@drift-labs/sdk 2.0.17 → 2.0.18

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": "2.0.17",
+	"version": "2.0.18",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/index.ts

@@ -63,6 +63,7 @@ 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/src/math/amm.ts

@@ -479,8 +479,34 @@ export function calculateSpreadBN(
 	oracleStd: BN,
 	longIntensity: BN,
 	shortIntensity: BN,
-	volume24H: BN
-): [number, number] {
+	volume24H: BN,
+	returnTerms = false
+) {
+	assert(Number.isInteger(baseSpread));
+	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,
@@ -491,6 +517,9 @@ export function calculateSpreadBN(
 		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());
 
@@ -507,10 +536,11 @@ export function calculateSpreadBN(
 				longVolSpread.toNumber()
 		);
 	}
+	spreadTerms.longSpreadwPS = longSpread;
+	spreadTerms.shortSpreadwPS = shortSpread;
 
-	const maxTargetSpread: number = Math.max(
-		maxSpread,
-		lastOracleReservePriceSpreadPct.abs().toNumber()
+	const maxTargetSpread: number = Math.floor(
+		Math.max(maxSpread, lastOracleReservePriceSpreadPct.abs().toNumber())
 	);
 
 	const inventorySpreadScale = calculateInventoryScale(
@@ -527,6 +557,10 @@ export function calculateSpreadBN(
 	} else if (baseAssetAmountWithAmm.lt(ZERO)) {
 		shortSpread *= inventorySpreadScale;
 	}
+	spreadTerms.maxTargetSpread = maxTargetSpread;
+	spreadTerms.inventorySpreadScale = inventorySpreadScale;
+	spreadTerms.longSpreadwInvScale = longSpread;
+	spreadTerms.shortSpreadwInvScale = shortSpread;
 
 	const MAX_SPREAD_SCALE = 10;
 	if (totalFeeMinusDistributions.gt(ZERO)) {
@@ -539,53 +573,76 @@ export function calculateSpreadBN(
 			reservePrice,
 			totalFeeMinusDistributions
 		);
+		spreadTerms.effectiveLeverage = effectiveLeverage;
+
 		const spreadScale = Math.min(MAX_SPREAD_SCALE, 1 + effectiveLeverage);
+		spreadTerms.effectiveLeverageCapped = spreadScale;
+
 		if (baseAssetAmountWithAmm.gt(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(
 			DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT
 		)
 	) {
-		const retreatAmount = Math.min(
+		const revenueRetreatAmount = Math.min(
 			maxTargetSpread / 10,
 			Math.floor(
 				(baseSpread * netRevenueSinceLastFunding.abs().toNumber()) /
 					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(ZERO)) {
-			longSpread += retreatAmount;
-			shortSpread += halfRetreatAmount;
+			longSpread += revenueRetreatAmount;
+			shortSpread += halfRevenueRetreatAmount;
 		} else if (baseAssetAmountWithAmm.lt(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];
 }
 
@@ -617,7 +674,7 @@ export function calculateSpread(
 	const now = new BN(new Date().getTime() / 1000); //todo
 	const liveOracleStd = calculateLiveOracleStd(amm, oraclePriceData, now);
 
-	const [longSpread, shortSpread] = calculateSpreadBN(
+	const spreads = calculateSpreadBN(
 		amm.baseSpread,
 		targetMarkSpreadPct,
 		confIntervalPct,
@@ -638,6 +695,8 @@ export function calculateSpread(
 		amm.shortIntensityVolume,
 		amm.volume24H
 	);
+	const longSpread = spreads[0];
+	const shortSpread = spreads[1];
 
 	return [longSpread, shortSpread];
 }

package/src/math/oracles.ts

@@ -113,8 +113,7 @@ export function calculateLiveOracleTwap(
 
 	const newOracleTwap = amm.historicalOracleData.lastOraclePriceTwap
 		.mul(sinceStart)
-		.add(clampedOraclePrice)
-		.mul(sinceLastUpdate)
+		.add(clampedOraclePrice.mul(sinceLastUpdate))
 		.div(sinceStart.add(sinceLastUpdate));
 
 	return newOracleTwap;

package/tests/amm/test.ts

@@ -0,0 +1,178 @@
+import {
+    BN,
+    PEG_PRECISION, PRICE_PRECISION,
+	AMM_RESERVE_PRECISION,
+	QUOTE_PRECISION,
+	calculateSpreadBN,
+    ZERO,
+    calculateLiveOracleStd,
+    calculateLiveOracleTwap
+} from '../../src';
+import {
+	mockPerpMarkets,
+} from '../dlob/helpers';
+
+import { assert } from '../../src/assert/assert';
+
+class AMMSpreadTerms {
+    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;
+}
+
+describe('AMM Tests', () => {
+	it('Various Spreads', () => {
+
+        const baseSpread: number = .025 * 1e6;
+        const lastOracleReservePriceSpreadPct: BN = ZERO;
+        const lastOracleConfPct: BN = ZERO;
+        const maxSpread: number = .03 * 1e6;
+        const quoteAssetReserve: BN = new BN(AMM_RESERVE_PRECISION.toNumber() * 100);
+        const terminalQuoteAssetReserve: BN = new BN(AMM_RESERVE_PRECISION.toNumber() * 100);
+        const pegMultiplier: BN = new BN(13.455 * PEG_PRECISION.toNumber());
+        const baseAssetAmountWithAmm: BN = ZERO;
+        const reservePrice: BN = new BN(13.455 * PRICE_PRECISION.toNumber());
+        const totalFeeMinusDistributions: BN = new BN(1);
+        const netRevenueSinceLastFunding: BN = new BN(QUOTE_PRECISION.toNumber() * 2);
+        const baseAssetReserve: BN = new BN(AMM_RESERVE_PRECISION.toNumber() * 100);
+        const minBaseAssetReserve: BN = new BN(AMM_RESERVE_PRECISION.toNumber() * 90);
+        const maxBaseAssetReserve: BN = new BN(AMM_RESERVE_PRECISION.toNumber() * 110);
+        const markStd: BN = new BN(.45 * PRICE_PRECISION.toNumber());
+        const oracleStd: BN = new BN(.55 * PRICE_PRECISION.toNumber());
+        const longIntensity: BN = new BN(QUOTE_PRECISION.toNumber() * 20);
+        const shortIntensity: BN =new BN(QUOTE_PRECISION.toNumber() * 2);
+        const volume24H: BN = new BN(QUOTE_PRECISION.toNumber() * 25);
+
+        const spreads = calculateSpreadBN(
+            baseSpread,
+            lastOracleReservePriceSpreadPct,
+            lastOracleConfPct,
+            maxSpread,
+            quoteAssetReserve,
+            terminalQuoteAssetReserve,
+            pegMultiplier,
+            baseAssetAmountWithAmm,
+            reservePrice,
+            totalFeeMinusDistributions,
+            netRevenueSinceLastFunding,
+            baseAssetReserve,
+            minBaseAssetReserve,
+            maxBaseAssetReserve,
+            markStd,
+            oracleStd,
+            longIntensity,
+            shortIntensity,
+            volume24H, 
+        );
+        const l1 = spreads[0];
+        const s1 = spreads[1];
+
+        // eslint-disable-next-line @typescript-eslint/ban-ts-comment
+		// @ts-ignore
+        const terms1: AMMSpreadTerms = calculateSpreadBN(
+            baseSpread,
+            lastOracleReservePriceSpreadPct,
+            lastOracleConfPct,
+            maxSpread,
+            quoteAssetReserve,
+            terminalQuoteAssetReserve,
+            pegMultiplier,
+            baseAssetAmountWithAmm,
+            reservePrice,
+            totalFeeMinusDistributions,
+            netRevenueSinceLastFunding,
+            baseAssetReserve,
+            minBaseAssetReserve,
+            maxBaseAssetReserve,
+            markStd,
+            oracleStd,
+            longIntensity,
+            shortIntensity,
+            volume24H, 
+            true
+        );
+        console.log(terms1);
+
+        console.log('long/short spread:', l1, s1);
+        assert(l1==14864);
+        assert(s1==12500);
+        assert(l1==terms1.longSpread);
+        assert(s1==terms1.shortSpread);
+
+
+        // eslint-disable-next-line @typescript-eslint/ban-ts-comment
+		// @ts-ignore
+        const terms2: AMMSpreadTerms = calculateSpreadBN(
+            300,
+            new BN(0),
+            new BN(484),
+            47500,
+            new BN(923807816209694),
+            new BN(925117623772584),
+            new BN(13731157),
+            new BN(-1314027016625),
+            new BN(13667686),
+            new BN(115876379475),
+            new BN(91316628),
+            new BN(928097825691666),
+            new BN(907979542352912),
+            new BN(945977491145601),
+            new BN(161188),
+            new BN(1459632439),
+            new BN(12358265776),
+            new BN(72230366233),
+            new BN(432067603632),
+            true
+        );
+
+        console.log(terms2);
+        assert(terms2.effectiveLeverageCapped>=1.0002);
+        assert(terms2.inventorySpreadScale==10);
+        assert(terms2.longSpread==798);
+        assert(terms2.shortSpread==46702);
+
+    });
+
+    it('live update functions', () => {
+
+        const mockAmm = mockPerpMarkets[0].amm;
+        const now = new BN(new Date().getTime() / 1000); //todo
+
+		const oraclePriceData = {
+			price: new BN(13.553 * PRICE_PRECISION.toNumber()),
+			slot: new BN(68 + 1),
+			confidence: new BN(1),
+			hasSufficientNumberOfDataPoints: true,
+		};
+        mockAmm.oracleStd = new BN(.18 * PRICE_PRECISION.toNumber());
+        mockAmm.fundingPeriod = new BN(3600);
+        mockAmm.historicalOracleData.lastOraclePriceTwap = oraclePriceData.price.mul(new BN(999)).div(new BN(1000));
+        mockAmm.historicalOracleData.lastOraclePriceTwapTs = now.sub(new BN(11));
+
+
+        const liveOracleTwap = calculateLiveOracleTwap(mockAmm, oraclePriceData, now);
+        console.log('liveOracleTwap:', liveOracleTwap.toNumber());
+        assert(liveOracleTwap.eq(new BN(13539488)));
+
+
+        const liveOracleStd = calculateLiveOracleStd(mockAmm, oraclePriceData, now);
+        console.log('liveOracleStd:', liveOracleStd.toNumber());
+        assert(liveOracleStd.eq(new BN(192962)));
+    });
+});

package/src/assert/assert.js

@@ -1,9 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.assert = void 0;
-function assert(condition, error) {
-    if (!condition) {
-        throw new Error(error || 'Unspecified AssertionError');
-    }
-}
-exports.assert = assert;

package/src/examples/makeTradeExample.js

@@ -1,157 +0,0 @@
-'use strict';
-var __awaiter =
-	(this && this.__awaiter) ||
-	function (thisArg, _arguments, P, generator) {
-		function adopt(value) {
-			return value instanceof P
-				? value
-				: new P(function (resolve) {
-						resolve(value);
-				  });
-		}
-		return new (P || (P = Promise))(function (resolve, reject) {
-			function fulfilled(value) {
-				try {
-					step(generator.next(value));
-				} catch (e) {
-					reject(e);
-				}
-			}
-			function rejected(value) {
-				try {
-					step(generator['throw'](value));
-				} catch (e) {
-					reject(e);
-				}
-			}
-			function step(result) {
-				result.done
-					? resolve(result.value)
-					: adopt(result.value).then(fulfilled, rejected);
-			}
-			step((generator = generator.apply(thisArg, _arguments || [])).next());
-		});
-	};
-Object.defineProperty(exports, '__esModule', { value: true });
-exports.getTokenAddress = void 0;
-const anchor_1 = require('@project-serum/anchor');
-const __1 = require('..');
-const spl_token_1 = require('@solana/spl-token');
-const web3_js_1 = require('@solana/web3.js');
-const __2 = require('..');
-const banks_1 = require('../constants/spotMarkets');
-const getTokenAddress = (mintAddress, userPubKey) => {
-	return spl_token_1.Token.getAssociatedTokenAddress(
-		new web3_js_1.PublicKey(`ATokenGPvbdGVxr1b2hvZbsiqW5xWH25efTNsLJA8knL`),
-		spl_token_1.TOKEN_PROGRAM_ID,
-		new web3_js_1.PublicKey(mintAddress),
-		new web3_js_1.PublicKey(userPubKey)
-	);
-};
-exports.getTokenAddress = getTokenAddress;
-const main = () =>
-	__awaiter(void 0, void 0, void 0, function* () {
-		// Initialize Drift SDK
-		const sdkConfig = __2.initialize({ env: 'devnet' });
-		// Set up the Wallet and Provider
-		const privateKey = process.env.BOT_PRIVATE_KEY; // stored as an array string
-		const keypair = web3_js_1.Keypair.fromSecretKey(
-			Uint8Array.from(JSON.parse(privateKey))
-		);
-		const wallet = new __1.Wallet(keypair);
-		// Set up the Connection
-		const rpcAddress = process.env.RPC_ADDRESS; // can use: https://api.devnet.solana.com for devnet; https://api.mainnet-beta.solana.com for mainnet;
-		const connection = new web3_js_1.Connection(rpcAddress);
-		// Set up the Provider
-		const provider = new anchor_1.AnchorProvider(
-			connection,
-			wallet,
-			anchor_1.AnchorProvider.defaultOptions()
-		);
-		// Check SOL Balance
-		const lamportsBalance = yield connection.getBalance(wallet.publicKey);
-		console.log('SOL balance:', lamportsBalance / Math.pow(10, 9));
-		// Misc. other things to set up
-		const usdcTokenAddress = yield exports.getTokenAddress(
-			sdkConfig.USDC_MINT_ADDRESS,
-			wallet.publicKey.toString()
-		);
-		// Set up the Drift Clearing House
-		const clearingHousePublicKey = new web3_js_1.PublicKey(
-			sdkConfig.DRIFT_PROGRAM_ID
-		);
-		const clearingHouse = new __2.ClearingHouse({
-			connection,
-			wallet: provider.wallet,
-			programID: clearingHousePublicKey,
-		});
-		yield clearingHouse.subscribe();
-		// Set up Clearing House user client
-		const user = new __2.ClearingHouseUser({
-			clearingHouse,
-			userAccountPublicKey: yield clearingHouse.getUserAccountPublicKey(),
-		});
-		//// Check if clearing house account exists for the current wallet
-		const userAccountExists = yield user.exists();
-		if (!userAccountExists) {
-			//// Create a Clearing House account by Depositing some USDC ($10,000 in this case)
-			const depositAmount = new anchor_1.BN(10000).mul(__2.QUOTE_PRECISION);
-			yield clearingHouse.initializeUserAccountAndDepositCollateral(
-				depositAmount,
-				yield exports.getTokenAddress(
-					usdcTokenAddress.toString(),
-					wallet.publicKey.toString()
-				),
-				banks_1.SpotMarkets['devnet'][0].marketIndex
-			);
-		}
-		yield user.subscribe();
-		// Get current price
-		const solMarketInfo = sdkConfig.PERP_MARKETS.find(
-			(market) => market.baseAssetSymbol === 'SOL'
-		);
-		const currentMarketPrice = __2.calculateMarkPrice(
-			clearingHouse.getMarketAccount(solMarketInfo.marketIndex),
-			undefined
-		);
-		const formattedPrice = __2.convertToNumber(
-			currentMarketPrice,
-			__2.PRICE_PRECISION
-		);
-		console.log(`Current Market Price is $${formattedPrice}`);
-		// Estimate the slippage for a $5000 LONG trade
-		const solMarketAccount = clearingHouse.getMarketAccount(
-			solMarketInfo.marketIndex
-		);
-		const longAmount = new anchor_1.BN(5000).mul(__2.QUOTE_PRECISION);
-		const slippage = __2.convertToNumber(
-			__2.calculateTradeSlippage(
-				__2.PositionDirection.LONG,
-				longAmount,
-				solMarketAccount,
-				'quote',
-				undefined
-			)[0],
-			__2.PRICE_PRECISION
-		);
-		console.log(
-			`Slippage for a $5000 LONG on the SOL market would be $${slippage}`
-		);
-		// Make a $5000 LONG trade
-		yield clearingHouse.openPosition(
-			__2.PositionDirection.LONG,
-			longAmount,
-			solMarketInfo.marketIndex
-		);
-		console.log(`LONGED $5000 SOL`);
-		// Reduce the position by $2000
-		const reduceAmount = new anchor_1.BN(2000).mul(__2.QUOTE_PRECISION);
-		yield clearingHouse.openPosition(
-			__2.PositionDirection.SHORT,
-			reduceAmount,
-			solMarketInfo.marketIndex
-		);
-		// Close the rest of the position
-		yield clearingHouse.closePosition(solMarketInfo.marketIndex);
-	});
-main();

package/src/token/index.js

@@ -1,38 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.parseTokenAccount = void 0;
-const spl_token_1 = require("@solana/spl-token");
-const web3_js_1 = require("@solana/web3.js");
-function parseTokenAccount(data) {
-    const accountInfo = spl_token_1.AccountLayout.decode(data);
-    accountInfo.mint = new web3_js_1.PublicKey(accountInfo.mint);
-    accountInfo.owner = new web3_js_1.PublicKey(accountInfo.owner);
-    accountInfo.amount = spl_token_1.u64.fromBuffer(accountInfo.amount);
-    if (accountInfo.delegateOption === 0) {
-        accountInfo.delegate = null;
-        // eslint-disable-next-line new-cap
-        accountInfo.delegatedAmount = new spl_token_1.u64(0);
-    }
-    else {
-        accountInfo.delegate = new web3_js_1.PublicKey(accountInfo.delegate);
-        accountInfo.delegatedAmount = spl_token_1.u64.fromBuffer(accountInfo.delegatedAmount);
-    }
-    accountInfo.isInitialized = accountInfo.state !== 0;
-    accountInfo.isFrozen = accountInfo.state === 2;
-    if (accountInfo.isNativeOption === 1) {
-        accountInfo.rentExemptReserve = spl_token_1.u64.fromBuffer(accountInfo.isNative);
-        accountInfo.isNative = true;
-    }
-    else {
-        accountInfo.rentExemptReserve = null;
-        accountInfo.isNative = false;
-    }
-    if (accountInfo.closeAuthorityOption === 0) {
-        accountInfo.closeAuthority = null;
-    }
-    else {
-        accountInfo.closeAuthority = new web3_js_1.PublicKey(accountInfo.closeAuthority);
-    }
-    return accountInfo;
-}
-exports.parseTokenAccount = parseTokenAccount;

package/src/tx/types.js

@@ -1,2 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });

package/src/tx/utils.js

@@ -1,17 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.wrapInTx = void 0;
-const web3_js_1 = require("@solana/web3.js");
-const COMPUTE_UNITS_DEFAULT = 200000;
-function wrapInTx(instruction, computeUnits = 600000 // TODO, requires less code change
-) {
-    const tx = new web3_js_1.Transaction();
-    if (computeUnits != COMPUTE_UNITS_DEFAULT) {
-        tx.add(web3_js_1.ComputeBudgetProgram.requestUnits({
-            units: computeUnits,
-            additionalFee: 0,
-        }));
-    }
-    return tx.add(instruction);
-}
-exports.wrapInTx = wrapInTx;

package/src/util/computeUnits.js

@@ -1,27 +0,0 @@
-"use strict";
-var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
-    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
-    return new (P || (P = Promise))(function (resolve, reject) {
-        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
-        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
-        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
-        step((generator = generator.apply(thisArg, _arguments || [])).next());
-    });
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.findComputeUnitConsumption = void 0;
-function findComputeUnitConsumption(programId, connection, txSignature, commitment = 'confirmed') {
-    return __awaiter(this, void 0, void 0, function* () {
-        const tx = yield connection.getTransaction(txSignature, { commitment });
-        const computeUnits = [];
-        const regex = new RegExp(`Program ${programId.toString()} consumed ([0-9]{0,6}) of ([0-9]{0,7}) compute units`);
-        tx.meta.logMessages.forEach((logMessage) => {
-            const match = logMessage.match(regex);
-            if (match && match[1]) {
-                computeUnits.push(match[1]);
-            }
-        });
-        return computeUnits;
-    });
-}
-exports.findComputeUnitConsumption = findComputeUnitConsumption;

package/src/util/getTokenAddress.js

@@ -1,9 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.getTokenAddress = void 0;
-const spl_token_1 = require("@solana/spl-token");
-const web3_js_1 = require("@solana/web3.js");
-const getTokenAddress = (mintAddress, userPubKey) => {
-    return spl_token_1.Token.getAssociatedTokenAddress(spl_token_1.ASSOCIATED_TOKEN_PROGRAM_ID, spl_token_1.TOKEN_PROGRAM_ID, new web3_js_1.PublicKey(mintAddress), new web3_js_1.PublicKey(userPubKey));
-};
-exports.getTokenAddress = getTokenAddress;

package/src/util/promiseTimeout.js

@@ -1,14 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.promiseTimeout = void 0;
-function promiseTimeout(promise, timeoutMs) {
-    let timeoutId;
-    const timeoutPromise = new Promise((resolve) => {
-        timeoutId = setTimeout(() => resolve(null), timeoutMs);
-    });
-    return Promise.race([promise, timeoutPromise]).then((result) => {
-        clearTimeout(timeoutId);
-        return result;
-    });
-}
-exports.promiseTimeout = promiseTimeout;

package/src/util/tps.js

@@ -1,27 +0,0 @@
-"use strict";
-var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
-    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
-    return new (P || (P = Promise))(function (resolve, reject) {
-        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
-        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
-        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
-        step((generator = generator.apply(thisArg, _arguments || [])).next());
-    });
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.estimateTps = void 0;
-function estimateTps(programId, connection, failed) {
-    return __awaiter(this, void 0, void 0, function* () {
-        let signatures = yield connection.getSignaturesForAddress(programId, undefined, 'finalized');
-        if (failed) {
-            signatures = signatures.filter((signature) => signature.err);
-        }
-        const numberOfSignatures = signatures.length;
-        if (numberOfSignatures === 0) {
-            return 0;
-        }
-        return (numberOfSignatures /
-            (signatures[0].blockTime - signatures[numberOfSignatures - 1].blockTime));
-    });
-}
-exports.estimateTps = estimateTps;