@drift-labs/sdk 2.12.0 → 2.13.0-beta.1

package/src/math/oracles.ts

@@ -6,8 +6,10 @@ import {
 	PRICE_PRECISION,
 	ONE,
 	ZERO,
+	FIVE_MINUTE,
+	ONE_HOUR,
 } from '../constants/numericConstants';
-import { BN, PerpMarketAccount } from '../index';
+import { BN, HistoricalOracleData, PerpMarketAccount } from '../index';
 import { assert } from '../assert/assert';
 
 export function oraclePriceBands(
@@ -68,7 +70,7 @@ export function isOracleTooDivergent(
 	const sinceLastUpdate = now.sub(
 		amm.historicalOracleData.lastOraclePriceTwapTs
 	);
-	const sinceStart = BN.max(ZERO, new BN(60 * 5).sub(sinceLastUpdate));
+	const sinceStart = BN.max(ZERO, FIVE_MINUTE.sub(sinceLastUpdate));
 	const oracleTwap5min = amm.historicalOracleData.lastOraclePriceTwap5Min
 		.mul(sinceStart)
 		.add(oraclePriceData.price)
@@ -90,29 +92,36 @@ export function isOracleTooDivergent(
 }
 
 export function calculateLiveOracleTwap(
-	amm: AMM,
+	histOracleData: HistoricalOracleData,
 	oraclePriceData: OraclePriceData,
-	now: BN
+	now: BN,
+	period: BN
 ): BN {
+	let oracleTwap = undefined;
+	if (period.eq(ONE_HOUR)) {
+		//todo: assumes its 1hr
+		// period = amm.fundingPeriod;
+		oracleTwap = histOracleData.lastOraclePriceTwap;
+	} else if (period.eq(FIVE_MINUTE)) {
+		histOracleData.lastOraclePriceTwap5Min;
+	} else {
+		throw Error('unsupported twap period passed');
+	}
+
 	const sinceLastUpdate = BN.max(
 		ONE,
-		now.sub(amm.historicalOracleData.lastOraclePriceTwapTs)
+		now.sub(histOracleData.lastOraclePriceTwapTs)
 	);
-	const sinceStart = BN.max(ZERO, amm.fundingPeriod.sub(sinceLastUpdate));
+	const sinceStart = BN.max(ZERO, period.sub(sinceLastUpdate));
 
-	const clampRange = amm.historicalOracleData.lastOraclePriceTwap.div(
-		new BN(3)
-	);
+	const clampRange = oracleTwap.div(new BN(3));
 
 	const clampedOraclePrice = BN.min(
-		amm.historicalOracleData.lastOraclePriceTwap.add(clampRange),
-		BN.max(
-			oraclePriceData.price,
-			amm.historicalOracleData.lastOraclePriceTwap.sub(clampRange)
-		)
+		oracleTwap.add(clampRange),
+		BN.max(oraclePriceData.price, oracleTwap.sub(clampRange))
 	);
 
-	const newOracleTwap = amm.historicalOracleData.lastOraclePriceTwap
+	const newOracleTwap = oracleTwap
 		.mul(sinceStart)
 		.add(clampedOraclePrice.mul(sinceLastUpdate))
 		.div(sinceStart.add(sinceLastUpdate));
@@ -131,7 +140,12 @@ export function calculateLiveOracleStd(
 	);
 	const sinceStart = BN.max(ZERO, amm.fundingPeriod.sub(sinceLastUpdate));
 
-	const liveOracleTwap = calculateLiveOracleTwap(amm, oraclePriceData, now);
+	const liveOracleTwap = calculateLiveOracleTwap(
+		amm.historicalOracleData,
+		oraclePriceData,
+		now,
+		amm.fundingPeriod
+	);
 
 	const priceDeltaVsTwap = oraclePriceData.price.sub(liveOracleTwap).abs();
 

package/src/math/orders.ts

@@ -165,12 +165,12 @@ export function isFillableByVAMM(
 ): boolean {
 	return (
 		(isAuctionComplete(order, slot) &&
-			!calculateBaseAssetAmountForAmmToFulfill(
+			calculateBaseAssetAmountForAmmToFulfill(
 				order,
 				market,
 				oraclePriceData,
 				slot
-			).eq(ZERO)) ||
+			).gte(market.amm.minOrderSize)) ||
 		isOrderExpired(order, ts)
 	);
 }

package/src/math/spotBalance.ts

@@ -67,6 +67,28 @@ export function getSignedTokenAmount(
 	}
 }
 
+export function getStrictTokenValue(
+	tokenAmount: BN,
+	spotDecimals: number,
+	oraclePriceData: OraclePriceData,
+	oraclePriceTwap: BN
+): BN {
+	if (tokenAmount.eq(ZERO)) {
+		return ZERO;
+	}
+
+	let price = oraclePriceData.price;
+	if (tokenAmount.gt(ZERO)) {
+		price = BN.min(oraclePriceData.price, oraclePriceTwap);
+	} else {
+		price = BN.max(oraclePriceData.price, oraclePriceTwap);
+	}
+
+	const precisionDecrease = TEN.pow(new BN(spotDecimals));
+
+	return tokenAmount.mul(price).div(precisionDecrease);
+}
+
 export function getTokenValue(
 	tokenAmount: BN,
 	spotDecimals: number,
@@ -268,7 +290,14 @@ export function calculateInterestAccumulated(
 export function calculateWithdrawLimit(
 	spotMarket: SpotMarketAccount,
 	now: BN
-): { borrowLimit: BN; withdrawLimit: BN } {
+): {
+	borrowLimit: BN;
+	withdrawLimit: BN;
+	minDepositAmount: BN;
+	maxBorrowAmount: BN;
+	currentDepositAmount;
+	currentBorrowAmount;
+} {
 	const marketDepositTokenAmount = getTokenAmount(
 		spotMarket.depositBalance,
 		spotMarket,
@@ -311,8 +340,27 @@ export function calculateWithdrawLimit(
 		)
 	);
 
+	let withdrawLimit = BN.max(
+		marketDepositTokenAmount.sub(minDepositTokens),
+		ZERO
+	);
+
+	let borrowLimit = BN.max(maxBorrowTokens.sub(marketBorrowTokenAmount), ZERO);
+
+	if (borrowLimit.eq(ZERO)) {
+		withdrawLimit = ZERO;
+	}
+
+	if (withdrawLimit.eq(ZERO)) {
+		borrowLimit = ZERO;
+	}
+
 	return {
-		borrowLimit: maxBorrowTokens.sub(marketBorrowTokenAmount),
-		withdrawLimit: marketDepositTokenAmount.sub(minDepositTokens),
+		borrowLimit,
+		withdrawLimit,
+		maxBorrowAmount: maxBorrowTokens,
+		minDepositAmount: minDepositTokens,
+		currentDepositAmount: marketDepositTokenAmount,
+		currentBorrowAmount: marketBorrowTokenAmount,
 	};
 }

package/src/math/trade.ts

@@ -529,7 +529,11 @@ export function calculateEstimatedPerpEntryPrice(
 				}
 			}
 
-			if (limitOrder && usersToSkip.has(limitOrder.userAccount)) {
+			if (!limitOrder) {
+				continue;
+			}
+
+			if (usersToSkip.has(limitOrder.userAccount)) {
 				continue;
 			}
 
@@ -615,7 +619,11 @@ export function calculateEstimatedPerpEntryPrice(
 				}
 			}
 
-			if (limitOrder && usersToSkip.has(limitOrder.userAccount)) {
+			if (!limitOrder) {
+				continue;
+			}
+
+			if (usersToSkip.has(limitOrder.userAccount)) {
 				continue;
 			}