@velocity-exchange/sdk 0.2.2 → 0.2.3

package/src/adminClient.ts

@@ -352,7 +352,9 @@ export class AdminClient extends VelocityClient {
 		curveUpdateIntensity = 0,
 		ammJitIntensity = 0,
 		name = DEFAULT_MARKET_NAME,
-		lpPoolId: number = 0
+		lpPoolId: number = 0,
+		fundingClampThreshold = 0,
+		fundingRampSlope = 0
 	): Promise<TransactionSignature> {
 		const currentPerpMarketIndex = this.getStateAccount().numberOfMarkets;
 
@@ -383,7 +385,9 @@ export class AdminClient extends VelocityClient {
 			curveUpdateIntensity,
 			ammJitIntensity,
 			name,
-			lpPoolId
+			lpPoolId,
+			fundingClampThreshold,
+			fundingRampSlope
 		);
 		const tx = await this.buildTransaction(initializeMarketIxs);
 
@@ -430,7 +434,9 @@ export class AdminClient extends VelocityClient {
 		curveUpdateIntensity = 0,
 		ammJitIntensity = 0,
 		name = DEFAULT_MARKET_NAME,
-		lpPoolId: number = 0
+		lpPoolId: number = 0,
+		fundingClampThreshold = 0,
+		fundingRampSlope = 0
 	): Promise<TransactionInstruction[]> {
 		const perpMarketPublicKey = await getPerpMarketPublicKey(
 			this.program.programId,
@@ -467,6 +473,8 @@ export class AdminClient extends VelocityClient {
 			ammJitIntensity,
 			nameBuffer,
 			lpPoolId,
+			fundingClampThreshold,
+			fundingRampSlope,
 			{
 				accounts: {
 					state: await this.getStatePublicKey(),
@@ -1540,6 +1548,48 @@ export class AdminClient extends VelocityClient {
 		);
 	}
 
+	public async updatePerpMarketFundingDeadZone(
+		perpMarketIndex: number,
+		fundingClampThreshold: number,
+		fundingRampSlope: number
+	): Promise<TransactionSignature> {
+		const updatePerpMarketFundingDeadZoneIx =
+			await this.getUpdatePerpMarketFundingDeadZoneIx(
+				perpMarketIndex,
+				fundingClampThreshold,
+				fundingRampSlope
+			);
+
+		const tx = await this.buildTransaction(updatePerpMarketFundingDeadZoneIx);
+
+		const { txSig } = await this.sendTransaction(tx, [], this.opts);
+
+		return txSig;
+	}
+
+	public async getUpdatePerpMarketFundingDeadZoneIx(
+		perpMarketIndex: number,
+		fundingClampThreshold: number,
+		fundingRampSlope: number
+	): Promise<TransactionInstruction> {
+		return await this.program.instruction.updatePerpMarketFundingDeadZone(
+			fundingClampThreshold,
+			fundingRampSlope,
+			{
+				accounts: {
+					admin: this.isSubscribed
+						? this.getStateAccount().coldAdmin
+						: this.wallet.publicKey,
+					state: await this.getStatePublicKey(),
+					perpMarket: await getPerpMarketPublicKey(
+						this.program.programId,
+						perpMarketIndex
+					),
+				},
+			}
+		);
+	}
+
 	public async updatePerpMarketImfFactor(
 		perpMarketIndex: number,
 		imfFactor: number,

package/src/constants/numericConstants.ts

@@ -81,6 +81,7 @@ export const PRICE_TO_QUOTE_PRECISION = PRICE_PRECISION.div(QUOTE_PRECISION); //
 export const AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO =
 	AMM_RESERVE_PRECISION.mul(PEG_PRECISION).div(QUOTE_PRECISION); // 10^9
 export const MARGIN_PRECISION = TEN_THOUSAND;
+export const BPS_PRECISION = TEN_THOUSAND; // 1 unit = 1bp
 export const BID_ASK_SPREAD_PRECISION = new BN(1000000); // 10^6
 export const LIQUIDATION_PCT_PRECISION = TEN_THOUSAND;
 export const FUNDING_RATE_OFFSET_DENOMINATOR = new BN(3333);

package/src/idl/velocity.json

@@ -3311,6 +3311,14 @@
         {
           "name": "lp_pool_id",
           "type": "u8"
+        },
+        {
+          "name": "funding_clamp_threshold",
+          "type": "u32"
+        },
+        {
+          "name": "funding_ramp_slope",
+          "type": "u32"
         }
       ]
     },
@@ -9889,6 +9897,42 @@
         }
       ]
     },
+    {
+      "name": "update_perp_market_funding_dead_zone",
+      "discriminator": [
+        249,
+        58,
+        136,
+        96,
+        2,
+        116,
+        111,
+        127
+      ],
+      "accounts": [
+        {
+          "name": "admin",
+          "signer": true
+        },
+        {
+          "name": "state"
+        },
+        {
+          "name": "perp_market",
+          "writable": true
+        }
+      ],
+      "args": [
+        {
+          "name": "funding_clamp_threshold",
+          "type": "u32"
+        },
+        {
+          "name": "funding_ramp_slope",
+          "type": "u32"
+        }
+      ]
+    },
     {
       "name": "update_perp_market_funding_period",
       "discriminator": [
@@ -20650,17 +20694,25 @@
             "type": "i64"
           },
           {
-            "name": "_padding_funding_twap",
+            "name": "funding_clamp_threshold",
             "docs": [
-              "Explicit padding where `last_funding_oracle_twap` used to live",
-              "(moved to `MarketStats`); keeps every later field at its old offset."
+              "dead-zone threshold for the funding premium. mark/oracle twap spreads",
+              "within +/- this band are treated as noise and add no premium; spreads",
+              "past it are shrunk toward zero by this amount so funding stays continuous",
+              "across the boundary. fit per market post-launch",
+              "precision: BPS_PRECISION"
             ],
-            "type": {
-              "array": [
-                "u8",
-                8
-              ]
-            }
+            "type": "u32"
+          },
+          {
+            "name": "funding_ramp_slope",
+            "docs": [
+              "slope of the funding premium ramp above the dead zone. 1.0x passes the",
+              "shrunk spread through unchanged; higher leans into the premium harder",
+              "fit per market post-launch",
+              "precision: PERCENTAGE_PRECISION"
+            ],
+            "type": "u32"
           },
           {
             "name": "order_step_size",

package/src/idl/velocity.ts

@@ -3317,6 +3317,14 @@ export type Velocity = {
         {
           "name": "lpPoolId",
           "type": "u8"
+        },
+        {
+          "name": "fundingClampThreshold",
+          "type": "u32"
+        },
+        {
+          "name": "fundingRampSlope",
+          "type": "u32"
         }
       ]
     },
@@ -9895,6 +9903,42 @@ export type Velocity = {
         }
       ]
     },
+    {
+      "name": "updatePerpMarketFundingDeadZone",
+      "discriminator": [
+        249,
+        58,
+        136,
+        96,
+        2,
+        116,
+        111,
+        127
+      ],
+      "accounts": [
+        {
+          "name": "admin",
+          "signer": true
+        },
+        {
+          "name": "state"
+        },
+        {
+          "name": "perpMarket",
+          "writable": true
+        }
+      ],
+      "args": [
+        {
+          "name": "fundingClampThreshold",
+          "type": "u32"
+        },
+        {
+          "name": "fundingRampSlope",
+          "type": "u32"
+        }
+      ]
+    },
     {
       "name": "updatePerpMarketFundingPeriod",
       "discriminator": [
@@ -20656,17 +20700,25 @@ export type Velocity = {
             "type": "i64"
           },
           {
-            "name": "paddingFundingTwap",
+            "name": "fundingClampThreshold",
             "docs": [
-              "Explicit padding where `last_funding_oracle_twap` used to live",
-              "(moved to `MarketStats`); keeps every later field at its old offset."
+              "dead-zone threshold for the funding premium. mark/oracle twap spreads",
+              "within +/- this band are treated as noise and add no premium; spreads",
+              "past it are shrunk toward zero by this amount so funding stays continuous",
+              "across the boundary. fit per market post-launch",
+              "precision: BPS_PRECISION"
             ],
-            "type": {
-              "array": [
-                "u8",
-                8
-              ]
-            }
+            "type": "u32"
+          },
+          {
+            "name": "fundingRampSlope",
+            "docs": [
+              "slope of the funding premium ramp above the dead zone. 1.0x passes the",
+              "shrunk spread through unchanged; higher leans into the premium harder",
+              "fit per market post-launch",
+              "precision: PERCENTAGE_PRECISION"
+            ],
+            "type": "u32"
           },
           {
             "name": "orderStepSize",

package/src/index.ts

@@ -108,6 +108,7 @@ export * from './swift/swiftOrderSubscriber';
 export * from './swift/signedMsgUserAccountSubscriber';
 export * from './swift/grpcSignedMsgUserAccountSubscriber';
 export * from './tx/fastSingleTxSender';
+export * from './tx/forwardOnlyTxSender';
 export * from './tx/retryTxSender';
 export * from './tx/whileValidTxSender';
 export * from './tx/priorityFeeCalculator';

package/src/math/funding.ts

@@ -6,7 +6,8 @@ import {
 	ZERO,
 	ONE,
 	FUNDING_RATE_OFFSET_DENOMINATOR,
-	FUNDING_RATE_CLAMP_DENOMINATOR,
+	BPS_PRECISION,
+	PERCENTAGE_PRECISION,
 } from '../constants/numericConstants';
 import { BigNum } from '../factory/bigNum';
 import { PerpMarketAccount, isVariant } from '../types';
@@ -183,11 +184,28 @@ export function calculateAllEstimatedFundingRate(
 
 	const twapSpread = markTwap.sub(oracleTwap);
 	const offset = oracleTwap.abs().div(FUNDING_RATE_OFFSET_DENOMINATOR);
-	const twapSpreadWithOffset = twapSpread
+
+	// dead-zone threshold (per-market bps) as a price delta off the oracle twap
+	const clampThreshold = oracleTwap
 		.abs()
-		.lte(oracleTwap.abs().div(FUNDING_RATE_CLAMP_DENOMINATOR))
-		? offset
-		: twapSpread.add(offset);
+		.mul(new BN(market.fundingClampThreshold))
+		.div(BPS_PRECISION);
+
+	let twapSpreadWithOffset: BN;
+	if (twapSpread.abs().lte(clampThreshold)) {
+		// inside the band: noise, no premium, baseline offset only
+		twapSpreadWithOffset = offset;
+	} else {
+		// outside the band: shrink the spread toward zero by the band width
+		// (keeping its sign), scale by the per-market ramp slope, add the offset
+		const shrunk = twapSpread.isNeg()
+			? twapSpread.add(clampThreshold)
+			: twapSpread.sub(clampThreshold);
+		const ramped = shrunk
+			.mul(new BN(market.fundingRampSlope))
+			.div(PERCENTAGE_PRECISION);
+		twapSpreadWithOffset = ramped.add(offset);
+	}
 
 	const maxSpread = getMaxPriceDivergenceForFundingRate(market, oracleTwap);
 

package/src/math/spotMarket.ts

@@ -5,8 +5,12 @@ import {
 	SpotBalanceType,
 	SpotMarketAccount,
 } from '../types';
-import { calculateAssetWeight, calculateLiabilityWeight } from './spotBalance';
-import { MARGIN_PRECISION } from '../constants/numericConstants';
+import {
+	calculateAssetWeight,
+	calculateLiabilityWeight,
+	getTokenAmount,
+} from './spotBalance';
+import { MARGIN_PRECISION, ZERO } from '../constants/numericConstants';
 import { numberToSafeBN } from './utils';
 
 export function castNumberToSpotPrecision(
@@ -54,3 +58,25 @@ export function calculateSpotMarketMarginRatio(
 
 	return marginRatio;
 }
+
+/**
+ * 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 function calculateMaxRemainingDeposit(market: SpotMarketAccount) {
+	const marketMaxTokenDeposits = market.maxTokenDeposits;
+
+	if (marketMaxTokenDeposits.eq(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 ZERO;
+	}
+
+	const totalDepositsTokenAmount = getTokenAmount(
+		market.depositBalance,
+		market,
+		SpotBalanceType.DEPOSIT
+	);
+
+	return BN.max(ZERO, marketMaxTokenDeposits.sub(totalDepositsTokenAmount));
+}

package/src/tx/forwardOnlyTxSender.ts

@@ -0,0 +1,145 @@
+import {
+	ConfirmOptions,
+	Connection,
+	VersionedTransaction,
+} from '@solana/web3.js';
+import bs58 from 'bs58';
+import { BaseTxSender } from './baseTxSender';
+import { ConfirmationStrategy, TxSigAndSlot } from './types';
+import { TxHandler } from './txHandler';
+import { IWallet } from '../types';
+import { DEFAULT_CONFIRMATION_OPTS } from '../config';
+
+const DEFAULT_TIMEOUT = 35000;
+const DEFAULT_RETRY = 5000;
+
+type ResolveReference = {
+	resolve?: () => void;
+};
+
+export class ForwardOnlyTxSender extends BaseTxSender {
+	connection: Connection;
+	wallet: IWallet;
+	opts: ConfirmOptions;
+	timeout: number;
+	retrySleep: number;
+	additionalConnections: Connection[];
+	timoutCount = 0;
+
+	public constructor({
+		connection,
+		wallet,
+		opts = { ...DEFAULT_CONFIRMATION_OPTS, maxRetries: 0 },
+		timeout = DEFAULT_TIMEOUT,
+		retrySleep = DEFAULT_RETRY,
+		confirmationStrategy = ConfirmationStrategy.Combo,
+		additionalTxSenderCallbacks = [],
+		txHandler,
+		trackTxLandRate,
+		txLandRateLookbackWindowMinutes,
+		landRateToFeeFunc,
+		throwOnTimeoutError = true,
+	}: {
+		connection: Connection;
+		wallet: IWallet;
+		opts?: ConfirmOptions;
+		timeout?: number;
+		retrySleep?: number;
+		confirmationStrategy?: ConfirmationStrategy;
+		additionalTxSenderCallbacks?: ((base58EncodedTx: string) => void)[];
+		txHandler?: TxHandler;
+		trackTxLandRate?: boolean;
+		txLandRateLookbackWindowMinutes?: number;
+		landRateToFeeFunc?: (landRate: number) => number;
+		throwOnTimeoutError?: boolean;
+	}) {
+		super({
+			connection,
+			wallet,
+			opts,
+			timeout,
+			additionalConnections: [],
+			confirmationStrategy,
+			additionalTxSenderCallbacks,
+			txHandler,
+			trackTxLandRate,
+			txLandRateLookbackWindowMinutes,
+			landRateToFeeFunc,
+			throwOnTimeoutError,
+		});
+		this.connection = connection;
+		this.wallet = wallet;
+		this.opts = opts;
+		this.timeout = timeout;
+		this.retrySleep = retrySleep;
+		this.additionalConnections = [];
+	}
+
+	async sleep(reference: ResolveReference): Promise<void> {
+		return new Promise((resolve) => {
+			reference.resolve = resolve;
+			setTimeout(resolve, this.retrySleep);
+		});
+	}
+
+	sendToAdditionalConnections(
+		rawTx: Buffer | Uint8Array,
+		_opts: ConfirmOptions
+	): void {
+		this.additionalTxSenderCallbacks?.map((callback) => {
+			callback(bs58.encode(rawTx));
+		});
+	}
+
+	async sendRawTransaction(
+		rawTransaction: Buffer | Uint8Array,
+		opts: ConfirmOptions
+	): Promise<TxSigAndSlot> {
+		const deserializedTx = VersionedTransaction.deserialize(rawTransaction);
+
+		const txSig = deserializedTx.signatures[0];
+		const encodedTxSig = bs58.encode(txSig);
+
+		const startTime = this.getTimestamp();
+
+		this.sendToAdditionalConnections(rawTransaction, opts);
+		this.txSigCache?.set(encodedTxSig, false);
+
+		let done = false;
+		const resolveReference: ResolveReference = {
+			resolve: undefined,
+		};
+		const stopWaiting = () => {
+			done = true;
+			if (resolveReference.resolve) {
+				resolveReference.resolve();
+			}
+		};
+
+		(async () => {
+			while (!done && this.getTimestamp() - startTime < this.timeout) {
+				await this.sleep(resolveReference);
+				if (!done) {
+					this.sendToAdditionalConnections(rawTransaction, opts);
+				}
+			}
+		})();
+
+		let slot: number | undefined;
+		try {
+			const result = await this.confirmTransaction(
+				encodedTxSig,
+				opts.commitment
+			);
+			slot = result?.context?.slot;
+			this.txSigCache?.set(encodedTxSig, true);
+			// eslint-disable-next-line no-useless-catch
+		} catch (e) {
+			throw e;
+		} finally {
+			stopWaiting();
+		}
+
+		return { txSig: encodedTxSig, slot };
+	}
+}

package/src/types.ts

@@ -838,6 +838,8 @@ export type PerpMarketAccount = {
 	lastFundingRateShort: BN;
 	lastFundingRateTs: BN;
 	netUnsettledFundingPnl: BN;
+	fundingClampThreshold: number;
+	fundingRampSlope: number;
 	orderStepSize: BN;
 	orderTickSize: BN;
 };

package/tests/amm/test.ts

@@ -1566,8 +1566,8 @@ describe('AMM Tests', () => {
 
 		assert(markTwapLive.eq(new BN('1949826')));
 		assert(oracleTwapLive.eq(new BN('1942510')));
-		assert(est1.eq(new BN('16941')));
-		assert(est2.eq(new BN('16941')));
+		assert(est1.eq(new BN('14858')));
+		assert(est2.eq(new BN('14858')));
 	});
 
 	it('predicted funding rate mock2', () => {

package/tests/dlob/helpers.ts

@@ -208,6 +208,8 @@ function mockPerpMarketCommon(): Omit<
 		lastFundingRateShort: new BN(0),
 		lastFundingRateTs: new BN(0),
 		netUnsettledFundingPnl: new BN(0),
+		fundingClampThreshold: 5,
+		fundingRampSlope: 1000000,
 		orderStepSize: new BN(1),
 		orderTickSize: new BN(1),
 	};