@drift-labs/sdk 2.71.0-beta.4 → 2.71.0-beta.5

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Files changed (6) hide show
  1. package/VERSION +1 -1
  2. package/lib/math/oracles.d.ts +2 -1
  3. package/lib/math/oracles.js +27 -3
  4. package/package.json +1 -1
  5. package/src/math/oracles.ts +30 -3
  6. package/tests/amm/test.ts +8 -8
package/VERSION CHANGED
@@ -1 +1 @@
1
- 2.71.0-beta.4
1
+ 2.71.0-beta.5
package/lib/math/oracles.d.ts CHANGED
@@ -3,7 +3,8 @@ import { AMM, OracleGuardRails } from '../types';
3
3
  import { OraclePriceData } from '../oracles/types';
4
4
  import { BN, HistoricalOracleData, PerpMarketAccount } from '../index';
5
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  export declare function oraclePriceBands(market: PerpMarketAccount, oraclePriceData: OraclePriceData): [BN, BN];
6
- export declare function isOracleValid(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, slot: number): boolean;
6
+ export declare function getMaxConfidenceIntervalMultiplier(market: PerpMarketAccount): BN;
7
+ export declare function isOracleValid(market: PerpMarketAccount, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, slot: number): boolean;
7
8
  export declare function isOracleTooDivergent(amm: AMM, oraclePriceData: OraclePriceData, oracleGuardRails: OracleGuardRails, now: BN): boolean;
8
9
  export declare function calculateLiveOracleTwap(histOracleData: HistoricalOracleData, oraclePriceData: OraclePriceData, now: BN, period: BN): BN;
9
10
  export declare function calculateLiveOracleStd(amm: AMM, oraclePriceData: OraclePriceData, now: BN): BN;
package/lib/math/oracles.js CHANGED
@@ -1,6 +1,7 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.getNewOracleConfPct = exports.calculateLiveOracleStd = exports.calculateLiveOracleTwap = exports.isOracleTooDivergent = exports.isOracleValid = exports.oraclePriceBands = void 0;
3
+ exports.getNewOracleConfPct = exports.calculateLiveOracleStd = exports.calculateLiveOracleTwap = exports.isOracleTooDivergent = exports.isOracleValid = exports.getMaxConfidenceIntervalMultiplier = exports.oraclePriceBands = void 0;
4
+ const types_1 = require("../types");
4
5
  const numericConstants_1 = require("../constants/numericConstants");
5
6
  const index_1 = require("../index");
6
7
  const assert_1 = require("../assert/assert");
@@ -13,7 +14,29 @@ function oraclePriceBands(market, oraclePriceData) {
13
14
  return [oraclePriceData.price.sub(offset), oraclePriceData.price.add(offset)];
14
15
  }
15
16
  exports.oraclePriceBands = oraclePriceBands;
16
- function isOracleValid(amm, oraclePriceData, oracleGuardRails, slot) {
17
+ function getMaxConfidenceIntervalMultiplier(market) {
18
+ let maxConfidenceIntervalMultiplier;
19
+ if ((0, types_1.isVariant)(market.contractTier, 'a')) {
20
+ maxConfidenceIntervalMultiplier = new index_1.BN(1);
21
+ }
22
+ else if ((0, types_1.isVariant)(market.contractTier, 'b')) {
23
+ maxConfidenceIntervalMultiplier = new index_1.BN(1);
24
+ }
25
+ else if ((0, types_1.isVariant)(market.contractTier, 'c')) {
26
+ maxConfidenceIntervalMultiplier = new index_1.BN(2);
27
+ }
28
+ else if ((0, types_1.isVariant)(market.contractTier, 'speculative')) {
29
+ maxConfidenceIntervalMultiplier = new index_1.BN(10);
30
+ }
31
+ else if ((0, types_1.isVariant)(market.contractTier, 'isolated')) {
32
+ maxConfidenceIntervalMultiplier = new index_1.BN(50);
33
+ }
34
+ return maxConfidenceIntervalMultiplier;
35
+ }
36
+ exports.getMaxConfidenceIntervalMultiplier = getMaxConfidenceIntervalMultiplier;
37
+ function isOracleValid(market, oraclePriceData, oracleGuardRails, slot) {
38
+ // checks if oracle is valid for an AMM only fill
39
+ const amm = market.amm;
17
40
  const isOraclePriceNonPositive = oraclePriceData.price.lte(numericConstants_1.ZERO);
18
41
  const isOraclePriceTooVolatile = oraclePriceData.price
19
42
  .div(index_1.BN.max(numericConstants_1.ONE, amm.historicalOracleData.lastOraclePriceTwap))
@@ -21,10 +44,11 @@ function isOracleValid(amm, oraclePriceData, oracleGuardRails, slot) {
21
44
  amm.historicalOracleData.lastOraclePriceTwap
22
45
  .div(index_1.BN.max(numericConstants_1.ONE, oraclePriceData.price))
23
46
  .gt(oracleGuardRails.validity.tooVolatileRatio);
47
+ const maxConfidenceIntervalMultiplier = getMaxConfidenceIntervalMultiplier(market);
24
48
  const isConfidenceTooLarge = index_1.BN.max(numericConstants_1.ONE, oraclePriceData.confidence)
25
49
  .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION)
26
50
  .div(oraclePriceData.price)
27
- .gt(oracleGuardRails.validity.confidenceIntervalMaxSize);
51
+ .gt(oracleGuardRails.validity.confidenceIntervalMaxSize.mul(maxConfidenceIntervalMultiplier));
28
52
  const oracleIsStale = new index_1.BN(slot)
29
53
  .sub(oraclePriceData.slot)
30
54
  .gt(oracleGuardRails.validity.slotsBeforeStaleForAmm);
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@drift-labs/sdk",
3
- "version": "2.71.0-beta.4",
3
+ "version": "2.71.0-beta.5",
4
4
  "main": "lib/index.js",
5
5
  "types": "lib/index.d.ts",
6
6
  "author": "crispheaney",
package/src/math/oracles.ts CHANGED
@@ -1,4 +1,4 @@
1
- import { AMM, OracleGuardRails } from '../types';
1
+ import { AMM, OracleGuardRails, isVariant } from '../types';
2
2
  import { OraclePriceData } from '../oracles/types';
3
3
  import {
4
4
  BID_ASK_SPREAD_PRECISION,
@@ -27,12 +27,33 @@ export function oraclePriceBands(
27
27
  return [oraclePriceData.price.sub(offset), oraclePriceData.price.add(offset)];
28
28
  }
29
29
 
30
+ export function getMaxConfidenceIntervalMultiplier(
31
+ market: PerpMarketAccount
32
+ ): BN {
33
+ let maxConfidenceIntervalMultiplier;
34
+ if (isVariant(market.contractTier, 'a')) {
35
+ maxConfidenceIntervalMultiplier = new BN(1);
36
+ } else if (isVariant(market.contractTier, 'b')) {
37
+ maxConfidenceIntervalMultiplier = new BN(1);
38
+ } else if (isVariant(market.contractTier, 'c')) {
39
+ maxConfidenceIntervalMultiplier = new BN(2);
40
+ } else if (isVariant(market.contractTier, 'speculative')) {
41
+ maxConfidenceIntervalMultiplier = new BN(10);
42
+ } else if (isVariant(market.contractTier, 'isolated')) {
43
+ maxConfidenceIntervalMultiplier = new BN(50);
44
+ }
45
+ return maxConfidenceIntervalMultiplier;
46
+ }
47
+
30
48
  export function isOracleValid(
31
- amm: AMM,
49
+ market: PerpMarketAccount,
32
50
  oraclePriceData: OraclePriceData,
33
51
  oracleGuardRails: OracleGuardRails,
34
52
  slot: number
35
53
  ): boolean {
54
+ // checks if oracle is valid for an AMM only fill
55
+
56
+ const amm = market.amm;
36
57
  const isOraclePriceNonPositive = oraclePriceData.price.lte(ZERO);
37
58
  const isOraclePriceTooVolatile =
38
59
  oraclePriceData.price
@@ -42,10 +63,16 @@ export function isOracleValid(
42
63
  .div(BN.max(ONE, oraclePriceData.price))
43
64
  .gt(oracleGuardRails.validity.tooVolatileRatio);
44
65
 
66
+ const maxConfidenceIntervalMultiplier =
67
+ getMaxConfidenceIntervalMultiplier(market);
45
68
  const isConfidenceTooLarge = BN.max(ONE, oraclePriceData.confidence)
46
69
  .mul(BID_ASK_SPREAD_PRECISION)
47
70
  .div(oraclePriceData.price)
48
- .gt(oracleGuardRails.validity.confidenceIntervalMaxSize);
71
+ .gt(
72
+ oracleGuardRails.validity.confidenceIntervalMaxSize.mul(
73
+ maxConfidenceIntervalMultiplier
74
+ )
75
+ );
49
76
 
50
77
  const oracleIsStale = new BN(slot)
51
78
  .sub(oraclePriceData.slot)
package/tests/amm/test.ts CHANGED
@@ -1193,12 +1193,12 @@ describe('AMM Tests', () => {
1193
1193
  };
1194
1194
 
1195
1195
  // good oracle
1196
- assert(isOracleValid(mockAmm, oraclePriceData, oracleGuardRails, slot + 5));
1196
+ assert(isOracleValid(mockMarket1, oraclePriceData, oracleGuardRails, slot + 5));
1197
1197
 
1198
1198
  // conf too high
1199
1199
  assert(
1200
1200
  !isOracleValid(
1201
- mockAmm,
1201
+ mockMarket1,
1202
1202
  {
1203
1203
  price: new BN(13.553 * PRICE_PRECISION.toNumber()),
1204
1204
  slot: new BN(slot),
@@ -1213,7 +1213,7 @@ describe('AMM Tests', () => {
1213
1213
  // not hasSufficientNumberOfDataPoints
1214
1214
  assert(
1215
1215
  !isOracleValid(
1216
- mockAmm,
1216
+ mockMarket1,
1217
1217
  {
1218
1218
  price: new BN(13.553 * PRICE_PRECISION.toNumber()),
1219
1219
  slot: new BN(slot),
@@ -1228,7 +1228,7 @@ describe('AMM Tests', () => {
1228
1228
  // negative oracle price
1229
1229
  assert(
1230
1230
  !isOracleValid(
1231
- mockAmm,
1231
+ mockMarket1,
1232
1232
  {
1233
1233
  price: new BN(-1 * PRICE_PRECISION.toNumber()),
1234
1234
  slot: new BN(slot),
@@ -1243,7 +1243,7 @@ describe('AMM Tests', () => {
1243
1243
  // too delayed for amm
1244
1244
  assert(
1245
1245
  !isOracleValid(
1246
- mockAmm,
1246
+ mockMarket1,
1247
1247
  {
1248
1248
  price: new BN(13.553 * PRICE_PRECISION.toNumber()),
1249
1249
  slot: new BN(slot),
@@ -1258,7 +1258,7 @@ describe('AMM Tests', () => {
1258
1258
  // im passing stale slot (should not call oracle invalid)
1259
1259
  assert(
1260
1260
  isOracleValid(
1261
- mockAmm,
1261
+ mockMarket1,
1262
1262
  {
1263
1263
  price: new BN(13.553 * PRICE_PRECISION.toNumber()),
1264
1264
  slot: new BN(slot + 100),
@@ -1273,7 +1273,7 @@ describe('AMM Tests', () => {
1273
1273
  // too volatile (more than 5x higher)
1274
1274
  assert(
1275
1275
  !isOracleValid(
1276
- mockAmm,
1276
+ mockMarket1,
1277
1277
  {
1278
1278
  price: new BN(113.553 * PRICE_PRECISION.toNumber()),
1279
1279
  slot: new BN(slot + 5),
@@ -1288,7 +1288,7 @@ describe('AMM Tests', () => {
1288
1288
  // too volatile (more than 1/5 lower)
1289
1289
  assert(
1290
1290
  !isOracleValid(
1291
- mockAmm,
1291
+ mockMarket1,
1292
1292
  {
1293
1293
  price: new BN(0.553 * PRICE_PRECISION.toNumber()),
1294
1294
  slot: new BN(slot + 5),