@drift-labs/sdk 2.0.13 → 2.0.15

package/lib/driftClient.js

@@ -177,10 +177,26 @@ class DriftClient {
     getStateAccount() {
         return this.accountSubscriber.getStateAccountAndSlot().data;
     }
+    /**
+     * Forces a fetch to rpc before returning accounts. Useful for anchor tests.
+     */
+    async forceGetStateAccount() {
+        await this.accountSubscriber.fetch();
+        return this.accountSubscriber.getStateAccountAndSlot().data;
+    }
     getPerpMarketAccount(marketIndex) {
         var _a;
         return (_a = this.accountSubscriber.getMarketAccountAndSlot(marketIndex)) === null || _a === void 0 ? void 0 : _a.data;
     }
+    /**
+     * Forces a fetch to rpc before returning accounts. Useful for anchor tests.
+     * @param marketIndex
+     */
+    async forceGetPerpMarketAccount(marketIndex) {
+        var _a;
+        await this.accountSubscriber.fetch();
+        return (_a = this.accountSubscriber.getMarketAccountAndSlot(marketIndex)) === null || _a === void 0 ? void 0 : _a.data;
+    }
     getPerpMarketAccounts() {
         return this.accountSubscriber
             .getMarketAccountsAndSlots()
@@ -189,6 +205,14 @@ class DriftClient {
     getSpotMarketAccount(marketIndex) {
         return this.accountSubscriber.getSpotMarketAccountAndSlot(marketIndex).data;
     }
+    /**
+     * Forces a fetch to rpc before returning accounts. Useful for anchor tests.
+     * @param marketIndex
+     */
+    async forceGetSpotMarketAccount(marketIndex) {
+        await this.accountSubscriber.fetch();
+        return this.accountSubscriber.getSpotMarketAccountAndSlot(marketIndex).data;
+    }
     getSpotMarketAccounts() {
         return this.accountSubscriber
             .getSpotMarketAccountsAndSlots()
@@ -414,6 +438,14 @@ class DriftClient {
     getUserAccount(subAccountId) {
         return this.getUser(subAccountId).getUserAccount();
     }
+    /**
+     * Forces a fetch to rpc before returning accounts. Useful for anchor tests.
+     * @param subAccountId
+     */
+    async forceGetUserAccount(subAccountId) {
+        await this.getUser(subAccountId).fetchAccounts();
+        return this.getUser(subAccountId).getUserAccount();
+    }
     getUserAccountAndSlot(subAccountId) {
         return this.getUser(subAccountId).getUserAccountAndSlot();
     }

package/lib/idl/drift.json

@@ -1432,7 +1432,7 @@
                 },
                 {
                     "name": "spotMarket",
-                    "isMut": false,
+                    "isMut": true,
                     "isSigner": false
                 },
                 {
@@ -3233,6 +3233,48 @@
                 }
             ]
         },
+        {
+            "name": "updateInitialPctToLiquidate",
+            "accounts": [
+                {
+                    "name": "admin",
+                    "isMut": false,
+                    "isSigner": true
+                },
+                {
+                    "name": "state",
+                    "isMut": true,
+                    "isSigner": false
+                }
+            ],
+            "args": [
+                {
+                    "name": "initialPctToLiquidate",
+                    "type": "u16"
+                }
+            ]
+        },
+        {
+            "name": "updateLiquidationDuration",
+            "accounts": [
+                {
+                    "name": "admin",
+                    "isMut": false,
+                    "isSigner": true
+                },
+                {
+                    "name": "state",
+                    "isMut": true,
+                    "isSigner": false
+                }
+            ],
+            "args": [
+                {
+                    "name": "liquidationDuration",
+                    "type": "u8"
+                }
+            ]
+        },
         {
             "name": "updateOracleGuardRails",
             "accounts": [
@@ -4320,12 +4362,20 @@
                             "defined": "ExchangeStatus"
                         }
                     },
+                    {
+                        "name": "liquidationDuration",
+                        "type": "u8"
+                    },
+                    {
+                        "name": "initialPctToLiquidate",
+                        "type": "u16"
+                    },
                     {
                         "name": "padding",
                         "type": {
                             "array": [
                                 "u8",
-                                17
+                                14
                             ]
                         }
                     }
@@ -4420,8 +4470,8 @@
                         "type": "u64"
                     },
                     {
-                        "name": "liquidationStartTs",
-                        "type": "i64"
+                        "name": "liquidationStartSlot",
+                        "type": "u64"
                     },
                     {
                         "name": "nextOrderId",
@@ -5596,11 +5646,11 @@
                         "type": "u64"
                     },
                     {
-                        "name": "lastNetBaseAssetAmountPerLp",
+                        "name": "lastBaseAssetAmountPerLp",
                         "type": "i64"
                     },
                     {
-                        "name": "lastNetQuoteAssetAmountPerLp",
+                        "name": "lastQuoteAssetAmountPerLp",
                         "type": "i64"
                     },
                     {
@@ -6016,6 +6066,9 @@
                     },
                     {
                         "name": "OrderFillWithSerum"
+                    },
+                    {
+                        "name": "NoBorrowLiquidity"
                     }
                 ]
             }
@@ -8454,11 +8507,16 @@
         },
         {
             "code": 6219,
+            "name": "UnableToGetLimitPrice",
+            "msg": "Unable To Get Limit Price"
+        },
+        {
+            "code": 6220,
             "name": "InvalidLiquidation",
             "msg": "Invalid Liquidation"
         },
         {
-            "code": 6220,
+            "code": 6221,
             "name": "SpotFulfillmentConfigDisabled",
             "msg": "Spot Fulfullment Config Disabled"
         }

package/lib/math/amm.d.ts

@@ -34,10 +34,11 @@ export declare type AssetType = 'quote' | 'base';
  */
 export declare function calculateAmmReservesAfterSwap(amm: Pick<AMM, 'pegMultiplier' | 'quoteAssetReserve' | 'sqrtK' | 'baseAssetReserve'>, inputAssetType: AssetType, swapAmount: BN, swapDirection: SwapDirection): [BN, BN];
 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 calculateInventoryScale(baseAssetAmountWithAmm: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN, directionalSpread: number, maxSpread: number): 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, 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 calculateVolSpreadBN(lastOracleConfPct: BN, reservePrice: BN, markStd: BN, oracleStd: BN, longIntensity: BN, shortIntensity: BN, volume24H: BN): [BN, BN];
+export declare function calculateSpreadBN(baseSpread: number, lastOracleReservePriceSpreadPct: BN, lastOracleConfPct: BN, maxSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, baseAssetAmountWithAmm: BN, reservePrice: BN, totalFeeMinusDistributions: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN, markStd: BN, oracleStd: BN, longIntensity: BN, shortIntensity: BN, volume24H: 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;

package/lib/math/amm.js

@@ -1,12 +1,13 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-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;
+exports.calculateMaxBaseAssetAmountFillable = exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateVolSpreadBN = 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");
 const assert_1 = require("../assert/assert");
 const __1 = require("..");
 const repeg_1 = require("./repeg");
+const oracles_1 = require("./oracles");
 function calculatePegFromTargetPrice(targetPrice, baseAssetReserve, quoteAssetReserve) {
     return anchor_1.BN.max(targetPrice
         .mul(baseAssetReserve)
@@ -23,15 +24,16 @@ function calculateOptimalPegAndBudget(amm, oraclePriceData) {
     const totalFeeLB = amm.totalExchangeFee.div(new anchor_1.BN(2));
     const budget = anchor_1.BN.max(numericConstants_1.ZERO, amm.totalFeeMinusDistributions.sub(totalFeeLB));
     if (budget.lt(prePegCost)) {
-        const maxPriceSpread = new anchor_1.BN(amm.maxSpread)
+        const halfMaxPriceSpread = new anchor_1.BN(amm.maxSpread)
+            .div(new anchor_1.BN(2))
             .mul(targetPrice)
             .div(numericConstants_1.BID_ASK_SPREAD_PRECISION);
         let newTargetPrice;
         let newOptimalPeg;
         let newBudget;
         const targetPriceGap = reservePriceBefore.sub(targetPrice);
-        if (targetPriceGap.abs().gt(maxPriceSpread)) {
-            const markAdj = targetPriceGap.abs().sub(maxPriceSpread);
+        if (targetPriceGap.abs().gt(halfMaxPriceSpread)) {
+            const markAdj = targetPriceGap.abs().sub(halfMaxPriceSpread);
             if (targetPriceGap.lt(new anchor_1.BN(0))) {
                 newTargetPrice = reservePriceBefore.add(markAdj);
             }
@@ -91,6 +93,8 @@ function calculateUpdatedAMM(amm, oraclePriceData) {
     newAmm.terminalQuoteAssetReserve = newQuoteAssetReserve;
     newAmm.totalFeeMinusDistributions =
         newAmm.totalFeeMinusDistributions.sub(prepegCost);
+    newAmm.netRevenueSinceLastFunding =
+        newAmm.netRevenueSinceLastFunding.sub(prepegCost);
     return newAmm;
 }
 exports.calculateUpdatedAMM = calculateUpdatedAMM;
@@ -168,14 +172,14 @@ exports.calculateAmmReservesAfterSwap = calculateAmmReservesAfterSwap;
 function calculateMarketOpenBidAsk(baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve) {
     // open orders
     let openAsks;
-    if (maxBaseAssetReserve > baseAssetReserve) {
+    if (maxBaseAssetReserve.gt(baseAssetReserve)) {
         openAsks = maxBaseAssetReserve.sub(baseAssetReserve).mul(new anchor_1.BN(-1));
     }
     else {
         openAsks = numericConstants_1.ZERO;
     }
     let openBids;
-    if (minBaseAssetReserve < baseAssetReserve) {
+    if (minBaseAssetReserve.lt(baseAssetReserve)) {
         openBids = baseAssetReserve.sub(minBaseAssetReserve);
     }
     else {
@@ -184,13 +188,26 @@ function calculateMarketOpenBidAsk(baseAssetReserve, minBaseAssetReserve, maxBas
     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));
+function calculateInventoryScale(baseAssetAmountWithAmm, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve, directionalSpread, maxSpread) {
+    if (baseAssetAmountWithAmm.eq(numericConstants_1.ZERO)) {
+        return 0;
+    }
+    const defaultLargeBidAskFactor = 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;
+    const inventoryScaleMax = anchor_1.BN.max(defaultLargeBidAskFactor, new anchor_1.BN(maxSpread / 2)
+        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
+        .div(new anchor_1.BN(Math.max(directionalSpread, 1)))).toNumber() / numericConstants_1.BID_ASK_SPREAD_PRECISION.toNumber();
+    const inventoryScale = baseAssetAmountWithAmm
+        .mul(anchor_1.BN.max(baseAssetAmountWithAmm.abs(), numericConstants_1.BASE_PRECISION))
+        .div(numericConstants_1.BASE_PRECISION)
+        .mul(defaultLargeBidAskFactor)
+        .div(minSideLiquidity)
+        .abs()
+        .toNumber() / numericConstants_1.BID_ASK_SPREAD_PRECISION.toNumber();
+    const inventorySpreadScale = Math.min(inventoryScaleMax, 1 + inventoryScale);
+    return inventorySpreadScale;
 }
 exports.calculateInventoryScale = calculateInventoryScale;
 function calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, reservePrice, totalFeeMinusDistributions) {
@@ -215,31 +232,46 @@ function calculateMaxSpread(marginRatioInitial) {
     return maxTargetSpread;
 }
 exports.calculateMaxSpread = calculateMaxSpread;
-function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, reservePrice, totalFeeMinusDistributions, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve) {
-    let longSpread = baseSpread / 2;
-    let shortSpread = baseSpread / 2;
-    if (lastOracleReservePriceSpreadPct.gte(numericConstants_1.ZERO)) {
+function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleStd, longIntensity, shortIntensity, volume24H) {
+    const marketAvgStdPct = markStd
+        .add(oracleStd)
+        .mul(numericConstants_1.PERCENTAGE_PRECISION)
+        .div(reservePrice.mul(new anchor_1.BN(2)));
+    const volSpread = anchor_1.BN.max(lastOracleConfPct, marketAvgStdPct.div(new anchor_1.BN(2)));
+    const clampMax = numericConstants_1.PERCENTAGE_PRECISION.mul(new anchor_1.BN(16)).div(new anchor_1.BN(10));
+    const clampMin = numericConstants_1.PERCENTAGE_PRECISION.div(new anchor_1.BN(10));
+    const longVolSpreadFactor = (0, __1.clampBN)(longIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
+    const shortVolSpreadFactor = (0, __1.clampBN)(shortIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
+    const longVolSpread = anchor_1.BN.max(lastOracleConfPct, volSpread.mul(longVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
+    const shortVolSpread = anchor_1.BN.max(lastOracleConfPct, volSpread.mul(shortVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
+    return [longVolSpread, shortVolSpread];
+}
+exports.calculateVolSpreadBN = calculateVolSpreadBN;
+function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve, markStd, oracleStd, longIntensity, shortIntensity, volume24H) {
+    const [longVolSpread, shortVolSpread] = calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleStd, longIntensity, shortIntensity, volume24H);
+    let longSpread = Math.max(baseSpread / 2, longVolSpread.toNumber());
+    let shortSpread = Math.max(baseSpread / 2, shortVolSpread.toNumber());
+    if (lastOracleReservePriceSpreadPct.gt(numericConstants_1.ZERO)) {
         shortSpread = Math.max(shortSpread, lastOracleReservePriceSpreadPct.abs().toNumber() +
-            lastOracleConfPct.toNumber());
+            shortVolSpread.toNumber());
     }
     else if (lastOracleReservePriceSpreadPct.lt(numericConstants_1.ZERO)) {
         longSpread = Math.max(longSpread, lastOracleReservePriceSpreadPct.abs().toNumber() +
-            lastOracleConfPct.toNumber());
+            longVolSpread.toNumber());
     }
     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)) {
+    const inventorySpreadScale = calculateInventoryScale(baseAssetAmountWithAmm, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve, baseAssetAmountWithAmm.gt(numericConstants_1.ZERO) ? longSpread : shortSpread, maxTargetSpread);
+    if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
         longSpread *= inventorySpreadScale;
     }
-    else if (netBaseAssetAmount.lt(numericConstants_1.ZERO)) {
+    else if (baseAssetAmountWithAmm.lt(numericConstants_1.ZERO)) {
         shortSpread *= inventorySpreadScale;
     }
-    const effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, reservePrice, totalFeeMinusDistributions);
+    const effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions);
+    const MAX_SPREAD_SCALE = 10;
     if (totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
-        const spreadScale = Math.min(MAX_BID_ASK_INVENTORY_SKEW_FACTOR, 1 + effectiveLeverage);
-        if (netBaseAssetAmount.gt(numericConstants_1.ZERO)) {
+        const spreadScale = Math.min(MAX_SPREAD_SCALE, 1 + effectiveLeverage);
+        if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
             longSpread *= spreadScale;
         }
         else {
@@ -247,8 +279,8 @@ function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOrac
         }
     }
     else {
-        longSpread *= MAX_BID_ASK_INVENTORY_SKEW_FACTOR;
-        shortSpread *= MAX_BID_ASK_INVENTORY_SKEW_FACTOR;
+        longSpread *= MAX_SPREAD_SCALE;
+        shortSpread *= MAX_SPREAD_SCALE;
     }
     const totalSpread = longSpread + shortSpread;
     if (totalSpread > maxTargetSpread) {
@@ -278,7 +310,9 @@ function calculateSpread(amm, direction, oraclePriceData) {
     const confIntervalPct = confInterval
         .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
         .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);
+    const now = new anchor_1.BN(new Date().getTime() / 1000); //todo
+    const liveOracleStd = (0, oracles_1.calculateLiveOracleStd)(amm, oraclePriceData, now);
+    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, amm.markStd, liveOracleStd, amm.longIntensityVolume, amm.shortIntensityVolume, amm.volume24H);
     let spread;
     if ((0, types_1.isVariant)(direction, 'long')) {
         spread = longSpread;

package/lib/math/oracles.d.ts

@@ -5,3 +5,5 @@ import { BN, PerpMarketAccount } from '../index';
 export declare function oraclePriceBands(market: PerpMarketAccount, oraclePriceData: OraclePriceData): [BN, BN];
 export declare function isOracleValid(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, slot: number): boolean;
 export declare function isOracleTooDivergent(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, now: BN): boolean;
+export declare function calculateLiveOracleTwap(amm: AMM, oraclePriceData: OraclePriceData, now: BN): BN;
+export declare function calculateLiveOracleStd(amm: AMM, oraclePriceData: OraclePriceData, now: BN): BN;

package/lib/math/oracles.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.isOracleTooDivergent = exports.isOracleValid = exports.oraclePriceBands = void 0;
+exports.calculateLiveOracleStd = exports.calculateLiveOracleTwap = exports.isOracleTooDivergent = exports.isOracleValid = exports.oraclePriceBands = void 0;
 const numericConstants_1 = require("../constants/numericConstants");
 const index_1 = require("../index");
 const assert_1 = require("../assert/assert");
@@ -52,3 +52,25 @@ function isOracleTooDivergent(amm, oraclePriceData, oracleGuardRails, now) {
     return tooDivergent;
 }
 exports.isOracleTooDivergent = isOracleTooDivergent;
+function calculateLiveOracleTwap(amm, oraclePriceData, now) {
+    const sinceLastUpdate = now.sub(amm.historicalOracleData.lastOraclePriceTwapTs);
+    const sinceStart = index_1.BN.max(numericConstants_1.ZERO, amm.fundingPeriod.sub(sinceLastUpdate));
+    const clampRange = amm.historicalOracleData.lastOraclePriceTwap.div(new index_1.BN(3));
+    const clampedOraclePrice = index_1.BN.min(amm.historicalOracleData.lastOraclePriceTwap.add(clampRange), index_1.BN.max(oraclePriceData.price, amm.historicalOracleData.lastOraclePriceTwap.sub(clampRange)));
+    const newOracleTwap = amm.historicalOracleData.lastOraclePriceTwap
+        .mul(sinceStart)
+        .add(clampedOraclePrice)
+        .mul(sinceLastUpdate)
+        .div(sinceStart.add(sinceLastUpdate));
+    return newOracleTwap;
+}
+exports.calculateLiveOracleTwap = calculateLiveOracleTwap;
+function calculateLiveOracleStd(amm, oraclePriceData, now) {
+    const sinceLastUpdate = now.sub(amm.historicalOracleData.lastOraclePriceTwapTs);
+    const sinceStart = index_1.BN.max(numericConstants_1.ZERO, amm.fundingPeriod.sub(sinceLastUpdate));
+    const liveOracleTwap = calculateLiveOracleTwap(amm, oraclePriceData, now);
+    const priceDeltaVsTwap = oraclePriceData.price.sub(liveOracleTwap).abs();
+    const oracleStd = priceDeltaVsTwap.add(amm.oracleStd.mul(sinceStart).div(sinceStart.add(sinceLastUpdate)));
+    return oracleStd;
+}
+exports.calculateLiveOracleStd = calculateLiveOracleStd;

package/lib/math/orders.d.ts

@@ -7,8 +7,7 @@ export declare function isOrderRiskIncreasing(user: User, order: Order): boolean
 export declare function isOrderRiskIncreasingInSameDirection(user: User, order: Order): boolean;
 export declare function isOrderReduceOnly(user: User, 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 getOptionalLimitPrice(order: Order, oraclePriceData: OraclePriceData, slot: number): BN | undefined;
+export declare function getLimitPrice(order: Order, oraclePriceData: OraclePriceData, slot: number, fallbackPrice?: BN): BN | undefined;
 export declare function hasLimitPrice(order: Order, slot: number): boolean;
 export declare function isFillableByVAMM(order: Order, market: PerpMarketAccount, oraclePriceData: OraclePriceData, slot: number, ts: number): boolean;
 export declare function calculateBaseAssetAmountForAmmToFulfill(order: Order, market: PerpMarketAccount, oraclePriceData: OraclePriceData, slot: number): BN;

package/lib/math/orders.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.isTriggered = exports.mustBeTriggered = exports.isLimitOrder = exports.isMarketOrder = exports.isOrderExpired = exports.calculateBaseAssetAmountToFillUpToLimitPrice = exports.calculateBaseAssetAmountForAmmToFulfill = exports.isFillableByVAMM = exports.hasLimitPrice = exports.getOptionalLimitPrice = exports.getLimitPrice = exports.standardizeBaseAssetAmount = exports.isOrderReduceOnly = exports.isOrderRiskIncreasingInSameDirection = exports.isOrderRiskIncreasing = void 0;
+exports.isTriggered = exports.mustBeTriggered = exports.isLimitOrder = exports.isMarketOrder = exports.isOrderExpired = exports.calculateBaseAssetAmountToFillUpToLimitPrice = exports.calculateBaseAssetAmountForAmmToFulfill = exports.isFillableByVAMM = exports.hasLimitPrice = 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");
@@ -79,7 +79,7 @@ function standardizeBaseAssetAmount(baseAssetAmount, stepSize) {
     return baseAssetAmount.sub(remainder);
 }
 exports.standardizeBaseAssetAmount = standardizeBaseAssetAmount;
-function getLimitPrice(order, oraclePriceData, slot) {
+function getLimitPrice(order, oraclePriceData, slot, fallbackPrice) {
     let limitPrice;
     if (order.oraclePriceOffset !== 0) {
         limitPrice = oraclePriceData.price.add(new anchor_1.BN(order.oraclePriceOffset));
@@ -92,14 +92,7 @@ function getLimitPrice(order, oraclePriceData, slot) {
             limitPrice = order.price;
         }
         else {
-            // check oracle validity?
-            const oraclePrice1Pct = oraclePriceData.price.div(new anchor_1.BN(100));
-            if ((0, types_1.isVariant)(order.direction, 'long')) {
-                limitPrice = oraclePriceData.price.add(oraclePrice1Pct);
-            }
-            else {
-                limitPrice = oraclePriceData.price.sub(oraclePrice1Pct);
-            }
+            limitPrice = fallbackPrice;
         }
     }
     else {
@@ -108,15 +101,6 @@ function getLimitPrice(order, oraclePriceData, slot) {
     return limitPrice;
 }
 exports.getLimitPrice = getLimitPrice;
-function getOptionalLimitPrice(order, oraclePriceData, slot) {
-    if (hasLimitPrice(order, slot)) {
-        return getLimitPrice(order, oraclePriceData, slot);
-    }
-    else {
-        return undefined;
-    }
-}
-exports.getOptionalLimitPrice = getOptionalLimitPrice;
 function hasLimitPrice(order, slot) {
     return (order.price.gt(numericConstants_1.ZERO) ||
         order.oraclePriceOffset != 0 ||
@@ -133,7 +117,7 @@ function calculateBaseAssetAmountForAmmToFulfill(order, market, oraclePriceData,
     if (mustBeTriggered(order) && !isTriggered(order)) {
         return numericConstants_1.ZERO;
     }
-    const limitPrice = getOptionalLimitPrice(order, oraclePriceData, slot);
+    const limitPrice = getLimitPrice(order, oraclePriceData, slot);
     let baseAssetAmount;
     const updatedAMM = (0, amm_1.calculateUpdatedAMM)(market.amm, oraclePriceData);
     if (limitPrice !== undefined) {

package/lib/math/utils.d.ts

@@ -1,3 +1,4 @@
 /// <reference types="bn.js" />
 import { BN } from '../';
+export declare function clampBN(x: BN, min: BN, max: BN): BN;
 export declare const squareRootBN: (n: any, closeness?: BN) => any;

package/lib/math/utils.js

@@ -1,7 +1,11 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.squareRootBN = void 0;
+exports.squareRootBN = exports.clampBN = void 0;
 const __1 = require("../");
+function clampBN(x, min, max) {
+    return __1.BN.max(min, __1.BN.min(x, max));
+}
+exports.clampBN = clampBN;
 const squareRootBN = (n, closeness = new __1.BN(1)) => {
     // Assuming the sqrt of n as n only
     let x = n;

package/lib/types.d.ts

@@ -606,6 +606,8 @@ export declare type StateAccount = {
     perpFeeStructure: FeeStructure;
     spotFeeStructure: FeeStructure;
     lpCooldownTime: BN;
+    initialPctToLiquidate: number;
+    liquidationDuration: number;
 };
 export declare type PerpMarketAccount = {
     status: MarketStatus;
@@ -805,8 +807,8 @@ export declare type PerpPosition = {
     settledPnl: BN;
     lpShares: BN;
     remainderBaseAssetAmount: number;
-    lastNetBaseAssetAmountPerLp: BN;
-    lastNetQuoteAssetAmountPerLp: BN;
+    lastBaseAssetAmountPerLp: BN;
+    lastQuoteAssetAmountPerLp: BN;
 };
 export declare type UserStatsAccount = {
     numberOfSubAccounts: number;
@@ -848,6 +850,8 @@ export declare type UserAccount = {
     totalWithdraws: BN;
     totalSocialLoss: BN;
     cumulativePerpFunding: BN;
+    liquidationMarginFreed: BN;
+    liquidationStartSlot: BN;
 };
 export declare type SpotPosition = {
     marketIndex: number;

package/lib/user.js

@@ -85,8 +85,8 @@ class User {
             openAsks: numericConstants_1.ZERO,
             settledPnl: numericConstants_1.ZERO,
             lpShares: numericConstants_1.ZERO,
-            lastNetBaseAssetAmountPerLp: numericConstants_1.ZERO,
-            lastNetQuoteAssetAmountPerLp: numericConstants_1.ZERO,
+            lastBaseAssetAmountPerLp: numericConstants_1.ZERO,
+            lastQuoteAssetAmountPerLp: numericConstants_1.ZERO,
         };
     }
     getClonedPosition(position) {
@@ -161,11 +161,11 @@ class User {
         const market = this.driftClient.getPerpMarketAccount(position.marketIndex);
         const nShares = position.lpShares;
         const deltaBaa = market.amm.baseAssetAmountPerLp
-            .sub(position.lastNetBaseAssetAmountPerLp)
+            .sub(position.lastBaseAssetAmountPerLp)
             .mul(nShares)
             .div(numericConstants_1.AMM_RESERVE_PRECISION);
         const deltaQaa = market.amm.quoteAssetAmountPerLp
-            .sub(position.lastNetQuoteAssetAmountPerLp)
+            .sub(position.lastQuoteAssetAmountPerLp)
             .mul(nShares)
             .div(numericConstants_1.AMM_RESERVE_PRECISION);
         function sign(v) {
@@ -364,6 +364,7 @@ class User {
                 newTotalLiabilityValue =
                     newTotalLiabilityValue.add(weightedTokenValue);
             }
+            newTotalLiabilityValue = newTotalLiabilityValue.add(new _1.BN(spotPosition.openOrders).mul(numericConstants_1.OPEN_ORDER_MARGIN_REQUIREMENT));
             return newTotalLiabilityValue;
         }, numericConstants_1.ZERO);
     }
@@ -523,6 +524,9 @@ class User {
                 baseAssetValue = baseAssetValue
                     .mul(marginRatio)
                     .div(numericConstants_1.MARGIN_PRECISION);
+                if (includeOpenOrders) {
+                    baseAssetValue = baseAssetValue.add(new _1.BN(perpPosition.openOrders).mul(numericConstants_1.OPEN_ORDER_MARGIN_REQUIREMENT));
+                }
             }
             return totalPerpValue.add(baseAssetValue);
         }, numericConstants_1.ZERO);
@@ -760,8 +764,8 @@ class User {
             openAsks: new _1.BN(0),
             settledPnl: numericConstants_1.ZERO,
             lpShares: numericConstants_1.ZERO,
-            lastNetBaseAssetAmountPerLp: numericConstants_1.ZERO,
-            lastNetQuoteAssetAmountPerLp: numericConstants_1.ZERO,
+            lastBaseAssetAmountPerLp: numericConstants_1.ZERO,
+            lastQuoteAssetAmountPerLp: numericConstants_1.ZERO,
         };
         if (proposedBaseAssetAmount.eq(numericConstants_1.ZERO))
             return new _1.BN(-1);

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.0.13",
+	"version": "2.0.15",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/accounts/pollingDriftClientAccountSubscriber.ts

@@ -317,10 +317,6 @@ export class PollingDriftClientAccountSubscriber
 	}
 
 	public async unsubscribe(): Promise<void> {
-		if (!this.isSubscribed) {
-			return;
-		}
-
 		for (const [_, accountToPoll] of this.accountsToPoll) {
 			this.accountLoader.removeAccount(
 				accountToPoll.publicKey,

package/src/accounts/pollingUserStatsAccountSubscriber.ts

@@ -132,10 +132,6 @@ export class PollingUserStatsAccountSubscriber
 	}
 
 	async unsubscribe(): Promise<void> {
-		if (!this.isSubscribed) {
-			return;
-		}
-
 		for (const [_, accountToPoll] of this.accountsToPoll) {
 			this.accountLoader.removeAccount(
 				accountToPoll.publicKey,