@drift-labs/sdk 2.42.0-beta.5 → 2.42.0-beta.7

package/src/math/spotPosition.ts

@@ -1,5 +1,6 @@
 import { MarginCategory, SpotMarketAccount, SpotPosition } from '../types';
 import {
+	QUOTE_SPOT_MARKET_INDEX,
 	SPOT_MARKET_WEIGHT_PRECISION,
 	ZERO,
 } from '../constants/numericConstants';
@@ -31,7 +32,8 @@ export function getWorstCaseTokenAmounts(
 	spotPosition: SpotPosition,
 	spotMarketAccount: SpotMarketAccount,
 	strictOraclePrice: StrictOraclePrice,
-	marginCategory: MarginCategory
+	marginCategory: MarginCategory,
+	customMarginRatio?: number
 ): OrderFillSimulation {
 	const tokenAmount = getSignedTokenAmount(
 		getTokenAmount(
@@ -54,7 +56,8 @@ export function getWorstCaseTokenAmounts(
 			tokenValue,
 			strictOraclePrice.current,
 			spotMarketAccount,
-			marginCategory
+			marginCategory,
+			customMarginRatio
 		);
 		return {
 			tokenAmount,
@@ -72,7 +75,8 @@ export function getWorstCaseTokenAmounts(
 		spotPosition.openBids,
 		strictOraclePrice,
 		spotMarketAccount,
-		marginCategory
+		marginCategory,
+		customMarginRatio
 	);
 	const asksSimulation = simulateOrderFill(
 		tokenAmount,
@@ -80,7 +84,8 @@ export function getWorstCaseTokenAmounts(
 		spotPosition.openAsks,
 		strictOraclePrice,
 		spotMarketAccount,
-		marginCategory
+		marginCategory,
+		customMarginRatio
 	);
 
 	if (
@@ -99,7 +104,8 @@ export function calculateWeightedTokenValue(
 	tokenValue: BN,
 	oraclePrice: BN,
 	spotMarket: SpotMarketAccount,
-	marginCategory: MarginCategory
+	marginCategory: MarginCategory,
+	customMarginRatio?: number
 ): { weight: BN; weightedTokenValue: BN } {
 	let weight: BN;
 	if (tokenValue.gte(ZERO)) {
@@ -117,6 +123,20 @@ export function calculateWeightedTokenValue(
 		);
 	}
 
+	if (
+		marginCategory === 'Initial' &&
+		customMarginRatio &&
+		spotMarket.marketIndex !== QUOTE_SPOT_MARKET_INDEX
+	) {
+		const userCustomAssetWeight = tokenValue.gte(ZERO)
+			? BN.max(ZERO, SPOT_MARKET_WEIGHT_PRECISION.subn(customMarginRatio))
+			: SPOT_MARKET_WEIGHT_PRECISION.addn(customMarginRatio);
+
+		weight = tokenValue.gte(ZERO)
+			? BN.min(weight, userCustomAssetWeight)
+			: BN.max(weight, userCustomAssetWeight);
+	}
+
 	return {
 		weight: weight,
 		weightedTokenValue: tokenValue
@@ -131,7 +151,8 @@ export function simulateOrderFill(
 	openOrders: BN,
 	strictOraclePrice: StrictOraclePrice,
 	spotMarket: SpotMarketAccount,
-	marginCategory: MarginCategory
+	marginCategory: MarginCategory,
+	customMarginRatio?: number
 ): OrderFillSimulation {
 	const ordersValue = getTokenValue(openOrders.neg(), spotMarket.decimals, {
 		price: strictOraclePrice.max(),
@@ -145,7 +166,8 @@ export function simulateOrderFill(
 			tokenValueAfterFill,
 			strictOraclePrice.current,
 			spotMarket,
-			marginCategory
+			marginCategory,
+			customMarginRatio
 		);
 
 	const freeCollateralContribution =

package/src/user.ts

@@ -78,7 +78,6 @@ import {
 	getWorstCaseTokenAmounts,
 	isSpotPositionAvailable,
 } from './math/spotPosition';
-
 import { calculateLiveOracleTwap } from './math/oracles';
 import { getPerpMarketTierNumber, getSpotMarketTierNumber } from './math/tiers';
 import { StrictOraclePrice } from './oracles/strictOraclePrice';
@@ -632,7 +631,8 @@ export class User {
 		const marginRatio = calculateMarketMarginRatio(
 			this.driftClient.getPerpMarketAccount(marketIndex),
 			baseAssetAmount,
-			'Initial'
+			'Initial',
+			this.getUserAccount().maxMarginRatio
 		);
 
 		return freeCollateral.mul(MARGIN_PRECISION).div(new BN(marginRatio));
@@ -968,7 +968,8 @@ export class User {
 				spotPosition,
 				spotMarketAccount,
 				strictOraclePrice,
-				marginCategory ?? 'Initial'
+				marginCategory,
+				this.getUserAccount().maxMarginRatio
 			);
 
 			if (worstCaseTokenAmount.gt(ZERO) && countForBase) {
@@ -1067,8 +1068,16 @@ export class User {
 				marginCategory
 			);
 
-			if (marginCategory === 'Initial') {
-				weight = BN.max(weight, new BN(this.getUserAccount().maxMarginRatio));
+			if (
+				marginCategory === 'Initial' &&
+				spotMarketAccount.marketIndex !== QUOTE_SPOT_MARKET_INDEX
+			) {
+				weight = BN.max(
+					weight,
+					SPOT_MARKET_WEIGHT_PRECISION.addn(
+						this.getUserAccount().maxMarginRatio
+					)
+				);
 			}
 
 			if (liquidationBuffer !== undefined) {
@@ -1114,13 +1123,26 @@ export class User {
 		);
 
 		if (marginCategory !== undefined) {
-			const weight = calculateAssetWeight(
+			let weight = calculateAssetWeight(
 				tokenAmount,
 				strictOraclePrice.current,
 				spotMarketAccount,
 				marginCategory
 			);
 
+			if (
+				marginCategory === 'Initial' &&
+				spotMarketAccount.marketIndex !== QUOTE_SPOT_MARKET_INDEX
+			) {
+				const userCustomAssetWeight = BN.max(
+					ZERO,
+					SPOT_MARKET_WEIGHT_PRECISION.subn(
+						this.getUserAccount().maxMarginRatio
+					)
+				);
+				weight = BN.min(weight, userCustomAssetWeight);
+			}
+
 			assetValue = assetValue.mul(weight).div(SPOT_MARKET_WEIGHT_PRECISION);
 		}
 
@@ -1254,17 +1276,11 @@ export class User {
 				calculateMarketMarginRatio(
 					market,
 					baseAssetAmount.abs(),
-					marginCategory
+					marginCategory,
+					this.getUserAccount().maxMarginRatio
 				)
 			);
 
-			if (marginCategory === 'Initial') {
-				marginRatio = BN.max(
-					marginRatio,
-					new BN(this.getUserAccount().maxMarginRatio)
-				);
-			}
-
 			if (liquidationBuffer !== undefined) {
 				marginRatio = marginRatio.add(liquidationBuffer);
 			}
@@ -1494,25 +1510,28 @@ export class User {
 		return totalLiabilityValue.mul(TEN_THOUSAND).div(netAssetValue);
 	}
 
-	getLeverageComponents(includeOpenOrders = true): {
+	getLeverageComponents(
+		includeOpenOrders = true,
+		marginCategory: MarginCategory = undefined
+	): {
 		perpLiabilityValue: BN;
 		perpPnl: BN;
 		spotAssetValue: BN;
 		spotLiabilityValue: BN;
 	} {
 		const perpLiability = this.getTotalPerpPositionValue(
-			undefined,
+			marginCategory,
 			undefined,
 			includeOpenOrders
 		);
-		const perpPnl = this.getUnrealizedPNL(true);
+		const perpPnl = this.getUnrealizedPNL(true, undefined, marginCategory);
 
 		const {
 			totalAssetValue: spotAssetValue,
 			totalLiabilityValue: spotLiabilityValue,
 		} = this.getSpotMarketAssetAndLiabilityValue(
 			undefined,
-			undefined,
+			marginCategory,
 			undefined,
 			includeOpenOrders
 		);
@@ -1599,7 +1618,10 @@ export class User {
 
 		switch (marginCategory) {
 			case 'Initial':
-				rawMarginRatio = market.marginRatioInitial;
+				rawMarginRatio = Math.max(
+					market.marginRatioInitial,
+					this.getUserAccount().maxMarginRatio
+				);
 				break;
 			case 'Maintenance':
 				rawMarginRatio = market.marginRatioMaintenance;
@@ -1623,7 +1645,8 @@ export class User {
 		let marginRatio = calculateMarketMarginRatio(
 			market,
 			maxSize,
-			marginCategory
+			marginCategory,
+			this.getUserAccount().maxMarginRatio
 		);
 
 		// use more fesible size since imf factor activated
@@ -1643,7 +1666,8 @@ export class User {
 			marginRatio = calculateMarketMarginRatio(
 				market,
 				targetSize,
-				marginCategory
+				marginCategory,
+				this.getUserAccount().maxMarginRatio
 			);
 			attempts += 1;
 		}
@@ -2177,6 +2201,7 @@ export class User {
 			: this.getPerpPositionValue(targetMarketIndex, oracleData);
 
 		let maxPositionSize = this.getPerpBuyingPower(targetMarketIndex, lpBuffer);
+
 		if (maxPositionSize.gte(ZERO)) {
 			if (oppositeSizeValueUSDC.eq(ZERO)) {
 				// case 1 : Regular trade where current total position less than max, and no opposite position to account for
@@ -2262,7 +2287,8 @@ export class User {
 			ZERO,
 			isVariant(direction, 'long')
 				? SpotBalanceType.DEPOSIT
-				: SpotBalanceType.BORROW
+				: SpotBalanceType.BORROW,
+			this.getUserAccount().maxMarginRatio
 		);
 
 		let tradeAmount = ZERO;
@@ -2275,7 +2301,8 @@ export class User {
 					oraclePrice,
 					'Initial',
 					this.getTokenAmount(targetMarketIndex).abs(),
-					SpotBalanceType.BORROW
+					SpotBalanceType.BORROW,
+					this.getUserAccount().maxMarginRatio
 				);
 				freeCollateral = freeCollateral.add(
 					tradeAmount.mul(new BN(marginRatio)).div(MARGIN_PRECISION)
@@ -2290,7 +2317,8 @@ export class User {
 					oraclePrice,
 					'Initial',
 					this.getTokenAmount(targetMarketIndex),
-					SpotBalanceType.DEPOSIT
+					SpotBalanceType.DEPOSIT,
+					this.getUserAccount().maxMarginRatio
 				);
 				freeCollateral = freeCollateral.add(
 					tradeAmount.mul(new BN(marginRatio)).div(MARGIN_PRECISION)
@@ -2384,7 +2412,7 @@ export class User {
 		);
 
 		const { perpLiabilityValue, perpPnl, spotAssetValue, spotLiabilityValue } =
-			this.getLeverageComponents();
+			this.getLeverageComponents(undefined, 'Initial');
 
 		if (!calculateSwap) {
 			calculateSwap = (inSwap: BN) => {
@@ -2583,7 +2611,8 @@ export class User {
 			spotPosition,
 			spotMarketAccount,
 			strictOraclePrice,
-			marginCategory
+			marginCategory,
+			this.getUserAccount().maxMarginRatio
 		);
 
 		return freeCollateralContribution;
@@ -2606,7 +2635,8 @@ export class User {
 			spotPosition,
 			spotMarketAccount,
 			strictOraclePrice,
-			'Initial'
+			'Initial',
+			this.getUserAccount().maxMarginRatio
 		);
 
 		if (tokenValue.gte(ZERO)) {
@@ -2678,7 +2708,7 @@ export class User {
 		);
 
 		const { perpLiabilityValue, perpPnl, spotAssetValue, spotLiabilityValue } =
-			this.getLeverageComponents();
+			this.getLeverageComponents(undefined, 'Initial');
 
 		const inPositionAfter = this.cloneAndUpdateSpotPosition(
 			inSpotPosition,
@@ -3225,7 +3255,8 @@ export class User {
 				calculateMarketMarginRatio(
 					perpMarket,
 					worstCaseBaseAmount.abs(),
-					marginCategory
+					marginCategory,
+					this.getUserAccount().maxMarginRatio
 				)
 			);
 
@@ -3349,7 +3380,8 @@ export class User {
 				spotPosition,
 				spotMarketAccount,
 				strictOraclePrice,
-				marginCategory
+				marginCategory,
+				this.getUserAccount().maxMarginRatio
 			);
 
 			netQuoteValue = netQuoteValue.add(ordersValue);
@@ -3393,7 +3425,8 @@ export class User {
 				baseAssetValue,
 				oraclePriceData.price,
 				spotMarketAccount,
-				marginCategory
+				marginCategory,
+				this.getUserAccount().maxMarginRatio
 			);
 
 			if (netQuoteValue.lt(ZERO)) {

package/tests/amm/test.ts

@@ -568,7 +568,8 @@ describe('AMM Tests', () => {
 		mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add(
 			new BN(1234835)
 		);
-		mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.sub(BASE_PRECISION);
+		mockMarket1.amm.minBaseAssetReserve =
+			mockMarket1.amm.baseAssetReserve.sub(BASE_PRECISION);
 		mockMarket1.amm.quoteAssetReserve = new BN(cc).mul(BASE_PRECISION);
 		mockMarket1.amm.pegMultiplier = new BN(18.32 * PEG_PRECISION.toNumber());
 		mockMarket1.amm.sqrtK = new BN(cc).mul(BASE_PRECISION);
@@ -790,14 +791,14 @@ describe('AMM Tests', () => {
 		assert(totalAskSize.sub(openAsks.abs()).lte(new BN(5))); // only tiny rounding errors
 	});
 
-
 	it('orderbook L2 gen (4 topOfBookQuoteAmounts, 10 numOrders, low bid liquidity)', async () => {
 		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
 
 		const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0];
 		const cc = 38104569;
 		mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION);
-		mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add(BASE_PRECISION); // only 1 base
+		mockMarket1.amm.maxBaseAssetReserve =
+			mockMarket1.amm.baseAssetReserve.add(BASE_PRECISION); // only 1 base
 		mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.div(
 			new BN(2)
 		);
@@ -873,14 +874,15 @@ describe('AMM Tests', () => {
 		assert(totalAskSize.sub(openAsks.abs()).lte(new BN(5))); // only tiny rounding errors
 	});
 
-
 	it('orderbook L2 gen (4 topOfBookQuoteAmounts, 10 numOrders, low ask liquidity)', async () => {
 		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
 
 		const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0];
 		const cc = 38104569;
 		mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION);
-		mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add(BASE_PRECISION.mul(new BN(1000))); // 1000 base
+		mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add(
+			BASE_PRECISION.mul(new BN(1000))
+		); // 1000 base
 		mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.sub(
 			BASE_PRECISION.div(new BN(2))
 		); // only .5 base

package/tests/auctions/test.ts

@@ -1,9 +1,8 @@
-import {PRICE_PRECISION, BN, deriveOracleAuctionParams} from "../../src";
-import {assert} from "chai";
-import {PositionDirection} from "../../lib";
+import { PRICE_PRECISION, BN, deriveOracleAuctionParams } from '../../src';
+import { assert } from 'chai';
+import { PositionDirection } from '../../lib';
 
 describe('Auction Tests', () => {
-
 	it('deriveOracleAuctionParams', async () => {
 		let oraclePrice = new BN(100).mul(PRICE_PRECISION);
 		let auctionStartPrice = new BN(90).mul(PRICE_PRECISION);
@@ -18,9 +17,15 @@ describe('Auction Tests', () => {
 			limitPrice,
 		});
 
-		assert(oracleOrderParams.auctionStartPrice.eq(new BN(-10).mul(PRICE_PRECISION)));
-		assert(oracleOrderParams.auctionEndPrice.eq(new BN(10).mul(PRICE_PRECISION)));
-		assert(oracleOrderParams.oraclePriceOffset === 20 * PRICE_PRECISION.toNumber());
+		assert(
+			oracleOrderParams.auctionStartPrice.eq(new BN(-10).mul(PRICE_PRECISION))
+		);
+		assert(
+			oracleOrderParams.auctionEndPrice.eq(new BN(10).mul(PRICE_PRECISION))
+		);
+		assert(
+			oracleOrderParams.oraclePriceOffset === 20 * PRICE_PRECISION.toNumber()
+		);
 
 		oracleOrderParams = deriveOracleAuctionParams({
 			direction: PositionDirection.LONG,
@@ -47,9 +52,15 @@ describe('Auction Tests', () => {
 			limitPrice,
 		});
 
-		assert(oracleOrderParams.auctionStartPrice.eq(new BN(10).mul(PRICE_PRECISION)));
-		assert(oracleOrderParams.auctionEndPrice.eq(new BN(-10).mul(PRICE_PRECISION)));
-		assert(oracleOrderParams.oraclePriceOffset === -20 * PRICE_PRECISION.toNumber());
+		assert(
+			oracleOrderParams.auctionStartPrice.eq(new BN(10).mul(PRICE_PRECISION))
+		);
+		assert(
+			oracleOrderParams.auctionEndPrice.eq(new BN(-10).mul(PRICE_PRECISION))
+		);
+		assert(
+			oracleOrderParams.oraclePriceOffset === -20 * PRICE_PRECISION.toNumber()
+		);
 
 		oracleOrderParams = deriveOracleAuctionParams({
 			direction: PositionDirection.SHORT,
@@ -63,4 +74,4 @@ describe('Auction Tests', () => {
 		assert(oracleOrderParams.auctionEndPrice.eq(new BN(0)));
 		assert(oracleOrderParams.oraclePriceOffset === -1);
 	});
-});
+});

package/tests/dlob/helpers.ts

@@ -21,7 +21,9 @@ import {
 	OrderRecord,
 	ZERO,
 	ContractTier,
-	SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION
+	SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION,
+	SPOT_MARKET_WEIGHT_PRECISION,
+	PRICE_PRECISION,
 } from '../../src';
 
 export const mockPerpPosition: PerpPosition = {
@@ -263,7 +265,7 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 		status: MarketStatus.ACTIVE,
 		assetTier: AssetTier.COLLATERAL,
 		name: [],
-		maxTokenDeposits: new BN(1000000),
+		maxTokenDeposits: new BN(1000000 * QUOTE_PRECISION.toNumber()),
 		marketIndex: 0,
 		pubkey: PublicKey.default,
 		mint: DevnetSpotMarkets[0].mint,
@@ -300,10 +302,10 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 		lastInterestTs: new BN(0),
 		lastTwapTs: new BN(0),
 		oracle: PublicKey.default,
-		initialAssetWeight: 0,
-		maintenanceAssetWeight: 0,
-		initialLiabilityWeight: 0,
-		maintenanceLiabilityWeight: 0,
+		initialAssetWeight: SPOT_MARKET_WEIGHT_PRECISION.toNumber(),
+		maintenanceAssetWeight: SPOT_MARKET_WEIGHT_PRECISION.toNumber(),
+		initialLiabilityWeight: SPOT_MARKET_WEIGHT_PRECISION.toNumber(),
+		maintenanceLiabilityWeight: SPOT_MARKET_WEIGHT_PRECISION.toNumber(),
 		scaleInitialAssetWeightStart: new BN(0),
 		imfFactor: 0,
 		withdrawGuardThreshold: new BN(0),
@@ -325,18 +327,18 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 		flashLoanInitialTokenAmount: new BN(0),
 		oracleSource: OracleSource.PYTH,
 		historicalOracleData: {
-			lastOraclePrice: new BN(0),
+			lastOraclePrice: PRICE_PRECISION,
 			lastOracleConf: new BN(0),
 			lastOracleDelay: new BN(0),
-			lastOraclePriceTwap: new BN(0),
-			lastOraclePriceTwap5Min: new BN(0),
+			lastOraclePriceTwap: PRICE_PRECISION,
+			lastOraclePriceTwap5Min: PRICE_PRECISION,
 			lastOraclePriceTwapTs: new BN(0),
 		},
 		historicalIndexData: {
-			lastIndexBidPrice: new BN(0),
-			lastIndexAskPrice: new BN(0),
-			lastIndexPriceTwap: new BN(0),
-			lastIndexPriceTwap5Min: new BN(0),
+			lastIndexBidPrice: PRICE_PRECISION,
+			lastIndexAskPrice: PRICE_PRECISION,
+			lastIndexPriceTwap: PRICE_PRECISION,
+			lastIndexPriceTwap5Min: PRICE_PRECISION,
 			lastIndexPriceTwapTs: new BN(0),
 		},
 	},

package/tests/tx/priorityFeeCalculator.ts

@@ -74,4 +74,4 @@ describe('PriorityFeeCalculator', () => {
 			additionalFeeMicroLamports
 		);
 	});
-});
+});