@drift-labs/sdk 2.13.0-beta.0 → 2.13.0-beta.2

package/lib/constants/numericConstants.d.ts

@@ -51,6 +51,8 @@ export declare const AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO: BN;
 export declare const MARGIN_PRECISION: BN;
 export declare const BID_ASK_SPREAD_PRECISION: BN;
 export declare const LIQUIDATION_PCT_PRECISION: BN;
+export declare const FIVE_MINUTE: BN;
+export declare const ONE_HOUR: BN;
 export declare const ONE_YEAR: BN;
 export declare const QUOTE_SPOT_MARKET_INDEX = 0;
 export declare const LAMPORTS_PRECISION: BN;

package/lib/constants/numericConstants.js

@@ -1,7 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.BID_ASK_SPREAD_PRECISION = exports.MARGIN_PRECISION = exports.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO = exports.PRICE_TO_QUOTE_PRECISION = exports.PRICE_DIV_PEG = exports.AMM_TO_QUOTE_PRECISION_RATIO = exports.BASE_PRECISION_EXP = exports.BASE_PRECISION = exports.AMM_RESERVE_PRECISION = exports.PEG_PRECISION = exports.FUNDING_RATE_BUFFER_PRECISION = exports.FUNDING_RATE_PRECISION = exports.PRICE_PRECISION = exports.QUOTE_PRECISION = exports.LIQUIDATION_FEE_PRECISION = exports.SPOT_MARKET_IMF_PRECISION = exports.SPOT_MARKET_IMF_PRECISION_EXP = exports.SPOT_MARKET_BALANCE_PRECISION = exports.SPOT_MARKET_BALANCE_PRECISION_EXP = exports.SPOT_MARKET_WEIGHT_PRECISION = exports.SPOT_MARKET_UTILIZATION_PRECISION = exports.SPOT_MARKET_UTILIZATION_PRECISION_EXP = exports.SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION = exports.SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION_EXP = exports.SPOT_MARKET_RATE_PRECISION = exports.SPOT_MARKET_RATE_PRECISION_EXP = exports.AMM_RESERVE_PRECISION_EXP = exports.PEG_PRECISION_EXP = exports.FUNDING_RATE_PRECISION_EXP = exports.PRICE_PRECISION_EXP = exports.FUNDING_RATE_BUFFER_PRECISION_EXP = exports.QUOTE_PRECISION_EXP = exports.CONCENTRATION_PRECISION = exports.PERCENTAGE_PRECISION = exports.PERCENTAGE_PRECISION_EXP = exports.MAX_LEVERAGE = exports.TEN_MILLION = exports.BN_MAX = exports.TEN_THOUSAND = exports.TEN = exports.NINE = exports.EIGHT = exports.SEVEN = exports.SIX = exports.FIVE = exports.FOUR = exports.THREE = exports.TWO = exports.ONE = exports.ZERO = void 0;
-exports.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = exports.OPEN_ORDER_MARGIN_REQUIREMENT = exports.LAMPORTS_EXP = exports.LAMPORTS_PRECISION = exports.QUOTE_SPOT_MARKET_INDEX = exports.ONE_YEAR = exports.LIQUIDATION_PCT_PRECISION = void 0;
+exports.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = exports.OPEN_ORDER_MARGIN_REQUIREMENT = exports.LAMPORTS_EXP = exports.LAMPORTS_PRECISION = exports.QUOTE_SPOT_MARKET_INDEX = exports.ONE_YEAR = exports.ONE_HOUR = exports.FIVE_MINUTE = exports.LIQUIDATION_PCT_PRECISION = void 0;
 const web3_js_1 = require("@solana/web3.js");
 const __1 = require("../");
 exports.ZERO = new __1.BN(0);
@@ -55,6 +55,8 @@ exports.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO = exports.AMM_RESERVE_PRECISION.m
 exports.MARGIN_PRECISION = exports.TEN_THOUSAND;
 exports.BID_ASK_SPREAD_PRECISION = new __1.BN(1000000); // 10^6
 exports.LIQUIDATION_PCT_PRECISION = exports.TEN_THOUSAND;
+exports.FIVE_MINUTE = new __1.BN(60 * 5);
+exports.ONE_HOUR = new __1.BN(60 * 60);
 exports.ONE_YEAR = new __1.BN(31536000);
 exports.QUOTE_SPOT_MARKET_INDEX = 0;
 exports.LAMPORTS_PRECISION = new __1.BN(web3_js_1.LAMPORTS_PER_SOL);

package/lib/driftClient.d.ts

@@ -219,6 +219,15 @@ export declare class DriftClient {
      * @returns
      */
     modifyPerpOrder(orderId: number, newBaseAmount?: BN, newLimitPrice?: BN, newOraclePriceOffset?: number): Promise<TransactionSignature>;
+    /**
+     * Modifies an open order by closing it and replacing it with a new order.
+     * @param userOrderId: The open order to modify
+     * @param newBaseAmount: The new base amount for the order. One of [newBaseAmount|newLimitPrice|newOraclePriceOffset] must be provided.
+     * @param newLimitPice: The new limit price for the order. One of [newBaseAmount|newLimitPrice|newOraclePriceOffset] must be provided.
+     * @param newOraclePriceOffset: The new oracle price offset for the order. One of [newBaseAmount|newLimitPrice|newOraclePriceOffset] must be provided.
+     * @returns
+     */
+    modifyPerpOrderByUserOrderId(userOrderId: number, newBaseAmount?: BN, newLimitPrice?: BN, newOraclePriceOffset?: number): Promise<TransactionSignature>;
     settlePNLs(users: {
         settleeUserAccountPublicKey: PublicKey;
         settleeUserAccount: UserAccount;

package/lib/driftClient.js

@@ -1777,6 +1777,55 @@ class DriftClient {
             maxTs: openOrder.maxTs,
             auctionStartPrice: openOrder.auctionStartPrice,
             auctionEndPrice: openOrder.auctionEndPrice,
+            userOrderId: openOrder.userOrderId,
+        };
+        const placeOrderIx = await this.getPlacePerpOrderIx(newOrderParams);
+        const tx = new web3_js_1.Transaction();
+        tx.add(web3_js_1.ComputeBudgetProgram.requestUnits({
+            units: 1000000,
+            additionalFee: 0,
+        }));
+        tx.add(cancelOrderIx);
+        tx.add(placeOrderIx);
+        const { txSig, slot } = await this.sendTransaction(tx, [], this.opts);
+        this.perpMarketLastSlotCache.set(newOrderParams.marketIndex, slot);
+        return txSig;
+    }
+    /**
+     * Modifies an open order by closing it and replacing it with a new order.
+     * @param userOrderId: The open order to modify
+     * @param newBaseAmount: The new base amount for the order. One of [newBaseAmount|newLimitPrice|newOraclePriceOffset] must be provided.
+     * @param newLimitPice: The new limit price for the order. One of [newBaseAmount|newLimitPrice|newOraclePriceOffset] must be provided.
+     * @param newOraclePriceOffset: The new oracle price offset for the order. One of [newBaseAmount|newLimitPrice|newOraclePriceOffset] must be provided.
+     * @returns
+     */
+    async modifyPerpOrderByUserOrderId(userOrderId, newBaseAmount, newLimitPrice, newOraclePriceOffset) {
+        if (!newBaseAmount && !newLimitPrice && !newOraclePriceOffset) {
+            throw new Error(`Must provide newBaseAmount or newLimitPrice or newOraclePriceOffset to modify order`);
+        }
+        const openOrder = this.getUser().getOrderByUserOrderId(userOrderId);
+        if (!openOrder) {
+            throw new Error(`No open order with user order id ${userOrderId.toString()}`);
+        }
+        const cancelOrderIx = await this.getCancelOrderIx(openOrder.orderId);
+        const newOrderParams = {
+            orderType: openOrder.orderType,
+            marketType: openOrder.marketType,
+            direction: openOrder.direction,
+            baseAssetAmount: newBaseAmount || openOrder.baseAssetAmount,
+            price: newLimitPrice || openOrder.price,
+            marketIndex: openOrder.marketIndex,
+            reduceOnly: openOrder.reduceOnly,
+            postOnly: openOrder.postOnly,
+            immediateOrCancel: openOrder.immediateOrCancel,
+            triggerPrice: openOrder.triggerPrice,
+            triggerCondition: openOrder.triggerCondition,
+            oraclePriceOffset: newOraclePriceOffset || openOrder.oraclePriceOffset,
+            auctionDuration: openOrder.auctionDuration,
+            maxTs: openOrder.maxTs,
+            auctionStartPrice: openOrder.auctionStartPrice,
+            auctionEndPrice: openOrder.auctionEndPrice,
+            userOrderId: openOrder.userOrderId,
         };
         const placeOrderIx = await this.getPlacePerpOrderIx(newOrderParams);
         const tx = new web3_js_1.Transaction();

package/lib/idl/drift.json

@@ -1,5 +1,5 @@
 {
-    "version": "2.13.0-beta.0",
+    "version": "2.13.0-beta.2",
     "name": "drift",
     "instructions": [
         {

package/lib/math/margin.d.ts

@@ -7,5 +7,5 @@ imfFactor: BN, liabilityWeight: BN, precision: BN): BN;
 export declare function calculateSizeDiscountAssetWeight(size: BN, // AMM_RESERVE_PRECISION
 imfFactor: BN, assetWeight: BN): BN;
 export declare function calculateOraclePriceForPerpMargin(perpPosition: PerpPosition, market: PerpMarketAccount, oraclePriceData: OraclePriceData): BN;
-export declare function calculateBaseAssetValueWithOracle(market: PerpMarketAccount, perpPosition: PerpPosition, oraclePriceData: OraclePriceData): BN;
+export declare function calculateBaseAssetValueWithOracle(market: PerpMarketAccount, perpPosition: PerpPosition, oraclePriceData: OraclePriceData, includeOpenOrders?: boolean): BN;
 export declare function calculateWorstCaseBaseAssetAmount(perpPosition: PerpPosition): BN;

package/lib/math/margin.js

@@ -11,7 +11,7 @@ imfFactor, liabilityWeight, precision) {
     if (imfFactor.eq(numericConstants_1.ZERO)) {
         return liabilityWeight;
     }
-    const sizeSqrt = utils_1.squareRootBN(size.mul(new anchor_1.BN(10)).add(new anchor_1.BN(1))); //1e9 -> 1e10 -> 1e5
+    const sizeSqrt = utils_1.squareRootBN(size.abs().mul(new anchor_1.BN(10)).add(new anchor_1.BN(1))); //1e9 -> 1e10 -> 1e5
     const denom0 = anchor_1.BN.max(new anchor_1.BN(1), numericConstants_1.SPOT_MARKET_IMF_PRECISION.div(imfFactor));
     assert_1.assert(denom0.gt(numericConstants_1.ZERO));
     const liabilityWeightNumerator = liabilityWeight.sub(liabilityWeight.div(anchor_1.BN.max(new anchor_1.BN(1), numericConstants_1.SPOT_MARKET_IMF_PRECISION.div(imfFactor))));
@@ -30,7 +30,7 @@ imfFactor, assetWeight) {
     if (imfFactor.eq(numericConstants_1.ZERO)) {
         return assetWeight;
     }
-    const sizeSqrt = utils_1.squareRootBN(size.mul(new anchor_1.BN(10)).add(new anchor_1.BN(1))); //1e9 -> 1e10 -> 1e5
+    const sizeSqrt = utils_1.squareRootBN(size.abs().mul(new anchor_1.BN(10)).add(new anchor_1.BN(1))); //1e9 -> 1e10 -> 1e5
     const imfNumerator = numericConstants_1.SPOT_MARKET_IMF_PRECISION.add(numericConstants_1.SPOT_MARKET_IMF_PRECISION.div(new anchor_1.BN(10)));
     const sizeDiscountAssetWeight = imfNumerator
         .mul(numericConstants_1.SPOT_MARKET_WEIGHT_PRECISION)
@@ -58,15 +58,15 @@ function calculateOraclePriceForPerpMargin(perpPosition, market, oraclePriceData
     return marginPrice;
 }
 exports.calculateOraclePriceForPerpMargin = calculateOraclePriceForPerpMargin;
-function calculateBaseAssetValueWithOracle(market, perpPosition, oraclePriceData) {
+function calculateBaseAssetValueWithOracle(market, perpPosition, oraclePriceData, includeOpenOrders = false) {
     let price = oraclePriceData.price;
     if (types_1.isVariant(market.status, 'settlement')) {
         price = market.expiryPrice;
     }
-    return perpPosition.baseAssetAmount
-        .abs()
-        .mul(price)
-        .div(numericConstants_1.AMM_RESERVE_PRECISION);
+    const baseAssetAmount = includeOpenOrders
+        ? calculateWorstCaseBaseAssetAmount(perpPosition)
+        : perpPosition.baseAssetAmount;
+    return baseAssetAmount.abs().mul(price).div(numericConstants_1.AMM_RESERVE_PRECISION);
 }
 exports.calculateBaseAssetValueWithOracle = calculateBaseAssetValueWithOracle;
 function calculateWorstCaseBaseAssetAmount(perpPosition) {

package/lib/math/market.d.ts

@@ -2,6 +2,7 @@
 import { BN } from '@project-serum/anchor';
 import { PerpMarketAccount, PositionDirection, MarginCategory, SpotMarketAccount } from '../types';
 import { OraclePriceData } from '../oracles/types';
+import { DLOB } from '../dlob/DLOB';
 /**
  * Calculates market mark price
  *
@@ -31,3 +32,7 @@ export declare function calculateUnrealizedAssetWeight(market: PerpMarketAccount
 export declare function calculateMarketAvailablePNL(perpMarket: PerpMarketAccount, spotMarket: SpotMarketAccount): BN;
 export declare function calculateNetUserPnl(perpMarket: PerpMarketAccount, oraclePriceData: OraclePriceData): BN;
 export declare function calculateNetUserPnlImbalance(perpMarket: PerpMarketAccount, spotMarket: SpotMarketAccount, oraclePriceData: OraclePriceData): BN;
+export declare function calculateAvailablePerpLiquidity(market: PerpMarketAccount, oraclePriceData: OraclePriceData, dlob: DLOB, slot: number): {
+    bids: BN;
+    asks: BN;
+};

package/lib/math/market.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateNetUserPnlImbalance = exports.calculateNetUserPnl = exports.calculateMarketAvailablePNL = exports.calculateUnrealizedAssetWeight = exports.calculateMarketMarginRatio = exports.calculateOracleSpread = exports.calculateOracleReserveSpread = exports.calculateNewMarketAfterTrade = exports.calculateAskPrice = exports.calculateBidPrice = exports.calculateReservePrice = void 0;
+exports.calculateAvailablePerpLiquidity = exports.calculateNetUserPnlImbalance = exports.calculateNetUserPnl = exports.calculateMarketAvailablePNL = exports.calculateUnrealizedAssetWeight = exports.calculateMarketMarginRatio = exports.calculateOracleSpread = exports.calculateOracleReserveSpread = exports.calculateNewMarketAfterTrade = exports.calculateAskPrice = exports.calculateBidPrice = exports.calculateReservePrice = void 0;
 const anchor_1 = require("@project-serum/anchor");
 const types_1 = require("../types");
 const amm_1 = require("./amm");
@@ -115,3 +115,20 @@ function calculateNetUserPnlImbalance(perpMarket, spotMarket, oraclePriceData) {
     return imbalance;
 }
 exports.calculateNetUserPnlImbalance = calculateNetUserPnlImbalance;
+function calculateAvailablePerpLiquidity(market, oraclePriceData, dlob, slot) {
+    let [bids, asks] = amm_1.calculateMarketOpenBidAsk(market.amm.baseAssetReserve, market.amm.minBaseAssetReserve, market.amm.maxBaseAssetReserve, market.amm.orderStepSize);
+    asks = asks.abs();
+    const bidPrice = calculateBidPrice(market, oraclePriceData);
+    const askPrice = calculateAskPrice(market, oraclePriceData);
+    for (const bid of dlob.getMakerLimitBids(market.marketIndex, slot, types_1.MarketType.PERP, oraclePriceData, askPrice)) {
+        bids = bids.add(bid.order.baseAssetAmount.sub(bid.order.baseAssetAmountFilled));
+    }
+    for (const ask of dlob.getMakerLimitAsks(market.marketIndex, slot, types_1.MarketType.PERP, oraclePriceData, bidPrice)) {
+        asks = asks.add(ask.order.baseAssetAmount.sub(ask.order.baseAssetAmountFilled));
+    }
+    return {
+        bids: bids,
+        asks: asks,
+    };
+}
+exports.calculateAvailablePerpLiquidity = calculateAvailablePerpLiquidity;

package/lib/math/oracles.d.ts

@@ -1,9 +1,9 @@
 /// <reference types="bn.js" />
 import { AMM, OracleGuardRails } from '../types';
 import { OraclePriceData } from '../oracles/types';
-import { BN, PerpMarketAccount } from '../index';
+import { BN, HistoricalOracleData, PerpMarketAccount } from '../index';
 export declare function oraclePriceBands(market: PerpMarketAccount, oraclePriceData: OraclePriceData): [BN, BN];
 export declare function isOracleValid(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, slot: number): boolean;
 export declare function isOracleTooDivergent(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, now: BN): boolean;
-export declare function calculateLiveOracleTwap(amm: AMM, oraclePriceData: OraclePriceData, now: BN): BN;
+export declare function calculateLiveOracleTwap(histOracleData: HistoricalOracleData, oraclePriceData: OraclePriceData, now: BN, period: BN): BN;
 export declare function calculateLiveOracleStd(amm: AMM, oraclePriceData: OraclePriceData, now: BN): BN;

package/lib/math/oracles.js

@@ -38,7 +38,7 @@ function isOracleValid(amm, oraclePriceData, oracleGuardRails, slot) {
 exports.isOracleValid = isOracleValid;
 function isOracleTooDivergent(amm, oraclePriceData, oracleGuardRails, now) {
     const sinceLastUpdate = now.sub(amm.historicalOracleData.lastOraclePriceTwapTs);
-    const sinceStart = index_1.BN.max(numericConstants_1.ZERO, new index_1.BN(60 * 5).sub(sinceLastUpdate));
+    const sinceStart = index_1.BN.max(numericConstants_1.ZERO, numericConstants_1.FIVE_MINUTE.sub(sinceLastUpdate));
     const oracleTwap5min = amm.historicalOracleData.lastOraclePriceTwap5Min
         .mul(sinceStart)
         .add(oraclePriceData.price)
@@ -52,12 +52,21 @@ function isOracleTooDivergent(amm, oraclePriceData, oracleGuardRails, now) {
     return tooDivergent;
 }
 exports.isOracleTooDivergent = isOracleTooDivergent;
-function calculateLiveOracleTwap(amm, oraclePriceData, now) {
-    const sinceLastUpdate = index_1.BN.max(numericConstants_1.ONE, now.sub(amm.historicalOracleData.lastOraclePriceTwapTs));
-    const sinceStart = index_1.BN.max(numericConstants_1.ZERO, amm.fundingPeriod.sub(sinceLastUpdate));
-    const clampRange = amm.historicalOracleData.lastOraclePriceTwap.div(new index_1.BN(3));
-    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
+function calculateLiveOracleTwap(histOracleData, oraclePriceData, now, period) {
+    let oracleTwap = undefined;
+    if (period.eq(numericConstants_1.FIVE_MINUTE)) {
+        oracleTwap = histOracleData.lastOraclePriceTwap5Min;
+    }
+    else {
+        //todo: assumes its fundingPeriod (1hr)
+        // period = amm.fundingPeriod;
+        oracleTwap = histOracleData.lastOraclePriceTwap;
+    }
+    const sinceLastUpdate = index_1.BN.max(numericConstants_1.ONE, now.sub(histOracleData.lastOraclePriceTwapTs));
+    const sinceStart = index_1.BN.max(numericConstants_1.ZERO, period.sub(sinceLastUpdate));
+    const clampRange = oracleTwap.div(new index_1.BN(3));
+    const clampedOraclePrice = index_1.BN.min(oracleTwap.add(clampRange), index_1.BN.max(oraclePriceData.price, oracleTwap.sub(clampRange)));
+    const newOracleTwap = oracleTwap
         .mul(sinceStart)
         .add(clampedOraclePrice.mul(sinceLastUpdate))
         .div(sinceStart.add(sinceLastUpdate));
@@ -67,7 +76,7 @@ exports.calculateLiveOracleTwap = calculateLiveOracleTwap;
 function calculateLiveOracleStd(amm, oraclePriceData, now) {
     const sinceLastUpdate = index_1.BN.max(numericConstants_1.ONE, now.sub(amm.historicalOracleData.lastOraclePriceTwapTs));
     const sinceStart = index_1.BN.max(numericConstants_1.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();
     const oracleStd = priceDeltaVsTwap.add(amm.oracleStd.mul(sinceStart).div(sinceStart.add(sinceLastUpdate)));
     return oracleStd;

package/lib/math/orders.js

@@ -108,7 +108,7 @@ function hasAuctionPrice(order, slot) {
 exports.hasAuctionPrice = hasAuctionPrice;
 function isFillableByVAMM(order, market, oraclePriceData, slot, ts) {
     return ((auction_1.isAuctionComplete(order, slot) &&
-        !calculateBaseAssetAmountForAmmToFulfill(order, market, oraclePriceData, slot).eq(numericConstants_1.ZERO)) ||
+        calculateBaseAssetAmountForAmmToFulfill(order, market, oraclePriceData, slot).gte(market.amm.minOrderSize)) ||
         isOrderExpired(order, ts));
 }
 exports.isFillableByVAMM = isFillableByVAMM;

package/lib/math/spotBalance.d.ts

@@ -5,6 +5,7 @@ import { OraclePriceData } from '../oracles/types';
 export declare function getBalance(tokenAmount: BN, spotMarket: SpotMarketAccount, balanceType: SpotBalanceType): BN;
 export declare function getTokenAmount(balanceAmount: BN, spotMarket: SpotMarketAccount, balanceType: SpotBalanceType): BN;
 export declare function getSignedTokenAmount(tokenAmount: BN, balanceType: SpotBalanceType): BN;
+export declare function getStrictTokenValue(tokenAmount: BN, spotDecimals: number, oraclePriceData: OraclePriceData, oraclePriceTwap: BN): BN;
 export declare function getTokenValue(tokenAmount: BN, spotDecimals: number, oraclePriceData: OraclePriceData): BN;
 export declare function calculateAssetWeight(balanceAmount: BN, spotMarket: SpotMarketAccount, marginCategory: MarginCategory): BN;
 export declare function calculateLiabilityWeight(balanceAmount: BN, spotMarket: SpotMarketAccount, marginCategory: MarginCategory): BN;
@@ -19,4 +20,8 @@ export declare function calculateInterestAccumulated(bank: SpotMarketAccount, no
 export declare function calculateWithdrawLimit(spotMarket: SpotMarketAccount, now: BN): {
     borrowLimit: BN;
     withdrawLimit: BN;
+    minDepositAmount: BN;
+    maxBorrowAmount: BN;
+    currentDepositAmount: any;
+    currentBorrowAmount: any;
 };

package/lib/math/spotBalance.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateWithdrawLimit = exports.calculateInterestAccumulated = exports.calculateBorrowRate = exports.calculateDepositRate = exports.calculateInterestRate = exports.calculateUtilization = exports.calculateLiabilityWeight = exports.calculateAssetWeight = exports.getTokenValue = exports.getSignedTokenAmount = exports.getTokenAmount = exports.getBalance = void 0;
+exports.calculateWithdrawLimit = exports.calculateInterestAccumulated = exports.calculateBorrowRate = exports.calculateDepositRate = exports.calculateInterestRate = exports.calculateUtilization = exports.calculateLiabilityWeight = exports.calculateAssetWeight = exports.getTokenValue = exports.getStrictTokenValue = exports.getSignedTokenAmount = exports.getTokenAmount = exports.getBalance = void 0;
 const types_1 = require("../types");
 const anchor_1 = require("@project-serum/anchor");
 const numericConstants_1 = require("../constants/numericConstants");
@@ -35,6 +35,21 @@ function getSignedTokenAmount(tokenAmount, balanceType) {
     }
 }
 exports.getSignedTokenAmount = getSignedTokenAmount;
+function getStrictTokenValue(tokenAmount, spotDecimals, oraclePriceData, oraclePriceTwap) {
+    if (tokenAmount.eq(numericConstants_1.ZERO)) {
+        return numericConstants_1.ZERO;
+    }
+    let price = oraclePriceData.price;
+    if (tokenAmount.gt(numericConstants_1.ZERO)) {
+        price = anchor_1.BN.min(oraclePriceData.price, oraclePriceTwap);
+    }
+    else {
+        price = anchor_1.BN.max(oraclePriceData.price, oraclePriceTwap);
+    }
+    const precisionDecrease = numericConstants_1.TEN.pow(new anchor_1.BN(spotDecimals));
+    return tokenAmount.mul(price).div(precisionDecrease);
+}
+exports.getStrictTokenValue = getStrictTokenValue;
 function getTokenValue(tokenAmount, spotDecimals, oraclePriceData) {
     if (tokenAmount.eq(numericConstants_1.ZERO)) {
         return numericConstants_1.ZERO;
@@ -187,9 +202,21 @@ function calculateWithdrawLimit(spotMarket, now) {
         .div(sinceLast.add(sinceStart));
     const maxBorrowTokens = anchor_1.BN.min(anchor_1.BN.max(marketDepositTokenAmount.div(new anchor_1.BN(6)), borrowTokenTwapLive.add(borrowTokenTwapLive.div(new anchor_1.BN(5)))), marketDepositTokenAmount.sub(marketDepositTokenAmount.div(new anchor_1.BN(5)))); // between ~15-80% utilization with friction on twap
     const minDepositTokens = depositTokenTwapLive.sub(anchor_1.BN.min(anchor_1.BN.max(depositTokenTwapLive.div(new anchor_1.BN(5)), spotMarket.withdrawGuardThreshold), depositTokenTwapLive));
+    let withdrawLimit = anchor_1.BN.max(marketDepositTokenAmount.sub(minDepositTokens), numericConstants_1.ZERO);
+    let borrowLimit = anchor_1.BN.max(maxBorrowTokens.sub(marketBorrowTokenAmount), numericConstants_1.ZERO);
+    if (borrowLimit.eq(numericConstants_1.ZERO)) {
+        withdrawLimit = numericConstants_1.ZERO;
+    }
+    if (withdrawLimit.eq(numericConstants_1.ZERO)) {
+        borrowLimit = numericConstants_1.ZERO;
+    }
     return {
-        borrowLimit: maxBorrowTokens.sub(marketBorrowTokenAmount),
-        withdrawLimit: marketDepositTokenAmount.sub(minDepositTokens),
+        borrowLimit,
+        withdrawLimit,
+        maxBorrowAmount: maxBorrowTokens,
+        minDepositAmount: minDepositTokens,
+        currentDepositAmount: marketDepositTokenAmount,
+        currentBorrowAmount: marketBorrowTokenAmount,
     };
 }
 exports.calculateWithdrawLimit = calculateWithdrawLimit;

package/lib/math/trade.js

@@ -338,7 +338,10 @@ function calculateEstimatedPerpEntryPrice(assetType, amount, direction, market,
                     break;
                 }
             }
-            if (limitOrder && usersToSkip.has(limitOrder.userAccount)) {
+            if (!limitOrder) {
+                continue;
+            }
+            if (usersToSkip.has(limitOrder.userAccount)) {
                 continue;
             }
             const baseFilled = anchor_1.BN.min(limitOrder.order.baseAssetAmount.sub(limitOrder.order.baseAssetAmountFilled), amount.sub(cumulativeBaseFilled));
@@ -388,7 +391,10 @@ function calculateEstimatedPerpEntryPrice(assetType, amount, direction, market,
                     break;
                 }
             }
-            if (limitOrder && usersToSkip.has(limitOrder.userAccount)) {
+            if (!limitOrder) {
+                continue;
+            }
+            if (usersToSkip.has(limitOrder.userAccount)) {
                 continue;
             }
             const quoteFilled = anchor_1.BN.min(limitOrder.order.baseAssetAmount

package/lib/math/utils.js

@@ -7,6 +7,9 @@ function clampBN(x, min, max) {
 }
 exports.clampBN = clampBN;
 const squareRootBN = (n, closeness = new __1.BN(1)) => {
+    if (n.lt(__1.ZERO)) {
+        throw new Error('square root of negative number');
+    }
     // Assuming the sqrt of n as n only
     let x = n;
     // The closed guess will be stored in the root

package/lib/user.d.ts

@@ -77,10 +77,11 @@ export declare class User {
      */
     getSettledLPPosition(marketIndex: number): [PerpPosition, BN, BN];
     /**
-     * calculates Buying Power = FC * MAX_LEVERAGE
+     * calculates Buying Power = free collateral / initial margin ratio
      * @returns : Precision QUOTE_PRECISION
      */
     getBuyingPower(marketIndex: number): BN;
+    getBuyingPowerFromFreeCollateralAndBaseAssetAmount(marketIndex: number, freeCollateral: BN, baseAssetAmount: BN): BN;
     /**
      * calculates Free Collateral = Total collateral - initial margin requirement
      * @returns : Precision QUOTE_PRECISION
@@ -89,7 +90,7 @@ export declare class User {
     /**
      * @returns The margin requirement of a certain type (Initial or Maintenance) in USDC. : QUOTE_PRECISION
      */
-    getMarginRequirement(marginCategory: MarginCategory, liquidationBuffer?: BN): BN;
+    getMarginRequirement(marginCategory: MarginCategory, liquidationBuffer?: BN, strict?: boolean): BN;
     /**
      * @returns The initial margin requirement in USDC. : QUOTE_PRECISION
      */
@@ -109,10 +110,10 @@ export declare class User {
      * @returns : Precision QUOTE_PRECISION
      */
     getUnrealizedFundingPNL(marketIndex?: number): BN;
-    getSpotMarketLiabilityValue(marketIndex?: number, marginCategory?: MarginCategory, liquidationBuffer?: BN, includeOpenOrders?: boolean): BN;
-    getSpotLiabilityValue(tokenAmount: BN, oraclePriceData: OraclePriceData, spotMarketAccount: SpotMarketAccount, marginCategory?: MarginCategory, liquidationBuffer?: BN): BN;
-    getSpotMarketAssetValue(marketIndex?: number, marginCategory?: MarginCategory, includeOpenOrders?: boolean): BN;
-    getSpotAssetValue(tokenAmount: BN, oraclePriceData: OraclePriceData, spotMarketAccount: SpotMarketAccount, marginCategory?: MarginCategory): BN;
+    getSpotMarketLiabilityValue(marketIndex?: number, marginCategory?: MarginCategory, liquidationBuffer?: BN, includeOpenOrders?: boolean, strict?: boolean, now?: BN): BN;
+    getSpotLiabilityValue(tokenAmount: BN, oraclePriceData: OraclePriceData, spotMarketAccount: SpotMarketAccount, marginCategory?: MarginCategory, liquidationBuffer?: BN, strict?: boolean, now?: BN): BN;
+    getSpotMarketAssetValue(marketIndex?: number, marginCategory?: MarginCategory, includeOpenOrders?: boolean, strict?: boolean, now?: BN): BN;
+    getSpotAssetValue(tokenAmount: BN, oraclePriceData: OraclePriceData, spotMarketAccount: SpotMarketAccount, marginCategory?: MarginCategory, strict?: boolean, now?: BN): BN;
     getNetSpotMarketValue(withWeightMarginCategory?: MarginCategory): BN;
     /**
      * calculates TotalCollateral: collateral + unrealized pnl
@@ -133,7 +134,7 @@ export declare class User {
      * calculates position value in margin system
      * @returns : Precision QUOTE_PRECISION
      */
-    getPerpPositionValue(marketIndex: number, oraclePriceData: OraclePriceData): BN;
+    getPerpPositionValue(marketIndex: number, oraclePriceData: OraclePriceData, includeOpenOrders?: boolean): BN;
     getPositionSide(currentPosition: Pick<PerpPosition, 'baseAssetAmount'>): PositionDirection | undefined;
     /**
      * calculates average exit price (optionally for closing up to 100% of position)
@@ -141,7 +142,7 @@ export declare class User {
      */
     getPositionEstimatedExitPriceAndPnl(position: PerpPosition, amountToClose?: BN, useAMMClose?: boolean): [BN, BN];
     /**
-     * calculates current user leverage across all positions
+     * calculates current user leverage which is (total liability size) / (net asset value)
      * @returns : Precision TEN_THOUSAND
      */
     getLeverage(): BN;
@@ -232,6 +233,12 @@ export declare class User {
      * @returns withdrawalLimit : Precision is the token precision for the chosen SpotMarket
      */
     getWithdrawalLimit(marketIndex: number, reduceOnly?: boolean): BN;
+    canBypassWithdrawLimits(marketIndex: number): {
+        canBypass: boolean;
+        netDeposits: BN;
+        depositAmount: BN;
+        maxDepositAmount: BN;
+    };
     /**
      * Get the total position value, excluding any position coming from the given target market
      * @param marketToIgnore