@drift-labs/sdk 2.1.0 → 2.2.0-beta.0

package/lib/math/amm.js

@@ -213,7 +213,7 @@ function calculateInventoryScale(baseAssetAmountWithAmm, baseAssetReserve, minBa
 }
 exports.calculateInventoryScale = calculateInventoryScale;
 function calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, netBaseAssetAmount, reservePrice, totalFeeMinusDistributions) {
-    // inventory skew
+    // vAMM skew
     const netBaseAssetValue = quoteAssetReserve
         .sub(terminalQuoteAssetReserve)
         .mul(pegMultiplier)
@@ -221,8 +221,8 @@ function calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuote
     const localBaseAssetValue = netBaseAssetAmount
         .mul(reservePrice)
         .div(numericConstants_1.AMM_TO_QUOTE_PRECISION_RATIO.mul(numericConstants_1.PRICE_PRECISION));
-    const effectiveLeverage = localBaseAssetValue.sub(netBaseAssetValue).toNumber() /
-        (Math.max(0, totalFeeMinusDistributions.toNumber()) + 1) +
+    const effectiveGap = Math.max(0, localBaseAssetValue.sub(netBaseAssetValue).toNumber());
+    const effectiveLeverage = effectiveGap / (Math.max(0, totalFeeMinusDistributions.toNumber()) + 1) +
         1 / numericConstants_1.QUOTE_PRECISION.toNumber();
     return effectiveLeverage;
 }
@@ -309,7 +309,7 @@ function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOrac
         spreadTerms.effectiveLeverageCapped = spreadScale;
         if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
             longSpread *= spreadScale;
-            shortSpread = Math.floor(longSpread);
+            longSpread = Math.floor(longSpread);
         }
         else {
             shortSpread *= spreadScale;

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.1.0",
+	"version": "2.2.0-beta.0",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/math/amm.ts

@@ -392,7 +392,7 @@ export function calculateEffectiveLeverage(
 	reservePrice: BN,
 	totalFeeMinusDistributions: BN
 ): number {
-	// inventory skew
+	// vAMM skew
 	const netBaseAssetValue = quoteAssetReserve
 		.sub(terminalQuoteAssetReserve)
 		.mul(pegMultiplier)
@@ -402,9 +402,13 @@ export function calculateEffectiveLeverage(
 		.mul(reservePrice)
 		.div(AMM_TO_QUOTE_PRECISION_RATIO.mul(PRICE_PRECISION));
 
+	const effectiveGap = Math.max(
+		0,
+		localBaseAssetValue.sub(netBaseAssetValue).toNumber()
+	);
+
 	const effectiveLeverage =
-		localBaseAssetValue.sub(netBaseAssetValue).toNumber() /
-			(Math.max(0, totalFeeMinusDistributions.toNumber()) + 1) +
+		effectiveGap / (Math.max(0, totalFeeMinusDistributions.toNumber()) + 1) +
 		1 / QUOTE_PRECISION.toNumber();
 
 	return effectiveLeverage;
@@ -580,7 +584,7 @@ export function calculateSpreadBN(
 
 		if (baseAssetAmountWithAmm.gt(ZERO)) {
 			longSpread *= spreadScale;
-			shortSpread = Math.floor(longSpread);
+			longSpread = Math.floor(longSpread);
 		} else {
 			shortSpread *= spreadScale;
 			shortSpread = Math.floor(shortSpread);

package/tests/amm/test.ts

@@ -149,6 +149,41 @@ describe('AMM Tests', () => {
 
     });
 
+    it('Corner Case Spreads', () => {
+
+        // eslint-disable-next-line @typescript-eslint/ban-ts-comment
+		// @ts-ignore
+        const terms2: AMMSpreadTerms = calculateSpreadBN(
+            1000,
+            new BN(5555),
+            new BN(1131),
+            20000,
+            new BN(1009967115003047),
+            new BN(1009811402660255),
+            new BN(13460124),
+            new BN(15328930153),
+            new BN(13667686),
+            new BN(1235066973),
+            new BN(88540713),
+            new BN(994097717724176),
+            new BN(974077854655784),
+            new BN(1014841945381208),
+            new BN(103320),
+            new BN(59975),
+            new BN(768323534),
+            new BN(243875031),
+            new BN(130017761029),
+            true
+        );
+
+        console.log(terms2);
+        assert(terms2.effectiveLeverageCapped<=1.000001);
+        assert(terms2.inventorySpreadScale==1.117371);
+        assert(terms2.longSpread==1263);
+        assert(terms2.shortSpread==6686);
+    });
+
+
     it('live update functions', () => {
 
         const mockAmm = mockPerpMarkets[0].amm;