@velocity-exchange/sdk 0.0.5 → 0.2.0

package/src/math/oracles.ts

@@ -1,6 +1,6 @@
 import {
-	AMM,
 	HistoricalOracleData,
+	MarketStats,
 	OracleGuardRails,
 	OracleSource,
 	OracleValidity,
@@ -64,14 +64,14 @@ export function getOracleValidity(
 	const isNonPositive = oraclePriceData.price.lte(ZERO);
 	const isTooVolatile = BN.max(
 		oraclePriceData.price,
-		market.amm.historicalOracleData.lastOraclePriceTwap
+		market.marketStats.historicalOracleData.lastOraclePriceTwap
 	)
 		.div(
 			BN.max(
 				ONE,
 				BN.min(
 					oraclePriceData.price,
-					market.amm.historicalOracleData.lastOraclePriceTwap
+					market.marketStats.historicalOracleData.lastOraclePriceTwap
 				)
 			)
 		)
@@ -89,16 +89,16 @@ export function getOracleValidity(
 	const oracleDelay = slot.sub(oraclePriceData.slot).sub(oracleStalenessBuffer);
 
 	let isStaleForAmmImmediate = true;
-	if (market.amm.oracleSlotDelayOverride != 0) {
+	if (market.oracleSlotDelayOverride != 0) {
 		isStaleForAmmImmediate = oracleDelay.gt(
-			BN.max(new BN(market.amm.oracleSlotDelayOverride), ZERO)
+			BN.max(new BN(market.oracleSlotDelayOverride), ZERO)
 		);
 	}
 
 	let isStaleForAmmLowRisk = false;
-	if (market.amm.oracleLowRiskSlotDelayOverride != 0) {
+	if (market.oracleLowRiskSlotDelayOverride != 0) {
 		isStaleForAmmLowRisk = oracleDelay.gt(
-			BN.max(new BN(market.amm.oracleLowRiskSlotDelayOverride), ZERO)
+			BN.max(new BN(market.oracleLowRiskSlotDelayOverride), ZERO)
 		);
 	} else {
 		isStaleForAmmLowRisk = oracleDelay.gt(
@@ -109,7 +109,7 @@ export function getOracleValidity(
 	let isStaleForMargin = oracleDelay.gt(
 		new BN(oracleGuardRails.validity.slotsBeforeStaleForMargin)
 	);
-	if (isVariant(market.amm.oracleSource, 'pythLazerStableCoin')) {
+	if (isVariant(market.oracleSource, 'pythLazerStableCoin')) {
 		isStaleForMargin = oracleDelay.gt(
 			new BN(oracleGuardRails.validity.slotsBeforeStaleForMargin).muln(3)
 		);
@@ -142,13 +142,13 @@ export function isOracleValid(
 ): boolean {
 	// checks if oracle is valid for an AMM only fill
 
-	const amm = market.amm;
+	const stats = market.marketStats;
 	const isOraclePriceNonPositive = oraclePriceData.price.lte(ZERO);
 	const isOraclePriceTooVolatile =
 		oraclePriceData.price
-			.div(BN.max(ONE, amm.historicalOracleData.lastOraclePriceTwap))
+			.div(BN.max(ONE, stats.historicalOracleData.lastOraclePriceTwap))
 			.gt(oracleGuardRails.validity.tooVolatileRatio) ||
-		amm.historicalOracleData.lastOraclePriceTwap
+		stats.historicalOracleData.lastOraclePriceTwap
 			.div(BN.max(ONE, oraclePriceData.price))
 			.gt(oracleGuardRails.validity.tooVolatileRatio);
 
@@ -177,14 +177,14 @@ export function isOracleValid(
 }
 
 export function isOracleTooDivergent(
-	amm: AMM,
+	marketStats: MarketStats,
 	oraclePriceData: OraclePriceData,
 	oracleGuardRails: OracleGuardRails
 ): boolean {
 	const oracleSpreadPct = oraclePriceData.price
-		.sub(amm.historicalOracleData.lastOraclePriceTwap5Min)
+		.sub(marketStats.historicalOracleData.lastOraclePriceTwap5Min)
 		.mul(PERCENTAGE_PRECISION)
-		.div(amm.historicalOracleData.lastOraclePriceTwap5Min);
+		.div(marketStats.historicalOracleData.lastOraclePriceTwap5Min);
 	const maxDivergence = BN.max(
 		oracleGuardRails.priceDivergence.oracleTwap5MinPercentDivergence,
 		PERCENTAGE_PRECISION.div(new BN(2))
@@ -230,25 +230,28 @@ export function calculateLiveOracleTwap(
 }
 
 export function calculateLiveOracleStd(
-	amm: AMM,
+	marketStats: MarketStats,
 	oraclePriceData: OraclePriceData,
 	now: BN
 ): BN {
 	const sinceLastUpdate = BN.max(
 		ONE,
-		now.sub(amm.historicalOracleData.lastOraclePriceTwapTs)
+		now.sub(marketStats.historicalOracleData.lastOraclePriceTwapTs)
+	);
+	const sinceStart = BN.max(
+		ZERO,
+		marketStats.fundingPeriod.sub(sinceLastUpdate)
 	);
-	const sinceStart = BN.max(ZERO, amm.fundingPeriod.sub(sinceLastUpdate));
 
 	const liveOracleTwap = calculateLiveOracleTwap(
-		amm.historicalOracleData,
+		marketStats.historicalOracleData,
 		oraclePriceData,
 		now,
-		amm.fundingPeriod
+		marketStats.fundingPeriod
 	);
 
 	const liveOracleTwap5MIN = calculateLiveOracleTwap(
-		amm.historicalOracleData,
+		marketStats.historicalOracleData,
 		oraclePriceData,
 		now,
 		FIVE_MINUTE
@@ -260,14 +263,14 @@ export function calculateLiveOracleStd(
 	);
 
 	const oracleStd = priceDeltaVsTwap.add(
-		amm.oracleStd.mul(sinceStart).div(sinceStart.add(sinceLastUpdate))
+		marketStats.oracleStd.mul(sinceStart).div(sinceStart.add(sinceLastUpdate))
 	);
 
 	return oracleStd;
 }
 
 export function getNewOracleConfPct(
-	amm: AMM,
+	marketStats: MarketStats,
 	oraclePriceData: OraclePriceData,
 	reservePrice: BN,
 	now: BN
@@ -276,16 +279,16 @@ export function getNewOracleConfPct(
 
 	const sinceLastUpdate = BN.max(
 		ZERO,
-		now.sub(amm.historicalOracleData.lastOraclePriceTwapTs)
+		now.sub(marketStats.historicalOracleData.lastOraclePriceTwapTs)
 	);
-	let lowerBoundConfPct = amm.lastOracleConfPct;
+	let lowerBoundConfPct = marketStats.lastOracleConfPct;
 	if (sinceLastUpdate.gt(ZERO)) {
 		const lowerBoundConfDivisor = BN.max(
 			new BN(21).sub(sinceLastUpdate),
 			new BN(5)
 		);
-		lowerBoundConfPct = amm.lastOracleConfPct.sub(
-			amm.lastOracleConfPct.div(lowerBoundConfDivisor)
+		lowerBoundConfPct = marketStats.lastOracleConfPct.sub(
+			marketStats.lastOracleConfPct.div(lowerBoundConfDivisor)
 		);
 	}
 	const confIntervalPct = confInterval
@@ -297,23 +300,6 @@ export function getNewOracleConfPct(
 	return confIntervalPctResult;
 }
 
-export function trimVaaSignatures(vaa: Buffer, n = 3): Buffer {
-	const currentNumSignatures = vaa[5];
-	if (n > currentNumSignatures) {
-		throw new Error(
-			"Resulting VAA can't have more signatures than the original VAA"
-		);
-	}
-
-	const trimmedVaa = Buffer.concat([
-		vaa.subarray(0, 6 + n * 66),
-		vaa.subarray(6 + currentNumSignatures * 66),
-	]);
-
-	trimmedVaa[5] = n;
-	return trimmedVaa;
-}
-
 export function getMultipleBetweenOracleSources(
 	firstOracleSource: OracleSource,
 	secondOracleSource: OracleSource

package/src/math/orders.ts

@@ -1,9 +1,9 @@
-import { User } from '../user';
 import {
 	isOneOfVariant,
 	isVariant,
 	PerpMarketAccount,
 	AMM,
+	MarketStats,
 	Order,
 	PositionDirection,
 	MarketTypeStr,
@@ -12,7 +12,6 @@ import {
 } from '../types';
 import {
 	ZERO,
-	TWO,
 	ONE,
 	SPOT_MARKET_IMF_PRECISION,
 	MARGIN_PRECISION,
@@ -31,105 +30,6 @@ import {
 } from './amm';
 import { calculateSizePremiumLiabilityWeight } from './margin';
 
-export function isOrderRiskIncreasing(user: User, order: Order): boolean {
-	if (!isVariant(order.status, 'open')) {
-		return false;
-	}
-
-	const position =
-		user.getPerpPosition(order.marketIndex) ||
-		user.getEmptyPosition(order.marketIndex);
-
-	// if no position exists, it's risk increasing
-	if (position.baseAssetAmount.eq(ZERO)) {
-		return true;
-	}
-
-	// if position is long and order is long
-	if (position.baseAssetAmount.gt(ZERO) && isVariant(order.direction, 'long')) {
-		return true;
-	}
-
-	// if position is short and order is short
-	if (
-		position.baseAssetAmount.lt(ZERO) &&
-		isVariant(order.direction, 'short')
-	) {
-		return true;
-	}
-
-	const baseAssetAmountToFill = order.baseAssetAmount.sub(
-		order.baseAssetAmountFilled
-	);
-	// if order will flip position
-	if (baseAssetAmountToFill.gt(position.baseAssetAmount.abs().mul(TWO))) {
-		return true;
-	}
-
-	return false;
-}
-
-export function isOrderRiskIncreasingInSameDirection(
-	user: User,
-	order: Order
-): boolean {
-	if (!isVariant(order.status, 'open')) {
-		return false;
-	}
-
-	const position =
-		user.getPerpPosition(order.marketIndex) ||
-		user.getEmptyPosition(order.marketIndex);
-
-	// if no position exists, it's risk increasing
-	if (position.baseAssetAmount.eq(ZERO)) {
-		return true;
-	}
-
-	// if position is long and order is long
-	if (position.baseAssetAmount.gt(ZERO) && isVariant(order.direction, 'long')) {
-		return true;
-	}
-
-	// if position is short and order is short
-	if (
-		position.baseAssetAmount.lt(ZERO) &&
-		isVariant(order.direction, 'short')
-	) {
-		return true;
-	}
-
-	return false;
-}
-
-export function isOrderReduceOnly(user: User, order: Order): boolean {
-	if (!isVariant(order.status, 'open')) {
-		return false;
-	}
-
-	const position =
-		user.getPerpPosition(order.marketIndex) ||
-		user.getEmptyPosition(order.marketIndex);
-
-	// if position is long and order is long
-	if (
-		position.baseAssetAmount.gte(ZERO) &&
-		isVariant(order.direction, 'long')
-	) {
-		return false;
-	}
-
-	// if position is short and order is short
-	if (
-		position.baseAssetAmount.lte(ZERO) &&
-		isVariant(order.direction, 'short')
-	) {
-		return false;
-	}
-
-	return true;
-}
-
 export function standardizeBaseAssetAmount(
 	baseAssetAmount: BN,
 	stepSize: BN
@@ -256,6 +156,9 @@ export function calculateBaseAssetAmountForAmmToFulfill(
 		baseAssetAmount = calculateBaseAssetAmountToFillUpToLimitPrice(
 			order,
 			updatedAMM,
+			market.marketStats,
+			market.orderStepSize,
+			market.orderTickSize,
 			limitPrice,
 			mmOraclePriceData
 		);
@@ -265,6 +168,7 @@ export function calculateBaseAssetAmountForAmmToFulfill(
 
 	const maxBaseAssetAmount = calculateMaxBaseAssetAmountFillable(
 		updatedAMM,
+		market.orderStepSize,
 		order.direction
 	);
 
@@ -274,15 +178,19 @@ export function calculateBaseAssetAmountForAmmToFulfill(
 export function calculateBaseAssetAmountToFillUpToLimitPrice(
 	order: Order,
 	amm: AMM,
+	marketStats: MarketStats,
+	orderStepSize: BN,
+	orderTickSize: BN,
 	limitPrice: BN,
 	mmOraclePriceData: MMOraclePriceData
 ): BN {
 	const adjustedLimitPrice = isVariant(order.direction, 'long')
-		? limitPrice.sub(amm.orderTickSize)
-		: limitPrice.add(amm.orderTickSize);
+		? limitPrice.sub(orderTickSize)
+		: limitPrice.add(orderTickSize);
 
 	const [maxAmountToTrade, direction] = calculateMaxBaseAssetAmountToTrade(
 		amm,
+		marketStats,
 		adjustedLimitPrice,
 		order.direction,
 		mmOraclePriceData
@@ -290,7 +198,7 @@ export function calculateBaseAssetAmountToFillUpToLimitPrice(
 
 	const baseAssetAmount = standardizeBaseAssetAmount(
 		maxAmountToTrade,
-		amm.orderStepSize
+		orderStepSize
 	);
 
 	// Check that directions are the same
@@ -368,10 +276,6 @@ export function isRestingLimitOrder(order: Order, slot: number): boolean {
 	return order.postOnly || isAuctionComplete(order, slot);
 }
 
-export function isTakingOrder(order: Order, slot: number): boolean {
-	return isMarketOrder(order) || !isRestingLimitOrder(order, slot);
-}
-
 const FLAG_IS_SIGNED_MSG = 0x01;
 export function isSignedMsgOrder(order: Order): boolean {
 	return (order.bitFlags & FLAG_IS_SIGNED_MSG) !== 0;
@@ -461,7 +365,7 @@ export function maxSizeForTargetLiabilityWeightBN(
 	}
 
 	// cap at max OI
-	const maxOpenInterest = market.amm.maxOpenInterest;
+	const maxOpenInterest = market.maxOpenInterest;
 	if (lo.gt(maxOpenInterest)) {
 		return maxOpenInterest;
 	}

package/src/math/position.ts

@@ -53,6 +53,7 @@ export function calculateBaseAssetValue(
 			const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } =
 				calculateUpdatedAMMSpreadReserves(
 					market.amm,
+					market.marketStats,
 					directionToClose,
 					mmOraclePriceData,
 					latestSlot
@@ -90,6 +91,9 @@ export function calculateBaseAssetValue(
 				.mul(prepegAmm.pegMultiplier)
 				.div(AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO)
 				.add(ONE);
+
+		default:
+			throw new Error('Invalid position direction to close');
 	}
 }
 
@@ -213,9 +217,9 @@ export function calculateUnsettledFundingPnl(
 
 	let ammCumulativeFundingRate: BN;
 	if (perpPosition.baseAssetAmount.gt(ZERO)) {
-		ammCumulativeFundingRate = market.amm.cumulativeFundingRateLong;
+		ammCumulativeFundingRate = market.cumulativeFundingRateLong;
 	} else {
-		ammCumulativeFundingRate = market.amm.cumulativeFundingRateShort;
+		ammCumulativeFundingRate = market.cumulativeFundingRateShort;
 	}
 
 	const perPositionFundingRate = ammCumulativeFundingRate
@@ -228,16 +232,6 @@ export function calculateUnsettledFundingPnl(
 	return perPositionFundingRate;
 }
 
-/**
- * @deprecated use calculateUnsettledFundingPnl or calculateFeesAndFundingPnl instead
- */
-export function calculatePositionFundingPNL(
-	market: PerpMarketAccount,
-	perpPosition: PerpPosition
-): BN {
-	return calculateUnsettledFundingPnl(market, perpPosition);
-}
-
 export function positionIsAvailable(position: PerpPosition): boolean {
 	return (
 		position.baseAssetAmount.eq(ZERO) &&

package/src/math/repeg.ts

@@ -148,35 +148,6 @@ export function calculateBudgetedKBN(
 	return [numerator, denominator];
 }
 
-export function calculateBudgetedK(amm: AMM, cost: BN): [BN, BN] {
-	// wolframalpha.com
-	// (1/(x+d) - p/(x*p+d))*y*d*Q = C solve for p
-	// p = (d(y*d*Q - C(x+d))) / (C*x(x+d) + y*d*d*Q)
-
-	// numer
-	//   =  y*d*d*Q - Cxd - Cdd
-	//   =  y/x*Q*d*d - Cd - Cd/x
-	//   = mark      - C/d - C/(x)
-	//   =  mark/C    - 1/d - 1/x
-
-	// denom
-	// = C*x*x + C*x*d + y*d*d*Q
-	// = x/d**2 + 1 / d + mark/C
-
-	// todo: assumes k = x * y
-	// otherwise use: (y(1-p) + (kp^2/(x*p+d)) - k/(x+d)) * Q = C solve for p
-
-	const x = amm.baseAssetReserve;
-	const y = amm.quoteAssetReserve;
-
-	const d = amm.baseAssetAmountWithAmm;
-	const Q = amm.pegMultiplier;
-
-	const [numerator, denominator] = calculateBudgetedKBN(x, y, cost, Q, d);
-
-	return [numerator, denominator];
-}
-
 export function calculateBudgetedPeg(
 	amm: AMM,
 	budget: BN,

package/src/math/spotBalance.ts

@@ -153,7 +153,7 @@ export function calculateAssetWeight(
 	balanceAmount: BN,
 	oraclePrice: BN,
 	spotMarket: SpotMarketAccount,
-	marginCategory: MarginCategory
+	marginCategory: MarginCategory | undefined
 ): BN {
 	const sizePrecision = TEN.pow(new BN(spotMarket.decimals));
 	let sizeInAmmReservePrecision;
@@ -221,7 +221,7 @@ export function calculateScaledInitialAssetWeight(
 export function calculateLiabilityWeight(
 	size: BN,
 	spotMarket: SpotMarketAccount,
-	marginCategory: MarginCategory
+	marginCategory: MarginCategory | undefined
 ): BN {
 	const sizePrecision = TEN.pow(new BN(spotMarket.decimals));
 	let sizeInAmmReservePrecision;
@@ -380,10 +380,10 @@ export function calculateSpotMarketBorrowCapacity(
 export function calculateInterestRate(
 	bank: SpotMarketAccount,
 	delta = ZERO,
-	currentUtilization: BN = null
+	currentUtilization?: BN
 ): BN {
 	// todo: ensure both a delta and current util aren't pass?
-	const utilization = currentUtilization || calculateUtilization(bank, delta);
+	const utilization = currentUtilization ?? calculateUtilization(bank, delta);
 
 	const optimalUtil = new BN(bank.optimalUtilization);
 	const optimalRate = new BN(bank.optimalBorrowRate);
@@ -442,15 +442,19 @@ export function calculateInterestRate(
 export function calculateDepositRate(
 	bank: SpotMarketAccount,
 	delta = ZERO,
-	currentUtilization: BN = null
+	currentUtilization?: BN
 ): BN {
 	// positive delta => adding to deposit
 	// negative delta => adding to borrow
 
-	const utilization = currentUtilization || calculateUtilization(bank, delta);
+	const utilization = currentUtilization ?? calculateUtilization(bank, delta);
 	const borrowRate = calculateBorrowRate(bank, delta, utilization);
 	const depositRate = borrowRate
-		.mul(PERCENTAGE_PRECISION.sub(new BN(bank.insuranceFund.totalFactor)))
+		.mul(
+			PERCENTAGE_PRECISION.sub(
+				new BN(bank.insuranceFund.ifFeeFactor + bank.protocolFeeFactor)
+			)
+		)
 		.mul(utilization)
 		.div(SPOT_MARKET_UTILIZATION_PRECISION)
 		.div(PERCENTAGE_PRECISION);
@@ -460,7 +464,7 @@ export function calculateDepositRate(
 export function calculateBorrowRate(
 	bank: SpotMarketAccount,
 	delta = ZERO,
-	currentUtilization: BN = null
+	currentUtilization?: BN
 ): BN {
 	return calculateInterestRate(bank, delta, currentUtilization);
 }
@@ -549,8 +553,8 @@ export function calculateWithdrawLimit(
 	withdrawLimit: BN;
 	minDepositAmount: BN;
 	maxBorrowAmount: BN;
-	currentDepositAmount;
-	currentBorrowAmount;
+	currentDepositAmount: BN;
+	currentBorrowAmount: BN;
 } {
 	const marketDepositTokenAmount = getTokenAmount(
 		spotMarket.depositBalance,

package/src/math/spotMarket.ts

@@ -5,12 +5,8 @@ import {
 	SpotBalanceType,
 	SpotMarketAccount,
 } from '../types';
-import {
-	calculateAssetWeight,
-	calculateLiabilityWeight,
-	getTokenAmount,
-} from './spotBalance';
-import { MARGIN_PRECISION, ZERO } from '../constants/numericConstants';
+import { calculateAssetWeight, calculateLiabilityWeight } from './spotBalance';
+import { MARGIN_PRECISION } from '../constants/numericConstants';
 import { numberToSafeBN } from './utils';
 
 export function castNumberToSpotPrecision(
@@ -58,25 +54,3 @@ export function calculateSpotMarketMarginRatio(
 
 	return marginRatio;
 }
-
-/**
- * Returns the maximum remaining deposit that can be made to the spot market. If the maxTokenDeposits on the market is zero then there is no limit and this function will also return zero. (so that needs to be checked)
- * @param market
- * @returns
- */
-export function calculateMaxRemainingDeposit(market: SpotMarketAccount) {
-	const marketMaxTokenDeposits = market.maxTokenDeposits;
-
-	if (marketMaxTokenDeposits.eq(ZERO)) {
-		// If the maxTokenDeposits is set to zero then that means there is no limit. Return the largest number we can to represent infinite available deposit.
-		return ZERO;
-	}
-
-	const totalDepositsTokenAmount = getTokenAmount(
-		market.depositBalance,
-		market,
-		SpotBalanceType.DEPOSIT
-	);
-
-	return marketMaxTokenDeposits.sub(totalDepositsTokenAmount);
-}

package/src/math/spotPosition.ts

@@ -25,14 +25,14 @@ export type OrderFillSimulation = {
 	tokenValue: BN;
 	weight: BN;
 	weightedTokenValue: BN;
-	freeCollateralContribution;
+	freeCollateralContribution: BN;
 };
 
 export function getWorstCaseTokenAmounts(
 	spotPosition: SpotPosition,
 	spotMarketAccount: SpotMarketAccount,
 	strictOraclePrice: StrictOraclePrice,
-	marginCategory: MarginCategory,
+	marginCategory: MarginCategory | undefined,
 	customMarginRatio?: number,
 	includeOpenOrders: boolean = true
 ): OrderFillSimulation {
@@ -108,7 +108,7 @@ export function calculateWeightedTokenValue(
 	tokenValue: BN,
 	oraclePrice: BN,
 	spotMarket: SpotMarketAccount,
-	marginCategory: MarginCategory,
+	marginCategory: MarginCategory | undefined,
 	customMarginRatio?: number
 ): { weight: BN; weightedTokenValue: BN } {
 	let weight: BN;
@@ -158,7 +158,7 @@ export function simulateOrderFill(
 	openOrders: BN,
 	strictOraclePrice: StrictOraclePrice,
 	spotMarket: SpotMarketAccount,
-	marginCategory: MarginCategory,
+	marginCategory: MarginCategory | undefined,
 	customMarginRatio?: number
 ): OrderFillSimulation {
 	const ordersValue = getTokenValue(openOrders.neg(), spotMarket.decimals, {

package/src/math/state.ts

@@ -38,11 +38,3 @@ export function useMedianTriggerPrice(stateAccount: StateAccount): boolean {
 		(stateAccount.featureBitFlags & FeatureBitFlags.MEDIAN_TRIGGER_PRICE) > 0
 	);
 }
-
-export function builderCodesEnabled(stateAccount: StateAccount): boolean {
-	return (stateAccount.featureBitFlags & FeatureBitFlags.BUILDER_CODES) > 0;
-}
-
-export function builderReferralEnabled(stateAccount: StateAccount): boolean {
-	return (stateAccount.featureBitFlags & FeatureBitFlags.BUILDER_REFERRAL) > 0;
-}