@drift-labs/sdk 0.2.0-master.35 → 0.2.0-master.37

package/src/math/funding.ts

@@ -6,8 +6,8 @@ import {
 	ZERO,
 } from '../constants/numericConstants';
 import { PerpMarketAccount, isVariant } from '../types';
-import { calculateReservePrice } from './market';
 import { OraclePriceData } from '../oracles/types';
+import { calculateBidAskPrice } from './amm';
 
 /**
  *
@@ -48,10 +48,8 @@ export async function calculateAllEstimatedFundingRate(
 		secondsInHour,
 		BN.max(ZERO, secondsInHour.sub(timeSinceLastMarkChange))
 	);
-	const baseAssetPriceWithMantissa = calculateReservePrice(
-		market,
-		oraclePriceData
-	);
+	const [bid, ask] = calculateBidAskPrice(market.amm, oraclePriceData);
+	const baseAssetPriceWithMantissa = bid.add(ask).div(new BN(2));
 
 	const markTwapWithMantissa = markTwapTimeSinceLastUpdate
 		.mul(lastMarkTwapWithMantissa)

package/src/math/market.ts

@@ -131,7 +131,7 @@ export function calculateMarketMarginRatio(
 		case 'Initial':
 			marginRatio = calculateSizePremiumLiabilityWeight(
 				size,
-				market.imfFactor,
+				new BN(market.imfFactor),
 				new BN(market.marginRatioInitial),
 				MARGIN_PRECISION
 			).toNumber();
@@ -139,7 +139,7 @@ export function calculateMarketMarginRatio(
 		case 'Maintenance':
 			marginRatio = calculateSizePremiumLiabilityWeight(
 				size,
-				market.imfFactor,
+				new BN(market.imfFactor),
 				new BN(market.marginRatioMaintenance),
 				MARGIN_PRECISION
 			).toNumber();
@@ -176,7 +176,7 @@ export function calculateUnrealizedAssetWeight(
 
 			assetWeight = calculateSizeDiscountAssetWeight(
 				unrealizedPnl,
-				market.unrealizedPnlImfFactor,
+				new BN(market.unrealizedPnlImfFactor),
 				assetWeight
 			);
 			break;
@@ -208,9 +208,7 @@ export function calculateNetUserPnl(
 		.div(BASE_PRECISION)
 		.div(PRICE_TO_QUOTE_PRECISION);
 
-	const netUserCostBasis = perpMarket.amm.quoteAssetAmountLong
-		.add(perpMarket.amm.quoteAssetAmountShort)
-		.sub(perpMarket.amm.cumulativeSocialLoss);
+	const netUserCostBasis = perpMarket.amm.quoteAssetAmount;
 
 	const netUserPnl = netUserPositionValue.add(netUserCostBasis);
 

package/src/math/orders.ts

@@ -209,13 +209,18 @@ export function calculateBaseAssetAmountForAmmToFulfill(
 		return ZERO;
 	}
 
-	const limitPrice = getLimitPrice(order, oraclePriceData, slot);
-	const baseAssetAmount = calculateBaseAssetAmountToFillUpToLimitPrice(
-		order,
-		market,
-		limitPrice,
-		oraclePriceData
-	);
+	const limitPrice = getOptionalLimitPrice(order, oraclePriceData, slot);
+	let baseAssetAmount;
+	if (limitPrice !== undefined) {
+		baseAssetAmount = calculateBaseAssetAmountToFillUpToLimitPrice(
+			order,
+			market,
+			limitPrice,
+			oraclePriceData
+		);
+	} else {
+		baseAssetAmount = order.baseAssetAmount.sub(order.baseAssetAmountFilled);
+	}
 
 	const maxBaseAssetAmount = calculateMaxBaseAssetAmountFillable(
 		market.amm,
@@ -249,8 +254,11 @@ export function calculateBaseAssetAmountToFillUpToLimitPrice(
 		return ZERO;
 	}
 
-	return baseAssetAmount.gt(order.baseAssetAmount)
-		? order.baseAssetAmount
+	const baseAssetAmountUnfilled = order.baseAssetAmount.sub(
+		order.baseAssetAmountFilled
+	);
+	return baseAssetAmount.gt(baseAssetAmountUnfilled)
+		? baseAssetAmountUnfilled
 		: baseAssetAmount;
 }
 

package/src/math/position.ts

@@ -205,7 +205,24 @@ export function positionIsAvailable(position: PerpPosition): boolean {
 /**
  *
  * @param userPosition
- * @returns Precision: PRICE_PRECISION (10^10)
+ * @returns Precision: PRICE_PRECISION (10^6)
+ */
+export function calculateBreakEvenPrice(userPosition: PerpPosition): BN {
+	if (userPosition.baseAssetAmount.eq(ZERO)) {
+		return ZERO;
+	}
+
+	return userPosition.quoteBreakEvenAmount
+		.mul(PRICE_PRECISION)
+		.mul(AMM_TO_QUOTE_PRECISION_RATIO)
+		.div(userPosition.baseAssetAmount)
+		.abs();
+}
+
+/**
+ *
+ * @param userPosition
+ * @returns Precision: PRICE_PRECISION (10^6)
  */
 export function calculateEntryPrice(userPosition: PerpPosition): BN {
 	if (userPosition.baseAssetAmount.eq(ZERO)) {

package/src/math/spotBalance.ts

@@ -103,19 +103,19 @@ export function calculateAssetWeight(
 		case 'Initial':
 			assetWeight = calculateSizeDiscountAssetWeight(
 				sizeInAmmReservePrecision,
-				spotMarket.imfFactor,
-				spotMarket.initialAssetWeight
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.initialAssetWeight)
 			);
 			break;
 		case 'Maintenance':
 			assetWeight = calculateSizeDiscountAssetWeight(
 				sizeInAmmReservePrecision,
-				spotMarket.imfFactor,
-				spotMarket.maintenanceAssetWeight
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.maintenanceAssetWeight)
 			);
 			break;
 		default:
-			assetWeight = spotMarket.initialAssetWeight;
+			assetWeight = new BN(spotMarket.initialAssetWeight);
 			break;
 	}
 
@@ -145,16 +145,16 @@ export function calculateLiabilityWeight(
 		case 'Initial':
 			assetWeight = calculateSizePremiumLiabilityWeight(
 				sizeInAmmReservePrecision,
-				spotMarket.imfFactor,
-				spotMarket.initialLiabilityWeight,
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.initialLiabilityWeight),
 				SPOT_MARKET_WEIGHT_PRECISION
 			);
 			break;
 		case 'Maintenance':
 			assetWeight = calculateSizePremiumLiabilityWeight(
 				sizeInAmmReservePrecision,
-				spotMarket.imfFactor,
-				spotMarket.maintenanceLiabilityWeight,
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.maintenanceLiabilityWeight),
 				SPOT_MARKET_WEIGHT_PRECISION
 			);
 			break;

package/src/types.ts

@@ -446,15 +446,16 @@ export type PerpMarketAccount = {
 	pubkey: PublicKey;
 	name: number[];
 	amm: AMM;
-	numberOfUsers: BN;
+	numberOfUsersWithBase: number;
+	numberOfUsers: number;
 	marginRatioInitial: number;
 	marginRatioMaintenance: number;
 	nextFillRecordId: BN;
 	pnlPool: PoolBalance;
-	liquidatorFee: BN;
-	ifLiquidationFee: BN;
-	imfFactor: BN;
-	unrealizedPnlImfFactor: BN;
+	liquidatorFee: number;
+	ifLiquidationFee: number;
+	imfFactor: number;
+	unrealizedPnlImfFactor: number;
 	unrealizedPnlMaxImbalance: BN;
 	unrealizedPnlInitialAssetWeight: number;
 	unrealizedPnlMaintenanceAssetWeight: number;
@@ -512,7 +513,7 @@ export type SpotMarketAccount = {
 
 	revenuePool: PoolBalance;
 
-	ifLiquidationFee: BN;
+	ifLiquidationFee: number;
 
 	decimals: number;
 	optimalUtilization: number;
@@ -526,12 +527,12 @@ export type SpotMarketAccount = {
 
 	lastInterestTs: BN;
 	lastTwapTs: BN;
-	initialAssetWeight: BN;
-	maintenanceAssetWeight: BN;
-	initialLiabilityWeight: BN;
-	maintenanceLiabilityWeight: BN;
-	liquidatorFee: BN;
-	imfFactor: BN;
+	initialAssetWeight: number;
+	maintenanceAssetWeight: number;
+	initialLiabilityWeight: number;
+	maintenanceLiabilityWeight: number;
+	liquidatorFee: number;
+	imfFactor: number;
 
 	withdrawGuardThreshold: BN;
 	depositTokenTwap: BN;
@@ -587,8 +588,7 @@ export type AMM = {
 	baseAssetAmountWithAmm: BN;
 	baseAssetAmountLong: BN;
 	baseAssetAmountShort: BN;
-	quoteAssetAmountLong: BN;
-	quoteAssetAmountShort: BN;
+	quoteAssetAmount: BN;
 	terminalQuoteAssetReserve: BN;
 	feePool: PoolBalance;
 	totalExchangeFee: BN;
@@ -598,8 +598,8 @@ export type AMM = {
 	lastOracleValid: boolean;
 	lastBidPriceTwap: BN;
 	lastAskPriceTwap: BN;
-	longSpread: BN;
-	shortSpread: BN;
+	longSpread: number;
+	shortSpread: number;
 	maxSpread: number;
 
 	baseAssetAmountPerLp: BN;
@@ -618,6 +618,7 @@ export type PerpPosition = {
 	marketIndex: number;
 	quoteAssetAmount: BN;
 	quoteEntryAmount: BN;
+	quoteBreakEvenAmount: BN;
 	openOrders: number;
 	openBids: BN;
 	openAsks: BN;
@@ -630,6 +631,7 @@ export type PerpPosition = {
 
 export type UserStatsAccount = {
 	numberOfSubAccounts: number;
+	maxSubAccountId: number;
 	makerVolume30D: BN;
 	takerVolume30D: BN;
 	fillerVolume30D: BN;

package/tests/dlob/helpers.ts

@@ -20,6 +20,7 @@ import {
 	Wallet,
 	OrderRecord,
 	ExchangeStatus,
+	ZERO,
 } from '../../src';
 
 export const mockPerpPosition: PerpPosition = {
@@ -27,6 +28,7 @@ export const mockPerpPosition: PerpPosition = {
 	lastCumulativeFundingRate: new BN(0),
 	marketIndex: 0,
 	quoteAssetAmount: new BN(0),
+	quoteBreakEvenAmount: new BN(0),
 	quoteEntryAmount: new BN(0),
 	openOrders: 0,
 	openBids: new BN(0),
@@ -83,8 +85,7 @@ export const mockAMM: AMM = {
 	baseAssetAmountWithAmm: new BN(0),
 	baseAssetAmountLong: new BN(0),
 	baseAssetAmountShort: new BN(0),
-	quoteAssetAmountLong: new BN(0),
-	quoteAssetAmountShort: new BN(0),
+	quoteAssetAmount: new BN(0),
 	terminalQuoteAssetReserve: new BN(0),
 	feePool: {
 		scaledBalance: new BN(0),
@@ -97,8 +98,8 @@ export const mockAMM: AMM = {
 	lastOracleValid: true,
 	lastBidPriceTwap: new BN(0),
 	lastAskPriceTwap: new BN(0),
-	longSpread: new BN(0),
-	shortSpread: new BN(0),
+	longSpread: 0,
+	shortSpread: 0,
 	maxSpread: 0,
 	ammJitIntensity: 0,
 	maxBaseAssetReserve: new BN(0),
@@ -118,7 +119,8 @@ export const mockPerpMarkets: Array<PerpMarketAccount> = [
 		marketIndex: 0,
 		pubkey: PublicKey.default,
 		amm: mockAMM,
-		numberOfUsers: new BN(0),
+		numberOfUsersWithBase: 0,
+		numberOfUsers: 0,
 		marginRatioInitial: 0,
 		marginRatioMaintenance: 0,
 		nextFillRecordId: new BN(0),
@@ -126,11 +128,11 @@ export const mockPerpMarkets: Array<PerpMarketAccount> = [
 			scaledBalance: new BN(0),
 			marketIndex: 0,
 		},
-		ifLiquidationFee: new BN(0),
-		liquidatorFee: new BN(0),
-		imfFactor: new BN(0),
-		unrealizedPnlImfFactor: new BN(0),
-		unrealizedPnlMaxImbalance: new BN(0),
+		ifLiquidationFee: 0,
+		liquidatorFee: 0,
+		imfFactor: 0,
+		unrealizedPnlImfFactor: 0,
+		unrealizedPnlMaxImbalance: ZERO,
 		unrealizedPnlInitialAssetWeight: 0,
 		unrealizedPnlMaintenanceAssetWeight: 0,
 		insuranceClaim: {
@@ -150,7 +152,8 @@ export const mockPerpMarkets: Array<PerpMarketAccount> = [
 		marketIndex: 1,
 		pubkey: PublicKey.default,
 		amm: mockAMM,
-		numberOfUsers: new BN(0),
+		numberOfUsersWithBase: 0,
+		numberOfUsers: 0,
 		marginRatioInitial: 0,
 		marginRatioMaintenance: 0,
 		nextFillRecordId: new BN(0),
@@ -158,11 +161,11 @@ export const mockPerpMarkets: Array<PerpMarketAccount> = [
 			scaledBalance: new BN(0),
 			marketIndex: 0,
 		},
-		ifLiquidationFee: new BN(0),
-		liquidatorFee: new BN(0),
-		imfFactor: new BN(0),
-		unrealizedPnlImfFactor: new BN(0),
-		unrealizedPnlMaxImbalance: new BN(0),
+		ifLiquidationFee: 0,
+		liquidatorFee: 0,
+		imfFactor: 0,
+		unrealizedPnlImfFactor: 0,
+		unrealizedPnlMaxImbalance: ZERO,
 		unrealizedPnlInitialAssetWeight: 0,
 		unrealizedPnlMaintenanceAssetWeight: 0,
 		insuranceClaim: {
@@ -182,7 +185,8 @@ export const mockPerpMarkets: Array<PerpMarketAccount> = [
 		marketIndex: 2,
 		pubkey: PublicKey.default,
 		amm: mockAMM,
-		numberOfUsers: new BN(0),
+		numberOfUsersWithBase: 0,
+		numberOfUsers: 0,
 		marginRatioInitial: 0,
 		marginRatioMaintenance: 0,
 		nextFillRecordId: new BN(0),
@@ -190,11 +194,11 @@ export const mockPerpMarkets: Array<PerpMarketAccount> = [
 			scaledBalance: new BN(0),
 			marketIndex: 0,
 		},
-		ifLiquidationFee: new BN(0),
-		liquidatorFee: new BN(0),
-		imfFactor: new BN(0),
-		unrealizedPnlImfFactor: new BN(0),
-		unrealizedPnlMaxImbalance: new BN(0),
+		ifLiquidationFee: 0,
+		liquidatorFee: 0,
+		imfFactor: 0,
+		unrealizedPnlImfFactor: 0,
+		unrealizedPnlMaxImbalance: ZERO,
 		unrealizedPnlInitialAssetWeight: 0,
 		unrealizedPnlMaintenanceAssetWeight: 0,
 		insuranceClaim: {
@@ -231,8 +235,8 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 			totalFactor: 0,
 			userFactor: 0,
 		},
-		ifLiquidationFee: new BN(0),
-		liquidatorFee: new BN(0),
+		ifLiquidationFee: 0,
+		liquidatorFee: 0,
 		decimals: 6,
 		optimalUtilization: 0,
 		optimalBorrowRate: 0,
@@ -244,11 +248,11 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 		lastInterestTs: new BN(0),
 		lastTwapTs: new BN(0),
 		oracle: PublicKey.default,
-		initialAssetWeight: new BN(0),
-		maintenanceAssetWeight: new BN(0),
-		initialLiabilityWeight: new BN(0),
-		maintenanceLiabilityWeight: new BN(0),
-		imfFactor: new BN(0),
+		initialAssetWeight: 0,
+		maintenanceAssetWeight: 0,
+		initialLiabilityWeight: 0,
+		maintenanceLiabilityWeight: 0,
+		imfFactor: 0,
 		withdrawGuardThreshold: new BN(0),
 		depositTokenTwap: new BN(0),
 		borrowTokenTwap: new BN(0),
@@ -301,8 +305,8 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 			totalFactor: 0,
 			userFactor: 0,
 		},
-		ifLiquidationFee: new BN(0),
-		liquidatorFee: new BN(0),
+		ifLiquidationFee: 0,
+		liquidatorFee: 0,
 		decimals: 9,
 		optimalUtilization: 0,
 		optimalBorrowRate: 0,
@@ -314,11 +318,11 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 		lastInterestTs: new BN(0),
 		lastTwapTs: new BN(0),
 		oracle: PublicKey.default,
-		initialAssetWeight: new BN(0),
-		maintenanceAssetWeight: new BN(0),
-		initialLiabilityWeight: new BN(0),
-		maintenanceLiabilityWeight: new BN(0),
-		imfFactor: new BN(0),
+		initialAssetWeight: 0,
+		maintenanceAssetWeight: 0,
+		initialLiabilityWeight: 0,
+		maintenanceLiabilityWeight: 0,
+		imfFactor: 0,
 		withdrawGuardThreshold: new BN(0),
 		depositTokenTwap: new BN(0),
 		borrowTokenTwap: new BN(0),
@@ -371,8 +375,8 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 			totalFactor: 0,
 			userFactor: 0,
 		},
-		ifLiquidationFee: new BN(0),
-		liquidatorFee: new BN(0),
+		ifLiquidationFee: 0,
+		liquidatorFee: 0,
 		decimals: 6,
 		optimalUtilization: 0,
 		optimalBorrowRate: 0,
@@ -384,11 +388,11 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 		lastInterestTs: new BN(0),
 		lastTwapTs: new BN(0),
 		oracle: PublicKey.default,
-		initialAssetWeight: new BN(0),
-		maintenanceAssetWeight: new BN(0),
-		initialLiabilityWeight: new BN(0),
-		maintenanceLiabilityWeight: new BN(0),
-		imfFactor: new BN(0),
+		initialAssetWeight: 0,
+		maintenanceAssetWeight: 0,
+		initialLiabilityWeight: 0,
+		maintenanceLiabilityWeight: 0,
+		imfFactor: 0,
 		withdrawGuardThreshold: new BN(0),
 		depositTokenTwap: new BN(0),
 		borrowTokenTwap: new BN(0),