@drift-labs/sdk 2.34.1-beta.2 → 2.34.1-beta.3

package/tests/spot/test.ts

@@ -3,14 +3,55 @@ import {
 	ZERO,
 	calculateSpotMarketBorrowCapacity,
 	SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION,
+	calculateSizePremiumLiabilityWeight,
 } from '../../src';
 import { mockSpotMarkets } from '../dlob/helpers';
+import * as _ from 'lodash';
 
 import { assert } from '../../src/assert/assert';
 
 describe('Spot Tests', () => {
+	it('size premium via imf factor', () => {
+		const maintLiabWgt = new BN(1.1 * 1e4);
+
+		const ans0 = calculateSizePremiumLiabilityWeight(
+			new BN(200000 * 1e9),
+			ZERO,
+			maintLiabWgt,
+			new BN(1e4)
+		);
+		assert(ans0.eq(maintLiabWgt));
+
+		const ans = calculateSizePremiumLiabilityWeight(
+			new BN(200000 * 1e9),
+			new BN(0.00055 * 1e6),
+			maintLiabWgt,
+			new BN(1e4)
+		);
+		assert(ans.eq(new BN('11259')));
+		assert(ans.gt(maintLiabWgt));
+
+		const ans2 = calculateSizePremiumLiabilityWeight(
+			new BN(10000 * 1e9),
+			new BN(0.003 * 1e6),
+			maintLiabWgt,
+			new BN(1e4)
+		);
+		assert(ans2.eq(new BN('11800')));
+		assert(ans.gt(maintLiabWgt));
+
+		const ans3 = calculateSizePremiumLiabilityWeight(
+			new BN(100000 * 1e9),
+			new BN(0.003 * 1e6),
+			maintLiabWgt,
+			new BN(1e4)
+		);
+		assert(ans3.eq(new BN('18286')));
+		assert(ans3.gt(maintLiabWgt));
+	});
+
 	it('base borrow capacity', () => {
-		const mockSpot = mockSpotMarkets[0];
+		const mockSpot = _.cloneDeep(mockSpotMarkets[0]);
 		mockSpot.maxBorrowRate = 1000000;
 		mockSpot.optimalBorrowRate = 100000;
 		mockSpot.optimalUtilization = 700000;
@@ -70,7 +111,7 @@ describe('Spot Tests', () => {
 	});
 
 	it('complex borrow capacity', () => {
-		const mockSpot = mockSpotMarkets[0];
+		const mockSpot = _.cloneDeep(mockSpotMarkets[0]);
 		mockSpot.maxBorrowRate = 1000000;
 		mockSpot.optimalBorrowRate = 70000;
 		mockSpot.optimalUtilization = 700000;

package/tests/user/helpers.ts

@@ -0,0 +1,89 @@
+import { PublicKey } from '@solana/web3.js';
+
+import {
+	SpotPosition,
+	SpotBalanceType,
+	Order,
+	OrderStatus,
+	MarketType,
+	OrderType,
+	PositionDirection,
+	OrderTriggerCondition,
+	UserStatus,
+	UserAccount,
+	ZERO,
+} from '../../src';
+
+import { mockPerpPosition } from '../dlob/helpers';
+
+export const mockOrder: Order = {
+	status: OrderStatus.INIT,
+	orderType: OrderType.MARKET,
+	marketType: MarketType.PERP,
+	slot: ZERO,
+	orderId: 0,
+	userOrderId: 0,
+	marketIndex: 0,
+	price: ZERO,
+	baseAssetAmount: ZERO,
+	baseAssetAmountFilled: ZERO,
+	quoteAssetAmount: ZERO,
+	quoteAssetAmountFilled: ZERO,
+	direction: PositionDirection.LONG,
+	reduceOnly: false,
+	triggerPrice: ZERO,
+	triggerCondition: OrderTriggerCondition.ABOVE,
+	existingPositionDirection: PositionDirection.LONG,
+	postOnly: false,
+	immediateOrCancel: false,
+	oraclePriceOffset: 0,
+	auctionDuration: 0,
+	auctionStartPrice: ZERO,
+	auctionEndPrice: ZERO,
+	maxTs: ZERO,
+};
+
+export const mockSpotPosition: SpotPosition = {
+	marketIndex: 0,
+	balanceType: SpotBalanceType.DEPOSIT,
+	scaledBalance: ZERO,
+	openOrders: 0,
+	openBids: ZERO,
+	openAsks: ZERO,
+	cumulativeDeposits: ZERO,
+};
+
+export const mockUserAccount: UserAccount = {
+	authority: PublicKey.default,
+	delegate: PublicKey.default,
+	name: [1],
+	subAccountId: 0,
+	spotPositions: Array.from({ length: 8 }, function () {
+		return Object.assign({}, mockSpotPosition);
+	}),
+	perpPositions: Array.from({ length: 8 }, function () {
+		return Object.assign({}, mockPerpPosition);
+	}),
+	orders: Array.from({ length: 8 }, function () {
+		return Object.assign({}, mockOrder);
+	}),
+	status: UserStatus.ACTIVE,
+	nextLiquidationId: 0,
+	nextOrderId: 0,
+	maxMarginRatio: 0,
+	lastAddPerpLpSharesTs: ZERO,
+	settledPerpPnl: ZERO,
+	totalDeposits: ZERO,
+	totalWithdraws: ZERO,
+	totalSocialLoss: ZERO,
+	cumulativePerpFunding: ZERO,
+	cumulativeSpotFees: ZERO,
+	liquidationMarginFreed: ZERO,
+	lastActiveSlot: ZERO,
+	isMarginTradingEnabled: true,
+	idle: false,
+	openOrders: 0,
+	hasOpenOrder: false,
+	openAuctions: 0,
+	hasOpenAuction: false,
+};

package/tests/user/test.ts

@@ -0,0 +1,286 @@
+import {
+	BN,
+	ZERO,
+	User,
+	UserAccount,
+	PublicKey,
+	PerpMarketAccount,
+	SpotMarketAccount,
+	PRICE_PRECISION,
+	OraclePriceData,
+	BASE_PRECISION,
+	QUOTE_PRECISION,
+	calculatePositionPNL,
+	SPOT_MARKET_BALANCE_PRECISION,
+} from '../../src';
+import { MockUserMap, mockPerpMarkets, mockSpotMarkets } from '../dlob/helpers';
+import { assert } from '../../src/assert/assert';
+import { mockUserAccount } from './helpers';
+import * as _ from 'lodash';
+
+async function makeMockUser(
+	myMockPerpMarkets,
+	myMockSpotMarkets,
+	myMockUserAccount,
+	perpOraclePriceList,
+	spotOraclePriceList
+): Promise<User> {
+	const umap = new MockUserMap();
+	const mockUser: User = await umap.mustGet('1');
+	mockUser._isSubscribed = true;
+	mockUser.driftClient._isSubscribed = true;
+	const oraclePriceMap = {};
+	// console.log(perpOraclePriceList, myMockPerpMarkets.length);
+	// console.log(spotOraclePriceList, myMockSpotMarkets.length);
+
+	for (let i = 0; i < myMockPerpMarkets.length; i++) {
+		oraclePriceMap[myMockPerpMarkets[i].amm.oracle.toString()] =
+			perpOraclePriceList[i];
+	}
+	for (let i = 0; i < myMockSpotMarkets.length; i++) {
+		oraclePriceMap[myMockSpotMarkets[i].oracle.toString()] =
+			spotOraclePriceList[i];
+	}
+	// console.log(oraclePriceMap);
+
+	function getMockUserAccount(): UserAccount {
+		return myMockUserAccount;
+	}
+	function getMockPerpMarket(marketIndex): PerpMarketAccount {
+		return myMockPerpMarkets[marketIndex];
+	}
+	function getMockSpotMarket(marketIndex): SpotMarketAccount {
+		return myMockSpotMarkets[marketIndex];
+	}
+	function getMockOracle(oracleKey: PublicKey) {
+		// console.log('oracleKey.toString():', oracleKey.toString());
+		// console.log(
+		// 	'oraclePriceMap[oracleKey.toString()]:',
+		// 	oraclePriceMap[oracleKey.toString()]
+		// );
+
+		const QUOTE_ORACLE_PRICE_DATA: OraclePriceData = {
+			price: new BN(
+				oraclePriceMap[oracleKey.toString()] * PRICE_PRECISION.toNumber()
+			),
+			slot: new BN(0),
+			confidence: new BN(1),
+			hasSufficientNumberOfDataPoints: true,
+		};
+
+		return {
+			data: QUOTE_ORACLE_PRICE_DATA,
+			slot: 0,
+		};
+	}
+
+	mockUser.getUserAccount = getMockUserAccount;
+	mockUser.driftClient.getPerpMarketAccount = getMockPerpMarket;
+	mockUser.driftClient.getSpotMarketAccount = getMockSpotMarket;
+	mockUser.driftClient.getOraclePriceDataAndSlot = getMockOracle;
+	return mockUser;
+}
+
+describe('User Tests', () => {
+	it('empty user account', async () => {
+		console.log(mockSpotMarkets[0]);
+		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
+		const myMockSpotMarkets = _.cloneDeep(mockSpotMarkets);
+		const myMockUserAccount = _.cloneDeep(mockUserAccount);
+		console.log(
+			'spot cumulativeDepositInterest:',
+			mockSpotMarkets[0].cumulativeDepositInterest.toString()
+		);
+		const mockUser: User = await makeMockUser(
+			myMockPerpMarkets,
+			myMockSpotMarkets,
+			myMockUserAccount,
+			[1, 1, 1, 1, 1, 1, 1, 1],
+			[1, 1, 1, 1, 1, 1, 1, 1]
+		);
+		const uA = mockUser.getUserAccount();
+		assert(uA.idle == false);
+		console.log(
+			'spot cumulativeDepositInterest:',
+			myMockSpotMarkets[0].cumulativeDepositInterest.toString()
+		);
+		assert(mockUser.getFreeCollateral().eq(ZERO));
+
+		console.log(mockUser.getHealth());
+		assert(mockUser.getHealth() == 100);
+
+		console.log(mockUser.getMaxLeverageForPerp(0));
+		assert(mockUser.getMaxLeverageForPerp(0).eq(ZERO));
+	});
+
+	it('user account unsettled pnl', async () => {
+		// no collateral, but positive upnl no liability
+		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
+		const myMockSpotMarkets = _.cloneDeep(mockSpotMarkets);
+		const myMockUserAccount = _.cloneDeep(mockUserAccount);
+
+		myMockUserAccount.perpPositions[0].baseAssetAmount = new BN(
+			0 * BASE_PRECISION.toNumber()
+		);
+		myMockUserAccount.perpPositions[0].quoteAssetAmount = new BN(
+			10 * QUOTE_PRECISION.toNumber()
+		);
+		assert(
+			myMockUserAccount.perpPositions[0].quoteAssetAmount.eq(new BN('10000000'))
+		); // $10
+
+		const mockUser: User = await makeMockUser(
+			myMockPerpMarkets,
+			myMockSpotMarkets,
+			myMockUserAccount,
+			[1, 1, 1, 1, 1, 1, 1, 1],
+			[1, 1, 1, 1, 1, 1, 1, 1]
+		);
+		const uA = mockUser.getUserAccount();
+		assert(uA.idle == false);
+		const activePerps = mockUser.getActivePerpPositions();
+		assert(activePerps.length == 1);
+		assert(uA.perpPositions[0].quoteAssetAmount.eq(new BN('10000000'))); // $10
+		assert(mockUser.getFreeCollateral().eq(ZERO));
+
+		const quotePrice = mockUser.driftClient.getOracleDataForSpotMarket(0).price;
+		console.log('quotePrice:', quotePrice.toString());
+		assert(quotePrice.eq(new BN('1000000')));
+		const pnl1 = calculatePositionPNL(
+			myMockPerpMarkets[0],
+			activePerps[0],
+			false,
+			mockUser.driftClient.getOracleDataForPerpMarket(0)
+		);
+		console.log('pnl1:', pnl1.toString());
+		assert(pnl1.eq(new BN('10000000')));
+
+		const upnl = mockUser.getUnrealizedPNL(false, undefined, undefined, false);
+		console.log('upnl:', upnl.toString());
+		assert(upnl.eq(new BN('10000000'))); // $10
+
+		const liqResult = mockUser.canBeLiquidated();
+		console.log(liqResult);
+		assert(liqResult.canBeLiquidated == false);
+		assert(liqResult.marginRequirement.eq(ZERO));
+		assert(liqResult.totalCollateral.eq(ZERO));
+
+		console.log(mockUser.getHealth());
+		assert(mockUser.getHealth() == 100);
+
+		console.log(mockUser.getMaxLeverageForPerp(0));
+		assert(mockUser.getMaxLeverageForPerp(0).eq(ZERO));
+	});
+
+	it('liquidatable long user account', async () => {
+		// no collateral, but positive upnl w/ liability
+
+		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
+		const myMockSpotMarkets = _.cloneDeep(mockSpotMarkets);
+		const myMockUserAccount = _.cloneDeep(mockUserAccount);
+		myMockUserAccount.perpPositions[0].baseAssetAmount = new BN(
+			20 * BASE_PRECISION.toNumber()
+		);
+		myMockUserAccount.perpPositions[0].quoteAssetAmount = new BN(
+			-10 * QUOTE_PRECISION.toNumber()
+		);
+
+		const mockUser: User = await makeMockUser(
+			myMockPerpMarkets,
+			myMockSpotMarkets,
+			myMockUserAccount,
+			[1, 1, 1, 1, 1, 1, 1, 1],
+			[1, 1, 1, 1, 1, 1, 1, 1]
+		);
+		const uA = mockUser.getUserAccount();
+		assert(uA.idle == false);
+
+		assert(mockUser.getFreeCollateral().eq(ZERO));
+		const upnl = mockUser.getUnrealizedPNL(true, 0, undefined, false);
+		console.log('upnl:', upnl.toString());
+		assert(upnl.eq(new BN('10000000'))); // $10
+
+		const liqResult = mockUser.canBeLiquidated();
+		console.log(liqResult);
+		assert(liqResult.canBeLiquidated == true);
+		assert(liqResult.marginRequirement.eq(new BN('2000000'))); //10x maint leverage
+		assert(liqResult.totalCollateral.eq(ZERO));
+
+		console.log(mockUser.getHealth());
+		assert(mockUser.getHealth() == 0);
+
+		console.log(mockUser.getMaxLeverageForPerp(0));
+		assert(mockUser.getMaxLeverageForPerp(0).eq(new BN('20000')));
+	});
+
+	it('large usdc user account', async () => {
+		// no collateral, but positive upnl w/ liability
+
+		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
+		const myMockSpotMarkets = _.cloneDeep(mockSpotMarkets);
+		const myMockUserAccount = _.cloneDeep(mockUserAccount);
+
+		myMockPerpMarkets[0].imfFactor = 550;
+		myMockUserAccount.spotPositions[0].scaledBalance = new BN(
+			100000 * SPOT_MARKET_BALANCE_PRECISION.toNumber()
+		); //100k
+
+		const mockUser: User = await makeMockUser(
+			myMockPerpMarkets,
+			myMockSpotMarkets,
+			myMockUserAccount,
+			[1, 1, 1, 1, 1, 1, 1, 1],
+			[1, 1, 1, 1, 1, 1, 1, 1]
+		);
+		const uA = mockUser.getUserAccount();
+		assert(uA.idle == false);
+
+		assert(uA.perpPositions[0].baseAssetAmount.eq(ZERO));
+		assert(uA.perpPositions[0].quoteAssetAmount.eq(ZERO));
+		assert(mockUser.getActivePerpPositions().length == 0);
+
+		assert(
+			uA.spotPositions[0].scaledBalance.eq(
+				new BN(100000 * SPOT_MARKET_BALANCE_PRECISION.toNumber())
+			)
+		);
+		for (let i = 1; i < 8; i++) {
+			assert(uA.spotPositions[i].scaledBalance.eq(ZERO));
+		}
+		console.log(
+			'mockUser.getTokenAmount():',
+			mockUser.getTokenAmount(0).toString()
+		);
+		console.log(
+			'spot cumulativeDepositInterest:',
+			mockSpotMarkets[0].cumulativeDepositInterest.toString()
+		);
+		assert(mockUser.getTokenAmount(0).eq(new BN('10000000000')));
+		assert(mockUser.getNetSpotMarketValue().eq(new BN('10000000000')));
+		assert(
+			mockUser
+				.getSpotMarketAssetAndLiabilityValue()
+				.totalLiabilityValue.eq(ZERO)
+		);
+
+		assert(mockUser.getFreeCollateral().eq(ZERO));
+		const upnl = mockUser.getUnrealizedPNL(true, 0, undefined, false);
+		console.log('upnl:', upnl.toString());
+		assert(upnl.eq(new BN('0'))); // $10
+
+		const liqResult = mockUser.canBeLiquidated();
+		console.log(liqResult);
+		assert(liqResult.canBeLiquidated == false);
+		assert(liqResult.marginRequirement.eq(new BN('0'))); //10x maint leverage
+		assert(liqResult.totalCollateral.eq(ZERO));
+
+		console.log(mockUser.getHealth());
+		assert(mockUser.getHealth() == 100);
+
+		console.log(
+			'getMaxLeverageForPerp:',
+			mockUser.getMaxLeverageForPerp(0).toString()
+		);
+		assert(mockUser.getMaxLeverageForPerp(0).eq(new BN('0')));
+	});
+});