@drift-labs/sdk 2.0.15 → 2.0.17

package/lib/dlob/dlobIdl.json

@@ -0,0 +1,245 @@
+{
+    "version": "2.0.0",
+    "name": "dlob",
+    "instructions": [],
+    "accounts": [],
+    "types": [
+        {
+            "name": "DLOBOrders",
+            "type": {
+                "vec": {
+                    "defined": "DLOBOrder"
+                }
+            }
+        },
+        {
+            "name": "DLOBOrder",
+            "type": {
+                "kind": "struct",
+                "fields": [
+                    {
+                        "name": "user",
+                        "type": "publicKey"
+                    },
+                    {
+                        "name": "order",
+                        "type": {
+                            "defined": "Order"
+                        }
+                    }
+                ]
+            }
+        },
+        {
+            "name": "Order",
+            "type": {
+                "kind": "struct",
+                "fields": [
+                    {
+                        "name": "slot",
+                        "type": "u64"
+                    },
+                    {
+                        "name": "price",
+                        "type": "u64"
+                    },
+                    {
+                        "name": "baseAssetAmount",
+                        "type": "u64"
+                    },
+                    {
+                        "name": "baseAssetAmountFilled",
+                        "type": "u64"
+                    },
+                    {
+                        "name": "quoteAssetAmountFilled",
+                        "type": "u64"
+                    },
+                    {
+                        "name": "triggerPrice",
+                        "type": "u64"
+                    },
+                    {
+                        "name": "auctionStartPrice",
+                        "type": "u64"
+                    },
+                    {
+                        "name": "auctionEndPrice",
+                        "type": "u64"
+                    },
+                    {
+                        "name": "maxTs",
+                        "type": "i64"
+                    },
+                    {
+                        "name": "oraclePriceOffset",
+                        "type": "i32"
+                    },
+                    {
+                        "name": "orderId",
+                        "type": "u32"
+                    },
+                    {
+                        "name": "marketIndex",
+                        "type": "u16"
+                    },
+                    {
+                        "name": "status",
+                        "type": {
+                            "defined": "OrderStatus"
+                        }
+                    },
+                    {
+                        "name": "orderType",
+                        "type": {
+                            "defined": "OrderType"
+                        }
+                    },
+                    {
+                        "name": "marketType",
+                        "type": {
+                            "defined": "MarketType"
+                        }
+                    },
+                    {
+                        "name": "userOrderId",
+                        "type": "u8"
+                    },
+                    {
+                        "name": "existingPositionDirection",
+                        "type": {
+                            "defined": "PositionDirection"
+                        }
+                    },
+                    {
+                        "name": "direction",
+                        "type": {
+                            "defined": "PositionDirection"
+                        }
+                    },
+                    {
+                        "name": "reduceOnly",
+                        "type": "bool"
+                    },
+                    {
+                        "name": "postOnly",
+                        "type": "bool"
+                    },
+                    {
+                        "name": "immediateOrCancel",
+                        "type": "bool"
+                    },
+                    {
+                        "name": "triggerCondition",
+                        "type": {
+                            "defined": "OrderTriggerCondition"
+                        }
+                    },
+                    {
+                        "name": "auctionDuration",
+                        "type": "u8"
+                    },
+                    {
+                        "name": "padding",
+                        "type": {
+                            "array": [
+                                "u8",
+                                3
+                            ]
+                        }
+                    }
+                ]
+            }
+        },
+        {
+            "name": "OrderStatus",
+            "type": {
+                "kind": "enum",
+                "variants": [
+                    {
+                        "name": "Init"
+                    },
+                    {
+                        "name": "Open"
+                    },
+                    {
+                        "name": "Filled"
+                    },
+                    {
+                        "name": "Canceled"
+                    }
+                ]
+            }
+        },
+        {
+            "name": "OrderType",
+            "type": {
+                "kind": "enum",
+                "variants": [
+                    {
+                        "name": "Market"
+                    },
+                    {
+                        "name": "Limit"
+                    },
+                    {
+                        "name": "TriggerMarket"
+                    },
+                    {
+                        "name": "TriggerLimit"
+                    }
+                ]
+            }
+        },
+        {
+            "name": "OrderTriggerCondition",
+            "type": {
+                "kind": "enum",
+                "variants": [
+                    {
+                        "name": "Above"
+                    },
+                    {
+                        "name": "Below"
+                    },
+                    {
+                        "name": "TriggeredAbove"
+                    },
+                    {
+                        "name": "TriggeredBelow"
+                    }
+                ]
+            }
+        },
+        {
+            "name": "MarketType",
+            "type": {
+                "kind": "enum",
+                "variants": [
+                    {
+                        "name": "Spot"
+                    },
+                    {
+                        "name": "Perp"
+                    }
+                ]
+            }
+        },
+        {
+            "name": "PositionDirection",
+            "type": {
+                "kind": "enum",
+                "variants": [
+                    {
+                        "name": "Long"
+                    },
+                    {
+                        "name": "Short"
+                    }
+                ]
+            }
+        }
+    ],
+    "events": [],
+    "errors": []
+}

package/lib/idl/drift.json

@@ -8519,6 +8519,11 @@
             "code": 6221,
             "name": "SpotFulfillmentConfigDisabled",
             "msg": "Spot Fulfullment Config Disabled"
+        },
+        {
+            "code": 6222,
+            "name": "InvalidMaker",
+            "msg": "Invalid Maker"
         }
     ]
 }

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": "2.0.17",
 	"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);