@drift-labs/vaults-sdk 0.1.113 → 0.1.114

package/cli/commands/applyProfitShare.ts

@@ -22,7 +22,7 @@ export const applyProfitShare = async (program: Command, cmdOpts: OptionValues)
     const vdToRealizeProfit = await driftVault.getAllVaultDepositorsWithNoWithdrawRequest(vaultAddress);
     console.log(`Applying profit share for ${vdToRealizeProfit.length} depositors...`);
 
-    const chunkSize = 10;
+    const chunkSize = 6;
     const ixChunks: Array<Array<TransactionInstruction>> = [];
     for (let i = 0; i < vdToRealizeProfit.length; i += chunkSize) {
         const chunk = vdToRealizeProfit.slice(i, i + chunkSize);

package/lib/math/index.d.ts

@@ -1 +1,2 @@
 export * from './vaultDepositor';
+export * from './vault';

package/lib/math/index.js

@@ -15,3 +15,4 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
 };
 Object.defineProperty(exports, "__esModule", { value: true });
 __exportStar(require("./vaultDepositor"), exports);
+__exportStar(require("./vault"), exports);

package/lib/math/vault.d.ts

@@ -0,0 +1,16 @@
+import { BN, BigNum } from '@drift-labs/sdk';
+/**
+ * https://en.wikipedia.org/wiki/Modified_Dietz_method
+ * @param currentVaultEquityBaseValue
+ * @param vaultDeposits
+ * @returns weighted APY and cumulative returns calculated using the Modified Dietz method
+ */
+export declare const calcModifiedDietz: (currentVaultEquityBaseValue: BigNum, precisionExp: BN, vaultDeposits: {
+    ts: string;
+    marketIndex: number;
+    amount: string;
+    direction: 'deposit' | 'withdraw';
+}[]) => {
+    apy: number;
+    returns: number;
+};

package/lib/math/vault.js

@@ -0,0 +1,57 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calcModifiedDietz = void 0;
+const sdk_1 = require("@drift-labs/sdk");
+const DEFAULT_MODIFIED_DIETZ_RESULT = {
+    apy: 0,
+    returns: 0,
+};
+/**
+ * https://en.wikipedia.org/wiki/Modified_Dietz_method
+ * @param currentVaultEquityBaseValue
+ * @param vaultDeposits
+ * @returns weighted APY and cumulative returns calculated using the Modified Dietz method
+ */
+const calcModifiedDietz = (currentVaultEquityBaseValue, precisionExp, vaultDeposits) => {
+    if (vaultDeposits.length === 0) {
+        return DEFAULT_MODIFIED_DIETZ_RESULT;
+    }
+    const startingMarketValue = 0;
+    const endingMarkeValue = currentVaultEquityBaseValue.toNum();
+    const firstDepositTs = parseInt(vaultDeposits[vaultDeposits.length - 1].ts);
+    const lastDepositTs = parseInt(vaultDeposits[0].ts);
+    const nowTs = Date.now() / 1000;
+    if (nowTs < firstDepositTs) {
+        console.error('nowTs < firstDepositTs');
+        return DEFAULT_MODIFIED_DIETZ_RESULT;
+    }
+    if (lastDepositTs < firstDepositTs) {
+        console.error('lastDepositTs < firstDepositTs');
+        return DEFAULT_MODIFIED_DIETZ_RESULT;
+    }
+    const totalDuration = nowTs - firstDepositTs;
+    let totalNetFlow = 0;
+    let weightedNetFlow = 0;
+    vaultDeposits.forEach((deposit) => {
+        let depositAmount = sdk_1.BigNum.from(deposit.amount, precisionExp).toNum();
+        if (deposit.direction === 'withdraw') {
+            depositAmount *= -1;
+        }
+        totalNetFlow += depositAmount;
+        const depositAge = parseInt(deposit.ts) - firstDepositTs;
+        const depositWeight = (totalDuration - depositAge) / totalDuration;
+        if (depositWeight < 0) {
+            console.error('depositWeight < 0');
+            return -1;
+        }
+        weightedNetFlow += depositWeight * depositAmount;
+    }, 0);
+    const modifiedDietzReturns = (endingMarkeValue - startingMarketValue - totalNetFlow) /
+        (startingMarketValue + weightedNetFlow);
+    if (modifiedDietzReturns < 0)
+        return DEFAULT_MODIFIED_DIETZ_RESULT;
+    const annualized = Math.pow(1 + modifiedDietzReturns, (86400 * 365) / totalDuration) - 1;
+    const positiveApy = Math.max(annualized, 0);
+    return { apy: positiveApy, returns: modifiedDietzReturns };
+};
+exports.calcModifiedDietz = calcModifiedDietz;

package/lib/vaultClient.d.ts

@@ -1,12 +1,13 @@
 /// <reference types="bn.js" />
 /// <reference types="@coral-xyz/anchor/node_modules/@solana/web3.js" />
 /// <reference types="@pythnetwork/client/node_modules/@solana/web3.js" />
-import { BN, DriftClient, User } from '@drift-labs/sdk';
+import { BN, DriftClient, User, UserMap } from '@drift-labs/sdk';
 import { Program, ProgramAccount } from '@coral-xyz/anchor';
 import { DriftVaults } from './types/drift_vaults';
 import { CompetitionsClient } from '@drift-labs/competitions-sdk';
 import { PublicKey, SetComputeUnitLimitParams, TransactionInstruction, TransactionSignature } from '@solana/web3.js';
 import { Vault, VaultDepositor, WithdrawUnit } from './types/types';
+import { UserMapConfig } from '@drift-labs/sdk/lib/userMap/userMapConfig';
 export declare class VaultClient {
     driftClient: DriftClient;
     program: Program<DriftVaults>;
@@ -14,11 +15,12 @@ export declare class VaultClient {
     /**
      * Cache map of drift user accounts of vaults.
      */
-    readonly vaultUsers: Map<string, User>;
-    constructor({ driftClient, program, cliMode, }: {
+    readonly vaultUsers: UserMap;
+    constructor({ driftClient, program, cliMode, userMapConfig, }: {
         driftClient: DriftClient;
         program: Program<DriftVaults>;
         cliMode?: boolean;
+        userMapConfig?: UserMapConfig;
     });
     getVault(vault: PublicKey): Promise<Vault>;
     getVaultDepositor(vaultDepositor: PublicKey): Promise<any>;

package/lib/vaultClient.js

@@ -9,14 +9,23 @@ const web3_js_1 = require("@solana/web3.js");
 const spl_token_1 = require("@solana/spl-token");
 const bytes_1 = require("@coral-xyz/anchor/dist/cjs/utils/bytes");
 class VaultClient {
-    constructor({ driftClient, program, cliMode, }) {
-        /**
-         * Cache map of drift user accounts of vaults.
-         */
-        this.vaultUsers = new Map();
+    constructor({ driftClient, program, cliMode, userMapConfig, }) {
         this.driftClient = driftClient;
         this.program = program;
         this.cliMode = !!cliMode;
+        if (!userMapConfig) {
+            this.vaultUsers = new sdk_1.UserMap({
+                driftClient: driftClient,
+                subscriptionConfig: {
+                    type: 'polling',
+                    frequency: 1000,
+                    commitment: 'processed',
+                },
+            });
+        }
+        else {
+            this.vaultUsers = new sdk_1.UserMap(userMapConfig);
+        }
     }
     async getVault(vault) {
         // @ts-ignore
@@ -79,8 +88,7 @@ class VaultClient {
                 driftClient: this.driftClient,
                 userAccountPublicKey: vaultDriftUserAccountPubKey,
             });
-            await vaultUser.subscribe();
-            this.vaultUsers.set(vaultDriftUserAccountPubKey.toBase58(), vaultUser);
+            await this.vaultUsers.addPubkey(vaultDriftUserAccountPubKey);
         }
         if (!(vaultUser === null || vaultUser === void 0 ? void 0 : vaultUser.isSubscribed)) {
             await vaultUser.subscribe();
@@ -666,6 +674,7 @@ class VaultClient {
         tx.add(web3_js_1.ComputeBudgetProgram.setComputeUnitLimit(computeUnitParams || {
             units: 400000,
         }));
+        tx.add(web3_js_1.ComputeBudgetProgram.setComputeUnitPrice({ microLamports: 1000000 }));
         tx.add(...ixs);
         const { txSig } = await this.driftClient.sendTransaction(tx, [], this.driftClient.opts);
         return txSig;

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@drift-labs/vaults-sdk",
-  "version": "0.1.113",
+  "version": "0.1.114",
   "main": "lib/index.js",
   "types": "lib/index.d.ts",
   "directories": {

package/src/math/index.ts

@@ -1 +1,2 @@
 export * from './vaultDepositor';
+export * from './vault';

package/src/math/vault.ts

@@ -0,0 +1,71 @@
+import { BN, BigNum } from '@drift-labs/sdk';
+
+const DEFAULT_MODIFIED_DIETZ_RESULT = {
+	apy: 0,
+	returns: 0,
+};
+
+/**
+ * https://en.wikipedia.org/wiki/Modified_Dietz_method
+ * @param currentVaultEquityBaseValue
+ * @param vaultDeposits
+ * @returns weighted APY and cumulative returns calculated using the Modified Dietz method
+ */
+export const calcModifiedDietz = (
+	currentVaultEquityBaseValue: BigNum,
+	precisionExp: BN,
+	vaultDeposits: {
+		ts: string;
+		marketIndex: number;
+		amount: string;
+		direction: 'deposit' | 'withdraw';
+	}[]
+): { apy: number; returns: number } => {
+	if (vaultDeposits.length === 0) {
+		return DEFAULT_MODIFIED_DIETZ_RESULT;
+	}
+
+	const startingMarketValue = 0;
+	const endingMarkeValue = currentVaultEquityBaseValue.toNum();
+	const firstDepositTs = parseInt(vaultDeposits[vaultDeposits.length - 1].ts);
+	const lastDepositTs = parseInt(vaultDeposits[0].ts);
+	const nowTs = Date.now() / 1000;
+	if (nowTs < firstDepositTs) {
+		console.error('nowTs < firstDepositTs');
+		return DEFAULT_MODIFIED_DIETZ_RESULT;
+	}
+	if (lastDepositTs < firstDepositTs) {
+		console.error('lastDepositTs < firstDepositTs');
+		return DEFAULT_MODIFIED_DIETZ_RESULT;
+	}
+	const totalDuration = nowTs - firstDepositTs;
+
+	let totalNetFlow = 0;
+	let weightedNetFlow = 0;
+	vaultDeposits.forEach((deposit) => {
+		let depositAmount = BigNum.from(deposit.amount, precisionExp).toNum();
+		if (deposit.direction === 'withdraw') {
+			depositAmount *= -1;
+		}
+		totalNetFlow += depositAmount;
+		const depositAge = parseInt(deposit.ts) - firstDepositTs;
+		const depositWeight = (totalDuration - depositAge) / totalDuration;
+		if (depositWeight < 0) {
+			console.error('depositWeight < 0');
+			return -1;
+		}
+		weightedNetFlow += depositWeight * depositAmount;
+	}, 0);
+
+	const modifiedDietzReturns =
+		(endingMarkeValue - startingMarketValue - totalNetFlow) /
+		(startingMarketValue + weightedNetFlow);
+
+	if (modifiedDietzReturns < 0) return DEFAULT_MODIFIED_DIETZ_RESULT;
+
+	const annualized =
+		Math.pow(1 + modifiedDietzReturns, (86400 * 365) / totalDuration) - 1;
+
+	const positiveApy = Math.max(annualized, 0);
+	return { apy: positiveApy, returns: modifiedDietzReturns };
+};

package/src/vaultClient.ts

@@ -7,6 +7,7 @@ import {
 	getUserAccountPublicKeySync,
 	getUserStatsAccountPublicKey,
 	User,
+	UserMap,
 } from '@drift-labs/sdk';
 import { BorshAccountsCoder, Program, ProgramAccount } from '@coral-xyz/anchor';
 import { DriftVaults } from './types/drift_vaults';
@@ -36,6 +37,7 @@ import {
 } from '@solana/spl-token';
 import { Vault, VaultDepositor, WithdrawUnit } from './types/types';
 import { bs58 } from '@coral-xyz/anchor/dist/cjs/utils/bytes';
+import { UserMapConfig } from '@drift-labs/sdk/lib/userMap/userMapConfig';
 
 export class VaultClient {
 	driftClient: DriftClient;
@@ -45,20 +47,35 @@ export class VaultClient {
 	/**
 	 * Cache map of drift user accounts of vaults.
 	 */
-	readonly vaultUsers: Map<string, User> = new Map<string, User>();
+	readonly vaultUsers: UserMap;
 
 	constructor({
 		driftClient,
 		program,
 		cliMode,
+		userMapConfig,
 	}: {
 		driftClient: DriftClient;
 		program: Program<DriftVaults>;
 		cliMode?: boolean;
+		userMapConfig?: UserMapConfig;
 	}) {
 		this.driftClient = driftClient;
 		this.program = program;
 		this.cliMode = !!cliMode;
+
+		if (!userMapConfig) {
+			this.vaultUsers = new UserMap({
+				driftClient: driftClient,
+				subscriptionConfig: {
+					type: 'polling',
+					frequency: 1000,
+					commitment: 'processed',
+				},
+			});
+		} else {
+			this.vaultUsers = new UserMap(userMapConfig);
+		}
 	}
 
 	public async getVault(vault: PublicKey): Promise<Vault> {
@@ -139,8 +156,7 @@ export class VaultClient {
 				driftClient: this.driftClient,
 				userAccountPublicKey: vaultDriftUserAccountPubKey,
 			});
-			await vaultUser.subscribe();
-			this.vaultUsers.set(vaultDriftUserAccountPubKey.toBase58(), vaultUser);
+			await this.vaultUsers.addPubkey(vaultDriftUserAccountPubKey);
 		}
 
 		if (!vaultUser?.isSubscribed) {
@@ -1022,6 +1038,9 @@ export class VaultClient {
 				}
 			)
 		);
+		tx.add(
+			ComputeBudgetProgram.setComputeUnitPrice({ microLamports: 1_000_000 })
+		);
 		tx.add(...ixs);
 		const { txSig } = await this.driftClient.sendTransaction(
 			tx,