@drift-labs/sdk 2.40.0-beta.3 → 2.40.0-beta.5

package/VERSION

@@ -1 +1 @@
-2.40.0-beta.3
+2.40.0-beta.5

package/lib/idl/drift.json

@@ -6314,6 +6314,24 @@
                 ]
             }
         },
+        {
+            "name": "MarketIdentifier",
+            "type": {
+                "kind": "struct",
+                "fields": [
+                    {
+                        "name": "marketType",
+                        "type": {
+                            "defined": "MarketType"
+                        }
+                    },
+                    {
+                        "name": "marketIndex",
+                        "type": "u16"
+                    }
+                ]
+            }
+        },
         {
             "name": "HistoricalOracleData",
             "type": {
@@ -8198,6 +8216,34 @@
                 ]
             }
         },
+        {
+            "name": "MarginCalculationMode",
+            "type": {
+                "kind": "enum",
+                "variants": [
+                    {
+                        "name": "Standard"
+                    },
+                    {
+                        "name": "Liquidation",
+                        "fields": [
+                            {
+                                "name": "margin_buffer",
+                                "type": "u128"
+                            },
+                            {
+                                "name": "market_to_track_margin_requirement",
+                                "type": {
+                                    "option": {
+                                        "defined": "MarketIdentifier"
+                                    }
+                                }
+                            }
+                        ]
+                    }
+                ]
+            }
+        },
         {
             "name": "OracleSource",
             "type": {
@@ -10781,6 +10827,11 @@
             "code": 6254,
             "name": "UserReduceOnly",
             "msg": "UserReduceOnly"
+        },
+        {
+            "code": 6255,
+            "name": "InvalidMarginCalculation",
+            "msg": "InvalidMarginCalculation"
         }
     ]
 }

package/lib/math/amm.js

@@ -253,8 +253,13 @@ function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleSt
     const clampMax = numericConstants_1.PERCENTAGE_PRECISION.mul(new anchor_1.BN(16)).div(new anchor_1.BN(10));
     const longVolSpreadFactor = (0, __1.clampBN)(longIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
     const shortVolSpreadFactor = (0, __1.clampBN)(shortIntensity.mul(numericConstants_1.PERCENTAGE_PRECISION).div(anchor_1.BN.max(numericConstants_1.ONE, volume24H)), clampMin, clampMax);
-    const longVolSpread = anchor_1.BN.max(lastOracleConfPct, volSpread.mul(longVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
-    const shortVolSpread = anchor_1.BN.max(lastOracleConfPct, volSpread.mul(shortVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
+    // only consider confidence interval at full value when above 25 bps
+    let confComponent = lastOracleConfPct;
+    if (lastOracleConfPct.lte(numericConstants_1.PRICE_PRECISION.div(new anchor_1.BN(400)))) {
+        confComponent = lastOracleConfPct.div(new anchor_1.BN(10));
+    }
+    const longVolSpread = anchor_1.BN.max(confComponent, volSpread.mul(longVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
+    const shortVolSpread = anchor_1.BN.max(confComponent, volSpread.mul(shortVolSpreadFactor).div(numericConstants_1.PERCENTAGE_PRECISION));
     return [longVolSpread, shortVolSpread];
 }
 exports.calculateVolSpreadBN = calculateVolSpreadBN;

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.40.0-beta.3",
+	"version": "2.40.0-beta.5",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/idl/drift.json

@@ -6314,6 +6314,24 @@
         ]
       }
     },
+    {
+      "name": "MarketIdentifier",
+      "type": {
+        "kind": "struct",
+        "fields": [
+          {
+            "name": "marketType",
+            "type": {
+              "defined": "MarketType"
+            }
+          },
+          {
+            "name": "marketIndex",
+            "type": "u16"
+          }
+        ]
+      }
+    },
     {
       "name": "HistoricalOracleData",
       "type": {
@@ -8198,6 +8216,34 @@
         ]
       }
     },
+    {
+      "name": "MarginCalculationMode",
+      "type": {
+        "kind": "enum",
+        "variants": [
+          {
+            "name": "Standard"
+          },
+          {
+            "name": "Liquidation",
+            "fields": [
+              {
+                "name": "margin_buffer",
+                "type": "u128"
+              },
+              {
+                "name": "market_to_track_margin_requirement",
+                "type": {
+                  "option": {
+                    "defined": "MarketIdentifier"
+                  }
+                }
+              }
+            ]
+          }
+        ]
+      }
+    },
     {
       "name": "OracleSource",
       "type": {
@@ -10781,6 +10827,11 @@
       "code": 6254,
       "name": "UserReduceOnly",
       "msg": "UserReduceOnly"
+    },
+    {
+      "code": 6255,
+      "name": "InvalidMarginCalculation",
+      "msg": "InvalidMarginCalculation"
     }
   ]
 }

package/src/math/amm.ts

@@ -471,12 +471,19 @@ export function calculateVolSpreadBN(
 		clampMax
 	);
 
+	// only consider confidence interval at full value when above 25 bps
+	let confComponent = lastOracleConfPct;
+
+	if (lastOracleConfPct.lte(PRICE_PRECISION.div(new BN(400)))) {
+		confComponent = lastOracleConfPct.div(new BN(10));
+	}
+
 	const longVolSpread = BN.max(
-		lastOracleConfPct,
+		confComponent,
 		volSpread.mul(longVolSpreadFactor).div(PERCENTAGE_PRECISION)
 	);
 	const shortVolSpread = BN.max(
-		lastOracleConfPct,
+		confComponent,
 		volSpread.mul(shortVolSpreadFactor).div(PERCENTAGE_PRECISION)
 	);