@sonarwatch/portfolio-plugins 0.12.37 → 0.12.39

package/src/plugins/drift/perpHelpers/constants.d.ts

@@ -0,0 +1,27 @@
+import BigNumber from 'bignumber.js';
+export declare const PRICE_PRECISION_EXP: import("bn.js");
+export declare const PRICE_PRECISION: import("bn.js");
+export declare const PRICE_PRECISION_BIG_NUMBER: BigNumber;
+export declare const PEG_PRECISION_EXP: import("bn.js");
+export declare const PEG_PRECISION: import("bn.js");
+export declare const ZERO: import("bn.js");
+export declare const ONE: import("bn.js");
+export declare const TWO: import("bn.js");
+export declare const TEN: import("bn.js");
+export declare const AMM_RESERVE_PRECISION_EXP: import("bn.js");
+export declare const QUOTE_PRECISION_EXP: import("bn.js");
+export declare const QUOTE_PRECISION: import("bn.js");
+export declare const AMM_RESERVE_PRECISION: import("bn.js");
+export declare const AMM_TO_QUOTE_PRECISION_RATIO: import("bn.js");
+export declare const PRICE_DIV_PEG: import("bn.js");
+export declare const BID_ASK_SPREAD_PRECISION: import("bn.js");
+export declare const PERCENTAGE_PRECISION_EXP: import("bn.js");
+export declare const PERCENTAGE_PRECISION: import("bn.js");
+export declare const DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT: import("bn.js");
+export declare const AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO: import("bn.js");
+export declare const FIVE_MINUTE: import("bn.js");
+export declare const FUNDING_RATE_BUFFER_PRECISION_EXP: import("bn.js");
+export declare const FUNDING_RATE_BUFFER_PRECISION: import("bn.js");
+export declare const SPOT_MARKET_IMF_PRECISION_EXP: import("bn.js");
+export declare const SPOT_MARKET_IMF_PRECISION: import("bn.js");
+export declare const SPOT_MARKET_WEIGHT_PRECISION: import("bn.js");

package/src/plugins/drift/perpHelpers/constants.js

@@ -0,0 +1,35 @@
+"use strict";
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.SPOT_MARKET_WEIGHT_PRECISION = exports.SPOT_MARKET_IMF_PRECISION = exports.SPOT_MARKET_IMF_PRECISION_EXP = exports.FUNDING_RATE_BUFFER_PRECISION = exports.FUNDING_RATE_BUFFER_PRECISION_EXP = exports.FIVE_MINUTE = exports.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO = exports.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = exports.PERCENTAGE_PRECISION = exports.PERCENTAGE_PRECISION_EXP = exports.BID_ASK_SPREAD_PRECISION = exports.PRICE_DIV_PEG = exports.AMM_TO_QUOTE_PRECISION_RATIO = exports.AMM_RESERVE_PRECISION = exports.QUOTE_PRECISION = exports.QUOTE_PRECISION_EXP = exports.AMM_RESERVE_PRECISION_EXP = exports.TEN = exports.TWO = exports.ONE = exports.ZERO = exports.PEG_PRECISION = exports.PEG_PRECISION_EXP = exports.PRICE_PRECISION_BIG_NUMBER = exports.PRICE_PRECISION = exports.PRICE_PRECISION_EXP = void 0;
+const bignumber_js_1 = __importDefault(require("bignumber.js"));
+const bn_js_1 = require("bn.js");
+exports.PRICE_PRECISION_EXP = new bn_js_1.BN(6);
+exports.PRICE_PRECISION = new bn_js_1.BN(10).pow(exports.PRICE_PRECISION_EXP);
+exports.PRICE_PRECISION_BIG_NUMBER = new bignumber_js_1.default(exports.PRICE_PRECISION.toString());
+exports.PEG_PRECISION_EXP = new bn_js_1.BN(6);
+exports.PEG_PRECISION = new bn_js_1.BN(10).pow(exports.PEG_PRECISION_EXP);
+exports.ZERO = new bn_js_1.BN(0);
+exports.ONE = new bn_js_1.BN(1);
+exports.TWO = new bn_js_1.BN(2);
+exports.TEN = new bn_js_1.BN(10);
+exports.AMM_RESERVE_PRECISION_EXP = new bn_js_1.BN(9);
+exports.QUOTE_PRECISION_EXP = new bn_js_1.BN(6);
+exports.QUOTE_PRECISION = new bn_js_1.BN(10).pow(exports.QUOTE_PRECISION_EXP);
+exports.AMM_RESERVE_PRECISION = new bn_js_1.BN(10).pow(exports.AMM_RESERVE_PRECISION_EXP);
+exports.AMM_TO_QUOTE_PRECISION_RATIO = exports.AMM_RESERVE_PRECISION.div(exports.QUOTE_PRECISION);
+exports.PRICE_DIV_PEG = exports.PRICE_PRECISION.div(exports.PEG_PRECISION);
+exports.BID_ASK_SPREAD_PRECISION = new bn_js_1.BN(1000000);
+exports.PERCENTAGE_PRECISION_EXP = new bn_js_1.BN(6);
+exports.PERCENTAGE_PRECISION = new bn_js_1.BN(10).pow(exports.PERCENTAGE_PRECISION_EXP);
+exports.DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT = new bn_js_1.BN(-25).mul(exports.QUOTE_PRECISION);
+exports.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO = exports.AMM_RESERVE_PRECISION.mul(exports.PEG_PRECISION).div(exports.QUOTE_PRECISION);
+exports.FIVE_MINUTE = new bn_js_1.BN(60 * 5);
+exports.FUNDING_RATE_BUFFER_PRECISION_EXP = new bn_js_1.BN(3);
+exports.FUNDING_RATE_BUFFER_PRECISION = new bn_js_1.BN(10).pow(exports.FUNDING_RATE_BUFFER_PRECISION_EXP);
+exports.SPOT_MARKET_IMF_PRECISION_EXP = new bn_js_1.BN(6);
+exports.SPOT_MARKET_IMF_PRECISION = new bn_js_1.BN(10).pow(exports.SPOT_MARKET_IMF_PRECISION_EXP);
+exports.SPOT_MARKET_WEIGHT_PRECISION = new bn_js_1.BN(10000);
+//# sourceMappingURL=constants.js.map

package/src/plugins/drift/perpHelpers/constants.js.map

@@ -0,0 +1 @@
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package/src/plugins/drift/perpHelpers/convert.js

@@ -0,0 +1,2 @@
+"use strict";
+//# sourceMappingURL=convert.js.map

package/src/plugins/drift/perpHelpers/convert.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"convert.js","sourceRoot":"","sources":["../../../../../../../packages/plugins/src/plugins/drift/perpHelpers/convert.ts"],"names":[],"mappings":""}

package/src/plugins/drift/perpHelpers/getOraclePrice.d.ts

@@ -0,0 +1,4 @@
+import { SolanaClient } from '../../../utils/clients/types';
+import { OracleSource } from '../struct';
+import { OraclePriceData } from './types';
+export declare function getOraclePrice(oracle: string, oracleSource: OracleSource, connection: SolanaClient): Promise<OraclePriceData>;

package/src/plugins/drift/perpHelpers/getOraclePrice.js

@@ -0,0 +1,61 @@
+"use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getOraclePrice = void 0;
+const web3_js_1 = require("@solana/web3.js");
+const bn_js_1 = require("bn.js");
+const struct_1 = require("../struct");
+const pyth_1 = require("./pyth");
+const switchboard_1 = require("./switchboard");
+const prelaunchOracle_1 = require("./prelaunchOracle");
+const oraclePrices = new Map();
+const lastUpdates = new Map();
+const oraclePriceTtl = 90000;
+function getOraclePrice(oracle, oracleSource, connection) {
+    return __awaiter(this, void 0, void 0, function* () {
+        const lastUpdate = lastUpdates.get(oracle);
+        const oPriceData = oraclePrices.get(oracle);
+        if (!oPriceData || !lastUpdate || lastUpdate < Date.now() - oraclePriceTtl) {
+            const acc = yield connection.getAccountInfo(new web3_js_1.PublicKey(oracle));
+            if (!acc)
+                throw new Error('Unable to fetch oracle data');
+            let coPriceData;
+            switch (oracleSource) {
+                case struct_1.OracleSource.Pyth:
+                    coPriceData = (0, pyth_1.getPythOraclePriceDataFromBuffer)(acc.data, new bn_js_1.BN(1), false);
+                    break;
+                case struct_1.OracleSource.Pyth1K:
+                    coPriceData = (0, pyth_1.getPythOraclePriceDataFromBuffer)(acc.data, new bn_js_1.BN(1000), false);
+                    break;
+                case struct_1.OracleSource.Pyth1M:
+                    coPriceData = (0, pyth_1.getPythOraclePriceDataFromBuffer)(acc.data, new bn_js_1.BN(1000000), false);
+                    break;
+                case struct_1.OracleSource.PythStableCoin:
+                    coPriceData = (0, pyth_1.getPythOraclePriceDataFromBuffer)(acc.data, new bn_js_1.BN(1), true);
+                    break;
+                case struct_1.OracleSource.Switchboard:
+                    coPriceData = (0, switchboard_1.getSwitchboardOraclePriceDataFromBuffer)(acc.data);
+                    break;
+                case struct_1.OracleSource.Prelaunch:
+                    coPriceData = (0, prelaunchOracle_1.getPreLaunchOraclePriceDataFromBuffer)(acc.data);
+                    break;
+                default:
+                    throw new Error('Unsupported OracleSource');
+            }
+            oraclePrices.set(oracle, coPriceData);
+            lastUpdates.set(oracle, Date.now());
+            return coPriceData;
+        }
+        return oPriceData;
+    });
+}
+exports.getOraclePrice = getOraclePrice;
+//# sourceMappingURL=getOraclePrice.js.map

package/src/plugins/drift/perpHelpers/getOraclePrice.js.map

@@ -0,0 +1 @@
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package/src/plugins/drift/perpHelpers/getPerpMarket.d.ts

@@ -0,0 +1,4 @@
+import { SolanaClient } from '../../../utils/clients/types';
+import { PerpMarket } from '../struct';
+import { ParsedAccount } from '../../../utils/solana';
+export declare function getPerpMarket(perpMarketAdd: string, connection: SolanaClient): Promise<ParsedAccount<PerpMarket> | null>;

package/src/plugins/drift/perpHelpers/getPerpMarket.js

@@ -0,0 +1,33 @@
+"use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getPerpMarket = void 0;
+const web3_js_1 = require("@solana/web3.js");
+const struct_1 = require("../struct");
+const getParsedAccountInfo_1 = require("../../../utils/solana/getParsedAccountInfo");
+const perpMarkets = new Map();
+const lastUpdates = new Map();
+const perpMarketTtl = 3600000; // 1 hour
+function getPerpMarket(perpMarketAdd, connection) {
+    return __awaiter(this, void 0, void 0, function* () {
+        const lastUpdate = lastUpdates.get(perpMarketAdd);
+        const perpMarket = perpMarkets.get(perpMarketAdd);
+        if (!perpMarket || !lastUpdate || lastUpdate < Date.now() - perpMarketTtl) {
+            const cPerpMarket = yield (0, getParsedAccountInfo_1.getParsedAccountInfo)(connection, struct_1.perpMarketStruct, new web3_js_1.PublicKey(perpMarketAdd));
+            perpMarkets.set(perpMarketAdd, cPerpMarket);
+            lastUpdates.set(perpMarketAdd, Date.now());
+            return cPerpMarket;
+        }
+        return perpMarket;
+    });
+}
+exports.getPerpMarket = getPerpMarket;
+//# sourceMappingURL=getPerpMarket.js.map

package/src/plugins/drift/perpHelpers/getPerpMarket.js.map

@@ -0,0 +1 @@
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package/src/plugins/drift/perpHelpers/margin.d.ts

@@ -0,0 +1,10 @@
+import BN from 'bn.js';
+import { PerpMarket, PerpPosition } from '../struct';
+import { OraclePriceData } from './types';
+export declare function calculateSizePremiumLiabilityWeight(size: BN, // AMM_RESERVE_PRECISION
+imfFactor: BN, liabilityWeight: BN, precision: BN): BN;
+export declare function calculateSizeDiscountAssetWeight(size: BN, // AMM_RESERVE_PRECISION
+imfFactor: BN, assetWeight: BN): BN;
+export declare function calculateOraclePriceForPerpMargin(perpPosition: PerpPosition, market: PerpMarket, oraclePriceData: OraclePriceData): BN;
+export declare function calculateBaseAssetValueWithOracle(market: PerpMarket, perpPosition: PerpPosition, oraclePriceData: OraclePriceData, includeOpenOrders?: boolean): BN;
+export declare function calculateWorstCaseBaseAssetAmount(perpPosition: PerpPosition): BN;

package/src/plugins/drift/perpHelpers/margin.js

@@ -0,0 +1,82 @@
+"use strict";
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateWorstCaseBaseAssetAmount = exports.calculateBaseAssetValueWithOracle = exports.calculateOraclePriceForPerpMargin = exports.calculateSizeDiscountAssetWeight = exports.calculateSizePremiumLiabilityWeight = void 0;
+const bn_js_1 = __importDefault(require("bn.js"));
+const struct_1 = require("../struct");
+const constants_1 = require("./constants");
+const math_1 = require("./math");
+const assert_1 = require("./assert");
+function calculateSizePremiumLiabilityWeight(size, // AMM_RESERVE_PRECISION
+imfFactor, liabilityWeight, precision) {
+    if (imfFactor.eq(constants_1.ZERO)) {
+        return liabilityWeight;
+    }
+    const sizeSqrt = (0, math_1.squareRootBN)(size.abs().mul(new bn_js_1.default(10)).add(new bn_js_1.default(1))); // 1e9 -> 1e10 -> 1e5
+    const liabilityWeightNumerator = liabilityWeight.sub(liabilityWeight.div(new bn_js_1.default(5)));
+    const denom = new bn_js_1.default(100000).mul(constants_1.SPOT_MARKET_IMF_PRECISION).div(precision);
+    (0, assert_1.assert)(denom.gt(constants_1.ZERO));
+    const sizePremiumLiabilityWeight = liabilityWeightNumerator.add(sizeSqrt // 1e5
+        .mul(imfFactor)
+        .div(denom) // 1e5
+    );
+    const maxLiabilityWeight = bn_js_1.default.max(liabilityWeight, sizePremiumLiabilityWeight);
+    return maxLiabilityWeight;
+}
+exports.calculateSizePremiumLiabilityWeight = calculateSizePremiumLiabilityWeight;
+function calculateSizeDiscountAssetWeight(size, // AMM_RESERVE_PRECISION
+imfFactor, assetWeight) {
+    if (imfFactor.eq(constants_1.ZERO)) {
+        return assetWeight;
+    }
+    const sizeSqrt = (0, math_1.squareRootBN)(size.abs().mul(new bn_js_1.default(10)).add(new bn_js_1.default(1))); // 1e9 -> 1e10 -> 1e5
+    const imfNumerator = constants_1.SPOT_MARKET_IMF_PRECISION.add(constants_1.SPOT_MARKET_IMF_PRECISION.div(new bn_js_1.default(10)));
+    const sizeDiscountAssetWeight = imfNumerator
+        .mul(constants_1.SPOT_MARKET_WEIGHT_PRECISION)
+        .div(constants_1.SPOT_MARKET_IMF_PRECISION.add(sizeSqrt // 1e5
+        .mul(imfFactor)
+        .div(new bn_js_1.default(100000)) // 1e5
+    ));
+    const minAssetWeight = bn_js_1.default.min(assetWeight, sizeDiscountAssetWeight);
+    return minAssetWeight;
+}
+exports.calculateSizeDiscountAssetWeight = calculateSizeDiscountAssetWeight;
+function calculateOraclePriceForPerpMargin(perpPosition, market, oraclePriceData) {
+    const oraclePriceOffset = bn_js_1.default.min(new bn_js_1.default(market.amm.maxSpread)
+        .mul(oraclePriceData.price)
+        .div(constants_1.BID_ASK_SPREAD_PRECISION), oraclePriceData.confidence.add(new bn_js_1.default(market.amm.baseSpread)
+        .mul(oraclePriceData.price)
+        .div(constants_1.BID_ASK_SPREAD_PRECISION)));
+    let marginPrice;
+    if (perpPosition.baseAssetAmount.gt(constants_1.ZERO)) {
+        marginPrice = oraclePriceData.price.sub(oraclePriceOffset);
+    }
+    else {
+        marginPrice = oraclePriceData.price.add(oraclePriceOffset);
+    }
+    return marginPrice;
+}
+exports.calculateOraclePriceForPerpMargin = calculateOraclePriceForPerpMargin;
+function calculateBaseAssetValueWithOracle(market, perpPosition, oraclePriceData, includeOpenOrders = false) {
+    let { price } = oraclePriceData;
+    if (market.status === struct_1.MarketStatus.Settlement) {
+        price = new bn_js_1.default(market.expiryPrice.toString(10), 10);
+    }
+    const baseAssetAmount = includeOpenOrders
+        ? calculateWorstCaseBaseAssetAmount(perpPosition)
+        : perpPosition.baseAssetAmount;
+    return baseAssetAmount.abs().mul(price).div(constants_1.AMM_RESERVE_PRECISION);
+}
+exports.calculateBaseAssetValueWithOracle = calculateBaseAssetValueWithOracle;
+function calculateWorstCaseBaseAssetAmount(perpPosition) {
+    const allBids = perpPosition.baseAssetAmount.add(perpPosition.openBids);
+    const allAsks = perpPosition.baseAssetAmount.add(perpPosition.openAsks);
+    if (allBids.abs().gt(allAsks.abs())) {
+        return allBids;
+    }
+    return allAsks;
+}
+exports.calculateWorstCaseBaseAssetAmount = calculateWorstCaseBaseAssetAmount;
+//# sourceMappingURL=margin.js.map

package/src/plugins/drift/perpHelpers/margin.js.map

@@ -0,0 +1 @@
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package/src/plugins/drift/perpHelpers/math.d.ts

@@ -0,0 +1,4 @@
+import BN from 'bn.js';
+export declare function clampBN(x: BN, min: BN, max: BN): BN;
+export declare const squareRootBN: (n: BN) => BN;
+export declare const sigNum: (x: BN) => BN;

package/src/plugins/drift/perpHelpers/math.js

@@ -0,0 +1,29 @@
+"use strict";
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.sigNum = exports.squareRootBN = exports.clampBN = void 0;
+const bn_js_1 = __importDefault(require("bn.js"));
+function clampBN(x, min, max) {
+    return bn_js_1.default.max(min, bn_js_1.default.min(x, max));
+}
+exports.clampBN = clampBN;
+const squareRootBN = (n) => {
+    if (n.lt(new bn_js_1.default(0))) {
+        throw new Error('Sqrt only works on non-negtiave inputs');
+    }
+    if (n.lt(new bn_js_1.default(2))) {
+        return n;
+    }
+    const smallCand = (0, exports.squareRootBN)(n.shrn(2)).shln(1);
+    const largeCand = smallCand.add(new bn_js_1.default(1));
+    if (largeCand.mul(largeCand).gt(n)) {
+        return smallCand;
+    }
+    return largeCand;
+};
+exports.squareRootBN = squareRootBN;
+const sigNum = (x) => (x.isNeg() ? new bn_js_1.default(-1) : new bn_js_1.default(1));
+exports.sigNum = sigNum;
+//# sourceMappingURL=math.js.map

package/src/plugins/drift/perpHelpers/math.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"math.js","sourceRoot":"","sources":["../../../../../../../packages/plugins/src/plugins/drift/perpHelpers/math.ts"],"names":[],"mappings":";;;;;;AAAA,kDAAuB;AAEvB,SAAgB,OAAO,CAAC,CAAK,EAAE,GAAO,EAAE,GAAO;IAC7C,OAAO,eAAE,CAAC,GAAG,CAAC,GAAG,EAAE,eAAE,CAAC,GAAG,CAAC,CAAC,EAAE,GAAG,CAAC,CAAC,CAAC;AACrC,CAAC;AAFD,0BAEC;AAEM,MAAM,YAAY,GAAG,CAAC,CAAK,EAAM,EAAE;IACxC,IAAI,CAAC,CAAC,EAAE,CAAC,IAAI,eAAE,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC;QACpB,MAAM,IAAI,KAAK,CAAC,wCAAwC,CAAC,CAAC;IAC5D,CAAC;IACD,IAAI,CAAC,CAAC,EAAE,CAAC,IAAI,eAAE,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC;QACpB,OAAO,CAAC,CAAC;IACX,CAAC;IAED,MAAM,SAAS,GAAG,IAAA,oBAAY,EAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;IAClD,MAAM,SAAS,GAAG,SAAS,CAAC,GAAG,CAAC,IAAI,eAAE,CAAC,CAAC,CAAC,CAAC,CAAC;IAE3C,IAAI,SAAS,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,EAAE,CAAC;QACnC,OAAO,SAAS,CAAC;IACnB,CAAC;IACD,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAfW,QAAA,YAAY,gBAevB;AAEK,MAAM,MAAM,GAAG,CAAC,CAAK,EAAM,EAAE,CAAC,CAAC,CAAC,CAAC,KAAK,EAAE,CAAC,CAAC,CAAC,IAAI,eAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,eAAE,CAAC,CAAC,CAAC,CAAC,CAAC;AAA7D,QAAA,MAAM,UAAuD"}

package/src/plugins/drift/perpHelpers/oracle.d.ts

@@ -0,0 +1,6 @@
+import BN from 'bn.js';
+import { AMM, HistoricalOracleData } from '../struct';
+import { OraclePriceData } from './types';
+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/src/plugins/drift/perpHelpers/oracle.js

@@ -0,0 +1,54 @@
+"use strict";
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getNewOracleConfPct = exports.calculateLiveOracleStd = exports.calculateLiveOracleTwap = void 0;
+const bn_js_1 = __importDefault(require("bn.js"));
+const constants_1 = require("./constants");
+function calculateLiveOracleTwap(histOracleData, oraclePriceData, now, period) {
+    let oracleTwap;
+    if (period.eq(constants_1.FIVE_MINUTE)) {
+        oracleTwap = new bn_js_1.default(histOracleData.lastOraclePriceTwap5Min.toString(10), 10);
+    }
+    else {
+        // todo: assumes its fundingPeriod (1hr)
+        // period = amm.fundingPeriod;
+        oracleTwap = new bn_js_1.default(histOracleData.lastOraclePriceTwap.toString(10), 10);
+    }
+    const sinceLastUpdate = bn_js_1.default.max(constants_1.ONE, now.sub(new bn_js_1.default(histOracleData.lastOraclePriceTwapTs.toString(10), 10)));
+    const sinceStart = bn_js_1.default.max(constants_1.ZERO, period.sub(sinceLastUpdate));
+    const clampRange = oracleTwap.div(new bn_js_1.default(3));
+    const clampedOraclePrice = bn_js_1.default.min(oracleTwap.add(clampRange), bn_js_1.default.max(oraclePriceData.price, oracleTwap.sub(clampRange)));
+    const newOracleTwap = oracleTwap
+        .mul(sinceStart)
+        .add(clampedOraclePrice.mul(sinceLastUpdate))
+        .div(sinceStart.add(sinceLastUpdate));
+    return newOracleTwap;
+}
+exports.calculateLiveOracleTwap = calculateLiveOracleTwap;
+function calculateLiveOracleStd(amm, oraclePriceData, now) {
+    const sinceLastUpdate = bn_js_1.default.max(constants_1.ONE, now.sub(new bn_js_1.default(amm.historicalOracleData.lastOraclePriceTwapTs.toString(10), 10)));
+    const sinceStart = bn_js_1.default.max(constants_1.ZERO, amm.fundingPeriod.sub(sinceLastUpdate));
+    const liveOracleTwap = calculateLiveOracleTwap(amm.historicalOracleData, oraclePriceData, now, amm.fundingPeriod);
+    const priceDeltaVsTwap = oraclePriceData.price.sub(liveOracleTwap).abs();
+    const oracleStd = priceDeltaVsTwap.add(amm.oracleStd.mul(sinceStart).div(sinceStart.add(sinceLastUpdate)));
+    return oracleStd;
+}
+exports.calculateLiveOracleStd = calculateLiveOracleStd;
+function getNewOracleConfPct(amm, oraclePriceData, reservePrice, now) {
+    const confInterval = oraclePriceData.confidence || constants_1.ZERO;
+    const sinceLastUpdate = bn_js_1.default.max(constants_1.ZERO, now.sub(new bn_js_1.default(amm.historicalOracleData.lastOraclePriceTwapTs.toString(10), 10)));
+    let lowerBoundConfPct = amm.lastOracleConfPct;
+    if (sinceLastUpdate.gt(constants_1.ZERO)) {
+        const lowerBoundConfDivisor = bn_js_1.default.max(new bn_js_1.default(21).sub(sinceLastUpdate), new bn_js_1.default(5));
+        lowerBoundConfPct = amm.lastOracleConfPct.sub(amm.lastOracleConfPct.div(lowerBoundConfDivisor));
+    }
+    const confIntervalPct = confInterval
+        .mul(constants_1.BID_ASK_SPREAD_PRECISION)
+        .div(reservePrice);
+    const confIntervalPctResult = bn_js_1.default.max(confIntervalPct, lowerBoundConfPct);
+    return confIntervalPctResult;
+}
+exports.getNewOracleConfPct = getNewOracleConfPct;
+//# sourceMappingURL=oracle.js.map

package/src/plugins/drift/perpHelpers/oracle.js.map

@@ -0,0 +1 @@
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package/src/plugins/drift/perpHelpers/orders.d.ts

@@ -0,0 +1,2 @@
+import BN from 'bn.js';
+export declare function standardizeBaseAssetAmount(baseAssetAmount: BN, stepSize: BN): BN;

package/src/plugins/drift/perpHelpers/orders.js

@@ -0,0 +1,9 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.standardizeBaseAssetAmount = void 0;
+function standardizeBaseAssetAmount(baseAssetAmount, stepSize) {
+    const remainder = baseAssetAmount.mod(stepSize);
+    return baseAssetAmount.sub(remainder);
+}
+exports.standardizeBaseAssetAmount = standardizeBaseAssetAmount;
+//# sourceMappingURL=orders.js.map

package/src/plugins/drift/perpHelpers/orders.js.map

@@ -0,0 +1 @@
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package/src/plugins/drift/perpHelpers/position.d.ts

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+import BN from 'bn.js';
+import { PerpMarket, PerpPosition } from '../struct';
+import { OraclePriceData, PositionDirection } from './types';
+export declare function calculateBaseAssetValue(market: PerpMarket, userPosition: PerpPosition, oraclePriceData: OraclePriceData, useSpread?: boolean, skipUpdate?: boolean): BN;
+/**
+ * calculatePositionPNL
+ * = BaseAssetAmount * (Avg Exit Price - Avg Entry Price)
+ * @param market
+ * @param PerpPosition
+ * @param withFunding (adds unrealized funding payment pnl to result)
+ * @param oraclePriceData
+ * @returns BaseAssetAmount : Precision QUOTE_PRECISION
+ */
+export declare function calculatePositionPNL(market: PerpMarket, perpPosition: PerpPosition, oraclePriceData: OraclePriceData, withFunding?: boolean): BN;
+/**
+ *
+ * @param market
+ * @param PerpPosition
+ * @returns // QUOTE_PRECISION
+ */
+export declare function calculatePositionFundingPNL(market: PerpMarket, perpPosition: PerpPosition): BN;
+export declare function positionIsAvailable(position: PerpPosition): boolean;
+/**
+ *
+ * @param userPosition
+ * @returns Precision: PRICE_PRECISION (10^6)
+ */
+export declare function calculateBreakEvenPrice(userPosition: PerpPosition): BN;
+/**
+ *
+ * @param userPosition
+ * @returns Precision: PRICE_PRECISION (10^6)
+ */
+export declare function calculateEntryPrice(userPosition: PerpPosition): BN;
+/**
+ *
+ * @param userPosition
+ * @returns Precision: PRICE_PRECISION (10^10)
+ */
+export declare function calculateCostBasis(userPosition: PerpPosition, includeSettledPnl?: boolean): BN;
+export declare function findDirectionToClose(userPosition: PerpPosition): PositionDirection;
+export declare function positionCurrentDirection(userPosition: PerpPosition): PositionDirection;
+export declare function isEmptyPosition(userPosition: PerpPosition): boolean;
+export declare function hasOpenOrders(position: PerpPosition): boolean;