@drift-labs/sdk - npm Package Compare versions

Comparing version 2.12.0-beta.0 to 2.12.0-beta.1

lib/examples/makeTradeExample.js

@@ -14,6 +14,6 @@ "use strict";
 exports.getTokenAddress = getTokenAddress;
-const cluster = 'devnet';
+const env = 'devnet';
 const main = async () => {
     // Initialize Drift SDK
-    const sdkConfig = (0, __2.initialize)({ env: cluster });
+    const sdkConfig = (0, __2.initialize)({ env });
     // Set up the Wallet and Provider
@@ -40,3 +40,3 @@ const privateKey = process.env.BOT_PRIVATE_KEY; // stored as an array string
         programID: driftPublicKey,
-        ...(0, __2.getMarketsAndOraclesForSubscription)(cluster),
+        ...(0, __2.getMarketsAndOraclesForSubscription)(env),
         accountSubscription: {
@@ -48,3 +48,3 @@ type: 'polling',
     await driftClient.subscribe();
-    // Set up Clearing House user client
+    // Set up user client
     const user = new __2.User({
@@ -58,3 +58,3 @@ driftClient: driftClient,
     });
-    //// Check if clearing house account exists for the current wallet
+    //// Check if user account exists for the current wallet
     const userAccountExists = await user.exists();
@@ -69,19 +69,18 @@ if (!userAccountExists) {
     const solMarketInfo = sdkConfig.PERP_MARKETS.find((market) => market.baseAssetSymbol === 'SOL');
-    const currentMarketPrice = (0, __2.calculateReservePrice)(driftClient.getPerpMarketAccount(solMarketInfo.marketIndex), undefined);
-    const formattedPrice = (0, __2.convertToNumber)(currentMarketPrice, __2.PRICE_PRECISION);
-    console.log(`Current Market Price is $${formattedPrice}`);
+    const marketIndex = solMarketInfo.marketIndex;
+    const [bid, ask] = (0, __1.calculateBidAskPrice)(driftClient.getPerpMarketAccount(marketIndex).amm, driftClient.getOracleDataForPerpMarket(marketIndex));
+    const formattedBidPrice = (0, __2.convertToNumber)(bid, __2.PRICE_PRECISION);
+    const formattedAskPrice = (0, __2.convertToNumber)(ask, __2.PRICE_PRECISION);
+    console.log(`Current amm bid and ask price are $${formattedBidPrice} and $${formattedAskPrice}`);
     // Estimate the slippage for a $5000 LONG trade
     const solMarketAccount = driftClient.getPerpMarketAccount(solMarketInfo.marketIndex);
-    const longAmount = new anchor_1.BN(5000).mul(__2.QUOTE_PRECISION);
-    const slippage = (0, __2.convertToNumber)((0, __2.calculateTradeSlippage)(__2.PositionDirection.LONG, longAmount, solMarketAccount, 'quote', driftClient.getOracleDataForPerpMarket(solMarketInfo.marketIndex))[0], __2.PRICE_PRECISION);
-    console.log(`Slippage for a $5000 LONG on the SOL market would be $${slippage}`);
-    // Make a $5000 LONG trade
-    await driftClient.openPosition(__2.PositionDirection.LONG, longAmount, solMarketInfo.marketIndex);
-    console.log(`LONGED $5000 SOL`);
-    // Reduce the position by $2000
-    const reduceAmount = new anchor_1.BN(2000).mul(__2.QUOTE_PRECISION);
-    await driftClient.openPosition(__2.PositionDirection.SHORT, reduceAmount, solMarketInfo.marketIndex);
-    // Close the rest of the position
-    await driftClient.closePosition(solMarketInfo.marketIndex);
+    const slippage = (0, __2.convertToNumber)((0, __2.calculateTradeSlippage)(__2.PositionDirection.LONG, new anchor_1.BN(1).mul(__1.BASE_PRECISION), solMarketAccount, 'base', driftClient.getOracleDataForPerpMarket(solMarketInfo.marketIndex))[0], __2.PRICE_PRECISION);
+    console.log(`Slippage for a 1 SOL-PERP would be $${slippage}`);
+    await driftClient.placePerpOrder((0, __1.getMarketOrderParams)({
+        baseAssetAmount: new anchor_1.BN(1).mul(__1.BASE_PRECISION),
+        direction: __2.PositionDirection.LONG,
+        marketIndex: solMarketAccount.marketIndex,
+    }));
+    console.log(`Placed a 1 SOL-PERP LONG order`);
 };
 main();

lib/math/trade.d.ts

@@ -6,2 +6,3 @@ /// <reference types="bn.js" />
 import { OraclePriceData } from '../oracles/types';
+import { DLOB } from '../dlob/DLOB';
 export declare type PriceImpactUnit = 'entryPrice' | 'maxPrice' | 'priceDelta' | 'priceDeltaAsNumber' | 'pctAvg' | 'pctMax' | 'quoteAssetAmount' | 'quoteAssetAmountPeg' | 'acquiredBaseAssetAmount' | 'acquiredQuoteAssetAmount' | 'all';
@@ -56,1 +57,15 @@ /**
 export declare function calculateTargetPriceTrade(market: PerpMarketAccount, targetPrice: BN, pct?: BN, outputAssetType?: AssetType, oraclePriceData?: OraclePriceData, useSpread?: boolean): [PositionDirection, BN, BN, BN];
+/**
+ * Calculates the estimated entry price and price impact of order, in base or quote
+ * Price impact is based on the difference between the entry price and the best bid/ask price (whether it's dlob or vamm)
+ *
+ * @param assetType
+ * @param amount
+ * @param direction
+ * @param market
+ * @param oraclePriceData
+ * @param dlob
+ * @param slot
+ * @param minPerpAuctionDuration
+ */
+export declare function calculateEstimatedPerpEntryPrice(assetType: AssetType, amount: BN, direction: PositionDirection, market: PerpMarketAccount, oraclePriceData: OraclePriceData, dlob: DLOB, slot: number, minPerpAuctionDuration: number): [BN, BN];

lib/math/trade.js

 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateTargetPriceTrade = exports.calculateTradeAcquiredAmounts = exports.calculateTradeSlippage = void 0;
+exports.calculateEstimatedPerpEntryPrice = exports.calculateTargetPriceTrade = exports.calculateTradeAcquiredAmounts = exports.calculateTradeSlippage = void 0;
 const types_1 = require("../types");
@@ -250,1 +250,135 @@ const anchor_1 = require("@project-serum/anchor");
 exports.calculateTargetPriceTrade = calculateTargetPriceTrade;
+/**
+ * Calculates the estimated entry price and price impact of order, in base or quote
+ * Price impact is based on the difference between the entry price and the best bid/ask price (whether it's dlob or vamm)
+ *
+ * @param assetType
+ * @param amount
+ * @param direction
+ * @param market
+ * @param oraclePriceData
+ * @param dlob
+ * @param slot
+ * @param minPerpAuctionDuration
+ */
+function calculateEstimatedPerpEntryPrice(assetType, amount, direction, market, oraclePriceData, dlob, slot, minPerpAuctionDuration) {
+    if (amount.eq(numericConstants_1.ZERO)) {
+        return [numericConstants_1.ZERO, numericConstants_1.ZERO];
+    }
+    const takerIsLong = (0, types_2.isVariant)(direction, 'long');
+    const limitOrders = dlob[takerIsLong ? 'getRestingLimitAsks' : 'getRestingLimitBids'](market.marketIndex, slot, types_1.MarketType.PERP, oraclePriceData, minPerpAuctionDuration);
+    const swapDirection = (0, amm_1.getSwapDirection)(assetType, direction);
+    const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } = (0, amm_1.calculateUpdatedAMMSpreadReserves)(market.amm, direction, oraclePriceData);
+    const amm = {
+        baseAssetReserve,
+        quoteAssetReserve,
+        sqrtK: sqrtK,
+        pegMultiplier: newPeg,
+    };
+    const invariant = amm.sqrtK.mul(amm.sqrtK);
+    let initialPrice = (0, amm_1.calculatePrice)(amm.baseAssetReserve, amm.quoteAssetReserve, amm.pegMultiplier);
+    let cumulativeBaseFilled = numericConstants_1.ZERO;
+    let cumulativeQuoteFilled = numericConstants_1.ZERO;
+    let limitOrder = limitOrders.next().value;
+    if (limitOrder) {
+        const limitOrderPrice = limitOrder.getPrice(oraclePriceData, slot);
+        initialPrice = takerIsLong
+            ? anchor_1.BN.min(limitOrderPrice, initialPrice)
+            : anchor_1.BN.max(limitOrderPrice, initialPrice);
+    }
+    if (assetType === 'base') {
+        while (!cumulativeBaseFilled.eq(amount)) {
+            const limitOrderPrice = limitOrder === null || limitOrder === void 0 ? void 0 : limitOrder.getPrice(oraclePriceData, slot);
+            let maxAmmFill;
+            if (limitOrderPrice) {
+                const newBaseReserves = (0, utils_1.squareRootBN)(invariant
+                    .mul(numericConstants_1.PRICE_PRECISION)
+                    .mul(amm.pegMultiplier)
+                    .div(limitOrderPrice)
+                    .div(numericConstants_1.PEG_PRECISION));
+                // will be zero if the limit order price is better than the amm price
+                maxAmmFill = takerIsLong
+                    ? amm.baseAssetReserve.sub(newBaseReserves)
+                    : newBaseReserves.sub(amm.baseAssetReserve);
+            }
+            else {
+                maxAmmFill = amount.sub(cumulativeBaseFilled);
+            }
+            if (maxAmmFill.gt(numericConstants_1.ZERO)) {
+                const baseFilled = anchor_1.BN.min(amount.sub(cumulativeBaseFilled), maxAmmFill);
+                const [afterSwapQuoteReserves, afterSwapBaseReserves] = (0, amm_1.calculateAmmReservesAfterSwap)(amm, 'base', baseFilled, swapDirection);
+                const quoteFilled = (0, amm_1.calculateQuoteAssetAmountSwapped)(amm.quoteAssetReserve.sub(afterSwapQuoteReserves).abs(), amm.pegMultiplier, swapDirection);
+                cumulativeBaseFilled = cumulativeBaseFilled.add(baseFilled);
+                cumulativeQuoteFilled = cumulativeQuoteFilled.add(quoteFilled);
+                amm.baseAssetReserve = afterSwapBaseReserves;
+                amm.quoteAssetReserve = afterSwapQuoteReserves;
+                if (cumulativeBaseFilled.eq(amount)) {
+                    break;
+                }
+            }
+            const baseFilled = anchor_1.BN.min(limitOrder.order.baseAssetAmount.sub(limitOrder.order.baseAssetAmountFilled), amount.sub(cumulativeBaseFilled));
+            const quoteFilled = baseFilled.mul(limitOrderPrice).div(numericConstants_1.BASE_PRECISION);
+            cumulativeBaseFilled = cumulativeBaseFilled.add(baseFilled);
+            cumulativeQuoteFilled = cumulativeQuoteFilled.add(quoteFilled);
+            if (cumulativeBaseFilled.eq(amount)) {
+                break;
+            }
+            limitOrder = limitOrders.next().value;
+        }
+    }
+    else {
+        while (!cumulativeQuoteFilled.eq(amount)) {
+            const limitOrderPrice = limitOrder === null || limitOrder === void 0 ? void 0 : limitOrder.getPrice(oraclePriceData, slot);
+            let maxAmmFill;
+            if (limitOrderPrice) {
+                const newQuoteReserves = (0, utils_1.squareRootBN)(invariant
+                    .mul(numericConstants_1.PEG_PRECISION)
+                    .mul(limitOrderPrice)
+                    .div(amm.pegMultiplier)
+                    .div(numericConstants_1.PRICE_PRECISION));
+                // will be zero if the limit order price is better than the amm price
+                maxAmmFill = takerIsLong
+                    ? newQuoteReserves.sub(amm.quoteAssetReserve)
+                    : amm.quoteAssetReserve.sub(newQuoteReserves);
+            }
+            else {
+                maxAmmFill = amount.sub(cumulativeQuoteFilled);
+            }
+            if (maxAmmFill.gt(numericConstants_1.ZERO)) {
+                const quoteFilled = anchor_1.BN.min(amount.sub(cumulativeQuoteFilled), maxAmmFill);
+                const [afterSwapQuoteReserves, afterSwapBaseReserves] = (0, amm_1.calculateAmmReservesAfterSwap)(amm, 'quote', quoteFilled, swapDirection);
+                const baseFilled = afterSwapBaseReserves
+                    .sub(amm.baseAssetReserve)
+                    .abs();
+                cumulativeBaseFilled = cumulativeBaseFilled.add(baseFilled);
+                cumulativeQuoteFilled = cumulativeQuoteFilled.add(quoteFilled);
+                amm.baseAssetReserve = afterSwapBaseReserves;
+                amm.quoteAssetReserve = afterSwapQuoteReserves;
+                if (cumulativeQuoteFilled.eq(amount)) {
+                    break;
+                }
+            }
+            const quoteFilled = anchor_1.BN.min(limitOrder.order.baseAssetAmount
+                .sub(limitOrder.order.baseAssetAmountFilled)
+                .mul(limitOrderPrice)
+                .div(numericConstants_1.BASE_PRECISION), amount.sub(cumulativeQuoteFilled));
+            const baseFilled = quoteFilled.mul(numericConstants_1.BASE_PRECISION).div(limitOrderPrice);
+            cumulativeBaseFilled = cumulativeBaseFilled.add(baseFilled);
+            cumulativeQuoteFilled = cumulativeQuoteFilled.add(quoteFilled);
+            if (cumulativeQuoteFilled.eq(amount)) {
+                break;
+            }
+            limitOrder = limitOrders.next().value;
+        }
+    }
+    const entryPrice = cumulativeQuoteFilled
+        .mul(numericConstants_1.BASE_PRECISION)
+        .div(cumulativeBaseFilled);
+    const priceImpact = entryPrice
+        .sub(initialPrice)
+        .mul(numericConstants_1.PRICE_PRECISION)
+        .div(initialPrice)
+        .abs();
+    return [entryPrice, priceImpact];
+}
+exports.calculateEstimatedPerpEntryPrice = calculateEstimatedPerpEntryPrice;

package.json

 {
 	"name": "@drift-labs/sdk",
-	"version": "2.12.0-beta.0",
+	"version": "2.12.0-beta.1",
 	"main": "lib/index.js",
@@ -5,0 +5,0 @@ "types": "lib/index.d.ts",

README.md

@@ -14,10 +14,2 @@ <div align="center">
 
-# Drift Protocol v2
-
-This repository provides open source access to Drift's Typescript SDK, Solana Programs, and more.
-
-# SDK Guide
-
-The technical documentation for the SDK can be found [here](https://drift-labs.github.io/protocol-v2/sdk/), and you can visit Drift's general purpose documentation [here](https://docs.drift.trade/sdk-documentation).
-
 ## Installation
@@ -88,3 +80,3 @@
 ```typescript
-import { BN, Provider } from '@project-serum/anchor';
+import { AnchorProvider, BN } from '@project-serum/anchor';
 import { Token, TOKEN_PROGRAM_ID } from '@solana/spl-token';
@@ -97,3 +89,2 @@ import { Connection, Keypair, PublicKey } from '@solana/web3.js';
 	initialize,
-	Markets,
 	PositionDirection,
@@ -105,3 +96,8 @@ convertToNumber,
 	Wallet,
-} from '@drift-labs/sdk';
+	PerpMarkets,
+	BASE_PRECISION,
+	getMarketOrderParams,
+	BulkAccountLoader,
+	getMarketsAndOraclesForSubscription
+} from '../sdk';
 
@@ -121,4 +117,5 @@ export const getTokenAddress = (
 const main = async () => {
+	const env = 'devnet';
 	// Initialize Drift SDK
-	const sdkConfig = initialize({ env: 'devnet' });
+	const sdkConfig = initialize({ env });
 
@@ -137,3 +134,7 @@ // Set up the Wallet and Provider
 	// Set up the Provider
-	const provider = new Provider(connection, wallet, Provider.defaultOptions());
+	const provider = new AnchorProvider(
+		connection,
+		wallet,
+		AnchorProvider.defaultOptions()
+	);
 
@@ -151,14 +152,31 @@ // Check SOL Balance
 	// Set up the Drift Client
-	const driftClientPublicKey = new PublicKey(sdkConfig.DRIFT_PROGRAM_ID);
-	const driftClient = DriftClient.from(
+	const driftPublicKey = new PublicKey(sdkConfig.DRIFT_PROGRAM_ID);
+	const bulkAccountLoader = new BulkAccountLoader(
 		connection,
-		provider.wallet,
-		driftClientPublicKey
+		'confirmed',
+		1000
 	);
+	const driftClient = new DriftClient({
+		connection,
+		wallet: provider.wallet,
+		programID: driftPublicKey,
+		...getMarketsAndOraclesForSubscription(env),
+		accountSubscription: {
+			type: 'polling',
+			accountLoader: bulkAccountLoader,
+		},
+	});
 	await driftClient.subscribe();
 
-	// Set up Clearing House user client
-	const user = User.from(driftClient, wallet.publicKey);
+	// Set up user client
+	const user = new User({
+		driftClient: driftClient,
+		userAccountPublicKey: await driftClient.getUserAccountPublicKey(),
+		accountSubscription: {
+			type: 'polling',
+			accountLoader: bulkAccountLoader,
+		},
+	});
 
-	//// Check if clearing house account exists for the current wallet
+	//// Check if user account exists for the current wallet
 	const userAccountExists = await user.exists();
@@ -181,16 +199,22 @@
 	// Get current price
-	const solMarketInfo = Markets.find(
+	const solMarketInfo = PerpMarkets[env].find(
 		(market) => market.baseAssetSymbol === 'SOL'
 	);
 
-	const currentMarketPrice = calculateReservePrice(
-		driftClient.getMarket(solMarketInfo.marketIndex)
+	const [bid, ask] = calculateBidAskPrice(
+		driftClient.getPerpMarketAccount(marketIndex).amm,
+		driftClient.getOracleDataForPerpMarket(marketIndex)
 	);
 
-	const formattedPrice = convertToNumber(currentMarketPrice, PRICE_PRECISION);
+	const formattedBidPrice = convertToNumber(bid, PRICE_PRECISION);
+	const formattedAskPrice = convertToNumber(ask, PRICE_PRECISION);
 
-	console.log(`Current Market Price is $${formattedPrice}`);
+	console.log(
+		`Current amm bid and ask price are $${formattedBidPrice} and $${formattedAskPrice}`
+	);
 
 	// Estimate the slippage for a $5000 LONG trade
-	const solMarketAccount = driftClient.getMarket(solMarketInfo.marketIndex);
+	const solMarketAccount = driftClient.getPerpMarketAccount(
+		solMarketInfo.marketIndex
+	);
 
@@ -200,4 +224,6 @@ const slippage = convertToNumber(
 			PositionDirection.LONG,
-			new BN(5000).mul(QUOTE_PRECISION),
-			solMarketAccount
+			new BN(1).mul(BASE_PRECISION),
+			solMarketAccount,
+			'base',
+			driftClient.getOracleDataForPerpMarket(solMarketInfo.marketIndex)
 		)[0],
@@ -207,23 +233,12 @@ PRICE_PRECISION
 
-	console.log(
-		`Slippage for a $5000 LONG on the SOL market would be $${slippage}`
-	);
+	console.log(`Slippage for a 1 SOL-PERP would be $${slippage}`);
 
-	// Make a $5000 LONG trade
-	await driftClient.openPosition(
-		PositionDirection.LONG,
-		new BN(5000).mul(QUOTE_PRECISION),
-		solMarketInfo.marketIndex
+	await driftClient.placePerpOrder(
+		getMarketOrderParams({
+			baseAssetAmount: new BN(1).mul(BASE_PRECISION),
+			direction: PositionDirection.LONG,
+			marketIndex: solMarketAccount.marketIndex,
+		})
 	);
-	console.log(`LONGED $5000 worth of SOL`);
-
-	// Reduce the position by $2000
-	await driftClient.openPosition(
-		PositionDirection.SHORT,
-		new BN(2000).mul(QUOTE_PRECISION),
-		solMarketInfo.marketIndex
-	);
-
-	// Close the rest of the position
-	await driftClient.closePosition(solMarketInfo.marketIndex);
+	console.log(`Placed a 1 SOL-PERP LONG order`);
 };
@@ -230,0 +245,0 @@

src/examples/makeTradeExample.ts

 import { AnchorProvider, BN } from '@project-serum/anchor';
-import { Wallet } from '..';
+import {
+	BASE_PRECISION,
+	calculateBidAskPrice,
+	getMarketOrderParams,
+	Wallet,
+} from '..';
 import { Token, TOKEN_PROGRAM_ID } from '@solana/spl-token';
 import { Connection, Keypair, PublicKey } from '@solana/web3.js';
 import {
-	calculateReservePrice,
 	DriftClient,
@@ -32,7 +36,7 @@ User,
 
-const cluster = 'devnet';
+const env = 'devnet';
 
 const main = async () => {
 	// Initialize Drift SDK
-	const sdkConfig = initialize({ env: cluster });
+	const sdkConfig = initialize({ env });
 
@@ -78,3 +82,3 @@ // Set up the Wallet and Provider
 		programID: driftPublicKey,
-		...getMarketsAndOraclesForSubscription(cluster),
+		...getMarketsAndOraclesForSubscription(env),
 		accountSubscription: {
@@ -87,3 +91,3 @@ type: 'polling',
 
-	// Set up Clearing House user client
+	// Set up user client
 	const user = new User({
@@ -98,3 +102,3 @@ driftClient: driftClient,
 
-	//// Check if clearing house account exists for the current wallet
+	//// Check if user account exists for the current wallet
 	const userAccountExists = await user.exists();
@@ -122,10 +126,14 @@
 
-	const currentMarketPrice = calculateReservePrice(
-		driftClient.getPerpMarketAccount(solMarketInfo.marketIndex),
-		undefined
+	const marketIndex = solMarketInfo.marketIndex;
+	const [bid, ask] = calculateBidAskPrice(
+		driftClient.getPerpMarketAccount(marketIndex).amm,
+		driftClient.getOracleDataForPerpMarket(marketIndex)
 	);
 
-	const formattedPrice = convertToNumber(currentMarketPrice, PRICE_PRECISION);
+	const formattedBidPrice = convertToNumber(bid, PRICE_PRECISION);
+	const formattedAskPrice = convertToNumber(ask, PRICE_PRECISION);
 
-	console.log(`Current Market Price is $${formattedPrice}`);
+	console.log(
+		`Current amm bid and ask price are $${formattedBidPrice} and $${formattedAskPrice}`
+	);
 
@@ -137,9 +145,8 @@ // Estimate the slippage for a $5000 LONG trade
 
-	const longAmount = new BN(5000).mul(QUOTE_PRECISION);
 	const slippage = convertToNumber(
 		calculateTradeSlippage(
 			PositionDirection.LONG,
-			longAmount,
+			new BN(1).mul(BASE_PRECISION),
 			solMarketAccount,
-			'quote',
+			'base',
 			driftClient.getOracleDataForPerpMarket(solMarketInfo.marketIndex)
@@ -150,26 +157,14 @@ )[0],
 
-	console.log(
-		`Slippage for a $5000 LONG on the SOL market would be $${slippage}`
-	);
+	console.log(`Slippage for a 1 SOL-PERP would be $${slippage}`);
 
-	// Make a $5000 LONG trade
-	await driftClient.openPosition(
-		PositionDirection.LONG,
-		longAmount,
-		solMarketInfo.marketIndex
+	await driftClient.placePerpOrder(
+		getMarketOrderParams({
+			baseAssetAmount: new BN(1).mul(BASE_PRECISION),
+			direction: PositionDirection.LONG,
+			marketIndex: solMarketAccount.marketIndex,
+		})
 	);
-	console.log(`LONGED $5000 SOL`);
-
-	// Reduce the position by $2000
-	const reduceAmount = new BN(2000).mul(QUOTE_PRECISION);
-	await driftClient.openPosition(
-		PositionDirection.SHORT,
-		reduceAmount,
-		solMarketInfo.marketIndex
-	);
-
-	// Close the rest of the position
-	await driftClient.closePosition(solMarketInfo.marketIndex);
+	console.log(`Placed a 1 SOL-PERP LONG order`);
 };
 
 main();

src/math/trade.ts

@@ -1,2 +0,2 @@
-import { PerpMarketAccount, PositionDirection } from '../types';
+import { MarketType, PerpMarketAccount, PositionDirection } from '../types';
 import { BN } from '@project-serum/anchor';
@@ -9,2 +9,3 @@ import { assert } from '../assert/assert';
 	ZERO,
+	BASE_PRECISION,
 } from '../constants/numericConstants';
@@ -27,2 +28,3 @@ import {
 import { OraclePriceData } from '../oracles/types';
+import { DLOB } from '../dlob/DLOB';
 
@@ -354,1 +356,214 @@ const MAXPCT = new BN(1000); //percentage units are [0,1000] => [0,1]
 }
+
+/**
+ * Calculates the estimated entry price and price impact of order, in base or quote
+ * Price impact is based on the difference between the entry price and the best bid/ask price (whether it's dlob or vamm)
+ *
+ * @param assetType
+ * @param amount
+ * @param direction
+ * @param market
+ * @param oraclePriceData
+ * @param dlob
+ * @param slot
+ * @param minPerpAuctionDuration
+ */
+export function calculateEstimatedPerpEntryPrice(
+	assetType: AssetType,
+	amount: BN,
+	direction: PositionDirection,
+	market: PerpMarketAccount,
+	oraclePriceData: OraclePriceData,
+	dlob: DLOB,
+	slot: number,
+	minPerpAuctionDuration: number
+): [BN, BN] {
+	if (amount.eq(ZERO)) {
+		return [ZERO, ZERO];
+	}
+
+	const takerIsLong = isVariant(direction, 'long');
+	const limitOrders = dlob[
+		takerIsLong ? 'getRestingLimitAsks' : 'getRestingLimitBids'
+	](
+		market.marketIndex,
+		slot,
+		MarketType.PERP,
+		oraclePriceData,
+		minPerpAuctionDuration
+	);
+
+	const swapDirection = getSwapDirection(assetType, direction);
+
+	const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } =
+		calculateUpdatedAMMSpreadReserves(market.amm, direction, oraclePriceData);
+	const amm = {
+		baseAssetReserve,
+		quoteAssetReserve,
+		sqrtK: sqrtK,
+		pegMultiplier: newPeg,
+	};
+
+	const invariant = amm.sqrtK.mul(amm.sqrtK);
+
+	let initialPrice = calculatePrice(
+		amm.baseAssetReserve,
+		amm.quoteAssetReserve,
+		amm.pegMultiplier
+	);
+
+	let cumulativeBaseFilled = ZERO;
+	let cumulativeQuoteFilled = ZERO;
+
+	let limitOrder = limitOrders.next().value;
+	if (limitOrder) {
+		const limitOrderPrice = limitOrder.getPrice(oraclePriceData, slot);
+		initialPrice = takerIsLong
+			? BN.min(limitOrderPrice, initialPrice)
+			: BN.max(limitOrderPrice, initialPrice);
+	}
+
+	if (assetType === 'base') {
+		while (!cumulativeBaseFilled.eq(amount)) {
+			const limitOrderPrice = limitOrder?.getPrice(oraclePriceData, slot);
+
+			let maxAmmFill: BN;
+			if (limitOrderPrice) {
+				const newBaseReserves = squareRootBN(
+					invariant
+						.mul(PRICE_PRECISION)
+						.mul(amm.pegMultiplier)
+						.div(limitOrderPrice)
+						.div(PEG_PRECISION)
+				);
+
+				// will be zero if the limit order price is better than the amm price
+				maxAmmFill = takerIsLong
+					? amm.baseAssetReserve.sub(newBaseReserves)
+					: newBaseReserves.sub(amm.baseAssetReserve);
+			} else {
+				maxAmmFill = amount.sub(cumulativeBaseFilled);
+			}
+
+			if (maxAmmFill.gt(ZERO)) {
+				const baseFilled = BN.min(amount.sub(cumulativeBaseFilled), maxAmmFill);
+				const [afterSwapQuoteReserves, afterSwapBaseReserves] =
+					calculateAmmReservesAfterSwap(amm, 'base', baseFilled, swapDirection);
+
+				const quoteFilled = calculateQuoteAssetAmountSwapped(
+					amm.quoteAssetReserve.sub(afterSwapQuoteReserves).abs(),
+					amm.pegMultiplier,
+					swapDirection
+				);
+
+				cumulativeBaseFilled = cumulativeBaseFilled.add(baseFilled);
+				cumulativeQuoteFilled = cumulativeQuoteFilled.add(quoteFilled);
+
+				amm.baseAssetReserve = afterSwapBaseReserves;
+				amm.quoteAssetReserve = afterSwapQuoteReserves;
+
+				if (cumulativeBaseFilled.eq(amount)) {
+					break;
+				}
+			}
+
+			const baseFilled = BN.min(
+				limitOrder.order.baseAssetAmount.sub(
+					limitOrder.order.baseAssetAmountFilled
+				),
+				amount.sub(cumulativeBaseFilled)
+			);
+			const quoteFilled = baseFilled.mul(limitOrderPrice).div(BASE_PRECISION);
+
+			cumulativeBaseFilled = cumulativeBaseFilled.add(baseFilled);
+			cumulativeQuoteFilled = cumulativeQuoteFilled.add(quoteFilled);
+
+			if (cumulativeBaseFilled.eq(amount)) {
+				break;
+			}
+
+			limitOrder = limitOrders.next().value;
+		}
+	} else {
+		while (!cumulativeQuoteFilled.eq(amount)) {
+			const limitOrderPrice = limitOrder?.getPrice(oraclePriceData, slot);
+
+			let maxAmmFill: BN;
+			if (limitOrderPrice) {
+				const newQuoteReserves = squareRootBN(
+					invariant
+						.mul(PEG_PRECISION)
+						.mul(limitOrderPrice)
+						.div(amm.pegMultiplier)
+						.div(PRICE_PRECISION)
+				);
+
+				// will be zero if the limit order price is better than the amm price
+				maxAmmFill = takerIsLong
+					? newQuoteReserves.sub(amm.quoteAssetReserve)
+					: amm.quoteAssetReserve.sub(newQuoteReserves);
+			} else {
+				maxAmmFill = amount.sub(cumulativeQuoteFilled);
+			}
+
+			if (maxAmmFill.gt(ZERO)) {
+				const quoteFilled = BN.min(
+					amount.sub(cumulativeQuoteFilled),
+					maxAmmFill
+				);
+				const [afterSwapQuoteReserves, afterSwapBaseReserves] =
+					calculateAmmReservesAfterSwap(
+						amm,
+						'quote',
+						quoteFilled,
+						swapDirection
+					);
+
+				const baseFilled = afterSwapBaseReserves
+					.sub(amm.baseAssetReserve)
+					.abs();
+
+				cumulativeBaseFilled = cumulativeBaseFilled.add(baseFilled);
+				cumulativeQuoteFilled = cumulativeQuoteFilled.add(quoteFilled);
+
+				amm.baseAssetReserve = afterSwapBaseReserves;
+				amm.quoteAssetReserve = afterSwapQuoteReserves;
+
+				if (cumulativeQuoteFilled.eq(amount)) {
+					break;
+				}
+			}
+
+			const quoteFilled = BN.min(
+				limitOrder.order.baseAssetAmount
+					.sub(limitOrder.order.baseAssetAmountFilled)
+					.mul(limitOrderPrice)
+					.div(BASE_PRECISION),
+				amount.sub(cumulativeQuoteFilled)
+			);
+
+			const baseFilled = quoteFilled.mul(BASE_PRECISION).div(limitOrderPrice);
+
+			cumulativeBaseFilled = cumulativeBaseFilled.add(baseFilled);
+			cumulativeQuoteFilled = cumulativeQuoteFilled.add(quoteFilled);
+
+			if (cumulativeQuoteFilled.eq(amount)) {
+				break;
+			}
+
+			limitOrder = limitOrders.next().value;
+		}
+	}
+
+	const entryPrice = cumulativeQuoteFilled
+		.mul(BASE_PRECISION)
+		.div(cumulativeBaseFilled);
+
+	const priceImpact = entryPrice
+		.sub(initialPrice)
+		.mul(PRICE_PRECISION)
+		.div(initialPrice)
+		.abs();
+
+	return [entryPrice, priceImpact];
+}

No alert changes

Improved metrics

Total package byte prevSize

1802496

increased by0.77%

Lines of code

56182

increased by0.6%

Number of lines in readme file

247

increased by6.47%

No dependency changes