@drift-labs/sdk 2.37.1-beta.1 → 2.37.1-beta.3

package/src/user.ts

@@ -1196,116 +1196,157 @@ export class User {
 		return health;
 	}
 
-	/**
-	 * calculates sum of position value across all positions in margin system
-	 * @returns : Precision QUOTE_PRECISION
-	 */
-	getTotalPerpPositionValue(
+	calculateWeightedPerpPositionValue(
+		perpPosition: PerpPosition,
 		marginCategory?: MarginCategory,
 		liquidationBuffer?: BN,
 		includeOpenOrders?: boolean,
 		strict = false
 	): BN {
-		return this.getActivePerpPositions().reduce(
-			(totalPerpValue, perpPosition) => {
-				const market = this.driftClient.getPerpMarketAccount(
-					perpPosition.marketIndex
-				);
+		const market = this.driftClient.getPerpMarketAccount(
+			perpPosition.marketIndex
+		);
 
-				if (perpPosition.lpShares.gt(ZERO)) {
-					// is an lp, clone so we dont mutate the position
-					perpPosition = this.getPerpPositionWithLPSettle(
-						market.marketIndex,
-						this.getClonedPosition(perpPosition),
-						!!marginCategory
-					)[0];
-				}
+		if (perpPosition.lpShares.gt(ZERO)) {
+			// is an lp, clone so we dont mutate the position
+			perpPosition = this.getPerpPositionWithLPSettle(
+				market.marketIndex,
+				this.getClonedPosition(perpPosition),
+				!!marginCategory
+			)[0];
+		}
 
-				let valuationPrice = this.getOracleDataForPerpMarket(
-					market.marketIndex
-				).price;
+		let valuationPrice = this.getOracleDataForPerpMarket(
+			market.marketIndex
+		).price;
 
-				if (isVariant(market.status, 'settlement')) {
-					valuationPrice = market.expiryPrice;
-				}
+		if (isVariant(market.status, 'settlement')) {
+			valuationPrice = market.expiryPrice;
+		}
 
-				const baseAssetAmount = includeOpenOrders
-					? calculateWorstCaseBaseAssetAmount(perpPosition)
-					: perpPosition.baseAssetAmount;
+		const baseAssetAmount = includeOpenOrders
+			? calculateWorstCaseBaseAssetAmount(perpPosition)
+			: perpPosition.baseAssetAmount;
 
-				let baseAssetValue = baseAssetAmount
-					.abs()
-					.mul(valuationPrice)
-					.div(AMM_TO_QUOTE_PRECISION_RATIO.mul(PRICE_PRECISION));
-
-				if (marginCategory) {
-					let marginRatio = new BN(
-						calculateMarketMarginRatio(
-							market,
-							baseAssetAmount.abs(),
-							marginCategory
-						)
-					);
+		let baseAssetValue = baseAssetAmount
+			.abs()
+			.mul(valuationPrice)
+			.div(AMM_TO_QUOTE_PRECISION_RATIO.mul(PRICE_PRECISION));
 
-					if (marginCategory === 'Initial') {
-						marginRatio = BN.max(
-							marginRatio,
-							new BN(this.getUserAccount().maxMarginRatio)
-						);
-					}
+		if (marginCategory) {
+			let marginRatio = new BN(
+				calculateMarketMarginRatio(
+					market,
+					baseAssetAmount.abs(),
+					marginCategory
+				)
+			);
 
-					if (liquidationBuffer !== undefined) {
-						marginRatio = marginRatio.add(liquidationBuffer);
-					}
+			if (marginCategory === 'Initial') {
+				marginRatio = BN.max(
+					marginRatio,
+					new BN(this.getUserAccount().maxMarginRatio)
+				);
+			}
 
-					if (isVariant(market.status, 'settlement')) {
-						marginRatio = ZERO;
-					}
+			if (liquidationBuffer !== undefined) {
+				marginRatio = marginRatio.add(liquidationBuffer);
+			}
 
-					const quoteSpotMarket = this.driftClient.getSpotMarketAccount(
-						market.quoteSpotMarketIndex
-					);
-					const quoteOraclePriceData =
-						this.driftClient.getOraclePriceDataAndSlot(
-							quoteSpotMarket.oracle
-						).data;
-
-					let quotePrice;
-					if (strict) {
-						quotePrice = BN.max(
-							quoteOraclePriceData.price,
-							quoteSpotMarket.historicalOracleData.lastOraclePriceTwap5Min
-						);
-					} else {
-						quotePrice = quoteOraclePriceData.price;
-					}
+			if (isVariant(market.status, 'settlement')) {
+				marginRatio = ZERO;
+			}
+
+			const quoteSpotMarket = this.driftClient.getSpotMarketAccount(
+				market.quoteSpotMarketIndex
+			);
+			const quoteOraclePriceData = this.driftClient.getOraclePriceDataAndSlot(
+				quoteSpotMarket.oracle
+			).data;
+
+			let quotePrice;
+			if (strict) {
+				quotePrice = BN.max(
+					quoteOraclePriceData.price,
+					quoteSpotMarket.historicalOracleData.lastOraclePriceTwap5Min
+				);
+			} else {
+				quotePrice = quoteOraclePriceData.price;
+			}
 
-					baseAssetValue = baseAssetValue
-						.mul(quotePrice)
-						.div(PRICE_PRECISION)
-						.mul(marginRatio)
-						.div(MARGIN_PRECISION);
+			baseAssetValue = baseAssetValue
+				.mul(quotePrice)
+				.div(PRICE_PRECISION)
+				.mul(marginRatio)
+				.div(MARGIN_PRECISION);
 
-					if (includeOpenOrders) {
-						baseAssetValue = baseAssetValue.add(
-							new BN(perpPosition.openOrders).mul(OPEN_ORDER_MARGIN_REQUIREMENT)
-						);
+			if (includeOpenOrders) {
+				baseAssetValue = baseAssetValue.add(
+					new BN(perpPosition.openOrders).mul(OPEN_ORDER_MARGIN_REQUIREMENT)
+				);
 
-						if (perpPosition.lpShares.gt(ZERO)) {
-							baseAssetValue = baseAssetValue.add(
-								BN.max(
-									QUOTE_PRECISION,
-									valuationPrice
-										.mul(market.amm.orderStepSize)
-										.mul(QUOTE_PRECISION)
-										.div(AMM_RESERVE_PRECISION)
-										.div(PRICE_PRECISION)
-								)
-							);
-						}
-					}
+				if (perpPosition.lpShares.gt(ZERO)) {
+					baseAssetValue = baseAssetValue.add(
+						BN.max(
+							QUOTE_PRECISION,
+							valuationPrice
+								.mul(market.amm.orderStepSize)
+								.mul(QUOTE_PRECISION)
+								.div(AMM_RESERVE_PRECISION)
+								.div(PRICE_PRECISION)
+						)
+					);
 				}
+			}
+		}
+
+		return baseAssetValue;
+	}
 
+	/**
+	 * calculates position value of a single perp market in margin system
+	 * @returns : Precision QUOTE_PRECISION
+	 */
+	public getPerpMarketLiabilityValue(
+		marketIndex: number,
+		marginCategory?: MarginCategory,
+		liquidationBuffer?: BN,
+		includeOpenOrders?: boolean,
+		strict = false
+	): BN {
+		const perpPosition = this.getPerpPosition(marketIndex);
+		if (!perpPosition) {
+			return ZERO;
+		} else {
+			return this.calculateWeightedPerpPositionValue(
+				perpPosition,
+				marginCategory,
+				liquidationBuffer,
+				includeOpenOrders,
+				strict
+			);
+		}
+	}
+
+	/**
+	 * calculates sum of position value across all positions in margin system
+	 * @returns : Precision QUOTE_PRECISION
+	 */
+	getTotalPerpPositionValue(
+		marginCategory?: MarginCategory,
+		liquidationBuffer?: BN,
+		includeOpenOrders?: boolean,
+		strict = false
+	): BN {
+		return this.getActivePerpPositions().reduce(
+			(totalPerpValue, perpPosition) => {
+				const baseAssetValue = this.calculateWeightedPerpPositionValue(
+					perpPosition,
+					marginCategory,
+					liquidationBuffer,
+					includeOpenOrders,
+					strict
+				);
 				return totalPerpValue.add(baseAssetValue);
 			},
 			ZERO

package/tests/amm/test.ts

@@ -12,7 +12,7 @@ import {
 	calculateInventoryScale,
 	calculateAllEstimatedFundingRate,
 	calculateLongShortFundingRateAndLiveTwaps,
-	OraclePriceData
+	OraclePriceData,
 } from '../../src';
 import { mockPerpMarkets } from '../dlob/helpers';
 
@@ -408,33 +408,51 @@ describe('AMM Tests', () => {
 			confidence: new BN(1),
 			hasSufficientNumberOfDataPoints: true,
 		};
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(1.9535 * PRICE_PRECISION.toNumber());
+		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+			1.9535 * PRICE_PRECISION.toNumber()
+		);
 
 		// mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3);
 
-		mockMarket1.amm.lastMarkPriceTwap = new BN(1.945594 * PRICE_PRECISION.toNumber());
-		mockMarket1.amm.lastBidPriceTwap = new BN(1.941629 * PRICE_PRECISION.toNumber());
-		mockMarket1.amm.lastAskPriceTwap = new BN(1.94956 * PRICE_PRECISION.toNumber());
+		mockMarket1.amm.lastMarkPriceTwap = new BN(
+			1.945594 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.lastBidPriceTwap = new BN(
+			1.941629 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.lastAskPriceTwap = new BN(
+			1.94956 * PRICE_PRECISION.toNumber()
+		);
 		mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688877729);
 
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN(1.942449 * PRICE_PRECISION.toNumber());
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN(1688878333);
-
-		const [_markTwapLive, _oracleTwapLive, _lowerboundEst, _cappedAltEst, _interpEst] =
-			await calculateAllEstimatedFundingRate(
-				mockMarket1,
-				oraclePriceData,
-				currentMarkPrice,
-				now
-			);
+		mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN(
+			1.942449 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN(
+			1688878333
+		);
 
-		const [markTwapLive, oracleTwapLive, est1, est2] = await calculateLongShortFundingRateAndLiveTwaps(
+		const [
+			_markTwapLive,
+			_oracleTwapLive,
+			_lowerboundEst,
+			_cappedAltEst,
+			_interpEst,
+		] = await calculateAllEstimatedFundingRate(
 			mockMarket1,
 			oraclePriceData,
 			currentMarkPrice,
 			now
 		);
 
+		const [markTwapLive, oracleTwapLive, est1, est2] =
+			await calculateLongShortFundingRateAndLiveTwaps(
+				mockMarket1,
+				oraclePriceData,
+				currentMarkPrice,
+				now
+			);
+
 		// console.log(markTwapLive.toString());
 		// console.log(oracleTwapLive.toString());
 		// console.log(est1.toString());
@@ -444,7 +462,6 @@ describe('AMM Tests', () => {
 		assert(oracleTwapLive.eq(new BN('1942510')));
 		assert(est1.eq(new BN('15692')));
 		assert(est2.eq(new BN('15692')));
-
 	});
 
 	it('predicted funding rate mock2', async () => {
@@ -464,25 +481,42 @@ describe('AMM Tests', () => {
 			confidence: new BN(1),
 			hasSufficientNumberOfDataPoints: true,
 		};
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(1.9535 * PRICE_PRECISION.toNumber());
+		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+			1.9535 * PRICE_PRECISION.toNumber()
+		);
 
 		// mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3);
 
-		mockMarket1.amm.lastMarkPriceTwap = new BN(1.218363 * PRICE_PRECISION.toNumber());
-		mockMarket1.amm.lastBidPriceTwap = new BN(1.218363 * PRICE_PRECISION.toNumber());
-		mockMarket1.amm.lastAskPriceTwap = new BN(1.218364 * PRICE_PRECISION.toNumber());
+		mockMarket1.amm.lastMarkPriceTwap = new BN(
+			1.218363 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.lastBidPriceTwap = new BN(
+			1.218363 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.lastAskPriceTwap = new BN(
+			1.218364 * PRICE_PRECISION.toNumber()
+		);
 		mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688878815);
 
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN(1.220964 * PRICE_PRECISION.toNumber());
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN(1688879991);
+		mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN(
+			1.220964 * PRICE_PRECISION.toNumber()
+		);
+		mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN(
+			1688879991
+		);
 
-		const [_markTwapLive, _oracleTwapLive, _lowerboundEst, _cappedAltEst, _interpEst] =
-			await calculateAllEstimatedFundingRate(
-				mockMarket1,
-				oraclePriceData,
-				currentMarkPrice,
-				now
-			);
+		const [
+			_markTwapLive,
+			_oracleTwapLive,
+			_lowerboundEst,
+			_cappedAltEst,
+			_interpEst,
+		] = await calculateAllEstimatedFundingRate(
+			mockMarket1,
+			oraclePriceData,
+			currentMarkPrice,
+			now
+		);
 
 		// console.log(_markTwapLive.toString());
 		// console.log(_oracleTwapLive.toString());
@@ -491,21 +525,31 @@ describe('AMM Tests', () => {
 		// console.log(_interpEst.toString());
 		// console.log('-----');
 
-		const [markTwapLive, oracleTwapLive, est1, est2] = await calculateLongShortFundingRateAndLiveTwaps(
-			mockMarket1,
-			oraclePriceData,
-			currentMarkPrice,
-			now
-		);
+		const [markTwapLive, oracleTwapLive, est1, est2] =
+			await calculateLongShortFundingRateAndLiveTwaps(
+				mockMarket1,
+				oraclePriceData,
+				currentMarkPrice,
+				now
+			);
 
-		console.log('markTwapLive:', mockMarket1.amm.lastMarkPriceTwap.toString(), '->', markTwapLive.toString());
-		console.log('oracTwapLive:', mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(), '->', oracleTwapLive.toString());
+		console.log(
+			'markTwapLive:',
+			mockMarket1.amm.lastMarkPriceTwap.toString(),
+			'->',
+			markTwapLive.toString()
+		);
+		console.log(
+			'oracTwapLive:',
+			mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(),
+			'->',
+			oracleTwapLive.toString()
+		);
 		console.log('pred funding:', est1.toString(), est2.toString());
 
 		assert(markTwapLive.eq(new BN('1222131')));
 		assert(oracleTwapLive.eq(new BN('1222586')));
 		assert(est1.eq(est2));
 		assert(est2.eq(new BN('-1550')));
-
 	});
 });

package/tests/dlob/test.ts

@@ -23,7 +23,7 @@ import {
 	convertToNumber,
 	QUOTE_PRECISION,
 	isVariant,
-	TWO
+	TWO,
 } from '../../src';
 
 import { mockPerpMarkets, mockSpotMarkets, mockStateAccount } from './helpers';
@@ -137,11 +137,16 @@ function printOrderNode(
 	slot: number | undefined
 ) {
 	console.log(
-		` . vAMMNode? ${node.isVammNode()},\t${node.order ? getVariant(node.order?.orderType) : '~'
-		} ${node.order ? getVariant(node.order?.direction) : '~'}\t, slot: ${node.order?.slot.toString() || '~'
-		}, orderId: ${node.order?.orderId.toString() || '~'},\tnode.getPrice: ${oracle ? node.getPrice(oracle, slot!) : '~'
-		}, node.price: ${node.order?.price.toString() || '~'}, priceOffset: ${node.order?.oraclePriceOffset.toString() || '~'
-		} quantity: ${node.order?.baseAssetAmountFilled.toString() || '~'}/${node.order?.baseAssetAmount.toString() || '~'
+		` . vAMMNode? ${node.isVammNode()},\t${
+			node.order ? getVariant(node.order?.orderType) : '~'
+		} ${node.order ? getVariant(node.order?.direction) : '~'}\t, slot: ${
+			node.order?.slot.toString() || '~'
+		}, orderId: ${node.order?.orderId.toString() || '~'},\tnode.getPrice: ${
+			oracle ? node.getPrice(oracle, slot!) : '~'
+		}, node.price: ${node.order?.price.toString() || '~'}, priceOffset: ${
+			node.order?.oraclePriceOffset.toString() || '~'
+		} quantity: ${node.order?.baseAssetAmountFilled.toString() || '~'}/${
+			node.order?.baseAssetAmount.toString() || '~'
 		}`
 	);
 }
@@ -188,7 +193,8 @@ function printBookState(
 
 function printCrossedNodes(n: NodeToFill, slot: number) {
 	console.log(
-		`Cross Found, takerExists: ${n.node.order !== undefined}, makerExists: ${n.makerNodes !== undefined
+		`Cross Found, takerExists: ${n.node.order !== undefined}, makerExists: ${
+			n.makerNodes !== undefined
 		}`
 	);
 	console.log(
@@ -210,8 +216,10 @@ function printCrossedNodes(n: NodeToFill, slot: number) {
 		console.log(
 			`  orderId: ${o.orderId}, ${getVariant(o.orderType)}, ${getVariant(
 				o.direction
-			)},\texpired: ${isOrderExpired(o, slot)}, postOnly: ${o.postOnly
-			}, reduceOnly: ${o.reduceOnly
+			)},\texpired: ${isOrderExpired(o, slot)}, postOnly: ${
+				o.postOnly
+			}, reduceOnly: ${
+				o.reduceOnly
 			}, price: ${o.price.toString()}, priceOffset: ${o.oraclePriceOffset.toString()}, baseAmtFileld: ${o.baseAssetAmountFilled.toString()}/${o.baseAssetAmount.toString()}`
 		);
 	};
@@ -5790,10 +5798,7 @@ describe('DLOB Spot Tests', () => {
 			slot,
 			oraclePriceData: oracle,
 		});
-		const quoteAmtOut = convertToNumber(
-			out,
-			QUOTE_PRECISION
-		);
+		const quoteAmtOut = convertToNumber(out, QUOTE_PRECISION);
 
 		// 1 * 20.69 + 2 * 20.70 + 1 * 20.71 = 82.8
 		expect(quoteAmtOut === 82.8).to.be.true;
@@ -5882,10 +5887,7 @@ describe('DLOB Spot Tests', () => {
 			slot,
 			oraclePriceData: oracle,
 		});
-		const quoteAmtOut = convertToNumber(
-			out,
-			QUOTE_PRECISION
-		);
+		const quoteAmtOut = convertToNumber(out, QUOTE_PRECISION);
 
 		// 1 * 20.69 + 2 * 20.68 + 1 * 20.67 = 82.72
 		expect(quoteAmtOut === 82.72).to.be.true;