@drift-labs/sdk 2.0.15 → 2.0.16

package/lib/constants/numericConstants.d.ts

@@ -56,3 +56,4 @@ export declare const QUOTE_SPOT_MARKET_INDEX = 0;
 export declare const LAMPORTS_PRECISION: BN;
 export declare const LAMPORTS_EXP: BN;
 export declare const OPEN_ORDER_MARGIN_REQUIREMENT: BN;
+export declare const DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT: BN;

package/lib/constants/numericConstants.js

@@ -1,7 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.BID_ASK_SPREAD_PRECISION = exports.MARGIN_PRECISION = exports.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO = exports.PRICE_TO_QUOTE_PRECISION = exports.PRICE_DIV_PEG = exports.AMM_TO_QUOTE_PRECISION_RATIO = exports.BASE_PRECISION_EXP = exports.BASE_PRECISION = exports.AMM_RESERVE_PRECISION = exports.PEG_PRECISION = exports.FUNDING_RATE_BUFFER_PRECISION = exports.FUNDING_RATE_PRECISION = exports.PRICE_PRECISION = exports.QUOTE_PRECISION = exports.LIQUIDATION_FEE_PRECISION = exports.SPOT_MARKET_IMF_PRECISION = exports.SPOT_MARKET_IMF_PRECISION_EXP = exports.SPOT_MARKET_BALANCE_PRECISION = exports.SPOT_MARKET_BALANCE_PRECISION_EXP = exports.SPOT_MARKET_WEIGHT_PRECISION = exports.SPOT_MARKET_UTILIZATION_PRECISION = exports.SPOT_MARKET_UTILIZATION_PRECISION_EXP = exports.SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION = exports.SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION_EXP = exports.SPOT_MARKET_RATE_PRECISION = exports.SPOT_MARKET_RATE_PRECISION_EXP = exports.AMM_RESERVE_PRECISION_EXP = exports.PEG_PRECISION_EXP = exports.FUNDING_RATE_PRECISION_EXP = exports.PRICE_PRECISION_EXP = exports.FUNDING_RATE_BUFFER_PRECISION_EXP = exports.QUOTE_PRECISION_EXP = exports.CONCENTRATION_PRECISION = exports.PERCENTAGE_PRECISION = exports.PERCENTAGE_PRECISION_EXP = exports.MAX_LEVERAGE = exports.TEN_MILLION = exports.BN_MAX = exports.TEN_THOUSAND = exports.TEN = exports.NINE = exports.EIGHT = exports.SEVEN = exports.SIX = exports.FIVE = exports.FOUR = exports.THREE = exports.TWO = exports.ONE = exports.ZERO = void 0;
-exports.OPEN_ORDER_MARGIN_REQUIREMENT = exports.LAMPORTS_EXP = exports.LAMPORTS_PRECISION = exports.QUOTE_SPOT_MARKET_INDEX = exports.ONE_YEAR = exports.LIQUIDATION_PCT_PRECISION = void 0;
+exports.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = exports.OPEN_ORDER_MARGIN_REQUIREMENT = exports.LAMPORTS_EXP = exports.LAMPORTS_PRECISION = exports.QUOTE_SPOT_MARKET_INDEX = exports.ONE_YEAR = exports.LIQUIDATION_PCT_PRECISION = void 0;
 const web3_js_1 = require("@solana/web3.js");
 const __1 = require("../");
 exports.ZERO = new __1.BN(0);
@@ -60,3 +60,4 @@ exports.QUOTE_SPOT_MARKET_INDEX = 0;
 exports.LAMPORTS_PRECISION = new __1.BN(web3_js_1.LAMPORTS_PER_SOL);
 exports.LAMPORTS_EXP = new __1.BN(Math.log10(web3_js_1.LAMPORTS_PER_SOL));
 exports.OPEN_ORDER_MARGIN_REQUIREMENT = exports.QUOTE_PRECISION.div(new __1.BN(100));
+exports.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = new __1.BN(-25).mul(exports.QUOTE_PRECISION);

package/lib/math/amm.d.ts

@@ -38,12 +38,12 @@ export declare function calculateInventoryScale(baseAssetAmountWithAmm: BN, base
 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 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;
-    quoteAssetReserve: 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, netRevenueSinceLastFunding: 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, oraclePriceData: OraclePriceData): [number, number];
+export declare function calculateSpreadReserves(amm: AMM, oraclePriceData: OraclePriceData): {
+    baseAssetReserve: any;
+    quoteAssetReserve: any;
+}[];
 /**
  * Helper function calculating constant product curve output. Agnostic to whether input asset is quote or base
  *

package/lib/math/amm.js

@@ -100,7 +100,10 @@ function calculateUpdatedAMM(amm, oraclePriceData) {
 exports.calculateUpdatedAMM = calculateUpdatedAMM;
 function calculateUpdatedAMMSpreadReserves(amm, direction, oraclePriceData) {
     const newAmm = calculateUpdatedAMM(amm, oraclePriceData);
-    const dirReserves = calculateSpreadReserves(newAmm, direction, oraclePriceData);
+    const [shortReserves, longReserves] = calculateSpreadReserves(newAmm, oraclePriceData);
+    const dirReserves = (0, types_1.isVariant)(direction, 'long')
+        ? longReserves
+        : shortReserves;
     const result = {
         baseAssetReserve: dirReserves.baseAssetReserve,
         quoteAssetReserve: dirReserves.quoteAssetReserve,
@@ -118,8 +121,7 @@ function calculateBidAskPrice(amm, oraclePriceData, withUpdate = true) {
     else {
         newAmm = amm;
     }
-    const askReserves = calculateSpreadReserves(newAmm, types_1.PositionDirection.LONG, oraclePriceData);
-    const bidReserves = calculateSpreadReserves(newAmm, types_1.PositionDirection.SHORT, oraclePriceData);
+    const [bidReserves, askReserves] = calculateSpreadReserves(newAmm, oraclePriceData);
     const askPrice = calculatePrice(askReserves.baseAssetReserve, askReserves.quoteAssetReserve, newAmm.pegMultiplier);
     const bidPrice = calculatePrice(bidReserves.baseAssetReserve, bidReserves.quoteAssetReserve, newAmm.pegMultiplier);
     return [bidPrice, askPrice];
@@ -236,10 +238,11 @@ function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleSt
     const marketAvgStdPct = markStd
         .add(oracleStd)
         .mul(numericConstants_1.PERCENTAGE_PRECISION)
-        .div(reservePrice.mul(new anchor_1.BN(2)));
+        .div(reservePrice)
+        .div(new anchor_1.BN(2));
     const volSpread = anchor_1.BN.max(lastOracleConfPct, marketAvgStdPct.div(new anchor_1.BN(2)));
+    const clampMin = numericConstants_1.PERCENTAGE_PRECISION.div(new anchor_1.BN(100));
     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));
@@ -247,7 +250,7 @@ function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleSt
     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) {
+function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions, netRevenueSinceLastFunding, 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());
@@ -267,9 +270,9 @@ function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOrac
     else if (baseAssetAmountWithAmm.lt(numericConstants_1.ZERO)) {
         shortSpread *= inventorySpreadScale;
     }
-    const effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions);
     const MAX_SPREAD_SCALE = 10;
     if (totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
+        const effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions);
         const spreadScale = Math.min(MAX_SPREAD_SCALE, 1 + effectiveLeverage);
         if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
             longSpread *= spreadScale;
@@ -282,23 +285,40 @@ function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOrac
         longSpread *= MAX_SPREAD_SCALE;
         shortSpread *= MAX_SPREAD_SCALE;
     }
+    if (netRevenueSinceLastFunding.lt(numericConstants_1.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT)) {
+        const retreatAmount = Math.min(maxTargetSpread / 10, Math.floor((baseSpread * netRevenueSinceLastFunding.abs().toNumber()) /
+            numericConstants_1.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT.toNumber()));
+        const halfRetreatAmount = Math.floor(retreatAmount / 2);
+        if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
+            longSpread += retreatAmount;
+            shortSpread += halfRetreatAmount;
+        }
+        else if (baseAssetAmountWithAmm.lt(numericConstants_1.ZERO)) {
+            longSpread += halfRetreatAmount;
+            shortSpread += retreatAmount;
+        }
+        else {
+            longSpread += halfRetreatAmount;
+            shortSpread += halfRetreatAmount;
+        }
+    }
     const totalSpread = longSpread + shortSpread;
     if (totalSpread > maxTargetSpread) {
         if (longSpread > shortSpread) {
-            longSpread = Math.min(longSpread, maxTargetSpread);
+            longSpread = Math.ceil((longSpread * maxTargetSpread) / totalSpread);
             shortSpread = maxTargetSpread - longSpread;
         }
         else {
-            shortSpread = Math.min(shortSpread, maxTargetSpread);
+            shortSpread = Math.ceil((shortSpread * maxTargetSpread) / totalSpread);
             longSpread = maxTargetSpread - shortSpread;
         }
     }
     return [longSpread, shortSpread];
 }
 exports.calculateSpreadBN = calculateSpreadBN;
-function calculateSpread(amm, direction, oraclePriceData) {
+function calculateSpread(amm, oraclePriceData) {
     if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
-        return amm.baseSpread / 2;
+        return [amm.baseSpread / 2, amm.baseSpread / 2];
     }
     const reservePrice = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     const targetPrice = (oraclePriceData === null || oraclePriceData === void 0 ? void 0 : oraclePriceData.price) || reservePrice;
@@ -312,38 +332,36 @@ function calculateSpread(amm, direction, oraclePriceData) {
         .div(reservePrice);
     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;
-    }
-    else {
-        spread = shortSpread;
-    }
-    return spread;
+    const [longSpread, shortSpread] = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.baseAssetAmountWithAmm, reservePrice, amm.totalFeeMinusDistributions, amm.netRevenueSinceLastFunding, amm.baseAssetReserve, amm.minBaseAssetReserve, amm.maxBaseAssetReserve, amm.markStd, liveOracleStd, amm.longIntensityVolume, amm.shortIntensityVolume, amm.volume24H);
+    return [longSpread, shortSpread];
 }
 exports.calculateSpread = calculateSpread;
-function calculateSpreadReserves(amm, direction, oraclePriceData) {
-    const spread = calculateSpread(amm, direction, oraclePriceData);
-    if (spread === 0) {
+function calculateSpreadReserves(amm, oraclePriceData) {
+    function calculateSpreadReserve(spread, direction, amm) {
+        if (spread === 0) {
+            return {
+                baseAssetReserve: amm.baseAssetReserve,
+                quoteAssetReserve: amm.quoteAssetReserve,
+            };
+        }
+        const quoteAssetReserveDelta = amm.quoteAssetReserve.div(numericConstants_1.BID_ASK_SPREAD_PRECISION.div(new anchor_1.BN(spread / 2)));
+        let quoteAssetReserve;
+        if ((0, types_1.isVariant)(direction, 'long')) {
+            quoteAssetReserve = amm.quoteAssetReserve.add(quoteAssetReserveDelta);
+        }
+        else {
+            quoteAssetReserve = amm.quoteAssetReserve.sub(quoteAssetReserveDelta);
+        }
+        const baseAssetReserve = amm.sqrtK.mul(amm.sqrtK).div(quoteAssetReserve);
         return {
-            baseAssetReserve: amm.baseAssetReserve,
-            quoteAssetReserve: amm.quoteAssetReserve,
+            baseAssetReserve,
+            quoteAssetReserve,
         };
     }
-    const quoteAsserReserveDelta = amm.quoteAssetReserve.div(numericConstants_1.BID_ASK_SPREAD_PRECISION.div(new anchor_1.BN(spread / 2)));
-    let quoteAssetReserve;
-    if ((0, types_1.isVariant)(direction, 'long')) {
-        quoteAssetReserve = amm.quoteAssetReserve.add(quoteAsserReserveDelta);
-    }
-    else {
-        quoteAssetReserve = amm.quoteAssetReserve.sub(quoteAsserReserveDelta);
-    }
-    const baseAssetReserve = amm.sqrtK.mul(amm.sqrtK).div(quoteAssetReserve);
-    return {
-        baseAssetReserve,
-        quoteAssetReserve,
-    };
+    const [longSpread, shortSpread] = calculateSpread(amm, oraclePriceData);
+    const askReserves = calculateSpreadReserve(longSpread, types_1.PositionDirection.LONG, amm);
+    const bidReserves = calculateSpreadReserve(shortSpread, types_1.PositionDirection.SHORT, amm);
+    return [bidReserves, askReserves];
 }
 exports.calculateSpreadReserves = calculateSpreadReserves;
 /**
@@ -410,7 +428,10 @@ function calculateMaxBaseAssetAmountToTrade(amm, limit_price, direction, oracleP
         .div(limit_price)
         .div(numericConstants_1.PEG_PRECISION);
     const newBaseAssetReserve = (0, __1.squareRootBN)(newBaseAssetReserveSquared);
-    const baseAssetReserveBefore = calculateSpreadReserves(amm, direction, oraclePriceData).baseAssetReserve;
+    const [shortSpreadReserves, longSpreadReserves] = calculateSpreadReserves(amm, oraclePriceData);
+    const baseAssetReserveBefore = (0, types_1.isVariant)(direction, 'long')
+        ? longSpreadReserves.baseAssetReserve
+        : shortSpreadReserves.baseAssetReserve;
     if (newBaseAssetReserve.gt(baseAssetReserveBefore)) {
         return [
             newBaseAssetReserve.sub(baseAssetReserveBefore),

package/lib/math/utils.d.ts

@@ -1,4 +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;
+export declare const squareRootBN: (n: any, closeness?: BN) => BN;

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.0.15",
+	"version": "2.0.16",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/constants/numericConstants.ts

@@ -91,3 +91,7 @@ export const LAMPORTS_PRECISION = new BN(LAMPORTS_PER_SOL);
 export const LAMPORTS_EXP = new BN(Math.log10(LAMPORTS_PER_SOL));
 
 export const OPEN_ORDER_MARGIN_REQUIREMENT = QUOTE_PRECISION.div(new BN(100));
+
+export const DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = new BN(
+	-25
+).mul(QUOTE_PRECISION);

package/src/math/amm.ts

@@ -12,6 +12,7 @@ import {
 	PRICE_DIV_PEG,
 	PERCENTAGE_PRECISION,
 	BASE_PRECISION,
+	DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT,
 } from '../constants/numericConstants';
 import {
 	AMM,
@@ -190,11 +191,15 @@ export function calculateUpdatedAMMSpreadReserves(
 	oraclePriceData: OraclePriceData
 ): { baseAssetReserve: BN; quoteAssetReserve: BN; sqrtK: BN; newPeg: BN } {
 	const newAmm = calculateUpdatedAMM(amm, oraclePriceData);
-	const dirReserves = calculateSpreadReserves(
+	const [shortReserves, longReserves] = calculateSpreadReserves(
 		newAmm,
-		direction,
 		oraclePriceData
 	);
+
+	const dirReserves = isVariant(direction, 'long')
+		? longReserves
+		: shortReserves;
+
 	const result = {
 		baseAssetReserve: dirReserves.baseAssetReserve,
 		quoteAssetReserve: dirReserves.quoteAssetReserve,
@@ -217,14 +222,8 @@ export function calculateBidAskPrice(
 		newAmm = amm;
 	}
 
-	const askReserves = calculateSpreadReserves(
+	const [bidReserves, askReserves] = calculateSpreadReserves(
 		newAmm,
-		PositionDirection.LONG,
-		oraclePriceData
-	);
-	const bidReserves = calculateSpreadReserves(
-		newAmm,
-		PositionDirection.SHORT,
 		oraclePriceData
 	);
 
@@ -431,11 +430,12 @@ export function calculateVolSpreadBN(
 	const marketAvgStdPct = markStd
 		.add(oracleStd)
 		.mul(PERCENTAGE_PRECISION)
-		.div(reservePrice.mul(new BN(2)));
+		.div(reservePrice)
+		.div(new BN(2));
 	const volSpread = BN.max(lastOracleConfPct, marketAvgStdPct.div(new BN(2)));
 
+	const clampMin = PERCENTAGE_PRECISION.div(new BN(100));
 	const clampMax = PERCENTAGE_PRECISION.mul(new BN(16)).div(new BN(10));
-	const clampMin = PERCENTAGE_PRECISION.div(new BN(10));
 
 	const longVolSpreadFactor = clampBN(
 		longIntensity.mul(PERCENTAGE_PRECISION).div(BN.max(ONE, volume24H)),
@@ -471,6 +471,7 @@ export function calculateSpreadBN(
 	baseAssetAmountWithAmm: BN,
 	reservePrice: BN,
 	totalFeeMinusDistributions: BN,
+	netRevenueSinceLastFunding: BN,
 	baseAssetReserve: BN,
 	minBaseAssetReserve: BN,
 	maxBaseAssetReserve: BN,
@@ -527,18 +528,17 @@ export function calculateSpreadBN(
 		shortSpread *= inventorySpreadScale;
 	}
 
-	const effectiveLeverage = calculateEffectiveLeverage(
-		baseSpread,
-		quoteAssetReserve,
-		terminalQuoteAssetReserve,
-		pegMultiplier,
-		baseAssetAmountWithAmm,
-		reservePrice,
-		totalFeeMinusDistributions
-	);
-
 	const MAX_SPREAD_SCALE = 10;
 	if (totalFeeMinusDistributions.gt(ZERO)) {
+		const effectiveLeverage = calculateEffectiveLeverage(
+			baseSpread,
+			quoteAssetReserve,
+			terminalQuoteAssetReserve,
+			pegMultiplier,
+			baseAssetAmountWithAmm,
+			reservePrice,
+			totalFeeMinusDistributions
+		);
 		const spreadScale = Math.min(MAX_SPREAD_SCALE, 1 + effectiveLeverage);
 		if (baseAssetAmountWithAmm.gt(ZERO)) {
 			longSpread *= spreadScale;
@@ -550,13 +550,38 @@ export function calculateSpreadBN(
 		shortSpread *= MAX_SPREAD_SCALE;
 	}
 
+	if (
+		netRevenueSinceLastFunding.lt(
+			DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT
+		)
+	) {
+		const retreatAmount = Math.min(
+			maxTargetSpread / 10,
+			Math.floor(
+				(baseSpread * netRevenueSinceLastFunding.abs().toNumber()) /
+					DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT.toNumber()
+			)
+		);
+		const halfRetreatAmount = Math.floor(retreatAmount / 2);
+		if (baseAssetAmountWithAmm.gt(ZERO)) {
+			longSpread += retreatAmount;
+			shortSpread += halfRetreatAmount;
+		} else if (baseAssetAmountWithAmm.lt(ZERO)) {
+			longSpread += halfRetreatAmount;
+			shortSpread += retreatAmount;
+		} else {
+			longSpread += halfRetreatAmount;
+			shortSpread += halfRetreatAmount;
+		}
+	}
+
 	const totalSpread = longSpread + shortSpread;
 	if (totalSpread > maxTargetSpread) {
 		if (longSpread > shortSpread) {
-			longSpread = Math.min(longSpread, maxTargetSpread);
+			longSpread = Math.ceil((longSpread * maxTargetSpread) / totalSpread);
 			shortSpread = maxTargetSpread - longSpread;
 		} else {
-			shortSpread = Math.min(shortSpread, maxTargetSpread);
+			shortSpread = Math.ceil((shortSpread * maxTargetSpread) / totalSpread);
 			longSpread = maxTargetSpread - shortSpread;
 		}
 	}
@@ -566,11 +591,10 @@ export function calculateSpreadBN(
 
 export function calculateSpread(
 	amm: AMM,
-	direction: PositionDirection,
 	oraclePriceData: OraclePriceData
-): number {
+): [number, number] {
 	if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
-		return amm.baseSpread / 2;
+		return [amm.baseSpread / 2, amm.baseSpread / 2];
 	}
 
 	const reservePrice = calculatePrice(
@@ -604,6 +628,7 @@ export function calculateSpread(
 		amm.baseAssetAmountWithAmm,
 		reservePrice,
 		amm.totalFeeMinusDistributions,
+		amm.netRevenueSinceLastFunding,
 		amm.baseAssetReserve,
 		amm.minBaseAssetReserve,
 		amm.maxBaseAssetReserve,
@@ -614,50 +639,59 @@ export function calculateSpread(
 		amm.volume24H
 	);
 
-	let spread: number;
-
-	if (isVariant(direction, 'long')) {
-		spread = longSpread;
-	} else {
-		spread = shortSpread;
-	}
-
-	return spread;
+	return [longSpread, shortSpread];
 }
 
 export function calculateSpreadReserves(
 	amm: AMM,
-	direction: PositionDirection,
 	oraclePriceData: OraclePriceData
-): {
-	baseAssetReserve: BN;
-	quoteAssetReserve: BN;
-} {
-	const spread = calculateSpread(amm, direction, oraclePriceData);
+) {
+	function calculateSpreadReserve(
+		spread: number,
+		direction: PositionDirection,
+		amm: AMM
+	): {
+		baseAssetReserve;
+		quoteAssetReserve;
+	} {
+		if (spread === 0) {
+			return {
+				baseAssetReserve: amm.baseAssetReserve,
+				quoteAssetReserve: amm.quoteAssetReserve,
+			};
+		}
+
+		const quoteAssetReserveDelta = amm.quoteAssetReserve.div(
+			BID_ASK_SPREAD_PRECISION.div(new BN(spread / 2))
+		);
+
+		let quoteAssetReserve;
+		if (isVariant(direction, 'long')) {
+			quoteAssetReserve = amm.quoteAssetReserve.add(quoteAssetReserveDelta);
+		} else {
+			quoteAssetReserve = amm.quoteAssetReserve.sub(quoteAssetReserveDelta);
+		}
 
-	if (spread === 0) {
+		const baseAssetReserve = amm.sqrtK.mul(amm.sqrtK).div(quoteAssetReserve);
 		return {
-			baseAssetReserve: amm.baseAssetReserve,
-			quoteAssetReserve: amm.quoteAssetReserve,
+			baseAssetReserve,
+			quoteAssetReserve,
 		};
 	}
 
-	const quoteAsserReserveDelta = amm.quoteAssetReserve.div(
-		BID_ASK_SPREAD_PRECISION.div(new BN(spread / 2))
+	const [longSpread, shortSpread] = calculateSpread(amm, oraclePriceData);
+	const askReserves = calculateSpreadReserve(
+		longSpread,
+		PositionDirection.LONG,
+		amm
+	);
+	const bidReserves = calculateSpreadReserve(
+		shortSpread,
+		PositionDirection.SHORT,
+		amm
 	);
 
-	let quoteAssetReserve;
-	if (isVariant(direction, 'long')) {
-		quoteAssetReserve = amm.quoteAssetReserve.add(quoteAsserReserveDelta);
-	} else {
-		quoteAssetReserve = amm.quoteAssetReserve.sub(quoteAsserReserveDelta);
-	}
-
-	const baseAssetReserve = amm.sqrtK.mul(amm.sqrtK).div(quoteAssetReserve);
-	return {
-		baseAssetReserve,
-		quoteAssetReserve,
-	};
+	return [bidReserves, askReserves];
 }
 
 /**
@@ -749,12 +783,14 @@ export function calculateMaxBaseAssetAmountToTrade(
 		.div(PEG_PRECISION);
 
 	const newBaseAssetReserve = squareRootBN(newBaseAssetReserveSquared);
-
-	const baseAssetReserveBefore = calculateSpreadReserves(
+	const [shortSpreadReserves, longSpreadReserves] = calculateSpreadReserves(
 		amm,
-		direction,
 		oraclePriceData
-	).baseAssetReserve;
+	);
+
+	const baseAssetReserveBefore: BN = isVariant(direction, 'long')
+		? longSpreadReserves.baseAssetReserve
+		: shortSpreadReserves.baseAssetReserve;
 
 	if (newBaseAssetReserve.gt(baseAssetReserveBefore)) {
 		return [

package/src/math/utils.ts

@@ -4,7 +4,7 @@ export function clampBN(x: BN, min: BN, max: BN): BN {
 	return BN.max(min, BN.min(x, max));
 }
 
-export const squareRootBN = (n, closeness = new BN(1)) => {
+export const squareRootBN = (n, closeness = new BN(1)): BN => {
 	// Assuming the sqrt of n as n only
 	let x = n;
 

package/src/events/eventList.js

@@ -1,77 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.EventList = void 0;
-class Node {
-    constructor(event, next, prev) {
-        this.event = event;
-        this.next = next;
-        this.prev = prev;
-    }
-}
-class EventList {
-    constructor(eventType, maxSize, sortFn, orderDirection) {
-        this.eventType = eventType;
-        this.maxSize = maxSize;
-        this.sortFn = sortFn;
-        this.orderDirection = orderDirection;
-        this.size = 0;
-    }
-    insert(event) {
-        this.size++;
-        const newNode = new Node(event);
-        if (this.head === undefined) {
-            this.head = this.tail = newNode;
-            return;
-        }
-        if (this.sortFn(this.head.event, newNode.event) ===
-            (this.orderDirection === 'asc' ? 'less than' : 'greater than')) {
-            this.head.prev = newNode;
-            newNode.next = this.head;
-            this.head = newNode;
-        }
-        else {
-            let currentNode = this.head;
-            while (currentNode.next !== undefined &&
-                this.sortFn(currentNode.next.event, newNode.event) !==
-                    (this.orderDirection === 'asc' ? 'less than' : 'greater than')) {
-                currentNode = currentNode.next;
-            }
-            newNode.next = currentNode.next;
-            if (currentNode.next !== undefined) {
-                newNode.next.prev = newNode;
-            }
-            currentNode.next = newNode;
-            newNode.prev = currentNode;
-        }
-        if (this.size > this.maxSize) {
-            this.detach();
-        }
-    }
-    detach() {
-        const node = this.tail;
-        if (node.prev !== undefined) {
-            node.prev.next = node.next;
-        }
-        else {
-            this.head = node.next;
-        }
-        if (node.next !== undefined) {
-            node.next.prev = node.prev;
-        }
-        else {
-            this.tail = node.prev;
-        }
-        this.size--;
-    }
-    toArray() {
-        return Array.from(this);
-    }
-    *[Symbol.iterator]() {
-        let node = this.head;
-        while (node) {
-            yield node.event;
-            node = node.next;
-        }
-    }
-}
-exports.EventList = EventList;