@velocity-exchange/sdk 0.1.0 → 0.2.1

package/tests/amm/test.ts

@@ -7,6 +7,7 @@ import {
 	PERCENTAGE_PRECISION,
 	calculateSpread,
 	calculateSpreadBN,
+	calculateSpreadFundingBiasScale,
 	ZERO,
 	sigNum,
 	ONE,
@@ -57,6 +58,9 @@ class AMMSpreadTerms {
 	halfRevenueRetreatAmount: number;
 	longSpreadwRevRetreat: number;
 	shortSpreadwRevRetreat: number;
+	fundingBiasScale: number;
+	longSpreadwFundingBias: number;
+	shortSpreadwFundingBias: number;
 	totalSpread: number;
 	longSpread: number;
 	shortSpread: number;
@@ -229,6 +233,116 @@ describe('AMM Tests', () => {
 		assert((3500 * iscale) / 1e6 == 0.06566799749999999); //6.5%
 	});
 
+	it('Funding Bias Scale', () => {
+		// values pinned to the program's calculate_spread_funding_bias_scale tests
+		const twap = new BN(100).mul(PRICE_PRECISION); // $100
+		// hourly rate matching the funding offset floor f_ref (~10.95%/yr):
+		// fNorm = 1_250_000 * 1e6 / 1e8 * 24 = 300_000
+		const saturatingRate = new BN(1_250_000);
+		const qAmmLong = BASE_PRECISION.neg(); // users net short
+		const qAmmShort = BASE_PRECISION; // users net long
+		const one = BID_ASK_SPREAD_PRECISION.toNumber();
+
+		// s = 0 disables
+		assert(
+			calculateSpreadFundingBiasScale(qAmmLong, saturatingRate, twap, 0) == one
+		);
+
+		// f * q >= 0: vAMM receives (or zero rate/inventory), β = 1
+		assert(
+			calculateSpreadFundingBiasScale(qAmmShort, saturatingRate, twap, 50) ==
+				one
+		);
+		assert(
+			calculateSpreadFundingBiasScale(
+				qAmmLong,
+				saturatingRate.neg(),
+				twap,
+				50
+			) == one
+		);
+		assert(
+			calculateSpreadFundingBiasScale(ZERO, saturatingRate, twap, 50) == one
+		);
+		assert(calculateSpreadFundingBiasScale(qAmmLong, ZERO, twap, 50) == one);
+
+		// paying at f_ref: ρ ~= 1, β ~= 1 + s/100
+		assert(
+			calculateSpreadFundingBiasScale(qAmmLong, saturatingRate, twap, 50) ==
+				1_499_950
+		);
+		assert(
+			calculateSpreadFundingBiasScale(
+				qAmmShort,
+				saturatingRate.neg(),
+				twap,
+				50
+			) == 1_499_950
+		);
+
+		// half ramp: β = 1 + s/100 * 0.5
+		assert(
+			calculateSpreadFundingBiasScale(
+				qAmmLong,
+				saturatingRate.divn(2),
+				twap,
+				50
+			) == 1_249_975
+		);
+
+		// past f_ref the ramp clamps at 1: β = 1 + s/100 exactly
+		assert(
+			calculateSpreadFundingBiasScale(
+				qAmmLong,
+				saturatingRate.muln(10),
+				twap,
+				100
+			) ==
+				2 * one
+		);
+
+		// integration: paying side doubles at s = 100, other side untouched,
+		// mirrors the program's calculate_spread_funding_bias_tests
+		const calc = (rate: BN, s: number) =>
+			calculateSpreadBN(
+				1000, // baseSpread
+				ZERO,
+				ZERO,
+				2000, // maxSpread
+				AMM_RESERVE_PRECISION.muln(10),
+				AMM_RESERVE_PRECISION.muln(10),
+				new BN(34000000),
+				new BN(-1000), // tiny vAMM-long inventory so σ = λ = 1
+				new BN(34562304),
+				QUOTE_PRECISION.muln(10),
+				ZERO,
+				AMM_RESERVE_PRECISION.muln(10),
+				ZERO,
+				AMM_RESERVE_PRECISION.muln(100000),
+				ZERO,
+				ZERO,
+				ZERO,
+				ZERO,
+				ZERO,
+				0,
+				rate,
+				twap,
+				s
+			) as [number, number];
+
+		const [long0, short0] = calc(saturatingRate.muln(10), 0);
+		assert(long0 == 500);
+		assert(short0 == 500);
+
+		const [long1, short1] = calc(saturatingRate.muln(10), 100);
+		assert(long1 == long0);
+		assert(short1 == short0 * 2);
+
+		const [long2, short2] = calc(saturatingRate.muln(10).neg(), 100);
+		assert(long2 == long0);
+		assert(short2 == short0);
+	});
+
 	it('Various Spreads', () => {
 		const baseSpread: number = 0.025 * 1e6;
 		const lastOracleReservePriceSpreadPct: BN = ZERO;
@@ -308,6 +422,9 @@ describe('AMM Tests', () => {
 			shortIntensity,
 			volume24H,
 			0,
+			ZERO,
+			ZERO,
+			0,
 			true
 		);
 		// console.log(terms1);
@@ -341,6 +458,9 @@ describe('AMM Tests', () => {
 			new BN(72230366233),
 			new BN(432067603632),
 			0,
+			ZERO,
+			ZERO,
+			0,
 			true
 		);
 
@@ -373,6 +493,9 @@ describe('AMM Tests', () => {
 			new BN(72230366233),
 			new BN(432067603632),
 			0,
+			ZERO,
+			ZERO,
+			0,
 			true
 		);
 
@@ -407,6 +530,9 @@ describe('AMM Tests', () => {
 			new BN(72230366233),
 			new BN(432067603632),
 			0,
+			ZERO,
+			ZERO,
+			0,
 			true
 		);
 
@@ -441,6 +567,9 @@ describe('AMM Tests', () => {
 			new BN(243875031),
 			new BN(130017761029),
 			0,
+			ZERO,
+			ZERO,
+			0,
 			true
 		);
 
@@ -607,6 +736,9 @@ describe('AMM Tests', () => {
 			new BN(suiExample.amm.shortIntensityVolume),
 			new BN(suiExample.amm.volume24H),
 			0,
+			ZERO,
+			ZERO,
+			0,
 			true
 		);
 
@@ -647,6 +779,9 @@ describe('AMM Tests', () => {
 			new BN(suiExample.amm.shortIntensityVolume),
 			new BN(suiExample.amm.volume24H),
 			0,
+			ZERO,
+			ZERO,
+			0,
 			true
 		);
 		console.log(termsSuiExampleMod1);
@@ -676,6 +811,9 @@ describe('AMM Tests', () => {
 			new BN(suiExample.amm.shortIntensityVolume),
 			new BN(suiExample.amm.volume24H),
 			0,
+			ZERO,
+			ZERO,
+			0,
 			true
 		);
 
@@ -706,6 +844,7 @@ describe('AMM Tests', () => {
 		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
 		const mockMarket1 = myMockPerpMarkets[0];
 		const mockAmm = mockMarket1.amm;
+		const mockMarketStats = mockMarket1.marketStats;
 		const now = new BN(new Date().getTime() / 1000); //todo
 
 		const oraclePriceData = {
@@ -716,7 +855,12 @@ describe('AMM Tests', () => {
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
 
-		const reserves = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		assert(reserves[0].baseAssetReserve.eq(new BN('1000000000')));
 		assert(reserves[0].quoteAssetReserve.eq(new BN('12000000000')));
 		assert(reserves[1].baseAssetReserve.eq(new BN('1000000000')));
@@ -733,19 +877,19 @@ describe('AMM Tests', () => {
 		mockAmm.baseSpread = 2500;
 		mockAmm.maxSpread = 25000;
 
-		mockAmm.last24HAvgFundingRate = new BN(7590328523);
+		mockMarketStats.last24HAvgFundingRate = new BN(7590328523);
 
-		mockAmm.lastMarkPriceTwap = new BN(
+		mockMarketStats.lastMarkPriceTwap = new BN(
 			(oraclePriceData.price.toNumber() / 1e6 - 0.01) * 1e6
 		);
-		mockAmm.historicalOracleData.lastOraclePriceTwap = new BN(
+		mockMarketStats.historicalOracleData.lastOraclePriceTwap = new BN(
 			(oraclePriceData.price.toNumber() / 1e6 + 0.015) * 1e6
 		);
 
-		mockAmm.historicalOracleData.lastOraclePriceTwap5Min = new BN(
+		mockMarketStats.historicalOracleData.lastOraclePriceTwap5Min = new BN(
 			(oraclePriceData.price.toNumber() / 1e6 + 0.005) * 1e6
 		);
-		mockAmm.lastMarkPriceTwap5Min = new BN(
+		mockMarketStats.lastMarkPriceTwap5Min = new BN(
 			(oraclePriceData.price.toNumber() / 1e6 - 0.005) * 1e6
 		);
 
@@ -771,18 +915,27 @@ describe('AMM Tests', () => {
 			.div(reservePrice);
 
 		// now = now || new BN(new Date().getTime() / 1000); //todo
-		const liveOracleStd = calculateLiveOracleStd(mockAmm, oraclePriceData, now);
+		const liveOracleStd = calculateLiveOracleStd(
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		console.log('reservePrice:', reservePrice.toString());
 		console.log('targetMarkSpreadPct:', targetMarkSpreadPct.toString());
 		console.log('confIntervalPct:', confIntervalPct.toString());
 		console.log('liveOracleStd:', liveOracleStd.toString());
 
-		const tt = calculateSpread(mockAmm, oraclePriceData, now);
+		const tt = calculateSpread(mockAmm, mockMarketStats, oraclePriceData, now);
 		console.log(tt);
 
 		console.log('amm.baseAssetReserve:', mockAmm.baseAssetReserve.toString());
 		assert(mockAmm.baseAssetReserve.eq(new BN('1000000000')));
-		const reserves2 = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves2 = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		console.log(reserves2[0].baseAssetReserve.toString());
 		console.log(reserves2[0].quoteAssetReserve.toString());
 
@@ -818,12 +971,12 @@ describe('AMM Tests', () => {
 		);
 		const referencePriceOffset = calculateReferencePriceOffset(
 			reservePrice,
-			mockAmm.last24HAvgFundingRate,
+			mockMarketStats.last24HAvgFundingRate,
 			liquidityFractionSigned,
-			mockAmm.historicalOracleData.lastOraclePriceTwap5Min,
-			mockAmm.lastMarkPriceTwap5Min,
-			mockAmm.historicalOracleData.lastOraclePriceTwap,
-			mockAmm.lastMarkPriceTwap,
+			mockMarketStats.historicalOracleData.lastOraclePriceTwap5Min,
+			mockMarketStats.lastMarkPriceTwap5Min,
+			mockMarketStats.historicalOracleData.lastOraclePriceTwap,
+			mockMarketStats.lastMarkPriceTwap,
 			maxOffset
 		);
 		console.log('referencePriceOffset:', referencePriceOffset.toString());
@@ -831,7 +984,12 @@ describe('AMM Tests', () => {
 		assert(referencePriceOffset.eq(new BN(maxOffset)));
 
 		// mockAmm.curveUpdateIntensity = 100;
-		const reserves3 = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves3 = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		console.log(reserves3[0].baseAssetReserve.toString());
 		console.log(reserves3[0].quoteAssetReserve.toString());
 
@@ -856,7 +1014,12 @@ describe('AMM Tests', () => {
 		assert(p2.eq(new BN(13828180)));
 
 		mockAmm.curveUpdateIntensity = 110;
-		const reserves4 = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves4 = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 
 		assert(reserves4[0].baseAssetReserve.eq(new BN('1100068201')));
 		assert(reserves4[0].quoteAssetReserve.eq(new BN('909034546')));
@@ -879,7 +1042,12 @@ describe('AMM Tests', () => {
 		assert(p2RF.eq(new BN(13828180)));
 		// no ref price offset at 100
 		mockAmm.curveUpdateIntensity = 100;
-		const reserves5 = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves5 = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 
 		assert(reserves5[0].baseAssetReserve.eq(new BN('1100068201')));
 		assert(reserves5[0].quoteAssetReserve.eq(new BN('909034546')));
@@ -907,6 +1075,7 @@ describe('AMM Tests', () => {
 		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
 		const mockMarket1 = myMockPerpMarkets[0];
 		const mockAmm = mockMarket1.amm;
+		const mockMarketStats = mockMarket1.marketStats;
 		const now = new BN(new Date().getTime() / 1000); //todo
 
 		const oraclePriceData = {
@@ -917,7 +1086,12 @@ describe('AMM Tests', () => {
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
 
-		const reserves = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		assert(reserves[0].baseAssetReserve.eq(new BN('1000000000')));
 		assert(reserves[0].quoteAssetReserve.eq(new BN('12000000000')));
 		assert(reserves[1].baseAssetReserve.eq(new BN('1000000000')));
@@ -934,19 +1108,19 @@ describe('AMM Tests', () => {
 		mockAmm.baseSpread = 2500;
 		mockAmm.maxSpread = 25000;
 
-		mockAmm.last24HAvgFundingRate = new BN(-7590328523);
+		mockMarketStats.last24HAvgFundingRate = new BN(-7590328523);
 
-		mockAmm.lastMarkPriceTwap = new BN(
+		mockMarketStats.lastMarkPriceTwap = new BN(
 			(oraclePriceData.price.toNumber() / 1e6 + 0.01) * 1e6
 		);
-		mockAmm.historicalOracleData.lastOraclePriceTwap = new BN(
+		mockMarketStats.historicalOracleData.lastOraclePriceTwap = new BN(
 			(oraclePriceData.price.toNumber() / 1e6 - 0.015) * 1e6
 		);
 
-		mockAmm.historicalOracleData.lastOraclePriceTwap5Min = new BN(
+		mockMarketStats.historicalOracleData.lastOraclePriceTwap5Min = new BN(
 			(oraclePriceData.price.toNumber() / 1e6 + 0.005) * 1e6
 		);
-		mockAmm.lastMarkPriceTwap5Min = new BN(
+		mockMarketStats.lastMarkPriceTwap5Min = new BN(
 			(oraclePriceData.price.toNumber() / 1e6 - 0.005) * 1e6
 		);
 
@@ -972,19 +1146,28 @@ describe('AMM Tests', () => {
 			.div(reservePrice);
 
 		// now = now || new BN(new Date().getTime() / 1000); //todo
-		const liveOracleStd = calculateLiveOracleStd(mockAmm, oraclePriceData, now);
+		const liveOracleStd = calculateLiveOracleStd(
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		console.log('reservePrice:', reservePrice.toString());
 		console.log('targetMarkSpreadPct:', targetMarkSpreadPct.toString());
 		console.log('confIntervalPct:', confIntervalPct.toString());
 
 		console.log('liveOracleStd:', liveOracleStd.toString());
 
-		const tt = calculateSpread(mockAmm, oraclePriceData, now);
+		const tt = calculateSpread(mockAmm, mockMarketStats, oraclePriceData, now);
 		console.log(tt);
 
 		console.log('amm.baseAssetReserve:', mockAmm.baseAssetReserve.toString());
 		assert(mockAmm.baseAssetReserve.eq(new BN('1000000000')));
-		const reserves2 = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves2 = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		console.log(reserves2[1].baseAssetReserve.toString());
 		console.log(reserves2[1].quoteAssetReserve.toString());
 
@@ -1020,12 +1203,12 @@ describe('AMM Tests', () => {
 		);
 		const referencePriceOffset = calculateReferencePriceOffset(
 			reservePrice,
-			mockAmm.last24HAvgFundingRate,
+			mockMarketStats.last24HAvgFundingRate,
 			liquidityFractionSigned,
-			mockAmm.historicalOracleData.lastOraclePriceTwap5Min,
-			mockAmm.lastMarkPriceTwap5Min,
-			mockAmm.historicalOracleData.lastOraclePriceTwap,
-			mockAmm.lastMarkPriceTwap,
+			mockMarketStats.historicalOracleData.lastOraclePriceTwap5Min,
+			mockMarketStats.lastMarkPriceTwap5Min,
+			mockMarketStats.historicalOracleData.lastOraclePriceTwap,
+			mockMarketStats.lastMarkPriceTwap,
 			maxOffset
 		);
 		console.log('referencePriceOffset:', referencePriceOffset.toString());
@@ -1034,7 +1217,12 @@ describe('AMM Tests', () => {
 		// assert(referencePriceOffset.eq(new BN(maxOffset)));
 
 		// mockAmm.curveUpdateIntensity = 100;
-		const reserves3 = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves3 = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		console.log(reserves3[0].baseAssetReserve.toString());
 		console.log(reserves3[0].quoteAssetReserve.toString());
 
@@ -1059,7 +1247,12 @@ describe('AMM Tests', () => {
 		assert(p2.eq(new BN(16401163)));
 
 		mockAmm.curveUpdateIntensity = 110;
-		const reserves4 = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves4 = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 
 		assert(reserves4[0].baseAssetReserve.eq(new BN('999999998')));
 		assert(reserves4[0].quoteAssetReserve.eq(new BN('1000000000')));
@@ -1083,7 +1276,12 @@ describe('AMM Tests', () => {
 
 		// no ref price offset at 100
 		mockAmm.curveUpdateIntensity = 100;
-		const reserves5 = calculateSpreadReserves(mockAmm, oraclePriceData, now);
+		const reserves5 = calculateSpreadReserves(
+			mockAmm,
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 
 		assert(reserves5[0].baseAssetReserve.eq(new BN('999999998')));
 		assert(reserves5[0].quoteAssetReserve.eq(new BN('1000000000')));
@@ -1112,7 +1310,7 @@ describe('AMM Tests', () => {
 	it('live update functions', () => {
 		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
 		const mockMarket1 = myMockPerpMarkets[0];
-		const mockAmm = mockMarket1.amm;
+		const mockMarketStats = mockMarket1.marketStats;
 		const now = new BN(new Date().getTime() / 1000); //todo
 		const slot = 999999999;
 
@@ -1123,29 +1321,34 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
-		mockAmm.oracleStd = new BN(0.18 * PRICE_PRECISION.toNumber());
-		mockAmm.fundingPeriod = new BN(3600);
-		mockAmm.historicalOracleData.lastOraclePriceTwap = oraclePriceData.price
-			.mul(new BN(999))
-			.div(new BN(1000));
-		mockAmm.historicalOracleData.lastOraclePriceTwapTs = now.sub(new BN(11));
+		mockMarketStats.oracleStd = new BN(0.18 * PRICE_PRECISION.toNumber());
+		mockMarketStats.fundingPeriod = new BN(3600);
+		mockMarketStats.historicalOracleData.lastOraclePriceTwap =
+			oraclePriceData.price.mul(new BN(999)).div(new BN(1000));
+		mockMarketStats.historicalOracleData.lastOraclePriceTwapTs = now.sub(
+			new BN(11)
+		);
 
 		const liveOracleTwap = calculateLiveOracleTwap(
-			mockAmm.historicalOracleData,
+			mockMarketStats.historicalOracleData,
 			oraclePriceData,
 			now,
-			mockAmm.fundingPeriod
+			mockMarketStats.fundingPeriod
 		);
 		console.log('liveOracleTwap:', liveOracleTwap.toNumber());
 		assert(liveOracleTwap.eq(new BN(13539488)));
 
-		const liveOracleStd = calculateLiveOracleStd(mockAmm, oraclePriceData, now);
+		const liveOracleStd = calculateLiveOracleStd(
+			mockMarketStats,
+			oraclePriceData,
+			now
+		);
 		assert(liveOracleStd.eq(new BN(13732450)));
 
-		mockAmm.lastOracleConfPct = new BN(150000);
+		mockMarketStats.lastOracleConfPct = new BN(150000);
 		const reservePrice = new BN(13.553 * PRICE_PRECISION.toNumber());
 		const newConfPct = getNewOracleConfPct(
-			mockAmm,
+			mockMarketStats,
 			oraclePriceData,
 			reservePrice,
 			now
@@ -1153,7 +1356,9 @@ describe('AMM Tests', () => {
 		console.log('newConfPct:', newConfPct.toString());
 
 		assert(
-			now.sub(mockAmm.historicalOracleData.lastOraclePriceTwapTs).gt(ZERO)
+			now
+				.sub(mockMarketStats.historicalOracleData.lastOraclePriceTwapTs)
+				.gt(ZERO)
 		);
 
 		assert(newConfPct.eq(new BN(135000)));
@@ -1296,8 +1501,8 @@ describe('AMM Tests', () => {
 		// make it like RNDR
 		const now = new BN(1688878353);
 
-		mockMarket1.amm.fundingPeriod = new BN(3600);
-		mockMarket1.amm.lastFundingRateTs = new BN(1688860817);
+		mockMarket1.marketStats.fundingPeriod = new BN(3600);
+		mockMarket1.lastFundingRateTs = new BN(1688860817);
 
 		const currentMarkPrice = new BN(1.9843 * PRICE_PRECISION.toNumber()); // trading at a premium
 		const mmOraclePriceData: MMOraclePriceData = {
@@ -1307,27 +1512,27 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		};
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			1.9535 * PRICE_PRECISION.toNumber()
 		);
 
 		// mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3);
 
-		mockMarket1.amm.lastMarkPriceTwap = new BN(
+		mockMarket1.marketStats.lastMarkPriceTwap = new BN(
 			1.945594 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastBidPriceTwap = new BN(
+		mockMarket1.marketStats.lastBidPriceTwap = new BN(
 			1.941629 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastAskPriceTwap = new BN(
+		mockMarket1.marketStats.lastAskPriceTwap = new BN(
 			1.94956 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688877729);
+		mockMarket1.marketStats.lastMarkPriceTwapTs = new BN(1688877729);
 
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwap = new BN(
 			1.942449 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwapTs = new BN(
 			1688878333
 		);
 
@@ -1372,8 +1577,8 @@ describe('AMM Tests', () => {
 		// make it like OP
 		const now = new BN(1688881915);
 
-		mockMarket1.amm.fundingPeriod = new BN(3600);
-		mockMarket1.amm.lastFundingRateTs = new BN(1688864415);
+		mockMarket1.marketStats.fundingPeriod = new BN(3600);
+		mockMarket1.lastFundingRateTs = new BN(1688864415);
 
 		const currentMarkPrice = new BN(1.2242 * PRICE_PRECISION.toNumber()); // trading at a premium
 		const mmOraclePriceData: MMOraclePriceData = {
@@ -1383,27 +1588,27 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		};
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			1.9535 * PRICE_PRECISION.toNumber()
 		);
 
 		// mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3);
 
-		mockMarket1.amm.lastMarkPriceTwap = new BN(
+		mockMarket1.marketStats.lastMarkPriceTwap = new BN(
 			1.218363 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastBidPriceTwap = new BN(
+		mockMarket1.marketStats.lastBidPriceTwap = new BN(
 			1.218363 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastAskPriceTwap = new BN(
+		mockMarket1.marketStats.lastAskPriceTwap = new BN(
 			1.218364 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688878815);
+		mockMarket1.marketStats.lastMarkPriceTwapTs = new BN(1688878815);
 
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwap = new BN(
 			1.220964 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwapTs = new BN(
 			1688879991
 		);
 
@@ -1439,13 +1644,13 @@ describe('AMM Tests', () => {
 
 		console.log(
 			'markTwapLive:',
-			mockMarket1.amm.lastMarkPriceTwap.toString(),
+			mockMarket1.marketStats.lastMarkPriceTwap.toString(),
 			'->',
 			markTwapLive.toString()
 		);
 		console.log(
 			'oracTwapLive:',
-			mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(),
+			mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwap.toString(),
 			'->',
 			oracleTwapLive.toString()
 		);
@@ -1464,8 +1669,8 @@ describe('AMM Tests', () => {
 		// make it like OP
 		const now = new BN(1688881915);
 
-		mockMarket1.amm.fundingPeriod = new BN(3600);
-		mockMarket1.amm.lastFundingRateTs = new BN(1688864415);
+		mockMarket1.marketStats.fundingPeriod = new BN(3600);
+		mockMarket1.lastFundingRateTs = new BN(1688864415);
 
 		const currentMarkPrice = new BN(1.2242 * PRICE_PRECISION.toNumber()); // trading at a premium
 		const mmOraclePriceData: MMOraclePriceData = {
@@ -1475,27 +1680,27 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			1.9535 * PRICE_PRECISION.toNumber()
 		);
 
 		// mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3);
 
-		mockMarket1.amm.lastMarkPriceTwap = new BN(
+		mockMarket1.marketStats.lastMarkPriceTwap = new BN(
 			1.218363 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastBidPriceTwap = new BN(
+		mockMarket1.marketStats.lastBidPriceTwap = new BN(
 			1.218363 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastAskPriceTwap = new BN(
+		mockMarket1.marketStats.lastAskPriceTwap = new BN(
 			1.218364 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688878815);
+		mockMarket1.marketStats.lastMarkPriceTwapTs = new BN(1688878815);
 
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwap = new BN(
 			1.820964 * PRICE_PRECISION.toNumber()
 		);
-		mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwapTs = new BN(
 			1688879991
 		);
 		mockMarket1.contractTier = ContractTier.A;
@@ -1532,13 +1737,13 @@ describe('AMM Tests', () => {
 
 		console.log(
 			'markTwapLive:',
-			mockMarket1.amm.lastMarkPriceTwap.toString(),
+			mockMarket1.marketStats.lastMarkPriceTwap.toString(),
 			'->',
 			markTwapLive.toString()
 		);
 		console.log(
 			'oracTwapLive:',
-			mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(),
+			mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwap.toString(),
 			'->',
 			oracleTwapLive.toString()
 		);
@@ -1562,13 +1767,13 @@ describe('AMM Tests', () => {
 
 		console.log(
 			'markTwapLive:',
-			mockMarket1.amm.lastMarkPriceTwap.toString(),
+			mockMarket1.marketStats.lastMarkPriceTwap.toString(),
 			'->',
 			markTwapLive.toString()
 		);
 		console.log(
 			'oracTwapLive:',
-			mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(),
+			mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwap.toString(),
 			'->',
 			oracleTwapLive.toString()
 		);
@@ -1592,13 +1797,13 @@ describe('AMM Tests', () => {
 
 		console.log(
 			'markTwapLive:',
-			mockMarket1.amm.lastMarkPriceTwap.toString(),
+			mockMarket1.marketStats.lastMarkPriceTwap.toString(),
 			'->',
 			markTwapLive.toString()
 		);
 		console.log(
 			'oracTwapLive:',
-			mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(),
+			mockMarket1.marketStats.historicalOracleData.lastOraclePriceTwap.toString(),
 			'->',
 			oracleTwapLive.toString()
 		);
@@ -1634,7 +1839,7 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			18.5535 * PRICE_PRECISION.toNumber()
 		);
 
@@ -1644,7 +1849,7 @@ describe('AMM Tests', () => {
 			updatedAmm.baseAssetReserve,
 			updatedAmm.minBaseAssetReserve,
 			updatedAmm.maxBaseAssetReserve,
-			updatedAmm.orderStepSize
+			mockMarket1.orderStepSize
 		);
 
 		const generator = getVammL2Generator({
@@ -1711,7 +1916,7 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			18.5535 * PRICE_PRECISION.toNumber()
 		);
 
@@ -1721,7 +1926,7 @@ describe('AMM Tests', () => {
 			updatedAmm.baseAssetReserve,
 			updatedAmm.minBaseAssetReserve,
 			updatedAmm.maxBaseAssetReserve,
-			updatedAmm.orderStepSize
+			mockMarket1.orderStepSize
 		);
 
 		const generator = getVammL2Generator({
@@ -1787,7 +1992,7 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			18.5535 * PRICE_PRECISION.toNumber()
 		);
 
@@ -1797,7 +2002,7 @@ describe('AMM Tests', () => {
 			updatedAmm.baseAssetReserve,
 			updatedAmm.minBaseAssetReserve,
 			updatedAmm.maxBaseAssetReserve,
-			updatedAmm.orderStepSize
+			mockMarket1.orderStepSize
 		);
 
 		assert(!openAsks.eq(openBids));
@@ -1869,7 +2074,7 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			18.5535 * PRICE_PRECISION.toNumber()
 		);
 
@@ -1879,7 +2084,7 @@ describe('AMM Tests', () => {
 			updatedAmm.baseAssetReserve,
 			updatedAmm.minBaseAssetReserve,
 			updatedAmm.maxBaseAssetReserve,
-			updatedAmm.orderStepSize
+			mockMarket1.orderStepSize
 		);
 
 		assert(!openAsks.eq(openBids));
@@ -1954,7 +2159,7 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		};
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			18.5535 * PRICE_PRECISION.toNumber()
 		);
 
@@ -1964,7 +2169,7 @@ describe('AMM Tests', () => {
 			updatedAmm.baseAssetReserve,
 			updatedAmm.minBaseAssetReserve,
 			updatedAmm.maxBaseAssetReserve,
-			updatedAmm.orderStepSize
+			mockMarket1.orderStepSize
 		);
 
 		assert(!openAsks.eq(openBids));
@@ -2019,7 +2224,7 @@ describe('AMM Tests', () => {
 		const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0];
 		const cc = 38104569;
 		mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION);
-		mockMarket1.amm.minOrderSize = new BN(5);
+		mockMarket1.marketStats.minOrderSize = new BN(5);
 		mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add(
 			new BN(9)
 		);
@@ -2039,7 +2244,7 @@ describe('AMM Tests', () => {
 			hasSufficientNumberOfDataPoints: true,
 			isMMOracleActive: true,
 		} as MMOraclePriceData;
-		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+		mockMarket1.marketStats.historicalOracleData.lastOraclePrice = new BN(
 			18.5535 * PRICE_PRECISION.toNumber()
 		);
 
@@ -2049,7 +2254,7 @@ describe('AMM Tests', () => {
 			updatedAmm.baseAssetReserve,
 			updatedAmm.minBaseAssetReserve,
 			updatedAmm.maxBaseAssetReserve,
-			updatedAmm.orderStepSize
+			mockMarket1.orderStepSize
 		);
 
 		const generator = getVammL2Generator({