@velocity-exchange/sdk 0.0.1

package/tests/events/parseLogsForCuUsage.ts

@@ -0,0 +1,139 @@
+import { expect } from 'chai';
+import { parseLogsForCuUsage } from '../../src/events/parse';
+
+// if you used the '@types/mocha' method to install mocha type definitions, uncomment the following line
+// import 'mocha';
+
+describe('parseLogsForCuUsage Tests', () => {
+	it('can parse single ix', () => {
+		const logs = [
+			'Program ComputeBudget111111111111111111111111111111 invoke [1]',
+			'Program ComputeBudget111111111111111111111111111111 success',
+			'Program ComputeBudget111111111111111111111111111111 invoke [1]',
+			'Program ComputeBudget111111111111111111111111111111 success',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH invoke [1]',
+			'Program log: Instruction: UpdateFundingRate',
+			'Program log: correcting mark twap update (oracle previously invalid for 1625 seconds)',
+			'Program data: Ze4o5EYuPXWjSrNoAAAAADkUAAAAAAAAZTIKAAAAAAAAAAAAAAAAAGwIAGYvdqgAAAAAAAAAAAAxpQahVMKdAAAAAAAAAAAAK0cfnMcFowAAAAAAAAAAAGUyCgAAAAAAAAAAAAAAAAAbXpy4n6WoAAAAAAAAAAAAGAAXbsHunQAAAAAAAAAAAObum9evM6MAAAAAAAAAAAAA9PA5+UYKAAAAAAAAAAAAAKhuDZ0RCgAAAAAAAAAAAABMgixcNQAAAAAAAAAAAAA9NqYKSgAAAAAAAAAAAAAA4nylcy0AAAAAAAAAAAAAAMvCAAAAAAAAAAAAAAAAAACOjAkAAAAAAET3AgAAAAAAAAAAAAAAAAAMAQAAHgA=',
+			'Program data: RAP/GoVbk/6jSrNoAAAAAA0rAAAAAAAAHgBxcgEAAAAAAHFyAQAAAAAAAAAAAAAAAABxcgEAAAAAAAAAAAAAAAAAZRuYAQAAAAAAAAAAAAAAAJMNmAEAAAAAAAAAAAAAAAC0eAkAAAAAAByBCQAAAAAAWUbv4v////8ATIIsXDUAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA==',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH consumed 102636 of 143817 compute units',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH success',
+		];
+		const cuUsage = parseLogsForCuUsage(logs);
+		expect(cuUsage).to.deep.equal([
+			{
+				name: 'CuUsage',
+				data: {
+					instruction: 'UpdateFundingRate',
+					cuUsage: 102636,
+				},
+			},
+		]);
+	});
+
+	it('can parse multiple ixs', () => {
+		const logs = [
+			'Program ComputeBudget111111111111111111111111111111 invoke [1]',
+			'Program ComputeBudget111111111111111111111111111111 success',
+			'Program ComputeBudget111111111111111111111111111111 invoke [1]',
+			'Program ComputeBudget111111111111111111111111111111 success',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH invoke [1]',
+			'Program log: Instruction: PostPythLazerOracleUpdate',
+			'Program log: Skipping new lazer update. current ts 1756622092550000 >= next ts 1756622092000000',
+			'Program log: Skipping new lazer update. current ts 1756622092550000 >= next ts 1756622092000000',
+			'Program log: Skipping new lazer update. current ts 1756622092550000 >= next ts 1756622092000000',
+			'Program log: Price updated to 433158894',
+			'Program log: Posting new lazer update. current ts 1756622079000000 < next ts 1756622092000000',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH consumed 29242 of 199700 compute units',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH success',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH invoke [1]',
+			'Program log: Instruction: UpdatePerpBidAskTwap',
+			'Program log: estimated_bid = None estimated_ask = None',
+			'Program log: after amm bid twap = 204332308 -> 204328128 \n        ask twap = 204350474 -> 204347149 \n        ts = 1756622080 -> 1756622092',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH consumed 71006 of 170458 compute units',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH success',
+		];
+		const cuUsage = parseLogsForCuUsage(logs);
+		expect(cuUsage).to.deep.equal([
+			{
+				name: 'CuUsage',
+				data: {
+					instruction: 'PostPythLazerOracleUpdate',
+					cuUsage: 29242,
+				},
+			},
+			{
+				name: 'CuUsage',
+				data: {
+					instruction: 'UpdatePerpBidAskTwap',
+					cuUsage: 71006,
+				},
+			},
+		]);
+	});
+
+	it('can parse ixs with CPI (swaps)', () => {
+		const logs = [
+			'Program ComputeBudget111111111111111111111111111111 invoke [1]',
+			'Program ComputeBudget111111111111111111111111111111 success',
+			'Program ComputeBudget111111111111111111111111111111 invoke [1]',
+			'Program ComputeBudget111111111111111111111111111111 success',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH invoke [1]',
+			'Program log: Instruction: BeginSwap',
+			'Program data: t7rLuuG7X4K7X+loAAAAAAAAoDz72UK0JwQAAAAAAAAAAMS7r8ACAAAAAAAAAAAAAAB36Aiv26cZAwAAAAAAAAAArDDOLAMAAAAAAAAAAAAAAAA1DAAUzQAAoLsNAA==',
+			'Program data: t7rLuuG7X4K7X+loAAAAAAEASQcRhBUVAQAAAAAAAAAAAG3WGn8CAAAAAAAAAAAAAADBBakRTIoAAAAAAAAAAAAAFfFDwgIAAAAAAAAAAAAAAAA1DACghgEAYOMWAA==',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA invoke [2]',
+			'Program log: Instruction: Transfer',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA consumed 4645 of 1336324 compute units',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA success',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH consumed 79071 of 1399700 compute units',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH success',
+			'Program JUP6LkbZbjS1jKKwapdHNy74zcZ3tLUZoi5QNyVTaV4 invoke [1]',
+			'Program log: Instruction: Route',
+			'Program SV2EYYJyRz2YhfXwXnhNAevDEui5Q6yrfyo13WtupPF invoke [2]',
+			'Program data: S3VCwUhV8CXSyrcV3EtPUNCsQJvXpBqCGUobEJZVRnl5bVAAAAAAAFUFNBYAAAAAAAAAAAAAAAAAAAAAAAAAAA==',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA invoke [3]',
+			'Program log: Instruction: Transfer',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA consumed 4645 of 1255262 compute units',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA success',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA invoke [3]',
+			'Program log: Instruction: Transfer',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA consumed 4736 of 1249195 compute units',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA success',
+			'Program SV2EYYJyRz2YhfXwXnhNAevDEui5Q6yrfyo13WtupPF consumed 69257 of 1311915 compute units',
+			'Program SV2EYYJyRz2YhfXwXnhNAevDEui5Q6yrfyo13WtupPF success',
+			'Program JUP6LkbZbjS1jKKwapdHNy74zcZ3tLUZoi5QNyVTaV4 invoke [2]',
+			'Program JUP6LkbZbjS1jKKwapdHNy74zcZ3tLUZoi5QNyVTaV4 consumed 199 of 1241147 compute units',
+			'Program JUP6LkbZbjS1jKKwapdHNy74zcZ3tLUZoi5QNyVTaV4 success',
+			'Program JUP6LkbZbjS1jKKwapdHNy74zcZ3tLUZoi5QNyVTaV4 consumed 81059 of 1320629 compute units',
+			'Program return: JUP6LkbZbjS1jKKwapdHNy74zcZ3tLUZoi5QNyVTaV4 Z/tXxXEAAAA=',
+			'Program JUP6LkbZbjS1jKKwapdHNy74zcZ3tLUZoi5QNyVTaV4 success',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH invoke [1]',
+			'Program log: Instruction: EndSwap',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA invoke [2]',
+			'Program log: Instruction: Transfer',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA consumed 4736 of 1187840 compute units',
+			'Program TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA success',
+			'Program data: ort7woo4+vG7X+loAAAAAJ1Bg8Gp9WhWrw9VRm1UiC0KW6LRC2am2mjhfd3lzm6WZ/tXxXEAAAAA6HZIFwAAAAEAAAAJdDEMAAAAANFBDwAAAAAAAAAAAAAAAAA=',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH consumed 156076 of 1239570 compute units',
+			'Program dRiftyHA39MWEi3m9aunc5MzRF1JYuBsbn6VPcn33UH success',
+		];
+		const cuUsage = parseLogsForCuUsage(logs);
+		expect(cuUsage).to.deep.equal([
+			{
+				name: 'CuUsage',
+				data: {
+					instruction: 'BeginSwap',
+					cuUsage: 79071,
+				},
+			},
+			{
+				name: 'CuUsage',
+				data: {
+					instruction: 'EndSwap',
+					cuUsage: 156076,
+				},
+			},
+		]);
+	});
+});

package/tests/insurance/test.ts

@@ -0,0 +1,40 @@
+import { BN, ZERO, timeRemainingUntilUpdate, ONE } from '../../src';
+// import { mockPerpMarkets } from '../dlob/helpers';
+
+import { assert } from '../../src/assert/assert';
+
+describe('Insurance Tests', () => {
+	it('time remaining updates', () => {
+		const now = new BN(1683576852);
+		const lastUpdate = new BN(1683576000);
+		const period = new BN(3600); //hourly
+
+		let tr;
+		// console.log(now.sub(lastUpdate).toString());
+
+		tr = timeRemainingUntilUpdate(now, lastUpdate, period);
+		// console.log(tr.toString());
+		assert(tr.eq(new BN('2748')));
+
+		tr = timeRemainingUntilUpdate(now, lastUpdate.sub(period), period);
+		// console.log(tr.toString());
+		assert(tr.eq(ZERO));
+
+		const tooLateUpdate = lastUpdate.sub(period.div(new BN(3)).add(ONE));
+		tr = timeRemainingUntilUpdate(
+			tooLateUpdate.add(ONE),
+			tooLateUpdate,
+			period
+		);
+		// console.log(tr.toString());
+		assert(tr.eq(new BN('4800')));
+
+		tr = timeRemainingUntilUpdate(now, lastUpdate.add(ONE), period);
+		// console.log(tr.toString());
+		assert(tr.eq(new BN('2748')));
+
+		tr = timeRemainingUntilUpdate(now, lastUpdate.sub(ONE), period);
+		// console.log(tr.toString());
+		assert(tr.eq(new BN('2748')));
+	});
+});

package/tests/spot/test.ts

@@ -0,0 +1,226 @@
+import {
+	BN,
+	ZERO,
+	calculateSpotMarketBorrowCapacity,
+	SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION,
+	calculateSizePremiumLiabilityWeight,
+	calculateBorrowRate,
+	calculateDepositRate,
+} from '../../src';
+import { mockSpotMarkets } from '../dlob/helpers';
+import * as _ from 'lodash';
+
+import { assert } from '../../src/assert/assert';
+
+describe('Spot Tests', () => {
+	it('size premium via imf factor', () => {
+		const maintLiabWgt = new BN(1.1 * 1e4);
+
+		const ans0 = calculateSizePremiumLiabilityWeight(
+			new BN(200000 * 1e9),
+			ZERO,
+			maintLiabWgt,
+			new BN(1e4)
+		);
+		assert(ans0.eq(maintLiabWgt));
+
+		const ans = calculateSizePremiumLiabilityWeight(
+			new BN(200000 * 1e9),
+			new BN(0.00055 * 1e6),
+			maintLiabWgt,
+			new BN(1e4)
+		);
+		assert(ans.eq(new BN('11259')));
+		assert(ans.gt(maintLiabWgt));
+
+		const ans2 = calculateSizePremiumLiabilityWeight(
+			new BN(10000 * 1e9),
+			new BN(0.003 * 1e6),
+			maintLiabWgt,
+			new BN(1e4)
+		);
+		assert(ans2.eq(new BN('11800')));
+		assert(ans.gt(maintLiabWgt));
+
+		const ans3 = calculateSizePremiumLiabilityWeight(
+			new BN(100000 * 1e9),
+			new BN(0.003 * 1e6),
+			maintLiabWgt,
+			new BN(1e4)
+		);
+		assert(ans3.eq(new BN('18286')));
+		assert(ans3.gt(maintLiabWgt));
+	});
+
+	it('base borrow capacity', () => {
+		const mockSpot = _.cloneDeep(mockSpotMarkets[0]);
+		mockSpot.maxBorrowRate = 1000000;
+		mockSpot.optimalBorrowRate = 100000;
+		mockSpot.optimalUtilization = 700000;
+
+		mockSpot.decimals = 9;
+		mockSpot.cumulativeDepositInterest =
+			SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION;
+		mockSpot.cumulativeBorrowInterest =
+			SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION;
+
+		const tokenAmount = 100000;
+		// no borrows
+		mockSpot.depositBalance = new BN(tokenAmount * 1e9);
+		mockSpot.borrowBalance = ZERO;
+
+		// todo, should incorp all other spot market constraints?
+		const { remainingCapacity: aboveMaxAmount } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(2000000));
+		assert(aboveMaxAmount.gt(mockSpot.depositBalance));
+
+		const { remainingCapacity: maxAmount } = calculateSpotMarketBorrowCapacity(
+			mockSpot,
+			new BN(1000000)
+		);
+		assert(maxAmount.eq(mockSpot.depositBalance));
+
+		const { remainingCapacity: optAmount } = calculateSpotMarketBorrowCapacity(
+			mockSpot,
+			new BN(100000)
+		);
+		const ans = new BN((mockSpot.depositBalance.toNumber() * 7) / 10);
+		// console.log('optAmount:', optAmount.toNumber(), ans.toNumber());
+		assert(optAmount.eq(ans));
+
+		const { remainingCapacity: betweenOptMaxAmount } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(810000));
+		// console.log('betweenOptMaxAmount:', betweenOptMaxAmount.toNumber());
+		assert(betweenOptMaxAmount.lt(mockSpot.depositBalance));
+		assert(betweenOptMaxAmount.gt(ans));
+		assert(betweenOptMaxAmount.eq(new BN(93666600000000)));
+
+		const { remainingCapacity: belowOptAmount } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(50000));
+		// console.log('belowOptAmount:', belowOptAmount.toNumber());
+		assert(belowOptAmount.eq(ans.div(new BN(2))));
+
+		const { remainingCapacity: belowOptAmount2 } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(24900));
+		// console.log('belowOptAmount2:', belowOptAmount2.toNumber());
+		assert(belowOptAmount2.lt(ans.div(new BN(4))));
+		assert(belowOptAmount2.eq(new BN('17430000000000')));
+
+		const { remainingCapacity: belowOptAmount3 } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(1));
+		// console.log('belowOptAmount3:', belowOptAmount3.toNumber());
+		assert(belowOptAmount3.eq(new BN('700000000'))); //0.7
+	});
+
+	it('complex borrow capacity', () => {
+		const mockSpot = _.cloneDeep(mockSpotMarkets[0]);
+		mockSpot.maxBorrowRate = 1000000;
+		mockSpot.optimalBorrowRate = 70000;
+		mockSpot.optimalUtilization = 700000;
+
+		mockSpot.decimals = 9;
+		mockSpot.cumulativeDepositInterest = new BN(
+			1.0154217042 * SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION.toNumber()
+		);
+		mockSpot.cumulativeBorrowInterest = new BN(
+			1.0417153549 * SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION.toNumber()
+		);
+
+		mockSpot.depositBalance = new BN(88522.734106451 * 1e9);
+		mockSpot.borrowBalance = new BN(7089.91675884 * 1e9);
+
+		// todo, should incorp all other spot market constraints?
+		const { remainingCapacity: aboveMaxAmount } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(2000000));
+		assert(aboveMaxAmount.eq(new BN('111498270939007')));
+
+		const { remainingCapacity: maxAmount } = calculateSpotMarketBorrowCapacity(
+			mockSpot,
+			new BN(1000000)
+		);
+		assert(maxAmount.eq(new BN('82502230374168')));
+		// console.log('aboveMaxAmount:', aboveMaxAmount.toNumber(), 'maxAmount:', maxAmount.toNumber());
+		const { remainingCapacity: optAmount } = calculateSpotMarketBorrowCapacity(
+			mockSpot,
+			new BN(70000)
+		);
+		// console.log('optAmount:', optAmount.toNumber());
+		assert(optAmount.eq(new BN('55535858716123'))); // ~ 55535
+
+		const { remainingCapacity: betweenOptMaxAmount } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(810000));
+		// console.log('betweenOptMaxAmount:', betweenOptMaxAmount.toNumber());
+		assert(betweenOptMaxAmount.lt(maxAmount));
+		assert(betweenOptMaxAmount.eq(new BN(76992910756523)));
+		assert(betweenOptMaxAmount.gt(optAmount));
+
+		const { remainingCapacity: belowOptAmount } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(50000));
+		// console.log('belowOptAmount:', belowOptAmount.toNumber());
+		assert(belowOptAmount.eq(new BN('37558277610760')));
+
+		const { remainingCapacity: belowOptAmount2 } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(24900));
+		// console.log('belowOptAmount2:', belowOptAmount2.toNumber());
+		assert(belowOptAmount2.eq(new BN('14996413323529')));
+
+		const { remainingCapacity: belowOptAmount3 } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(4900));
+		// console.log('belowOptAmount2:', belowOptAmount3.toNumber());
+		assert(belowOptAmount3.eq(new BN('0')));
+
+		const { remainingCapacity: belowOptAmount4 } =
+			calculateSpotMarketBorrowCapacity(mockSpot, new BN(1));
+		// console.log('belowOptAmount3:', belowOptAmount4.toNumber());
+		assert(belowOptAmount4.eq(new BN('0')));
+	});
+
+	it('borrow rates', () => {
+		const mockSpot = _.cloneDeep(mockSpotMarkets[0]);
+		mockSpot.maxBorrowRate = 1000000;
+		mockSpot.optimalBorrowRate = 70000;
+		mockSpot.optimalUtilization = 700000;
+
+		mockSpot.decimals = 9;
+		mockSpot.cumulativeDepositInterest = new BN(
+			1.0154217042 * SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION.toNumber()
+		);
+		mockSpot.cumulativeBorrowInterest = new BN(
+			1.0417153549 * SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION.toNumber()
+		);
+
+		mockSpot.depositBalance = new BN(88522.734106451 * 1e9);
+		mockSpot.borrowBalance = new BN(17089.91675884 * 1e9);
+
+		const noDeltad = calculateDepositRate(mockSpot);
+		// console.log(noDeltad.toNumber());
+		assert(noDeltad.eqn(3922));
+		const noDelta = calculateBorrowRate(mockSpot);
+		// console.log(noDelta.toNumber());
+		assert(noDelta.eqn(19805));
+
+		// manually update deposits
+		mockSpot.depositBalance = new BN((88522.734106451 + 9848.12512736) * 1e9);
+		const noDeltad2 = calculateDepositRate(mockSpot);
+		console.log(noDeltad2.toNumber());
+		assert(noDeltad2.eqn(3176));
+		const noDelta2 = calculateBorrowRate(mockSpot);
+		console.log(noDelta2.toNumber());
+		assert(noDelta2.eqn(17822));
+
+		mockSpot.depositBalance = new BN(88522.734106451 * 1e9);
+		const addDep1d = calculateDepositRate(mockSpot, new BN(10000 * 1e9));
+		// console.log(addDep1d.toNumber());
+		assert(addDep1d.eqn(3176)); // went down
+		const addDep1 = calculateBorrowRate(mockSpot, new BN(10000 * 1e9));
+		// console.log(addDep1.toNumber());
+		assert(addDep1.eqn(17822)); // went down
+
+		const addBord1 = calculateDepositRate(mockSpot, new BN(-1000 * 1e9));
+		// console.log(addBord1.toNumber());
+		assert(addBord1.eqn(4375)); // went up
+		const addBor1 = calculateBorrowRate(mockSpot, new BN(-1000 * 1e9));
+		// console.log(addBor1.toNumber());
+		assert(addBor1.eqn(20918)); // went up
+	});
+});