@drift-labs/sdk 2.0.17 → 2.0.19

package/lib/dlob/DLOB.js

@@ -560,34 +560,39 @@ class DLOB {
         }
         const nodesToTrigger = [];
         const marketTypeStr = (0, __1.getVariant)(marketType);
-        for (const node of this.orderLists
-            .get(marketTypeStr)
-            .get(marketIndex)
-            .trigger.above.getGenerator()) {
-            if (oraclePrice.gt(node.order.triggerPrice)) {
-                if ((0, __1.isAuctionComplete)(node.order, slot)) {
-                    nodesToTrigger.push({
-                        node: node,
-                    });
+        const marketNodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        const triggerAboveList = marketNodeLists
+            ? marketNodeLists.trigger.above
+            : undefined;
+        if (triggerAboveList) {
+            for (const node of triggerAboveList.getGenerator()) {
+                if (oraclePrice.gt(node.order.triggerPrice)) {
+                    if ((0, __1.isAuctionComplete)(node.order, slot)) {
+                        nodesToTrigger.push({
+                            node: node,
+                        });
+                    }
+                }
+                else {
+                    break;
                 }
-            }
-            else {
-                break;
             }
         }
-        for (const node of this.orderLists
-            .get(marketTypeStr)
-            .get(marketIndex)
-            .trigger.below.getGenerator()) {
-            if (oraclePrice.lt(node.order.triggerPrice)) {
-                if ((0, __1.isAuctionComplete)(node.order, slot)) {
-                    nodesToTrigger.push({
-                        node: node,
-                    });
+        const triggerBelowList = marketNodeLists
+            ? marketNodeLists.trigger.below
+            : undefined;
+        if (triggerBelowList) {
+            for (const node of triggerBelowList.getGenerator()) {
+                if (oraclePrice.lt(node.order.triggerPrice)) {
+                    if ((0, __1.isAuctionComplete)(node.order, slot)) {
+                        nodesToTrigger.push({
+                            node: node,
+                        });
+                    }
+                }
+                else {
+                    break;
                 }
-            }
-            else {
-                break;
             }
         }
         return nodesToTrigger;

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": "2.0.19",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/dlob/DLOB.ts

@@ -1018,33 +1018,39 @@ export class DLOB {
 
 		const nodesToTrigger = [];
 		const marketTypeStr = getVariant(marketType) as MarketTypeStr;
-		for (const node of this.orderLists
-			.get(marketTypeStr)
-			.get(marketIndex)
-			.trigger.above.getGenerator()) {
-			if (oraclePrice.gt(node.order.triggerPrice)) {
-				if (isAuctionComplete(node.order, slot)) {
-					nodesToTrigger.push({
-						node: node,
-					});
+		const marketNodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+
+		const triggerAboveList = marketNodeLists
+			? marketNodeLists.trigger.above
+			: undefined;
+		if (triggerAboveList) {
+			for (const node of triggerAboveList.getGenerator()) {
+				if (oraclePrice.gt(node.order.triggerPrice)) {
+					if (isAuctionComplete(node.order, slot)) {
+						nodesToTrigger.push({
+							node: node,
+						});
+					}
+				} else {
+					break;
 				}
-			} else {
-				break;
 			}
 		}
 
-		for (const node of this.orderLists
-			.get(marketTypeStr)
-			.get(marketIndex)
-			.trigger.below.getGenerator()) {
-			if (oraclePrice.lt(node.order.triggerPrice)) {
-				if (isAuctionComplete(node.order, slot)) {
-					nodesToTrigger.push({
-						node: node,
-					});
+		const triggerBelowList = marketNodeLists
+			? marketNodeLists.trigger.below
+			: undefined;
+		if (triggerBelowList) {
+			for (const node of triggerBelowList.getGenerator()) {
+				if (oraclePrice.lt(node.order.triggerPrice)) {
+					if (isAuctionComplete(node.order, slot)) {
+						nodesToTrigger.push({
+							node: node,
+						});
+					}
+				} else {
+					break;
 				}
-			} else {
-				break;
 			}
 		}
 

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)));
+    });
+});