@velocity-exchange/sdk 0.4.0 → 0.6.1
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/README.md +3 -3
- package/lib/browser/adminClient.d.ts +52 -0
- package/lib/browser/adminClient.js +97 -0
- package/lib/browser/config.js +6 -7
- package/lib/browser/constants/numericConstants.d.ts +1 -1
- package/lib/browser/constants/numericConstants.js +1 -1
- package/lib/browser/decode/user.js +5 -1
- package/lib/browser/idl/velocity.d.ts +191 -15
- package/lib/browser/idl/velocity.json +192 -16
- package/lib/browser/orderSubscriber/OrderSubscriber.d.ts +1 -0
- package/lib/browser/orderSubscriber/OrderSubscriber.js +10 -4
- package/lib/browser/pyth/pythLazerSubscriber.js +37 -27
- package/lib/browser/types.d.ts +6 -0
- package/lib/browser/user.d.ts +20 -3
- package/lib/browser/user.js +52 -4
- package/lib/browser/velocityClient.d.ts +46 -10
- package/lib/browser/velocityClient.js +107 -35
- package/lib/node/adminClient.d.ts +52 -0
- package/lib/node/adminClient.d.ts.map +1 -1
- package/lib/node/adminClient.js +97 -0
- package/lib/node/config.d.ts.map +1 -1
- package/lib/node/config.js +6 -7
- package/lib/node/constants/numericConstants.d.ts +1 -1
- package/lib/node/constants/numericConstants.d.ts.map +1 -1
- package/lib/node/constants/numericConstants.js +1 -1
- package/lib/node/decode/user.d.ts.map +1 -1
- package/lib/node/decode/user.js +5 -1
- package/lib/node/idl/velocity.d.ts +191 -15
- package/lib/node/idl/velocity.d.ts.map +1 -1
- package/lib/node/idl/velocity.json +192 -16
- package/lib/node/orderSubscriber/OrderSubscriber.d.ts +1 -0
- package/lib/node/orderSubscriber/OrderSubscriber.d.ts.map +1 -1
- package/lib/node/orderSubscriber/OrderSubscriber.js +10 -4
- package/lib/node/pyth/pythLazerSubscriber.d.ts.map +1 -1
- package/lib/node/pyth/pythLazerSubscriber.js +37 -27
- package/lib/node/types.d.ts +6 -0
- package/lib/node/types.d.ts.map +1 -1
- package/lib/node/user.d.ts +20 -3
- package/lib/node/user.d.ts.map +1 -1
- package/lib/node/user.js +52 -4
- package/lib/node/velocityClient.d.ts +46 -10
- package/lib/node/velocityClient.d.ts.map +1 -1
- package/lib/node/velocityClient.js +107 -35
- package/package.json +7 -3
- package/.prettierignore +0 -1
- package/CHANGELOG.md +0 -132
- package/build-browser.js +0 -58
- package/bunfig.toml +0 -3
- package/esbuild-shims.js +0 -12
- package/scripts/deposit-isolated-positions.ts +0 -110
- package/scripts/find-flagged-users.ts +0 -213
- package/scripts/grpc-client-test-comparison.ts +0 -372
- package/scripts/grpc-multiuser-client-test-comparison.ts +0 -158
- package/scripts/postbuild.js +0 -95
- package/scripts/single-grpc-client-test.ts +0 -284
- package/scripts/withdraw-isolated-positions.ts +0 -174
- package/src/accounts/README_WebSocketAccountSubscriberV2.md +0 -95
- package/src/accounts/README_WebSocketProgramAccountSubscriberV2.md +0 -135
- package/src/accounts/basicUserAccountSubscriber.ts +0 -79
- package/src/accounts/basicUserStatsAccountSubscriber.ts +0 -87
- package/src/accounts/bulkAccountLoader.ts +0 -358
- package/src/accounts/bulkUserStatsSubscription.ts +0 -40
- package/src/accounts/bulkUserSubscription.ts +0 -39
- package/src/accounts/customizedCadenceBulkAccountLoader.ts +0 -250
- package/src/accounts/fetch.ts +0 -200
- package/src/accounts/grpcAccountSubscriber.ts +0 -225
- package/src/accounts/grpcInsuranceFundStakeAccountSubscriber.ts +0 -73
- package/src/accounts/grpcMultiAccountSubscriber.ts +0 -566
- package/src/accounts/grpcMultiUserAccountSubscriber.ts +0 -328
- package/src/accounts/grpcProgramAccountSubscriber.ts +0 -264
- package/src/accounts/grpcUserAccountSubscriber.ts +0 -63
- package/src/accounts/grpcUserStatsAccountSubscriber.ts +0 -65
- package/src/accounts/grpcVelocityClientAccountSubscriber.ts +0 -257
- package/src/accounts/grpcVelocityClientAccountSubscriberV2.ts +0 -941
- package/src/accounts/laserProgramAccountSubscriber.ts +0 -266
- package/src/accounts/oneShotUserAccountSubscriber.ts +0 -88
- package/src/accounts/oneShotUserStatsAccountSubscriber.ts +0 -94
- package/src/accounts/pollingInsuranceFundStakeAccountSubscriber.ts +0 -223
- package/src/accounts/pollingOracleAccountSubscriber.ts +0 -151
- package/src/accounts/pollingTokenAccountSubscriber.ts +0 -147
- package/src/accounts/pollingUserAccountSubscriber.ts +0 -198
- package/src/accounts/pollingUserStatsAccountSubscriber.ts +0 -180
- package/src/accounts/pollingVelocityClientAccountSubscriber.ts +0 -774
- package/src/accounts/testBulkAccountLoader.ts +0 -59
- package/src/accounts/types.ts +0 -428
- package/src/accounts/utils.ts +0 -90
- package/src/accounts/webSocketAccountSubscriber.ts +0 -304
- package/src/accounts/webSocketAccountSubscriberV2.ts +0 -536
- package/src/accounts/webSocketInsuranceFundStakeAccountSubscriber.ts +0 -171
- package/src/accounts/webSocketProgramAccountSubscriber.ts +0 -244
- package/src/accounts/webSocketProgramAccountSubscriberV2.ts +0 -1048
- package/src/accounts/webSocketProgramAccountsSubscriberV2.ts +0 -1042
- package/src/accounts/webSocketUserAccountSubscriber.ts +0 -139
- package/src/accounts/webSocketUserStatsAccountSubsriber.ts +0 -131
- package/src/accounts/webSocketVelocityClientAccountSubscriber.ts +0 -865
- package/src/accounts/webSocketVelocityClientAccountSubscriberV2.ts +0 -897
- package/src/accounts/websocketProgramUserAccountSubscriber.ts +0 -127
- package/src/addresses/marketAddresses.ts +0 -28
- package/src/addresses/pda.ts +0 -620
- package/src/adminClient.ts +0 -8136
- package/src/assert/assert.ts +0 -5
- package/src/auctionSubscriber/auctionSubscriber.ts +0 -86
- package/src/auctionSubscriber/auctionSubscriberGrpc.ts +0 -99
- package/src/auctionSubscriber/index.ts +0 -9
- package/src/auctionSubscriber/types.ts +0 -30
- package/src/bankrun/bankrunConnection.ts +0 -630
- package/src/blockhashSubscriber/BlockhashSubscriber.ts +0 -160
- package/src/blockhashSubscriber/index.ts +0 -6
- package/src/blockhashSubscriber/types.ts +0 -13
- package/src/clock/clockSubscriber.ts +0 -146
- package/src/config.ts +0 -312
- package/src/constants/index.ts +0 -9
- package/src/constants/numericConstants.ts +0 -194
- package/src/constants/perpMarkets.ts +0 -127
- package/src/constants/spotMarkets.ts +0 -104
- package/src/constants/txConstants.ts +0 -2
- package/src/constituentMap/constituentMap.ts +0 -305
- package/src/constituentMap/pollingConstituentAccountSubscriber.ts +0 -99
- package/src/constituentMap/webSocketConstituentAccountSubscriber.ts +0 -121
- package/src/core/VelocityCore.ts +0 -606
- package/src/core/index.ts +0 -12
- package/src/core/instructions/deposit.ts +0 -64
- package/src/core/instructions/fill.ts +0 -51
- package/src/core/instructions/funding.ts +0 -33
- package/src/core/instructions/liquidation.ts +0 -55
- package/src/core/instructions/orders.ts +0 -84
- package/src/core/instructions/perpOrders.ts +0 -312
- package/src/core/instructions/settlement.ts +0 -40
- package/src/core/instructions/trigger.ts +0 -41
- package/src/core/instructions/withdraw.ts +0 -65
- package/src/core/remainingAccounts.ts +0 -320
- package/src/core/signedMsg.ts +0 -109
- package/src/decode/customCoder.ts +0 -148
- package/src/decode/user.ts +0 -401
- package/src/dlob/DLOB.ts +0 -2793
- package/src/dlob/DLOBNode.ts +0 -305
- package/src/dlob/DLOBSubscriber.ts +0 -269
- package/src/dlob/NodeList.ts +0 -244
- package/src/dlob/orderBookLevels.ts +0 -695
- package/src/dlob/types.ts +0 -37
- package/src/events/eventList.ts +0 -114
- package/src/events/eventSubscriber.ts +0 -521
- package/src/events/eventsServerLogProvider.ts +0 -189
- package/src/events/fetchLogs.ts +0 -219
- package/src/events/parse.ts +0 -271
- package/src/events/pollingLogProvider.ts +0 -113
- package/src/events/sort.ts +0 -51
- package/src/events/txEventCache.ts +0 -92
- package/src/events/types.ts +0 -337
- package/src/events/webSocketLogProvider.ts +0 -152
- package/src/factory/bigNum.ts +0 -709
- package/src/factory/oracleClient.ts +0 -73
- package/src/idl/pyth.json +0 -142
- package/src/idl/pyth.ts +0 -97
- package/src/idl/pyth_solana_receiver.json +0 -628
- package/src/idl/token_faucet.json +0 -229
- package/src/idl/token_faucet.ts +0 -197
- package/src/idl/velocity.json +0 -23974
- package/src/idl/velocity.ts +0 -23980
- package/src/index.ts +0 -150
- package/src/indicative-quotes/indicativeQuotesSender.ts +0 -233
- package/src/isomorphic/README.md +0 -19
- package/src/isomorphic/anchor.browser.ts +0 -44
- package/src/isomorphic/anchor.node.ts +0 -1
- package/src/isomorphic/anchor.ts +0 -1
- package/src/isomorphic/anchor29.browser.ts +0 -24
- package/src/isomorphic/anchor29.node.ts +0 -1
- package/src/isomorphic/anchor29.ts +0 -1
- package/src/isomorphic/grpc.browser.ts +0 -4
- package/src/isomorphic/grpc.node.ts +0 -130
- package/src/isomorphic/grpc.ts +0 -1
- package/src/jupiter/jupiterClient.ts +0 -502
- package/src/keypair.ts +0 -32
- package/src/margin/README.md +0 -138
- package/src/marginCalculation.ts +0 -407
- package/src/marinade/idl/idl.json +0 -1962
- package/src/marinade/index.ts +0 -73
- package/src/marinade/types.ts +0 -3925
- package/src/math/amm.ts +0 -1758
- package/src/math/auction.ts +0 -480
- package/src/math/bankruptcy.ts +0 -138
- package/src/math/builder.ts +0 -130
- package/src/math/conversion.ts +0 -45
- package/src/math/exchangeStatus.ts +0 -261
- package/src/math/funding.ts +0 -498
- package/src/math/insurance.ts +0 -171
- package/src/math/liquidation.ts +0 -433
- package/src/math/margin.ts +0 -327
- package/src/math/market.ts +0 -487
- package/src/math/oracles.ts +0 -477
- package/src/math/orders.ts +0 -500
- package/src/math/position.ts +0 -381
- package/src/math/repeg.ts +0 -223
- package/src/math/spotBalance.ts +0 -996
- package/src/math/spotMarket.ts +0 -115
- package/src/math/spotPosition.ts +0 -263
- package/src/math/state.ts +0 -71
- package/src/math/superStake.ts +0 -602
- package/src/math/tiers.ts +0 -73
- package/src/math/trade.ts +0 -879
- package/src/math/utils.ts +0 -183
- package/src/memcmp.ts +0 -279
- package/src/oracles/oracleClientCache.ts +0 -41
- package/src/oracles/oracleId.ts +0 -99
- package/src/oracles/prelaunchOracleClient.ts +0 -63
- package/src/oracles/pythClient.ts +0 -125
- package/src/oracles/pythLazerClient.ts +0 -141
- package/src/oracles/quoteAssetOracleClient.ts +0 -43
- package/src/oracles/strictOraclePrice.ts +0 -40
- package/src/oracles/types.ts +0 -82
- package/src/oracles/utils.ts +0 -45
- package/src/orderParams.ts +0 -117
- package/src/orderSubscriber/OrderSubscriber.ts +0 -378
- package/src/orderSubscriber/PollingSubscription.ts +0 -50
- package/src/orderSubscriber/WebsocketSubscription.ts +0 -137
- package/src/orderSubscriber/grpcSubscription.ts +0 -155
- package/src/orderSubscriber/index.ts +0 -7
- package/src/orderSubscriber/types.ts +0 -64
- package/src/priorityFee/averageOverSlotsStrategy.ts +0 -17
- package/src/priorityFee/averageStrategy.ts +0 -13
- package/src/priorityFee/ewmaStrategy.ts +0 -51
- package/src/priorityFee/heliusPriorityFeeMethod.ts +0 -68
- package/src/priorityFee/index.ts +0 -16
- package/src/priorityFee/maxOverSlotsStrategy.ts +0 -18
- package/src/priorityFee/maxStrategy.ts +0 -8
- package/src/priorityFee/priorityFeeSubscriber.ts +0 -328
- package/src/priorityFee/priorityFeeSubscriberMap.ts +0 -134
- package/src/priorityFee/solanaPriorityFeeMethod.ts +0 -46
- package/src/priorityFee/types.ts +0 -82
- package/src/priorityFee/velocityPriorityFeeMethod.ts +0 -53
- package/src/pyth/constants.ts +0 -9
- package/src/pyth/index.ts +0 -15
- package/src/pyth/pythLazerSubscriber.ts +0 -365
- package/src/pyth/types.ts +0 -4451
- package/src/pyth/utils.ts +0 -13
- package/src/slot/SlotSubscriber.ts +0 -126
- package/src/slot/SlothashSubscriber.ts +0 -163
- package/src/swap/UnifiedSwapClient.ts +0 -315
- package/src/swift/grpcSignedMsgUserAccountSubscriber.ts +0 -81
- package/src/swift/index.ts +0 -10
- package/src/swift/signedMsgUserAccountSubscriber.ts +0 -251
- package/src/swift/swiftOrderSubscriber.ts +0 -351
- package/src/testClient.ts +0 -42
- package/src/titan/titanClient.ts +0 -438
- package/src/token/index.ts +0 -13
- package/src/tokenFaucet.ts +0 -296
- package/src/tx/baseTxSender.ts +0 -651
- package/src/tx/blockhashFetcher/baseBlockhashFetcher.ts +0 -31
- package/src/tx/blockhashFetcher/cachedBlockhashFetcher.ts +0 -105
- package/src/tx/blockhashFetcher/types.ts +0 -9
- package/src/tx/fastSingleTxSender.ts +0 -200
- package/src/tx/forwardOnlyTxSender.ts +0 -193
- package/src/tx/priorityFeeCalculator.ts +0 -117
- package/src/tx/reportTransactionError.ts +0 -176
- package/src/tx/retryTxSender.ts +0 -177
- package/src/tx/txHandler.ts +0 -1009
- package/src/tx/txParamProcessor.ts +0 -225
- package/src/tx/types.ts +0 -117
- package/src/tx/utils.ts +0 -133
- package/src/tx/whileValidTxSender.ts +0 -377
- package/src/types.ts +0 -2575
- package/src/user.ts +0 -5316
- package/src/userConfig.ts +0 -38
- package/src/userMap/PollingSubscription.ts +0 -61
- package/src/userMap/WebsocketSubscription.ts +0 -93
- package/src/userMap/grpcSubscription.ts +0 -93
- package/src/userMap/referrerMap.ts +0 -360
- package/src/userMap/revenueShareEscrowMap.ts +0 -342
- package/src/userMap/userMap.ts +0 -784
- package/src/userMap/userMapConfig.ts +0 -82
- package/src/userMap/userStatsMap.ts +0 -393
- package/src/userName.ts +0 -37
- package/src/userStats.ts +0 -159
- package/src/userStatsConfig.ts +0 -35
- package/src/util/TransactionConfirmationManager.ts +0 -333
- package/src/util/chainClock.ts +0 -65
- package/src/util/computeUnits.ts +0 -101
- package/src/util/digest.ts +0 -33
- package/src/util/ed25519Utils.ts +0 -95
- package/src/util/promiseTimeout.ts +0 -23
- package/src/velocityClient.ts +0 -14802
- package/src/velocityClientConfig.ts +0 -119
- package/src/wallet.ts +0 -91
- package/tests/VelocityCore/builder_escrow.test.ts +0 -121
- package/tests/VelocityCore/decode.test.ts +0 -16
- package/tests/VelocityCore/fill_trigger.test.ts +0 -73
- package/tests/VelocityCore/instructions.test.ts +0 -46
- package/tests/VelocityCore/pdas.test.ts +0 -30
- package/tests/VelocityCore/perp_orders.test.ts +0 -205
- package/tests/VelocityCore/remainingAccounts.test.ts +0 -72
- package/tests/VelocityCore/settlement_liquidation.test.ts +0 -69
- package/tests/accounts/customizedCadenceBulkAccountLoader.test.ts +0 -211
- package/tests/amm/test.ts +0 -2402
- package/tests/auctions/test.ts +0 -81
- package/tests/bn/test.ts +0 -355
- package/tests/builder/builderFee.test.ts +0 -42
- package/tests/ci/verifyConstants.ts +0 -393
- package/tests/decode/test.ts +0 -262
- package/tests/decode/userAccountBufferStrings.ts +0 -102
- package/tests/dlob/helpers.ts +0 -748
- package/tests/dlob/test.ts +0 -6969
- package/tests/dlob/tickSizeStandardization.ts +0 -545
- package/tests/events/parseLogsForCuUsage.ts +0 -139
- package/tests/exchangeStatus/test.ts +0 -45
- package/tests/insurance/test.ts +0 -40
- package/tests/liquidation/test.ts +0 -125
- package/tests/oracles/mmOracleGate.test.ts +0 -379
- package/tests/oracles/pythPegSnap.test.ts +0 -76
- package/tests/sdkParity/enumParity.test.ts +0 -84
- package/tests/sdkParity/marginCategoryFill.test.ts +0 -143
- package/tests/sdkParity/memcmpOffsets.test.ts +0 -139
- package/tests/spot/test.ts +0 -281
- package/tests/tx/TransactionConfirmationManager.test.ts +0 -312
- package/tests/tx/cachedBlockhashFetcher.test.ts +0 -96
- package/tests/tx/priorityFeeCalculator.ts +0 -77
- package/tests/tx/priorityFeeStrategy.ts +0 -95
- package/tests/user/bankruptcy.ts +0 -165
- package/tests/user/feeAndWithdrawLimits.ts +0 -284
- package/tests/user/getMarginCalculation.ts +0 -586
- package/tests/user/helpers.ts +0 -184
- package/tests/user/liquidations.ts +0 -129
- package/tests/user/marginCalculations.test.ts +0 -321
- package/tests/user/test.ts +0 -833
- package/tsconfig.browser.json +0 -18
- package/tsconfig.json +0 -36
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import {
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depositPaused,
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withdrawPaused,
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import { mockStateAccount, mockSpotMarkets } from '../dlob/helpers';
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import { assert } from '../../src/assert/assert';
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describe('Exchange Status Tests', () => {
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it('depositPaused mirrors the global ExchangeStatus bit and the per-market SpotOperation bit', () => {
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const spotMarket = _.cloneDeep(mockSpotMarkets[0]);
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assert(depositPaused(state, spotMarket) === false);
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state.exchangeStatus = ExchangeStatus.DEPOSIT_PAUSED;
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assert(depositPaused(state, spotMarket) === true);
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});
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it('withdrawPaused mirrors the global ExchangeStatus bit and the per-market SpotOperation bit', () => {
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const spotMarket = _.cloneDeep(mockSpotMarkets[0]);
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assert(withdrawPaused(state, spotMarket) === false);
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state.exchangeStatus = ExchangeStatus.WITHDRAW_PAUSED;
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assert(withdrawPaused(state, spotMarket) === true);
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assert(withdrawPaused(state, spotMarket) === false);
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assert(depositPaused(state, spotMarket) === false);
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import { BN, ZERO, timeRemainingUntilUpdate, ONE } from '../../src';
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// import { mockPerpMarkets } from '../dlob/helpers';
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describe('Insurance Tests', () => {
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const tooLateUpdate = lastUpdate.sub(period.div(new BN(3)).add(ONE));
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tr = timeRemainingUntilUpdate(
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tooLateUpdate.add(ONE),
|
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tooLateUpdate,
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27
|
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period
|
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);
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// console.log(tr.toString());
|
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30
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assert(tr.eq(new BN('4800')));
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|
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32
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tr = timeRemainingUntilUpdate(now, lastUpdate.add(ONE), period);
|
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// console.log(tr.toString());
|
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34
|
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assert(tr.eq(new BN('2748')));
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|
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36
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tr = timeRemainingUntilUpdate(now, lastUpdate.sub(ONE), period);
|
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// console.log(tr.toString());
|
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38
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assert(tr.eq(new BN('2748')));
|
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|
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});
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|
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});
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@@ -1,125 +0,0 @@
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1
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import { assert } from 'chai';
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2
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import {
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3
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BN,
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4
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BASE_PRECISION,
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5
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QUOTE_PRECISION,
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LIQUIDATION_PCT_PRECISION,
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calculateMaxPctToLiquidate,
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calculatePerpIfFee,
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calculateSpotIfFee,
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} from '../../src';
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12
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describe('calculateMaxPctToLiquidate', () => {
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it('isolated position override returns 100% regardless of graduated schedule', () => {
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const pct = calculateMaxPctToLiquidate(
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15
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new BN(0), // userLastActiveSlot
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new BN(0), // userLiquidationMarginFreed
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new BN(1_000_000).mul(QUOTE_PRECISION), // huge margin shortage
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new BN(0), // slot === lastActiveSlot, no time elapsed
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new BN(0), // initialPctToLiquidate
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new BN(1000), // liquidationDuration
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true // isIsolatedPosition
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);
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assert.isTrue(pct.eq(LIQUIDATION_PCT_PRECISION));
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});
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it('computes slots elapsed unconditionally, even when no margin has been freed yet', () => {
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// userLiquidationMarginFreed === 0: a prior gate on this value would force
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// slotsElapsed to 0 and the whole schedule to be stuck at initialPctToLiquidate.
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const pct = calculateMaxPctToLiquidate(
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new BN(0), // userLastActiveSlot
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new BN(0), // userLiquidationMarginFreed
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new BN(1000).mul(QUOTE_PRECISION), // margin shortage (above the 50 QUOTE_PRECISION floor)
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new BN(100), // slot
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new BN(0), // initialPctToLiquidate
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new BN(1000) // liquidationDuration
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);
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-
|
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// slotsElapsed = 100, pctFreeable = 100 * 10000 / 1000 = 1000 (10%)
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assert.isTrue(pct.eq(new BN(1000)));
|
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});
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|
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});
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|
-
|
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44
|
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describe('calculatePerpIfFee', () => {
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// marginRatio 5%, liquidator fee 0.5%, quote oracle price != 1.0
|
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46
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const marginRatio = 500;
|
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47
|
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const liquidatorFee = 5000;
|
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48
|
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const oraclePrice = new BN(100).mul(new BN(1_000_000));
|
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49
|
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const quoteOraclePrice = new BN(1_020_000); // 1.02
|
|
50
|
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const userBaseAssetAmount = new BN(10).mul(BASE_PRECISION);
|
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51
|
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const marginShortage = new BN(1).mul(QUOTE_PRECISION);
|
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52
|
-
|
|
53
|
-
it('returns the implied fee when it is below the combined-rate cap', () => {
|
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54
|
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const fee = calculatePerpIfFee(
|
|
55
|
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marginShortage,
|
|
56
|
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userBaseAssetAmount,
|
|
57
|
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marginRatio,
|
|
58
|
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liquidatorFee,
|
|
59
|
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oraclePrice,
|
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60
|
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quoteOraclePrice,
|
|
61
|
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50_000 // cap well above the implied fee
|
|
62
|
-
);
|
|
63
|
-
|
|
64
|
-
assert.equal(fee, 41_819);
|
|
65
|
-
});
|
|
66
|
-
|
|
67
|
-
it('clamps to the combined-rate cap when the implied fee exceeds it', () => {
|
|
68
|
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const fee = calculatePerpIfFee(
|
|
69
|
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marginShortage,
|
|
70
|
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userBaseAssetAmount,
|
|
71
|
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marginRatio,
|
|
72
|
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liquidatorFee,
|
|
73
|
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oraclePrice,
|
|
74
|
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quoteOraclePrice,
|
|
75
|
-
20_000 // cap below the implied fee
|
|
76
|
-
);
|
|
77
|
-
|
|
78
|
-
assert.equal(fee, 20_000);
|
|
79
|
-
});
|
|
80
|
-
});
|
|
81
|
-
|
|
82
|
-
describe('calculateSpotIfFee', () => {
|
|
83
|
-
const assetWeight = 8000;
|
|
84
|
-
const liabilityWeight = 12000;
|
|
85
|
-
const assetLiquidationMultiplier = 1_000_000;
|
|
86
|
-
const liabilityLiquidationMultiplier = 1_000_000;
|
|
87
|
-
const liabilityDecimals = 6;
|
|
88
|
-
const liabilityPrice = new BN(1_050_000); // non-1.0 price
|
|
89
|
-
const tokenAmount = new BN(1000).mul(
|
|
90
|
-
new BN(10).pow(new BN(liabilityDecimals))
|
|
91
|
-
);
|
|
92
|
-
const marginShortage = new BN(10).mul(QUOTE_PRECISION);
|
|
93
|
-
|
|
94
|
-
it('returns the implied fee when it is below the combined-rate cap', () => {
|
|
95
|
-
const fee = calculateSpotIfFee(
|
|
96
|
-
marginShortage,
|
|
97
|
-
tokenAmount,
|
|
98
|
-
assetWeight,
|
|
99
|
-
assetLiquidationMultiplier,
|
|
100
|
-
liabilityWeight,
|
|
101
|
-
liabilityLiquidationMultiplier,
|
|
102
|
-
liabilityDecimals,
|
|
103
|
-
liabilityPrice,
|
|
104
|
-
400_000 // cap well above the implied fee
|
|
105
|
-
);
|
|
106
|
-
|
|
107
|
-
assert.equal(fee, 325_397);
|
|
108
|
-
});
|
|
109
|
-
|
|
110
|
-
it('clamps to the combined-rate cap when the implied fee exceeds it', () => {
|
|
111
|
-
const fee = calculateSpotIfFee(
|
|
112
|
-
marginShortage,
|
|
113
|
-
tokenAmount,
|
|
114
|
-
assetWeight,
|
|
115
|
-
assetLiquidationMultiplier,
|
|
116
|
-
liabilityWeight,
|
|
117
|
-
liabilityLiquidationMultiplier,
|
|
118
|
-
liabilityDecimals,
|
|
119
|
-
liabilityPrice,
|
|
120
|
-
100_000 // cap below the implied fee
|
|
121
|
-
);
|
|
122
|
-
|
|
123
|
-
assert.equal(fee, 100_000);
|
|
124
|
-
});
|
|
125
|
-
});
|
|
@@ -1,379 +0,0 @@
|
|
|
1
|
-
import * as _ from 'lodash';
|
|
2
|
-
import {
|
|
3
|
-
BN,
|
|
4
|
-
OracleGuardRails,
|
|
5
|
-
OracleValidity,
|
|
6
|
-
PRICE_PRECISION,
|
|
7
|
-
getOracleValidity,
|
|
8
|
-
isOracleTooDivergent,
|
|
9
|
-
isFallbackAvailableLiquiditySource,
|
|
10
|
-
MMOraclePriceData,
|
|
11
|
-
StateAccount,
|
|
12
|
-
VelocityClient,
|
|
13
|
-
} from '../../src';
|
|
14
|
-
import { mockPerpMarkets } from '../dlob/helpers';
|
|
15
|
-
import { mockOrder } from '../user/helpers';
|
|
16
|
-
import { assert } from '../../src/assert/assert';
|
|
17
|
-
|
|
18
|
-
// Pins the UseMMOraclePrice gating semantics from
|
|
19
|
-
// `programs/velocity/src/state/perp_market.rs::get_mm_oracle_price_data`: the
|
|
20
|
-
// fallback to the exchange oracle is driven by `is_oracle_valid_for_action`
|
|
21
|
-
// (NonPositive/TooVolatile only), never by the twap-5min divergence band that
|
|
22
|
-
// `isOracleTooDivergent` mirrors elsewhere (`validate_fill_price_within_price_bands`).
|
|
23
|
-
describe('MM oracle validity gate (UseMMOraclePrice semantics)', () => {
|
|
24
|
-
it('does not fall back to the exchange oracle solely because mm price diverged from a stale 5min twap', () => {
|
|
25
|
-
const market = _.cloneDeep(mockPerpMarkets[0]);
|
|
26
|
-
market.marketStats.historicalOracleData.lastOraclePriceTwap = new BN(
|
|
27
|
-
100
|
|
28
|
-
).mul(PRICE_PRECISION);
|
|
29
|
-
market.marketStats.historicalOracleData.lastOraclePriceTwap5Min = new BN(
|
|
30
|
-
100
|
|
31
|
-
).mul(PRICE_PRECISION);
|
|
32
|
-
|
|
33
|
-
// Market has moved a long way from the stale 5min twap, but the mm
|
|
34
|
-
// oracle and the current exchange oracle agree closely with each other.
|
|
35
|
-
const exchangeOraclePrice = new BN(160).mul(PRICE_PRECISION);
|
|
36
|
-
const mmOraclePrice = new BN(161).mul(PRICE_PRECISION);
|
|
37
|
-
const mmOracleSlot = new BN(1000);
|
|
38
|
-
const mmOracleConfidence = new BN(1000);
|
|
39
|
-
|
|
40
|
-
const oracleGuardRails: OracleGuardRails = {
|
|
41
|
-
priceDivergence: {
|
|
42
|
-
markOraclePercentDivergence: new BN(0),
|
|
43
|
-
oracleTwap5MinPercentDivergence: new BN(0),
|
|
44
|
-
},
|
|
45
|
-
validity: {
|
|
46
|
-
slotsBeforeStaleForAmm: new BN(10),
|
|
47
|
-
slotsBeforeStaleForMargin: new BN(60),
|
|
48
|
-
confidenceIntervalMaxSize: new BN(20000),
|
|
49
|
-
tooVolatileRatio: new BN(5),
|
|
50
|
-
},
|
|
51
|
-
};
|
|
52
|
-
|
|
53
|
-
// Old (incorrect) gate: mirrors validate_fill_price_within_price_bands,
|
|
54
|
-
// which is NOT what the program checks before using the mm oracle price.
|
|
55
|
-
const wasTooDivergentUnderOldGate = isOracleTooDivergent(
|
|
56
|
-
market.marketStats,
|
|
57
|
-
{
|
|
58
|
-
price: mmOraclePrice,
|
|
59
|
-
slot: mmOracleSlot,
|
|
60
|
-
confidence: mmOracleConfidence,
|
|
61
|
-
hasSufficientNumberOfDataPoints: true,
|
|
62
|
-
},
|
|
63
|
-
oracleGuardRails
|
|
64
|
-
);
|
|
65
|
-
assert(
|
|
66
|
-
wasTooDivergentUnderOldGate,
|
|
67
|
-
'expected the twap5min-divergence check to trip on the stale twap'
|
|
68
|
-
);
|
|
69
|
-
|
|
70
|
-
// Correct gate: is_oracle_valid_for_action(mm_oracle_validity, UseMMOraclePrice)
|
|
71
|
-
// only rejects NonPositive/TooVolatile.
|
|
72
|
-
const mmOracleValidity = getOracleValidity(
|
|
73
|
-
market,
|
|
74
|
-
{
|
|
75
|
-
price: mmOraclePrice,
|
|
76
|
-
slot: mmOracleSlot,
|
|
77
|
-
confidence: mmOracleConfidence,
|
|
78
|
-
hasSufficientNumberOfDataPoints: true,
|
|
79
|
-
},
|
|
80
|
-
oracleGuardRails,
|
|
81
|
-
mmOracleSlot
|
|
82
|
-
);
|
|
83
|
-
const isMMOracleInvalidForUse =
|
|
84
|
-
mmOracleValidity === OracleValidity.NonPositive ||
|
|
85
|
-
mmOracleValidity === OracleValidity.TooVolatile;
|
|
86
|
-
|
|
87
|
-
assert(
|
|
88
|
-
!isMMOracleInvalidForUse,
|
|
89
|
-
`expected mm oracle to remain valid for UseMMOraclePrice, got validity=${OracleValidity[mmOracleValidity]}`
|
|
90
|
-
);
|
|
91
|
-
|
|
92
|
-
// Sanity: the exchange oracle is not materially different from the mm
|
|
93
|
-
// oracle, so the 1% mm-vs-exchange fallback threshold used alongside this
|
|
94
|
-
// gate would not itself trigger a fallback either.
|
|
95
|
-
const pctDiff = mmOraclePrice
|
|
96
|
-
.sub(exchangeOraclePrice)
|
|
97
|
-
.abs()
|
|
98
|
-
.mul(new BN(1_000_000))
|
|
99
|
-
.div(exchangeOraclePrice);
|
|
100
|
-
assert(pctDiff.lt(new BN(10_000)), 'expected mm/exchange prices within 1%');
|
|
101
|
-
});
|
|
102
|
-
|
|
103
|
-
it('does fall back when the mm oracle itself is too volatile vs its own twap', () => {
|
|
104
|
-
const market = _.cloneDeep(mockPerpMarkets[0]);
|
|
105
|
-
market.marketStats.historicalOracleData.lastOraclePriceTwap = new BN(
|
|
106
|
-
100
|
|
107
|
-
).mul(PRICE_PRECISION);
|
|
108
|
-
market.marketStats.historicalOracleData.lastOraclePriceTwap5Min = new BN(
|
|
109
|
-
100
|
|
110
|
-
).mul(PRICE_PRECISION);
|
|
111
|
-
|
|
112
|
-
const mmOraclePrice = new BN(600).mul(PRICE_PRECISION); // 6x the twap
|
|
113
|
-
const mmOracleSlot = new BN(1000);
|
|
114
|
-
const mmOracleConfidence = new BN(1000);
|
|
115
|
-
|
|
116
|
-
const oracleGuardRails: OracleGuardRails = {
|
|
117
|
-
priceDivergence: {
|
|
118
|
-
markOraclePercentDivergence: new BN(0),
|
|
119
|
-
oracleTwap5MinPercentDivergence: new BN(0),
|
|
120
|
-
},
|
|
121
|
-
validity: {
|
|
122
|
-
slotsBeforeStaleForAmm: new BN(10),
|
|
123
|
-
slotsBeforeStaleForMargin: new BN(60),
|
|
124
|
-
confidenceIntervalMaxSize: new BN(20000),
|
|
125
|
-
tooVolatileRatio: new BN(5),
|
|
126
|
-
},
|
|
127
|
-
};
|
|
128
|
-
|
|
129
|
-
const mmOracleValidity = getOracleValidity(
|
|
130
|
-
market,
|
|
131
|
-
{
|
|
132
|
-
price: mmOraclePrice,
|
|
133
|
-
slot: mmOracleSlot,
|
|
134
|
-
confidence: mmOracleConfidence,
|
|
135
|
-
hasSufficientNumberOfDataPoints: true,
|
|
136
|
-
},
|
|
137
|
-
oracleGuardRails,
|
|
138
|
-
mmOracleSlot
|
|
139
|
-
);
|
|
140
|
-
|
|
141
|
-
assert(mmOracleValidity === OracleValidity.TooVolatile);
|
|
142
|
-
});
|
|
143
|
-
});
|
|
144
|
-
|
|
145
|
-
// Pins the sequence-id recency ordering in
|
|
146
|
-
// `VelocityClient.getMMOracleDataForPerpMarket` against the program's
|
|
147
|
-
// `MMOraclePriceData::new` (`state/oracle.rs`). Two boundary cases the SDK
|
|
148
|
-
// previously got wrong:
|
|
149
|
-
// 1. Equal sequence ids: Rust uses `exchange_seq > mm_seq`, so equal ids mean
|
|
150
|
-
// the exchange oracle is NOT more recent and the MM price is used.
|
|
151
|
-
// 2. The sequence-id path guard is `abs_diff < exchange_seq / 10_000`; the slot
|
|
152
|
-
// path is its negation and must fire on `>=`, not `>`.
|
|
153
|
-
describe('MM oracle sequence-id recency (getMMOracleDataForPerpMarket)', () => {
|
|
154
|
-
const guardRails: OracleGuardRails = {
|
|
155
|
-
priceDivergence: {
|
|
156
|
-
markOraclePercentDivergence: new BN(0),
|
|
157
|
-
oracleTwap5MinPercentDivergence: new BN(0),
|
|
158
|
-
},
|
|
159
|
-
validity: {
|
|
160
|
-
slotsBeforeStaleForAmm: new BN(10),
|
|
161
|
-
slotsBeforeStaleForMargin: new BN(60),
|
|
162
|
-
confidenceIntervalMaxSize: new BN(20000),
|
|
163
|
-
tooVolatileRatio: new BN(5),
|
|
164
|
-
},
|
|
165
|
-
};
|
|
166
|
-
|
|
167
|
-
// exchange 100.0, mm 100.5 => 0.5% apart (within the 1% fallback threshold),
|
|
168
|
-
// so the only thing deciding which price is returned is the recency ordering.
|
|
169
|
-
const exchangePrice = new BN(100).mul(PRICE_PRECISION);
|
|
170
|
-
const mmOraclePrice = exchangePrice.add(PRICE_PRECISION.divn(2));
|
|
171
|
-
|
|
172
|
-
function callWith(
|
|
173
|
-
exchangeSequenceId: BN,
|
|
174
|
-
mmOracleSequenceId: BN
|
|
175
|
-
): MMOraclePriceData {
|
|
176
|
-
const market = _.cloneDeep(mockPerpMarkets[0]);
|
|
177
|
-
// twaps == exchange price keeps the mm oracle Valid (not TooVolatile).
|
|
178
|
-
market.marketStats.historicalOracleData.lastOraclePriceTwap = exchangePrice;
|
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179
|
-
market.marketStats.historicalOracleData.lastOraclePriceTwap5Min =
|
|
180
|
-
exchangePrice;
|
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181
|
-
market.marketStats.mmOraclePrice = mmOraclePrice;
|
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182
|
-
market.marketStats.mmOracleSlot = new BN(1000);
|
|
183
|
-
market.marketStats.mmOracleSequenceId = mmOracleSequenceId;
|
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184
|
-
|
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185
|
-
const oracleData = {
|
|
186
|
-
price: exchangePrice,
|
|
187
|
-
slot: new BN(1000),
|
|
188
|
-
confidence: new BN(1000),
|
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189
|
-
hasSufficientNumberOfDataPoints: true,
|
|
190
|
-
sequenceId: exchangeSequenceId,
|
|
191
|
-
};
|
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192
|
-
|
|
193
|
-
const fakeThis = {
|
|
194
|
-
getPerpMarketAccountOrThrow: () => market,
|
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195
|
-
getOracleDataForPerpMarket: () => oracleData,
|
|
196
|
-
accountSubscriber: {
|
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197
|
-
getStateAccountAndSlot: () => ({
|
|
198
|
-
data: { oracleGuardRails: guardRails },
|
|
199
|
-
slot: 1000,
|
|
200
|
-
}),
|
|
201
|
-
},
|
|
202
|
-
};
|
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203
|
-
|
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204
|
-
return VelocityClient.prototype.getMMOracleDataForPerpMarket.call(
|
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205
|
-
fakeThis,
|
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206
|
-
0
|
|
207
|
-
) as MMOraclePriceData;
|
|
208
|
-
}
|
|
209
|
-
|
|
210
|
-
it('uses the MM oracle when sequence ids are equal (mirrors exchange_seq > mm_seq)', () => {
|
|
211
|
-
// seq >= 10_000 so abs_diff(0) < seq/10_000, i.e. the sequence-id path is taken.
|
|
212
|
-
const result = callWith(new BN(20000), new BN(20000));
|
|
213
|
-
assert(
|
|
214
|
-
result.price.eq(mmOraclePrice),
|
|
215
|
-
`expected MM price on equal sequence ids, got ${result.price.toString()}`
|
|
216
|
-
);
|
|
217
|
-
});
|
|
218
|
-
|
|
219
|
-
it('uses the MM oracle when the exchange sequence id is older', () => {
|
|
220
|
-
// abs_diff (5) < threshold (100_000 / 10_000 = 10) => sequence-id path.
|
|
221
|
-
const result = callWith(new BN(100_000), new BN(100_005));
|
|
222
|
-
assert(
|
|
223
|
-
result.price.eq(mmOraclePrice),
|
|
224
|
-
`expected MM price when exchange seq < mm seq, got ${result.price.toString()}`
|
|
225
|
-
);
|
|
226
|
-
});
|
|
227
|
-
|
|
228
|
-
it('falls back to the exchange oracle when its sequence id is newer', () => {
|
|
229
|
-
// abs_diff (6) < threshold (100_006 / 10_000 = 10) => sequence-id path.
|
|
230
|
-
const result = callWith(new BN(100_006), new BN(100_000));
|
|
231
|
-
assert(
|
|
232
|
-
result.price.eq(exchangePrice),
|
|
233
|
-
`expected exchange price when exchange seq > mm seq, got ${result.price.toString()}`
|
|
234
|
-
);
|
|
235
|
-
});
|
|
236
|
-
|
|
237
|
-
it('switches to slot recency at the abs_diff == seq/10_000 boundary (>=, not >)', () => {
|
|
238
|
-
// exchange_seq = 100_000 => threshold = 10. abs_diff = 10 == threshold, so
|
|
239
|
-
// Rust takes the slot/delay path. With equal slots the exchange oracle is not
|
|
240
|
-
// more recent, so the MM price is used — a `>` guard would instead take the
|
|
241
|
-
// sequence path and, with exchange_seq (100_010) > mm_seq (100_000), wrongly
|
|
242
|
-
// fall back to the exchange oracle.
|
|
243
|
-
const result = callWith(new BN(100_010), new BN(100_000));
|
|
244
|
-
assert(
|
|
245
|
-
result.price.eq(mmOraclePrice),
|
|
246
|
-
`expected MM price at the slot-path boundary, got ${result.price.toString()}`
|
|
247
|
-
);
|
|
248
|
-
});
|
|
249
|
-
});
|
|
250
|
-
|
|
251
|
-
// M15: isFallbackAvailableLiquiditySource must mirror amm_fill_gates_ok's
|
|
252
|
-
// mm_oracle_not_too_volatile gate: suppress AMM fills when the MM oracle is
|
|
253
|
-
// enabled, at least as recent as the exchange oracle, and diverges >1% from it.
|
|
254
|
-
describe('AMM fallback availability — MM-oracle volatility gate', () => {
|
|
255
|
-
const guardRails: OracleGuardRails = {
|
|
256
|
-
priceDivergence: {
|
|
257
|
-
markOraclePercentDivergence: new BN(0),
|
|
258
|
-
oracleTwap5MinPercentDivergence: new BN(0),
|
|
259
|
-
},
|
|
260
|
-
validity: {
|
|
261
|
-
slotsBeforeStaleForAmm: new BN(10),
|
|
262
|
-
slotsBeforeStaleForMargin: new BN(60),
|
|
263
|
-
confidenceIntervalMaxSize: new BN(20000),
|
|
264
|
-
tooVolatileRatio: new BN(5),
|
|
265
|
-
},
|
|
266
|
-
};
|
|
267
|
-
|
|
268
|
-
const slot = 1000;
|
|
269
|
-
|
|
270
|
-
function makeValidMarketAndState() {
|
|
271
|
-
const market = _.cloneDeep(mockPerpMarkets[0]);
|
|
272
|
-
market.pausedOperations = 0;
|
|
273
|
-
market.marketStats.historicalOracleData.lastOraclePriceTwap = new BN(
|
|
274
|
-
100
|
|
275
|
-
).mul(PRICE_PRECISION);
|
|
276
|
-
market.marketStats.historicalOracleData.lastOraclePriceTwap5Min = new BN(
|
|
277
|
-
100
|
|
278
|
-
).mul(PRICE_PRECISION);
|
|
279
|
-
const state = { oracleGuardRails: guardRails } as StateAccount;
|
|
280
|
-
return { market, state };
|
|
281
|
-
}
|
|
282
|
-
|
|
283
|
-
// A fresh, on-price MM oracle => OracleValidity.Valid, so the only thing that
|
|
284
|
-
// can flip availability in these cases is the volatility gate.
|
|
285
|
-
function makeMMData(
|
|
286
|
-
overrides: Partial<MMOraclePriceData>
|
|
287
|
-
): MMOraclePriceData {
|
|
288
|
-
return {
|
|
289
|
-
price: new BN(100).mul(PRICE_PRECISION),
|
|
290
|
-
slot: new BN(slot),
|
|
291
|
-
confidence: new BN(1000),
|
|
292
|
-
hasSufficientNumberOfDataPoints: true,
|
|
293
|
-
isMMOracleActive: true,
|
|
294
|
-
isMMOracleEnabled: true,
|
|
295
|
-
isMMOracleAsRecent: true,
|
|
296
|
-
isMMExchangeDiffBpsHigh: false,
|
|
297
|
-
...overrides,
|
|
298
|
-
};
|
|
299
|
-
}
|
|
300
|
-
|
|
301
|
-
it('is available (baseline) when the mm oracle is valid and diff is within 1%', () => {
|
|
302
|
-
const { market, state } = makeValidMarketAndState();
|
|
303
|
-
const available = isFallbackAvailableLiquiditySource(
|
|
304
|
-
mockOrder,
|
|
305
|
-
makeMMData({}),
|
|
306
|
-
slot,
|
|
307
|
-
state,
|
|
308
|
-
market
|
|
309
|
-
);
|
|
310
|
-
assert(
|
|
311
|
-
available,
|
|
312
|
-
'expected AMM fallback available for a valid, low-diff mm oracle'
|
|
313
|
-
);
|
|
314
|
-
});
|
|
315
|
-
|
|
316
|
-
it('is blocked when mm oracle is enabled, as-recent, and diff > 1%', () => {
|
|
317
|
-
const { market, state } = makeValidMarketAndState();
|
|
318
|
-
const available = isFallbackAvailableLiquiditySource(
|
|
319
|
-
mockOrder,
|
|
320
|
-
makeMMData({ isMMExchangeDiffBpsHigh: true }),
|
|
321
|
-
slot,
|
|
322
|
-
state,
|
|
323
|
-
market
|
|
324
|
-
);
|
|
325
|
-
assert(
|
|
326
|
-
!available,
|
|
327
|
-
'expected AMM fallback blocked by mm-oracle volatility gate'
|
|
328
|
-
);
|
|
329
|
-
});
|
|
330
|
-
|
|
331
|
-
it('is NOT blocked by the volatility gate when the mm oracle is not as-recent (mirrors else{true})', () => {
|
|
332
|
-
const { market, state } = makeValidMarketAndState();
|
|
333
|
-
const available = isFallbackAvailableLiquiditySource(
|
|
334
|
-
mockOrder,
|
|
335
|
-
makeMMData({ isMMExchangeDiffBpsHigh: true, isMMOracleAsRecent: false }),
|
|
336
|
-
slot,
|
|
337
|
-
state,
|
|
338
|
-
market
|
|
339
|
-
);
|
|
340
|
-
assert(
|
|
341
|
-
available,
|
|
342
|
-
'expected volatility gate to not apply when mm oracle is stale'
|
|
343
|
-
);
|
|
344
|
-
});
|
|
345
|
-
|
|
346
|
-
it('is NOT blocked by the volatility gate when the mm oracle is disabled', () => {
|
|
347
|
-
const { market, state } = makeValidMarketAndState();
|
|
348
|
-
const available = isFallbackAvailableLiquiditySource(
|
|
349
|
-
mockOrder,
|
|
350
|
-
makeMMData({ isMMExchangeDiffBpsHigh: true, isMMOracleEnabled: false }),
|
|
351
|
-
slot,
|
|
352
|
-
state,
|
|
353
|
-
market
|
|
354
|
-
);
|
|
355
|
-
assert(
|
|
356
|
-
available,
|
|
357
|
-
'expected volatility gate to not apply when mm oracle disabled'
|
|
358
|
-
);
|
|
359
|
-
});
|
|
360
|
-
|
|
361
|
-
it('skips the volatility gate when the flags are absent (backward compat)', () => {
|
|
362
|
-
const { market, state } = makeValidMarketAndState();
|
|
363
|
-
const available = isFallbackAvailableLiquiditySource(
|
|
364
|
-
mockOrder,
|
|
365
|
-
makeMMData({
|
|
366
|
-
isMMOracleEnabled: undefined,
|
|
367
|
-
isMMOracleAsRecent: undefined,
|
|
368
|
-
isMMExchangeDiffBpsHigh: undefined,
|
|
369
|
-
}),
|
|
370
|
-
slot,
|
|
371
|
-
state,
|
|
372
|
-
market
|
|
373
|
-
);
|
|
374
|
-
assert(
|
|
375
|
-
available,
|
|
376
|
-
'expected gate skipped when mm volatility flags unpopulated'
|
|
377
|
-
);
|
|
378
|
-
});
|
|
379
|
-
});
|
|
@@ -1,76 +0,0 @@
|
|
|
1
|
-
import * as pythClientLib from '@pythnetwork/client';
|
|
2
|
-
import * as sinon from 'sinon';
|
|
3
|
-
import { PythClient } from '../../src/oracles/pythClient';
|
|
4
|
-
import { PythLazerClient } from '../../src/oracles/pythLazerClient';
|
|
5
|
-
import { BN, QUOTE_PRECISION } from '../../src';
|
|
6
|
-
import { assert } from '../../src/assert/assert';
|
|
7
|
-
|
|
8
|
-
// Program's `get_pyth_stable_coin_price` snaps to peg when
|
|
9
|
-
// `|price - QUOTE_PRECISION| <= min(confidence, five_bps)` (note `<=`, not `<`).
|
|
10
|
-
describe('Pyth stablecoin peg-snap boundary', () => {
|
|
11
|
-
afterEach(() => {
|
|
12
|
-
sinon.restore();
|
|
13
|
-
});
|
|
14
|
-
|
|
15
|
-
describe('PythClient', () => {
|
|
16
|
-
function stubParsePriceData(priceAboveQuote: number, confidence: number) {
|
|
17
|
-
sinon.stub(pythClientLib, 'parsePriceData').returns({
|
|
18
|
-
exponent: -6,
|
|
19
|
-
aggregate: { price: 1 + priceAboveQuote / 1_000_000 },
|
|
20
|
-
confidence: confidence / 1_000_000,
|
|
21
|
-
twap: { value: 1 },
|
|
22
|
-
twac: { value: 0 },
|
|
23
|
-
lastSlot: { toString: () => '1' },
|
|
24
|
-
numComponentPrices: 3,
|
|
25
|
-
numQuoters: 3,
|
|
26
|
-
} as any);
|
|
27
|
-
}
|
|
28
|
-
|
|
29
|
-
it('snaps to peg exactly at the confidence bound', () => {
|
|
30
|
-
// spread == min(confidence, fiveBPS) == 500 exactly
|
|
31
|
-
stubParsePriceData(500, 1000);
|
|
32
|
-
const client = new PythClient({} as any, undefined, true);
|
|
33
|
-
const data = client.getOraclePriceDataFromBuffer(Buffer.alloc(1));
|
|
34
|
-
assert(data.price.eq(QUOTE_PRECISION));
|
|
35
|
-
});
|
|
36
|
-
|
|
37
|
-
it('does not snap just past the confidence bound', () => {
|
|
38
|
-
stubParsePriceData(501, 1000);
|
|
39
|
-
const client = new PythClient({} as any, undefined, true);
|
|
40
|
-
const data = client.getOraclePriceDataFromBuffer(Buffer.alloc(1));
|
|
41
|
-
assert(!data.price.eq(QUOTE_PRECISION));
|
|
42
|
-
assert(data.price.eq(QUOTE_PRECISION.add(new BN(501))));
|
|
43
|
-
});
|
|
44
|
-
});
|
|
45
|
-
|
|
46
|
-
describe('PythLazerClient', () => {
|
|
47
|
-
function makeClient(priceAboveQuote: number, confidence: number) {
|
|
48
|
-
const client = new PythLazerClient(
|
|
49
|
-
{ commitment: 'confirmed' } as any,
|
|
50
|
-
undefined,
|
|
51
|
-
true
|
|
52
|
-
);
|
|
53
|
-
(client as any).decodeFunc = () => ({
|
|
54
|
-
price: QUOTE_PRECISION.add(new BN(priceAboveQuote)),
|
|
55
|
-
conf: new BN(confidence),
|
|
56
|
-
exponent: -6,
|
|
57
|
-
postedSlot: new BN(1),
|
|
58
|
-
publishTime: new BN(1),
|
|
59
|
-
});
|
|
60
|
-
return client;
|
|
61
|
-
}
|
|
62
|
-
|
|
63
|
-
it('snaps to peg exactly at the confidence bound', () => {
|
|
64
|
-
const client = makeClient(500, 1000);
|
|
65
|
-
const data = client.getOraclePriceDataFromBuffer(Buffer.alloc(1));
|
|
66
|
-
assert(data.price.eq(QUOTE_PRECISION));
|
|
67
|
-
});
|
|
68
|
-
|
|
69
|
-
it('does not snap just past the confidence bound', () => {
|
|
70
|
-
const client = makeClient(501, 1000);
|
|
71
|
-
const data = client.getOraclePriceDataFromBuffer(Buffer.alloc(1));
|
|
72
|
-
assert(!data.price.eq(QUOTE_PRECISION));
|
|
73
|
-
assert(data.price.eq(QUOTE_PRECISION.add(new BN(501))));
|
|
74
|
-
});
|
|
75
|
-
});
|
|
76
|
-
});
|