@drift-labs/sdk 0.2.0-temp.0 → 0.2.0-temp.1

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/auction.ts

@@ -2,7 +2,11 @@ import { isVariant, Order } from '../types';
 import { BN, ZERO } from '../.';
 
 export function isAuctionComplete(order: Order, slot: number): boolean {
-	return new BN(slot).sub(order.slot).gte(new BN(order.auctionDuration));
+	if (order.auctionDuration === 0) {
+		return true;
+	}
+
+	return new BN(slot).sub(order.slot).gt(new BN(order.auctionDuration));
 }
 
 export function getAuctionPrice(order: Order, slot: number): BN {

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/oracles.js

@@ -0,0 +1,26 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.isOracleValid = void 0;
+const numericConstants_1 = require("../constants/numericConstants");
+const index_1 = require("../index");
+function isOracleValid(amm, oraclePriceData, oracleGuardRails, slot) {
+    const isOraclePriceNonPositive = oraclePriceData.price.lt(numericConstants_1.ZERO);
+    const isOraclePriceTooVolatile = oraclePriceData.price
+        .div(index_1.BN.max(numericConstants_1.ONE, amm.lastOraclePriceTwap))
+        .gt(oracleGuardRails.validity.tooVolatileRatio) ||
+        amm.lastOraclePriceTwap
+            .div(index_1.BN.max(numericConstants_1.ONE, oraclePriceData.price))
+            .gt(oracleGuardRails.validity.tooVolatileRatio);
+    const isConfidenceTooLarge = oraclePriceData.price
+        .div(index_1.BN.max(numericConstants_1.ONE, oraclePriceData.confidence))
+        .lt(oracleGuardRails.validity.confidenceIntervalMaxSize);
+    const oracleIsStale = oraclePriceData.slot
+        .sub(new index_1.BN(slot))
+        .gt(oracleGuardRails.validity.slotsBeforeStale);
+    return !(!oraclePriceData.hasSufficientNumberOfDataPoints ||
+        oracleIsStale ||
+        isOraclePriceNonPositive ||
+        isOraclePriceTooVolatile ||
+        isConfidenceTooLarge);
+}
+exports.isOracleValid = isOracleValid;

package/src/math/orders.ts

@@ -1,9 +1,10 @@
 import { ClearingHouseUser } from '../clearingHouseUser';
-import { isOneOfVariant, isVariant, Order } from '../types';
+import { isOneOfVariant, isVariant, MarketAccount, Order } from '../types';
 import { ZERO, TWO } from '../constants/numericConstants';
 import { BN } from '@project-serum/anchor';
 import { OraclePriceData } from '../oracles/types';
-import { getAuctionPrice } from './auction';
+import { getAuctionPrice, isAuctionComplete } from './auction';
+import { calculateAskPrice, calculateBidPrice } from './market';
 
 export function isOrderRiskIncreasing(
 	user: ClearingHouseUser,
@@ -120,6 +121,7 @@ export function standardizeBaseAssetAmount(
 
 export function getLimitPrice(
 	order: Order,
+	market: MarketAccount,
 	oraclePriceData: OraclePriceData,
 	slot: number
 ): BN {
@@ -127,7 +129,19 @@ export function getLimitPrice(
 	if (!order.oraclePriceOffset.eq(ZERO)) {
 		limitPrice = oraclePriceData.price.add(order.oraclePriceOffset);
 	} else if (isOneOfVariant(order.orderType, ['market', 'triggerMarket'])) {
-		limitPrice = getAuctionPrice(order, slot);
+		if (isAuctionComplete(order, slot)) {
+			limitPrice = getAuctionPrice(order, slot);
+		} else if (!order.price.eq(ZERO)) {
+			limitPrice = order.price;
+		} else if (isVariant(order.direction, 'long')) {
+			const askPrice = calculateAskPrice(market, oraclePriceData);
+			const delta = askPrice.div(new BN(market.amm.maxSlippageRatio));
+			limitPrice = askPrice.add(delta);
+		} else {
+			const bidPrice = calculateBidPrice(market, oraclePriceData);
+			const delta = bidPrice.div(new BN(market.amm.maxSlippageRatio));
+			limitPrice = bidPrice.sub(delta);
+		}
 	} else {
 		limitPrice = order.price;
 	}

package/src/math/position.ts

@@ -153,7 +153,11 @@ export function calculatePositionFundingPNL(
 }
 
 export function positionIsAvailable(position: UserPosition): boolean {
-	return position.baseAssetAmount.eq(ZERO) && position.openOrders.eq(ZERO);
+	return (
+		position.baseAssetAmount.eq(ZERO) &&
+		position.openOrders.eq(ZERO) &&
+		position.unsettledPnl.eq(ZERO)
+	);
 }
 
 /**

package/src/math/repeg.js

@@ -0,0 +1,128 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateBudgetedPeg = exports.calculateBudgetedK = exports.calculateBudgetedKBN = exports.calculateRepegCost = exports.calculateAdjustKCost = void 0;
+const anchor_1 = require("@project-serum/anchor");
+const assert_1 = require("../assert/assert");
+const numericConstants_1 = require("../constants/numericConstants");
+/**
+ * Helper function calculating adjust k cost
+ * @param amm
+ * @param numerator
+ * @param denomenator
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+function calculateAdjustKCost(amm, numerator, denomenator) {
+    // const k = market.amm.sqrtK.mul(market.amm.sqrtK);
+    const x = amm.baseAssetReserve;
+    const y = amm.quoteAssetReserve;
+    const d = amm.netBaseAssetAmount;
+    const Q = amm.pegMultiplier;
+    const quoteScale = y.mul(d).mul(Q); //.div(AMM_RESERVE_PRECISION);
+    const p = numerator.mul(numericConstants_1.MARK_PRICE_PRECISION).div(denomenator);
+    const cost = quoteScale
+        .div(x.add(d))
+        .sub(quoteScale
+        .mul(p)
+        .div(numericConstants_1.MARK_PRICE_PRECISION)
+        .div(x.mul(p).div(numericConstants_1.MARK_PRICE_PRECISION).add(d)))
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO)
+        .div(numericConstants_1.PEG_PRECISION);
+    return cost.mul(new anchor_1.BN(-1));
+}
+exports.calculateAdjustKCost = calculateAdjustKCost;
+/**
+ * Helper function calculating adjust pegMultiplier (repeg) cost
+ *
+ * @param amm
+ * @param newPeg
+ * @returns cost : Precision QUOTE_ASSET_PRECISION
+ */
+function calculateRepegCost(amm, newPeg) {
+    const dqar = amm.quoteAssetReserve.sub(amm.terminalQuoteAssetReserve);
+    const cost = dqar
+        .mul(newPeg.sub(amm.pegMultiplier))
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO)
+        .div(numericConstants_1.PEG_PRECISION);
+    return cost;
+}
+exports.calculateRepegCost = calculateRepegCost;
+function calculateBudgetedKBN(x, y, budget, Q, d) {
+    assert_1.assert(Q.gt(new anchor_1.BN(0)));
+    const C = budget.mul(new anchor_1.BN(-1));
+    let dSign = new anchor_1.BN(1);
+    if (d.lt(new anchor_1.BN(0))) {
+        dSign = new anchor_1.BN(-1);
+    }
+    const pegged_y_d_d = y
+        .mul(d)
+        .mul(d)
+        .mul(Q)
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.PEG_PRECISION);
+    const numer1 = pegged_y_d_d;
+    const numer2 = C.mul(d)
+        .div(numericConstants_1.QUOTE_PRECISION)
+        .mul(x.add(d))
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .mul(dSign);
+    const denom1 = C.mul(x)
+        .mul(x.add(d))
+        .div(numericConstants_1.AMM_RESERVE_PRECISION)
+        .div(numericConstants_1.QUOTE_PRECISION);
+    const denom2 = pegged_y_d_d;
+    const numerator = numer1.sub(numer2).div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO);
+    const denominator = denom1.add(denom2).div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO);
+    return [numerator, denominator];
+}
+exports.calculateBudgetedKBN = calculateBudgetedKBN;
+function calculateBudgetedK(amm, cost) {
+    // wolframalpha.com
+    // (1/(x+d) - p/(x*p+d))*y*d*Q = C solve for p
+    // p = (d(y*d*Q - C(x+d))) / (C*x(x+d) + y*d*d*Q)
+    // numer
+    //   =  y*d*d*Q - Cxd - Cdd
+    //   =  y/x*Q*d*d - Cd - Cd/x
+    //   = mark      - C/d - C/(x)
+    //   =  mark/C    - 1/d - 1/x
+    // denom
+    // = C*x*x + C*x*d + y*d*d*Q
+    // = x/d**2 + 1 / d + mark/C
+    // todo: assumes k = x * y
+    // otherwise use: (y(1-p) + (kp^2/(x*p+d)) - k/(x+d)) * Q = C solve for p
+    const x = amm.baseAssetReserve;
+    const y = amm.quoteAssetReserve;
+    const d = amm.netBaseAssetAmount;
+    const Q = amm.pegMultiplier;
+    const [numerator, denominator] = calculateBudgetedKBN(x, y, cost, Q, d);
+    return [numerator, denominator];
+}
+exports.calculateBudgetedK = calculateBudgetedK;
+function calculateBudgetedPeg(amm, cost, targetPrice) {
+    // wolframalpha.com
+    // (1/(x+d) - p/(x*p+d))*y*d*Q = C solve for p
+    // p = (d(y*d*Q - C(x+d))) / (C*x(x+d) + y*y*d*Q)
+    // todo: assumes k = x * y
+    // otherwise use: (y(1-p) + (kp^2/(x*p+d)) - k/(x+d)) * Q = C solve for p
+    const targetPeg = targetPrice
+        .mul(amm.baseAssetReserve)
+        .div(amm.quoteAssetReserve)
+        .div(numericConstants_1.PRICE_DIV_PEG);
+    const k = amm.sqrtK.mul(amm.sqrtK);
+    const x = amm.baseAssetReserve;
+    const y = amm.quoteAssetReserve;
+    const d = amm.netBaseAssetAmount;
+    const Q = amm.pegMultiplier;
+    const C = cost.mul(new anchor_1.BN(-1));
+    const deltaQuoteAssetReserves = y.sub(k.div(x.add(d)));
+    const pegChangeDirection = targetPeg.sub(Q);
+    const useTargetPeg = (deltaQuoteAssetReserves.lt(numericConstants_1.ZERO) && pegChangeDirection.gt(numericConstants_1.ZERO)) ||
+        (deltaQuoteAssetReserves.gt(numericConstants_1.ZERO) && pegChangeDirection.lt(numericConstants_1.ZERO));
+    if (deltaQuoteAssetReserves.eq(numericConstants_1.ZERO) || useTargetPeg) {
+        return targetPeg;
+    }
+    const deltaPegMultiplier = C.mul(numericConstants_1.MARK_PRICE_PRECISION).div(deltaQuoteAssetReserves.div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO));
+    const newPeg = Q.sub(deltaPegMultiplier.mul(numericConstants_1.PEG_PRECISION).div(numericConstants_1.MARK_PRICE_PRECISION));
+    return newPeg;
+}
+exports.calculateBudgetedPeg = calculateBudgetedPeg;

package/src/math/state.js

@@ -0,0 +1,15 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getExchangeFee = void 0;
+/**
+ * Get the clearing house percent fee charged on notional of taking trades
+ *
+ * @param state
+ * @returns Precision : basis points (bps)
+ */
+function getExchangeFee(state) {
+    const exchangeFee = state.feeStructure.feeNumerator.toNumber() /
+        state.feeStructure.feeDenominator.toNumber();
+    return exchangeFee;
+}
+exports.getExchangeFee = getExchangeFee;