@drift-labs/sdk 0.2.0-temp.2 → 2.0.1

package/lib/index.d.ts

@@ -6,26 +6,34 @@ export * from './oracles/types';
 export * from './oracles/pythClient';
 export * from './oracles/switchboardClient';
 export * from './types';
-export * from './constants/markets';
+export * from './constants/perpMarkets';
 export * from './accounts/fetch';
-export * from './accounts/webSocketClearingHouseAccountSubscriber';
+export * from './accounts/webSocketDriftClientAccountSubscriber';
 export * from './accounts/bulkAccountLoader';
 export * from './accounts/bulkUserSubscription';
-export * from './accounts/pollingClearingHouseAccountSubscriber';
-export * from './accounts/pollingOracleSubscriber';
+export * from './accounts/bulkUserStatsSubscription';
+export * from './accounts/pollingDriftClientAccountSubscriber';
+export * from './accounts/pollingOracleAccountSubscriber';
 export * from './accounts/pollingTokenAccountSubscriber';
+export * from './accounts/pollingUserAccountSubscriber';
+export * from './accounts/pollingUserStatsAccountSubscriber';
 export * from './accounts/types';
 export * from './addresses/pda';
-export * from './admin';
-export * from './clearingHouseUser';
-export * from './clearingHouseUserConfig';
-export * from './clearingHouse';
+export * from './adminClient';
+export * from './user';
+export * from './userConfig';
+export * from './userStats';
+export * from './userStatsConfig';
+export * from './driftClient';
 export * from './factory/oracleClient';
 export * from './factory/bigNum';
 export * from './events/types';
 export * from './events/eventSubscriber';
+export * from './events/fetchLogs';
 export * from './math/auction';
+export * from './math/spotMarket';
 export * from './math/conversion';
+export * from './math/exchangeStatus';
 export * from './math/funding';
 export * from './math/market';
 export * from './math/position';
@@ -34,7 +42,8 @@ export * from './math/amm';
 export * from './math/trade';
 export * from './math/orders';
 export * from './math/repeg';
-export * from './orders';
+export * from './math/margin';
+export * from './math/insurance';
 export * from './orderParams';
 export * from './slot/SlotSubscriber';
 export * from './wallet';
@@ -42,10 +51,18 @@ export * from './types';
 export * from './math/utils';
 export * from './config';
 export * from './constants/numericConstants';
+export * from './serum/serumSubscriber';
+export * from './serum/serumFulfillmentConfigMap';
 export * from './tx/retryTxSender';
 export * from './util/computeUnits';
 export * from './util/tps';
-export * from './math/bankBalance';
-export * from './constants/banks';
-export * from './clearingHouseConfig';
+export * from './util/promiseTimeout';
+export * from './math/spotBalance';
+export * from './constants/spotMarkets';
+export * from './driftClientConfig';
+export * from './dlob/DLOB';
+export * from './dlob/DLOBNode';
+export * from './dlob/NodeList';
+export * from './userMap/userMap';
+export * from './userMap/userStatsMap';
 export { BN, PublicKey, pyth };

package/lib/index.js

@@ -29,26 +29,34 @@ __exportStar(require("./oracles/types"), exports);
 __exportStar(require("./oracles/pythClient"), exports);
 __exportStar(require("./oracles/switchboardClient"), exports);
 __exportStar(require("./types"), exports);
-__exportStar(require("./constants/markets"), exports);
+__exportStar(require("./constants/perpMarkets"), exports);
 __exportStar(require("./accounts/fetch"), exports);
-__exportStar(require("./accounts/webSocketClearingHouseAccountSubscriber"), exports);
+__exportStar(require("./accounts/webSocketDriftClientAccountSubscriber"), exports);
 __exportStar(require("./accounts/bulkAccountLoader"), exports);
 __exportStar(require("./accounts/bulkUserSubscription"), exports);
-__exportStar(require("./accounts/pollingClearingHouseAccountSubscriber"), exports);
-__exportStar(require("./accounts/pollingOracleSubscriber"), exports);
+__exportStar(require("./accounts/bulkUserStatsSubscription"), exports);
+__exportStar(require("./accounts/pollingDriftClientAccountSubscriber"), exports);
+__exportStar(require("./accounts/pollingOracleAccountSubscriber"), exports);
 __exportStar(require("./accounts/pollingTokenAccountSubscriber"), exports);
+__exportStar(require("./accounts/pollingUserAccountSubscriber"), exports);
+__exportStar(require("./accounts/pollingUserStatsAccountSubscriber"), exports);
 __exportStar(require("./accounts/types"), exports);
 __exportStar(require("./addresses/pda"), exports);
-__exportStar(require("./admin"), exports);
-__exportStar(require("./clearingHouseUser"), exports);
-__exportStar(require("./clearingHouseUserConfig"), exports);
-__exportStar(require("./clearingHouse"), exports);
+__exportStar(require("./adminClient"), exports);
+__exportStar(require("./user"), exports);
+__exportStar(require("./userConfig"), exports);
+__exportStar(require("./userStats"), exports);
+__exportStar(require("./userStatsConfig"), exports);
+__exportStar(require("./driftClient"), exports);
 __exportStar(require("./factory/oracleClient"), exports);
 __exportStar(require("./factory/bigNum"), exports);
 __exportStar(require("./events/types"), exports);
 __exportStar(require("./events/eventSubscriber"), exports);
+__exportStar(require("./events/fetchLogs"), exports);
 __exportStar(require("./math/auction"), exports);
+__exportStar(require("./math/spotMarket"), exports);
 __exportStar(require("./math/conversion"), exports);
+__exportStar(require("./math/exchangeStatus"), exports);
 __exportStar(require("./math/funding"), exports);
 __exportStar(require("./math/market"), exports);
 __exportStar(require("./math/position"), exports);
@@ -57,7 +65,8 @@ __exportStar(require("./math/amm"), exports);
 __exportStar(require("./math/trade"), exports);
 __exportStar(require("./math/orders"), exports);
 __exportStar(require("./math/repeg"), exports);
-__exportStar(require("./orders"), exports);
+__exportStar(require("./math/margin"), exports);
+__exportStar(require("./math/insurance"), exports);
 __exportStar(require("./orderParams"), exports);
 __exportStar(require("./slot/SlotSubscriber"), exports);
 __exportStar(require("./wallet"), exports);
@@ -65,9 +74,17 @@ __exportStar(require("./types"), exports);
 __exportStar(require("./math/utils"), exports);
 __exportStar(require("./config"), exports);
 __exportStar(require("./constants/numericConstants"), exports);
+__exportStar(require("./serum/serumSubscriber"), exports);
+__exportStar(require("./serum/serumFulfillmentConfigMap"), exports);
 __exportStar(require("./tx/retryTxSender"), exports);
 __exportStar(require("./util/computeUnits"), exports);
 __exportStar(require("./util/tps"), exports);
-__exportStar(require("./math/bankBalance"), exports);
-__exportStar(require("./constants/banks"), exports);
-__exportStar(require("./clearingHouseConfig"), exports);
+__exportStar(require("./util/promiseTimeout"), exports);
+__exportStar(require("./math/spotBalance"), exports);
+__exportStar(require("./constants/spotMarkets"), exports);
+__exportStar(require("./driftClientConfig"), exports);
+__exportStar(require("./dlob/DLOB"), exports);
+__exportStar(require("./dlob/DLOBNode"), exports);
+__exportStar(require("./dlob/NodeList"), exports);
+__exportStar(require("./userMap/userMap"), exports);
+__exportStar(require("./userMap/userStatsMap"), exports);

package/lib/math/amm.d.ts

@@ -1,6 +1,6 @@
 /// <reference types="bn.js" />
 import { BN } from '@project-serum/anchor';
-import { AMM, PositionDirection, SwapDirection, MarketAccount } from '../types';
+import { AMM, PositionDirection, SwapDirection, PerpMarketAccount } from '../types';
 import { OraclePriceData } from '../oracles/types';
 export declare function calculatePegFromTargetPrice(targetPrice: BN, baseAssetReserve: BN, quoteAssetReserve: BN): BN;
 export declare function calculateOptimalPegAndBudget(amm: AMM, oraclePriceData: OraclePriceData): [BN, BN, BN, boolean];
@@ -19,7 +19,7 @@ export declare function calculateBidAskPrice(amm: AMM, oraclePriceData: OraclePr
  * @param baseAssetReserves
  * @param quoteAssetReserves
  * @param pegMultiplier
- * @returns price : Precision MARK_PRICE_PRECISION
+ * @returns price : Precision PRICE_PRECISION
  */
 export declare function calculatePrice(baseAssetReserves: BN, quoteAssetReserves: BN, pegMultiplier: BN): BN;
 export declare type AssetType = 'quote' | 'base';
@@ -33,9 +33,11 @@ export declare type AssetType = 'quote' | 'base';
  * @returns quoteAssetReserve and baseAssetReserve after swap. : Precision AMM_RESERVE_PRECISION
  */
 export declare function calculateAmmReservesAfterSwap(amm: Pick<AMM, 'pegMultiplier' | 'quoteAssetReserve' | 'sqrtK' | 'baseAssetReserve'>, inputAssetType: AssetType, swapAmount: BN, swapDirection: SwapDirection): [BN, BN];
-export declare function calculateEffectiveLeverage(baseSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, netBaseAssetAmount: BN, markPrice: BN, totalFeeMinusDistributions: BN): number;
+export declare function calculateMarketOpenBidAsk(baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN): [BN, BN];
+export declare function calculateInventoryScale(netBaseAssetAmount: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN): number;
+export declare function calculateEffectiveLeverage(baseSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, netBaseAssetAmount: BN, reservePrice: BN, totalFeeMinusDistributions: BN): number;
 export declare function calculateMaxSpread(marginRatioInitial: number): number;
-export declare function calculateSpreadBN(baseSpread: number, lastOracleMarkSpreadPct: BN, lastOracleConfPct: BN, maxSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, netBaseAssetAmount: BN, markPrice: BN, totalFeeMinusDistributions: BN): [number, number];
+export declare function calculateSpreadBN(baseSpread: number, lastOracleReservePriceSpreadPct: BN, lastOracleConfPct: BN, maxSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, netBaseAssetAmount: BN, reservePrice: BN, totalFeeMinusDistributions: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN): [number, number];
 export declare function calculateSpread(amm: AMM, direction: PositionDirection, oraclePriceData: OraclePriceData): number;
 export declare function calculateSpreadReserves(amm: AMM, direction: PositionDirection, oraclePriceData: OraclePriceData): {
     baseAssetReserve: BN;
@@ -62,8 +64,9 @@ export declare function getSwapDirection(inputAssetType: AssetType, positionDire
  * Helper function calculating terminal price of amm
  *
  * @param market
- * @returns cost : Precision MARK_PRICE_PRECISION
+ * @returns cost : Precision PRICE_PRECISION
  */
-export declare function calculateTerminalPrice(market: MarketAccount): BN;
+export declare function calculateTerminalPrice(market: PerpMarketAccount): BN;
 export declare function calculateMaxBaseAssetAmountToTrade(amm: AMM, limit_price: BN, direction: PositionDirection, oraclePriceData?: OraclePriceData): [BN, PositionDirection];
 export declare function calculateQuoteAssetAmountSwapped(quoteAssetReserves: BN, pegMultiplier: BN, swapDirection: SwapDirection): BN;
+export declare function calculateMaxBaseAssetAmountFillable(amm: AMM, orderDirection: PositionDirection): BN;

package/lib/math/amm.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateMaxSpread = exports.calculateEffectiveLeverage = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = exports.calculateOptimalPegAndBudget = exports.calculatePegFromTargetPrice = void 0;
+exports.calculateMaxBaseAssetAmountFillable = exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateMaxSpread = exports.calculateEffectiveLeverage = exports.calculateInventoryScale = exports.calculateMarketOpenBidAsk = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = exports.calculateOptimalPegAndBudget = exports.calculatePegFromTargetPrice = void 0;
 const anchor_1 = require("@project-serum/anchor");
 const numericConstants_1 = require("../constants/numericConstants");
 const types_1 = require("../types");
@@ -8,15 +8,15 @@ const assert_1 = require("../assert/assert");
 const __1 = require("..");
 const repeg_1 = require("./repeg");
 function calculatePegFromTargetPrice(targetPrice, baseAssetReserve, quoteAssetReserve) {
-    return targetPrice
+    return anchor_1.BN.max(targetPrice
         .mul(baseAssetReserve)
         .div(quoteAssetReserve)
         .add(numericConstants_1.PRICE_DIV_PEG.div(new anchor_1.BN(2)))
-        .div(numericConstants_1.PRICE_DIV_PEG);
+        .div(numericConstants_1.PRICE_DIV_PEG), numericConstants_1.ONE);
 }
 exports.calculatePegFromTargetPrice = calculatePegFromTargetPrice;
 function calculateOptimalPegAndBudget(amm, oraclePriceData) {
-    const markPriceBefore = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
+    const reservePriceBefore = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     const targetPrice = oraclePriceData.price;
     const newPeg = calculatePegFromTargetPrice(targetPrice, amm.baseAssetReserve, amm.quoteAssetReserve);
     const prePegCost = (0, repeg_1.calculateRepegCost)(amm, newPeg);
@@ -29,14 +29,14 @@ function calculateOptimalPegAndBudget(amm, oraclePriceData) {
         let newTargetPrice;
         let newOptimalPeg;
         let newBudget;
-        const targetPriceGap = markPriceBefore.sub(targetPrice);
+        const targetPriceGap = reservePriceBefore.sub(targetPrice);
         if (targetPriceGap.abs().gt(maxPriceSpread)) {
             const markAdj = targetPriceGap.abs().sub(maxPriceSpread);
             if (targetPriceGap.lt(new anchor_1.BN(0))) {
-                newTargetPrice = markPriceBefore.add(markAdj);
+                newTargetPrice = reservePriceBefore.add(markAdj);
             }
             else {
-                newTargetPrice = markPriceBefore.sub(markAdj);
+                newTargetPrice = reservePriceBefore.sub(markAdj);
             }
             newOptimalPeg = calculatePegFromTargetPrice(newTargetPrice, amm.baseAssetReserve, amm.quoteAssetReserve);
             newBudget = (0, repeg_1.calculateRepegCost)(amm, newOptimalPeg);
@@ -62,10 +62,10 @@ function calculateNewAmm(amm, oraclePriceData) {
         newAmm.sqrtK = newAmm.sqrtK.mul(pKNumer).div(pKDenom);
         const invariant = newAmm.sqrtK.mul(newAmm.sqrtK);
         newAmm.quoteAssetReserve = invariant.div(newAmm.baseAssetReserve);
-        const directionToClose = amm.netBaseAssetAmount.gt(numericConstants_1.ZERO)
+        const directionToClose = amm.baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)
             ? types_1.PositionDirection.SHORT
             : types_1.PositionDirection.LONG;
-        const [newQuoteAssetReserve, _newBaseAssetReserve] = calculateAmmReservesAfterSwap(newAmm, 'base', amm.netBaseAssetAmount.abs(), getSwapDirection('base', directionToClose));
+        const [newQuoteAssetReserve, _newBaseAssetReserve] = calculateAmmReservesAfterSwap(newAmm, 'base', amm.baseAssetAmountWithAmm.abs(), getSwapDirection('base', directionToClose));
         newAmm.terminalQuoteAssetReserve = newQuoteAssetReserve;
         newPeg = (0, repeg_1.calculateBudgetedPeg)(newAmm, prePegCost, targetPrice);
         prePegCost = (0, repeg_1.calculateRepegCost)(newAmm, newPeg);
@@ -84,10 +84,10 @@ function calculateUpdatedAMM(amm, oraclePriceData) {
     const invariant = newAmm.sqrtK.mul(newAmm.sqrtK);
     newAmm.quoteAssetReserve = invariant.div(newAmm.baseAssetReserve);
     newAmm.pegMultiplier = newPeg;
-    const directionToClose = amm.netBaseAssetAmount.gt(numericConstants_1.ZERO)
+    const directionToClose = amm.baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)
         ? types_1.PositionDirection.SHORT
         : types_1.PositionDirection.LONG;
-    const [newQuoteAssetReserve, _newBaseAssetReserve] = calculateAmmReservesAfterSwap(newAmm, 'base', amm.netBaseAssetAmount.abs(), getSwapDirection('base', directionToClose));
+    const [newQuoteAssetReserve, _newBaseAssetReserve] = calculateAmmReservesAfterSwap(newAmm, 'base', amm.baseAssetAmountWithAmm.abs(), getSwapDirection('base', directionToClose));
     newAmm.terminalQuoteAssetReserve = newQuoteAssetReserve;
     newAmm.totalFeeMinusDistributions =
         newAmm.totalFeeMinusDistributions.sub(prepegCost);
@@ -127,14 +127,14 @@ exports.calculateBidAskPrice = calculateBidAskPrice;
  * @param baseAssetReserves
  * @param quoteAssetReserves
  * @param pegMultiplier
- * @returns price : Precision MARK_PRICE_PRECISION
+ * @returns price : Precision PRICE_PRECISION
  */
 function calculatePrice(baseAssetReserves, quoteAssetReserves, pegMultiplier) {
     if (baseAssetReserves.abs().lte(numericConstants_1.ZERO)) {
         return new anchor_1.BN(0);
     }
     return quoteAssetReserves
-        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .mul(numericConstants_1.PRICE_PRECISION)
         .mul(pegMultiplier)
         .div(numericConstants_1.PEG_PRECISION)
         .div(baseAssetReserves);
@@ -165,15 +165,43 @@ function calculateAmmReservesAfterSwap(amm, inputAssetType, swapAmount, swapDire
     return [newQuoteAssetReserve, newBaseAssetReserve];
 }
 exports.calculateAmmReservesAfterSwap = calculateAmmReservesAfterSwap;
-function calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions) {
+function calculateMarketOpenBidAsk(baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve) {
+    // open orders
+    let openAsks;
+    if (maxBaseAssetReserve > baseAssetReserve) {
+        openAsks = maxBaseAssetReserve.sub(baseAssetReserve).mul(new anchor_1.BN(-1));
+    }
+    else {
+        openAsks = numericConstants_1.ZERO;
+    }
+    let openBids;
+    if (minBaseAssetReserve < baseAssetReserve) {
+        openBids = baseAssetReserve.sub(minBaseAssetReserve);
+    }
+    else {
+        openBids = numericConstants_1.ZERO;
+    }
+    return [openBids, openAsks];
+}
+exports.calculateMarketOpenBidAsk = calculateMarketOpenBidAsk;
+function calculateInventoryScale(netBaseAssetAmount, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve) {
+    const maxScale = numericConstants_1.BID_ASK_SPREAD_PRECISION.mul(new anchor_1.BN(10));
+    // inventory skew
+    const [openBids, openAsks] = calculateMarketOpenBidAsk(baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve);
+    const minSideLiquidity = anchor_1.BN.max(new anchor_1.BN(1), anchor_1.BN.min(openBids.abs(), openAsks.abs()));
+    const inventoryScale = anchor_1.BN.min(maxScale, netBaseAssetAmount.mul(maxScale).div(minSideLiquidity).abs()).toNumber() / numericConstants_1.BID_ASK_SPREAD_PRECISION.toNumber();
+    return inventoryScale;
+}
+exports.calculateInventoryScale = calculateInventoryScale;
+function calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, reservePrice, totalFeeMinusDistributions) {
     // inventory skew
     const netBaseAssetValue = quoteAssetReserve
         .sub(terminalQuoteAssetReserve)
         .mul(pegMultiplier)
         .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
     const localBaseAssetValue = netBaseAssetAmount
-        .mul(markPrice)
-        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.MARK_PRICE_PRECISION));
+        .mul(reservePrice)
+        .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.PRICE_PRECISION));
     const effectiveLeverage = localBaseAssetValue.sub(netBaseAssetValue).toNumber() /
         (Math.max(0, totalFeeMinusDistributions.toNumber()) + 1) +
         1 / numericConstants_1.QUOTE_PRECISION.toNumber();
@@ -187,20 +215,30 @@ function calculateMaxSpread(marginRatioInitial) {
     return maxTargetSpread;
 }
 exports.calculateMaxSpread = calculateMaxSpread;
-function calculateSpreadBN(baseSpread, lastOracleMarkSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions) {
+function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, reservePrice, totalFeeMinusDistributions, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve) {
     let longSpread = baseSpread / 2;
     let shortSpread = baseSpread / 2;
-    if (lastOracleMarkSpreadPct.gt(numericConstants_1.ZERO)) {
-        shortSpread = Math.max(shortSpread, lastOracleMarkSpreadPct.abs().toNumber() + lastOracleConfPct.toNumber());
+    if (lastOracleReservePriceSpreadPct.gt(numericConstants_1.ZERO)) {
+        shortSpread = Math.max(shortSpread, lastOracleReservePriceSpreadPct.abs().toNumber() +
+            lastOracleConfPct.toNumber());
     }
-    else if (lastOracleMarkSpreadPct.lt(numericConstants_1.ZERO)) {
-        longSpread = Math.max(longSpread, lastOracleMarkSpreadPct.abs().toNumber() + lastOracleConfPct.toNumber());
+    else if (lastOracleReservePriceSpreadPct.lt(numericConstants_1.ZERO)) {
+        longSpread = Math.max(longSpread, lastOracleReservePriceSpreadPct.abs().toNumber() +
+            lastOracleConfPct.toNumber());
     }
-    const maxTargetSpread = maxSpread;
-    const MAX_INVENTORY_SKEW = 5;
-    const effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, markPrice, totalFeeMinusDistributions);
+    const maxTargetSpread = Math.max(maxSpread, lastOracleReservePriceSpreadPct.abs().toNumber());
+    const MAX_BID_ASK_INVENTORY_SKEW_FACTOR = 10;
+    const inventoryScale = calculateInventoryScale(netBaseAssetAmount, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve);
+    const inventorySpreadScale = Math.min(MAX_BID_ASK_INVENTORY_SKEW_FACTOR, 1 + inventoryScale);
+    if (netBaseAssetAmount.gt(numericConstants_1.ZERO)) {
+        longSpread *= inventorySpreadScale;
+    }
+    else if (netBaseAssetAmount.lt(numericConstants_1.ZERO)) {
+        shortSpread *= inventorySpreadScale;
+    }
+    const effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, reservePrice, totalFeeMinusDistributions);
     if (totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
-        const spreadScale = Math.min(MAX_INVENTORY_SKEW, 1 + effectiveLeverage);
+        const spreadScale = Math.min(MAX_BID_ASK_INVENTORY_SKEW_FACTOR, 1 + effectiveLeverage);
         if (netBaseAssetAmount.gt(numericConstants_1.ZERO)) {
             longSpread *= spreadScale;
         }
@@ -209,8 +247,8 @@ function calculateSpreadBN(baseSpread, lastOracleMarkSpreadPct, lastOracleConfPc
         }
     }
     else {
-        longSpread *= MAX_INVENTORY_SKEW;
-        shortSpread *= MAX_INVENTORY_SKEW;
+        longSpread *= MAX_BID_ASK_INVENTORY_SKEW_FACTOR;
+        shortSpread *= MAX_BID_ASK_INVENTORY_SKEW_FACTOR;
     }
     const totalSpread = longSpread + shortSpread;
     if (totalSpread > maxTargetSpread) {
@@ -230,17 +268,17 @@ function calculateSpread(amm, direction, oraclePriceData) {
     if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
         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;
+    const reservePrice = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
+    const targetPrice = (oraclePriceData === null || oraclePriceData === void 0 ? void 0 : oraclePriceData.price) || reservePrice;
     const confInterval = oraclePriceData.confidence || numericConstants_1.ZERO;
-    const targetMarkSpreadPct = markPrice
+    const targetMarkSpreadPct = reservePrice
         .sub(targetPrice)
         .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
-        .div(markPrice);
+        .div(reservePrice);
     const confIntervalPct = confInterval
         .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
-        .div(markPrice);
-    const [longSpread, shortSpread] = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.netBaseAssetAmount, markPrice, amm.totalFeeMinusDistributions);
+        .div(reservePrice);
+    const [longSpread, shortSpread] = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.baseAssetAmountWithAmm, reservePrice, amm.totalFeeMinusDistributions, amm.baseAssetReserve, amm.minBaseAssetReserve, amm.maxBaseAssetReserve);
     let spread;
     if ((0, types_1.isVariant)(direction, 'long')) {
         spread = longSpread;
@@ -315,15 +353,15 @@ exports.getSwapDirection = getSwapDirection;
  * Helper function calculating terminal price of amm
  *
  * @param market
- * @returns cost : Precision MARK_PRICE_PRECISION
+ * @returns cost : Precision PRICE_PRECISION
  */
 function calculateTerminalPrice(market) {
-    const directionToClose = market.amm.netBaseAssetAmount.gt(numericConstants_1.ZERO)
+    const directionToClose = market.amm.baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)
         ? types_1.PositionDirection.SHORT
         : types_1.PositionDirection.LONG;
-    const [newQuoteAssetReserve, newBaseAssetReserve] = calculateAmmReservesAfterSwap(market.amm, 'base', market.amm.netBaseAssetAmount.abs(), getSwapDirection('base', directionToClose));
+    const [newQuoteAssetReserve, newBaseAssetReserve] = calculateAmmReservesAfterSwap(market.amm, 'base', market.amm.baseAssetAmountWithAmm.abs(), getSwapDirection('base', directionToClose));
     const terminalPrice = newQuoteAssetReserve
-        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .mul(numericConstants_1.PRICE_PRECISION)
         .mul(market.amm.pegMultiplier)
         .div(numericConstants_1.PEG_PRECISION)
         .div(newBaseAssetReserve);
@@ -333,7 +371,7 @@ exports.calculateTerminalPrice = calculateTerminalPrice;
 function calculateMaxBaseAssetAmountToTrade(amm, limit_price, direction, oraclePriceData) {
     const invariant = amm.sqrtK.mul(amm.sqrtK);
     const newBaseAssetReserveSquared = invariant
-        .mul(numericConstants_1.MARK_PRICE_PRECISION)
+        .mul(numericConstants_1.PRICE_PRECISION)
         .mul(amm.pegMultiplier)
         .div(limit_price)
         .div(numericConstants_1.PEG_PRECISION);
@@ -358,6 +396,9 @@ function calculateMaxBaseAssetAmountToTrade(amm, limit_price, direction, oracleP
 }
 exports.calculateMaxBaseAssetAmountToTrade = calculateMaxBaseAssetAmountToTrade;
 function calculateQuoteAssetAmountSwapped(quoteAssetReserves, pegMultiplier, swapDirection) {
+    if ((0, types_1.isVariant)(swapDirection, 'remove')) {
+        quoteAssetReserves = quoteAssetReserves.add(numericConstants_1.ONE);
+    }
     let quoteAssetAmount = quoteAssetReserves
         .mul(pegMultiplier)
         .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO);
@@ -367,3 +408,15 @@ function calculateQuoteAssetAmountSwapped(quoteAssetReserves, pegMultiplier, swa
     return quoteAssetAmount;
 }
 exports.calculateQuoteAssetAmountSwapped = calculateQuoteAssetAmountSwapped;
+function calculateMaxBaseAssetAmountFillable(amm, orderDirection) {
+    const maxFillSize = amm.baseAssetReserve.div(new anchor_1.BN(amm.maxFillReserveFraction));
+    let maxBaseAssetAmountOnSide;
+    if ((0, types_1.isVariant)(orderDirection, 'long')) {
+        maxBaseAssetAmountOnSide = anchor_1.BN.max(numericConstants_1.ZERO, amm.baseAssetReserve.sub(amm.minBaseAssetReserve));
+    }
+    else {
+        maxBaseAssetAmountOnSide = anchor_1.BN.max(numericConstants_1.ZERO, amm.maxBaseAssetReserve.sub(amm.baseAssetReserve));
+    }
+    return (0, __1.standardizeBaseAssetAmount)(anchor_1.BN.min(maxFillSize, maxBaseAssetAmountOnSide), amm.orderStepSize);
+}
+exports.calculateMaxBaseAssetAmountFillable = calculateMaxBaseAssetAmountFillable;

package/lib/math/conversion.js

@@ -2,7 +2,7 @@
 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) => {
+const convertToNumber = (bigNumber, precision = numericConstants_1.PRICE_PRECISION) => {
     if (!bigNumber)
         return 0;
     return (bigNumber.div(precision).toNumber() +

package/lib/math/exchangeStatus.d.ts

@@ -0,0 +1,4 @@
+import { PerpMarketAccount, SpotMarketAccount, StateAccount } from '../types';
+export declare function exchangePaused(state: StateAccount): boolean;
+export declare function fillPaused(state: StateAccount, market: PerpMarketAccount | SpotMarketAccount): boolean;
+export declare function ammPaused(state: StateAccount, market: PerpMarketAccount | SpotMarketAccount): boolean;

package/lib/math/exchangeStatus.js

@@ -0,0 +1,18 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.ammPaused = exports.fillPaused = exports.exchangePaused = void 0;
+const types_1 = require("../types");
+function exchangePaused(state) {
+    return (0, types_1.isVariant)(state.exchangeStatus, 'paused');
+}
+exports.exchangePaused = exchangePaused;
+function fillPaused(state, market) {
+    return ((0, types_1.isOneOfVariant)(state.exchangeStatus, ['paused', 'fillPaused']) ||
+        (0, types_1.isOneOfVariant)(market.status, ['paused', 'fillPaused']));
+}
+exports.fillPaused = fillPaused;
+function ammPaused(state, market) {
+    return ((0, types_1.isOneOfVariant)(state.exchangeStatus, ['paused', 'ammPaused']) ||
+        (0, types_1.isOneOfVariant)(market.status, ['paused', 'ammPaused']));
+}
+exports.ammPaused = ammPaused;

package/lib/math/funding.d.ts

@@ -1,6 +1,6 @@
 /// <reference types="bn.js" />
 import { BN } from '@project-serum/anchor';
-import { MarketAccount } from '../types';
+import { PerpMarketAccount } from '../types';
 import { OraclePriceData } from '../oracles/types';
 /**
  *
@@ -9,7 +9,7 @@ import { OraclePriceData } from '../oracles/types';
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-export declare function calculateAllEstimatedFundingRate(market: MarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN, BN]>;
+export declare function calculateAllEstimatedFundingRate(market: PerpMarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN, BN]>;
 /**
  *
  * @param market
@@ -18,7 +18,7 @@ export declare function calculateAllEstimatedFundingRate(market: MarketAccount,
  * @param estimationMethod
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-export declare function calculateEstimatedFundingRate(market: MarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN, estimationMethod?: 'interpolated' | 'lowerbound' | 'capped'): Promise<BN>;
+export declare function calculateEstimatedFundingRate(market: PerpMarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN, estimationMethod?: 'interpolated' | 'lowerbound' | 'capped'): Promise<BN>;
 /**
  *
  * @param market
@@ -26,7 +26,7 @@ export declare function calculateEstimatedFundingRate(market: MarketAccount, ora
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-export declare function calculateLongShortFundingRate(market: MarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN]>;
+export declare function calculateLongShortFundingRate(market: PerpMarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN]>;
 /**
  *
  * @param market
@@ -34,10 +34,10 @@ export declare function calculateLongShortFundingRate(market: MarketAccount, ora
  * @param periodAdjustment
  * @returns Estimated funding rate. : Precision //TODO-PRECISION
  */
-export declare function calculateLongShortFundingRateAndLiveTwaps(market: MarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN]>;
+export declare function calculateLongShortFundingRateAndLiveTwaps(market: PerpMarketAccount, oraclePriceData?: OraclePriceData, periodAdjustment?: BN): Promise<[BN, BN, BN, BN]>;
 /**
  *
  * @param market
  * @returns Estimated fee pool size
  */
-export declare function calculateFundingPool(market: MarketAccount): BN;
+export declare function calculateFundingPool(market: PerpMarketAccount): BN;