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

package/src/math/amm.js

@@ -1,422 +0,0 @@
-"use strict";
-exports.__esModule = true;
-exports.calculateMaxBaseAssetAmountFillable = exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateMaxSpread = exports.calculateEffectiveLeverage = exports.calculateInventoryScale = exports.calculateMarketOpenBidAsk = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = exports.calculateOptimalPegAndBudget = exports.calculatePegFromTargetPrice = void 0;
-var anchor_1 = require("@project-serum/anchor");
-var numericConstants_1 = require("../constants/numericConstants");
-var types_1 = require("../types");
-var assert_1 = require("../assert/assert");
-var __1 = require("..");
-var repeg_1 = require("./repeg");
-function calculatePegFromTargetPrice(targetPrice, baseAssetReserve, quoteAssetReserve) {
-    return anchor_1.BN.max(targetPrice
-        .mul(baseAssetReserve)
-        .div(quoteAssetReserve)
-        .add(numericConstants_1.PRICE_DIV_PEG.div(new anchor_1.BN(2)))
-        .div(numericConstants_1.PRICE_DIV_PEG), numericConstants_1.ONE);
-}
-exports.calculatePegFromTargetPrice = calculatePegFromTargetPrice;
-function calculateOptimalPegAndBudget(amm, oraclePriceData) {
-    var markPriceBefore = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
-    var targetPrice = oraclePriceData.price;
-    var newPeg = calculatePegFromTargetPrice(targetPrice, amm.baseAssetReserve, amm.quoteAssetReserve);
-    var prePegCost = (0, repeg_1.calculateRepegCost)(amm, newPeg);
-    var totalFeeLB = amm.totalExchangeFee.div(new anchor_1.BN(2));
-    var budget = anchor_1.BN.max(numericConstants_1.ZERO, amm.totalFeeMinusDistributions.sub(totalFeeLB));
-    if (budget.lt(prePegCost)) {
-        var maxPriceSpread = new anchor_1.BN(amm.maxSpread)
-            .mul(targetPrice)
-            .div(numericConstants_1.BID_ASK_SPREAD_PRECISION);
-        var newTargetPrice = void 0;
-        var newOptimalPeg = void 0;
-        var newBudget = void 0;
-        var targetPriceGap = markPriceBefore.sub(targetPrice);
-        if (targetPriceGap.abs().gt(maxPriceSpread)) {
-            var markAdj = targetPriceGap.abs().sub(maxPriceSpread);
-            if (targetPriceGap.lt(new anchor_1.BN(0))) {
-                newTargetPrice = markPriceBefore.add(markAdj);
-            }
-            else {
-                newTargetPrice = markPriceBefore.sub(markAdj);
-            }
-            newOptimalPeg = calculatePegFromTargetPrice(newTargetPrice, amm.baseAssetReserve, amm.quoteAssetReserve);
-            newBudget = (0, repeg_1.calculateRepegCost)(amm, newOptimalPeg);
-            return [newTargetPrice, newOptimalPeg, newBudget, false];
-        }
-    }
-    return [targetPrice, newPeg, budget, true];
-}
-exports.calculateOptimalPegAndBudget = calculateOptimalPegAndBudget;
-function calculateNewAmm(amm, oraclePriceData) {
-    var _a;
-    var pKNumer = new anchor_1.BN(1);
-    var pKDenom = new anchor_1.BN(1);
-    var _b = calculateOptimalPegAndBudget(amm, oraclePriceData), targetPrice = _b[0], _newPeg = _b[1], budget = _b[2], checkLowerBound = _b[3];
-    var prePegCost = (0, repeg_1.calculateRepegCost)(amm, _newPeg);
-    var newPeg = _newPeg;
-    if (prePegCost.gt(budget) && checkLowerBound) {
-        _a = [new anchor_1.BN(999), new anchor_1.BN(1000)], pKNumer = _a[0], pKDenom = _a[1];
-        var deficitMadeup = (0, repeg_1.calculateAdjustKCost)(amm, pKNumer, pKDenom);
-        (0, assert_1.assert)(deficitMadeup.lte(new anchor_1.BN(0)));
-        prePegCost = budget.add(deficitMadeup.abs());
-        var newAmm = Object.assign({}, amm);
-        newAmm.baseAssetReserve = newAmm.baseAssetReserve.mul(pKNumer).div(pKDenom);
-        newAmm.sqrtK = newAmm.sqrtK.mul(pKNumer).div(pKDenom);
-        var invariant = newAmm.sqrtK.mul(newAmm.sqrtK);
-        newAmm.quoteAssetReserve = invariant.div(newAmm.baseAssetReserve);
-        var directionToClose = amm.netBaseAssetAmount.gt(numericConstants_1.ZERO)
-            ? types_1.PositionDirection.SHORT
-            : types_1.PositionDirection.LONG;
-        var _c = calculateAmmReservesAfterSwap(newAmm, 'base', amm.netBaseAssetAmount.abs(), getSwapDirection('base', directionToClose)), newQuoteAssetReserve = _c[0], _newBaseAssetReserve = _c[1];
-        newAmm.terminalQuoteAssetReserve = newQuoteAssetReserve;
-        newPeg = (0, repeg_1.calculateBudgetedPeg)(newAmm, prePegCost, targetPrice);
-        prePegCost = (0, repeg_1.calculateRepegCost)(newAmm, newPeg);
-    }
-    return [prePegCost, pKNumer, pKDenom, newPeg];
-}
-exports.calculateNewAmm = calculateNewAmm;
-function calculateUpdatedAMM(amm, oraclePriceData) {
-    if (amm.curveUpdateIntensity == 0) {
-        return amm;
-    }
-    var newAmm = Object.assign({}, amm);
-    var _a = calculateNewAmm(amm, oraclePriceData), prepegCost = _a[0], pKNumer = _a[1], pKDenom = _a[2], newPeg = _a[3];
-    newAmm.baseAssetReserve = newAmm.baseAssetReserve.mul(pKNumer).div(pKDenom);
-    newAmm.sqrtK = newAmm.sqrtK.mul(pKNumer).div(pKDenom);
-    var invariant = newAmm.sqrtK.mul(newAmm.sqrtK);
-    newAmm.quoteAssetReserve = invariant.div(newAmm.baseAssetReserve);
-    newAmm.pegMultiplier = newPeg;
-    var directionToClose = amm.netBaseAssetAmount.gt(numericConstants_1.ZERO)
-        ? types_1.PositionDirection.SHORT
-        : types_1.PositionDirection.LONG;
-    var _b = calculateAmmReservesAfterSwap(newAmm, 'base', amm.netBaseAssetAmount.abs(), getSwapDirection('base', directionToClose)), newQuoteAssetReserve = _b[0], _newBaseAssetReserve = _b[1];
-    newAmm.terminalQuoteAssetReserve = newQuoteAssetReserve;
-    newAmm.totalFeeMinusDistributions =
-        newAmm.totalFeeMinusDistributions.sub(prepegCost);
-    return newAmm;
-}
-exports.calculateUpdatedAMM = calculateUpdatedAMM;
-function calculateUpdatedAMMSpreadReserves(amm, direction, oraclePriceData) {
-    var newAmm = calculateUpdatedAMM(amm, oraclePriceData);
-    var dirReserves = calculateSpreadReserves(newAmm, direction, oraclePriceData);
-    var result = {
-        baseAssetReserve: dirReserves.baseAssetReserve,
-        quoteAssetReserve: dirReserves.quoteAssetReserve,
-        sqrtK: newAmm.sqrtK,
-        newPeg: newAmm.pegMultiplier
-    };
-    return result;
-}
-exports.calculateUpdatedAMMSpreadReserves = calculateUpdatedAMMSpreadReserves;
-function calculateBidAskPrice(amm, oraclePriceData, withUpdate) {
-    if (withUpdate === void 0) { withUpdate = true; }
-    var newAmm;
-    if (withUpdate) {
-        newAmm = calculateUpdatedAMM(amm, oraclePriceData);
-    }
-    else {
-        newAmm = amm;
-    }
-    var askReserves = calculateSpreadReserves(newAmm, types_1.PositionDirection.LONG, oraclePriceData);
-    var bidReserves = calculateSpreadReserves(newAmm, types_1.PositionDirection.SHORT, oraclePriceData);
-    var askPrice = calculatePrice(askReserves.baseAssetReserve, askReserves.quoteAssetReserve, newAmm.pegMultiplier);
-    var bidPrice = calculatePrice(bidReserves.baseAssetReserve, bidReserves.quoteAssetReserve, newAmm.pegMultiplier);
-    return [bidPrice, askPrice];
-}
-exports.calculateBidAskPrice = calculateBidAskPrice;
-/**
- * Calculates a price given an arbitrary base and quote amount (they must have the same precision)
- *
- * @param baseAssetReserves
- * @param quoteAssetReserves
- * @param pegMultiplier
- * @returns price : Precision MARK_PRICE_PRECISION
- */
-function calculatePrice(baseAssetReserves, quoteAssetReserves, pegMultiplier) {
-    if (baseAssetReserves.abs().lte(numericConstants_1.ZERO)) {
-        return new anchor_1.BN(0);
-    }
-    return quoteAssetReserves
-        .mul(numericConstants_1.MARK_PRICE_PRECISION)
-        .mul(pegMultiplier)
-        .div(numericConstants_1.PEG_PRECISION)
-        .div(baseAssetReserves);
-}
-exports.calculatePrice = calculatePrice;
-/**
- * Calculates what the amm reserves would be after swapping a quote or base asset amount.
- *
- * @param amm
- * @param inputAssetType
- * @param swapAmount
- * @param swapDirection
- * @returns quoteAssetReserve and baseAssetReserve after swap. : Precision AMM_RESERVE_PRECISION
- */
-function calculateAmmReservesAfterSwap(amm, inputAssetType, swapAmount, swapDirection) {
-    var _a, _b;
-    (0, assert_1.assert)(swapAmount.gte(numericConstants_1.ZERO), 'swapAmount must be greater than 0');
-    var newQuoteAssetReserve;
-    var newBaseAssetReserve;
-    if (inputAssetType === 'quote') {
-        swapAmount = swapAmount
-            .mul(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO)
-            .div(amm.pegMultiplier);
-        _a = calculateSwapOutput(amm.quoteAssetReserve, swapAmount, swapDirection, amm.sqrtK.mul(amm.sqrtK)), newQuoteAssetReserve = _a[0], newBaseAssetReserve = _a[1];
-    }
-    else {
-        _b = calculateSwapOutput(amm.baseAssetReserve, swapAmount, swapDirection, amm.sqrtK.mul(amm.sqrtK)), newBaseAssetReserve = _b[0], newQuoteAssetReserve = _b[1];
-    }
-    return [newQuoteAssetReserve, newBaseAssetReserve];
-}
-exports.calculateAmmReservesAfterSwap = calculateAmmReservesAfterSwap;
-function calculateMarketOpenBidAsk(baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve) {
-    // open orders
-    var openAsks;
-    if (maxBaseAssetReserve > baseAssetReserve) {
-        openAsks = maxBaseAssetReserve.sub(baseAssetReserve).mul(new anchor_1.BN(-1));
-    }
-    else {
-        openAsks = numericConstants_1.ZERO;
-    }
-    var openBids;
-    if (minBaseAssetReserve < baseAssetReserve) {
-        openBids = baseAssetReserve.sub(minBaseAssetReserve);
-    }
-    else {
-        openBids = numericConstants_1.ZERO;
-    }
-    return [openBids, openAsks];
-}
-exports.calculateMarketOpenBidAsk = calculateMarketOpenBidAsk;
-function calculateInventoryScale(netBaseAssetAmount, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve) {
-    // inventory skew
-    var _a = calculateMarketOpenBidAsk(baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve), openBids = _a[0], openAsks = _a[1];
-    var totalLiquidity = anchor_1.BN.max(openBids.abs().add(openAsks.abs()), new anchor_1.BN(1));
-    var inventoryScale = anchor_1.BN.min(netBaseAssetAmount.abs(), totalLiquidity)
-        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION.mul(new anchor_1.BN(5)))
-        .div(totalLiquidity)
-        .toNumber() / numericConstants_1.BID_ASK_SPREAD_PRECISION.toNumber();
-    return inventoryScale;
-}
-exports.calculateInventoryScale = calculateInventoryScale;
-function calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions) {
-    // inventory skew
-    var netBaseAssetValue = quoteAssetReserve
-        .sub(terminalQuoteAssetReserve)
-        .mul(pegMultiplier)
-        .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
-    var localBaseAssetValue = netBaseAssetAmount
-        .mul(markPrice)
-        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.MARK_PRICE_PRECISION));
-    var effectiveLeverage = localBaseAssetValue.sub(netBaseAssetValue).toNumber() /
-        (Math.max(0, totalFeeMinusDistributions.toNumber()) + 1) +
-        1 / numericConstants_1.QUOTE_PRECISION.toNumber();
-    return effectiveLeverage;
-}
-exports.calculateEffectiveLeverage = calculateEffectiveLeverage;
-function calculateMaxSpread(marginRatioInitial) {
-    var maxTargetSpread = new anchor_1.BN(marginRatioInitial)
-        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION.div(numericConstants_1.MARGIN_PRECISION))
-        .toNumber();
-    return maxTargetSpread;
-}
-exports.calculateMaxSpread = calculateMaxSpread;
-function calculateSpreadBN(baseSpread, lastOracleMarkSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve) {
-    var longSpread = baseSpread / 2;
-    var shortSpread = baseSpread / 2;
-    if (lastOracleMarkSpreadPct.gt(numericConstants_1.ZERO)) {
-        shortSpread = Math.max(shortSpread, lastOracleMarkSpreadPct.abs().toNumber() + lastOracleConfPct.toNumber());
-    }
-    else if (lastOracleMarkSpreadPct.lt(numericConstants_1.ZERO)) {
-        longSpread = Math.max(longSpread, lastOracleMarkSpreadPct.abs().toNumber() + lastOracleConfPct.toNumber());
-    }
-    var maxTargetSpread = Math.max(maxSpread, lastOracleMarkSpreadPct.abs().toNumber());
-    var MAX_INVENTORY_SKEW = 5;
-    var inventoryScale = calculateInventoryScale(netBaseAssetAmount, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve);
-    var inventorySpreadScale = Math.min(MAX_INVENTORY_SKEW, 1 + inventoryScale);
-    if (netBaseAssetAmount.gt(numericConstants_1.ZERO)) {
-        longSpread *= inventorySpreadScale;
-    }
-    else if (netBaseAssetAmount.lt(numericConstants_1.ZERO)) {
-        shortSpread *= inventorySpreadScale;
-    }
-    var effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions);
-    if (totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
-        var spreadScale = Math.min(MAX_INVENTORY_SKEW, 1 + effectiveLeverage);
-        if (netBaseAssetAmount.gt(numericConstants_1.ZERO)) {
-            longSpread *= spreadScale;
-        }
-        else {
-            shortSpread *= spreadScale;
-        }
-    }
-    else {
-        longSpread *= MAX_INVENTORY_SKEW;
-        shortSpread *= MAX_INVENTORY_SKEW;
-    }
-    var totalSpread = longSpread + shortSpread;
-    if (totalSpread > maxTargetSpread) {
-        if (longSpread > shortSpread) {
-            longSpread = Math.min(longSpread, maxTargetSpread);
-            shortSpread = maxTargetSpread - longSpread;
-        }
-        else {
-            shortSpread = Math.min(shortSpread, maxTargetSpread);
-            longSpread = maxTargetSpread - shortSpread;
-        }
-    }
-    return [longSpread, shortSpread];
-}
-exports.calculateSpreadBN = calculateSpreadBN;
-function calculateSpread(amm, direction, oraclePriceData) {
-    if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
-        return amm.baseSpread / 2;
-    }
-    var markPrice = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
-    var targetPrice = (oraclePriceData === null || oraclePriceData === void 0 ? void 0 : oraclePriceData.price) || markPrice;
-    var confInterval = oraclePriceData.confidence || numericConstants_1.ZERO;
-    var targetMarkSpreadPct = markPrice
-        .sub(targetPrice)
-        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
-        .div(markPrice);
-    var confIntervalPct = confInterval
-        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
-        .div(markPrice);
-    var _a = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.netBaseAssetAmount, markPrice, amm.totalFeeMinusDistributions, amm.baseAssetReserve, amm.minBaseAssetReserve, amm.maxBaseAssetReserve), longSpread = _a[0], shortSpread = _a[1];
-    var spread;
-    if ((0, types_1.isVariant)(direction, 'long')) {
-        spread = longSpread;
-    }
-    else {
-        spread = shortSpread;
-    }
-    return spread;
-}
-exports.calculateSpread = calculateSpread;
-function calculateSpreadReserves(amm, direction, oraclePriceData) {
-    var spread = calculateSpread(amm, direction, oraclePriceData);
-    if (spread === 0) {
-        return {
-            baseAssetReserve: amm.baseAssetReserve,
-            quoteAssetReserve: amm.quoteAssetReserve
-        };
-    }
-    var quoteAsserReserveDelta = amm.quoteAssetReserve.div(numericConstants_1.BID_ASK_SPREAD_PRECISION.div(new anchor_1.BN(spread / 2)));
-    var quoteAssetReserve;
-    if ((0, types_1.isVariant)(direction, 'long')) {
-        quoteAssetReserve = amm.quoteAssetReserve.add(quoteAsserReserveDelta);
-    }
-    else {
-        quoteAssetReserve = amm.quoteAssetReserve.sub(quoteAsserReserveDelta);
-    }
-    var baseAssetReserve = amm.sqrtK.mul(amm.sqrtK).div(quoteAssetReserve);
-    return {
-        baseAssetReserve: baseAssetReserve,
-        quoteAssetReserve: quoteAssetReserve
-    };
-}
-exports.calculateSpreadReserves = calculateSpreadReserves;
-/**
- * Helper function calculating constant product curve output. Agnostic to whether input asset is quote or base
- *
- * @param inputAssetReserve
- * @param swapAmount
- * @param swapDirection
- * @param invariant
- * @returns newInputAssetReserve and newOutputAssetReserve after swap. : Precision AMM_RESERVE_PRECISION
- */
-function calculateSwapOutput(inputAssetReserve, swapAmount, swapDirection, invariant) {
-    var newInputAssetReserve;
-    if (swapDirection === types_1.SwapDirection.ADD) {
-        newInputAssetReserve = inputAssetReserve.add(swapAmount);
-    }
-    else {
-        newInputAssetReserve = inputAssetReserve.sub(swapAmount);
-    }
-    var newOutputAssetReserve = invariant.div(newInputAssetReserve);
-    return [newInputAssetReserve, newOutputAssetReserve];
-}
-exports.calculateSwapOutput = calculateSwapOutput;
-/**
- * Translate long/shorting quote/base asset into amm operation
- *
- * @param inputAssetType
- * @param positionDirection
- */
-function getSwapDirection(inputAssetType, positionDirection) {
-    if ((0, types_1.isVariant)(positionDirection, 'long') && inputAssetType === 'base') {
-        return types_1.SwapDirection.REMOVE;
-    }
-    if ((0, types_1.isVariant)(positionDirection, 'short') && inputAssetType === 'quote') {
-        return types_1.SwapDirection.REMOVE;
-    }
-    return types_1.SwapDirection.ADD;
-}
-exports.getSwapDirection = getSwapDirection;
-/**
- * Helper function calculating terminal price of amm
- *
- * @param market
- * @returns cost : Precision MARK_PRICE_PRECISION
- */
-function calculateTerminalPrice(market) {
-    var directionToClose = market.amm.netBaseAssetAmount.gt(numericConstants_1.ZERO)
-        ? types_1.PositionDirection.SHORT
-        : types_1.PositionDirection.LONG;
-    var _a = calculateAmmReservesAfterSwap(market.amm, 'base', market.amm.netBaseAssetAmount.abs(), getSwapDirection('base', directionToClose)), newQuoteAssetReserve = _a[0], newBaseAssetReserve = _a[1];
-    var terminalPrice = newQuoteAssetReserve
-        .mul(numericConstants_1.MARK_PRICE_PRECISION)
-        .mul(market.amm.pegMultiplier)
-        .div(numericConstants_1.PEG_PRECISION)
-        .div(newBaseAssetReserve);
-    return terminalPrice;
-}
-exports.calculateTerminalPrice = calculateTerminalPrice;
-function calculateMaxBaseAssetAmountToTrade(amm, limit_price, direction, oraclePriceData) {
-    var invariant = amm.sqrtK.mul(amm.sqrtK);
-    var newBaseAssetReserveSquared = invariant
-        .mul(numericConstants_1.MARK_PRICE_PRECISION)
-        .mul(amm.pegMultiplier)
-        .div(limit_price)
-        .div(numericConstants_1.PEG_PRECISION);
-    var newBaseAssetReserve = (0, __1.squareRootBN)(newBaseAssetReserveSquared);
-    var baseAssetReserveBefore = calculateSpreadReserves(amm, direction, oraclePriceData).baseAssetReserve;
-    if (newBaseAssetReserve.gt(baseAssetReserveBefore)) {
-        return [
-            newBaseAssetReserve.sub(baseAssetReserveBefore),
-            types_1.PositionDirection.SHORT,
-        ];
-    }
-    else if (newBaseAssetReserve.lt(baseAssetReserveBefore)) {
-        return [
-            baseAssetReserveBefore.sub(newBaseAssetReserve),
-            types_1.PositionDirection.LONG,
-        ];
-    }
-    else {
-        console.log('tradeSize Too Small');
-        return [new anchor_1.BN(0), types_1.PositionDirection.LONG];
-    }
-}
-exports.calculateMaxBaseAssetAmountToTrade = calculateMaxBaseAssetAmountToTrade;
-function calculateQuoteAssetAmountSwapped(quoteAssetReserves, pegMultiplier, swapDirection) {
-    var quoteAssetAmount = quoteAssetReserves
-        .mul(pegMultiplier)
-        .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
-    if ((0, types_1.isVariant)(swapDirection, 'remove')) {
-        quoteAssetAmount = quoteAssetAmount.add(numericConstants_1.ONE);
-    }
-    return quoteAssetAmount;
-}
-exports.calculateQuoteAssetAmountSwapped = calculateQuoteAssetAmountSwapped;
-function calculateMaxBaseAssetAmountFillable(amm, orderDirection) {
-    var maxFillSize = amm.baseAssetReserve.div(new anchor_1.BN(amm.maxBaseAssetAmountRatio));
-    var maxBaseAssetAmountOnSide;
-    if ((0, types_1.isVariant)(orderDirection, 'long')) {
-        maxBaseAssetAmountOnSide = anchor_1.BN.max(numericConstants_1.ZERO, amm.baseAssetReserve.sub(amm.minBaseAssetReserve));
-    }
-    else {
-        maxBaseAssetAmountOnSide = anchor_1.BN.max(numericConstants_1.ZERO, amm.maxBaseAssetReserve.sub(amm.baseAssetReserve));
-    }
-    return (0, __1.standardizeBaseAssetAmount)(anchor_1.BN.min(maxFillSize, maxBaseAssetAmountOnSide), amm.baseAssetAmountStepSize);
-}
-exports.calculateMaxBaseAssetAmountFillable = calculateMaxBaseAssetAmountFillable;

package/src/math/insurance.js

@@ -1,27 +0,0 @@
-"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

@@ -1,77 +0,0 @@
-"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;

package/src/math/market.js

@@ -1,105 +0,0 @@
-"use strict";
-exports.__esModule = true;
-exports.calculateNetUserImbalance = exports.calculateMarketAvailablePNL = exports.calculateUnrealizedAssetWeight = exports.calculateMarketMarginRatio = exports.calculateOracleSpread = exports.calculateMarkOracleSpread = exports.calculateNewMarketAfterTrade = exports.calculateAskPrice = exports.calculateBidPrice = exports.calculateMarkPrice = void 0;
-var anchor_1 = require("@project-serum/anchor");
-var types_1 = require("../types");
-var amm_1 = require("./amm");
-var margin_1 = require("./margin");
-var numericConstants_1 = require("../constants/numericConstants");
-var spotBalance_1 = require("./spotBalance");
-/**
- * Calculates market mark price
- *
- * @param market
- * @return markPrice : Precision MARK_PRICE_PRECISION
- */
-function calculateMarkPrice(market, oraclePriceData) {
-    var newAmm = (0, amm_1.calculateUpdatedAMM)(market.amm, oraclePriceData);
-    return (0, amm_1.calculatePrice)(newAmm.baseAssetReserve, newAmm.quoteAssetReserve, newAmm.pegMultiplier);
-}
-exports.calculateMarkPrice = calculateMarkPrice;
-/**
- * Calculates market bid price
- *
- * @param market
- * @return bidPrice : Precision MARK_PRICE_PRECISION
- */
-function calculateBidPrice(market, oraclePriceData) {
-    var _a = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, types_1.PositionDirection.SHORT, oraclePriceData), baseAssetReserve = _a.baseAssetReserve, quoteAssetReserve = _a.quoteAssetReserve, newPeg = _a.newPeg;
-    return (0, amm_1.calculatePrice)(baseAssetReserve, quoteAssetReserve, newPeg);
-}
-exports.calculateBidPrice = calculateBidPrice;
-/**
- * Calculates market ask price
- *
- * @param market
- * @return bidPrice : Precision MARK_PRICE_PRECISION
- */
-function calculateAskPrice(market, oraclePriceData) {
-    var _a = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, types_1.PositionDirection.LONG, oraclePriceData), baseAssetReserve = _a.baseAssetReserve, quoteAssetReserve = _a.quoteAssetReserve, newPeg = _a.newPeg;
-    return (0, amm_1.calculatePrice)(baseAssetReserve, quoteAssetReserve, newPeg);
-}
-exports.calculateAskPrice = calculateAskPrice;
-function calculateNewMarketAfterTrade(baseAssetAmount, direction, market) {
-    var _a = (0, amm_1.calculateAmmReservesAfterSwap)(market.amm, 'base', baseAssetAmount.abs(), (0, amm_1.getSwapDirection)('base', direction)), newQuoteAssetReserve = _a[0], newBaseAssetReserve = _a[1];
-    var newAmm = Object.assign({}, market.amm);
-    var newMarket = Object.assign({}, market);
-    newMarket.amm = newAmm;
-    newMarket.amm.quoteAssetReserve = newQuoteAssetReserve;
-    newMarket.amm.baseAssetReserve = newBaseAssetReserve;
-    return newMarket;
-}
-exports.calculateNewMarketAfterTrade = calculateNewMarketAfterTrade;
-function calculateMarkOracleSpread(market, oraclePriceData) {
-    var markPrice = calculateMarkPrice(market, oraclePriceData);
-    return calculateOracleSpread(markPrice, oraclePriceData);
-}
-exports.calculateMarkOracleSpread = calculateMarkOracleSpread;
-function calculateOracleSpread(price, oraclePriceData) {
-    return price.sub(oraclePriceData.price);
-}
-exports.calculateOracleSpread = calculateOracleSpread;
-function calculateMarketMarginRatio(market, size, marginCategory) {
-    var marginRatio;
-    switch (marginCategory) {
-        case 'Initial':
-            marginRatio = (0, margin_1.calculateSizePremiumLiabilityWeight)(size, market.imfFactor, new anchor_1.BN(market.marginRatioInitial), numericConstants_1.MARGIN_PRECISION).toNumber();
-            break;
-        case 'Maintenance':
-            marginRatio = market.marginRatioMaintenance;
-            break;
-    }
-    return marginRatio;
-}
-exports.calculateMarketMarginRatio = calculateMarketMarginRatio;
-function calculateUnrealizedAssetWeight(market, unrealizedPnl, marginCategory) {
-    var assetWeight;
-    switch (marginCategory) {
-        case 'Initial':
-            assetWeight = (0, margin_1.calculateSizeDiscountAssetWeight)(unrealizedPnl, market.unrealizedImfFactor, new anchor_1.BN(market.unrealizedInitialAssetWeight));
-            break;
-        case 'Maintenance':
-            assetWeight = new anchor_1.BN(market.unrealizedMaintenanceAssetWeight);
-            break;
-    }
-    return assetWeight;
-}
-exports.calculateUnrealizedAssetWeight = calculateUnrealizedAssetWeight;
-function calculateMarketAvailablePNL(perpMarket, spotMarket) {
-    return (0, spotBalance_1.getTokenAmount)(perpMarket.pnlPool.balance, spotMarket, types_1.SpotBalanceType.DEPOSIT);
-}
-exports.calculateMarketAvailablePNL = calculateMarketAvailablePNL;
-function calculateNetUserImbalance(market, bank, oraclePriceData) {
-    var netUserPositionValue = market.amm.netBaseAssetAmount
-        .mul(oraclePriceData.price)
-        .div(numericConstants_1.BASE_PRECISION)
-        .div(numericConstants_1.PRICE_TO_QUOTE_PRECISION);
-    var netUserCostBasis = market.amm.quoteAssetAmountLong
-        .add(market.amm.quoteAssetAmountShort)
-        .sub(market.amm.cumulativeSocialLoss);
-    var userEntitledPnl = netUserPositionValue.add(netUserCostBasis);
-    var pnlPool = (0, spotBalance_1.getTokenAmount)(market.pnlPool.balance, bank, types_1.SpotBalanceType.DEPOSIT);
-    var imbalance = userEntitledPnl.sub(pnlPool);
-    return imbalance;
-}
-exports.calculateNetUserImbalance = calculateNetUserImbalance;