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

package/src/math/market.ts

@@ -5,6 +5,7 @@ import {
 	MarginCategory,
 	SpotMarketAccount,
 	SpotBalanceType,
+	MarketType,
 } from '../types';
 import {
 	calculateAmmReservesAfterSwap,
@@ -12,6 +13,7 @@ import {
 	calculateUpdatedAMMSpreadReserves,
 	getSwapDirection,
 	calculateUpdatedAMM,
+	calculateMarketOpenBidAsk,
 } from './amm';
 import {
 	calculateSizeDiscountAssetWeight,
@@ -25,6 +27,7 @@ import {
 	ZERO,
 } from '../constants/numericConstants';
 import { getTokenAmount } from './spotBalance';
+import { DLOB } from '../dlob/DLOB';
 
 /**
  * Calculates market mark price
@@ -232,3 +235,51 @@ export function calculateNetUserPnlImbalance(
 
 	return imbalance;
 }
+
+export function calculateAvailablePerpLiquidity(
+	market: PerpMarketAccount,
+	oraclePriceData: OraclePriceData,
+	dlob: DLOB,
+	slot: number
+): { bids: BN; asks: BN } {
+	let [bids, asks] = 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,
+		MarketType.PERP,
+		oraclePriceData,
+		askPrice
+	)) {
+		bids = bids.add(
+			bid.order.baseAssetAmount.sub(bid.order.baseAssetAmountFilled)
+		);
+	}
+
+	for (const ask of dlob.getMakerLimitAsks(
+		market.marketIndex,
+		slot,
+		MarketType.PERP,
+		oraclePriceData,
+		bidPrice
+	)) {
+		asks = asks.add(
+			ask.order.baseAssetAmount.sub(ask.order.baseAssetAmountFilled)
+		);
+	}
+
+	return {
+		bids: bids,
+		asks: asks,
+	};
+}

package/src/math/oracles.ts

@@ -6,8 +6,9 @@ import {
 	PRICE_PRECISION,
 	ONE,
 	ZERO,
+	FIVE_MINUTE,
 } from '../constants/numericConstants';
-import { BN, PerpMarketAccount } from '../index';
+import { BN, HistoricalOracleData, PerpMarketAccount } from '../index';
 import { assert } from '../assert/assert';
 
 export function oraclePriceBands(
@@ -68,7 +69,7 @@ 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 +91,34 @@ 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(FIVE_MINUTE)) {
+		oracleTwap = histOracleData.lastOraclePriceTwap5Min;
+	} else {
+		//todo: assumes its fundingPeriod (1hr)
+		// period = amm.fundingPeriod;
+		oracleTwap = histOracleData.lastOraclePriceTwap;
+	}
+
 	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 +137,12 @@ 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;
 			}
 

package/src/math/utils.ts

@@ -1,10 +1,14 @@
-import { BN } from '../';
+import { BN, ZERO } from '../';
 
 export function clampBN(x: BN, min: BN, max: BN): BN {
 	return BN.max(min, BN.min(x, max));
 }
 
 export const squareRootBN = (n, closeness = new BN(1)): BN => {
+	if (n.lt(ZERO)) {
+		throw new Error('square root of negative number');
+	}
+
 	// Assuming the sqrt of n as n only
 	let x = n;