@drift-labs/sdk 2.42.0-beta.7 → 2.42.0-beta.8

package/VERSION

@@ -1 +1 @@
-2.42.0-beta.7
+2.42.0-beta.8

package/lib/constants/numericConstants.d.ts

@@ -50,6 +50,7 @@ export declare const AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO: any;
 export declare const MARGIN_PRECISION: any;
 export declare const BID_ASK_SPREAD_PRECISION: any;
 export declare const LIQUIDATION_PCT_PRECISION: any;
+export declare const FUNDING_RATE_OFFSET_DENOMINATOR: any;
 export declare const FIVE_MINUTE: any;
 export declare const ONE_HOUR: any;
 export declare const ONE_YEAR: any;

package/lib/constants/numericConstants.js

@@ -1,7 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.MARGIN_PRECISION = exports.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO = exports.PRICE_TO_QUOTE_PRECISION = exports.PRICE_DIV_PEG = exports.AMM_TO_QUOTE_PRECISION_RATIO = exports.BASE_PRECISION_EXP = exports.BASE_PRECISION = exports.AMM_RESERVE_PRECISION = exports.PEG_PRECISION = exports.FUNDING_RATE_BUFFER_PRECISION = exports.FUNDING_RATE_PRECISION = exports.PRICE_PRECISION = exports.QUOTE_PRECISION = exports.LIQUIDATION_FEE_PRECISION = exports.SPOT_MARKET_IMF_PRECISION = exports.SPOT_MARKET_IMF_PRECISION_EXP = exports.SPOT_MARKET_BALANCE_PRECISION = exports.SPOT_MARKET_BALANCE_PRECISION_EXP = exports.SPOT_MARKET_WEIGHT_PRECISION = exports.SPOT_MARKET_UTILIZATION_PRECISION = exports.SPOT_MARKET_UTILIZATION_PRECISION_EXP = exports.SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION = exports.SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION_EXP = exports.SPOT_MARKET_RATE_PRECISION = exports.SPOT_MARKET_RATE_PRECISION_EXP = exports.AMM_RESERVE_PRECISION_EXP = exports.PEG_PRECISION_EXP = exports.FUNDING_RATE_PRECISION_EXP = exports.PRICE_PRECISION_EXP = exports.FUNDING_RATE_BUFFER_PRECISION_EXP = exports.QUOTE_PRECISION_EXP = exports.CONCENTRATION_PRECISION = exports.PERCENTAGE_PRECISION = exports.PERCENTAGE_PRECISION_EXP = exports.MAX_LEVERAGE_ORDER_SIZE = exports.MAX_LEVERAGE = exports.TEN_MILLION = exports.BN_MAX = exports.TEN_THOUSAND = exports.TEN = exports.NINE = exports.EIGHT = exports.SEVEN = exports.SIX = exports.FIVE = exports.FOUR = exports.THREE = exports.TWO = exports.ONE = exports.ZERO = void 0;
-exports.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = exports.OPEN_ORDER_MARGIN_REQUIREMENT = exports.LAMPORTS_EXP = exports.LAMPORTS_PRECISION = exports.QUOTE_SPOT_MARKET_INDEX = exports.ONE_YEAR = exports.ONE_HOUR = exports.FIVE_MINUTE = exports.LIQUIDATION_PCT_PRECISION = exports.BID_ASK_SPREAD_PRECISION = void 0;
+exports.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = exports.OPEN_ORDER_MARGIN_REQUIREMENT = exports.LAMPORTS_EXP = exports.LAMPORTS_PRECISION = exports.QUOTE_SPOT_MARKET_INDEX = exports.ONE_YEAR = exports.ONE_HOUR = exports.FIVE_MINUTE = exports.FUNDING_RATE_OFFSET_DENOMINATOR = exports.LIQUIDATION_PCT_PRECISION = exports.BID_ASK_SPREAD_PRECISION = void 0;
 const web3_js_1 = require("@solana/web3.js");
 const __1 = require("../");
 exports.ZERO = new __1.BN(0);
@@ -56,6 +56,7 @@ exports.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO = exports.AMM_RESERVE_PRECISION.m
 exports.MARGIN_PRECISION = exports.TEN_THOUSAND;
 exports.BID_ASK_SPREAD_PRECISION = new __1.BN(1000000); // 10^6
 exports.LIQUIDATION_PCT_PRECISION = exports.TEN_THOUSAND;
+exports.FUNDING_RATE_OFFSET_DENOMINATOR = new __1.BN(5000);
 exports.FIVE_MINUTE = new __1.BN(60 * 5);
 exports.ONE_HOUR = new __1.BN(60 * 60);
 exports.ONE_YEAR = new __1.BN(31536000);

package/lib/math/funding.js

@@ -72,7 +72,8 @@ async function calculateAllEstimatedFundingRate(market, oraclePriceData, markPri
     // 	console.log('shrink orac:', liveOracleTwap.toString(), '->', oracleTwap.toString());
     // }
     const twapSpread = markTwap.sub(oracleTwap);
-    const twapSpreadPct = twapSpread
+    const twapSpreadWithOffset = twapSpread.add(anchor_1.BN.abs(oracleTwap).div(numericConstants_1.FUNDING_RATE_OFFSET_DENOMINATOR));
+    const twapSpreadPct = twapSpreadWithOffset
         .mul(numericConstants_1.PRICE_PRECISION)
         .mul(new anchor_1.BN(100))
         .div(oracleTwap);

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.42.0-beta.7",
+	"version": "2.42.0-beta.8",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/constants/numericConstants.ts

@@ -83,6 +83,7 @@ export const AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO =
 export const MARGIN_PRECISION = TEN_THOUSAND;
 export const BID_ASK_SPREAD_PRECISION = new BN(1000000); // 10^6
 export const LIQUIDATION_PCT_PRECISION = TEN_THOUSAND;
+export const FUNDING_RATE_OFFSET_DENOMINATOR = new BN(5000);
 
 export const FIVE_MINUTE = new BN(60 * 5);
 export const ONE_HOUR = new BN(60 * 60);

package/src/math/funding.ts

@@ -5,6 +5,7 @@ import {
 	QUOTE_PRECISION,
 	ZERO,
 	ONE,
+	FUNDING_RATE_OFFSET_DENOMINATOR,
 } from '../constants/numericConstants';
 import { PerpMarketAccount, isVariant } from '../types';
 import { OraclePriceData } from '../oracles/types';
@@ -156,7 +157,11 @@ export async function calculateAllEstimatedFundingRate(
 	// }
 
 	const twapSpread = markTwap.sub(oracleTwap);
-	const twapSpreadPct = twapSpread
+	const twapSpreadWithOffset = twapSpread.add(
+		BN.abs(oracleTwap).div(FUNDING_RATE_OFFSET_DENOMINATOR)
+	);
+
+	const twapSpreadPct = twapSpreadWithOffset
 		.mul(PRICE_PRECISION)
 		.mul(new BN(100))
 		.div(oracleTwap);