@drift-labs/sdk 0.2.0-master.4 → 0.2.0-master.41

package/src/math/position.ts

@@ -1,22 +1,23 @@
-import { BN } from '../';
+import { BN, SpotMarketAccount } from '../';
 import {
 	AMM_RESERVE_PRECISION,
 	AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO,
 	AMM_TO_QUOTE_PRECISION_RATIO,
-	FUNDING_PAYMENT_PRECISION,
-	MARK_PRICE_PRECISION,
+	FUNDING_RATE_BUFFER_PRECISION,
+	PRICE_PRECISION,
 	ONE,
-	PRICE_TO_QUOTE_PRECISION,
 	ZERO,
 } from '../constants/numericConstants';
 import { OraclePriceData } from '../oracles/types';
-import { MarketAccount, PositionDirection, UserPosition } from '../types';
+import { PerpMarketAccount, PositionDirection, PerpPosition } from '../types';
 import {
 	calculateUpdatedAMM,
 	calculateUpdatedAMMSpreadReserves,
 	calculateAmmReservesAfterSwap,
 	getSwapDirection,
 } from './amm';
+import { calculateBaseAssetValueWithOracle } from './margin';
+import { calculateNetUserPnlImbalance } from './market';
 
 /**
  * calculateBaseAssetValue
@@ -27,9 +28,11 @@ import {
  * @returns Base Asset Value. : Precision QUOTE_PRECISION
  */
 export function calculateBaseAssetValue(
-	market: MarketAccount,
-	userPosition: UserPosition,
-	oraclePriceData: OraclePriceData
+	market: PerpMarketAccount,
+	userPosition: PerpPosition,
+	oraclePriceData: OraclePriceData,
+	useSpread = true,
+	skipUpdate = false
 ): BN {
 	if (userPosition.baseAssetAmount.eq(ZERO)) {
 		return ZERO;
@@ -38,21 +41,25 @@ export function calculateBaseAssetValue(
 	const directionToClose = findDirectionToClose(userPosition);
 	let prepegAmm: Parameters<typeof calculateAmmReservesAfterSwap>[0];
 
-	if (market.amm.baseSpread > 0) {
-		const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } =
-			calculateUpdatedAMMSpreadReserves(
-				market.amm,
-				directionToClose,
-				oraclePriceData
-			);
-		prepegAmm = {
-			baseAssetReserve,
-			quoteAssetReserve,
-			sqrtK: sqrtK,
-			pegMultiplier: newPeg,
-		};
+	if (!skipUpdate) {
+		if (market.amm.baseSpread > 0 && useSpread) {
+			const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } =
+				calculateUpdatedAMMSpreadReserves(
+					market.amm,
+					directionToClose,
+					oraclePriceData
+				);
+			prepegAmm = {
+				baseAssetReserve,
+				quoteAssetReserve,
+				sqrtK: sqrtK,
+				pegMultiplier: newPeg,
+			};
+		} else {
+			prepegAmm = calculateUpdatedAMM(market.amm, oraclePriceData);
+		}
 	} else {
-		prepegAmm = calculateUpdatedAMM(market.amm, oraclePriceData);
+		prepegAmm = market.amm;
 	}
 
 	const [newQuoteAssetReserve, _] = calculateAmmReservesAfterSwap(
@@ -82,38 +89,36 @@ export function calculateBaseAssetValue(
  * calculatePositionPNL
  * = BaseAssetAmount * (Avg Exit Price - Avg Entry Price)
  * @param market
- * @param marketPosition
+ * @param PerpPosition
  * @param withFunding (adds unrealized funding payment pnl to result)
+ * @param oraclePriceData
  * @returns BaseAssetAmount : Precision QUOTE_PRECISION
  */
 export function calculatePositionPNL(
-	market: MarketAccount,
-	marketPosition: UserPosition,
+	market: PerpMarketAccount,
+	perpPosition: PerpPosition,
 	withFunding = false,
 	oraclePriceData: OraclePriceData
 ): BN {
-	if (marketPosition.baseAssetAmount.eq(ZERO)) {
-		return ZERO;
+	if (perpPosition.baseAssetAmount.eq(ZERO)) {
+		return perpPosition.quoteAssetAmount;
 	}
 
-	const baseAssetValue = calculateBaseAssetValue(
+	const baseAssetValue = calculateBaseAssetValueWithOracle(
 		market,
-		marketPosition,
+		perpPosition,
 		oraclePriceData
 	);
 
-	let pnl;
-	if (marketPosition.baseAssetAmount.gt(ZERO)) {
-		pnl = baseAssetValue.sub(marketPosition.quoteAssetAmount);
-	} else {
-		pnl = marketPosition.quoteAssetAmount.sub(baseAssetValue);
-	}
+	const baseAssetValueSign = perpPosition.baseAssetAmount.isNeg()
+		? new BN(-1)
+		: new BN(1);
+	let pnl = baseAssetValue
+		.mul(baseAssetValueSign)
+		.add(perpPosition.quoteAssetAmount);
 
 	if (withFunding) {
-		const fundingRatePnL = calculatePositionFundingPNL(
-			market,
-			marketPosition
-		).div(PRICE_TO_QUOTE_PRECISION);
+		const fundingRatePnL = calculatePositionFundingPNL(market, perpPosition);
 
 		pnl = pnl.add(fundingRatePnL);
 	}
@@ -121,60 +126,135 @@ export function calculatePositionPNL(
 	return pnl;
 }
 
+export function calculateClaimablePnl(
+	market: PerpMarketAccount,
+	spotMarket: SpotMarketAccount,
+	perpPosition: PerpPosition,
+	oraclePriceData: OraclePriceData
+): BN {
+	const unrealizedPnl = calculatePositionPNL(
+		market,
+		perpPosition,
+		true,
+		oraclePriceData
+	);
+
+	const fundingPnL = calculatePositionFundingPNL(market, perpPosition);
+
+	let unsettledPnl = unrealizedPnl.add(fundingPnL);
+	if (unrealizedPnl.gt(ZERO)) {
+		const excessPnlPool = BN.max(
+			ZERO,
+			calculateNetUserPnlImbalance(market, spotMarket, oraclePriceData).mul(
+				new BN(-1)
+			)
+		);
+
+		const maxPositivePnl = BN.max(
+			perpPosition.quoteAssetAmount
+				.sub(perpPosition.quoteEntryAmount)
+				.add(excessPnlPool),
+			ZERO
+		);
+
+		unsettledPnl = BN.min(maxPositivePnl, unrealizedPnl);
+	}
+	return unsettledPnl;
+}
+
 /**
  *
  * @param market
- * @param marketPosition
+ * @param PerpPosition
  * @returns // TODO-PRECISION
  */
 export function calculatePositionFundingPNL(
-	market: MarketAccount,
-	marketPosition: UserPosition
+	market: PerpMarketAccount,
+	perpPosition: PerpPosition
 ): BN {
-	if (marketPosition.baseAssetAmount.eq(ZERO)) {
+	if (perpPosition.baseAssetAmount.eq(ZERO)) {
 		return ZERO;
 	}
 
 	let ammCumulativeFundingRate: BN;
-	if (marketPosition.baseAssetAmount.gt(ZERO)) {
+	if (perpPosition.baseAssetAmount.gt(ZERO)) {
 		ammCumulativeFundingRate = market.amm.cumulativeFundingRateLong;
 	} else {
 		ammCumulativeFundingRate = market.amm.cumulativeFundingRateShort;
 	}
 
 	const perPositionFundingRate = ammCumulativeFundingRate
-		.sub(marketPosition.lastCumulativeFundingRate)
-		.mul(marketPosition.baseAssetAmount)
+		.sub(perpPosition.lastCumulativeFundingRate)
+		.mul(perpPosition.baseAssetAmount)
 		.div(AMM_RESERVE_PRECISION)
-		.div(FUNDING_PAYMENT_PRECISION)
+		.div(FUNDING_RATE_BUFFER_PRECISION)
 		.mul(new BN(-1));
 
 	return perPositionFundingRate;
 }
 
-export function positionIsAvailable(position: UserPosition): boolean {
-	return position.baseAssetAmount.eq(ZERO) && position.openOrders.eq(ZERO);
+export function positionIsAvailable(position: PerpPosition): boolean {
+	return (
+		position.baseAssetAmount.eq(ZERO) &&
+		position.openOrders === 0 &&
+		position.quoteAssetAmount.eq(ZERO) &&
+		position.lpShares.eq(ZERO)
+	);
 }
 
 /**
  *
  * @param userPosition
- * @returns Precision: MARK_PRICE_PRECISION (10^10)
+ * @returns Precision: PRICE_PRECISION (10^6)
  */
-export function calculateEntryPrice(userPosition: UserPosition): BN {
+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)) {
+		return ZERO;
+	}
+
+	return userPosition.quoteEntryAmount
+		.mul(PRICE_PRECISION)
+		.mul(AMM_TO_QUOTE_PRECISION_RATIO)
+		.div(userPosition.baseAssetAmount)
+		.abs();
+}
+
+/**
+ *
+ * @param userPosition
+ * @returns Precision: PRICE_PRECISION (10^10)
+ */
+export function calculateCostBasis(userPosition: PerpPosition): BN {
 	if (userPosition.baseAssetAmount.eq(ZERO)) {
 		return ZERO;
 	}
 
 	return userPosition.quoteAssetAmount
-		.mul(MARK_PRICE_PRECISION)
+		.mul(PRICE_PRECISION)
 		.mul(AMM_TO_QUOTE_PRECISION_RATIO)
 		.div(userPosition.baseAssetAmount)
 		.abs();
 }
 
 export function findDirectionToClose(
-	userPosition: UserPosition
+	userPosition: PerpPosition
 ): PositionDirection {
 	return userPosition.baseAssetAmount.gt(ZERO)
 		? PositionDirection.SHORT
@@ -182,15 +262,13 @@ export function findDirectionToClose(
 }
 
 export function positionCurrentDirection(
-	userPosition: UserPosition
+	userPosition: PerpPosition
 ): PositionDirection {
 	return userPosition.baseAssetAmount.gte(ZERO)
 		? PositionDirection.LONG
 		: PositionDirection.SHORT;
 }
 
-export function isEmptyPosition(userPosition: UserPosition): boolean {
-	return (
-		userPosition.baseAssetAmount.eq(ZERO) && userPosition.openOrders.eq(ZERO)
-	);
+export function isEmptyPosition(userPosition: PerpPosition): boolean {
+	return userPosition.baseAssetAmount.eq(ZERO) && userPosition.openOrders === 0;
 }

package/src/math/repeg.ts

@@ -1,7 +1,7 @@
 import { BN } from '@project-serum/anchor';
 import { assert } from '../assert/assert';
 import {
-	MARK_PRICE_PRECISION,
+	PRICE_PRECISION,
 	AMM_RESERVE_PRECISION,
 	PEG_PRECISION,
 	AMM_TO_QUOTE_PRECISION_RATIO,
@@ -26,20 +26,20 @@ export function calculateAdjustKCost(
 	const x = amm.baseAssetReserve;
 	const y = amm.quoteAssetReserve;
 
-	const d = amm.netBaseAssetAmount;
+	const d = amm.baseAssetAmountWithAmm;
 	const Q = amm.pegMultiplier;
 
 	const quoteScale = y.mul(d).mul(Q); //.div(AMM_RESERVE_PRECISION);
 
-	const p = numerator.mul(MARK_PRICE_PRECISION).div(denomenator);
+	const p = numerator.mul(PRICE_PRECISION).div(denomenator);
 
 	const cost = quoteScale
 		.div(x.add(d))
 		.sub(
 			quoteScale
 				.mul(p)
-				.div(MARK_PRICE_PRECISION)
-				.div(x.mul(p).div(MARK_PRICE_PRECISION).add(d))
+				.div(PRICE_PRECISION)
+				.div(x.mul(p).div(PRICE_PRECISION).add(d))
 		)
 		.div(AMM_TO_QUOTE_PRECISION_RATIO)
 		.div(PEG_PRECISION);
@@ -98,6 +98,16 @@ export function calculateBudgetedKBN(
 		.div(QUOTE_PRECISION);
 	const denom2 = pegged_y_d_d;
 
+	// protocol is spending to increase k
+	if (C.lt(ZERO)) {
+		// thus denom1 is negative and solution is unstable
+		if (denom1.abs().gt(denom2.abs())) {
+			console.log('denom1 > denom2', denom1.toString(), denom2.toString());
+			console.log('budget cost exceeds stable K solution');
+			return [new BN(10000), new BN(1)];
+		}
+	}
+
 	const numerator = numer1.sub(numer2).div(AMM_TO_QUOTE_PRECISION_RATIO);
 	const denominator = denom1.add(denom2).div(AMM_TO_QUOTE_PRECISION_RATIO);
 
@@ -125,7 +135,7 @@ export function calculateBudgetedK(amm: AMM, cost: BN): [BN, BN] {
 	const x = amm.baseAssetReserve;
 	const y = amm.quoteAssetReserve;
 
-	const d = amm.netBaseAssetAmount;
+	const d = amm.baseAssetAmountWithAmm;
 	const Q = amm.pegMultiplier;
 
 	const [numerator, denominator] = calculateBudgetedKBN(x, y, cost, Q, d);
@@ -149,7 +159,7 @@ export function calculateBudgetedPeg(amm: AMM, cost: BN, targetPrice: BN): BN {
 	const x = amm.baseAssetReserve;
 	const y = amm.quoteAssetReserve;
 
-	const d = amm.netBaseAssetAmount;
+	const d = amm.baseAssetAmountWithAmm;
 	const Q = amm.pegMultiplier;
 
 	const C = cost.mul(new BN(-1));
@@ -165,11 +175,11 @@ export function calculateBudgetedPeg(amm: AMM, cost: BN, targetPrice: BN): BN {
 		return targetPeg;
 	}
 
-	const deltaPegMultiplier = C.mul(MARK_PRICE_PRECISION).div(
+	const deltaPegMultiplier = C.mul(PRICE_PRECISION).div(
 		deltaQuoteAssetReserves.div(AMM_TO_QUOTE_PRECISION_RATIO)
 	);
 	const newPeg = Q.sub(
-		deltaPegMultiplier.mul(PEG_PRECISION).div(MARK_PRICE_PRECISION)
+		deltaPegMultiplier.mul(PEG_PRECISION).div(PRICE_PRECISION)
 	);
 
 	return newPeg;

package/src/math/spotBalance.ts

@@ -0,0 +1,319 @@
+import {
+	SpotMarketAccount,
+	SpotBalanceType,
+	isVariant,
+	MarginCategory,
+} from '../types';
+import { BN } from '@project-serum/anchor';
+import {
+	SPOT_MARKET_UTILIZATION_PRECISION,
+	ONE,
+	TEN,
+	ZERO,
+	SPOT_MARKET_RATE_PRECISION,
+	SPOT_MARKET_WEIGHT_PRECISION,
+	ONE_YEAR,
+	AMM_RESERVE_PRECISION,
+} from '../constants/numericConstants';
+import {
+	calculateSizeDiscountAssetWeight,
+	calculateSizePremiumLiabilityWeight,
+} from './margin';
+import { OraclePriceData } from '../oracles/types';
+
+export function getBalance(
+	tokenAmount: BN,
+	spotMarket: SpotMarketAccount,
+	balanceType: SpotBalanceType
+): BN {
+	const precisionIncrease = TEN.pow(new BN(19 - spotMarket.decimals));
+
+	const cumulativeInterest = isVariant(balanceType, 'deposit')
+		? spotMarket.cumulativeDepositInterest
+		: spotMarket.cumulativeBorrowInterest;
+
+	let balance = tokenAmount.mul(precisionIncrease).div(cumulativeInterest);
+
+	if (!balance.eq(ZERO) && isVariant(balanceType, 'borrow')) {
+		balance = balance.add(ONE);
+	}
+
+	return balance;
+}
+
+export function getTokenAmount(
+	balanceAmount: BN,
+	spotMarket: SpotMarketAccount,
+	balanceType: SpotBalanceType
+): BN {
+	const precisionDecrease = TEN.pow(new BN(19 - spotMarket.decimals));
+
+	const cumulativeInterest = isVariant(balanceType, 'deposit')
+		? spotMarket.cumulativeDepositInterest
+		: spotMarket.cumulativeBorrowInterest;
+
+	return balanceAmount.mul(cumulativeInterest).div(precisionDecrease);
+}
+
+export function getSignedTokenAmount(
+	tokenAmount: BN,
+	balanceType: SpotBalanceType
+): BN {
+	if (isVariant(balanceType, 'deposit')) {
+		return tokenAmount;
+	} else {
+		return tokenAmount.abs().neg();
+	}
+}
+
+export function getTokenValue(
+	tokenAmount: BN,
+	spotDecimals: number,
+	oraclePriceData: OraclePriceData
+): BN {
+	if (tokenAmount.eq(ZERO)) {
+		return ZERO;
+	}
+
+	const precisionDecrease = TEN.pow(new BN(spotDecimals));
+
+	return tokenAmount.mul(oraclePriceData.price).div(precisionDecrease);
+}
+
+export function calculateAssetWeight(
+	balanceAmount: BN,
+	spotMarket: SpotMarketAccount,
+	marginCategory: MarginCategory
+): BN {
+	const sizePrecision = TEN.pow(new BN(spotMarket.decimals));
+	let sizeInAmmReservePrecision;
+	if (sizePrecision.gt(AMM_RESERVE_PRECISION)) {
+		sizeInAmmReservePrecision = balanceAmount.div(
+			sizePrecision.div(AMM_RESERVE_PRECISION)
+		);
+	} else {
+		sizeInAmmReservePrecision = balanceAmount
+			.mul(AMM_RESERVE_PRECISION)
+			.div(sizePrecision);
+	}
+
+	let assetWeight;
+
+	switch (marginCategory) {
+		case 'Initial':
+			assetWeight = calculateSizeDiscountAssetWeight(
+				sizeInAmmReservePrecision,
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.initialAssetWeight)
+			);
+			break;
+		case 'Maintenance':
+			assetWeight = calculateSizeDiscountAssetWeight(
+				sizeInAmmReservePrecision,
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.maintenanceAssetWeight)
+			);
+			break;
+		default:
+			assetWeight = new BN(spotMarket.initialAssetWeight);
+			break;
+	}
+
+	return assetWeight;
+}
+
+export function calculateLiabilityWeight(
+	balanceAmount: BN,
+	spotMarket: SpotMarketAccount,
+	marginCategory: MarginCategory
+): BN {
+	const sizePrecision = TEN.pow(new BN(spotMarket.decimals));
+	let sizeInAmmReservePrecision;
+	if (sizePrecision.gt(AMM_RESERVE_PRECISION)) {
+		sizeInAmmReservePrecision = balanceAmount.div(
+			sizePrecision.div(AMM_RESERVE_PRECISION)
+		);
+	} else {
+		sizeInAmmReservePrecision = balanceAmount
+			.mul(AMM_RESERVE_PRECISION)
+			.div(sizePrecision);
+	}
+
+	let assetWeight;
+
+	switch (marginCategory) {
+		case 'Initial':
+			assetWeight = calculateSizePremiumLiabilityWeight(
+				sizeInAmmReservePrecision,
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.initialLiabilityWeight),
+				SPOT_MARKET_WEIGHT_PRECISION
+			);
+			break;
+		case 'Maintenance':
+			assetWeight = calculateSizePremiumLiabilityWeight(
+				sizeInAmmReservePrecision,
+				new BN(spotMarket.imfFactor),
+				new BN(spotMarket.maintenanceLiabilityWeight),
+				SPOT_MARKET_WEIGHT_PRECISION
+			);
+			break;
+		default:
+			assetWeight = spotMarket.initialLiabilityWeight;
+			break;
+	}
+
+	return assetWeight;
+}
+
+export function calculateUtilization(bank: SpotMarketAccount): BN {
+	const tokenDepositAmount = getTokenAmount(
+		bank.depositBalance,
+		bank,
+		SpotBalanceType.DEPOSIT
+	);
+	const tokenBorrowAmount = getTokenAmount(
+		bank.borrowBalance,
+		bank,
+		SpotBalanceType.BORROW
+	);
+
+	let utilization: BN;
+	if (tokenBorrowAmount.eq(ZERO) && tokenDepositAmount.eq(ZERO)) {
+		utilization = ZERO;
+	} else if (tokenDepositAmount.eq(ZERO)) {
+		utilization = SPOT_MARKET_UTILIZATION_PRECISION;
+	} else {
+		utilization = tokenBorrowAmount
+			.mul(SPOT_MARKET_UTILIZATION_PRECISION)
+			.div(tokenDepositAmount);
+	}
+
+	return utilization;
+}
+
+export function calculateInterestRate(bank: SpotMarketAccount): BN {
+	const utilization = calculateUtilization(bank);
+
+	let interestRate: BN;
+	if (utilization.gt(new BN(bank.optimalUtilization))) {
+		const surplusUtilization = utilization.sub(new BN(bank.optimalUtilization));
+		const borrowRateSlope = new BN(bank.maxBorrowRate - bank.optimalBorrowRate)
+			.mul(SPOT_MARKET_UTILIZATION_PRECISION)
+			.div(
+				SPOT_MARKET_UTILIZATION_PRECISION.sub(new BN(bank.optimalUtilization))
+			);
+
+		interestRate = new BN(bank.optimalBorrowRate).add(
+			surplusUtilization
+				.mul(borrowRateSlope)
+				.div(SPOT_MARKET_UTILIZATION_PRECISION)
+		);
+	} else {
+		const borrowRateSlope = new BN(bank.optimalBorrowRate)
+			.mul(SPOT_MARKET_UTILIZATION_PRECISION)
+			.div(
+				SPOT_MARKET_UTILIZATION_PRECISION.sub(new BN(bank.optimalUtilization))
+			);
+
+		interestRate = utilization
+			.mul(borrowRateSlope)
+			.div(SPOT_MARKET_UTILIZATION_PRECISION);
+	}
+
+	return interestRate;
+}
+
+export function calculateDepositRate(bank: SpotMarketAccount): BN {
+	const utilization = calculateUtilization(bank);
+	const borrowRate = calculateBorrowRate(bank);
+	const depositRate = borrowRate
+		.mul(utilization)
+		.div(SPOT_MARKET_UTILIZATION_PRECISION);
+	return depositRate;
+}
+
+export function calculateBorrowRate(bank: SpotMarketAccount): BN {
+	return calculateInterestRate(bank);
+}
+
+export function calculateInterestAccumulated(
+	bank: SpotMarketAccount,
+	now: BN
+): { borrowInterest: BN; depositInterest: BN } {
+	const interestRate = calculateInterestRate(bank);
+
+	const timeSinceLastUpdate = now.sub(bank.lastInterestTs);
+
+	const modifiedBorrowRate = interestRate.mul(timeSinceLastUpdate);
+
+	const utilization = calculateUtilization(bank);
+
+	const modifiedDepositRate = modifiedBorrowRate
+		.mul(utilization)
+		.div(SPOT_MARKET_UTILIZATION_PRECISION);
+
+	const borrowInterest = bank.cumulativeBorrowInterest
+		.mul(modifiedBorrowRate)
+		.div(ONE_YEAR)
+		.div(SPOT_MARKET_RATE_PRECISION)
+		.add(ONE);
+	const depositInterest = bank.cumulativeDepositInterest
+		.mul(modifiedDepositRate)
+		.div(ONE_YEAR)
+		.div(SPOT_MARKET_RATE_PRECISION);
+
+	return { borrowInterest, depositInterest };
+}
+
+export function calculateWithdrawLimit(
+	spotMarket: SpotMarketAccount,
+	now: BN
+): { borrowLimit: BN; withdrawLimit: BN } {
+	const marketDepositTokenAmount = getTokenAmount(
+		spotMarket.depositBalance,
+		spotMarket,
+		SpotBalanceType.DEPOSIT
+	);
+	const marketBorrowTokenAmount = getTokenAmount(
+		spotMarket.borrowBalance,
+		spotMarket,
+		SpotBalanceType.BORROW
+	);
+
+	const twentyFourHours = new BN(60 * 60 * 24);
+	const sinceLast = now.sub(spotMarket.lastTwapTs);
+	const sinceStart = BN.max(ZERO, twentyFourHours.sub(sinceLast));
+	const borrowTokenTwapLive = spotMarket.borrowTokenTwap
+		.mul(sinceStart)
+		.add(marketBorrowTokenAmount.mul(sinceLast))
+		.div(sinceLast.add(sinceStart));
+
+	const depositTokenTwapLive = spotMarket.depositTokenTwap
+		.mul(sinceStart)
+		.add(marketDepositTokenAmount.mul(sinceLast))
+		.div(sinceLast.add(sinceStart));
+
+	const maxBorrowTokens = BN.min(
+		BN.max(
+			marketDepositTokenAmount.div(new BN(6)),
+			borrowTokenTwapLive.add(borrowTokenTwapLive.div(new BN(5)))
+		),
+		marketDepositTokenAmount.sub(marketDepositTokenAmount.div(new BN(5)))
+	); // between ~15-80% utilization with friction on twap
+
+	const minDepositTokens = depositTokenTwapLive.sub(
+		BN.min(
+			BN.max(
+				depositTokenTwapLive.div(new BN(5)),
+				spotMarket.withdrawGuardThreshold
+			),
+			depositTokenTwapLive
+		)
+	);
+
+	return {
+		borrowLimit: maxBorrowTokens.sub(marketBorrowTokenAmount),
+		withdrawLimit: marketDepositTokenAmount.sub(minDepositTokens),
+	};
+}