMinusDistributions
+    const totalFeeLB = market.amm.totalExchangeFee.div(new anchor_1.BN(2));
+    const 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/market.ts

@@ -68,7 +68,7 @@ export function calculateBidPrice(
  * Calculates market ask price
  *
  * @param market
- * @return bidPrice : Precision MARK_PRICE_PRECISION
+ * @return askPrice : Precision MARK_PRICE_PRECISION
  */
 export function calculateAskPrice(
 	market: PerpMarketAccount,

package/src/math/orders.ts

@@ -131,9 +131,9 @@ export function standardizeBaseAssetAmount(
 
 export function getLimitPrice(
 	order: Order,
-	market: PerpMarketAccount,
 	oraclePriceData: OraclePriceData,
-	slot: number
+	slot: number,
+	perpMarket?: PerpMarketAccount
 ): BN {
 	let limitPrice;
 	if (!order.oraclePriceOffset.eq(ZERO)) {
@@ -143,14 +143,26 @@ export function getLimitPrice(
 			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 {
-			const bidPrice = calculateBidPrice(market, oraclePriceData);
-			const delta = bidPrice.div(new BN(market.amm.maxSlippageRatio));
-			limitPrice = bidPrice.sub(delta);
+			if (perpMarket) {
+				if (isVariant(order.direction, 'long')) {
+					const askPrice = calculateAskPrice(perpMarket, oraclePriceData);
+					const delta = askPrice.div(new BN(perpMarket.amm.maxSlippageRatio));
+					limitPrice = askPrice.add(delta);
+				} else {
+					const bidPrice = calculateBidPrice(perpMarket, oraclePriceData);
+					const delta = bidPrice.div(new BN(perpMarket.amm.maxSlippageRatio));
+					limitPrice = bidPrice.sub(delta);
+				}
+			} else {
+				// check oracle validity?
+				const oraclePrice1Pct = oraclePriceData.price.div(new BN(100));
+				if (isVariant(order.direction, 'long')) {
+					limitPrice = oraclePriceData.price.add(oraclePrice1Pct);
+				} else {
+					limitPrice = oraclePriceData.price.sub(oraclePrice1Pct);
+				}
+			}
 		}
 	} else {
 		limitPrice = order.price;
@@ -163,8 +175,7 @@ export function isFillableByVAMM(
 	order: Order,
 	market: PerpMarketAccount,
 	oraclePriceData: OraclePriceData,
-	slot: number,
-	maxAuctionDuration: number
+	slot: number
 ): boolean {
 	return (
 		(isAuctionComplete(order, slot) &&
@@ -174,7 +185,7 @@ export function isFillableByVAMM(
 				oraclePriceData,
 				slot
 			).eq(ZERO)) ||
-		isOrderExpired(order, slot, maxAuctionDuration)
+		isOrderExpired(order, slot)
 	);
 }
 
@@ -191,7 +202,7 @@ export function calculateBaseAssetAmountForAmmToFulfill(
 		return ZERO;
 	}
 
-	const limitPrice = getLimitPrice(order, market, oraclePriceData, slot);
+	const limitPrice = getLimitPrice(order, oraclePriceData, slot, market);
 	const baseAssetAmount = calculateBaseAssetAmountToFillUpToLimitPrice(
 		order,
 		market,
@@ -246,17 +257,14 @@ function isSameDirection(
 	);
 }
 
-export function isOrderExpired(
-	order: Order,
-	slot: number,
-	maxAuctionDuration: number
-): boolean {
+export function isOrderExpired(order: Order, slot: number): boolean {
 	if (
-		!isVariant(order.orderType, 'market') ||
-		!isVariant(order.status, 'open')
+		isOneOfVariant(order.orderType, ['triggerMarket', 'triggerLimit']) ||
+		!isVariant(order.status, 'open') ||
+		order.timeInForce === 0
 	) {
 		return false;
 	}
 
-	return new BN(slot).sub(order.slot).gt(new BN(maxAuctionDuration));
+	return new BN(slot).sub(order.slot).gt(new BN(order.timeInForce));
 }