@drift-labs/sdk 2.74.0-beta.6 → 2.74.0-beta.8

package/VERSION

@@ -1 +1 @@
-2.74.0-beta.6
+2.74.0-beta.8

package/lib/dlob/orderBookLevels.js

@@ -261,6 +261,31 @@ function groupL2Levels(levels, grouping, direction, depth) {
     }
     return groupedLevels;
 }
+/**
+ * Method to merge bids or asks by price
+ */
+const mergeByPrice = (bidsOrAsks) => {
+    const merged = new Map();
+    for (const level of bidsOrAsks) {
+        const key = level.price.toString();
+        if (merged.has(key)) {
+            const existing = merged.get(key);
+            existing.size = existing.size.add(level.size);
+            for (const [source, size] of Object.entries(level.sources)) {
+                if (existing.sources[source]) {
+                    existing.sources[source] = existing.sources[source].add(size);
+                }
+                else {
+                    existing.sources[source] = size;
+                }
+            }
+        }
+        else {
+            merged.set(key, cloneL2Level(level));
+        }
+    }
+    return Array.from(merged.values());
+};
 /**
  * The purpose of this function is uncross the L2 orderbook by modifying the bid/ask price at the top of the book
  * This will make the liquidity look worse but more intuitive (users familiar with clob get confused w temporarily
@@ -342,17 +367,17 @@ function uncrossL2(bids, asks, oraclePrice, oracleTwap5Min, markTwap5Min, groupi
             bidIndex++;
             continue;
         }
+        if (userBids.has(nextBid.price.toString())) {
+            newBids.push(nextBid);
+            bidIndex++;
+            continue;
+        }
+        if (userAsks.has(nextAsk.price.toString())) {
+            newAsks.push(nextAsk);
+            askIndex++;
+            continue;
+        }
         if (nextBid.price.gte(nextAsk.price)) {
-            if (userBids.has(nextBid.price.toString())) {
-                newBids.push(nextBid);
-                bidIndex++;
-                continue;
-            }
-            if (userAsks.has(nextAsk.price.toString())) {
-                newAsks.push(nextAsk);
-                askIndex++;
-                continue;
-            }
             if (nextBid.price.gt(referencePrice) &&
                 nextAsk.price.gt(referencePrice)) {
                 let newBidPrice = nextAsk.price.sub(grouping);
@@ -397,9 +422,13 @@ function uncrossL2(bids, asks, oraclePrice, oracleTwap5Min, markTwap5Min, groupi
             bidIndex++;
         }
     }
+    newBids.sort((a, b) => b.price.cmp(a.price));
+    newAsks.sort((a, b) => a.price.cmp(b.price));
+    const finalNewBids = mergeByPrice(newBids);
+    const finalNewAsks = mergeByPrice(newAsks);
     return {
-        bids: newBids,
-        asks: newAsks,
+        bids: finalNewBids,
+        asks: finalNewAsks,
     };
 }
 exports.uncrossL2 = uncrossL2;

package/lib/user.d.ts

@@ -246,13 +246,15 @@ export declare class User {
     /**
      * Calculate the liquidation price of a perp position, with optional parameter to calculate the liquidation price after a trade
      * @param marketIndex
-     * @param positionBaseSizeChange // change in position size to calculate liquidation price for : Precision 10^13
+     * @param positionBaseSizeChange // change in position size to calculate liquidation price for : Precision 10^9
+     * @param estimatedEntryPrice
      * @param marginCategory // allow Initial to be passed in if we are trying to calculate price for DLP de-risking
+     * @param includeOpenOrders
      * @returns Precision : PRICE_PRECISION
      */
-    liquidationPrice(marketIndex: number, positionBaseSizeChange?: BN, estimatedEntryPrice?: BN, marginCategory?: MarginCategory): BN;
-    calculateEntriesEffectOnFreeCollateral(market: PerpMarketAccount, oraclePrice: BN, perpPosition: PerpPosition, positionBaseSizeChange: BN, estimatedEntryPrice: BN): BN;
-    calculateFreeCollateralDeltaForPerp(market: PerpMarketAccount, perpPosition: PerpPosition, positionBaseSizeChange: BN, marginCategory?: MarginCategory): BN | undefined;
+    liquidationPrice(marketIndex: number, positionBaseSizeChange?: BN, estimatedEntryPrice?: BN, marginCategory?: MarginCategory, includeOpenOrders?: boolean): BN;
+    calculateEntriesEffectOnFreeCollateral(market: PerpMarketAccount, oraclePrice: BN, perpPosition: PerpPosition, positionBaseSizeChange: BN, estimatedEntryPrice: BN, includeOpenOrders: boolean): BN;
+    calculateFreeCollateralDeltaForPerp(market: PerpMarketAccount, perpPosition: PerpPosition, positionBaseSizeChange: BN, marginCategory?: MarginCategory, includeOpenOrders?: boolean): BN | undefined;
     calculateFreeCollateralDeltaForSpot(market: SpotMarketAccount, signedTokenAmount: BN, marginCategory?: MarginCategory): BN;
     /**
      * Calculates the estimated liquidation price for a position after closing a quote amount of the position.

package/lib/user.js

@@ -1082,13 +1082,15 @@ class User {
     /**
      * Calculate the liquidation price of a perp position, with optional parameter to calculate the liquidation price after a trade
      * @param marketIndex
-     * @param positionBaseSizeChange // change in position size to calculate liquidation price for : Precision 10^13
+     * @param positionBaseSizeChange // change in position size to calculate liquidation price for : Precision 10^9
+     * @param estimatedEntryPrice
      * @param marginCategory // allow Initial to be passed in if we are trying to calculate price for DLP de-risking
+     * @param includeOpenOrders
      * @returns Precision : PRICE_PRECISION
      */
-    liquidationPrice(marketIndex, positionBaseSizeChange = numericConstants_1.ZERO, estimatedEntryPrice = numericConstants_1.ZERO, marginCategory = 'Maintenance') {
+    liquidationPrice(marketIndex, positionBaseSizeChange = numericConstants_1.ZERO, estimatedEntryPrice = numericConstants_1.ZERO, marginCategory = 'Maintenance', includeOpenOrders = false) {
         const totalCollateral = this.getTotalCollateral(marginCategory);
-        const marginRequirement = this.getMarginRequirement(marginCategory, undefined, false);
+        const marginRequirement = this.getMarginRequirement(marginCategory, undefined, false, includeOpenOrders);
         let freeCollateral = _1.BN.max(numericConstants_1.ZERO, totalCollateral.sub(marginRequirement));
         const oracle = this.driftClient.getPerpMarketAccount(marketIndex).amm.oracle;
         const oraclePrice = this.driftClient.getOracleDataForPerpMarket(marketIndex).price;
@@ -1096,9 +1098,9 @@ class User {
         const currentPerpPosition = this.getPerpPositionWithLPSettle(marketIndex, undefined, true)[0] ||
             this.getEmptyPosition(marketIndex);
         positionBaseSizeChange = (0, _1.standardizeBaseAssetAmount)(positionBaseSizeChange, market.amm.orderStepSize);
-        const freeCollateralChangeFromNewPosition = this.calculateEntriesEffectOnFreeCollateral(market, oraclePrice, currentPerpPosition, positionBaseSizeChange, estimatedEntryPrice);
+        const freeCollateralChangeFromNewPosition = this.calculateEntriesEffectOnFreeCollateral(market, oraclePrice, currentPerpPosition, positionBaseSizeChange, estimatedEntryPrice, includeOpenOrders);
         freeCollateral = freeCollateral.add(freeCollateralChangeFromNewPosition);
-        let freeCollateralDelta = this.calculateFreeCollateralDeltaForPerp(market, currentPerpPosition, positionBaseSizeChange, marginCategory);
+        let freeCollateralDelta = this.calculateFreeCollateralDeltaForPerp(market, currentPerpPosition, positionBaseSizeChange, marginCategory, includeOpenOrders);
         if (!freeCollateralDelta) {
             return new _1.BN(-1);
         }
@@ -1125,7 +1127,7 @@ class User {
         }
         return liqPrice;
     }
-    calculateEntriesEffectOnFreeCollateral(market, oraclePrice, perpPosition, positionBaseSizeChange, estimatedEntryPrice) {
+    calculateEntriesEffectOnFreeCollateral(market, oraclePrice, perpPosition, positionBaseSizeChange, estimatedEntryPrice, includeOpenOrders) {
         let freeCollateralChange = numericConstants_1.ZERO;
         // update free collateral to account for change in pnl from new position
         if (!estimatedEntryPrice.eq(numericConstants_1.ZERO) && !positionBaseSizeChange.eq(numericConstants_1.ZERO)) {
@@ -1139,8 +1141,6 @@ class User {
                 freeCollateralChange = costBasis.sub(newPositionValue);
             }
             else {
-                console.log('newPositionValue', newPositionValue.toString());
-                console.log('costBasis', costBasis.toString());
                 freeCollateralChange = newPositionValue.sub(costBasis);
             }
             // assume worst fee tier
@@ -1150,30 +1150,33 @@ class User {
                 .divn(takerFeeTier.feeDenominator);
             freeCollateralChange = freeCollateralChange.sub(takerFee);
         }
-        const worstCaseBaseAssetAmount = (0, margin_1.calculateWorstCaseBaseAssetAmount)(perpPosition);
-        const newWorstCaseBaseAssetAmount = worstCaseBaseAssetAmount.add(positionBaseSizeChange);
-        const newMarginRatio = (0, _1.calculateMarketMarginRatio)(market, newWorstCaseBaseAssetAmount.abs(), 'Maintenance');
+        const baseAssetAmount = includeOpenOrders
+            ? (0, margin_1.calculateWorstCaseBaseAssetAmount)(perpPosition)
+            : perpPosition.baseAssetAmount;
+        const newBaseAssetAmount = baseAssetAmount.add(positionBaseSizeChange);
+        const newMarginRatio = (0, _1.calculateMarketMarginRatio)(market, newBaseAssetAmount.abs(), 'Maintenance');
         // update free collateral to account for new margin requirement from position change
-        freeCollateralChange = freeCollateralChange.sub(newWorstCaseBaseAssetAmount
+        freeCollateralChange = freeCollateralChange.sub(newBaseAssetAmount
             .abs()
-            .sub(worstCaseBaseAssetAmount.abs())
+            .sub(baseAssetAmount.abs())
             .mul(oraclePrice)
             .div(numericConstants_1.BASE_PRECISION)
             .mul(new _1.BN(newMarginRatio))
             .div(numericConstants_1.MARGIN_PRECISION));
         return freeCollateralChange;
     }
-    calculateFreeCollateralDeltaForPerp(market, perpPosition, positionBaseSizeChange, marginCategory = 'Maintenance') {
-        const currentBaseAssetAmount = perpPosition.baseAssetAmount;
-        const worstCaseBaseAssetAmount = (0, margin_1.calculateWorstCaseBaseAssetAmount)(perpPosition);
-        const orderBaseAssetAmount = worstCaseBaseAssetAmount.sub(currentBaseAssetAmount);
-        const proposedBaseAssetAmount = currentBaseAssetAmount.add(positionBaseSizeChange);
-        const proposedWorstCaseBaseAssetAmount = worstCaseBaseAssetAmount.add(positionBaseSizeChange);
-        const marginRatio = (0, _1.calculateMarketMarginRatio)(market, proposedWorstCaseBaseAssetAmount.abs(), marginCategory, this.getUserAccount().maxMarginRatio);
+    calculateFreeCollateralDeltaForPerp(market, perpPosition, positionBaseSizeChange, marginCategory = 'Maintenance', includeOpenOrders = false) {
+        const baseAssetAmount = includeOpenOrders
+            ? (0, margin_1.calculateWorstCaseBaseAssetAmount)(perpPosition)
+            : perpPosition.baseAssetAmount;
+        // zero if include orders == false
+        const orderBaseAssetAmount = baseAssetAmount.sub(perpPosition.baseAssetAmount);
+        const proposedBaseAssetAmount = baseAssetAmount.add(positionBaseSizeChange);
+        const marginRatio = (0, _1.calculateMarketMarginRatio)(market, proposedBaseAssetAmount.abs(), marginCategory, this.getUserAccount().maxMarginRatio);
         const marginRatioQuotePrecision = new _1.BN(marginRatio)
             .mul(numericConstants_1.QUOTE_PRECISION)
             .div(numericConstants_1.MARGIN_PRECISION);
-        if (proposedWorstCaseBaseAssetAmount.eq(numericConstants_1.ZERO)) {
+        if (proposedBaseAssetAmount.eq(numericConstants_1.ZERO)) {
             return undefined;
         }
         let freeCollateralDelta = numericConstants_1.ZERO;

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.74.0-beta.6",
+	"version": "2.74.0-beta.8",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/dlob/orderBookLevels.ts

@@ -429,6 +429,30 @@ function groupL2Levels(
 	return groupedLevels;
 }
 
+/**
+ * Method to merge bids or asks by price
+ */
+const mergeByPrice = (bidsOrAsks: L2Level[]) => {
+	const merged = new Map<string, L2Level>();
+	for (const level of bidsOrAsks) {
+		const key = level.price.toString();
+		if (merged.has(key)) {
+			const existing = merged.get(key);
+			existing.size = existing.size.add(level.size);
+			for (const [source, size] of Object.entries(level.sources)) {
+				if (existing.sources[source]) {
+					existing.sources[source] = existing.sources[source].add(size);
+				} else {
+					existing.sources[source] = size;
+				}
+			}
+		} else {
+			merged.set(key, cloneL2Level(level));
+		}
+	}
+	return Array.from(merged.values());
+};
+
 /**
  * The purpose of this function is uncross the L2 orderbook by modifying the bid/ask price at the top of the book
  * This will make the liquidity look worse but more intuitive (users familiar with clob get confused w temporarily
@@ -467,8 +491,8 @@ export function uncrossL2(
 		return { bids, asks };
 	}
 
-	const newBids = [];
-	const newAsks = [];
+	const newBids: L2Level[] = [];
+	const newAsks: L2Level[] = [];
 
 	const updateLevels = (newPrice: BN, oldLevel: L2Level, levels: L2Level[]) => {
 		if (levels.length > 0 && levels[levels.length - 1].price.eq(newPrice)) {
@@ -528,19 +552,19 @@ export function uncrossL2(
 			continue;
 		}
 
-		if (nextBid.price.gte(nextAsk.price)) {
-			if (userBids.has(nextBid.price.toString())) {
-				newBids.push(nextBid);
-				bidIndex++;
-				continue;
-			}
+		if (userBids.has(nextBid.price.toString())) {
+			newBids.push(nextBid);
+			bidIndex++;
+			continue;
+		}
 
-			if (userAsks.has(nextAsk.price.toString())) {
-				newAsks.push(nextAsk);
-				askIndex++;
-				continue;
-			}
+		if (userAsks.has(nextAsk.price.toString())) {
+			newAsks.push(nextAsk);
+			askIndex++;
+			continue;
+		}
 
+		if (nextBid.price.gte(nextAsk.price)) {
 			if (
 				nextBid.price.gt(referencePrice) &&
 				nextAsk.price.gt(referencePrice)
@@ -594,8 +618,14 @@ export function uncrossL2(
 		}
 	}
 
+	newBids.sort((a, b) => b.price.cmp(a.price));
+	newAsks.sort((a, b) => a.price.cmp(b.price));
+
+	const finalNewBids = mergeByPrice(newBids);
+	const finalNewAsks = mergeByPrice(newAsks);
+
 	return {
-		bids: newBids,
-		asks: newAsks,
+		bids: finalNewBids,
+		asks: finalNewAsks,
 	};
 }

package/src/user.ts

@@ -1975,21 +1975,25 @@ export class User {
 	/**
 	 * Calculate the liquidation price of a perp position, with optional parameter to calculate the liquidation price after a trade
 	 * @param marketIndex
-	 * @param positionBaseSizeChange // change in position size to calculate liquidation price for : Precision 10^13
+	 * @param positionBaseSizeChange // change in position size to calculate liquidation price for : Precision 10^9
+	 * @param estimatedEntryPrice
 	 * @param marginCategory // allow Initial to be passed in if we are trying to calculate price for DLP de-risking
+	 * @param includeOpenOrders
 	 * @returns Precision : PRICE_PRECISION
 	 */
 	public liquidationPrice(
 		marketIndex: number,
 		positionBaseSizeChange: BN = ZERO,
 		estimatedEntryPrice: BN = ZERO,
-		marginCategory: MarginCategory = 'Maintenance'
+		marginCategory: MarginCategory = 'Maintenance',
+		includeOpenOrders = false
 	): BN {
 		const totalCollateral = this.getTotalCollateral(marginCategory);
 		const marginRequirement = this.getMarginRequirement(
 			marginCategory,
 			undefined,
-			false
+			false,
+			includeOpenOrders
 		);
 		let freeCollateral = BN.max(ZERO, totalCollateral.sub(marginRequirement));
 
@@ -2015,7 +2019,8 @@ export class User {
 				oraclePrice,
 				currentPerpPosition,
 				positionBaseSizeChange,
-				estimatedEntryPrice
+				estimatedEntryPrice,
+				includeOpenOrders
 			);
 
 		freeCollateral = freeCollateral.add(freeCollateralChangeFromNewPosition);
@@ -2024,7 +2029,8 @@ export class User {
 			market,
 			currentPerpPosition,
 			positionBaseSizeChange,
-			marginCategory
+			marginCategory,
+			includeOpenOrders
 		);
 
 		if (!freeCollateralDelta) {
@@ -2082,7 +2088,8 @@ export class User {
 		oraclePrice: BN,
 		perpPosition: PerpPosition,
 		positionBaseSizeChange: BN,
-		estimatedEntryPrice: BN
+		estimatedEntryPrice: BN,
+		includeOpenOrders: boolean
 	): BN {
 		let freeCollateralChange = ZERO;
 
@@ -2097,8 +2104,6 @@ export class User {
 			if (positionBaseSizeChange.gt(ZERO)) {
 				freeCollateralChange = costBasis.sub(newPositionValue);
 			} else {
-				console.log('newPositionValue', newPositionValue.toString());
-				console.log('costBasis', costBasis.toString());
 				freeCollateralChange = newPositionValue.sub(costBasis);
 			}
 
@@ -2111,24 +2116,23 @@ export class User {
 			freeCollateralChange = freeCollateralChange.sub(takerFee);
 		}
 
-		const worstCaseBaseAssetAmount =
-			calculateWorstCaseBaseAssetAmount(perpPosition);
+		const baseAssetAmount = includeOpenOrders
+			? calculateWorstCaseBaseAssetAmount(perpPosition)
+			: perpPosition.baseAssetAmount;
 
-		const newWorstCaseBaseAssetAmount = worstCaseBaseAssetAmount.add(
-			positionBaseSizeChange
-		);
+		const newBaseAssetAmount = baseAssetAmount.add(positionBaseSizeChange);
 
 		const newMarginRatio = calculateMarketMarginRatio(
 			market,
-			newWorstCaseBaseAssetAmount.abs(),
+			newBaseAssetAmount.abs(),
 			'Maintenance'
 		);
 
 		// update free collateral to account for new margin requirement from position change
 		freeCollateralChange = freeCollateralChange.sub(
-			newWorstCaseBaseAssetAmount
+			newBaseAssetAmount
 				.abs()
-				.sub(worstCaseBaseAssetAmount.abs())
+				.sub(baseAssetAmount.abs())
 				.mul(oraclePrice)
 				.div(BASE_PRECISION)
 				.mul(new BN(newMarginRatio))
@@ -2142,25 +2146,23 @@ export class User {
 		market: PerpMarketAccount,
 		perpPosition: PerpPosition,
 		positionBaseSizeChange: BN,
-		marginCategory: MarginCategory = 'Maintenance'
+		marginCategory: MarginCategory = 'Maintenance',
+		includeOpenOrders = false
 	): BN | undefined {
-		const currentBaseAssetAmount = perpPosition.baseAssetAmount;
+		const baseAssetAmount = includeOpenOrders
+			? calculateWorstCaseBaseAssetAmount(perpPosition)
+			: perpPosition.baseAssetAmount;
 
-		const worstCaseBaseAssetAmount =
-			calculateWorstCaseBaseAssetAmount(perpPosition);
-		const orderBaseAssetAmount = worstCaseBaseAssetAmount.sub(
-			currentBaseAssetAmount
-		);
-		const proposedBaseAssetAmount = currentBaseAssetAmount.add(
-			positionBaseSizeChange
-		);
-		const proposedWorstCaseBaseAssetAmount = worstCaseBaseAssetAmount.add(
-			positionBaseSizeChange
+		// zero if include orders == false
+		const orderBaseAssetAmount = baseAssetAmount.sub(
+			perpPosition.baseAssetAmount
 		);
 
+		const proposedBaseAssetAmount = baseAssetAmount.add(positionBaseSizeChange);
+
 		const marginRatio = calculateMarketMarginRatio(
 			market,
-			proposedWorstCaseBaseAssetAmount.abs(),
+			proposedBaseAssetAmount.abs(),
 			marginCategory,
 			this.getUserAccount().maxMarginRatio
 		);
@@ -2168,7 +2170,7 @@ export class User {
 			.mul(QUOTE_PRECISION)
 			.div(MARGIN_PRECISION);
 
-		if (proposedWorstCaseBaseAssetAmount.eq(ZERO)) {
+		if (proposedBaseAssetAmount.eq(ZERO)) {
 			return undefined;
 		}
 

package/tests/dlob/test.ts

@@ -6614,6 +6614,63 @@ describe('Uncross L2', () => {
 		);
 	});
 
+	it('Handles user crossing bid in second level', () => {
+		const oraclePrice = new BN(190.3843 * PRICE_PRECISION.toNumber());
+		const bids = [
+			[190.59, 2],
+			[190.588, 58.3],
+			[190.5557, 5],
+			[190.5547, 5],
+			[190.5508, 5],
+			[190.541, 2],
+			[190.5099, 49.1],
+			[190.5, 60],
+		].map(([price, size]) => ({
+			price: new BN(price * PRICE_PRECISION.toNumber()),
+			size: new BN(size * BASE_PRECISION.toNumber()),
+			sources: { vamm: new BN(size * BASE_PRECISION.toNumber()) },
+		}));
+
+		const asks = [
+			[190.5, 86.5],
+			[190.6159, 1],
+			[190.656, 10.5],
+			[190.6561, 1],
+			[190.6585, 5],
+			[190.6595, 5],
+			[190.6596, 5],
+		].map(([price, size]) => ({
+			price: new BN(price * PRICE_PRECISION.toNumber()),
+			size: new BN(size * BASE_PRECISION.toNumber()),
+			sources: { vamm: new BN(size * BASE_PRECISION.toNumber()) },
+		}));
+
+		expect(asksAreSortedAsc(asks), 'Input asks are ascending').to.be.true;
+		expect(bidsAreSortedDesc(bids), 'Input bids are descending').to.be.true;
+
+		const groupingSize = new BN('100');
+
+		const userBidPrice = new BN(190.588 * PRICE_PRECISION.toNumber());
+		const userBids = new Set<string>([userBidPrice.toString()]);
+
+		const { bids: newBids, asks: newAsks } = uncrossL2(
+			bids,
+			asks,
+			oraclePrice,
+			oraclePrice,
+			oraclePrice,
+			groupingSize,
+			userBids,
+			new Set<string>()
+		);
+
+		expect(asksAreSortedAsc(newAsks), 'Uncrossed asks are ascending').to.be
+			.true;
+		expect(bidsAreSortedDesc(newBids), 'Uncrossed bids are descending').to.be
+			.true;
+		expect(newBids[0].price.toString()).to.equal(userBidPrice.toString());
+	});
+
 	it('Handles edge case bide and asks with large cross and an overlapping level', () => {
 		const bids = [
 			'104411000',