@drift-labs/sdk 2.59.0-beta.6 → 2.60.0-beta.1

package/VERSION

@@ -1 +1 @@
-2.59.0-beta.6
+2.60.0-beta.1

package/lib/idl/drift.json

@@ -1,5 +1,5 @@
 {
-    "version": "2.58.0",
+    "version": "2.59.0",
     "name": "drift",
     "instructions": [
         {

package/lib/math/amm.js

@@ -425,16 +425,13 @@ function calculateSpread(amm, oraclePriceData, now, reservePrice) {
         reservePrice = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     }
     const targetPrice = (oraclePriceData === null || oraclePriceData === void 0 ? void 0 : oraclePriceData.price) || reservePrice;
-    const confInterval = oraclePriceData.confidence || numericConstants_1.ZERO;
     const targetMarkSpreadPct = reservePrice
         .sub(targetPrice)
         .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
         .div(reservePrice);
-    const confIntervalPct = confInterval
-        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
-        .div(reservePrice);
     now = now || new anchor_1.BN(new Date().getTime() / 1000); //todo
     const liveOracleStd = (0, oracles_1.calculateLiveOracleStd)(amm, oraclePriceData, now);
+    const confIntervalPct = (0, oracles_1.getNewOracleConfPct)(amm, oraclePriceData, reservePrice, now);
     const spreads = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.baseAssetAmountWithAmm, reservePrice, amm.totalFeeMinusDistributions, amm.netRevenueSinceLastFunding, amm.baseAssetReserve, amm.minBaseAssetReserve, amm.maxBaseAssetReserve, amm.markStd, liveOracleStd, amm.longIntensityVolume, amm.shortIntensityVolume, amm.volume24H);
     const longSpread = spreads[0];
     const shortSpread = spreads[1];

package/lib/math/oracles.d.ts

@@ -7,3 +7,4 @@ export declare function isOracleValid(amm: AMM, oraclePriceData: OraclePriceData
 export declare function isOracleTooDivergent(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, now: BN): boolean;
 export declare function calculateLiveOracleTwap(histOracleData: HistoricalOracleData, oraclePriceData: OraclePriceData, now: BN, period: BN): BN;
 export declare function calculateLiveOracleStd(amm: AMM, oraclePriceData: OraclePriceData, now: BN): BN;
+export declare function getNewOracleConfPct(amm: AMM, oraclePriceData: OraclePriceData, reservePrice: BN, now: BN): BN;

package/lib/math/oracles.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateLiveOracleStd = exports.calculateLiveOracleTwap = exports.isOracleTooDivergent = exports.isOracleValid = exports.oraclePriceBands = void 0;
+exports.getNewOracleConfPct = exports.calculateLiveOracleStd = exports.calculateLiveOracleTwap = exports.isOracleTooDivergent = exports.isOracleValid = exports.oraclePriceBands = void 0;
 const numericConstants_1 = require("../constants/numericConstants");
 const index_1 = require("../index");
 const assert_1 = require("../assert/assert");
@@ -80,3 +80,18 @@ function calculateLiveOracleStd(amm, oraclePriceData, now) {
     return oracleStd;
 }
 exports.calculateLiveOracleStd = calculateLiveOracleStd;
+function getNewOracleConfPct(amm, oraclePriceData, reservePrice, now) {
+    const confInterval = oraclePriceData.confidence || numericConstants_1.ZERO;
+    const sinceLastUpdate = index_1.BN.max(numericConstants_1.ZERO, now.sub(amm.historicalOracleData.lastOraclePriceTwapTs));
+    let lowerBoundConfPct = amm.lastOracleConfPct;
+    if (sinceLastUpdate.gt(numericConstants_1.ZERO)) {
+        const lowerBoundConfDivisor = index_1.BN.max(new index_1.BN(21).sub(sinceLastUpdate), new index_1.BN(5));
+        lowerBoundConfPct = amm.lastOracleConfPct.sub(amm.lastOracleConfPct.div(lowerBoundConfDivisor));
+    }
+    const confIntervalPct = confInterval
+        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
+        .div(reservePrice);
+    const confIntervalPctResult = index_1.BN.max(confIntervalPct, lowerBoundConfPct);
+    return confIntervalPctResult;
+}
+exports.getNewOracleConfPct = getNewOracleConfPct;

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.59.0-beta.6",
+	"version": "2.60.0-beta.1",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/idl/drift.json

@@ -1,5 +1,5 @@
 {
-  "version": "2.58.0",
+  "version": "2.59.0",
   "name": "drift",
   "instructions": [
     {

package/src/math/amm.ts

@@ -32,7 +32,7 @@ import {
 	calculateBudgetedPeg,
 } from './repeg';
 
-import { calculateLiveOracleStd } from './oracles';
+import { calculateLiveOracleStd, getNewOracleConfPct } from './oracles';
 
 export function calculatePegFromTargetPrice(
 	targetPrice: BN,
@@ -792,18 +792,19 @@ export function calculateSpread(
 	}
 
 	const targetPrice = oraclePriceData?.price || reservePrice;
-	const confInterval = oraclePriceData.confidence || ZERO;
 	const targetMarkSpreadPct = reservePrice
 		.sub(targetPrice)
 		.mul(BID_ASK_SPREAD_PRECISION)
 		.div(reservePrice);
 
-	const confIntervalPct = confInterval
-		.mul(BID_ASK_SPREAD_PRECISION)
-		.div(reservePrice);
-
 	now = now || new BN(new Date().getTime() / 1000); //todo
 	const liveOracleStd = calculateLiveOracleStd(amm, oraclePriceData, now);
+	const confIntervalPct = getNewOracleConfPct(
+		amm,
+		oraclePriceData,
+		reservePrice,
+		now
+	);
 
 	const spreads = calculateSpreadBN(
 		amm.baseSpread,

package/src/math/oracles.ts

@@ -151,3 +151,34 @@ export function calculateLiveOracleStd(
 
 	return oracleStd;
 }
+
+export function getNewOracleConfPct(
+	amm: AMM,
+	oraclePriceData: OraclePriceData,
+	reservePrice: BN,
+	now: BN
+): BN {
+	const confInterval = oraclePriceData.confidence || ZERO;
+
+	const sinceLastUpdate = BN.max(
+		ZERO,
+		now.sub(amm.historicalOracleData.lastOraclePriceTwapTs)
+	);
+	let lowerBoundConfPct = amm.lastOracleConfPct;
+	if (sinceLastUpdate.gt(ZERO)) {
+		const lowerBoundConfDivisor = BN.max(
+			new BN(21).sub(sinceLastUpdate),
+			new BN(5)
+		);
+		lowerBoundConfPct = amm.lastOracleConfPct.sub(
+			amm.lastOracleConfPct.div(lowerBoundConfDivisor)
+		);
+	}
+	const confIntervalPct = confInterval
+		.mul(BID_ASK_SPREAD_PRECISION)
+		.div(reservePrice);
+
+	const confIntervalPctResult = BN.max(confIntervalPct, lowerBoundConfPct);
+
+	return confIntervalPctResult;
+}

package/tests/amm/test.ts

@@ -31,6 +31,7 @@ import {
 	ContractTier,
 	isOracleValid,
 	OracleGuardRails,
+	getNewOracleConfPct,
 	// calculateReservePrice,
 } from '../../src';
 import { mockPerpMarkets } from '../dlob/helpers';
@@ -662,7 +663,7 @@ describe('AMM Tests', () => {
 			new BN(suiExample.amm.totalFeeMinusDistributions),
 			new BN(suiExample.amm.netRevenueSinceLastFunding),
 			new BN(suiExample.amm.sqrtK),
-			new BN(suiExample.amm.sqrtK.sub()),
+			new BN(suiExample.amm.sqrtK),
 			new BN(suiExample.amm.maxBaseAssetReserve),
 			new BN(suiExample.amm.markStd),
 			new BN(suiExample.amm.oracleStd),
@@ -723,7 +724,7 @@ describe('AMM Tests', () => {
 		);
 
 		console.log('starting rr:');
-		let reservePrice = undefined;
+		let reservePrice: BN | undefined = undefined;
 		if (!reservePrice) {
 			reservePrice = calculatePrice(
 				mockAmm.baseAssetReserve,
@@ -748,7 +749,6 @@ describe('AMM Tests', () => {
 		console.log('reservePrice:', reservePrice.toString());
 		console.log('targetMarkSpreadPct:', targetMarkSpreadPct.toString());
 		console.log('confIntervalPct:', confIntervalPct.toString());
-
 		console.log('liveOracleStd:', liveOracleStd.toString());
 
 		const tt = calculateSpread(mockAmm, oraclePriceData, now);
@@ -1138,6 +1138,17 @@ describe('AMM Tests', () => {
 		console.log('liveOracleStd:', liveOracleStd.toNumber());
 		assert(liveOracleStd.eq(new BN(192962)));
 
+		mockAmm.lastOracleConfPct = new BN(150000);
+		const reservePrice = new BN(13.553 * PRICE_PRECISION.toNumber());
+		const newConfPct = getNewOracleConfPct(mockAmm, oraclePriceData, reservePrice, now);
+		console.log('newConfPct:', newConfPct.toString());
+
+		assert(
+			now.sub(mockAmm.historicalOracleData.lastOraclePriceTwapTs).gt(ZERO)
+		);
+
+		assert(newConfPct.eq(new BN(135000)));
+
 		const oracleGuardRails: OracleGuardRails = {
 			priceDivergence: {
 				markOraclePercentDivergence: PERCENTAGE_PRECISION.divn(10),