@velocity-exchange/sdk 0.2.0 → 0.2.2

package/tests/dlob/helpers.ts

@@ -2,6 +2,7 @@ import { Connection, Keypair, PublicKey } from '@solana/web3.js';
 import {
 	AMM,
 	AssetTier,
+	MarketStats,
 	PerpPosition,
 	BN,
 	VelocityClient,
@@ -55,123 +56,114 @@ export const mockAMM: AMM = {
 	pegMultiplier: new BN(1),
 	maxSlippageRatio: 1_000_000,
 
-	cumulativeFundingRate: new BN(0),
-	lastFundingRate: new BN(0),
-	lastFundingRateTs: new BN(0),
-	lastMarkPriceTwap: new BN(0),
-	lastMarkPriceTwap5Min: new BN(0),
-	lastMarkPriceTwapTs: new BN(0),
-	historicalOracleData: {
-		lastOraclePrice: new BN(0),
-		lastOracleConf: new BN(0),
-		lastOracleDelay: new BN(0),
-		lastOraclePriceTwap: new BN(0),
-		lastOraclePriceTwap5Min: new BN(0),
-		lastOraclePriceTwapTs: new BN(0),
-	},
-	lastOracleReservePriceSpreadPct: new BN(0),
-	lastOracleConfPct: new BN(0),
-	oracle: PublicKey.default,
-	oracleSource: OracleSource.PYTH_LAZER,
-	fundingPeriod: new BN(0),
-	cumulativeFundingRateLong: new BN(0),
-	cumulativeFundingRateShort: new BN(0),
-	totalFeeMinusDistributions: new BN(0),
-	totalFeeWithdrawn: new BN(0),
-	totalFee: new BN(0),
-	orderStepSize: new BN(1),
-	orderTickSize: new BN(1),
-	last24HAvgFundingRate: new BN(0),
-	lastFundingRateShort: new BN(0),
-	lastFundingRateLong: new BN(0),
-	concentrationCoef: new BN(0),
-	lastTradeTs: new BN(0),
-	lastOracleNormalisedPrice: new BN(0),
-	maxOpenInterest: new BN(0),
-	totalLiquidationFee: new BN(0),
-	maxFillReserveFraction: 0,
-	baseSpread: 0,
-	curveUpdateIntensity: 0,
-	baseAssetAmountWithAmm: new BN(0),
-	baseAssetAmountLong: new BN(0),
-	baseAssetAmountShort: new BN(0),
-	quoteAssetAmount: new BN(0),
-	terminalQuoteAssetReserve: new BN(0),
 	feePool: {
 		scaledBalance: new BN(0),
 		marketIndex: 0,
 	},
-	totalExchangeFee: new BN(0),
+	concentrationCoef: new BN(0),
+	minBaseAssetReserve: new BN(0),
+	maxBaseAssetReserve: new BN(0),
+	terminalQuoteAssetReserve: new BN(0),
+	baseAssetAmountWithAmm: new BN(0),
+	totalFee: new BN(0),
 	totalMmFee: new BN(0),
-	netRevenueSinceLastFunding: new BN(0),
+	totalFeeMinusDistributions: new BN(0),
+	totalFeeWithdrawn: new BN(0),
 	lastUpdateSlot: new BN(0),
-	lastOracleValid: true,
-	lastBidPriceTwap: new BN(0),
-	lastAskPriceTwap: new BN(0),
-	longSpread: 0,
-	shortSpread: 0,
+	netRevenueSinceLastFunding: new BN(0),
+	lastCumulativeFundingRateLong: new BN(0),
+	lastCumulativeFundingRateShort: new BN(0),
+	baseSpread: 0,
 	maxSpread: 0,
+	maxFillReserveFraction: 0,
+	curveUpdateIntensity: 0,
 	ammJitIntensity: 0,
-	maxBaseAssetReserve: new BN(0),
-	minBaseAssetReserve: new BN(0),
-	totalSocialLoss: new BN(0),
-
-	quoteBreakEvenAmountLong: new BN(0),
-	quoteBreakEvenAmountShort: new BN(0),
-	quoteEntryAmountLong: new BN(0),
-	quoteEntryAmountShort: new BN(0),
+	ammSpreadAdjustment: 0,
+	ammInventorySpreadAdjustment: 0,
+	referencePriceOffsetDeadbandPct: 0,
+	fundingBiasSensitivity: 0,
+};
 
+// Per-market analytics/oracle/twap data that was moved off AMM onto its own
+// MarketStats sub-struct. mockPerpMarkets clones this for each market.
+export const mockMarketStats: MarketStats = {
+	lastMarkPriceTwap: new BN(0),
+	lastMarkPriceTwap5Min: new BN(0),
+	lastMarkPriceTwapTs: new BN(0),
+	lastBidPriceTwap: new BN(0),
+	lastAskPriceTwap: new BN(0),
 	markStd: new BN(0),
 	oracleStd: new BN(0),
+	lastOracleConfPct: new BN(0),
+	volume24H: new BN(0),
 	longIntensityVolume: new BN(0),
 	shortIntensityVolume: new BN(0),
-	volume24H: new BN(0),
+	lastTradeTs: new BN(0),
+	last24HAvgFundingRate: new BN(0),
+	fundingPeriod: new BN(0),
 	minOrderSize: new BN(0),
-
-	bidBaseAssetReserve: new BN(0),
-	bidQuoteAssetReserve: new BN(0),
-	askBaseAssetReserve: new BN(0),
-	askQuoteAssetReserve: new BN(0),
-
-	netUnsettledFundingPnl: new BN(0),
-	referencePriceOffset: 0,
-
-	oracleLowRiskSlotDelayOverride: 0,
-	ammSpreadAdjustment: 0,
-	ammInventorySpreadAdjustment: 0,
-	mmOracleSequenceId: new BN(0),
 	mmOraclePrice: new BN(0),
 	mmOracleSlot: new BN(0),
+	mmOracleSequenceId: new BN(0),
+	lastOracleNormalisedPrice: new BN(0),
+	lastReferencePriceOffset: 0,
+	lastOracleValid: true,
 	lastFundingOracleTwap: new BN(0),
-	oracleSlotDelayOverride: 0,
-	referencePriceOffsetDeadbandPct: 0,
+	historicalOracleData: {
+		lastOraclePrice: new BN(0),
+		lastOracleConf: new BN(0),
+		lastOracleDelay: new BN(0),
+		lastOraclePriceTwap: new BN(0),
+		lastOraclePriceTwap5Min: new BN(0),
+		lastOraclePriceTwapTs: new BN(0),
+	},
 };
 
-export const mockPerpMarkets: Array<PerpMarketAccount> = [
-	{
+// Fields shared by every mock perp market: the AMM, its MarketStats, the
+// fields migrated off AMM to the top-level PerpMarket, and the other required
+// PerpMarketAccount members the dlob/amm tests don't individually tweak.
+function mockPerpMarketCommon(): Omit<
+	PerpMarketAccount,
+	| 'marketIndex'
+	| 'marginRatioInitial'
+	| 'marginRatioMaintenance'
+	| 'contractTier'
+> {
+	return {
 		status: MarketStatus.INITIALIZED,
 		lastFillPrice: new BN(0),
 		name: [],
 		contractType: ContractType.PERPETUAL,
-		contractTier: ContractTier.A,
 		expiryTs: new BN(0),
 		expiryPrice: new BN(0),
-		marketIndex: 0,
 		pubkey: PublicKey.default,
 		amm: mockAMM,
+		marketStats: mockMarketStats,
 		numberOfUsersWithBase: 0,
 		numberOfUsers: 0,
-		marginRatioInitial: 2000,
-		marginRatioMaintenance: 1000,
 		nextFillRecordId: new BN(0),
+		nextFundingRateRecordId: new BN(0),
 		pnlPool: {
 			scaledBalance: new BN(0),
 			marketIndex: 0,
 		},
-		ifLiquidationFee: 0,
+		protocolFeePool: {
+			scaledBalance: new BN(0),
+			marketIndex: 0,
+		},
+		feeLedger: {
+			totalExchangeFee: new BN(0),
+			totalLiquidationFee: new BN(0),
+			pendingProtocolFee: new BN(0),
+			pendingIfFee: new BN(0),
+			ammProtocolFeesReceived: new BN(0),
+			pendingAmmProvision: new BN(0),
+		},
 		liquidatorFee: 0,
+		ifLiquidationFee: 0,
+		protocolLiquidationFee: 0,
+		feePoolBufferTarget: new BN(0),
 		imfFactor: 0,
-		nextFundingRateRecordId: new BN(0),
 		unrealizedPnlImfFactor: 0,
 		unrealizedPnlMaxImbalance: ZERO,
 		unrealizedPnlInitialAssetWeight: 0,
@@ -186,102 +178,62 @@ export const mockPerpMarkets: Array<PerpMarketAccount> = [
 		quoteSpotMarketIndex: 0,
 		feeAdjustment: 0,
 		pausedOperations: 0,
-		lpPoolId: 0,
-		lpFeeTransferScalar: 0,
-		lpExchangeFeeExcluscionScalar: 0,
-		lpStatus: 0,
-		lpPausedOperations: 0,
+		hedgeConfig: {
+			poolId: 0,
+			status: 0,
+			pausedOperations: 0,
+			exchangeFeeExclusionScalar: 0,
+			feeTransferScalar: 0,
+		},
 		marketConfig: 0,
+
+		// Fields migrated off AMM to top-level PerpMarket
+		oracle: PublicKey.default,
+		oracleSource: OracleSource.PYTH_LAZER,
+		oracleSlotDelayOverride: 0,
+		oracleLowRiskSlotDelayOverride: 0,
+		baseAssetAmountLong: new BN(0),
+		baseAssetAmountShort: new BN(0),
+		quoteAssetAmount: new BN(0),
+		quoteEntryAmountLong: new BN(0),
+		quoteEntryAmountShort: new BN(0),
+		quoteBreakEvenAmountLong: new BN(0),
+		quoteBreakEvenAmountShort: new BN(0),
+		totalSocialLoss: new BN(0),
+		maxOpenInterest: new BN(0),
+		cumulativeFundingRateLong: new BN(0),
+		cumulativeFundingRateShort: new BN(0),
+		lastFundingRate: new BN(0),
+		lastFundingRateLong: new BN(0),
+		lastFundingRateShort: new BN(0),
+		lastFundingRateTs: new BN(0),
+		netUnsettledFundingPnl: new BN(0),
+		orderStepSize: new BN(1),
+		orderTickSize: new BN(1),
+	};
+}
+
+export const mockPerpMarkets: Array<PerpMarketAccount> = [
+	{
+		...mockPerpMarketCommon(),
+		contractTier: ContractTier.A,
+		marketIndex: 0,
+		marginRatioInitial: 2000,
+		marginRatioMaintenance: 1000,
 	},
 	{
-		status: MarketStatus.INITIALIZED,
-		lastFillPrice: new BN(0),
+		...mockPerpMarketCommon(),
 		contractTier: ContractTier.A,
-		nextFundingRateRecordId: new BN(0),
-		name: [],
-		contractType: ContractType.PERPETUAL,
-		expiryTs: new BN(0),
-		expiryPrice: new BN(0),
 		marketIndex: 1,
-		pubkey: PublicKey.default,
-		amm: mockAMM,
-		numberOfUsersWithBase: 0,
-		numberOfUsers: 0,
 		marginRatioInitial: 0,
 		marginRatioMaintenance: 0,
-		nextFillRecordId: new BN(0),
-		pnlPool: {
-			scaledBalance: new BN(0),
-			marketIndex: 0,
-		},
-		ifLiquidationFee: 0,
-		liquidatorFee: 0,
-		imfFactor: 0,
-		unrealizedPnlImfFactor: 0,
-		unrealizedPnlMaxImbalance: ZERO,
-		unrealizedPnlInitialAssetWeight: 0,
-		unrealizedPnlMaintenanceAssetWeight: 0,
-		insuranceClaim: {
-			revenueWithdrawSinceLastSettle: new BN(0),
-			maxRevenueWithdrawPerPeriod: new BN(0),
-			lastRevenueWithdrawTs: new BN(0),
-			quoteSettledInsurance: new BN(0),
-			quoteMaxInsurance: new BN(0),
-		},
-		quoteSpotMarketIndex: 0,
-		feeAdjustment: 0,
-		pausedOperations: 0,
-		lpPoolId: 0,
-		lpFeeTransferScalar: 0,
-		lpExchangeFeeExcluscionScalar: 0,
-		lpStatus: 0,
-		lpPausedOperations: 0,
-		marketConfig: 0,
 	},
 	{
-		status: MarketStatus.INITIALIZED,
-		lastFillPrice: new BN(0),
+		...mockPerpMarketCommon(),
 		contractTier: ContractTier.A,
-		nextFundingRateRecordId: new BN(0),
-		name: [],
-		contractType: ContractType.PERPETUAL,
-		expiryTs: new BN(0),
-		expiryPrice: new BN(0),
 		marketIndex: 2,
-		pubkey: PublicKey.default,
-		amm: mockAMM,
-		numberOfUsersWithBase: 0,
-		numberOfUsers: 0,
 		marginRatioInitial: 0,
 		marginRatioMaintenance: 0,
-		nextFillRecordId: new BN(0),
-		pnlPool: {
-			scaledBalance: new BN(0),
-			marketIndex: 0,
-		},
-		ifLiquidationFee: 0,
-		liquidatorFee: 0,
-		imfFactor: 0,
-		unrealizedPnlImfFactor: 0,
-		unrealizedPnlMaxImbalance: ZERO,
-		unrealizedPnlInitialAssetWeight: 0,
-		unrealizedPnlMaintenanceAssetWeight: 0,
-		insuranceClaim: {
-			revenueWithdrawSinceLastSettle: new BN(0),
-			maxRevenueWithdrawPerPeriod: new BN(0),
-			lastRevenueWithdrawTs: new BN(0),
-			quoteSettledInsurance: new BN(0),
-			quoteMaxInsurance: new BN(0),
-		},
-		quoteSpotMarketIndex: 0,
-		feeAdjustment: 0,
-		pausedOperations: 0,
-		lpPoolId: 0,
-		lpFeeTransferScalar: 0,
-		lpExchangeFeeExcluscionScalar: 0,
-		lpStatus: 0,
-		lpPausedOperations: 0,
-		marketConfig: 0,
 	},
 ];
 
@@ -309,11 +261,16 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 			unstakingPeriod: new BN(0),
 			lastRevenueSettleTs: new BN(0),
 			revenueSettlePeriod: new BN(0),
-			totalFactor: 0,
-			userFactor: 0,
+			ifFeeFactor: 0,
 		},
 		ifLiquidationFee: 0,
 		liquidatorFee: 0,
+		protocolFeePool: {
+			scaledBalance: new BN(0),
+			marketIndex: 0,
+		},
+		protocolLiquidationFee: 0,
+		protocolFeeFactor: 0,
 		decimals: 6,
 		optimalUtilization: 0,
 		optimalBorrowRate: 0,
@@ -397,11 +354,16 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 			unstakingPeriod: new BN(0),
 			lastRevenueSettleTs: new BN(0),
 			revenueSettlePeriod: new BN(0),
-			totalFactor: 0,
-			userFactor: 0,
+			ifFeeFactor: 0,
 		},
 		ifLiquidationFee: 0,
 		liquidatorFee: 0,
+		protocolFeePool: {
+			scaledBalance: new BN(0),
+			marketIndex: 0,
+		},
+		protocolLiquidationFee: 0,
+		protocolFeeFactor: 0,
 		decimals: 9,
 		optimalUtilization: 0,
 		optimalBorrowRate: 0,
@@ -487,11 +449,16 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 			unstakingPeriod: new BN(0),
 			lastRevenueSettleTs: new BN(0),
 			revenueSettlePeriod: new BN(0),
-			totalFactor: 0,
-			userFactor: 0,
+			ifFeeFactor: 0,
 		},
 		ifLiquidationFee: 0,
 		liquidatorFee: 0,
+		protocolFeePool: {
+			scaledBalance: new BN(0),
+			marketIndex: 0,
+		},
+		protocolLiquidationFee: 0,
+		protocolFeeFactor: 0,
 		decimals: 6,
 		optimalUtilization: 0,
 		optimalBorrowRate: 0,
@@ -555,6 +522,21 @@ export const mockSpotMarkets: Array<SpotMarketAccount> = [
 ];
 
 export const mockStateAccount: StateAccount = {
+	coldAdmin: PublicKey.default,
+	warmAdmin: PublicKey.default,
+	hotAmmCrank: PublicKey.default,
+	hotLpCache: PublicKey.default,
+	hotLpSwap: PublicKey.default,
+	hotLpSettle: PublicKey.default,
+	hotFeatureFlag: PublicKey.default,
+	hotFuel: PublicKey.default,
+	hotUserFlag: PublicKey.default,
+	hotVaultDeposit: PublicKey.default,
+	hotMmOracleCrank: PublicKey.default,
+	hotAmmSpreadAdjust: PublicKey.default,
+	hotFeeWithdraw: PublicKey.default,
+	protocolFeeRecipientPerp: PublicKey.default,
+	protocolFeeRecipientSpot: PublicKey.default,
 	featureBitFlags: 0,
 	defaultMarketOrderTimeInForce: 0,
 	defaultSpotAuctionDuration: 0,
@@ -599,7 +581,8 @@ export const mockStateAccount: StateAccount = {
 			timeBasedRewardLowerBound: new BN(0),
 		},
 		flatFillerFee: new BN(0),
-		referrerRewardEpochUpperBound: new BN(0),
+		ammFeeNumerator: 0,
+		ifFeeNumerator: 0,
 	},
 	settlementDuration: 0,
 	signer: PublicKey.default,
@@ -623,7 +606,8 @@ export const mockStateAccount: StateAccount = {
 			timeBasedRewardLowerBound: new BN(0),
 		},
 		flatFillerFee: new BN(0),
-		referrerRewardEpochUpperBound: new BN(0),
+		ammFeeNumerator: 0,
+		ifFeeNumerator: 0,
 	},
 	srmVault: PublicKey.default,
 	whitelistMint: PublicKey.default,