@drift-labs/sdk 2.40.0-beta.3 → 2.40.0-beta.4

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Files changed (4) hide show
  1. package/VERSION +1 -1
  2. package/lib/math/amm.js +7 -2
  3. package/package.json +1 -1
  4. package/src/math/amm.ts +9 -2
package/VERSION CHANGED
@@ -1 +1 @@
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- 2.40.0-beta.3
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+ 2.40.0-beta.4
package/lib/math/amm.js CHANGED
@@ -253,8 +253,13 @@ function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleSt
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  const clampMax = numericConstants_1.PERCENTAGE_PRECISION.mul(new anchor_1.BN(16)).div(new anchor_1.BN(10));
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  const longVolSpreadFactor = (0, __1.clampBN)(longIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
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  const shortVolSpreadFactor = (0, __1.clampBN)(shortIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
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- const longVolSpread = anchor_1.BN.max(lastOracleConfPct, volSpread.mul(longVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
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- const shortVolSpread = anchor_1.BN.max(lastOracleConfPct, volSpread.mul(shortVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
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+ // only consider confidence interval at full value when above 25 bps
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+ let confComponent = lastOracleConfPct;
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+ if (lastOracleConfPct.lte(numericConstants_1.PRICE_PRECISION.div(new anchor_1.BN(400)))) {
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+ confComponent = lastOracleConfPct.div(new anchor_1.BN(10));
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+ }
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+ const longVolSpread = anchor_1.BN.max(confComponent, volSpread.mul(longVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
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+ const shortVolSpread = anchor_1.BN.max(confComponent, volSpread.mul(shortVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
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  return [longVolSpread, shortVolSpread];
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  }
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  exports.calculateVolSpreadBN = calculateVolSpreadBN;
package/package.json CHANGED
@@ -1,6 +1,6 @@
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  {
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  "name": "@drift-labs/sdk",
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- "version": "2.40.0-beta.3",
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+ "version": "2.40.0-beta.4",
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  "main": "lib/index.js",
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  "types": "lib/index.d.ts",
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  "author": "crispheaney",
package/src/math/amm.ts CHANGED
@@ -471,12 +471,19 @@ export function calculateVolSpreadBN(
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  clampMax
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  );
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+ // only consider confidence interval at full value when above 25 bps
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+ let confComponent = lastOracleConfPct;
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+
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+ if (lastOracleConfPct.lte(PRICE_PRECISION.div(new BN(400)))) {
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+ confComponent = lastOracleConfPct.div(new BN(10));
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+ }
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+
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  const longVolSpread = BN.max(
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- lastOracleConfPct,
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+ confComponent,
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  volSpread.mul(longVolSpreadFactor).div(PERCENTAGE_PRECISION)
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  );
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  const shortVolSpread = BN.max(
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- lastOracleConfPct,
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+ confComponent,
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  volSpread.mul(shortVolSpreadFactor).div(PERCENTAGE_PRECISION)
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  );
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