@drift-labs/sdk 2.124.0-beta.2 → 2.124.0-beta.4

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Files changed (11) hide show
  1. package/VERSION +1 -1
  2. package/lib/browser/math/amm.js +3 -3
  3. package/lib/browser/math/auction.d.ts +7 -1
  4. package/lib/browser/math/auction.js +58 -1
  5. package/lib/node/math/amm.js +3 -3
  6. package/lib/node/math/auction.d.ts +7 -1
  7. package/lib/node/math/auction.d.ts.map +1 -1
  8. package/lib/node/math/auction.js +58 -1
  9. package/package.json +1 -1
  10. package/src/math/amm.ts +3 -3
  11. package/src/math/auction.ts +96 -1
package/VERSION CHANGED
@@ -1 +1 @@
1
- 2.124.0-beta.2
1
+ 2.124.0-beta.4
package/lib/browser/math/amm.js CHANGED
@@ -282,16 +282,16 @@ function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleSt
282
282
  .add(oracleStd)
283
283
  .mul(numericConstants_1.PERCENTAGE_PRECISION)
284
284
  .div(reservePrice)
285
- .div(new anchor_1.BN(2));
285
+ .div(new anchor_1.BN(4));
286
286
  const volSpread = anchor_1.BN.max(lastOracleConfPct, marketAvgStdPct.div(new anchor_1.BN(2)));
287
287
  const clampMin = numericConstants_1.PERCENTAGE_PRECISION.div(new anchor_1.BN(100));
288
- const clampMax = numericConstants_1.PERCENTAGE_PRECISION.mul(new anchor_1.BN(16)).div(new anchor_1.BN(10));
288
+ const clampMax = numericConstants_1.PERCENTAGE_PRECISION;
289
289
  const longVolSpreadFactor = (0, __1.clampBN)(longIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
290
290
  const shortVolSpreadFactor = (0, __1.clampBN)(shortIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
291
291
  // only consider confidence interval at full value when above 25 bps
292
292
  let confComponent = lastOracleConfPct;
293
293
  if (lastOracleConfPct.lte(numericConstants_1.PRICE_PRECISION.div(new anchor_1.BN(400)))) {
294
- confComponent = lastOracleConfPct.div(new anchor_1.BN(10));
294
+ confComponent = lastOracleConfPct.div(new anchor_1.BN(20));
295
295
  }
296
296
  const longVolSpread = anchor_1.BN.max(confComponent, volSpread.mul(longVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
297
297
  const shortVolSpread = anchor_1.BN.max(confComponent, volSpread.mul(shortVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
package/lib/browser/math/auction.d.ts CHANGED
@@ -1,6 +1,6 @@
1
1
  /// <reference types="bn.js" />
2
2
  import { Order, PositionDirection } from '../types';
3
- import { BN } from '../.';
3
+ import { BN, PerpMarketAccount } from '../.';
4
4
  export declare function isAuctionComplete(order: Order, slot: number): boolean;
5
5
  export declare function isFallbackAvailableLiquiditySource(order: Order, minAuctionDuration: number, slot: number): boolean;
6
6
  export declare function getAuctionPrice(order: Order, slot: number, oraclePrice: BN): BN;
@@ -21,3 +21,9 @@ export declare function deriveOracleAuctionParams({ direction, oraclePrice, auct
21
21
  auctionEndPrice: BN;
22
22
  oraclePriceOffset: number;
23
23
  };
24
+ export declare function getTriggerAuctionStartPrice(params: {
25
+ perpMarket: PerpMarketAccount;
26
+ direction: PositionDirection;
27
+ oraclePrice: BN;
28
+ limitPrice?: BN;
29
+ }): BN;
package/lib/browser/math/auction.js CHANGED
@@ -1,6 +1,6 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.deriveOracleAuctionParams = exports.getAuctionPriceForOracleOffsetAuction = exports.getAuctionPriceForFixedAuction = exports.getAuctionPrice = exports.isFallbackAvailableLiquiditySource = exports.isAuctionComplete = void 0;
3
+ exports.getTriggerAuctionStartPrice = exports.deriveOracleAuctionParams = exports.getAuctionPriceForOracleOffsetAuction = exports.getAuctionPriceForFixedAuction = exports.getAuctionPrice = exports.isFallbackAvailableLiquiditySource = exports.isAuctionComplete = void 0;
4
4
  const types_1 = require("../types");
5
5
  const _1 = require("../.");
6
6
  function isAuctionComplete(order, slot) {
@@ -132,3 +132,60 @@ function deriveOracleAuctionParams({ direction, oraclePrice, auctionStartPrice,
132
132
  };
133
133
  }
134
134
  exports.deriveOracleAuctionParams = deriveOracleAuctionParams;
135
+ function getTriggerAuctionStartPrice(params) {
136
+ const { perpMarket, direction, oraclePrice, limitPrice } = params;
137
+ const twapMismatch = perpMarket.amm.historicalOracleData.lastOraclePriceTwapTs
138
+ .sub(perpMarket.amm.lastMarkPriceTwapTs)
139
+ .abs()
140
+ .gte(new _1.BN(60)) ||
141
+ perpMarket.amm.volume24H.lte(new _1.BN(100000).mul(_1.QUOTE_PRECISION));
142
+ let baselineStartOffset;
143
+ if (twapMismatch) {
144
+ const contractTierNumber = (0, _1.getPerpMarketTierNumber)(perpMarket);
145
+ const priceDivisor = contractTierNumber <= 1 ? 500 : 100;
146
+ baselineStartOffset = (0, types_1.isVariant)(direction, 'long')
147
+ ? perpMarket.amm.lastBidPriceTwap.divn(priceDivisor)
148
+ : perpMarket.amm.lastAskPriceTwap.divn(priceDivisor).neg();
149
+ }
150
+ else {
151
+ const markTwapSlow = (0, types_1.isVariant)(direction, 'long')
152
+ ? perpMarket.amm.lastBidPriceTwap
153
+ : perpMarket.amm.lastAskPriceTwap;
154
+ const markTwapFast = perpMarket.amm.lastMarkPriceTwap5Min;
155
+ const oracleTwapSlow = perpMarket.amm.historicalOracleData.lastOraclePriceTwap;
156
+ const oracleTwapFast = perpMarket.amm.historicalOracleData.lastOraclePriceTwap5Min;
157
+ const offsetSlow = markTwapSlow.sub(oracleTwapSlow);
158
+ const offsetFast = markTwapFast.sub(oracleTwapFast);
159
+ const fracOfLongSpreadInPrice = new _1.BN(perpMarket.amm.longSpread)
160
+ .mul(markTwapSlow)
161
+ .div(_1.PRICE_PRECISION.muln(10)); // divide by 10x for safety
162
+ const fracOfShortSpreadInPrice = new _1.BN(perpMarket.amm.shortSpread)
163
+ .mul(markTwapSlow)
164
+ .div(_1.PRICE_PRECISION.muln(10)); // divide by 10x for safety
165
+ baselineStartOffset = (0, types_1.isVariant)(direction, 'long')
166
+ ? _1.BN.min(offsetSlow.add(fracOfLongSpreadInPrice), offsetFast.sub(fracOfShortSpreadInPrice))
167
+ : _1.BN.max(offsetSlow.sub(fracOfShortSpreadInPrice), offsetFast.add(fracOfLongSpreadInPrice));
168
+ }
169
+ let startBuffer = -3500;
170
+ if ((0, types_1.isVariant)(perpMarket.contractTier, 'a') ||
171
+ (0, types_1.isVariant)(perpMarket.contractTier, 'b')) {
172
+ startBuffer = -500;
173
+ }
174
+ // Apply start buffer (in BPS)
175
+ const startBufferPrice = oraclePrice
176
+ .mul(new _1.BN(startBuffer))
177
+ .div(new _1.BN(_1.PRICE_PRECISION));
178
+ let auctionStartPrice = (0, types_1.isVariant)(direction, 'long')
179
+ ? oraclePrice.add(baselineStartOffset).sub(startBufferPrice)
180
+ : oraclePrice.add(baselineStartOffset).add(startBufferPrice);
181
+ if (limitPrice) {
182
+ if ((0, types_1.isVariant)(direction, 'long')) {
183
+ auctionStartPrice = _1.BN.min(auctionStartPrice, limitPrice);
184
+ }
185
+ else {
186
+ auctionStartPrice = _1.BN.max(auctionStartPrice, limitPrice);
187
+ }
188
+ }
189
+ return auctionStartPrice;
190
+ }
191
+ exports.getTriggerAuctionStartPrice = getTriggerAuctionStartPrice;
package/lib/node/math/amm.js CHANGED
@@ -282,16 +282,16 @@ function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleSt
282
282
  .add(oracleStd)
283
283
  .mul(numericConstants_1.PERCENTAGE_PRECISION)
284
284
  .div(reservePrice)
285
- .div(new anchor_1.BN(2));
285
+ .div(new anchor_1.BN(4));
286
286
  const volSpread = anchor_1.BN.max(lastOracleConfPct, marketAvgStdPct.div(new anchor_1.BN(2)));
287
287
  const clampMin = numericConstants_1.PERCENTAGE_PRECISION.div(new anchor_1.BN(100));
288
- const clampMax = numericConstants_1.PERCENTAGE_PRECISION.mul(new anchor_1.BN(16)).div(new anchor_1.BN(10));
288
+ const clampMax = numericConstants_1.PERCENTAGE_PRECISION;
289
289
  const longVolSpreadFactor = (0, __1.clampBN)(longIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
290
290
  const shortVolSpreadFactor = (0, __1.clampBN)(shortIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
291
291
  // only consider confidence interval at full value when above 25 bps
292
292
  let confComponent = lastOracleConfPct;
293
293
  if (lastOracleConfPct.lte(numericConstants_1.PRICE_PRECISION.div(new anchor_1.BN(400)))) {
294
- confComponent = lastOracleConfPct.div(new anchor_1.BN(10));
294
+ confComponent = lastOracleConfPct.div(new anchor_1.BN(20));
295
295
  }
296
296
  const longVolSpread = anchor_1.BN.max(confComponent, volSpread.mul(longVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
297
297
  const shortVolSpread = anchor_1.BN.max(confComponent, volSpread.mul(shortVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
package/lib/node/math/auction.d.ts CHANGED
@@ -1,6 +1,6 @@
1
1
  /// <reference types="bn.js" />
2
2
  import { Order, PositionDirection } from '../types';
3
- import { BN } from '../.';
3
+ import { BN, PerpMarketAccount } from '../.';
4
4
  export declare function isAuctionComplete(order: Order, slot: number): boolean;
5
5
  export declare function isFallbackAvailableLiquiditySource(order: Order, minAuctionDuration: number, slot: number): boolean;
6
6
  export declare function getAuctionPrice(order: Order, slot: number, oraclePrice: BN): BN;
@@ -21,4 +21,10 @@ export declare function deriveOracleAuctionParams({ direction, oraclePrice, auct
21
21
  auctionEndPrice: BN;
22
22
  oraclePriceOffset: number;
23
23
  };
24
+ export declare function getTriggerAuctionStartPrice(params: {
25
+ perpMarket: PerpMarketAccount;
26
+ direction: PositionDirection;
27
+ oraclePrice: BN;
28
+ limitPrice?: BN;
29
+ }): BN;
24
30
  //# sourceMappingURL=auction.d.ts.map
package/lib/node/math/auction.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"auction.d.ts","sourceRoot":"","sources":["../../../src/math/auction.ts"],"names":[],"mappings":";AAAA,OAAO,EAA6B,KAAK,EAAE,iBAAiB,EAAE,MAAM,UAAU,CAAC;AAC/E,OAAO,EAAE,EAAE,EAAuC,MAAM,MAAM,CAAC;AAE/D,wBAAgB,iBAAiB,CAAC,KAAK,EAAE,KAAK,EAAE,IAAI,EAAE,MAAM,GAAG,OAAO,CAMrE;AAED,wBAAgB,kCAAkC,CACjD,KAAK,EAAE,KAAK,EACZ,kBAAkB,EAAE,MAAM,EAC1B,IAAI,EAAE,MAAM,GACV,OAAO,CAMT;AAED,wBAAgB,eAAe,CAC9B,KAAK,EAAE,KAAK,EACZ,IAAI,EAAE,MAAM,EACZ,WAAW,EAAE,EAAE,GACb,EAAE,CAwBJ;AAED,wBAAgB,8BAA8B,CAAC,KAAK,EAAE,KAAK,EAAE,IAAI,EAAE,MAAM,GAAG,EAAE,CA+B7E;AAED,wBAAgB,qCAAqC,CACpD,KAAK,EAAE,KAAK,EACZ,IAAI,EAAE,MAAM,EACZ,WAAW,EAAE,EAAE,GACb,EAAE,CA+BJ;AAED,wBAAgB,yBAAyB,CAAC,EACzC,SAAS,EACT,WAAW,EACX,iBAAiB,EACjB,eAAe,EACf,UAAU,EACV,gBAAgB,GAChB,EAAE;IACF,SAAS,EAAE,iBAAiB,CAAC;IAC7B,WAAW,EAAE,EAAE,CAAC;IAChB,iBAAiB,EAAE,EAAE,CAAC;IACtB,eAAe,EAAE,EAAE,CAAC;IACpB,UAAU,EAAE,EAAE,CAAC;IACf,gBAAgB,CAAC,EAAE;QAClB,GAAG,EAAE,EAAE,CAAC;QACR,GAAG,EAAE,EAAE,CAAC;KACR,CAAC;CACF,GAAG;IAAE,iBAAiB,EAAE,EAAE,CAAC;IAAC,eAAe,EAAE,EAAE,CAAC;IAAC,iBAAiB,EAAE,MAAM,CAAA;CAAE,CAsC5E"}
1
+ {"version":3,"file":"auction.d.ts","sourceRoot":"","sources":["../../../src/math/auction.ts"],"names":[],"mappings":";AAAA,OAAO,EAA6B,KAAK,EAAE,iBAAiB,EAAE,MAAM,UAAU,CAAC;AAC/E,OAAO,EACN,EAAE,EAKF,iBAAiB,EAIjB,MAAM,MAAM,CAAC;AAEd,wBAAgB,iBAAiB,CAAC,KAAK,EAAE,KAAK,EAAE,IAAI,EAAE,MAAM,GAAG,OAAO,CAMrE;AAED,wBAAgB,kCAAkC,CACjD,KAAK,EAAE,KAAK,EACZ,kBAAkB,EAAE,MAAM,EAC1B,IAAI,EAAE,MAAM,GACV,OAAO,CAMT;AAED,wBAAgB,eAAe,CAC9B,KAAK,EAAE,KAAK,EACZ,IAAI,EAAE,MAAM,EACZ,WAAW,EAAE,EAAE,GACb,EAAE,CAwBJ;AAED,wBAAgB,8BAA8B,CAAC,KAAK,EAAE,KAAK,EAAE,IAAI,EAAE,MAAM,GAAG,EAAE,CA+B7E;AAED,wBAAgB,qCAAqC,CACpD,KAAK,EAAE,KAAK,EACZ,IAAI,EAAE,MAAM,EACZ,WAAW,EAAE,EAAE,GACb,EAAE,CA+BJ;AAED,wBAAgB,yBAAyB,CAAC,EACzC,SAAS,EACT,WAAW,EACX,iBAAiB,EACjB,eAAe,EACf,UAAU,EACV,gBAAgB,GAChB,EAAE;IACF,SAAS,EAAE,iBAAiB,CAAC;IAC7B,WAAW,EAAE,EAAE,CAAC;IAChB,iBAAiB,EAAE,EAAE,CAAC;IACtB,eAAe,EAAE,EAAE,CAAC;IACpB,UAAU,EAAE,EAAE,CAAC;IACf,gBAAgB,CAAC,EAAE;QAClB,GAAG,EAAE,EAAE,CAAC;QACR,GAAG,EAAE,EAAE,CAAC;KACR,CAAC;CACF,GAAG;IAAE,iBAAiB,EAAE,EAAE,CAAC;IAAC,eAAe,EAAE,EAAE,CAAC;IAAC,iBAAiB,EAAE,MAAM,CAAA;CAAE,CAsC5E;AAED,wBAAgB,2BAA2B,CAAC,MAAM,EAAE;IACnD,UAAU,EAAE,iBAAiB,CAAC;IAC9B,SAAS,EAAE,iBAAiB,CAAC;IAC7B,WAAW,EAAE,EAAE,CAAC;IAChB,UAAU,CAAC,EAAE,EAAE,CAAC;CAChB,GAAG,EAAE,CA8EL"}
package/lib/node/math/auction.js CHANGED
@@ -1,6 +1,6 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.deriveOracleAuctionParams = exports.getAuctionPriceForOracleOffsetAuction = exports.getAuctionPriceForFixedAuction = exports.getAuctionPrice = exports.isFallbackAvailableLiquiditySource = exports.isAuctionComplete = void 0;
3
+ exports.getTriggerAuctionStartPrice = exports.deriveOracleAuctionParams = exports.getAuctionPriceForOracleOffsetAuction = exports.getAuctionPriceForFixedAuction = exports.getAuctionPrice = exports.isFallbackAvailableLiquiditySource = exports.isAuctionComplete = void 0;
4
4
  const types_1 = require("../types");
5
5
  const _1 = require("../.");
6
6
  function isAuctionComplete(order, slot) {
@@ -132,3 +132,60 @@ function deriveOracleAuctionParams({ direction, oraclePrice, auctionStartPrice,
132
132
  };
133
133
  }
134
134
  exports.deriveOracleAuctionParams = deriveOracleAuctionParams;
135
+ function getTriggerAuctionStartPrice(params) {
136
+ const { perpMarket, direction, oraclePrice, limitPrice } = params;
137
+ const twapMismatch = perpMarket.amm.historicalOracleData.lastOraclePriceTwapTs
138
+ .sub(perpMarket.amm.lastMarkPriceTwapTs)
139
+ .abs()
140
+ .gte(new _1.BN(60)) ||
141
+ perpMarket.amm.volume24H.lte(new _1.BN(100000).mul(_1.QUOTE_PRECISION));
142
+ let baselineStartOffset;
143
+ if (twapMismatch) {
144
+ const contractTierNumber = (0, _1.getPerpMarketTierNumber)(perpMarket);
145
+ const priceDivisor = contractTierNumber <= 1 ? 500 : 100;
146
+ baselineStartOffset = (0, types_1.isVariant)(direction, 'long')
147
+ ? perpMarket.amm.lastBidPriceTwap.divn(priceDivisor)
148
+ : perpMarket.amm.lastAskPriceTwap.divn(priceDivisor).neg();
149
+ }
150
+ else {
151
+ const markTwapSlow = (0, types_1.isVariant)(direction, 'long')
152
+ ? perpMarket.amm.lastBidPriceTwap
153
+ : perpMarket.amm.lastAskPriceTwap;
154
+ const markTwapFast = perpMarket.amm.lastMarkPriceTwap5Min;
155
+ const oracleTwapSlow = perpMarket.amm.historicalOracleData.lastOraclePriceTwap;
156
+ const oracleTwapFast = perpMarket.amm.historicalOracleData.lastOraclePriceTwap5Min;
157
+ const offsetSlow = markTwapSlow.sub(oracleTwapSlow);
158
+ const offsetFast = markTwapFast.sub(oracleTwapFast);
159
+ const fracOfLongSpreadInPrice = new _1.BN(perpMarket.amm.longSpread)
160
+ .mul(markTwapSlow)
161
+ .div(_1.PRICE_PRECISION.muln(10)); // divide by 10x for safety
162
+ const fracOfShortSpreadInPrice = new _1.BN(perpMarket.amm.shortSpread)
163
+ .mul(markTwapSlow)
164
+ .div(_1.PRICE_PRECISION.muln(10)); // divide by 10x for safety
165
+ baselineStartOffset = (0, types_1.isVariant)(direction, 'long')
166
+ ? _1.BN.min(offsetSlow.add(fracOfLongSpreadInPrice), offsetFast.sub(fracOfShortSpreadInPrice))
167
+ : _1.BN.max(offsetSlow.sub(fracOfShortSpreadInPrice), offsetFast.add(fracOfLongSpreadInPrice));
168
+ }
169
+ let startBuffer = -3500;
170
+ if ((0, types_1.isVariant)(perpMarket.contractTier, 'a') ||
171
+ (0, types_1.isVariant)(perpMarket.contractTier, 'b')) {
172
+ startBuffer = -500;
173
+ }
174
+ // Apply start buffer (in BPS)
175
+ const startBufferPrice = oraclePrice
176
+ .mul(new _1.BN(startBuffer))
177
+ .div(new _1.BN(_1.PRICE_PRECISION));
178
+ let auctionStartPrice = (0, types_1.isVariant)(direction, 'long')
179
+ ? oraclePrice.add(baselineStartOffset).sub(startBufferPrice)
180
+ : oraclePrice.add(baselineStartOffset).add(startBufferPrice);
181
+ if (limitPrice) {
182
+ if ((0, types_1.isVariant)(direction, 'long')) {
183
+ auctionStartPrice = _1.BN.min(auctionStartPrice, limitPrice);
184
+ }
185
+ else {
186
+ auctionStartPrice = _1.BN.max(auctionStartPrice, limitPrice);
187
+ }
188
+ }
189
+ return auctionStartPrice;
190
+ }
191
+ exports.getTriggerAuctionStartPrice = getTriggerAuctionStartPrice;
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@drift-labs/sdk",
3
- "version": "2.124.0-beta.2",
3
+ "version": "2.124.0-beta.4",
4
4
  "main": "lib/node/index.js",
5
5
  "types": "lib/node/index.d.ts",
6
6
  "browser": "./lib/browser/index.js",
package/src/math/amm.ts CHANGED
@@ -547,11 +547,11 @@ export function calculateVolSpreadBN(
547
547
  .add(oracleStd)
548
548
  .mul(PERCENTAGE_PRECISION)
549
549
  .div(reservePrice)
550
- .div(new BN(2));
550
+ .div(new BN(4));
551
551
  const volSpread = BN.max(lastOracleConfPct, marketAvgStdPct.div(new BN(2)));
552
552
 
553
553
  const clampMin = PERCENTAGE_PRECISION.div(new BN(100));
554
- const clampMax = PERCENTAGE_PRECISION.mul(new BN(16)).div(new BN(10));
554
+ const clampMax = PERCENTAGE_PRECISION;
555
555
 
556
556
  const longVolSpreadFactor = clampBN(
557
557
  longIntensity.mul(PERCENTAGE_PRECISION).div(BN.max(ONE, volume24H)),
@@ -568,7 +568,7 @@ export function calculateVolSpreadBN(
568
568
  let confComponent = lastOracleConfPct;
569
569
 
570
570
  if (lastOracleConfPct.lte(PRICE_PRECISION.div(new BN(400)))) {
571
- confComponent = lastOracleConfPct.div(new BN(10));
571
+ confComponent = lastOracleConfPct.div(new BN(20));
572
572
  }
573
573
 
574
574
  const longVolSpread = BN.max(
package/src/math/auction.ts CHANGED
@@ -1,5 +1,15 @@
1
1
  import { isOneOfVariant, isVariant, Order, PositionDirection } from '../types';
2
- import { BN, getVariant, ONE, OrderBitFlag, ZERO } from '../.';
2
+ import {
3
+ BN,
4
+ getVariant,
5
+ ONE,
6
+ OrderBitFlag,
7
+ ZERO,
8
+ PerpMarketAccount,
9
+ getPerpMarketTierNumber,
10
+ QUOTE_PRECISION,
11
+ PRICE_PRECISION,
12
+ } from '../.';
3
13
 
4
14
  export function isAuctionComplete(order: Order, slot: number): boolean {
5
15
  if (order.auctionDuration === 0) {
@@ -177,3 +187,88 @@ export function deriveOracleAuctionParams({
177
187
  oraclePriceOffset: oraclePriceOffsetNum,
178
188
  };
179
189
  }
190
+
191
+ export function getTriggerAuctionStartPrice(params: {
192
+ perpMarket: PerpMarketAccount;
193
+ direction: PositionDirection;
194
+ oraclePrice: BN;
195
+ limitPrice?: BN;
196
+ }): BN {
197
+ const { perpMarket, direction, oraclePrice, limitPrice } = params;
198
+
199
+ const twapMismatch =
200
+ perpMarket.amm.historicalOracleData.lastOraclePriceTwapTs
201
+ .sub(perpMarket.amm.lastMarkPriceTwapTs)
202
+ .abs()
203
+ .gte(new BN(60)) ||
204
+ perpMarket.amm.volume24H.lte(new BN(100_000).mul(QUOTE_PRECISION));
205
+
206
+ let baselineStartOffset: BN;
207
+
208
+ if (twapMismatch) {
209
+ const contractTierNumber = getPerpMarketTierNumber(perpMarket);
210
+ const priceDivisor = contractTierNumber <= 1 ? 500 : 100;
211
+ baselineStartOffset = isVariant(direction, 'long')
212
+ ? perpMarket.amm.lastBidPriceTwap.divn(priceDivisor)
213
+ : perpMarket.amm.lastAskPriceTwap.divn(priceDivisor).neg();
214
+ } else {
215
+ const markTwapSlow = isVariant(direction, 'long')
216
+ ? perpMarket.amm.lastBidPriceTwap
217
+ : perpMarket.amm.lastAskPriceTwap;
218
+
219
+ const markTwapFast = perpMarket.amm.lastMarkPriceTwap5Min;
220
+ const oracleTwapSlow =
221
+ perpMarket.amm.historicalOracleData.lastOraclePriceTwap;
222
+ const oracleTwapFast =
223
+ perpMarket.amm.historicalOracleData.lastOraclePriceTwap5Min;
224
+
225
+ const offsetSlow = markTwapSlow.sub(oracleTwapSlow);
226
+ const offsetFast = markTwapFast.sub(oracleTwapFast);
227
+
228
+ const fracOfLongSpreadInPrice = new BN(perpMarket.amm.longSpread)
229
+ .mul(markTwapSlow)
230
+ .div(PRICE_PRECISION.muln(10)); // divide by 10x for safety
231
+
232
+ const fracOfShortSpreadInPrice = new BN(perpMarket.amm.shortSpread)
233
+ .mul(markTwapSlow)
234
+ .div(PRICE_PRECISION.muln(10)); // divide by 10x for safety
235
+
236
+ baselineStartOffset = isVariant(direction, 'long')
237
+ ? BN.min(
238
+ offsetSlow.add(fracOfLongSpreadInPrice),
239
+ offsetFast.sub(fracOfShortSpreadInPrice)
240
+ )
241
+ : BN.max(
242
+ offsetSlow.sub(fracOfShortSpreadInPrice),
243
+ offsetFast.add(fracOfLongSpreadInPrice)
244
+ );
245
+ }
246
+
247
+ let startBuffer = -3500;
248
+
249
+ if (
250
+ isVariant(perpMarket.contractTier, 'a') ||
251
+ isVariant(perpMarket.contractTier, 'b')
252
+ ) {
253
+ startBuffer = -500;
254
+ }
255
+
256
+ // Apply start buffer (in BPS)
257
+ const startBufferPrice = oraclePrice
258
+ .mul(new BN(startBuffer))
259
+ .div(new BN(PRICE_PRECISION));
260
+
261
+ let auctionStartPrice = isVariant(direction, 'long')
262
+ ? oraclePrice.add(baselineStartOffset).sub(startBufferPrice)
263
+ : oraclePrice.add(baselineStartOffset).add(startBufferPrice);
264
+
265
+ if (limitPrice) {
266
+ if (isVariant(direction, 'long')) {
267
+ auctionStartPrice = BN.min(auctionStartPrice, limitPrice);
268
+ } else {
269
+ auctionStartPrice = BN.max(auctionStartPrice, limitPrice);
270
+ }
271
+ }
272
+
273
+ return auctionStartPrice;
274
+ }