@drift-labs/sdk 0.2.0-master.3 → 0.2.0-master.6

package/lib/idl/clearing_house.json

@@ -141,6 +141,10 @@
                 {
                     "name": "maintenanceLiabilityWeight",
                     "type": "u128"
+                },
+                {
+                    "name": "imfFactor",
+                    "type": "u128"
                 }
             ]
         },
@@ -534,7 +538,7 @@
                 },
                 {
                     "name": "taker",
-                    "isMut": false,
+                    "isMut": true,
                     "isSigner": false
                 },
                 {
@@ -716,7 +720,7 @@
             ]
         },
         {
-            "name": "withdrawFees",
+            "name": "withdrawFromMarketToInsuranceVault",
             "accounts": [
                 {
                     "name": "state",
@@ -730,7 +734,7 @@
                 },
                 {
                     "name": "bank",
-                    "isMut": false,
+                    "isMut": true,
                     "isSigner": false
                 },
                 {
@@ -835,6 +839,11 @@
                     "isMut": false,
                     "isSigner": false
                 },
+                {
+                    "name": "bank",
+                    "isMut": true,
+                    "isSigner": false
+                },
                 {
                     "name": "bankVault",
                     "isMut": true,
@@ -1093,6 +1102,62 @@
                 }
             ]
         },
+        {
+            "name": "updateMarketImfFactor",
+            "accounts": [
+                {
+                    "name": "admin",
+                    "isMut": false,
+                    "isSigner": true
+                },
+                {
+                    "name": "state",
+                    "isMut": false,
+                    "isSigner": false
+                },
+                {
+                    "name": "market",
+                    "isMut": true,
+                    "isSigner": false
+                }
+            ],
+            "args": [
+                {
+                    "name": "imfFactor",
+                    "type": "u128"
+                }
+            ]
+        },
+        {
+            "name": "updateMarketUnsettledAssetWeight",
+            "accounts": [
+                {
+                    "name": "admin",
+                    "isMut": false,
+                    "isSigner": true
+                },
+                {
+                    "name": "state",
+                    "isMut": false,
+                    "isSigner": false
+                },
+                {
+                    "name": "market",
+                    "isMut": true,
+                    "isSigner": false
+                }
+            ],
+            "args": [
+                {
+                    "name": "unsettledInitialAssetWeight",
+                    "type": "u8"
+                },
+                {
+                    "name": "unsettledMaintenanceAssetWeight",
+                    "type": "u8"
+                }
+            ]
+        },
         {
             "name": "updateCurveUpdateIntensity",
             "accounts": [
@@ -1441,6 +1506,58 @@
                 }
             ]
         },
+        {
+            "name": "updateMarketMaxSlippageRatio",
+            "accounts": [
+                {
+                    "name": "admin",
+                    "isMut": false,
+                    "isSigner": true
+                },
+                {
+                    "name": "state",
+                    "isMut": false,
+                    "isSigner": false
+                },
+                {
+                    "name": "market",
+                    "isMut": true,
+                    "isSigner": false
+                }
+            ],
+            "args": [
+                {
+                    "name": "maxSlippageRatio",
+                    "type": "u16"
+                }
+            ]
+        },
+        {
+            "name": "updateMaxBaseAssetAmountRatio",
+            "accounts": [
+                {
+                    "name": "admin",
+                    "isMut": false,
+                    "isSigner": true
+                },
+                {
+                    "name": "state",
+                    "isMut": false,
+                    "isSigner": false
+                },
+                {
+                    "name": "market",
+                    "isMut": true,
+                    "isSigner": false
+                }
+            ],
+            "args": [
+                {
+                    "name": "maxBaseAssetAmountRatio",
+                    "type": "u16"
+                }
+            ]
+        },
         {
             "name": "updateAdmin",
             "accounts": [
@@ -1563,7 +1680,7 @@
             ]
         },
         {
-            "name": "updateOrderAuctionTime",
+            "name": "updateAuctionDuration",
             "accounts": [
                 {
                     "name": "admin",
@@ -1578,7 +1695,11 @@
             ],
             "args": [
                 {
-                    "name": "orderAuctionTime",
+                    "name": "minAuctionDuration",
+                    "type": "u8"
+                },
+                {
+                    "name": "maxAuctionDuration",
                     "type": "u8"
                 }
             ]
@@ -1675,6 +1796,10 @@
                     {
                         "name": "maintenanceLiabilityWeight",
                         "type": "u128"
+                    },
+                    {
+                        "name": "imfFactor",
+                        "type": "u128"
                     }
                 ]
             }
@@ -1752,6 +1877,22 @@
                         "name": "unsettledLoss",
                         "type": "u128"
                     },
+                    {
+                        "name": "imfFactor",
+                        "type": "u128"
+                    },
+                    {
+                        "name": "unsettledInitialAssetWeight",
+                        "type": "u8"
+                    },
+                    {
+                        "name": "unsettledMaintenanceAssetWeight",
+                        "type": "u8"
+                    },
+                    {
+                        "name": "unsettledImfFactor",
+                        "type": "u128"
+                    },
                     {
                         "name": "padding0",
                         "type": "u32"
@@ -1885,7 +2026,11 @@
                         "type": "u128"
                     },
                     {
-                        "name": "orderAuctionDuration",
+                        "name": "minAuctionDuration",
+                        "type": "u8"
+                    },
+                    {
+                        "name": "maxAuctionDuration",
                         "type": "u8"
                     },
                     {
@@ -1990,10 +2135,6 @@
                         "name": "userOrderId",
                         "type": "u8"
                     },
-                    {
-                        "name": "quoteAssetAmount",
-                        "type": "u128"
-                    },
                     {
                         "name": "baseAssetAmount",
                         "type": "u128"
@@ -2042,6 +2183,10 @@
                         "name": "oraclePriceOffset",
                         "type": "i128"
                     },
+                    {
+                        "name": "auctionDuration",
+                        "type": "u8"
+                    },
                     {
                         "name": "padding0",
                         "type": "bool"
@@ -2204,6 +2349,14 @@
                         "name": "minimumQuoteAssetTradeSize",
                         "type": "u128"
                     },
+                    {
+                        "name": "maxBaseAssetAmountRatio",
+                        "type": "u16"
+                    },
+                    {
+                        "name": "maxSlippageRatio",
+                        "type": "u16"
+                    },
                     {
                         "name": "baseAssetAmountStepSize",
                         "type": "u128"
@@ -2688,10 +2841,6 @@
                             "defined": "PositionDirection"
                         }
                     },
-                    {
-                        "name": "quoteAssetAmount",
-                        "type": "u128"
-                    },
                     {
                         "name": "baseAssetAmount",
                         "type": "u128"
@@ -2904,6 +3053,12 @@
                     },
                     {
                         "name": "OraclePriceBreachedLimitPrice"
+                    },
+                    {
+                        "name": "MarketOrderFilledToLimitPrice"
+                    },
+                    {
+                        "name": "MarketOrderAuctionExpired"
                     }
                 ]
             }
@@ -3691,8 +3846,8 @@
         },
         {
             "code": 6044,
-            "name": "CouldNotFillOrder",
-            "msg": "CouldNotFillOrder"
+            "name": "FillOrderDidNotUpdateState",
+            "msg": "FillOrderDidNotUpdateState"
         },
         {
             "code": 6045,

package/lib/index.d.ts

@@ -1,5 +1,6 @@
 import { BN } from '@project-serum/anchor';
 import { PublicKey } from '@solana/web3.js';
+import pyth from '@pythnetwork/client';
 export * from './mockUSDCFaucet';
 export * from './oracles/types';
 export * from './oracles/pythClient';
@@ -47,4 +48,4 @@ export * from './util/tps';
 export * from './math/bankBalance';
 export * from './constants/banks';
 export * from './clearingHouseConfig';
-export { BN, PublicKey };
+export { BN, PublicKey, pyth };

package/lib/index.js

@@ -13,12 +13,17 @@ var __createBinding = (this && this.__createBinding) || (Object.create ? (functi
 var __exportStar = (this && this.__exportStar) || function(m, exports) {
     for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
 };
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.PublicKey = exports.BN = void 0;
+exports.pyth = exports.PublicKey = exports.BN = void 0;
 const anchor_1 = require("@project-serum/anchor");
 Object.defineProperty(exports, "BN", { enumerable: true, get: function () { return anchor_1.BN; } });
 const web3_js_1 = require("@solana/web3.js");
 Object.defineProperty(exports, "PublicKey", { enumerable: true, get: function () { return web3_js_1.PublicKey; } });
+const client_1 = __importDefault(require("@pythnetwork/client"));
+exports.pyth = client_1.default;
 __exportStar(require("./mockUSDCFaucet"), exports);
 __exportStar(require("./oracles/types"), exports);
 __exportStar(require("./oracles/pythClient"), exports);

package/lib/math/amm.js

@@ -227,9 +227,8 @@ function calculateSpreadBN(baseSpread, lastOracleMarkSpreadPct, lastOracleConfPc
 }
 exports.calculateSpreadBN = calculateSpreadBN;
 function calculateSpread(amm, direction, oraclePriceData) {
-    let spread = amm.baseSpread / 2;
     if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
-        return spread;
+        return amm.baseSpread / 2;
     }
     const markPrice = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     const targetPrice = (oraclePriceData === null || oraclePriceData === void 0 ? void 0 : oraclePriceData.price) || markPrice;
@@ -241,40 +240,13 @@ function calculateSpread(amm, direction, oraclePriceData) {
     const confIntervalPct = confInterval
         .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
         .div(markPrice);
-    // oracle retreat
-    if (((0, types_1.isVariant)(direction, 'long') && targetMarkSpreadPct.lt(numericConstants_1.ZERO)) ||
-        ((0, types_1.isVariant)(direction, 'short') && targetMarkSpreadPct.gt(numericConstants_1.ZERO))) {
-        spread = Math.max(spread, targetMarkSpreadPct.abs().toNumber() + confIntervalPct.abs().toNumber());
+    const [longSpread, shortSpread] = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.netBaseAssetAmount, markPrice, amm.totalFeeMinusDistributions);
+    let spread;
+    if ((0, types_1.isVariant)(direction, 'long')) {
+        spread = longSpread;
     }
-    // inventory skew
-    const MAX_INVENTORY_SKEW = 5;
-    if ((amm.netBaseAssetAmount.gt(numericConstants_1.ZERO) && (0, types_1.isVariant)(direction, 'long')) ||
-        (amm.netBaseAssetAmount.lt(numericConstants_1.ZERO) && (0, types_1.isVariant)(direction, 'short')) ||
-        amm.totalFeeMinusDistributions.eq(numericConstants_1.ZERO)) {
-        const netCostBasis = amm.quoteAssetAmountLong.sub(amm.quoteAssetAmountShort);
-        const netBaseAssetValue = amm.quoteAssetReserve
-            .sub(amm.terminalQuoteAssetReserve)
-            .mul(amm.pegMultiplier)
-            .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
-        const localBaseAssetValue = amm.netBaseAssetAmount
-            .mul(markPrice)
-            .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.MARK_PRICE_PRECISION));
-        const netPnl = netBaseAssetValue.sub(netCostBasis);
-        const localPnl = localBaseAssetValue.sub(netCostBasis);
-        let effectiveLeverage = MAX_INVENTORY_SKEW;
-        if (amm.totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
-            effectiveLeverage =
-                localPnl.sub(netPnl).toNumber() /
-                    (amm.totalFeeMinusDistributions.toNumber() + 1);
-        }
-        let spreadScale = Math.min(MAX_INVENTORY_SKEW, 1 + effectiveLeverage);
-        const maxTargetSpread = numericConstants_1.BID_ASK_SPREAD_PRECISION.toNumber() / 50; // 2%
-        // cap the scale to attempt to only scale up to maxTargetSpread
-        // always let the oracle retreat methods go through 100%
-        if (spreadScale * spread > maxTargetSpread) {
-            spreadScale = Math.max(1.05, maxTargetSpread / spread);
-        }
-        spread *= spreadScale;
+    else {
+        spread = shortSpread;
     }
     return spread;
 }

package/lib/math/auction.js

@@ -4,7 +4,10 @@ exports.getAuctionPrice = exports.isAuctionComplete = void 0;
 const types_1 = require("../types");
 const _1 = require("../.");
 function isAuctionComplete(order, slot) {
-    return new _1.BN(slot).sub(order.slot).gte(new _1.BN(order.auctionDuration));
+    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) {

package/lib/math/orders.d.ts

@@ -1,10 +1,10 @@
 /// <reference types="bn.js" />
 import { ClearingHouseUser } from '../clearingHouseUser';
-import { Order } from '../types';
+import { MarketAccount, Order } from '../types';
 import { BN } from '@project-serum/anchor';
 import { OraclePriceData } from '../oracles/types';
 export declare function isOrderRiskIncreasing(user: ClearingHouseUser, order: Order): boolean;
 export declare function isOrderRiskIncreasingInSameDirection(user: ClearingHouseUser, order: Order): boolean;
 export declare function isOrderReduceOnly(user: ClearingHouseUser, order: Order): boolean;
 export declare function standardizeBaseAssetAmount(baseAssetAmount: BN, stepSize: BN): BN;
-export declare function getLimitPrice(order: Order, oraclePriceData: OraclePriceData, slot: number): BN;
+export declare function getLimitPrice(order: Order, market: MarketAccount, oraclePriceData: OraclePriceData, slot: number): BN;

package/lib/math/orders.js

@@ -3,7 +3,9 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.getLimitPrice = exports.standardizeBaseAssetAmount = exports.isOrderReduceOnly = exports.isOrderRiskIncreasingInSameDirection = exports.isOrderRiskIncreasing = void 0;
 const types_1 = require("../types");
 const numericConstants_1 = require("../constants/numericConstants");
+const anchor_1 = require("@project-serum/anchor");
 const auction_1 = require("./auction");
+const market_1 = require("./market");
 function isOrderRiskIncreasing(user, order) {
     if ((0, types_1.isVariant)(order.status, 'init')) {
         return false;
@@ -77,13 +79,28 @@ function standardizeBaseAssetAmount(baseAssetAmount, stepSize) {
     return baseAssetAmount.sub(remainder);
 }
 exports.standardizeBaseAssetAmount = standardizeBaseAssetAmount;
-function getLimitPrice(order, oraclePriceData, slot) {
+function getLimitPrice(order, market, oraclePriceData, slot) {
     let limitPrice;
     if (!order.oraclePriceOffset.eq(numericConstants_1.ZERO)) {
         limitPrice = oraclePriceData.price.add(order.oraclePriceOffset);
     }
     else if ((0, types_1.isOneOfVariant)(order.orderType, ['market', 'triggerMarket'])) {
-        limitPrice = (0, auction_1.getAuctionPrice)(order, slot);
+        if ((0, auction_1.isAuctionComplete)(order, slot)) {
+            limitPrice = (0, auction_1.getAuctionPrice)(order, slot);
+        }
+        else if (!order.price.eq(numericConstants_1.ZERO)) {
+            limitPrice = order.price;
+        }
+        else if ((0, types_1.isVariant)(order.direction, 'long')) {
+            const askPrice = (0, market_1.calculateAskPrice)(market, oraclePriceData);
+            const delta = askPrice.div(new anchor_1.BN(market.amm.maxSlippageRatio));
+            limitPrice = askPrice.add(delta);
+        }
+        else {
+            const bidPrice = (0, market_1.calculateBidPrice)(market, oraclePriceData);
+            const delta = bidPrice.div(new anchor_1.BN(market.amm.maxSlippageRatio));
+            limitPrice = bidPrice.sub(delta);
+        }
     }
     else {
         limitPrice = order.price;

package/lib/math/position.js

@@ -101,7 +101,9 @@ function calculatePositionFundingPNL(market, marketPosition) {
 }
 exports.calculatePositionFundingPNL = calculatePositionFundingPNL;
 function positionIsAvailable(position) {
-    return position.baseAssetAmount.eq(numericConstants_1.ZERO) && position.openOrders.eq(numericConstants_1.ZERO);
+    return (position.baseAssetAmount.eq(numericConstants_1.ZERO) &&
+        position.openOrders.eq(numericConstants_1.ZERO) &&
+        position.unsettledPnl.eq(numericConstants_1.ZERO));
 }
 exports.positionIsAvailable = positionIsAvailable;
 /**

package/lib/math/trade.d.ts

@@ -33,7 +33,7 @@ export declare function calculateTradeSlippage(direction: PositionDirection, amo
  * 	| 'acquiredBase' =>  positive/negative change in user's base : BN AMM_RESERVE_PRECISION
  * 	| 'acquiredQuote' => positive/negative change in user's quote : BN TODO-PRECISION
  */
-export declare function calculateTradeAcquiredAmounts(direction: PositionDirection, amount: BN, market: MarketAccount, inputAssetType: AssetType, oraclePriceData: OraclePriceData, useSpread?: boolean): [BN, BN];
+export declare function calculateTradeAcquiredAmounts(direction: PositionDirection, amount: BN, market: MarketAccount, inputAssetType: AssetType, oraclePriceData: OraclePriceData, useSpread?: boolean): [BN, BN, BN];
 /**
  * calculateTargetPriceTrade
  * simple function for finding arbitraging trades

package/lib/math/trade.js

@@ -43,15 +43,11 @@ function calculateTradeSlippage(direction, amount, market, inputAssetType = 'quo
     if (amount.eq(numericConstants_1.ZERO)) {
         return [numericConstants_1.ZERO, numericConstants_1.ZERO, oldPrice, oldPrice];
     }
-    const [acquiredBase, acquiredQuote] = calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType, oraclePriceData, useSpread);
-    const swapDirection = (0, types_2.isVariant)(direction, 'long')
-        ? types_1.SwapDirection.REMOVE
-        : types_1.SwapDirection.ADD;
-    const quoteAssetAmountAcquired = (0, amm_1.calculateQuoteAssetAmountSwapped)(acquiredQuote.abs(), market.amm.pegMultiplier, swapDirection);
-    const entryPrice = quoteAssetAmountAcquired
+    const [acquiredBaseReserve, acquiredQuoteReserve, acquiredQuoteAssetAmount] = calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType, oraclePriceData, useSpread);
+    const entryPrice = acquiredQuoteAssetAmount
         .mul(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO)
         .mul(numericConstants_1.MARK_PRICE_PRECISION)
-        .div(acquiredBase.abs());
+        .div(acquiredBaseReserve.abs());
     let amm;
     if (useSpread && market.amm.baseSpread > 0) {
         const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, direction, oraclePriceData);
@@ -65,7 +61,7 @@ function calculateTradeSlippage(direction, amount, market, inputAssetType = 'quo
     else {
         amm = market.amm;
     }
-    const newPrice = (0, amm_1.calculatePrice)(amm.baseAssetReserve.sub(acquiredBase), amm.quoteAssetReserve.sub(acquiredQuote), amm.pegMultiplier);
+    const newPrice = (0, amm_1.calculatePrice)(amm.baseAssetReserve.sub(acquiredBaseReserve), amm.quoteAssetReserve.sub(acquiredQuoteReserve), amm.pegMultiplier);
     if (direction == types_1.PositionDirection.SHORT) {
         (0, assert_1.assert)(newPrice.lte(oldPrice));
     }
@@ -98,7 +94,7 @@ exports.calculateTradeSlippage = calculateTradeSlippage;
  */
 function calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType = 'quote', oraclePriceData, useSpread = true) {
     if (amount.eq(numericConstants_1.ZERO)) {
-        return [numericConstants_1.ZERO, numericConstants_1.ZERO];
+        return [numericConstants_1.ZERO, numericConstants_1.ZERO, numericConstants_1.ZERO];
     }
     const swapDirection = (0, amm_1.getSwapDirection)(inputAssetType, direction);
     let amm;
@@ -117,7 +113,8 @@ function calculateTradeAcquiredAmounts(direction, amount, market, inputAssetType
     const [newQuoteAssetReserve, newBaseAssetReserve] = (0, amm_1.calculateAmmReservesAfterSwap)(amm, inputAssetType, amount, swapDirection);
     const acquiredBase = amm.baseAssetReserve.sub(newBaseAssetReserve);
     const acquiredQuote = amm.quoteAssetReserve.sub(newQuoteAssetReserve);
-    return [acquiredBase, acquiredQuote];
+    const acquiredQuoteAssetamount = (0, amm_1.calculateQuoteAssetAmountSwapped)(acquiredQuote.abs(), amm.pegMultiplier, swapDirection);
+    return [acquiredBase, acquiredQuote, acquiredQuoteAssetamount];
 }
 exports.calculateTradeAcquiredAmounts = calculateTradeAcquiredAmounts;
 /**

package/lib/orderParams.d.ts

@@ -1,7 +1,16 @@
 /// <reference types="bn.js" />
-import { OrderParams, OrderTriggerCondition, PositionDirection } from './types';
+import { OptionalOrderParams, OrderTriggerCondition } from './types';
 import { BN } from '@project-serum/anchor';
-export declare function getLimitOrderParams(marketIndex: BN, direction: PositionDirection, baseAssetAmount: BN, price: BN, reduceOnly: boolean, discountToken?: boolean, referrer?: boolean, userOrderId?: number, postOnly?: boolean, oraclePriceOffset?: BN, immediateOrCancel?: boolean): OrderParams;
-export declare function getTriggerMarketOrderParams(marketIndex: BN, direction: PositionDirection, baseAssetAmount: BN, triggerPrice: BN, triggerCondition: OrderTriggerCondition, reduceOnly: boolean, discountToken?: boolean, referrer?: boolean, userOrderId?: number): OrderParams;
-export declare function getTriggerLimitOrderParams(marketIndex: BN, direction: PositionDirection, baseAssetAmount: BN, price: BN, triggerPrice: BN, triggerCondition: OrderTriggerCondition, reduceOnly: boolean, discountToken?: boolean, referrer?: boolean, userOrderId?: number): OrderParams;
-export declare function getMarketOrderParams(marketIndex: BN, direction: PositionDirection, quoteAssetAmount: BN, baseAssetAmount: BN, reduceOnly: boolean, price?: BN, discountToken?: boolean, referrer?: boolean): OrderParams;
+export declare function getLimitOrderParams(params: Omit<OptionalOrderParams, 'orderType'> & {
+    price: BN;
+}): OptionalOrderParams;
+export declare function getTriggerMarketOrderParams(params: Omit<OptionalOrderParams, 'orderType'> & {
+    triggerCondition: OrderTriggerCondition;
+    triggerPrice: BN;
+}): OptionalOrderParams;
+export declare function getTriggerLimitOrderParams(params: Omit<OptionalOrderParams, 'orderType'> & {
+    triggerCondition: OrderTriggerCondition;
+    triggerPrice: BN;
+    price: BN;
+}): OptionalOrderParams;
+export declare function getMarketOrderParams(params: Omit<OptionalOrderParams, 'orderType'>): OptionalOrderParams;