@drift-labs/sdk 2.33.1-beta.2 → 2.33.1-beta.4

package/VERSION

@@ -1 +1 @@
-2.33.1-beta.2
+2.33.1-beta.4

package/lib/idl/drift.json

@@ -6900,11 +6900,11 @@
                 "kind": "struct",
                 "fields": [
                     {
-                        "name": "markOracleDivergenceNumerator",
+                        "name": "markOraclePercentDivergence",
                         "type": "u64"
                     },
                     {
-                        "name": "markOracleDivergenceDenominator",
+                        "name": "oracleTwap5minPercentDivergence",
                         "type": "u64"
                     }
                 ]
@@ -7637,6 +7637,9 @@
                     {
                         "name": "Initial"
                     },
+                    {
+                        "name": "Fill"
+                    },
                     {
                         "name": "Maintenance"
                     }

package/lib/math/oracles.js

@@ -45,9 +45,8 @@ function isOracleTooDivergent(amm, oraclePriceData, oracleGuardRails, now) {
         .div(sinceStart.add(sinceLastUpdate));
     const oracleSpread = oracleTwap5min.sub(oraclePriceData.price);
     const oracleSpreadPct = oracleSpread.mul(numericConstants_1.PRICE_PRECISION).div(oracleTwap5min);
-    const tooDivergent = oracleSpreadPct
-        .abs()
-        .gte(numericConstants_1.BID_ASK_SPREAD_PRECISION.mul(oracleGuardRails.priceDivergence.markOracleDivergenceNumerator).div(oracleGuardRails.priceDivergence.markOracleDivergenceDenominator));
+    const maxDivergence = index_1.BN.max(oracleGuardRails.priceDivergence.markOraclePercentDivergence, numericConstants_1.PERCENTAGE_PRECISION.div(new index_1.BN(10)));
+    const tooDivergent = oracleSpreadPct.abs().gte(maxDivergence);
     return tooDivergent;
 }
 exports.isOracleTooDivergent = isOracleTooDivergent;

package/lib/math/spotBalance.d.ts

@@ -67,6 +67,10 @@ export declare function calculateInterestAccumulated(bank: SpotMarketAccount, no
     borrowInterest: BN;
     depositInterest: BN;
 };
+export declare function calculateTokenUtilizationLimits(depositTokenAmount: BN, borrowTokenAmount: BN, spotMarket: SpotMarketAccount): {
+    minDepositTokensForUtilization: BN;
+    maxBorrowTokensForUtilization: BN;
+};
 export declare function calculateWithdrawLimit(spotMarket: SpotMarketAccount, now: BN): {
     borrowLimit: BN;
     withdrawLimit: BN;

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.calculateSpotMarketBorrowCapacity = exports.calculateUtilization = exports.calculateLiabilityWeight = exports.calculateAssetWeight = exports.getTokenValue = exports.getStrictTokenValue = exports.getSignedTokenAmount = exports.getTokenAmount = exports.getBalance = void 0;
+exports.calculateWithdrawLimit = exports.calculateTokenUtilizationLimits = exports.calculateInterestAccumulated = exports.calculateBorrowRate = exports.calculateDepositRate = exports.calculateInterestRate = exports.calculateSpotMarketBorrowCapacity = 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("@coral-xyz/anchor");
 const numericConstants_1 = require("../constants/numericConstants");
@@ -281,6 +281,27 @@ function calculateInterestAccumulated(bank, now) {
     return { borrowInterest, depositInterest };
 }
 exports.calculateInterestAccumulated = calculateInterestAccumulated;
+function calculateTokenUtilizationLimits(depositTokenAmount, borrowTokenAmount, spotMarket) {
+    // Calculates the allowable minimum deposit and maximum borrow amounts for immediate withdrawal based on market utilization.
+    // First, it determines a maximum withdrawal utilization from the market's target and historic utilization.
+    // Then, it deduces corresponding deposit/borrow amounts.
+    // Note: For deposit sizes below the guard threshold, withdrawals aren't blocked.
+    const maxWithdrawUtilization = anchor_1.BN.max(spotMarket.optimalUtilization, spotMarket.utilizationTwap.add(numericConstants_1.SPOT_MARKET_UTILIZATION_PRECISION.sub(spotMarket.utilizationTwap).div(new anchor_1.BN(2))));
+    let minDepositTokensForUtilization = borrowTokenAmount
+        .mul(numericConstants_1.SPOT_MARKET_UTILIZATION_PRECISION)
+        .div(maxWithdrawUtilization);
+    // don't block withdraws for deposit sizes below guard threshold
+    minDepositTokensForUtilization = anchor_1.BN.min(minDepositTokensForUtilization, depositTokenAmount.sub(spotMarket.withdrawGuardThreshold));
+    let maxBorrowTokensForUtilization = maxWithdrawUtilization
+        .mul(depositTokenAmount)
+        .div(numericConstants_1.SPOT_MARKET_UTILIZATION_PRECISION);
+    maxBorrowTokensForUtilization = anchor_1.BN.max(spotMarket.withdrawGuardThreshold, maxBorrowTokensForUtilization);
+    return {
+        minDepositTokensForUtilization,
+        maxBorrowTokensForUtilization,
+    };
+}
+exports.calculateTokenUtilizationLimits = calculateTokenUtilizationLimits;
 function calculateWithdrawLimit(spotMarket, now) {
     const marketDepositTokenAmount = getTokenAmount(spotMarket.depositBalance, spotMarket, types_1.SpotBalanceType.DEPOSIT);
     const marketBorrowTokenAmount = getTokenAmount(spotMarket.borrowBalance, spotMarket, types_1.SpotBalanceType.BORROW);
@@ -295,8 +316,12 @@ function calculateWithdrawLimit(spotMarket, now) {
         .mul(sinceStart)
         .add(marketDepositTokenAmount.mul(sinceLast))
         .div(sinceLast.add(sinceStart));
-    const maxBorrowTokens = anchor_1.BN.max(spotMarket.withdrawGuardThreshold, anchor_1.BN.min(anchor_1.BN.max(marketDepositTokenAmount.div(new anchor_1.BN(6)), borrowTokenTwapLive.add(marketDepositTokenAmount.div(new anchor_1.BN(10)))), marketDepositTokenAmount.sub(marketDepositTokenAmount.div(new anchor_1.BN(5))))); // between ~15-80% utilization with friction on twap
-    const minDepositTokens = depositTokenTwapLive.sub(anchor_1.BN.max(depositTokenTwapLive.div(new anchor_1.BN(4)), anchor_1.BN.min(spotMarket.withdrawGuardThreshold, depositTokenTwapLive)));
+    const lesserDepositAmount = anchor_1.BN.min(marketDepositTokenAmount, depositTokenTwapLive);
+    const maxBorrowTokensTwap = anchor_1.BN.max(spotMarket.withdrawGuardThreshold, anchor_1.BN.min(anchor_1.BN.max(marketDepositTokenAmount.div(new anchor_1.BN(6)), borrowTokenTwapLive.add(lesserDepositAmount.div(new anchor_1.BN(10)))), lesserDepositAmount.sub(lesserDepositAmount.div(new anchor_1.BN(5))))); // between ~15-80% utilization with friction on twap
+    const minDepositTokensTwap = depositTokenTwapLive.sub(anchor_1.BN.max(depositTokenTwapLive.div(new anchor_1.BN(4)), anchor_1.BN.min(spotMarket.withdrawGuardThreshold, depositTokenTwapLive)));
+    const { minDepositTokensForUtilization, maxBorrowTokensForUtilization } = calculateTokenUtilizationLimits(marketDepositTokenAmount, marketBorrowTokenAmount, spotMarket);
+    const minDepositTokens = anchor_1.BN.max(minDepositTokensForUtilization, minDepositTokensTwap);
+    const maxBorrowTokens = anchor_1.BN.min(maxBorrowTokensForUtilization, maxBorrowTokensTwap);
     const withdrawLimit = anchor_1.BN.max(marketDepositTokenAmount.sub(minDepositTokens), numericConstants_1.ZERO);
     let borrowLimit = maxBorrowTokens.sub(marketBorrowTokenAmount);
     borrowLimit = anchor_1.BN.min(borrowLimit, marketDepositTokenAmount.sub(marketBorrowTokenAmount));

package/lib/types.d.ts

@@ -1035,8 +1035,8 @@ export type OrderFillerRewardStructure = {
 };
 export type OracleGuardRails = {
     priceDivergence: {
-        markOracleDivergenceNumerator: BN;
-        markOracleDivergenceDenominator: BN;
+        markOraclePercentDivergence: BN;
+        oracleTwap5MinPercentDivergence: BN;
     };
     validity: {
         slotsBeforeStaleForAmm: BN;

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.33.1-beta.2",
+	"version": "2.33.1-beta.4",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/idl/drift.json

@@ -6900,11 +6900,11 @@
         "kind": "struct",
         "fields": [
           {
-            "name": "markOracleDivergenceNumerator",
+            "name": "markOraclePercentDivergence",
             "type": "u64"
           },
           {
-            "name": "markOracleDivergenceDenominator",
+            "name": "oracleTwap5minPercentDivergence",
             "type": "u64"
           }
         ]
@@ -7637,6 +7637,9 @@
           {
             "name": "Initial"
           },
+          {
+            "name": "Fill"
+          },
           {
             "name": "Maintenance"
           }

package/src/math/oracles.ts

@@ -7,6 +7,7 @@ import {
 	ONE,
 	ZERO,
 	FIVE_MINUTE,
+	PERCENTAGE_PRECISION,
 } from '../constants/numericConstants';
 import { BN, HistoricalOracleData, PerpMarketAccount } from '../index';
 import { assert } from '../assert/assert';
@@ -78,13 +79,12 @@ export function isOracleTooDivergent(
 	const oracleSpread = oracleTwap5min.sub(oraclePriceData.price);
 	const oracleSpreadPct = oracleSpread.mul(PRICE_PRECISION).div(oracleTwap5min);
 
-	const tooDivergent = oracleSpreadPct
-		.abs()
-		.gte(
-			BID_ASK_SPREAD_PRECISION.mul(
-				oracleGuardRails.priceDivergence.markOracleDivergenceNumerator
-			).div(oracleGuardRails.priceDivergence.markOracleDivergenceDenominator)
-		);
+	const maxDivergence = BN.max(
+		oracleGuardRails.priceDivergence.markOraclePercentDivergence,
+		PERCENTAGE_PRECISION.div(new BN(10))
+	);
+
+	const tooDivergent = oracleSpreadPct.abs().gte(maxDivergence);
 
 	return tooDivergent;
 }

package/src/math/spotBalance.ts

@@ -416,6 +416,53 @@ export function calculateInterestAccumulated(
 	return { borrowInterest, depositInterest };
 }
 
+export function calculateTokenUtilizationLimits(
+	depositTokenAmount: BN,
+	borrowTokenAmount: BN,
+	spotMarket: SpotMarketAccount
+): {
+	minDepositTokensForUtilization: BN;
+	maxBorrowTokensForUtilization: BN;
+} {
+	// Calculates the allowable minimum deposit and maximum borrow amounts for immediate withdrawal based on market utilization.
+	// First, it determines a maximum withdrawal utilization from the market's target and historic utilization.
+	// Then, it deduces corresponding deposit/borrow amounts.
+	// Note: For deposit sizes below the guard threshold, withdrawals aren't blocked.
+
+	const maxWithdrawUtilization = BN.max(
+		spotMarket.optimalUtilization,
+		spotMarket.utilizationTwap.add(
+			SPOT_MARKET_UTILIZATION_PRECISION.sub(spotMarket.utilizationTwap).div(
+				new BN(2)
+			)
+		)
+	);
+
+	let minDepositTokensForUtilization = borrowTokenAmount
+		.mul(SPOT_MARKET_UTILIZATION_PRECISION)
+		.div(maxWithdrawUtilization);
+
+	// don't block withdraws for deposit sizes below guard threshold
+	minDepositTokensForUtilization = BN.min(
+		minDepositTokensForUtilization,
+		depositTokenAmount.sub(spotMarket.withdrawGuardThreshold)
+	);
+
+	let maxBorrowTokensForUtilization = maxWithdrawUtilization
+		.mul(depositTokenAmount)
+		.div(SPOT_MARKET_UTILIZATION_PRECISION);
+
+	maxBorrowTokensForUtilization = BN.max(
+		spotMarket.withdrawGuardThreshold,
+		maxBorrowTokensForUtilization
+	);
+
+	return {
+		minDepositTokensForUtilization,
+		maxBorrowTokensForUtilization,
+	};
+}
+
 export function calculateWithdrawLimit(
 	spotMarket: SpotMarketAccount,
 	now: BN
@@ -451,24 +498,45 @@ export function calculateWithdrawLimit(
 		.add(marketDepositTokenAmount.mul(sinceLast))
 		.div(sinceLast.add(sinceStart));
 
-	const maxBorrowTokens = BN.max(
+	const lesserDepositAmount = BN.min(
+		marketDepositTokenAmount,
+		depositTokenTwapLive
+	);
+	const maxBorrowTokensTwap = BN.max(
 		spotMarket.withdrawGuardThreshold,
 		BN.min(
 			BN.max(
 				marketDepositTokenAmount.div(new BN(6)),
-				borrowTokenTwapLive.add(marketDepositTokenAmount.div(new BN(10)))
+				borrowTokenTwapLive.add(lesserDepositAmount.div(new BN(10)))
 			),
-			marketDepositTokenAmount.sub(marketDepositTokenAmount.div(new BN(5)))
+			lesserDepositAmount.sub(lesserDepositAmount.div(new BN(5)))
 		)
 	); // between ~15-80% utilization with friction on twap
 
-	const minDepositTokens = depositTokenTwapLive.sub(
+	const minDepositTokensTwap = depositTokenTwapLive.sub(
 		BN.max(
 			depositTokenTwapLive.div(new BN(4)),
 			BN.min(spotMarket.withdrawGuardThreshold, depositTokenTwapLive)
 		)
 	);
 
+	const { minDepositTokensForUtilization, maxBorrowTokensForUtilization } =
+		calculateTokenUtilizationLimits(
+			marketDepositTokenAmount,
+			marketBorrowTokenAmount,
+			spotMarket
+		);
+
+	const minDepositTokens = BN.max(
+		minDepositTokensForUtilization,
+		minDepositTokensTwap
+	);
+
+	const maxBorrowTokens = BN.min(
+		maxBorrowTokensForUtilization,
+		maxBorrowTokensTwap
+	);
+
 	const withdrawLimit = BN.max(
 		marketDepositTokenAmount.sub(minDepositTokens),
 		ZERO

package/src/types.ts

@@ -1013,8 +1013,8 @@ export type OrderFillerRewardStructure = {
 
 export type OracleGuardRails = {
 	priceDivergence: {
-		markOracleDivergenceNumerator: BN;
-		markOracleDivergenceDenominator: BN;
+		markOraclePercentDivergence: BN;
+		oracleTwap5MinPercentDivergence: BN;
 	};
 	validity: {
 		slotsBeforeStaleForAmm: BN;

package/tests/dlob/helpers.ts

@@ -511,8 +511,8 @@ export const mockStateAccount: StateAccount = {
 	liquidationDuration: 0,
 	oracleGuardRails: {
 		priceDivergence: {
-			markOracleDivergenceNumerator: new BN(0),
-			markOracleDivergenceDenominator: new BN(0),
+			markOraclePercentDivergence: new BN(0),
+			oracleTwap5MinPercentDivergence: new BN(0),
 		},
 		validity: {
 			slotsBeforeStaleForAmm: new BN(0),