@drift-labs/sdk 2.0.16 → 2.0.18

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/index.d.ts

@@ -62,6 +62,7 @@ export * from './constants/spotMarkets';
 export * from './driftClientConfig';
 export * from './dlob/DLOB';
 export * from './dlob/DLOBNode';
+export * from './dlob/DLOBOrders';
 export * from './dlob/NodeList';
 export * from './userMap/userMap';
 export * from './userMap/userStatsMap';

package/lib/index.js

@@ -85,6 +85,7 @@ __exportStar(require("./constants/spotMarkets"), exports);
 __exportStar(require("./driftClientConfig"), exports);
 __exportStar(require("./dlob/DLOB"), exports);
 __exportStar(require("./dlob/DLOBNode"), exports);
+__exportStar(require("./dlob/DLOBOrders"), exports);
 __exportStar(require("./dlob/NodeList"), exports);
 __exportStar(require("./userMap/userMap"), exports);
 __exportStar(require("./userMap/userStatsMap"), exports);

package/lib/math/amm.d.ts

@@ -38,7 +38,27 @@ 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, netRevenueSinceLastFunding: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN, markStd: BN, oracleStd: BN, longIntensity: BN, shortIntensity: BN, volume24H: BN): [number, number];
+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, returnTerms?: boolean): number[] | {
+    longVolSpread: number;
+    shortVolSpread: number;
+    longSpreadwPS: number;
+    shortSpreadwPS: number;
+    maxTargetSpread: number;
+    inventorySpreadScale: number;
+    longSpreadwInvScale: number;
+    shortSpreadwInvScale: number;
+    effectiveLeverage: number;
+    effectiveLeverageCapped: number;
+    longSpreadwEL: number;
+    shortSpreadwEL: number;
+    revenueRetreatAmount: number;
+    halfRevenueRetreatAmount: number;
+    longSpreadwRevRetreat: number;
+    shortSpreadwRevRetreat: number;
+    totalSpread: number;
+    longSpread: number;
+    shortSpread: number;
+};
 export declare function calculateSpread(amm: AMM, oraclePriceData: OraclePriceData): [number, number];
 export declare function calculateSpreadReserves(amm: AMM, oraclePriceData: OraclePriceData): {
     baseAssetReserve: any;

package/lib/math/amm.js

@@ -250,8 +250,33 @@ function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleSt
     return [longVolSpread, shortVolSpread];
 }
 exports.calculateVolSpreadBN = calculateVolSpreadBN;
-function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions, netRevenueSinceLastFunding, 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, returnTerms = false) {
+    (0, assert_1.assert)(Number.isInteger(baseSpread));
+    (0, assert_1.assert)(Number.isInteger(maxSpread));
+    const spreadTerms = {
+        longVolSpread: 0,
+        shortVolSpread: 0,
+        longSpreadwPS: 0,
+        shortSpreadwPS: 0,
+        maxTargetSpread: 0,
+        inventorySpreadScale: 0,
+        longSpreadwInvScale: 0,
+        shortSpreadwInvScale: 0,
+        effectiveLeverage: 0,
+        effectiveLeverageCapped: 0,
+        longSpreadwEL: 0,
+        shortSpreadwEL: 0,
+        revenueRetreatAmount: 0,
+        halfRevenueRetreatAmount: 0,
+        longSpreadwRevRetreat: 0,
+        shortSpreadwRevRetreat: 0,
+        totalSpread: 0,
+        longSpread: 0,
+        shortSpread: 0,
+    };
     const [longVolSpread, shortVolSpread] = calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleStd, longIntensity, shortIntensity, volume24H);
+    spreadTerms.longVolSpread = longVolSpread.toNumber();
+    spreadTerms.shortVolSpread = shortVolSpread.toNumber();
     let longSpread = Math.max(baseSpread / 2, longVolSpread.toNumber());
     let shortSpread = Math.max(baseSpread / 2, shortVolSpread.toNumber());
     if (lastOracleReservePriceSpreadPct.gt(numericConstants_1.ZERO)) {
@@ -262,7 +287,9 @@ function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOrac
         longSpread = Math.max(longSpread, lastOracleReservePriceSpreadPct.abs().toNumber() +
             longVolSpread.toNumber());
     }
-    const maxTargetSpread = Math.max(maxSpread, lastOracleReservePriceSpreadPct.abs().toNumber());
+    spreadTerms.longSpreadwPS = longSpread;
+    spreadTerms.shortSpreadwPS = shortSpread;
+    const maxTargetSpread = Math.floor(Math.max(maxSpread, lastOracleReservePriceSpreadPct.abs().toNumber()));
     const inventorySpreadScale = calculateInventoryScale(baseAssetAmountWithAmm, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve, baseAssetAmountWithAmm.gt(numericConstants_1.ZERO) ? longSpread : shortSpread, maxTargetSpread);
     if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
         longSpread *= inventorySpreadScale;
@@ -270,49 +297,69 @@ function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOrac
     else if (baseAssetAmountWithAmm.lt(numericConstants_1.ZERO)) {
         shortSpread *= inventorySpreadScale;
     }
+    spreadTerms.maxTargetSpread = maxTargetSpread;
+    spreadTerms.inventorySpreadScale = inventorySpreadScale;
+    spreadTerms.longSpreadwInvScale = longSpread;
+    spreadTerms.shortSpreadwInvScale = shortSpread;
     const MAX_SPREAD_SCALE = 10;
     if (totalFeeMinusDistributions.gt(numericConstants_1.ZERO)) {
         const effectiveLeverage = calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions);
+        spreadTerms.effectiveLeverage = effectiveLeverage;
         const spreadScale = Math.min(MAX_SPREAD_SCALE, 1 + effectiveLeverage);
+        spreadTerms.effectiveLeverageCapped = spreadScale;
         if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
             longSpread *= spreadScale;
+            shortSpread = Math.floor(longSpread);
         }
         else {
             shortSpread *= spreadScale;
+            shortSpread = Math.floor(shortSpread);
         }
     }
     else {
         longSpread *= MAX_SPREAD_SCALE;
         shortSpread *= MAX_SPREAD_SCALE;
     }
+    spreadTerms.longSpreadwEL = longSpread;
+    spreadTerms.shortSpreadwEL = shortSpread;
     if (netRevenueSinceLastFunding.lt(numericConstants_1.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT)) {
-        const retreatAmount = Math.min(maxTargetSpread / 10, Math.floor((baseSpread * netRevenueSinceLastFunding.abs().toNumber()) /
+        const revenueRetreatAmount = 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);
+        const halfRevenueRetreatAmount = Math.floor(revenueRetreatAmount / 2);
+        spreadTerms.revenueRetreatAmount = revenueRetreatAmount;
+        spreadTerms.halfRevenueRetreatAmount = halfRevenueRetreatAmount;
         if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
-            longSpread += retreatAmount;
-            shortSpread += halfRetreatAmount;
+            longSpread += revenueRetreatAmount;
+            shortSpread += halfRevenueRetreatAmount;
         }
         else if (baseAssetAmountWithAmm.lt(numericConstants_1.ZERO)) {
-            longSpread += halfRetreatAmount;
-            shortSpread += retreatAmount;
+            longSpread += halfRevenueRetreatAmount;
+            shortSpread += revenueRetreatAmount;
         }
         else {
-            longSpread += halfRetreatAmount;
-            shortSpread += halfRetreatAmount;
+            longSpread += halfRevenueRetreatAmount;
+            shortSpread += halfRevenueRetreatAmount;
         }
     }
+    spreadTerms.longSpreadwRevRetreat = longSpread;
+    spreadTerms.shortSpreadwRevRetreat = shortSpread;
     const totalSpread = longSpread + shortSpread;
     if (totalSpread > maxTargetSpread) {
         if (longSpread > shortSpread) {
             longSpread = Math.ceil((longSpread * maxTargetSpread) / totalSpread);
-            shortSpread = maxTargetSpread - longSpread;
+            shortSpread = Math.floor(maxTargetSpread - longSpread);
         }
         else {
             shortSpread = Math.ceil((shortSpread * maxTargetSpread) / totalSpread);
-            longSpread = maxTargetSpread - shortSpread;
+            longSpread = Math.floor(maxTargetSpread - shortSpread);
         }
     }
+    spreadTerms.totalSpread = totalSpread;
+    spreadTerms.longSpread = longSpread;
+    spreadTerms.shortSpread = shortSpread;
+    if (returnTerms) {
+        return spreadTerms;
+    }
     return [longSpread, shortSpread];
 }
 exports.calculateSpreadBN = calculateSpreadBN;
@@ -332,7 +379,9 @@ function calculateSpread(amm, 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.netRevenueSinceLastFunding, amm.baseAssetReserve, amm.minBaseAssetReserve, amm.maxBaseAssetReserve, amm.markStd, liveOracleStd, amm.longIntensityVolume, amm.shortIntensityVolume, amm.volume24H);
+    const spreads = 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);
+    const longSpread = spreads[0];
+    const shortSpread = spreads[1];
     return [longSpread, shortSpread];
 }
 exports.calculateSpread = calculateSpread;

package/lib/math/oracles.js

@@ -59,8 +59,7 @@ function calculateLiveOracleTwap(amm, oraclePriceData, now) {
     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)
+        .add(clampedOraclePrice.mul(sinceLastUpdate))
         .div(sinceStart.add(sinceLastUpdate));
     return newOracleTwap;
 }

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.0.16",
+	"version": "2.0.18",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",