@velocity-exchange/sdk 0.1.0 → 0.2.1

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;

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

@@ -1,31 +1,27 @@
-/// <reference types="bn.js" />
 import { BN } from '../isomorphic/anchor';
-import { PerpMarketAccount, PositionDirection, MarginCategory, SpotMarketAccount } from '../types';
+import { PerpMarketAccount, MarginCategory, SpotMarketAccount } from '../types';
 import { MMOraclePriceData, OraclePriceData } from '../oracles/types';
-import { DLOB } from '../dlob/DLOB';
 /**
  * Calculates market mark price
  *
  * @param market
  * @return markPrice : Precision PRICE_PRECISION
  */
-export declare function calculateReservePrice(market: PerpMarketAccount, mmOraclePriceData: MMOraclePriceData): BN;
+export declare function calculateReservePrice(market: PerpMarketAccount, mmOraclePriceData?: MMOraclePriceData): BN;
 /**
  * Calculates market bid price
  *
  * @param market
  * @return bidPrice : Precision PRICE_PRECISION
  */
-export declare function calculateBidPrice(market: PerpMarketAccount, mmOraclePriceData: MMOraclePriceData, latestSlot?: BN): BN;
+export declare function calculateBidPrice(market: PerpMarketAccount, mmOraclePriceData?: MMOraclePriceData, latestSlot?: BN): BN;
 /**
  * Calculates market ask price
  *
  * @param market
  * @return askPrice : Precision PRICE_PRECISION
  */
-export declare function calculateAskPrice(market: PerpMarketAccount, mmOraclePriceData: MMOraclePriceData, latestSlot?: BN): BN;
-export declare function calculateNewMarketAfterTrade(baseAssetAmount: BN, direction: PositionDirection, market: PerpMarketAccount): PerpMarketAccount;
-export declare function calculateOracleReserveSpread(market: PerpMarketAccount, mmOraclePriceData: MMOraclePriceData): BN;
+export declare function calculateAskPrice(market: PerpMarketAccount, mmOraclePriceData?: MMOraclePriceData, latestSlot?: BN): BN;
 export declare function calculateOracleSpread(price: BN, oraclePriceData: OraclePriceData): BN;
 export declare function calculateMarketMarginRatio(market: PerpMarketAccount, size: BN, marginCategory: MarginCategory, customMarginRatio?: number): number;
 export declare function calculateUnrealizedAssetWeight(market: PerpMarketAccount, quoteSpotMarket: SpotMarketAccount, unrealizedPnl: BN, marginCategory: MarginCategory, oraclePriceData: Pick<OraclePriceData, 'price'>): BN;
@@ -33,11 +29,6 @@ export declare function calculateMarketAvailablePNL(perpMarket: PerpMarketAccoun
 export declare function calculateMarketMaxAvailableInsurance(perpMarket: PerpMarketAccount, spotMarket: SpotMarketAccount): BN;
 export declare function calculateNetUserPnl(perpMarket: PerpMarketAccount, oraclePriceData: Pick<OraclePriceData, 'price'>): BN;
 export declare function calculateNetUserPnlImbalance(perpMarket: PerpMarketAccount, spotMarket: SpotMarketAccount, oraclePriceData: Pick<OraclePriceData, 'price'>, applyFeePoolDiscount?: boolean): BN;
-export declare function calculateAvailablePerpLiquidity(market: PerpMarketAccount, mmOraclePriceData: MMOraclePriceData, dlob: DLOB, slot: number): {
-    bids: BN;
-    asks: BN;
-};
-export declare function calculatePerpMarketBaseLiquidatorFee(market: PerpMarketAccount): number;
 /**
  * Calculates trigger price for a perp market based on oracle price and current time
  * Implements the same logic as the Rust get_trigger_price function

package/lib/browser/math/market.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getTriggerPrice = exports.calculatePerpMarketBaseLiquidatorFee = exports.calculateAvailablePerpLiquidity = exports.calculateNetUserPnlImbalance = exports.calculateNetUserPnl = exports.calculateMarketMaxAvailableInsurance = exports.calculateMarketAvailablePNL = exports.calculateUnrealizedAssetWeight = exports.calculateMarketMarginRatio = exports.calculateOracleSpread = exports.calculateOracleReserveSpread = exports.calculateNewMarketAfterTrade = exports.calculateAskPrice = exports.calculateBidPrice = exports.calculateReservePrice = void 0;
+exports.getTriggerPrice = exports.calculateNetUserPnlImbalance = exports.calculateNetUserPnl = exports.calculateMarketMaxAvailableInsurance = exports.calculateMarketAvailablePNL = exports.calculateUnrealizedAssetWeight = exports.calculateMarketMarginRatio = exports.calculateOracleSpread = exports.calculateAskPrice = exports.calculateBidPrice = exports.calculateReservePrice = void 0;
 const anchor_1 = require("../isomorphic/anchor");
 const types_1 = require("../types");
 const amm_1 = require("./amm");
@@ -15,7 +15,7 @@ const assert_1 = require("../assert/assert");
  * @return markPrice : Precision PRICE_PRECISION
  */
 function calculateReservePrice(market, mmOraclePriceData) {
-    const newAmm = (0, amm_1.calculateUpdatedAMM)(market.amm, market.totalExchangeFee, mmOraclePriceData);
+    const newAmm = (0, amm_1.calculateUpdatedAMM)(market.amm, mmOraclePriceData);
     return (0, amm_1.calculatePrice)(newAmm.baseAssetReserve, newAmm.quoteAssetReserve, newAmm.pegMultiplier);
 }
 exports.calculateReservePrice = calculateReservePrice;
@@ -26,7 +26,7 @@ exports.calculateReservePrice = calculateReservePrice;
  * @return bidPrice : Precision PRICE_PRECISION
  */
 function calculateBidPrice(market, mmOraclePriceData, latestSlot) {
-    const { baseAssetReserve, quoteAssetReserve, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, market.marketStats, market.totalExchangeFee, types_1.PositionDirection.SHORT, mmOraclePriceData, latestSlot);
+    const { baseAssetReserve, quoteAssetReserve, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, market.marketStats, types_1.PositionDirection.SHORT, mmOraclePriceData, latestSlot);
     return (0, amm_1.calculatePrice)(baseAssetReserve, quoteAssetReserve, newPeg);
 }
 exports.calculateBidPrice = calculateBidPrice;
@@ -37,25 +37,10 @@ exports.calculateBidPrice = calculateBidPrice;
  * @return askPrice : Precision PRICE_PRECISION
  */
 function calculateAskPrice(market, mmOraclePriceData, latestSlot) {
-    const { baseAssetReserve, quoteAssetReserve, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, market.marketStats, market.totalExchangeFee, types_1.PositionDirection.LONG, mmOraclePriceData, latestSlot);
+    const { baseAssetReserve, quoteAssetReserve, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, market.marketStats, types_1.PositionDirection.LONG, mmOraclePriceData, latestSlot);
     return (0, amm_1.calculatePrice)(baseAssetReserve, quoteAssetReserve, newPeg);
 }
 exports.calculateAskPrice = calculateAskPrice;
-function calculateNewMarketAfterTrade(baseAssetAmount, direction, market) {
-    const [newQuoteAssetReserve, newBaseAssetReserve] = (0, amm_1.calculateAmmReservesAfterSwap)(market.amm, 'base', baseAssetAmount.abs(), (0, amm_1.getSwapDirection)('base', direction));
-    const newAmm = Object.assign({}, market.amm);
-    const newMarket = Object.assign({}, market);
-    newMarket.amm = newAmm;
-    newMarket.amm.quoteAssetReserve = newQuoteAssetReserve;
-    newMarket.amm.baseAssetReserve = newBaseAssetReserve;
-    return newMarket;
-}
-exports.calculateNewMarketAfterTrade = calculateNewMarketAfterTrade;
-function calculateOracleReserveSpread(market, mmOraclePriceData) {
-    const reservePrice = calculateReservePrice(market, mmOraclePriceData);
-    return calculateOracleSpread(reservePrice, mmOraclePriceData);
-}
-exports.calculateOracleReserveSpread = calculateOracleReserveSpread;
 function calculateOracleSpread(price, oraclePriceData) {
     return price.sub(oraclePriceData.price);
 }
@@ -138,25 +123,6 @@ function calculateNetUserPnlImbalance(perpMarket, spotMarket, oraclePriceData, a
     return imbalance;
 }
 exports.calculateNetUserPnlImbalance = calculateNetUserPnlImbalance;
-function calculateAvailablePerpLiquidity(market, mmOraclePriceData, dlob, slot) {
-    let [bids, asks] = (0, amm_1.calculateMarketOpenBidAsk)(market.amm.baseAssetReserve, market.amm.minBaseAssetReserve, market.amm.maxBaseAssetReserve, market.orderStepSize);
-    asks = asks.abs();
-    for (const bid of dlob.getRestingLimitBids(market.marketIndex, slot, types_1.MarketType.PERP, mmOraclePriceData)) {
-        bids = bids.add(bid.order.baseAssetAmount.sub(bid.order.baseAssetAmountFilled));
-    }
-    for (const ask of dlob.getRestingLimitAsks(market.marketIndex, slot, types_1.MarketType.PERP, mmOraclePriceData)) {
-        asks = asks.add(ask.order.baseAssetAmount.sub(ask.order.baseAssetAmountFilled));
-    }
-    return {
-        bids: bids,
-        asks: asks,
-    };
-}
-exports.calculateAvailablePerpLiquidity = calculateAvailablePerpLiquidity;
-function calculatePerpMarketBaseLiquidatorFee(market) {
-    return market.liquidatorFee;
-}
-exports.calculatePerpMarketBaseLiquidatorFee = calculatePerpMarketBaseLiquidatorFee;
 /**
  * Calculates trigger price for a perp market based on oracle price and current time
  * Implements the same logic as the Rust get_trigger_price function
@@ -193,10 +159,10 @@ exports.getTriggerPrice = getTriggerPrice;
  * Implements the same logic as the Rust get_last_funding_basis function
  */
 function getLastFundingBasis(market, oraclePrice, now) {
-    if (market.lastFundingOracleTwap.gt(numericConstants_1.ZERO)) {
+    if (market.marketStats.lastFundingOracleTwap.gt(numericConstants_1.ZERO)) {
         const lastFundingRate = market.lastFundingRate
             .mul(numericConstants_1.PRICE_PRECISION)
-            .div(market.lastFundingOracleTwap)
+            .div(market.marketStats.lastFundingOracleTwap)
             .muln(24);
         const lastFundingRatePreAdj = lastFundingRate.sub(numericConstants_1.FUNDING_RATE_PRECISION.div(new anchor_1.BN(3333)) // FUNDING_RATE_OFFSET_PERCENTAGE
         );

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

@@ -1,6 +1,3 @@
-/// <reference types="bn.js" />
-/// <reference types="node" />
-/// <reference types="node" />
 import { HistoricalOracleData, MarketStats, OracleGuardRails, OracleSource, OracleValidity, PerpMarketAccount } from '../types';
 import { OraclePriceData } from '../oracles/types';
 import { BN } from '../isomorphic/anchor';
@@ -12,7 +9,6 @@ export declare function isOracleTooDivergent(marketStats: MarketStats, oraclePri
 export declare function calculateLiveOracleTwap(histOracleData: HistoricalOracleData, oraclePriceData: OraclePriceData, now: BN, period: BN): BN;
 export declare function calculateLiveOracleStd(marketStats: MarketStats, oraclePriceData: OraclePriceData, now: BN): BN;
 export declare function getNewOracleConfPct(marketStats: MarketStats, oraclePriceData: OraclePriceData, reservePrice: BN, now: BN): BN;
-export declare function trimVaaSignatures(vaa: Buffer, n?: number): Buffer;
 export declare function getMultipleBetweenOracleSources(firstOracleSource: OracleSource, secondOracleSource: OracleSource): {
     numerator: BN;
     denominator: BN;

package/lib/browser/math/oracles.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getMultipleBetweenOracleSources = exports.trimVaaSignatures = exports.getNewOracleConfPct = exports.calculateLiveOracleStd = exports.calculateLiveOracleTwap = exports.isOracleTooDivergent = exports.isOracleValid = exports.getOracleValidity = exports.getMaxConfidenceIntervalMultiplier = exports.oraclePriceBands = void 0;
+exports.getMultipleBetweenOracleSources = exports.getNewOracleConfPct = exports.calculateLiveOracleStd = exports.calculateLiveOracleTwap = exports.isOracleTooDivergent = exports.isOracleValid = exports.getOracleValidity = exports.getMaxConfidenceIntervalMultiplier = exports.oraclePriceBands = void 0;
 const types_1 = require("../types");
 const numericConstants_1 = require("../constants/numericConstants");
 const assert_1 = require("../assert/assert");
@@ -166,19 +166,6 @@ function getNewOracleConfPct(marketStats, oraclePriceData, reservePrice, now) {
     return confIntervalPctResult;
 }
 exports.getNewOracleConfPct = getNewOracleConfPct;
-function trimVaaSignatures(vaa, n = 3) {
-    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;
-}
-exports.trimVaaSignatures = trimVaaSignatures;
 function getMultipleBetweenOracleSources(firstOracleSource, secondOracleSource) {
     if ((0, types_1.isOneOfVariant)(firstOracleSource, [
         'pythPull',

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

@@ -1,11 +1,6 @@
-/// <reference types="bn.js" />
-import { User } from '../user';
 import { PerpMarketAccount, AMM, MarketStats, Order, PositionDirection, MarketTypeStr, StateAccount } from '../types';
 import { BN } from '../isomorphic/anchor';
 import { MMOraclePriceData, OraclePriceData } from '../oracles/types';
-export declare function isOrderRiskIncreasing(user: User, order: Order): boolean;
-export declare function isOrderRiskIncreasingInSameDirection(user: User, order: Order): boolean;
-export declare function isOrderReduceOnly(user: User, order: Order): boolean;
 export declare function standardizeBaseAssetAmount(baseAssetAmount: BN, stepSize: BN): BN;
 export declare function standardizePrice(price: BN, tickSize: BN, direction: PositionDirection): BN;
 export declare function getLimitPrice<T extends MarketTypeStr>(order: Order, oraclePriceData: T extends 'spot' ? OraclePriceData : MMOraclePriceData, slot: number, fallbackPrice?: BN): BN | undefined;
@@ -21,7 +16,6 @@ export declare function isLimitOrder(order: Order): boolean;
 export declare function mustBeTriggered(order: Order): boolean;
 export declare function isTriggered(order: Order): boolean;
 export declare function isRestingLimitOrder(order: Order, slot: number): boolean;
-export declare function isTakingOrder(order: Order, slot: number): boolean;
 export declare function isSignedMsgOrder(order: Order): boolean;
 export declare function hasBuilder(order: Order): boolean;
 export declare function calculateOrderBaseAssetAmount(order: Order, existingBaseAssetAmount: BN): BN;

package/lib/browser/math/orders.js

@@ -1,80 +1,12 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.maxSizeForTargetLiabilityWeightBN = exports.calculateOrderBaseAssetAmount = exports.hasBuilder = exports.isSignedMsgOrder = exports.isTakingOrder = exports.isRestingLimitOrder = exports.isTriggered = exports.mustBeTriggered = exports.isLimitOrder = exports.isMarketOrder = exports.isOrderExpired = exports.calculateBaseAssetAmountToFillUpToLimitPrice = exports.calculateBaseAssetAmountForAmmToFulfill = exports.isLowRiskForAmm = exports.isFillableByVAMM = exports.hasAuctionPrice = exports.hasLimitPrice = exports.getLimitPrice = exports.standardizePrice = exports.standardizeBaseAssetAmount = exports.isOrderReduceOnly = exports.isOrderRiskIncreasingInSameDirection = exports.isOrderRiskIncreasing = void 0;
+exports.maxSizeForTargetLiabilityWeightBN = exports.calculateOrderBaseAssetAmount = exports.hasBuilder = exports.isSignedMsgOrder = exports.isRestingLimitOrder = exports.isTriggered = exports.mustBeTriggered = exports.isLimitOrder = exports.isMarketOrder = exports.isOrderExpired = exports.calculateBaseAssetAmountToFillUpToLimitPrice = exports.calculateBaseAssetAmountForAmmToFulfill = exports.isLowRiskForAmm = exports.isFillableByVAMM = exports.hasAuctionPrice = exports.hasLimitPrice = exports.getLimitPrice = exports.standardizePrice = exports.standardizeBaseAssetAmount = void 0;
 const types_1 = require("../types");
 const numericConstants_1 = require("../constants/numericConstants");
 const anchor_1 = require("../isomorphic/anchor");
 const auction_1 = require("./auction");
 const amm_1 = require("./amm");
 const margin_1 = require("./margin");
-function isOrderRiskIncreasing(user, order) {
-    if (!(0, types_1.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(numericConstants_1.ZERO)) {
-        return true;
-    }
-    // if position is long and order is long
-    if (position.baseAssetAmount.gt(numericConstants_1.ZERO) && (0, types_1.isVariant)(order.direction, 'long')) {
-        return true;
-    }
-    // if position is short and order is short
-    if (position.baseAssetAmount.lt(numericConstants_1.ZERO) &&
-        (0, types_1.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(numericConstants_1.TWO))) {
-        return true;
-    }
-    return false;
-}
-exports.isOrderRiskIncreasing = isOrderRiskIncreasing;
-function isOrderRiskIncreasingInSameDirection(user, order) {
-    if (!(0, types_1.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(numericConstants_1.ZERO)) {
-        return true;
-    }
-    // if position is long and order is long
-    if (position.baseAssetAmount.gt(numericConstants_1.ZERO) && (0, types_1.isVariant)(order.direction, 'long')) {
-        return true;
-    }
-    // if position is short and order is short
-    if (position.baseAssetAmount.lt(numericConstants_1.ZERO) &&
-        (0, types_1.isVariant)(order.direction, 'short')) {
-        return true;
-    }
-    return false;
-}
-exports.isOrderRiskIncreasingInSameDirection = isOrderRiskIncreasingInSameDirection;
-function isOrderReduceOnly(user, order) {
-    if (!(0, types_1.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(numericConstants_1.ZERO) &&
-        (0, types_1.isVariant)(order.direction, 'long')) {
-        return false;
-    }
-    // if position is short and order is short
-    if (position.baseAssetAmount.lte(numericConstants_1.ZERO) &&
-        (0, types_1.isVariant)(order.direction, 'short')) {
-        return false;
-    }
-    return true;
-}
-exports.isOrderReduceOnly = isOrderReduceOnly;
 function standardizeBaseAssetAmount(baseAssetAmount, stepSize) {
     const remainder = baseAssetAmount.mod(stepSize);
     return baseAssetAmount.sub(remainder);
@@ -145,7 +77,7 @@ function calculateBaseAssetAmountForAmmToFulfill(order, market, mmOraclePriceDat
     }
     const limitPrice = getLimitPrice(order, mmOraclePriceData, slot);
     let baseAssetAmount;
-    const updatedAMM = (0, amm_1.calculateUpdatedAMM)(market.amm, market.totalExchangeFee, mmOraclePriceData);
+    const updatedAMM = (0, amm_1.calculateUpdatedAMM)(market.amm, mmOraclePriceData);
     if (limitPrice !== undefined) {
         baseAssetAmount = calculateBaseAssetAmountToFillUpToLimitPrice(order, updatedAMM, market.marketStats, market.orderStepSize, market.orderTickSize, limitPrice, mmOraclePriceData);
     }
@@ -219,10 +151,6 @@ function isRestingLimitOrder(order, slot) {
     return order.postOnly || (0, auction_1.isAuctionComplete)(order, slot);
 }
 exports.isRestingLimitOrder = isRestingLimitOrder;
-function isTakingOrder(order, slot) {
-    return isMarketOrder(order) || !isRestingLimitOrder(order, slot);
-}
-exports.isTakingOrder = isTakingOrder;
 const FLAG_IS_SIGNED_MSG = 0x01;
 function isSignedMsgOrder(order) {
     return (order.bitFlags & FLAG_IS_SIGNED_MSG) !== 0;

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

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { BN } from '../isomorphic/anchor';
 import { MMOraclePriceData, OraclePriceData } from '../oracles/types';
 import { PerpMarketAccount, PositionDirection, PerpPosition, SpotMarketAccount } from '../types';
@@ -20,7 +19,7 @@ export declare function calculateBaseAssetValue(market: PerpMarketAccount, userP
  * @param oraclePriceData
  * @returns BaseAssetAmount : Precision QUOTE_PRECISION
  */
-export declare function calculatePositionPNL(market: PerpMarketAccount, perpPosition: PerpPosition, withFunding: boolean, oraclePriceData: Pick<OraclePriceData, 'price'>): BN;
+export declare function calculatePositionPNL(market: PerpMarketAccount, perpPosition: PerpPosition, withFunding: boolean | undefined, oraclePriceData: Pick<OraclePriceData, 'price'>): BN;
 export declare function calculateClaimablePnl(market: PerpMarketAccount, spotMarket: SpotMarketAccount, perpPosition: PerpPosition, oraclePriceData: Pick<OraclePriceData, 'price'>): BN;
 /**
  * Returns total fees and funding pnl for a position
@@ -41,10 +40,6 @@ export declare function calculateFeesAndFundingPnl(market: PerpMarketAccount, pe
  * @returns // QUOTE_PRECISION
  */
 export declare function calculateUnsettledFundingPnl(market: PerpMarketAccount, perpPosition: PerpPosition): BN;
-/**
- * @deprecated use calculateUnsettledFundingPnl or calculateFeesAndFundingPnl instead
- */
-export declare function calculatePositionFundingPNL(market: PerpMarketAccount, perpPosition: PerpPosition): BN;
 export declare function positionIsAvailable(position: PerpPosition): boolean;
 export declare function positionIsBeingLiquidated(position: PerpPosition): boolean;
 /**

package/lib/browser/math/position.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.hasOpenOrders = exports.isEmptyPosition = exports.positionCurrentDirection = exports.findDirectionToClose = exports.calculateCostBasis = exports.calculateEntryPrice = exports.calculateBreakEvenPrice = exports.positionIsBeingLiquidated = exports.positionIsAvailable = exports.calculatePositionFundingPNL = exports.calculateUnsettledFundingPnl = exports.calculateFeesAndFundingPnl = exports.calculateClaimablePnl = exports.calculatePositionPNL = exports.calculateBaseAssetValue = void 0;
+exports.hasOpenOrders = exports.isEmptyPosition = exports.positionCurrentDirection = exports.findDirectionToClose = exports.calculateCostBasis = exports.calculateEntryPrice = exports.calculateBreakEvenPrice = exports.positionIsBeingLiquidated = exports.positionIsAvailable = exports.calculateUnsettledFundingPnl = exports.calculateFeesAndFundingPnl = exports.calculateClaimablePnl = exports.calculatePositionPNL = exports.calculateBaseAssetValue = void 0;
 const anchor_1 = require("../isomorphic/anchor");
 const numericConstants_1 = require("../constants/numericConstants");
 const types_1 = require("../types");
@@ -23,7 +23,7 @@ function calculateBaseAssetValue(market, userPosition, mmOraclePriceData, useSpr
     let prepegAmm;
     if (!skipUpdate) {
         if (market.amm.baseSpread > 0 && useSpread) {
-            const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, market.marketStats, market.totalExchangeFee, directionToClose, mmOraclePriceData, latestSlot);
+            const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, market.marketStats, directionToClose, mmOraclePriceData, latestSlot);
             prepegAmm = {
                 baseAssetReserve,
                 quoteAssetReserve,
@@ -32,7 +32,7 @@ function calculateBaseAssetValue(market, userPosition, mmOraclePriceData, useSpr
             };
         }
         else {
-            prepegAmm = (0, amm_1.calculateUpdatedAMM)(market.amm, market.totalExchangeFee, mmOraclePriceData);
+            prepegAmm = (0, amm_1.calculateUpdatedAMM)(market.amm, mmOraclePriceData);
         }
     }
     else {
@@ -51,6 +51,8 @@ function calculateBaseAssetValue(market, userPosition, mmOraclePriceData, useSpr
                 .mul(prepegAmm.pegMultiplier)
                 .div(numericConstants_1.AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO)
                 .add(numericConstants_1.ONE);
+        default:
+            throw new Error('Invalid position direction to close');
     }
 }
 exports.calculateBaseAssetValue = calculateBaseAssetValue;
@@ -138,13 +140,6 @@ function calculateUnsettledFundingPnl(market, perpPosition) {
     return perPositionFundingRate;
 }
 exports.calculateUnsettledFundingPnl = calculateUnsettledFundingPnl;
-/**
- * @deprecated use calculateUnsettledFundingPnl or calculateFeesAndFundingPnl instead
- */
-function calculatePositionFundingPNL(market, perpPosition) {
-    return calculateUnsettledFundingPnl(market, perpPosition);
-}
-exports.calculatePositionFundingPNL = calculatePositionFundingPNL;
 function positionIsAvailable(position) {
     return (position.baseAssetAmount.eq(numericConstants_1.ZERO) &&
         position.openOrders === 0 &&

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

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { BN } from '../isomorphic/anchor';
 import { AMM } from '../types';
 /**
@@ -18,5 +17,4 @@ export declare function calculateAdjustKCost(amm: AMM, numerator: BN, denomenato
  */
 export declare function calculateRepegCost(amm: AMM, newPeg: BN): BN;
 export declare function calculateBudgetedKBN(x: BN, y: BN, budget: BN, Q: BN, d: BN): [BN, BN];
-export declare function calculateBudgetedK(amm: AMM, cost: BN): [BN, BN];
 export declare function calculateBudgetedPeg(amm: AMM, budget: BN, targetPrice: BN): BN;

package/lib/browser/math/repeg.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateBudgetedPeg = exports.calculateBudgetedK = exports.calculateBudgetedKBN = exports.calculateRepegCost = exports.calculateAdjustKCost = void 0;
+exports.calculateBudgetedPeg = exports.calculateBudgetedKBN = exports.calculateRepegCost = exports.calculateAdjustKCost = void 0;
 const anchor_1 = require("../isomorphic/anchor");
 const assert_1 = require("../assert/assert");
 const numericConstants_1 = require("../constants/numericConstants");
@@ -115,28 +115,6 @@ function calculateBudgetedKBN(x, y, budget, Q, d) {
     return [numerator, denominator];
 }
 exports.calculateBudgetedKBN = calculateBudgetedKBN;
-function calculateBudgetedK(amm, cost) {
-    // 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];
-}
-exports.calculateBudgetedK = calculateBudgetedK;
 function calculateBudgetedPeg(amm, budget, targetPrice) {
     let perPegCost = amm.quoteAssetReserve
         .sub(amm.terminalQuoteAssetReserve)

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

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { SpotMarketAccount, SpotBalanceType, MarginCategory } from '../types';
 import { BN } from '../isomorphic/anchor';
 import { OraclePriceData } from '../oracles/types';
@@ -48,9 +47,9 @@ export declare function getStrictTokenValue(tokenAmount: BN, spotDecimals: numbe
  * @return {BN} The value of the token based on the oracle, scaled by `PRICE_PRECISION`
  */
 export declare function getTokenValue(tokenAmount: BN, spotDecimals: number, oraclePriceData: Pick<OraclePriceData, 'price'>): BN;
-export declare function calculateAssetWeight(balanceAmount: BN, oraclePrice: BN, spotMarket: SpotMarketAccount, marginCategory: MarginCategory): BN;
+export declare function calculateAssetWeight(balanceAmount: BN, oraclePrice: BN, spotMarket: SpotMarketAccount, marginCategory: MarginCategory | undefined): BN;
 export declare function calculateScaledInitialAssetWeight(spotMarket: SpotMarketAccount, oraclePrice: BN): BN;
-export declare function calculateLiabilityWeight(size: BN, spotMarket: SpotMarketAccount, marginCategory: MarginCategory): BN;
+export declare function calculateLiabilityWeight(size: BN, spotMarket: SpotMarketAccount, marginCategory: MarginCategory | undefined): BN;
 export declare function calculateUtilization(bank: SpotMarketAccount, delta?: BN): BN;
 /**
  * calculates max borrow amount where rate would stay below targetBorrowRate
@@ -78,8 +77,8 @@ export declare function calculateWithdrawLimit(spotMarket: SpotMarketAccount, no
     withdrawLimit: BN;
     minDepositAmount: BN;
     maxBorrowAmount: BN;
-    currentDepositAmount: any;
-    currentBorrowAmount: any;
+    currentDepositAmount: BN;
+    currentBorrowAmount: BN;
 };
 export declare function getSpotAssetValue(tokenAmount: BN, strictOraclePrice: StrictOraclePrice, spotMarketAccount: SpotMarketAccount, maxMarginRatio: number, marginCategory?: MarginCategory): BN;
 export declare function getSpotLiabilityValue(tokenAmount: BN, strictOraclePrice: StrictOraclePrice, spotMarketAccount: SpotMarketAccount, maxMarginRatio: number, marginCategory?: MarginCategory, liquidationBuffer?: BN): BN;

package/lib/browser/math/spotBalance.js

@@ -246,9 +246,9 @@ function calculateSpotMarketBorrowCapacity(spotMarketAccount, targetBorrowRate)
     return { totalCapacity, remainingCapacity };
 }
 exports.calculateSpotMarketBorrowCapacity = calculateSpotMarketBorrowCapacity;
-function calculateInterestRate(bank, delta = numericConstants_1.ZERO, currentUtilization = null) {
+function calculateInterestRate(bank, delta = numericConstants_1.ZERO, currentUtilization) {
     // todo: ensure both a delta and current util aren't pass?
-    const utilization = currentUtilization || calculateUtilization(bank, delta);
+    const utilization = currentUtilization !== null && currentUtilization !== void 0 ? currentUtilization : calculateUtilization(bank, delta);
     const optimalUtil = new anchor_1.BN(bank.optimalUtilization);
     const optimalRate = new anchor_1.BN(bank.optimalBorrowRate);
     const maxRate = new anchor_1.BN(bank.maxBorrowRate);
@@ -296,20 +296,20 @@ function calculateInterestRate(bank, delta = numericConstants_1.ZERO, currentUti
     return anchor_1.BN.max(minRate, rate);
 }
 exports.calculateInterestRate = calculateInterestRate;
-function calculateDepositRate(bank, delta = numericConstants_1.ZERO, currentUtilization = null) {
+function calculateDepositRate(bank, delta = numericConstants_1.ZERO, currentUtilization) {
     // positive delta => adding to deposit
     // negative delta => adding to borrow
-    const utilization = currentUtilization || calculateUtilization(bank, delta);
+    const utilization = currentUtilization !== null && currentUtilization !== void 0 ? currentUtilization : calculateUtilization(bank, delta);
     const borrowRate = calculateBorrowRate(bank, delta, utilization);
     const depositRate = borrowRate
-        .mul(numericConstants_2.PERCENTAGE_PRECISION.sub(new anchor_1.BN(bank.insuranceFund.totalFactor)))
+        .mul(numericConstants_2.PERCENTAGE_PRECISION.sub(new anchor_1.BN(bank.insuranceFund.ifFeeFactor + bank.protocolFeeFactor)))
         .mul(utilization)
         .div(numericConstants_1.SPOT_MARKET_UTILIZATION_PRECISION)
         .div(numericConstants_2.PERCENTAGE_PRECISION);
     return depositRate;
 }
 exports.calculateDepositRate = calculateDepositRate;
-function calculateBorrowRate(bank, delta = numericConstants_1.ZERO, currentUtilization = null) {
+function calculateBorrowRate(bank, delta = numericConstants_1.ZERO, currentUtilization) {
     return calculateInterestRate(bank, delta, currentUtilization);
 }
 exports.calculateBorrowRate = calculateBorrowRate;

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

@@ -1,11 +1,4 @@
-/// <reference types="bn.js" />
 import { BN } from '../isomorphic/anchor';
 import { MarginCategory, SpotBalanceType, SpotMarketAccount } from '../types';
 export declare function castNumberToSpotPrecision(value: number | BN, spotMarket: SpotMarketAccount): BN;
 export declare function calculateSpotMarketMarginRatio(market: SpotMarketAccount, oraclePrice: BN, marginCategory: MarginCategory, size: BN, balanceType: SpotBalanceType, customMarginRatio?: number): number;
-/**
- * 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 declare function calculateMaxRemainingDeposit(market: SpotMarketAccount): BN;

package/lib/browser/math/spotMarket.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateMaxRemainingDeposit = exports.calculateSpotMarketMarginRatio = exports.castNumberToSpotPrecision = void 0;
+exports.calculateSpotMarketMarginRatio = exports.castNumberToSpotPrecision = void 0;
 const anchor_1 = require("../isomorphic/anchor");
 const types_1 = require("../types");
 const spotBalance_1 = require("./spotBalance");
@@ -32,18 +32,3 @@ function calculateSpotMarketMarginRatio(market, oraclePrice, marginCategory, siz
     return marginRatio;
 }
 exports.calculateSpotMarketMarginRatio = calculateSpotMarketMarginRatio;
-/**
- * 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
- */
-function calculateMaxRemainingDeposit(market) {
-    const marketMaxTokenDeposits = market.maxTokenDeposits;
-    if (marketMaxTokenDeposits.eq(numericConstants_1.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 numericConstants_1.ZERO;
-    }
-    const totalDepositsTokenAmount = (0, spotBalance_1.getTokenAmount)(market.depositBalance, market, types_1.SpotBalanceType.DEPOSIT);
-    return marketMaxTokenDeposits.sub(totalDepositsTokenAmount);
-}
-exports.calculateMaxRemainingDeposit = calculateMaxRemainingDeposit;