@velocity-exchange/sdk 0.1.0 → 0.2.1

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

@@ -1,8 +1,7 @@
-/// <reference types="bn.js" />
 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/node/math/insurance.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"insurance.d.ts","sourceRoot":"","sources":["../../../src/math/insurance.ts"],"names":[],"mappings":"AAEA,OAAO,EAAE,EAAE,EAAE,MAAM,sBAAsB,CAAC;AAC1C,OAAO,EAAmB,iBAAiB,EAAE,MAAM,UAAU,CAAC;AAE9D,wBAAgB,wBAAwB,CACvC,UAAU,EAAE,iBAAiB,EAC7B,YAAY,EAAE,EAAE,EAAE,qBAAqB;AACvC,MAAM,EAAE,EAAE,GACR,MAAM,CAqCR;AAED,wBAAgB,mBAAmB,CAClC,MAAM,EAAE,EAAE,EACV,aAAa,EAAE,EAAE,EACjB,yBAAyB,EAAE,EAAE,GAC3B,EAAE,CASJ;AAED,wBAAgB,qBAAqB,CACpC,OAAO,EAAE,EAAE,EACX,aAAa,EAAE,EAAE,EACjB,yBAAyB,EAAE,EAAE,GAC3B,EAAE,CAYJ;AAED,wBAAgB,oCAAoC,CACnD,OAAO,EAAE,EAAE,EACX,qBAAqB,EAAE,EAAE,EACzB,qBAAqB,EAAE,EAAE,EACzB,aAAa,EAAE,EAAE,EACjB,yBAAyB,EAAE,EAAE,GAC3B,EAAE,CAqBJ"}

package/lib/node/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/node/math/liquidation.d.ts

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { BN } from '../isomorphic/anchor';
 export declare function calculateBaseAssetAmountToCoverMarginShortage(marginShortage: BN, marginRatio: number, liquidationFee: number, ifLiquidationFee: number, oraclePrice: BN, quoteOraclePrice: BN): BN | undefined;
 export declare function calculateLiabilityTransferToCoverMarginShortage(marginShortage: BN, assetWeight: number, assetLiquidationMultiplier: number, liabilityWeight: number, liabilityLiquidationMultiplier: number, liabilityDecimals: number, liabilityPrice: BN, ifLiquidationFee: number): BN | undefined;

package/lib/node/math/liquidation.d.ts.map

@@ -1 +1 @@
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package/lib/node/math/margin.d.ts

@@ -1,14 +1,11 @@
-/// <reference types="bn.js" />
 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
@@ -37,10 +34,4 @@ 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;
-};
 //# sourceMappingURL=margin.d.ts.map

package/lib/node/math/margin.d.ts.map

@@ -1 +1 @@
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package/lib/node/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/node/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/node/math/market.d.ts.map

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package/lib/node/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/node/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/node/math/oracles.d.ts.map

@@ -1 +1 @@
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package/lib/node/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/node/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/node/math/orders.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"orders.d.ts","sourceRoot":"","sources":["../../../src/math/orders.ts"],"names":[],"mappings":"AAAA,OAAO,EAGN,iBAAiB,EACjB,GAAG,EACH,WAAW,EACX,KAAK,EACL,iBAAiB,EACjB,aAAa,EAEb,YAAY,EACZ,MAAM,UAAU,CAAC;AAOlB,OAAO,EAAE,EAAE,EAAE,MAAM,sBAAsB,CAAC;AAC1C,OAAO,EAAE,iBAAiB,EAAE,eAAe,EAAE,MAAM,kBAAkB,CAAC;AAatE,wBAAgB,0BAA0B,CACzC,eAAe,EAAE,EAAE,EACnB,QAAQ,EAAE,EAAE,GACV,EAAE,CAGJ;AAED,wBAAgB,gBAAgB,CAC/B,KAAK,EAAE,EAAE,EACT,QAAQ,EAAE,EAAE,EACZ,SAAS,EAAE,iBAAiB,GAC1B,EAAE,CAgBJ;AAED,wBAAgB,aAAa,CAAC,CAAC,SAAS,aAAa,EACpD,KAAK,EAAE,KAAK,EACZ,eAAe,EAAE,CAAC,SAAS,MAAM,GAAG,eAAe,GAAG,iBAAiB,EACvE,IAAI,EAAE,MAAM,EACZ,aAAa,CAAC,EAAE,EAAE,GAChB,EAAE,GAAG,SAAS,CAUhB;AAED,wBAAgB,aAAa,CAAC,KAAK,EAAE,KAAK,EAAE,IAAI,EAAE,MAAM,GAAG,OAAO,CAMjE;AAED,wBAAgB,eAAe,CAAC,KAAK,EAAE,KAAK,EAAE,IAAI,EAAE,MAAM,GAAG,OAAO,CAKnE;AAED,wBAAgB,gBAAgB,CAC/B,KAAK,EAAE,KAAK,EACZ,MAAM,EAAE,iBAAiB,EACzB,iBAAiB,EAAE,iBAAiB,EACpC,IAAI,EAAE,MAAM,EACZ,EAAE,EAAE,MAAM,EACV,KAAK,EAAE,YAAY,GACjB,OAAO,CAiBT;AAED,wBAAgB,eAAe,CAC9B,KAAK,EAAE,KAAK,EACZ,iBAAiB,EAAE,iBAAiB,EACpC,aAAa,CAAC,EAAE,OAAO,GACrB,OAAO,CAcT;AAED,wBAAgB,uCAAuC,CACtD,KAAK,EAAE,KAAK,EACZ,MAAM,EAAE,iBAAiB,EACzB,iBAAiB,EAAE,iBAAiB,EACpC,IAAI,EAAE,MAAM,GACV,EAAE,CA8BJ;AAED,wBAAgB,4CAA4C,CAC3D,KAAK,EAAE,KAAK,EACZ,GAAG,EAAE,GAAG,EACR,WAAW,EAAE,WAAW,EACxB,aAAa,EAAE,EAAE,EACjB,aAAa,EAAE,EAAE,EACjB,UAAU,EAAE,EAAE,EACd,iBAAiB,EAAE,iBAAiB,GAClC,EAAE,CA8BJ;AAYD,wBAAgB,cAAc,CAC7B,KAAK,EAAE,KAAK,EACZ,EAAE,EAAE,MAAM,EACV,aAAa,UAAQ,EACrB,aAAa,SAAK,GAChB,OAAO,CAiBT;AAED,wBAAgB,aAAa,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAEnD;AAED,wBAAgB,YAAY,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAElD;AAED,wBAAgB,eAAe,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAErD;AAED,wBAAgB,WAAW,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAKjD;AAED,wBAAgB,mBAAmB,CAAC,KAAK,EAAE,KAAK,EAAE,IAAI,EAAE,MAAM,GAAG,OAAO,CAMvE;AAGD,wBAAgB,gBAAgB,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAEtD;AAGD,wBAAgB,UAAU,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAEhD;AAED,wBAAgB,6BAA6B,CAC5C,KAAK,EAAE,KAAK,EACZ,uBAAuB,EAAE,EAAE,GACzB,EAAE,CAaJ;AAGD;;;;;;;GAOG;AACH,wBAAgB,iCAAiC,CAChD,MAAM,EAAE,EAAE,EACV,SAAS,EAAE,EAAE,EACb,eAAe,EAAE,EAAE,EACnB,MAAM,EAAE,iBAAiB,GACvB,EAAE,GAAG,IAAI,CAqDX"}

package/lib/node/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/node/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;
 /**

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