@drift-labs/sdk 0.2.0-master.28 → 0.2.0-master.29

package/src/idl/clearing_house.json

@@ -1809,6 +1809,31 @@
         }
       ]
     },
+    {
+      "name": "updateUserDelegate",
+      "accounts": [
+        {
+          "name": "user",
+          "isMut": true,
+          "isSigner": false
+        },
+        {
+          "name": "authority",
+          "isMut": false,
+          "isSigner": true
+        }
+      ],
+      "args": [
+        {
+          "name": "userId",
+          "type": "u8"
+        },
+        {
+          "name": "delegate",
+          "type": "publicKey"
+        }
+      ]
+    },
     {
       "name": "settleFundingPayment",
       "accounts": [
@@ -2253,7 +2278,7 @@
       ]
     },
     {
-      "name": "updateFee",
+      "name": "updatePerpFeeStructure",
       "accounts": [
         {
           "name": "admin",
@@ -2268,7 +2293,7 @@
       ],
       "args": [
         {
-          "name": "fees",
+          "name": "feeStructure",
           "type": {
             "defined": "FeeStructure"
           }
@@ -2276,7 +2301,7 @@
       ]
     },
     {
-      "name": "updateOrderFillerRewardStructure",
+      "name": "updateSpotFeeStructure",
       "accounts": [
         {
           "name": "admin",
@@ -2291,9 +2316,9 @@
       ],
       "args": [
         {
-          "name": "orderFillerRewardStructure",
+          "name": "feeStructure",
           "type": {
-            "defined": "OrderFillerRewardStructure"
+            "defined": "FeeStructure"
           }
         }
       ]
@@ -2971,6 +2996,42 @@
           "type": "u64"
         }
       ]
+    },
+    {
+      "name": "updateUserQuoteAssetInsuranceStake",
+      "accounts": [
+        {
+          "name": "state",
+          "isMut": false,
+          "isSigner": false
+        },
+        {
+          "name": "spotMarket",
+          "isMut": false,
+          "isSigner": false
+        },
+        {
+          "name": "insuranceFundStake",
+          "isMut": true,
+          "isSigner": false
+        },
+        {
+          "name": "userStats",
+          "isMut": true,
+          "isSigner": false
+        },
+        {
+          "name": "authority",
+          "isMut": false,
+          "isSigner": true
+        },
+        {
+          "name": "insuranceFundVault",
+          "isMut": true,
+          "isSigner": false
+        }
+      ],
+      "args": []
     }
   ],
   "accounts": [
@@ -3447,18 +3508,6 @@
             "name": "insuranceVault",
             "type": "publicKey"
           },
-          {
-            "name": "perpFeeStructure",
-            "type": {
-              "defined": "FeeStructure"
-            }
-          },
-          {
-            "name": "spotFeeStructure",
-            "type": {
-              "defined": "FeeStructure"
-            }
-          },
           {
             "name": "whitelistMint",
             "type": "publicKey"
@@ -3512,6 +3561,18 @@
           {
             "name": "signerNonce",
             "type": "u8"
+          },
+          {
+            "name": "perpFeeStructure",
+            "type": {
+              "defined": "FeeStructure"
+            }
+          },
+          {
+            "name": "spotFeeStructure",
+            "type": {
+              "defined": "FeeStructure"
+            }
           }
         ]
       }
@@ -3525,6 +3586,10 @@
             "name": "authority",
             "type": "publicKey"
           },
+          {
+            "name": "delegate",
+            "type": "publicKey"
+          },
           {
             "name": "userId",
             "type": "u8"
@@ -3619,6 +3684,14 @@
             "name": "totalReferrerReward",
             "type": "u64"
           },
+          {
+            "name": "currentEpochReferrerReward",
+            "type": "u64"
+          },
+          {
+            "name": "nextEpochTs",
+            "type": "i64"
+          },
           {
             "name": "fees",
             "type": {
@@ -3650,8 +3723,8 @@
             "type": "i64"
           },
           {
-            "name": "quoteAssetInsuranceFundStake",
-            "type": "u128"
+            "name": "stakedQuoteAssetAmount",
+            "type": "u64"
           }
         ]
       }
@@ -4342,39 +4415,26 @@
         "kind": "struct",
         "fields": [
           {
-            "name": "feeNumerator",
-            "type": "u128"
-          },
-          {
-            "name": "feeDenominator",
-            "type": "u128"
-          },
-          {
-            "name": "discountTokenTiers",
+            "name": "feeTiers",
             "type": {
-              "defined": "DiscountTokenTiers"
-            }
-          },
-          {
-            "name": "referralDiscount",
-            "type": {
-              "defined": "ReferralDiscount"
+              "array": [
+                {
+                  "defined": "FeeTier"
+                },
+                10
+              ]
             }
           },
-          {
-            "name": "makerRebateNumerator",
-            "type": "u128"
-          },
-          {
-            "name": "makerRebateDenominator",
-            "type": "u128"
-          },
           {
             "name": "fillerRewardStructure",
             "type": {
               "defined": "OrderFillerRewardStructure"
             }
           },
+          {
+            "name": "referrerRewardEpochUpperBound",
+            "type": "u64"
+          },
           {
             "name": "flatFillerFee",
             "type": "u128"
@@ -4383,77 +4443,41 @@
       }
     },
     {
-      "name": "DiscountTokenTiers",
+      "name": "FeeTier",
       "type": {
         "kind": "struct",
         "fields": [
           {
-            "name": "firstTier",
-            "type": {
-              "defined": "DiscountTokenTier"
-            }
-          },
-          {
-            "name": "secondTier",
-            "type": {
-              "defined": "DiscountTokenTier"
-            }
+            "name": "feeNumerator",
+            "type": "u32"
           },
           {
-            "name": "thirdTier",
-            "type": {
-              "defined": "DiscountTokenTier"
-            }
+            "name": "feeDenominator",
+            "type": "u32"
           },
           {
-            "name": "fourthTier",
-            "type": {
-              "defined": "DiscountTokenTier"
-            }
-          }
-        ]
-      }
-    },
-    {
-      "name": "DiscountTokenTier",
-      "type": {
-        "kind": "struct",
-        "fields": [
-          {
-            "name": "minimumBalance",
-            "type": "u64"
+            "name": "makerRebateNumerator",
+            "type": "u32"
           },
           {
-            "name": "discountNumerator",
-            "type": "u128"
+            "name": "makerRebateDenominator",
+            "type": "u32"
           },
-          {
-            "name": "discountDenominator",
-            "type": "u128"
-          }
-        ]
-      }
-    },
-    {
-      "name": "ReferralDiscount",
-      "type": {
-        "kind": "struct",
-        "fields": [
           {
             "name": "referrerRewardNumerator",
-            "type": "u128"
+            "type": "u32"
           },
           {
             "name": "referrerRewardDenominator",
-            "type": "u128"
+            "type": "u32"
           },
           {
-            "name": "refereeDiscountNumerator",
-            "type": "u128"
+            "name": "refereeFeeNumerator",
+            "type": "u32"
           },
           {
-            "name": "refereeDiscountDenominator",
-            "type": "u128"
+            "name": "refereeFeeDenominator",
+            "type": "u32"
           }
         ]
       }
@@ -4536,6 +4560,10 @@
           {
             "name": "openAsks",
             "type": "i128"
+          },
+          {
+            "name": "cumulativeDeposits",
+            "type": "i64"
           }
         ]
       }

package/src/math/auction.js

@@ -0,0 +1,42 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getAuctionPrice = exports.isAuctionComplete = void 0;
+const types_1 = require("../types");
+const _1 = require("../.");
+function isAuctionComplete(order, slot) {
+    if (order.auctionDuration === 0) {
+        return true;
+    }
+    return new _1.BN(slot).sub(order.slot).gt(new _1.BN(order.auctionDuration));
+}
+exports.isAuctionComplete = isAuctionComplete;
+function getAuctionPrice(order, slot) {
+    const slotsElapsed = new _1.BN(slot).sub(order.slot);
+    const deltaDenominator = new _1.BN(order.auctionDuration);
+    const deltaNumerator = _1.BN.min(slotsElapsed, deltaDenominator);
+    if (deltaDenominator.eq(_1.ZERO)) {
+        return order.auctionEndPrice;
+    }
+    let priceDelta;
+    if (types_1.isVariant(order.direction, 'long')) {
+        priceDelta = order.auctionEndPrice
+            .sub(order.auctionStartPrice)
+            .mul(deltaNumerator)
+            .div(deltaDenominator);
+    }
+    else {
+        priceDelta = order.auctionStartPrice
+            .sub(order.auctionEndPrice)
+            .mul(deltaNumerator)
+            .div(deltaDenominator);
+    }
+    let price;
+    if (types_1.isVariant(order.direction, 'long')) {
+        price = order.auctionStartPrice.add(priceDelta);
+    }
+    else {
+        price = order.auctionStartPrice.sub(priceDelta);
+    }
+    return price;
+}
+exports.getAuctionPrice = getAuctionPrice;

package/src/math/conversion.js

@@ -0,0 +1,11 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.convertToNumber = void 0;
+const numericConstants_1 = require("../constants/numericConstants");
+const convertToNumber = (bigNumber, precision = numericConstants_1.MARK_PRICE_PRECISION) => {
+    if (!bigNumber)
+        return 0;
+    return (bigNumber.div(precision).toNumber() +
+        bigNumber.mod(precision).toNumber() / precision.toNumber());
+};
+exports.convertToNumber = convertToNumber;

package/src/math/funding.js

@@ -0,0 +1,248 @@
+"use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
+Object.defineProperty(exports, "__esModule", { value: 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");
+/**
+ *
+ * @param market
+ * @param oraclePriceData
+ * @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()
+                .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));
+            }
+        }
+        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,
+                ];
+            }
+        }
+        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,
+                    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;
+/**
+ *
+ * @param market
+ * @param oraclePriceData
+ * @param periodAdjustment
+ * @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;
+        }
+    });
+}
+exports.calculateEstimatedFundingRate = calculateEstimatedFundingRate;
+/**
+ *
+ * @param market
+ * @param oraclePriceData
+ * @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];
+        }
+    });
+}
+exports.calculateLongShortFundingRate = calculateLongShortFundingRate;
+/**
+ *
+ * @param market
+ * @param oraclePriceData
+ * @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];
+        }
+    });
+}
+exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRateAndLiveTwaps;
+/**
+ *
+ * @param market
+ * @returns Estimated fee pool size
+ */
+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
+        .sub(totalFeeLB)
+        .mul(new anchor_1.BN(1))
+        .div(new anchor_1.BN(3)));
+    return feePool;
+}
+exports.calculateFundingPool = calculateFundingPool;

package/src/math/insurance.ts

@@ -1,4 +1,4 @@
-import { ONE, ZERO } from '../constants/numericConstants';
+import { ZERO } from '../constants/numericConstants';
 import { BN } from '../index';
 
 export function stakeAmountToShares(
@@ -25,7 +25,7 @@ export function unstakeSharesToAmount(
 	if (totalIfShares.gt(ZERO)) {
 		amount = BN.max(
 			ZERO,
-			nShares.mul(insuranceFundVaultBalance).div(totalIfShares).sub(ONE)
+			nShares.mul(insuranceFundVaultBalance).div(totalIfShares)
 		);
 	} else {
 		amount = ZERO;