@velocity-exchange/sdk 0.1.0 → 0.2.0

package/lib/browser/index.d.ts

@@ -105,13 +105,11 @@ export * from './tx/fastSingleTxSender';
 export * from './tx/retryTxSender';
 export * from './tx/whileValidTxSender';
 export * from './tx/priorityFeeCalculator';
-export * from './tx/forwardOnlyTxSender';
 export * from './tx/types';
 export * from './tx/txHandler';
 export * from './tx/txParamProcessor';
 export * from './util/computeUnits';
 export * from './util/digest';
-export * from './util/tps';
 export * from './util/promiseTimeout';
 export * from './math/spotBalance';
 export * from './velocityClientConfig';

package/lib/browser/index.js

@@ -136,13 +136,11 @@ __exportStar(require("./tx/fastSingleTxSender"), exports);
 __exportStar(require("./tx/retryTxSender"), exports);
 __exportStar(require("./tx/whileValidTxSender"), exports);
 __exportStar(require("./tx/priorityFeeCalculator"), exports);
-__exportStar(require("./tx/forwardOnlyTxSender"), exports);
 __exportStar(require("./tx/types"), exports);
 __exportStar(require("./tx/txHandler"), exports);
 __exportStar(require("./tx/txParamProcessor"), exports);
 __exportStar(require("./util/computeUnits"), exports);
 __exportStar(require("./util/digest"), exports);
-__exportStar(require("./util/tps"), exports);
 __exportStar(require("./util/promiseTimeout"), exports);
 __exportStar(require("./math/spotBalance"), exports);
 __exportStar(require("./velocityClientConfig"), exports);

package/lib/browser/jupiter/jupiterClient.d.ts

@@ -276,7 +276,7 @@ export declare class JupiterClient {
         transactionMessage: TransactionMessage;
         lookupTables: AddressLookupTableAccount[];
     }>;
-    getLookupTable(accountKey: PublicKey): Promise<AddressLookupTableAccount>;
+    getLookupTable(accountKey: PublicKey): Promise<AddressLookupTableAccount | undefined>;
     /**
      * Get the jupiter instructions from transaction by filtering out instructions to compute budget and associated token programs
      * @param transactionMessage the transaction message

package/lib/browser/jupiter/jupiterClient.js

@@ -47,6 +47,16 @@ class JupiterClient {
      */
     async getQuote({ inputMint, outputMint, amount, maxAccounts = 50, // 50 is an estimated amount with buffer
     slippageBps = 50, swapMode = 'ExactIn', onlyDirectRoutes = false, excludeDexes, autoSlippage = false, maxAutoSlippageBps, usdEstimate, }) {
+        if (autoSlippage && maxAutoSlippageBps === undefined) {
+            throw new Error('JupiterClient.getQuote: maxAutoSlippageBps is required when autoSlippage is enabled');
+        }
+        if (autoSlippage && usdEstimate === undefined) {
+            throw new Error('JupiterClient.getQuote: usdEstimate is required when autoSlippage is enabled');
+        }
+        const maxAutoSlippageBpsParam = autoSlippage && maxAutoSlippageBps !== undefined
+            ? maxAutoSlippageBps.toString()
+            : '0';
+        const autoSlippageCollisionUsdValueParam = autoSlippage && usdEstimate !== undefined ? usdEstimate.toString() : '0';
         const params = new URLSearchParams({
             inputMint: inputMint.toString(),
             outputMint: outputMint.toString(),
@@ -56,10 +66,8 @@ class JupiterClient {
             onlyDirectRoutes: onlyDirectRoutes.toString(),
             maxAccounts: maxAccounts.toString(),
             autoSlippage: autoSlippage.toString(),
-            maxAutoSlippageBps: autoSlippage ? maxAutoSlippageBps.toString() : '0',
-            autoSlippageCollisionUsdValue: autoSlippage
-                ? usdEstimate.toString()
-                : '0',
+            maxAutoSlippageBps: maxAutoSlippageBpsParam,
+            autoSlippageCollisionUsdValue: autoSlippageCollisionUsdValueParam,
             ...(excludeDexes && { excludeDexes: excludeDexes.join(',') }),
         });
         if (swapMode === 'ExactOut') {
@@ -116,7 +124,7 @@ class JupiterClient {
         const message = transaction.message;
         const lookupTables = (await Promise.all(message.addressTableLookups.map(async (lookup) => {
             return await this.getLookupTable(lookup.accountKey);
-        }))).filter((lookup) => lookup);
+        }))).filter((lookup) => lookup !== undefined);
         const transactionMessage = web3_js_1.TransactionMessage.decompile(message, {
             addressLookupTableAccounts: lookupTables,
         });
@@ -126,10 +134,12 @@ class JupiterClient {
         };
     }
     async getLookupTable(accountKey) {
-        if (this.lookupTableCahce.has(accountKey.toString())) {
-            return this.lookupTableCahce.get(accountKey.toString());
+        var _a;
+        const cached = this.lookupTableCahce.get(accountKey.toString());
+        if (cached !== undefined) {
+            return cached;
         }
-        return (await this.connection.getAddressLookupTable(accountKey)).value;
+        return ((_a = (await this.connection.getAddressLookupTable(accountKey)).value) !== null && _a !== void 0 ? _a : undefined);
     }
     /**
      * Get the jupiter instructions from transaction by filtering out instructions to compute budget and associated token programs

package/lib/browser/marginCalculation.js

@@ -28,6 +28,7 @@ class MarginContext {
         this.strict = false;
         this.ignoreInvalidDepositOracles = false;
         this.isolatedMarginBuffers = new Map();
+        this.crossMarginBuffer = numericConstants_1.ZERO;
     }
     static standard(marginType) {
         return new MarginContext(marginType);

package/lib/browser/math/amm.d.ts

@@ -3,16 +3,16 @@ import { BN } from '../isomorphic/anchor';
 import { AMM, MarketStats, PositionDirection, SwapDirection, PerpMarketAccount } from '../types';
 import { MMOraclePriceData, OraclePriceData } from '../oracles/types';
 export declare function calculatePegFromTargetPrice(targetPrice: BN, baseAssetReserve: BN, quoteAssetReserve: BN): BN;
-export declare function calculateOptimalPegAndBudget(amm: AMM, totalExchangeFee: BN, mmOraclePriceData: MMOraclePriceData): [BN, BN, BN, boolean];
-export declare function calculateNewAmm(amm: AMM, totalExchangeFee: BN, mmOraclePriceData: MMOraclePriceData): [BN, BN, BN, BN];
-export declare function calculateUpdatedAMM(amm: AMM, totalExchangeFee: BN, mmOraclePriceData: MMOraclePriceData): AMM;
-export declare function calculateUpdatedAMMSpreadReserves(amm: AMM, marketStats: MarketStats, totalExchangeFee: BN, direction: PositionDirection, mmOraclePriceData: MMOraclePriceData, latestSlot?: BN): {
+export declare function calculateOptimalPegAndBudget(amm: AMM, mmOraclePriceData: MMOraclePriceData): [BN, BN, BN, boolean];
+export declare function calculateNewAmm(amm: AMM, mmOraclePriceData: MMOraclePriceData): [BN, BN, BN, BN];
+export declare function calculateUpdatedAMM(amm: AMM, mmOraclePriceData?: MMOraclePriceData): AMM;
+export declare function calculateUpdatedAMMSpreadReserves(amm: AMM, marketStats: MarketStats, direction: PositionDirection, mmOraclePriceData?: MMOraclePriceData, latestSlot?: BN): {
     baseAssetReserve: BN;
     quoteAssetReserve: BN;
     sqrtK: BN;
     newPeg: BN;
 };
-export declare function calculateBidAskPrice(amm: AMM, marketStats: MarketStats, totalExchangeFee: BN, mmOraclePriceData: MMOraclePriceData, withUpdate?: boolean, latestSlot?: BN): [BN, BN];
+export declare function calculateBidAskPrice(amm: AMM, marketStats: MarketStats, mmOraclePriceData?: MMOraclePriceData, withUpdate?: boolean, latestSlot?: BN): [BN, BN];
 /**
  * Calculates a price given an arbitrary base and quote amount (they must have the same precision)
  *
@@ -39,9 +39,22 @@ export declare function calculateInventoryLiquidityRatioForReferencePriceOffset(
 export declare function calculateInventoryScale(baseAssetAmountWithAmm: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN, directionalSpread: number, maxSpread: number): number;
 export declare function calculateReferencePriceOffset(reservePrice: BN, last24hAvgFundingRate: BN, liquidityFraction: BN, oracleTwapFast: BN, markTwapFast: BN, oracleTwapSlow: BN, markTwapSlow: BN, maxOffsetPct: number): BN;
 export declare function calculateEffectiveLeverage(baseSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, netBaseAssetAmount: BN, reservePrice: BN, totalFeeMinusDistributions: BN): number;
-export declare function calculateMaxSpread(marginRatioInitial: number): number;
 export declare function calculateVolSpreadBN(lastOracleConfPct: BN, reservePrice: BN, markStd: BN, oracleStd: BN, longIntensity: BN, shortIntensity: BN, volume24H: BN): [BN, BN];
-export declare function calculateSpreadBN(baseSpread: number, lastOracleReservePriceSpreadPct: BN, lastOracleConfPct: BN, maxSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, baseAssetAmountWithAmm: BN, reservePrice: BN, totalFeeMinusDistributions: BN, netRevenueSinceLastFunding: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN, markStd: BN, oracleStd: BN, longIntensity: BN, shortIntensity: BN, volume24H: BN, ammInventorySpreadAdjustment: number, returnTerms?: boolean): number[] | {
+/**
+ * Funding bias β(f) (BID_ASK_SPREAD_PRECISION): bounded multiplier for the
+ * paying-side spread while the vAMM is paying funding. Mirrors the program's
+ * `calculate_spread_funding_bias_scale`.
+ *
+ *   ρ(f) = clamp(|f| / f_ref, 0, 1),  f_ref = FUNDING_RATE_OFFSET_PERCENTAGE
+ *   β(f) = 1 + s * ρ(f),              s = fundingBiasSensitivity / 100
+ *
+ * f = 24h avg funding rate normalized to a daily fraction of the oracle twap
+ * captured at the last funding update. The vAMM pays when f * q < 0
+ * (q = baseAssetAmountWithAmm). Returns 1x when the vAMM receives funding or
+ * s = 0.
+ */
+export declare function calculateSpreadFundingBiasScale(baseAssetAmountWithAmm: BN, last24HAvgFundingRate: BN, lastFundingOracleTwap: BN, fundingBiasSensitivity: number): number;
+export interface SpreadTerms {
     longVolSpread: number;
     shortVolSpread: number;
     longSpreadwPS: number;
@@ -58,16 +71,21 @@ export declare function calculateSpreadBN(baseSpread: number, lastOracleReserveP
     halfRevenueRetreatAmount: number;
     longSpreadwRevRetreat: number;
     shortSpreadwRevRetreat: number;
+    fundingBiasScale: number;
+    longSpreadwFundingBias: number;
+    shortSpreadwFundingBias: number;
     longSpreadwOffsetShrink: number;
     shortSpreadwOffsetShrink: number;
     totalSpread: number;
     longSpread: number;
     shortSpread: number;
-};
-export declare function calculateSpread(amm: AMM, marketStats: MarketStats, oraclePriceData: OraclePriceData, now?: BN, reservePrice?: BN): [number, number];
-export declare function calculateSpreadReserves(amm: AMM, marketStats: MarketStats, mmOraclePriceData: MMOraclePriceData, now?: BN, latestSlot?: BN): {
-    baseAssetReserve: any;
-    quoteAssetReserve: any;
+}
+export declare function calculateSpreadBN(baseSpread: number, lastOracleReservePriceSpreadPct: BN, lastOracleConfPct: BN, maxSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, baseAssetAmountWithAmm: BN, reservePrice: BN, totalFeeMinusDistributions: BN, netRevenueSinceLastFunding: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN, markStd: BN, oracleStd: BN, longIntensity: BN, shortIntensity: BN, volume24H: BN, ammInventorySpreadAdjustment: number, last24HAvgFundingRate?: BN, lastFundingOracleTwap?: BN, fundingBiasSensitivity?: number, returnTerms?: false): [number, number];
+export declare function calculateSpreadBN(baseSpread: number, lastOracleReservePriceSpreadPct: BN, lastOracleConfPct: BN, maxSpread: number, quoteAssetReserve: BN, terminalQuoteAssetReserve: BN, pegMultiplier: BN, baseAssetAmountWithAmm: BN, reservePrice: BN, totalFeeMinusDistributions: BN, netRevenueSinceLastFunding: BN, baseAssetReserve: BN, minBaseAssetReserve: BN, maxBaseAssetReserve: BN, markStd: BN, oracleStd: BN, longIntensity: BN, shortIntensity: BN, volume24H: BN, ammInventorySpreadAdjustment: number, last24HAvgFundingRate: BN, lastFundingOracleTwap: BN, fundingBiasSensitivity: number, returnTerms: true): SpreadTerms;
+export declare function calculateSpread(amm: AMM, marketStats: MarketStats, oraclePriceData?: OraclePriceData, now?: BN, reservePrice?: BN): [number, number];
+export declare function calculateSpreadReserves(amm: AMM, marketStats: MarketStats, mmOraclePriceData?: MMOraclePriceData, now?: BN, latestSlot?: BN): {
+    baseAssetReserve: BN;
+    quoteAssetReserve: BN;
 }[];
 /**
  * Helper function calculating constant product curve output. Agnostic to whether input asset is quote or base
@@ -93,6 +111,6 @@ export declare function getSwapDirection(inputAssetType: AssetType, positionDire
  * @returns cost : Precision PRICE_PRECISION
  */
 export declare function calculateTerminalPrice(market: PerpMarketAccount): BN;
-export declare function calculateMaxBaseAssetAmountToTrade(amm: AMM, marketStats: MarketStats, limit_price: BN, direction: PositionDirection, mmOraclePriceData?: MMOraclePriceData, now?: BN): [BN, PositionDirection];
+export declare function calculateMaxBaseAssetAmountToTrade(amm: AMM, marketStats: MarketStats, limit_price: BN, direction: PositionDirection, mmOraclePriceData: MMOraclePriceData, now?: BN): [BN, PositionDirection];
 export declare function calculateQuoteAssetAmountSwapped(quoteAssetReserves: BN, pegMultiplier: BN, swapDirection: SwapDirection): BN;
 export declare function calculateMaxBaseAssetAmountFillable(amm: AMM, orderStepSize: BN, orderDirection: PositionDirection): BN;

package/lib/browser/math/amm.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateMaxBaseAssetAmountFillable = exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateVolSpreadBN = exports.calculateMaxSpread = exports.calculateEffectiveLeverage = exports.calculateReferencePriceOffset = exports.calculateInventoryScale = exports.calculateInventoryLiquidityRatioForReferencePriceOffset = exports.calculateInventoryLiquidityRatio = exports.calculateMarketOpenBidAsk = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = exports.calculateOptimalPegAndBudget = exports.calculatePegFromTargetPrice = void 0;
+exports.calculateMaxBaseAssetAmountFillable = exports.calculateQuoteAssetAmountSwapped = exports.calculateMaxBaseAssetAmountToTrade = exports.calculateTerminalPrice = exports.getSwapDirection = exports.calculateSwapOutput = exports.calculateSpreadReserves = exports.calculateSpread = exports.calculateSpreadBN = exports.calculateSpreadFundingBiasScale = exports.calculateVolSpreadBN = exports.calculateEffectiveLeverage = exports.calculateReferencePriceOffset = exports.calculateInventoryScale = exports.calculateInventoryLiquidityRatioForReferencePriceOffset = exports.calculateInventoryLiquidityRatio = exports.calculateMarketOpenBidAsk = exports.calculateAmmReservesAfterSwap = exports.calculatePrice = exports.calculateBidAskPrice = exports.calculateUpdatedAMMSpreadReserves = exports.calculateUpdatedAMM = exports.calculateNewAmm = exports.calculateOptimalPegAndBudget = exports.calculatePegFromTargetPrice = void 0;
 const anchor_1 = require("../isomorphic/anchor");
 const numericConstants_1 = require("../constants/numericConstants");
 const types_1 = require("../types");
@@ -17,13 +17,14 @@ function calculatePegFromTargetPrice(targetPrice, baseAssetReserve, quoteAssetRe
         .div(numericConstants_1.PRICE_DIV_PEG), numericConstants_1.ONE);
 }
 exports.calculatePegFromTargetPrice = calculatePegFromTargetPrice;
-function calculateOptimalPegAndBudget(amm, totalExchangeFee, mmOraclePriceData) {
+function calculateOptimalPegAndBudget(amm, mmOraclePriceData) {
     const reservePriceBefore = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     const targetPrice = mmOraclePriceData.price;
     const newPeg = calculatePegFromTargetPrice(targetPrice, amm.baseAssetReserve, amm.quoteAssetReserve);
     const prePegCost = (0, repeg_1.calculateRepegCost)(amm, newPeg);
-    const totalFeeLB = totalExchangeFee.div(new anchor_1.BN(2));
-    const budget = anchor_1.BN.max(numericConstants_1.ZERO, amm.totalFeeMinusDistributions.sub(totalFeeLB));
+    // no protocol floor post-isolation: tfmd contains only the AMM's own
+    // equity and is fully spendable on the repeg
+    const budget = anchor_1.BN.max(numericConstants_1.ZERO, amm.totalFeeMinusDistributions);
     let checkLowerBound = true;
     if (budget.lt(prePegCost)) {
         const halfMaxPriceSpread = new anchor_1.BN(amm.maxSpread)
@@ -47,17 +48,19 @@ function calculateOptimalPegAndBudget(amm, totalExchangeFee, mmOraclePriceData)
             checkLowerBound = false;
             return [newTargetPrice, newOptimalPeg, newBudget, false];
         }
-        else if (amm.totalFeeMinusDistributions.lt(totalExchangeFee.div(new anchor_1.BN(2)))) {
+        else if (budget.eq(numericConstants_1.ZERO)) {
+            // mirrors the program: budget = max(0, tfmd), so a zero budget
+            // means the AMM has no equity to spend (no floor post-isolation)
             checkLowerBound = false;
         }
     }
     return [targetPrice, newPeg, budget, checkLowerBound];
 }
 exports.calculateOptimalPegAndBudget = calculateOptimalPegAndBudget;
-function calculateNewAmm(amm, totalExchangeFee, mmOraclePriceData) {
+function calculateNewAmm(amm, mmOraclePriceData) {
     let pKNumer = new anchor_1.BN(1);
     let pKDenom = new anchor_1.BN(1);
-    const [targetPrice, _newPeg, budget, _checkLowerBound] = calculateOptimalPegAndBudget(amm, totalExchangeFee, mmOraclePriceData);
+    const [targetPrice, _newPeg, budget, _checkLowerBound] = calculateOptimalPegAndBudget(amm, mmOraclePriceData);
     let prePegCost = (0, repeg_1.calculateRepegCost)(amm, _newPeg);
     let newPeg = _newPeg;
     if (prePegCost.gte(budget) && prePegCost.gt(numericConstants_1.ZERO)) {
@@ -81,12 +84,12 @@ function calculateNewAmm(amm, totalExchangeFee, mmOraclePriceData) {
     return [prePegCost, pKNumer, pKDenom, newPeg];
 }
 exports.calculateNewAmm = calculateNewAmm;
-function calculateUpdatedAMM(amm, totalExchangeFee, mmOraclePriceData) {
+function calculateUpdatedAMM(amm, mmOraclePriceData) {
     if (amm.curveUpdateIntensity == 0 || mmOraclePriceData === undefined) {
         return amm;
     }
     const newAmm = Object.assign({}, amm);
-    const [prepegCost, pKNumer, pKDenom, newPeg] = calculateNewAmm(amm, totalExchangeFee, mmOraclePriceData);
+    const [prepegCost, pKNumer, pKDenom, newPeg] = calculateNewAmm(amm, mmOraclePriceData);
     newAmm.baseAssetReserve = newAmm.baseAssetReserve.mul(pKNumer).div(pKDenom);
     newAmm.sqrtK = newAmm.sqrtK.mul(pKNumer).div(pKDenom);
     const invariant = newAmm.sqrtK.mul(newAmm.sqrtK);
@@ -104,8 +107,8 @@ function calculateUpdatedAMM(amm, totalExchangeFee, mmOraclePriceData) {
     return newAmm;
 }
 exports.calculateUpdatedAMM = calculateUpdatedAMM;
-function calculateUpdatedAMMSpreadReserves(amm, marketStats, totalExchangeFee, direction, mmOraclePriceData, latestSlot) {
-    const newAmm = calculateUpdatedAMM(amm, totalExchangeFee, mmOraclePriceData);
+function calculateUpdatedAMMSpreadReserves(amm, marketStats, direction, mmOraclePriceData, latestSlot) {
+    const newAmm = calculateUpdatedAMM(amm, mmOraclePriceData);
     const [shortReserves, longReserves] = calculateSpreadReserves(newAmm, marketStats, mmOraclePriceData, undefined, latestSlot);
     const dirReserves = (0, types_1.isVariant)(direction, 'long')
         ? longReserves
@@ -119,10 +122,10 @@ function calculateUpdatedAMMSpreadReserves(amm, marketStats, totalExchangeFee, d
     return result;
 }
 exports.calculateUpdatedAMMSpreadReserves = calculateUpdatedAMMSpreadReserves;
-function calculateBidAskPrice(amm, marketStats, totalExchangeFee, mmOraclePriceData, withUpdate = true, latestSlot) {
+function calculateBidAskPrice(amm, marketStats, mmOraclePriceData, withUpdate = true, latestSlot) {
     let newAmm;
     if (withUpdate) {
-        newAmm = calculateUpdatedAMM(amm, totalExchangeFee, mmOraclePriceData);
+        newAmm = calculateUpdatedAMM(amm, mmOraclePriceData);
     }
     else {
         newAmm = amm;
@@ -281,13 +284,6 @@ function calculateEffectiveLeverage(baseSpread, quoteAssetReserve, terminalQuote
     return effectiveLeverage;
 }
 exports.calculateEffectiveLeverage = calculateEffectiveLeverage;
-function calculateMaxSpread(marginRatioInitial) {
-    const maxTargetSpread = new anchor_1.BN(marginRatioInitial)
-        .mul(numericConstants_1.BID_ASK_SPREAD_PRECISION.div(numericConstants_1.MARGIN_PRECISION))
-        .toNumber();
-    return maxTargetSpread;
-}
-exports.calculateMaxSpread = calculateMaxSpread;
 function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleStd, longIntensity, shortIntensity, volume24H) {
     const marketAvgStdPct = markStd
         .add(oracleStd)
@@ -309,7 +305,43 @@ function calculateVolSpreadBN(lastOracleConfPct, reservePrice, markStd, oracleSt
     return [longVolSpread, shortVolSpread];
 }
 exports.calculateVolSpreadBN = calculateVolSpreadBN;
-function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions, netRevenueSinceLastFunding, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve, markStd, oracleStd, longIntensity, shortIntensity, volume24H, ammInventorySpreadAdjustment, returnTerms = false) {
+/**
+ * Funding bias β(f) (BID_ASK_SPREAD_PRECISION): bounded multiplier for the
+ * paying-side spread while the vAMM is paying funding. Mirrors the program's
+ * `calculate_spread_funding_bias_scale`.
+ *
+ *   ρ(f) = clamp(|f| / f_ref, 0, 1),  f_ref = FUNDING_RATE_OFFSET_PERCENTAGE
+ *   β(f) = 1 + s * ρ(f),              s = fundingBiasSensitivity / 100
+ *
+ * f = 24h avg funding rate normalized to a daily fraction of the oracle twap
+ * captured at the last funding update. The vAMM pays when f * q < 0
+ * (q = baseAssetAmountWithAmm). Returns 1x when the vAMM receives funding or
+ * s = 0.
+ */
+function calculateSpreadFundingBiasScale(baseAssetAmountWithAmm, last24HAvgFundingRate, lastFundingOracleTwap, fundingBiasSensitivity) {
+    const one = numericConstants_1.BID_ASK_SPREAD_PRECISION.toNumber();
+    if (fundingBiasSensitivity === 0 || lastFundingOracleTwap.lte(numericConstants_1.ZERO)) {
+        return one;
+    }
+    // f: daily funding rate as a fraction of price, FUNDING_RATE_PRECISION
+    const fNorm = last24HAvgFundingRate
+        .mul(numericConstants_1.PRICE_PRECISION)
+        .div(lastFundingOracleTwap)
+        .muln(24);
+    // f * q >= 0: vAMM receives (or rate/inventory is zero), β = 1
+    if (fNorm.isZero() || baseAssetAmountWithAmm.isZero()) {
+        return one;
+    }
+    if (fNorm.isNeg() === baseAssetAmountWithAmm.isNeg()) {
+        return one;
+    }
+    // ρ = clamp(|f| / f_ref, 0, 1), PERCENTAGE_PRECISION
+    const ramp = anchor_1.BN.min(fNorm.abs().mul(numericConstants_1.PERCENTAGE_PRECISION).div(numericConstants_1.FUNDING_RATE_OFFSET_PERCENTAGE), numericConstants_1.PERCENTAGE_PRECISION).toNumber();
+    // β = 1 + s * ρ
+    return one + Math.floor((fundingBiasSensitivity * ramp) / 100);
+}
+exports.calculateSpreadFundingBiasScale = calculateSpreadFundingBiasScale;
+function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions, netRevenueSinceLastFunding, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve, markStd, oracleStd, longIntensity, shortIntensity, volume24H, ammInventorySpreadAdjustment, last24HAvgFundingRate = numericConstants_1.ZERO, lastFundingOracleTwap = numericConstants_1.ZERO, fundingBiasSensitivity = 0, returnTerms = false) {
     (0, assert_1.assert)(Number.isInteger(baseSpread));
     (0, assert_1.assert)(Number.isInteger(maxSpread));
     const spreadTerms = {
@@ -329,6 +361,9 @@ function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOrac
         halfRevenueRetreatAmount: 0,
         longSpreadwRevRetreat: 0,
         shortSpreadwRevRetreat: 0,
+        fundingBiasScale: 0,
+        longSpreadwFundingBias: 0,
+        shortSpreadwFundingBias: 0,
         longSpreadwOffsetShrink: 0,
         shortSpreadwOffsetShrink: 0,
         totalSpread: 0,
@@ -412,6 +447,23 @@ function calculateSpreadBN(baseSpread, lastOracleReservePriceSpreadPct, lastOrac
     }
     spreadTerms.longSpreadwRevRetreat = longSpread;
     spreadTerms.shortSpreadwRevRetreat = shortSpread;
+    // funding bias: w_pay = min(w_max, (w_0 * σ(q) * λ(q) + r(q)) * β(f)).
+    // β multiplies the fully built paying side only, selected by sign(q)
+    // (the same side σ widens); the max-spread cap below still bounds it.
+    // β = 1 when the vAMM receives.
+    const fundingBiasScale = calculateSpreadFundingBiasScale(baseAssetAmountWithAmm, last24HAvgFundingRate, lastFundingOracleTwap, fundingBiasSensitivity);
+    const spreadPrecision = numericConstants_1.BID_ASK_SPREAD_PRECISION.toNumber();
+    if (fundingBiasScale > spreadPrecision) {
+        if (baseAssetAmountWithAmm.gt(numericConstants_1.ZERO)) {
+            longSpread = Math.floor((longSpread * fundingBiasScale) / spreadPrecision);
+        }
+        else if (baseAssetAmountWithAmm.lt(numericConstants_1.ZERO)) {
+            shortSpread = Math.floor((shortSpread * fundingBiasScale) / spreadPrecision);
+        }
+    }
+    spreadTerms.fundingBiasScale = fundingBiasScale;
+    spreadTerms.longSpreadwFundingBias = longSpread;
+    spreadTerms.shortSpreadwFundingBias = shortSpread;
     if (ammInventorySpreadAdjustment < 0) {
         const adjustment = Math.abs(ammInventorySpreadAdjustment);
         const shrunkLong = Math.max(1, longSpread - Math.floor((longSpread * adjustment) / 100));
@@ -450,6 +502,9 @@ function calculateSpread(amm, marketStats, oraclePriceData, now, reservePrice) {
     if (amm.baseSpread == 0 || amm.curveUpdateIntensity == 0) {
         return [amm.baseSpread / 2, amm.baseSpread / 2];
     }
+    if (!oraclePriceData) {
+        throw new Error('calculateSpread: oraclePriceData is required when baseSpread and curveUpdateIntensity are nonzero');
+    }
     if (!reservePrice) {
         reservePrice = calculatePrice(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
     }
@@ -461,7 +516,7 @@ function calculateSpread(amm, marketStats, oraclePriceData, now, reservePrice) {
     now = now || new anchor_1.BN(new Date().getTime() / 1000); //todo
     const liveOracleStd = (0, oracles_1.calculateLiveOracleStd)(marketStats, oraclePriceData, now);
     const confIntervalPct = (0, oracles_1.getNewOracleConfPct)(marketStats, oraclePriceData, reservePrice, now);
-    const spreads = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.baseAssetAmountWithAmm, reservePrice, amm.totalFeeMinusDistributions, amm.netRevenueSinceLastFunding, amm.baseAssetReserve, amm.minBaseAssetReserve, amm.maxBaseAssetReserve, marketStats.markStd, liveOracleStd, marketStats.longIntensityVolume, marketStats.shortIntensityVolume, marketStats.volume24H, amm.ammInventorySpreadAdjustment);
+    const spreads = calculateSpreadBN(amm.baseSpread, targetMarkSpreadPct, confIntervalPct, amm.maxSpread, amm.quoteAssetReserve, amm.terminalQuoteAssetReserve, amm.pegMultiplier, amm.baseAssetAmountWithAmm, reservePrice, amm.totalFeeMinusDistributions, amm.netRevenueSinceLastFunding, amm.baseAssetReserve, amm.minBaseAssetReserve, amm.maxBaseAssetReserve, marketStats.markStd, liveOracleStd, marketStats.longIntensityVolume, marketStats.shortIntensityVolume, marketStats.volume24H, amm.ammInventorySpreadAdjustment, marketStats.last24HAvgFundingRate, marketStats.lastFundingOracleTwap, amm.fundingBiasSensitivity);
     let longSpread = spreads[0];
     let shortSpread = spreads[1];
     if (amm.ammSpreadAdjustment > 0) {

package/lib/browser/math/bankruptcy.js

@@ -5,7 +5,7 @@ const numericConstants_1 = require("../constants/numericConstants");
 const position_1 = require("./position");
 const types_1 = require("../types");
 function isUserBankrupt(user) {
-    const userAccount = user.getUserAccount();
+    const userAccount = user.getUserAccountOrThrow();
     let hasLiability = false;
     for (const position of userAccount.spotPositions) {
         if (position.scaledBalance.gt(numericConstants_1.ZERO)) {

package/lib/browser/math/funding.js

@@ -16,7 +16,7 @@ function calculateLiveMarkTwap(market, mmOraclePriceData, markPrice, now, period
     const timeSinceLastMarkChange = now.sub(lastMarkPriceTwapTs);
     const markTwapTimeSinceLastUpdate = anchor_1.BN.max(period, anchor_1.BN.max(numericConstants_1.ZERO, period.sub(timeSinceLastMarkChange)));
     if (!markPrice) {
-        const [bid, ask] = (0, amm_1.calculateBidAskPrice)(market.amm, market.marketStats, market.totalExchangeFee, mmOraclePriceData);
+        const [bid, ask] = (0, amm_1.calculateBidAskPrice)(market.amm, market.marketStats, mmOraclePriceData);
         markPrice = bid.add(ask).div(new anchor_1.BN(2));
     }
     const markTwapWithMantissa = markTwapTimeSinceLastUpdate
@@ -66,6 +66,9 @@ function calculateAllEstimatedFundingRate(market, mmOraclePriceData, oraclePrice
     now = now || new anchor_1.BN((Date.now() / 1000).toFixed(0));
     // calculate real-time mark and oracle twap
     const liveMarkTwap = calculateLiveMarkTwap(market, mmOraclePriceData, markPrice, now, market.marketStats.fundingPeriod);
+    if (!oraclePriceData) {
+        throw new Error('calculateAllEstimatedFundingRate: oraclePriceData is required for an initialized market');
+    }
     const liveOracleTwap = (0, oracles_1.calculateLiveOracleTwap)(market.marketStats.historicalOracleData, oraclePriceData, now, market.marketStats.fundingPeriod);
     const [markTwap, oracleTwap] = shrinkStaleTwaps(market, liveMarkTwap, liveOracleTwap, now);
     // if(!markTwap.eq(liveMarkTwap)){
@@ -250,11 +253,8 @@ exports.calculateLongShortFundingRateAndLiveTwaps = calculateLongShortFundingRat
  */
 function calculateFundingPool(market) {
     // todo
-    const totalFeeLB = market.totalExchangeFee.div(new anchor_1.BN(2));
-    const feePool = anchor_1.BN.max(numericConstants_1.ZERO, market.amm.totalFeeMinusDistributions
-        .sub(totalFeeLB)
-        .mul(new anchor_1.BN(1))
-        .div(new anchor_1.BN(3)));
+    // no protocol floor post-isolation: 1/3 of the AMM's own equity
+    const feePool = anchor_1.BN.max(numericConstants_1.ZERO, market.amm.totalFeeMinusDistributions.mul(new anchor_1.BN(1)).div(new anchor_1.BN(3)));
     return feePool;
 }
 exports.calculateFundingPool = calculateFundingPool;

package/lib/browser/math/insurance.d.ts

@@ -2,7 +2,7 @@
 import { BN } from '../isomorphic/anchor';
 import { SpotMarketAccount } from '../types';
 export declare function nextRevenuePoolSettleApr(spotMarket: SpotMarketAccount, vaultBalance: BN, // vault token amount
-amount?: BN): number;
+amount: BN): number;
 export declare function stakeAmountToShares(amount: BN, totalIfShares: BN, insuranceFundVaultBalance: BN): BN;
 export declare function unstakeSharesToAmount(nShares: BN, totalIfShares: BN, insuranceFundVaultBalance: BN): BN;
 export declare function unstakeSharesToAmountWithOpenRequest(nShares: BN, withdrawRequestShares: BN, withdrawRequestAmount: BN, totalIfShares: BN, insuranceFundVaultBalance: BN): BN;

package/lib/browser/math/insurance.js

@@ -12,11 +12,10 @@ amount // delta token amount
     // Conmputing the APR:
     const revenuePoolBN = (0, spotBalance_1.getTokenAmount)(spotMarket.revenuePool.scaledBalance, spotMarket, types_1.SpotBalanceType.DEPOSIT);
     const payoutRatio = 0.1;
-    const ratioForStakers = spotMarket.insuranceFund.totalFactor > 0 &&
-        spotMarket.insuranceFund.userFactor > 0 &&
-        spotMarket.insuranceFund.revenueSettlePeriod.gt(numericConstants_1.ZERO)
-        ? spotMarket.insuranceFund.userFactor /
-            spotMarket.insuranceFund.totalFactor
+    // the insurance fund is 100% staker-owned: every settled token accrues to
+    // stakers as share-price appreciation (no protocol split)
+    const ratioForStakers = spotMarket.insuranceFund.revenueSettlePeriod.gt(numericConstants_1.ZERO)
+        ? 1
         : 0;
     // Settle periods from on-chain data:
     const revSettlePeriod = spotMarket.insuranceFund.revenueSettlePeriod.toNumber() * 1000;

package/lib/browser/math/margin.d.ts

@@ -2,13 +2,11 @@
 import { BN } from '../isomorphic/anchor';
 import { OraclePriceData } from '../oracles/types';
 import { VelocityClient } from '../velocityClient';
-import { PerpMarketAccount, PerpPosition, PositionDirection, UserAccount } from '../types';
-import { PublicKey } from '@solana/web3.js';
+import { PerpMarketAccount, PerpPosition } from '../types';
 export declare function calculateSizePremiumLiabilityWeight(size: BN, // AMM_RESERVE_PRECISION
 imfFactor: BN, liabilityWeight: BN, precision: BN, isBounded?: boolean): BN;
 export declare function calculateSizeDiscountAssetWeight(size: BN, // AMM_RESERVE_PRECISION
 imfFactor: BN, assetWeight: BN): BN;
-export declare function calculateOraclePriceForPerpMargin(perpPosition: PerpPosition, market: PerpMarketAccount, oraclePriceData: OraclePriceData): BN;
 /**
  * This is _not_ the same as liability value as for prediction markets, the liability for the short in prediction market is (1 - oracle price) * base
  * See {@link calculatePerpLiabilityValue} to get the liabiltiy value
@@ -37,9 +35,3 @@ export declare function calculateMarginUSDCRequiredForTrade(velocityClient: Velo
  * Returns collateral required in the precision of the target collateral market.
  */
 export declare function calculateCollateralDepositRequiredForTrade(velocityClient: VelocityClient, targetMarketIndex: number, baseSize: BN, collateralIndex: number, userMaxMarginRatio?: number, estEntryPrice?: BN): BN;
-export declare function calculateCollateralValueOfDeposit(velocityClient: VelocityClient, collateralIndex: number, baseSize: BN): BN;
-export declare function calculateLiquidationPrice(freeCollateral: BN, freeCollateralDelta: BN, oraclePrice: BN): BN;
-export declare function calculateUserMaxPerpOrderSize(velocityClient: VelocityClient, userAccountKey: PublicKey, userAccount: UserAccount, targetMarketIndex: number, tradeSide: PositionDirection): {
-    tradeSize: BN;
-    oppositeSideTradeSize: BN;
-};

package/lib/browser/math/margin.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateUserMaxPerpOrderSize = exports.calculateLiquidationPrice = exports.calculateCollateralValueOfDeposit = exports.calculateCollateralDepositRequiredForTrade = exports.calculateMarginUSDCRequiredForTrade = exports.calculatePerpLiabilityValue = exports.calculateWorstCasePerpLiabilityValue = exports.calculateWorstCaseBaseAssetAmount = exports.calculateBaseAssetValueWithOracle = exports.calculateOraclePriceForPerpMargin = exports.calculateSizeDiscountAssetWeight = exports.calculateSizePremiumLiabilityWeight = void 0;
+exports.calculateCollateralDepositRequiredForTrade = exports.calculateMarginUSDCRequiredForTrade = exports.calculatePerpLiabilityValue = exports.calculateWorstCasePerpLiabilityValue = exports.calculateWorstCaseBaseAssetAmount = exports.calculateBaseAssetValueWithOracle = exports.calculateSizeDiscountAssetWeight = exports.calculateSizePremiumLiabilityWeight = void 0;
 /**
  * Margin calculation helpers — TypeScript mirror of `programs/velocity/src/math/margin.rs`.
  * Computes initial/maintenance margin requirements, free collateral, and account health.
@@ -11,8 +11,6 @@ const numericConstants_1 = require("../constants/numericConstants");
 const anchor_1 = require("../isomorphic/anchor");
 const market_1 = require("./market");
 const spotBalance_1 = require("./spotBalance");
-const oneShotUserAccountSubscriber_1 = require("../accounts/oneShotUserAccountSubscriber");
-const user_1 = require("../user");
 const types_1 = require("../types");
 const assert_1 = require("../assert/assert");
 function calculateSizePremiumLiabilityWeight(size, // AMM_RESERVE_PRECISION
@@ -55,22 +53,6 @@ imfFactor, assetWeight) {
     return minAssetWeight;
 }
 exports.calculateSizeDiscountAssetWeight = calculateSizeDiscountAssetWeight;
-function calculateOraclePriceForPerpMargin(perpPosition, market, oraclePriceData) {
-    const oraclePriceOffset = anchor_1.BN.min(new anchor_1.BN(market.amm.maxSpread)
-        .mul(oraclePriceData.price)
-        .div(numericConstants_1.BID_ASK_SPREAD_PRECISION), oraclePriceData.confidence.add(new anchor_1.BN(market.amm.baseSpread)
-        .mul(oraclePriceData.price)
-        .div(numericConstants_1.BID_ASK_SPREAD_PRECISION)));
-    let marginPrice;
-    if (perpPosition.baseAssetAmount.gt(numericConstants_1.ZERO)) {
-        marginPrice = oraclePriceData.price.sub(oraclePriceOffset);
-    }
-    else {
-        marginPrice = oraclePriceData.price.add(oraclePriceOffset);
-    }
-    return marginPrice;
-}
-exports.calculateOraclePriceForPerpMargin = calculateOraclePriceForPerpMargin;
 /**
  * This is _not_ the same as liability value as for prediction markets, the liability for the short in prediction market is (1 - oracle price) * base
  * See {@link calculatePerpLiabilityValue} to get the liabiltiy value
@@ -131,7 +113,7 @@ exports.calculatePerpLiabilityValue = calculatePerpLiabilityValue;
  * @returns
  */
 function calculateMarginUSDCRequiredForTrade(velocityClient, targetMarketIndex, baseSize, userMaxMarginRatio, entryPrice) {
-    const targetMarket = velocityClient.getPerpMarketAccount(targetMarketIndex);
+    const targetMarket = velocityClient.getPerpMarketAccountOrThrow(targetMarketIndex);
     const price = entryPrice !== null && entryPrice !== void 0 ? entryPrice : velocityClient.getOracleDataForPerpMarket(targetMarket.marketIndex).price;
     const perpLiabilityValue = calculatePerpLiabilityValue(baseSize, price);
     const marginRequired = new anchor_1.BN((0, market_1.calculateMarketMarginRatio)(targetMarket, baseSize.abs(), 'Initial', userMaxMarginRatio))
@@ -147,7 +129,7 @@ exports.calculateMarginUSDCRequiredForTrade = calculateMarginUSDCRequiredForTrad
  */
 function calculateCollateralDepositRequiredForTrade(velocityClient, targetMarketIndex, baseSize, collateralIndex, userMaxMarginRatio, estEntryPrice) {
     const marginRequiredUsdc = calculateMarginUSDCRequiredForTrade(velocityClient, targetMarketIndex, baseSize, userMaxMarginRatio, estEntryPrice);
-    const collateralMarket = velocityClient.getSpotMarketAccount(collateralIndex);
+    const collateralMarket = velocityClient.getSpotMarketAccountOrThrow(collateralIndex);
     const collateralOracleData = velocityClient.getOracleDataForSpotMarket(collateralIndex);
     const scaledAssetWeight = (0, spotBalance_1.calculateScaledInitialAssetWeight)(collateralMarket, collateralOracleData.price);
     // Base amount required to deposit = (marginRequiredUsdc / priceOfAsset) / assetWeight .. (E.g. $100 required / $10000 price / 0.5 weight)
@@ -162,44 +144,3 @@ function calculateCollateralDepositRequiredForTrade(velocityClient, targetMarket
     return baseAmountRequired;
 }
 exports.calculateCollateralDepositRequiredForTrade = calculateCollateralDepositRequiredForTrade;
-function calculateCollateralValueOfDeposit(velocityClient, collateralIndex, baseSize) {
-    const collateralMarket = velocityClient.getSpotMarketAccount(collateralIndex);
-    const collateralOracleData = velocityClient.getOracleDataForSpotMarket(collateralIndex);
-    const scaledAssetWeight = (0, spotBalance_1.calculateScaledInitialAssetWeight)(collateralMarket, collateralOracleData.price);
-    // CollateralBaseValue = oracle price * collateral base amount (and shift to QUOTE_PRECISION)
-    const collateralBaseValue = collateralOracleData.price
-        .mul(baseSize)
-        .mul(numericConstants_1.QUOTE_PRECISION)
-        .div(numericConstants_1.PRICE_PRECISION)
-        .div(new anchor_1.BN(10).pow(new anchor_1.BN(collateralMarket.decimals)));
-    const depositCollateralValue = collateralBaseValue
-        .mul(scaledAssetWeight)
-        .div(numericConstants_1.SPOT_MARKET_WEIGHT_PRECISION);
-    return depositCollateralValue;
-}
-exports.calculateCollateralValueOfDeposit = calculateCollateralValueOfDeposit;
-function calculateLiquidationPrice(freeCollateral, freeCollateralDelta, oraclePrice) {
-    const liqPriceDelta = freeCollateral
-        .mul(numericConstants_1.QUOTE_PRECISION)
-        .div(freeCollateralDelta);
-    const liqPrice = oraclePrice.sub(liqPriceDelta);
-    if (liqPrice.lt(numericConstants_1.ZERO)) {
-        return new anchor_1.BN(-1);
-    }
-    return liqPrice;
-}
-exports.calculateLiquidationPrice = calculateLiquidationPrice;
-function calculateUserMaxPerpOrderSize(velocityClient, userAccountKey, userAccount, targetMarketIndex, tradeSide) {
-    const userAccountSubscriber = new oneShotUserAccountSubscriber_1.OneShotUserAccountSubscriber(velocityClient.program, userAccountKey, userAccount);
-    const user = new user_1.User({
-        velocityClient,
-        userAccountPublicKey: userAccountKey,
-        accountSubscription: {
-            type: 'custom',
-            userAccountSubscriber: userAccountSubscriber,
-        },
-    });
-    user.isSubscribed = true;
-    return user.getMaxTradeSizeUSDCForPerp(targetMarketIndex, tradeSide);
-}
-exports.calculateUserMaxPerpOrderSize = calculateUserMaxPerpOrderSize;