import { BN, PEG_PRECISION, PRICE_PRECISION, AMM_RESERVE_PRECISION, QUOTE_PRECISION, PERCENTAGE_PRECISION, calculateSpread, calculateSpreadBN, ZERO, sigNum, ONE, calculateLiveOracleStd, calculateLiveOracleTwap, calculateInventoryScale, calculateAllEstimatedFundingRate, calculateLongShortFundingRateAndLiveTwaps, getVammL2Generator, BASE_PRECISION, PerpMarketAccount, L2Level, calculateUpdatedAMM, calculateMarketOpenBidAsk, calculateSpreadReserves, calculatePrice, BID_ASK_SPREAD_PRECISION, squareRootBN, calculateReferencePriceOffset, calculateInventoryLiquidityRatio, ContractTier, isOracleValid, OracleGuardRails, getNewOracleConfPct, MMOraclePriceData, OraclePriceData, // calculateReservePrice, } from '../../src'; import { mockPerpMarkets } from '../dlob/helpers'; import { assert } from '../../src/assert/assert'; import * as _ from 'lodash'; class AMMSpreadTerms { longVolSpread: number; shortVolSpread: number; longSpreadwPS: number; shortSpreadwPS: number; maxTargetSpread: number; inventorySpreadScale: number; longSpreadwInvScale: number; shortSpreadwInvScale: number; effectiveLeverage: number; effectiveLeverageCapped: number; longSpreadwEL: number; shortSpreadwEL: number; revenueRetreatAmount: number; halfRevenueRetreatAmount: number; longSpreadwRevRetreat: number; shortSpreadwRevRetreat: number; totalSpread: number; longSpread: number; shortSpread: number; } describe('AMM Tests', () => { it('Spread Maths', () => { let iscale = calculateInventoryScale( ZERO, AMM_RESERVE_PRECISION, AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); assert(iscale == 1); iscale = calculateInventoryScale( ONE, AMM_RESERVE_PRECISION, AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); assert(iscale == 1); let baa = new BN(1000); iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); console.log(iscale); assert(iscale == 1.00024); baa = new BN(100000); iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); console.log(iscale); assert(iscale == 1.024); baa = new BN(1000000); iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); console.log(iscale); assert(iscale == 1.24048); baa = new BN(10000000); // 2% iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); console.log(iscale); assert(iscale == 3.44896); baa = new BN(50000000); // 10% iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); console.log(iscale); assert(iscale == 14.33332); baa = AMM_RESERVE_PRECISION.div(new BN(4)); // 50% iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); console.log(iscale); assert(iscale == 120); //100% baa = AMM_RESERVE_PRECISION.div(new BN(4)); // 50% iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 * 2 ); console.log(iscale); assert(iscale == 120 * 2); //100% baa = AMM_RESERVE_PRECISION.div(new BN(5)); // <50% iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 * 2 ); assert(iscale == 160.99984); baa = new BN(855329058); iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION, 250, 30000 ); // >100% assert(iscale == 120); assert(250 * iscale == 30000); iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), // ~85% AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); assert(iscale == 120); assert(250 * iscale == 30000); baa = new BN(-855329058); // ~85% iscale = calculateInventoryScale( baa, AMM_RESERVE_PRECISION.add(baa), AMM_RESERVE_PRECISION.div(new BN(2)), AMM_RESERVE_PRECISION.mul(new BN(3)).div(new BN(2)), 250, 30000 ); assert(iscale == 120); assert(250 * iscale == 30000); // 'bonk' scale iscale = calculateInventoryScale( new BN('30228000000000000'), new BN('2496788386034912600'), new BN('2443167585342470000'), new BN('2545411471321696000'), 3500, 100000 ); console.log(iscale); console.log((3500 * iscale) / 1e6); assert(iscale == 18.762285); assert((3500 * iscale) / 1e6 == 0.06566799749999999); //6.5% }); it('Various Spreads', () => { const baseSpread: number = 0.025 * 1e6; const lastOracleReservePriceSpreadPct: BN = ZERO; const lastOracleConfPct: BN = ZERO; const maxSpread: number = 0.03 * 1e6; const quoteAssetReserve: BN = new BN( AMM_RESERVE_PRECISION.toNumber() * 100 ); const terminalQuoteAssetReserve: BN = new BN( AMM_RESERVE_PRECISION.toNumber() * 100 ); const pegMultiplier: BN = new BN(13.455 * PEG_PRECISION.toNumber()); const baseAssetAmountWithAmm: BN = ZERO; const reservePrice: BN = new BN(13.455 * PRICE_PRECISION.toNumber()); const totalFeeMinusDistributions: BN = new BN(1); const netRevenueSinceLastFunding: BN = new BN( QUOTE_PRECISION.toNumber() * 2 ); const baseAssetReserve: BN = new BN(AMM_RESERVE_PRECISION.toNumber() * 100); const minBaseAssetReserve: BN = new BN( AMM_RESERVE_PRECISION.toNumber() * 90 ); const maxBaseAssetReserve: BN = new BN( AMM_RESERVE_PRECISION.toNumber() * 110 ); const markStd: BN = new BN(0.45 * PRICE_PRECISION.toNumber()); const oracleStd: BN = new BN(0.55 * PRICE_PRECISION.toNumber()); const longIntensity: BN = new BN(QUOTE_PRECISION.toNumber() * 20); const shortIntensity: BN = new BN(QUOTE_PRECISION.toNumber() * 2); const volume24H: BN = new BN(QUOTE_PRECISION.toNumber() * 25); const spreads = calculateSpreadBN( baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions, netRevenueSinceLastFunding, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve, markStd, oracleStd, longIntensity, shortIntensity, volume24H, 0 ); const l1 = spreads[0]; const s1 = spreads[1]; // eslint-disable-next-line @typescript-eslint/ban-ts-comment // @ts-ignore const terms1: AMMSpreadTerms = calculateSpreadBN( baseSpread, lastOracleReservePriceSpreadPct, lastOracleConfPct, maxSpread, quoteAssetReserve, terminalQuoteAssetReserve, pegMultiplier, baseAssetAmountWithAmm, reservePrice, totalFeeMinusDistributions, netRevenueSinceLastFunding, baseAssetReserve, minBaseAssetReserve, maxBaseAssetReserve, markStd, oracleStd, longIntensity, shortIntensity, volume24H, 0, true ); // console.log(terms1); console.log('long/short spread:', l1, s1); assert(l1 == 12500); assert(s1 == 12500); assert(l1 == terms1.longSpread); assert(s1 == terms1.shortSpread); // eslint-disable-next-line @typescript-eslint/ban-ts-comment // @ts-ignore const terms2: AMMSpreadTerms = calculateSpreadBN( 300, new BN(0), new BN(484), 47500, new BN(923807816209694), new BN(925117623772584), new BN(13731157), new BN(-1314027016625), new BN(13667686), new BN(115876379475), new BN(91316628), new BN(928097825691666), new BN(907979542352912), new BN(945977491145601), new BN(161188), // mark std new BN(145963), // oracle std new BN(12358265776), new BN(72230366233), new BN(432067603632), 0, true ); assert(terms2.effectiveLeverageCapped >= 1.0002); assert(terms2.inventorySpreadScale == 8.443219); assert(terms2.longSpread == 150); assert(terms2.shortSpread == 3960); // add spread offset // eslint-disable-next-line @typescript-eslint/ban-ts-comment // @ts-ignore const terms3: AMMSpreadTerms = calculateSpreadBN( 300, new BN(0), new BN(484), 47500, new BN(923807816209694), new BN(925117623772584), new BN(13731157), new BN(-1314027016625), new BN(13667686), new BN(115876379475), new BN(91316628), new BN(928097825691666), new BN(907979542352912), new BN(945977491145601), new BN(161188), new BN(145963), // oracle std new BN(12358265776), new BN(72230366233), new BN(432067603632), 0, true ); // console.log(terms3); assert(terms3.effectiveLeverageCapped >= 1.0002); assert(terms3.inventorySpreadScale == 8.443219); assert(terms3.longSpread == 150); assert(terms3.shortSpread == 3960); assert(terms3.longSpread + terms3.shortSpread == 3960 + 150); // add spread offset // eslint-disable-next-line @typescript-eslint/ban-ts-comment // @ts-ignore const terms4: AMMSpreadTerms = calculateSpreadBN( 300, new BN(0), new BN(484), 47500, new BN(923807816209694), new BN(925117623772584), new BN(13731157), new BN(-1314027016625), new BN(13667686), new BN(115876379475), new BN(91316628), new BN(928097825691666), new BN(907979542352912), new BN(945977491145601), new BN(161188), new BN(1459632439), // oracle std (unchanged) new BN(12358265776), new BN(72230366233), new BN(432067603632), 0, true ); assert(terms4.effectiveLeverageCapped >= 1.0002); assert(terms4.inventorySpreadScale == 1.73492); assert(terms4.longSpread == 89746); assert(terms4.shortSpread == 910254); assert(terms4.longSpread + terms4.shortSpread == 1000000); }); it('Corner Case Spreads', () => { // eslint-disable-next-line @typescript-eslint/ban-ts-comment // @ts-ignore const terms2: AMMSpreadTerms = calculateSpreadBN( 1000, new BN(5555), new BN(1131), 20000, new BN(1009967115003047), new BN(1009811402660255), new BN(13460124), new BN(15328930153), new BN(13667686), new BN(1235066973), new BN(88540713), new BN(994097717724176), new BN(974077854655784), new BN(1014841945381208), new BN(103320), new BN(59975), new BN(768323534), new BN(243875031), new BN(130017761029), 0, true ); assert(terms2.effectiveLeverageCapped <= 1.000001); assert(terms2.inventorySpreadScale == 1.0306); assert(terms2.longSpread == 515); assert(terms2.shortSpread == 5611); const suiExample = { status: 'active', contractType: 'perpetual', contractTier: 'c', expiryTs: '0', expiryPrice: '0', marketIndex: 9, pubkey: '91NsaUmTNNdLGbYtwmoiYSn9SgWHCsZiChfMYMYZ2nQx', name: 'SUI-PERP', amm: { baseAssetReserve: '234381482764434', sqrtK: '109260723000000001', lastFundingRate: '-16416', lastFundingRateTs: '1705845755', lastMarkPriceTwap: '1105972', lastMarkPriceTwap5Min: '1101202', lastMarkPriceTwapTs: '1705846920', lastTradeTs: '1705846920', oracle: '3Qub3HaAJaa2xNY7SUqPKd3vVwTqDfDDkEUMPjXD2c1q', oracleSource: 'pyth', historicalOracleData: { lastOraclePrice: '1099778', lastOracleDelay: '2', lastOracleConf: '0', lastOraclePriceTwap: '1106680', lastOraclePriceTwap5Min: '1102634', lastOraclePriceTwapTs: '1705846920', }, lastOracleReservePriceSpreadPct: '-262785', lastOracleConfPct: '1359', fundingPeriod: '3600', quoteAssetReserve: '50933655038273508156', pegMultiplier: '4', cumulativeFundingRateLong: '186069301', cumulativeFundingRateShort: '186007157', last24HAvgFundingRate: '35147', lastFundingRateShort: '-16416', lastFundingRateLong: '-16416', totalLiquidationFee: '4889264000', totalFeeMinusDistributions: '-29523583393', totalFeeWithdrawn: '5251194706', totalFee: '7896066035', totalFeeEarnedPerLp: '77063238', userLpShares: '109260723000000000', baseAssetAmountWithUnsettledLp: '-762306519581', orderStepSize: '1000000000', orderTickSize: '100', maxFillReserveFraction: '100', maxSlippageRatio: '50', baseSpread: '5000', curveUpdateIntensity: '100', baseAssetAmountWithAmm: '306519581', baseAssetAmountLong: '223405000000000', baseAssetAmountShort: '-224167000000000', quoteAssetAmount: '57945607973', terminalQuoteAssetReserve: '50933588428309274920', concentrationCoef: '1207100', feePool: '[object Object]', totalExchangeFee: '10110336057', totalMmFee: '-1870961568', netRevenueSinceLastFunding: '-141830281', lastUpdateSlot: '243204071', lastOracleNormalisedPrice: '1098594', lastOracleValid: 'true', lastBidPriceTwap: '1105864', lastAskPriceTwap: '1106081', longSpread: '259471', shortSpread: '3314', maxSpread: '29500', baseAssetAmountPerLp: '-11388426214145', quoteAssetAmountPerLp: '13038990874', targetBaseAssetAmountPerLp: '0', ammJitIntensity: '200', maxOpenInterest: '2000000000000000', maxBaseAssetReserve: '282922257844734', minBaseAssetReserve: '194169322578092', totalSocialLoss: '0', quoteBreakEvenAmountLong: '-237442196125', quoteBreakEvenAmountShort: '243508341566', quoteEntryAmountLong: '-234074123777', quoteEntryAmountShort: '240215285058', markStd: '237945', oracleStd: '8086', longIntensityCount: '0', longIntensityVolume: '162204', shortIntensityCount: '995', shortIntensityVolume: '2797331131', volume24H: '91370028405', minOrderSize: '1000000000', maxPositionSize: '0', bidBaseAssetReserve: '234770820775670', bidQuoteAssetReserve: '50849187948657797529', askBaseAssetReserve: '205083797418879', askQuoteAssetReserve: '58209891472312580749', perLpBase: '4', }, numberOfUsersWithBase: '279', numberOfUsers: '436', marginRatioInitial: '1000', marginRatioMaintenance: '500', nextFillRecordId: '69433', nextFundingRateRecordId: '6221', nextCurveRecordId: '1731', pnlPool: { scaledBalance: '61514197782399', marketIndex: '0', }, liquidatorFee: '10000', ifLiquidationFee: '20000', imfFactor: '450', unrealizedPnlImfFactor: '450', unrealizedPnlMaxImbalance: '200000000', unrealizedPnlInitialAssetWeight: '0', unrealizedPnlMaintenanceAssetWeight: '10000', insuranceClaim: { revenueWithdrawSinceLastSettle: '100000000', maxRevenueWithdrawPerPeriod: '100000000', lastRevenueWithdrawTs: '1705846454', quoteSettledInsurance: '164388488', quoteMaxInsurance: '1000000000', }, quoteSpotMarketIndex: '0', feeAdjustment: '0', }; const reservePrice = calculatePrice( new BN(suiExample.amm.baseAssetReserve), new BN(suiExample.amm.quoteAssetReserve), new BN(suiExample.amm.pegMultiplier) ); console.log('reservePrice', reservePrice.toString()); assert(reservePrice.eq(new BN('869243'))); const reservePriceMod = calculatePrice( new BN(suiExample.amm.baseAssetReserve), new BN(suiExample.amm.quoteAssetReserve), new BN(suiExample.amm.pegMultiplier).add(ONE) ); console.log('reservePriceMod', reservePriceMod.toString()); assert(reservePriceMod.eq(new BN('1086554'))); // eslint-disable-next-line @typescript-eslint/ban-ts-comment // @ts-ignore const termsSuiExample: AMMSpreadTerms = calculateSpreadBN( Number(suiExample.amm.baseSpread.toString()), new BN(suiExample.amm.lastOracleReservePriceSpreadPct), new BN(suiExample.amm.lastOracleConfPct), Number(suiExample.amm.maxSpread.toString()), new BN(suiExample.amm.quoteAssetReserve), new BN(suiExample.amm.terminalQuoteAssetReserve), new BN(suiExample.amm.pegMultiplier), new BN(suiExample.amm.baseAssetAmountWithAmm), reservePrice, // reserve price new BN(suiExample.amm.totalFeeMinusDistributions), new BN(suiExample.amm.netRevenueSinceLastFunding), new BN(suiExample.amm.baseAssetReserve), new BN(suiExample.amm.minBaseAssetReserve), new BN(suiExample.amm.maxBaseAssetReserve), new BN(suiExample.amm.markStd), new BN(suiExample.amm.oracleStd), new BN(suiExample.amm.longIntensityVolume), new BN(suiExample.amm.shortIntensityVolume), new BN(suiExample.amm.volume24H), 0, true ); assert(termsSuiExample.effectiveLeverageCapped <= 1.000001); assert(termsSuiExample.inventorySpreadScale == 1.00007); assert( termsSuiExample.longSpread == 269813, `SUI long spread got ${termsSuiExample.longSpread}` ); assert( termsSuiExample.shortSpread == 3925, `SUI short spread got ${termsSuiExample.shortSpread}` ); // reset amm reserves/peg to balanced values s.t. liquidity/price is the same // to avoid error prone int math // eslint-disable-next-line @typescript-eslint/ban-ts-comment // @ts-ignore const termsSuiExampleMod1: AMMSpreadTerms = calculateSpreadBN( Number(suiExample.amm.baseSpread.toString()), ZERO, new BN(suiExample.amm.lastOracleConfPct), Number(suiExample.amm.maxSpread.toString()), new BN(suiExample.amm.quoteAssetReserve), new BN(suiExample.amm.terminalQuoteAssetReserve), new BN(suiExample.amm.pegMultiplier), new BN(suiExample.amm.baseAssetAmountWithAmm), reservePriceMod, // reserve price new BN(suiExample.amm.totalFeeMinusDistributions), new BN(suiExample.amm.netRevenueSinceLastFunding), new BN(suiExample.amm.baseAssetReserve), new BN(suiExample.amm.minBaseAssetReserve), new BN(suiExample.amm.maxBaseAssetReserve), new BN(suiExample.amm.markStd), new BN(suiExample.amm.oracleStd), new BN(suiExample.amm.longIntensityVolume), new BN(suiExample.amm.shortIntensityVolume), new BN(suiExample.amm.volume24H), 0, true ); console.log(termsSuiExampleMod1); // todo: add sdk recenter function? // eslint-disable-next-line @typescript-eslint/ban-ts-comment // @ts-ignore const termsSuiExampleMod2: AMMSpreadTerms = calculateSpreadBN( Number(suiExample.amm.baseSpread.toString()), ZERO, new BN(suiExample.amm.lastOracleConfPct), Number(suiExample.amm.maxSpread.toString()), new BN(suiExample.amm.sqrtK), new BN(suiExample.amm.terminalQuoteAssetReserve), reservePriceMod, // peg new BN(suiExample.amm.baseAssetAmountWithAmm), reservePriceMod, // reserve price new BN(suiExample.amm.totalFeeMinusDistributions), new BN(suiExample.amm.netRevenueSinceLastFunding), new BN(suiExample.amm.sqrtK), new BN(suiExample.amm.sqrtK), new BN(suiExample.amm.maxBaseAssetReserve), new BN(suiExample.amm.markStd), new BN(suiExample.amm.oracleStd), new BN(suiExample.amm.longIntensityVolume), new BN(suiExample.amm.shortIntensityVolume), new BN(suiExample.amm.volume24H), 0, true ); console.log(termsSuiExampleMod2); assert( _.isEqual( termsSuiExampleMod2.maxTargetSpread, termsSuiExampleMod1.maxTargetSpread ) ); assert( _.isEqual( termsSuiExampleMod2.shortSpreadwPS, termsSuiExampleMod1.shortSpreadwPS ) ); assert( _.isEqual( termsSuiExampleMod2.longSpreadwPS, termsSuiExampleMod1.longSpreadwPS ) ); // note: effectiveLeverage as currently implemented is sensitive to peg change }); it('Spread Reserves (with offset)', () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1 = myMockPerpMarkets[0]; const mockAmm = mockMarket1.amm; const now = new BN(new Date().getTime() / 1000); //todo const oraclePriceData = { price: new BN(13.553 * PRICE_PRECISION.toNumber()), slot: new BN(68 + 1), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; const reserves = calculateSpreadReserves(mockAmm, oraclePriceData, now); assert(reserves[0].baseAssetReserve.eq(new BN('1000000000'))); assert(reserves[0].quoteAssetReserve.eq(new BN('12000000000'))); assert(reserves[1].baseAssetReserve.eq(new BN('1000000000'))); assert(reserves[1].quoteAssetReserve.eq(new BN('12000000000'))); mockAmm.baseAssetReserve = new BN(1000000000); mockAmm.quoteAssetReserve = new BN(1000000000); mockAmm.sqrtK = new BN(1000000000); mockAmm.baseAssetAmountWithAmm = new BN(0); mockAmm.pegMultiplier = new BN(13.553 * PEG_PRECISION.toNumber()); mockAmm.ammJitIntensity = 200; mockAmm.curveUpdateIntensity = 200; mockAmm.baseSpread = 2500; mockAmm.maxSpread = 25000; mockAmm.last24HAvgFundingRate = new BN(7590328523); mockAmm.lastMarkPriceTwap = new BN( (oraclePriceData.price.toNumber() / 1e6 - 0.01) * 1e6 ); mockAmm.historicalOracleData.lastOraclePriceTwap = new BN( (oraclePriceData.price.toNumber() / 1e6 + 0.015) * 1e6 ); mockAmm.historicalOracleData.lastOraclePriceTwap5Min = new BN( (oraclePriceData.price.toNumber() / 1e6 + 0.005) * 1e6 ); mockAmm.lastMarkPriceTwap5Min = new BN( (oraclePriceData.price.toNumber() / 1e6 - 0.005) * 1e6 ); console.log('starting rr:'); let reservePrice: BN | undefined = undefined; if (!reservePrice) { reservePrice = calculatePrice( mockAmm.baseAssetReserve, mockAmm.quoteAssetReserve, mockAmm.pegMultiplier ); } const targetPrice = oraclePriceData?.price || reservePrice; const confInterval = oraclePriceData.confidence || ZERO; const targetMarkSpreadPct = reservePrice .sub(targetPrice) .mul(BID_ASK_SPREAD_PRECISION) .div(reservePrice); const confIntervalPct = confInterval .mul(BID_ASK_SPREAD_PRECISION) .div(reservePrice); // now = now || new BN(new Date().getTime() / 1000); //todo const liveOracleStd = calculateLiveOracleStd(mockAmm, oraclePriceData, now); console.log('reservePrice:', reservePrice.toString()); console.log('targetMarkSpreadPct:', targetMarkSpreadPct.toString()); console.log('confIntervalPct:', confIntervalPct.toString()); console.log('liveOracleStd:', liveOracleStd.toString()); const tt = calculateSpread(mockAmm, oraclePriceData, now); console.log(tt); console.log('amm.baseAssetReserve:', mockAmm.baseAssetReserve.toString()); assert(mockAmm.baseAssetReserve.eq(new BN('1000000000'))); const reserves2 = calculateSpreadReserves(mockAmm, oraclePriceData, now); console.log(reserves2[0].baseAssetReserve.toString()); console.log(reserves2[0].quoteAssetReserve.toString()); assert(reserves2[0].baseAssetReserve.eq(new BN('1006289308'))); assert(reserves2[0].quoteAssetReserve.eq(new BN('993750000'))); assert(reserves2[1].baseAssetReserve.eq(new BN('993788819'))); assert(reserves2[1].quoteAssetReserve.eq(new BN('1006250000'))); // create imbalance for reference price offset mockAmm.baseAssetReserve = new BN(1000000000 * 1.1); mockAmm.quoteAssetReserve = new BN(1000000000 / 1.1); mockAmm.sqrtK = squareRootBN( mockAmm.baseAssetReserve.mul(mockAmm.quoteAssetReserve) ); mockAmm.baseAssetAmountWithAmm = new BN(1000000000 * 0.1); const maxOffset = Math.max( mockAmm.maxSpread / 5, (PERCENTAGE_PRECISION.toNumber() / 10000) * (mockAmm.curveUpdateIntensity - 100) ); const liquidityFraction = calculateInventoryLiquidityRatio( mockAmm.baseAssetAmountWithAmm, mockAmm.baseAssetReserve, mockAmm.minBaseAssetReserve, mockAmm.maxBaseAssetReserve ); console.log('liquidityFraction:', liquidityFraction.toString()); assert(liquidityFraction.eq(new BN(1000000))); // full const liquidityFractionSigned = liquidityFraction.mul( sigNum( mockAmm.baseAssetAmountWithAmm.add( mockAmm.baseAssetAmountWithUnsettledLp ) ) ); const referencePriceOffset = calculateReferencePriceOffset( reservePrice, mockAmm.last24HAvgFundingRate, liquidityFractionSigned, mockAmm.historicalOracleData.lastOraclePriceTwap5Min, mockAmm.lastMarkPriceTwap5Min, mockAmm.historicalOracleData.lastOraclePriceTwap, mockAmm.lastMarkPriceTwap, maxOffset ); console.log('referencePriceOffset:', referencePriceOffset.toString()); assert(referencePriceOffset.eq(new BN(10000))); assert(referencePriceOffset.eq(new BN(maxOffset))); // mockAmm.curveUpdateIntensity = 100; const reserves3 = calculateSpreadReserves(mockAmm, oraclePriceData, now); console.log(reserves3[0].baseAssetReserve.toString()); console.log(reserves3[0].quoteAssetReserve.toString()); assert(reserves3[0].baseAssetReserve.eq(new BN('1100068201'))); assert(reserves3[0].quoteAssetReserve.eq(new BN('909034546'))); assert(reserves3[1].baseAssetReserve.eq(new BN('989999998'))); assert(reserves3[1].quoteAssetReserve.eq(new BN('1010101010'))); const p1 = calculatePrice( reserves3[0].baseAssetReserve, reserves3[0].quoteAssetReserve, mockAmm.pegMultiplier ); const p2 = calculatePrice( reserves3[1].baseAssetReserve, reserves3[1].quoteAssetReserve, mockAmm.pegMultiplier ); assert(p1.eq(new BN(11199437))); assert(p2.eq(new BN(13828180))); mockAmm.curveUpdateIntensity = 110; const reserves4 = calculateSpreadReserves(mockAmm, oraclePriceData, now); assert(reserves4[0].baseAssetReserve.eq(new BN('1100068201'))); assert(reserves4[0].quoteAssetReserve.eq(new BN('909034546'))); assert(reserves4[1].baseAssetReserve.eq(new BN('989999998'))); assert(reserves4[1].quoteAssetReserve.eq(new BN('1010101010'))); const p1RF = calculatePrice( reserves4[0].baseAssetReserve, reserves4[0].quoteAssetReserve, mockAmm.pegMultiplier ); const p2RF = calculatePrice( reserves4[1].baseAssetReserve, reserves4[1].quoteAssetReserve, mockAmm.pegMultiplier ); assert(p1RF.eq(new BN(11199437))); assert(p2RF.eq(new BN(13828180))); // no ref price offset at 100 mockAmm.curveUpdateIntensity = 100; const reserves5 = calculateSpreadReserves(mockAmm, oraclePriceData, now); assert(reserves5[0].baseAssetReserve.eq(new BN('1100068201'))); assert(reserves5[0].quoteAssetReserve.eq(new BN('909034546'))); assert(reserves5[1].baseAssetReserve.eq(new BN('989999998'))); assert(reserves5[1].quoteAssetReserve.eq(new BN('1010101010'))); const p1RFNone = calculatePrice( reserves5[0].baseAssetReserve, reserves5[0].quoteAssetReserve, mockAmm.pegMultiplier ); const p2RFNone = calculatePrice( reserves5[1].baseAssetReserve, reserves5[1].quoteAssetReserve, mockAmm.pegMultiplier ); assert(p1RFNone.eq(new BN(11199437))); assert(p2RFNone.eq(new BN(13828180))); assert(p1RF.sub(p1RFNone).eq(new BN(0))); assert(p2RF.sub(p2RFNone).eq(new BN(0))); // todo? }); it('Spread Reserves (with negative offset)', () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1 = myMockPerpMarkets[0]; const mockAmm = mockMarket1.amm; const now = new BN(new Date().getTime() / 1000); //todo const oraclePriceData = { price: new BN(13.553 * PRICE_PRECISION.toNumber()), slot: new BN(68 + 1), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; const reserves = calculateSpreadReserves(mockAmm, oraclePriceData, now); assert(reserves[0].baseAssetReserve.eq(new BN('1000000000'))); assert(reserves[0].quoteAssetReserve.eq(new BN('12000000000'))); assert(reserves[1].baseAssetReserve.eq(new BN('1000000000'))); assert(reserves[1].quoteAssetReserve.eq(new BN('12000000000'))); mockAmm.baseAssetReserve = new BN(1000000000); mockAmm.quoteAssetReserve = new BN(1000000000); mockAmm.sqrtK = new BN(1000000000); mockAmm.baseAssetAmountWithAmm = new BN(0); mockAmm.pegMultiplier = new BN(13.553 * PEG_PRECISION.toNumber()); mockAmm.ammJitIntensity = 200; mockAmm.curveUpdateIntensity = 200; mockAmm.baseSpread = 2500; mockAmm.maxSpread = 25000; mockAmm.last24HAvgFundingRate = new BN(-7590328523); mockAmm.lastMarkPriceTwap = new BN( (oraclePriceData.price.toNumber() / 1e6 + 0.01) * 1e6 ); mockAmm.historicalOracleData.lastOraclePriceTwap = new BN( (oraclePriceData.price.toNumber() / 1e6 - 0.015) * 1e6 ); mockAmm.historicalOracleData.lastOraclePriceTwap5Min = new BN( (oraclePriceData.price.toNumber() / 1e6 + 0.005) * 1e6 ); mockAmm.lastMarkPriceTwap5Min = new BN( (oraclePriceData.price.toNumber() / 1e6 - 0.005) * 1e6 ); console.log('starting rr:'); let reservePrice = undefined; if (!reservePrice) { reservePrice = calculatePrice( mockAmm.baseAssetReserve, mockAmm.quoteAssetReserve, mockAmm.pegMultiplier ); } const targetPrice = oraclePriceData?.price || reservePrice; const confInterval = oraclePriceData.confidence || ZERO; const targetMarkSpreadPct = reservePrice .sub(targetPrice) .mul(BID_ASK_SPREAD_PRECISION) .div(reservePrice); const confIntervalPct = confInterval .mul(BID_ASK_SPREAD_PRECISION) .div(reservePrice); // now = now || new BN(new Date().getTime() / 1000); //todo const liveOracleStd = calculateLiveOracleStd(mockAmm, oraclePriceData, now); console.log('reservePrice:', reservePrice.toString()); console.log('targetMarkSpreadPct:', targetMarkSpreadPct.toString()); console.log('confIntervalPct:', confIntervalPct.toString()); console.log('liveOracleStd:', liveOracleStd.toString()); const tt = calculateSpread(mockAmm, oraclePriceData, now); console.log(tt); console.log('amm.baseAssetReserve:', mockAmm.baseAssetReserve.toString()); assert(mockAmm.baseAssetReserve.eq(new BN('1000000000'))); const reserves2 = calculateSpreadReserves(mockAmm, oraclePriceData, now); console.log(reserves2[1].baseAssetReserve.toString()); console.log(reserves2[1].quoteAssetReserve.toString()); assert(reserves2[0].baseAssetReserve.eq(new BN('1006289308'))); assert(reserves2[0].quoteAssetReserve.eq(new BN('993750000'))); assert(reserves2[1].baseAssetReserve.eq(new BN('993788819'))); assert(reserves2[1].quoteAssetReserve.eq(new BN('1006250000'))); // create imbalance for reference price offset mockAmm.baseAssetReserve = new BN(1000000000 / 1.1); mockAmm.quoteAssetReserve = new BN(1000000000 * 1.1); mockAmm.sqrtK = squareRootBN( mockAmm.baseAssetReserve.mul(mockAmm.quoteAssetReserve) ); mockAmm.baseAssetAmountWithAmm = new BN(-1000000000 * 0.1); const maxOffset = Math.max( mockAmm.maxSpread / 5, (PERCENTAGE_PRECISION.toNumber() / 10000) * (mockAmm.curveUpdateIntensity - 100) ); const liquidityFraction = calculateInventoryLiquidityRatio( mockAmm.baseAssetAmountWithAmm, mockAmm.baseAssetReserve, mockAmm.minBaseAssetReserve, mockAmm.maxBaseAssetReserve ); console.log('liquidityFraction:', liquidityFraction.toString()); assert(liquidityFraction.eq(new BN(1000000))); // full const liquidityFractionSigned = liquidityFraction.mul( sigNum( mockAmm.baseAssetAmountWithAmm.add( mockAmm.baseAssetAmountWithUnsettledLp ) ) ); const referencePriceOffset = calculateReferencePriceOffset( reservePrice, mockAmm.last24HAvgFundingRate, liquidityFractionSigned, mockAmm.historicalOracleData.lastOraclePriceTwap5Min, mockAmm.lastMarkPriceTwap5Min, mockAmm.historicalOracleData.lastOraclePriceTwap, mockAmm.lastMarkPriceTwap, maxOffset ); console.log('referencePriceOffset:', referencePriceOffset.toString()); assert(referencePriceOffset.eq(new BN(-10000))); // neg // assert(referencePriceOffset.eq(new BN(maxOffset))); // mockAmm.curveUpdateIntensity = 100; const reserves3 = calculateSpreadReserves(mockAmm, oraclePriceData, now); console.log(reserves3[0].baseAssetReserve.toString()); console.log(reserves3[0].quoteAssetReserve.toString()); assert(reserves3[0].baseAssetReserve.eq(new BN('999999998'))); assert(reserves3[0].quoteAssetReserve.eq(new BN('1000000000'))); assert(reserves3[1].baseAssetReserve.eq(new BN('909034547'))); assert(reserves3[1].quoteAssetReserve.eq(new BN('1100068200'))); const p1 = calculatePrice( reserves3[0].baseAssetReserve, reserves3[0].quoteAssetReserve, mockAmm.pegMultiplier ); const p2 = calculatePrice( reserves3[1].baseAssetReserve, reserves3[1].quoteAssetReserve, mockAmm.pegMultiplier ); assert(p1.eq(new BN(13553000))); assert(p2.eq(new BN(16401163))); mockAmm.curveUpdateIntensity = 110; const reserves4 = calculateSpreadReserves(mockAmm, oraclePriceData, now); assert(reserves4[0].baseAssetReserve.eq(new BN('999999998'))); assert(reserves4[0].quoteAssetReserve.eq(new BN('1000000000'))); assert(reserves4[1].baseAssetReserve.eq(new BN('909034547'))); assert(reserves4[1].quoteAssetReserve.eq(new BN('1100068200'))); const p1RF = calculatePrice( reserves4[0].baseAssetReserve, reserves4[0].quoteAssetReserve, mockAmm.pegMultiplier ); const p2RF = calculatePrice( reserves4[1].baseAssetReserve, reserves4[1].quoteAssetReserve, mockAmm.pegMultiplier ); assert(p1RF.eq(new BN(13553000))); assert(p2RF.eq(new BN(16401163))); // no ref price offset at 100 mockAmm.curveUpdateIntensity = 100; const reserves5 = calculateSpreadReserves(mockAmm, oraclePriceData, now); assert(reserves5[0].baseAssetReserve.eq(new BN('999999998'))); assert(reserves5[0].quoteAssetReserve.eq(new BN('1000000000'))); assert(reserves5[1].baseAssetReserve.eq(new BN('909034547'))); assert(reserves5[1].quoteAssetReserve.eq(new BN('1100068200'))); const p1RFNone = calculatePrice( reserves5[0].baseAssetReserve, reserves5[0].quoteAssetReserve, mockAmm.pegMultiplier ); const p2RFNone = calculatePrice( reserves5[1].baseAssetReserve, reserves5[1].quoteAssetReserve, mockAmm.pegMultiplier ); const rr = p2RF.sub(p2RFNone).mul(PERCENTAGE_PRECISION).div(p2RF); assert(p1RFNone.eq(new BN(13553000))); assert(p2RFNone.eq(new BN(16401163))); assert(p1RF.sub(p1RFNone).eq(new BN(0))); // todo? assert(rr.eq(new BN(0))); }); it('live update functions', () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1 = myMockPerpMarkets[0]; const mockAmm = mockMarket1.amm; const now = new BN(new Date().getTime() / 1000); //todo const slot = 999999999; const oraclePriceData = { price: new BN(13.553 * PRICE_PRECISION.toNumber()), slot: new BN(slot), confidence: new BN(1000), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; mockAmm.oracleStd = new BN(0.18 * PRICE_PRECISION.toNumber()); mockAmm.fundingPeriod = new BN(3600); mockAmm.historicalOracleData.lastOraclePriceTwap = oraclePriceData.price .mul(new BN(999)) .div(new BN(1000)); mockAmm.historicalOracleData.lastOraclePriceTwapTs = now.sub(new BN(11)); const liveOracleTwap = calculateLiveOracleTwap( mockAmm.historicalOracleData, oraclePriceData, now, mockAmm.fundingPeriod ); console.log('liveOracleTwap:', liveOracleTwap.toNumber()); assert(liveOracleTwap.eq(new BN(13539488))); const liveOracleStd = calculateLiveOracleStd(mockAmm, oraclePriceData, now); assert(liveOracleStd.eq(new BN(13732450))); mockAmm.lastOracleConfPct = new BN(150000); const reservePrice = new BN(13.553 * PRICE_PRECISION.toNumber()); const newConfPct = getNewOracleConfPct( mockAmm, oraclePriceData, reservePrice, now ); console.log('newConfPct:', newConfPct.toString()); assert( now.sub(mockAmm.historicalOracleData.lastOraclePriceTwapTs).gt(ZERO) ); assert(newConfPct.eq(new BN(135000))); const oracleGuardRails: OracleGuardRails = { priceDivergence: { markOraclePercentDivergence: PERCENTAGE_PRECISION.divn(10), oracleTwap5MinPercentDivergence: PERCENTAGE_PRECISION.divn(10), }, validity: { slotsBeforeStaleForAmm: new BN(10), slotsBeforeStaleForMargin: new BN(60), confidenceIntervalMaxSize: new BN(20000), tooVolatileRatio: new BN(5), }, }; // good oracle assert( isOracleValid(mockMarket1, oraclePriceData, oracleGuardRails, slot + 5) ); // conf too high assert( !isOracleValid( mockMarket1, { price: new BN(13.553 * PRICE_PRECISION.toNumber()), slot: new BN(slot), confidence: new BN(13.553 * PRICE_PRECISION.toNumber() * 0.021), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData, oracleGuardRails, slot ) ); // not hasSufficientNumberOfDataPoints assert( !isOracleValid( mockMarket1, { price: new BN(13.553 * PRICE_PRECISION.toNumber()), slot: new BN(slot), confidence: new BN(1), hasSufficientNumberOfDataPoints: false, isMMOracleActive: true, } as MMOraclePriceData, oracleGuardRails, slot ) ); // negative oracle price assert( !isOracleValid( mockMarket1, { price: new BN(-1 * PRICE_PRECISION.toNumber()), slot: new BN(slot), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData, oracleGuardRails, slot ) ); // too delayed for amm assert( !isOracleValid( mockMarket1, { price: new BN(13.553 * PRICE_PRECISION.toNumber()), slot: new BN(slot), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData, oracleGuardRails, slot + 100 ) ); // im passing stale slot (should not call oracle invalid) assert( isOracleValid( mockMarket1, { price: new BN(13.553 * PRICE_PRECISION.toNumber()), slot: new BN(slot + 100), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData, oracleGuardRails, slot ) ); // too volatile (more than 5x higher) assert( !isOracleValid( mockMarket1, { price: new BN(113.553 * PRICE_PRECISION.toNumber()), slot: new BN(slot + 5), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData, oracleGuardRails, slot ) ); // too volatile (more than 1/5 lower) assert( !isOracleValid( mockMarket1, { price: new BN(0.553 * PRICE_PRECISION.toNumber()), slot: new BN(slot + 5), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData, oracleGuardRails, slot ) ); }); it('predicted funding rate mock1', () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1 = myMockPerpMarkets[0]; // make it like RNDR const now = new BN(1688878353); mockMarket1.amm.fundingPeriod = new BN(3600); mockMarket1.amm.lastFundingRateTs = new BN(1688860817); const currentMarkPrice = new BN(1.9843 * PRICE_PRECISION.toNumber()); // trading at a premium const mmOraclePriceData: MMOraclePriceData = { price: new BN(1.9535 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, }; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 1.9535 * PRICE_PRECISION.toNumber() ); // mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3); mockMarket1.amm.lastMarkPriceTwap = new BN( 1.945594 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastBidPriceTwap = new BN( 1.941629 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastAskPriceTwap = new BN( 1.94956 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688877729); mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN( 1.942449 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN( 1688878333 ); const [ _markTwapLive, _oracleTwapLive, _lowerboundEst, _cappedAltEst, _interpEst, ] = calculateAllEstimatedFundingRate( mockMarket1, mmOraclePriceData, mmOraclePriceData as unknown as OraclePriceData, currentMarkPrice, now ); const [markTwapLive, oracleTwapLive, est1, est2] = calculateLongShortFundingRateAndLiveTwaps( mockMarket1, mmOraclePriceData, mmOraclePriceData as unknown as OraclePriceData, currentMarkPrice, now ); // console.log(markTwapLive.toString()); // console.log(oracleTwapLive.toString()); // console.log(est1.toString()); // console.log(est2.toString()); assert(markTwapLive.eq(new BN('1949826'))); assert(oracleTwapLive.eq(new BN('1942510'))); assert(est1.eq(new BN('16941'))); assert(est2.eq(new BN('16941'))); }); it('predicted funding rate mock2', () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1 = myMockPerpMarkets[0]; // make it like OP const now = new BN(1688881915); mockMarket1.amm.fundingPeriod = new BN(3600); mockMarket1.amm.lastFundingRateTs = new BN(1688864415); const currentMarkPrice = new BN(1.2242 * PRICE_PRECISION.toNumber()); // trading at a premium const mmOraclePriceData: MMOraclePriceData = { price: new BN(1.224 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, }; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 1.9535 * PRICE_PRECISION.toNumber() ); // mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3); mockMarket1.amm.lastMarkPriceTwap = new BN( 1.218363 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastBidPriceTwap = new BN( 1.218363 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastAskPriceTwap = new BN( 1.218364 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688878815); mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN( 1.220964 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN( 1688879991 ); const [ _markTwapLive, _oracleTwapLive, _lowerboundEst, _cappedAltEst, _interpEst, ] = calculateAllEstimatedFundingRate( mockMarket1, mmOraclePriceData, mmOraclePriceData as unknown as OraclePriceData, currentMarkPrice, now ); // console.log(_markTwapLive.toString()); // console.log(_oracleTwapLive.toString()); // console.log(_lowerboundEst.toString()); // console.log(_cappedAltEst.toString()); // console.log(_interpEst.toString()); // console.log('-----'); const [markTwapLive, oracleTwapLive, est1, est2] = calculateLongShortFundingRateAndLiveTwaps( mockMarket1, mmOraclePriceData, mmOraclePriceData as unknown as OraclePriceData, currentMarkPrice, now ); console.log( 'markTwapLive:', mockMarket1.amm.lastMarkPriceTwap.toString(), '->', markTwapLive.toString() ); console.log( 'oracTwapLive:', mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(), '->', oracleTwapLive.toString() ); console.log('pred funding:', est1.toString(), est2.toString()); assert(markTwapLive.eq(new BN('1222131'))); assert(oracleTwapLive.eq(new BN('1222586'))); assert(est1.eq(est2)); assert(est2.eq(new BN('1247'))); }); it('predicted funding rate mock clamp', () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1 = myMockPerpMarkets[0]; // make it like OP const now = new BN(1688881915); mockMarket1.amm.fundingPeriod = new BN(3600); mockMarket1.amm.lastFundingRateTs = new BN(1688864415); const currentMarkPrice = new BN(1.2242 * PRICE_PRECISION.toNumber()); // trading at a premium const mmOraclePriceData: MMOraclePriceData = { price: new BN(1.924 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 1.9535 * PRICE_PRECISION.toNumber() ); // mockMarket1.amm.pegMultiplier = new BN(1.897573 * 1e3); mockMarket1.amm.lastMarkPriceTwap = new BN( 1.218363 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastBidPriceTwap = new BN( 1.218363 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastAskPriceTwap = new BN( 1.218364 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.lastMarkPriceTwapTs = new BN(1688878815); mockMarket1.amm.historicalOracleData.lastOraclePriceTwap = new BN( 1.820964 * PRICE_PRECISION.toNumber() ); mockMarket1.amm.historicalOracleData.lastOraclePriceTwapTs = new BN( 1688879991 ); mockMarket1.contractTier = ContractTier.A; const [ _markTwapLive, _oracleTwapLive, _lowerboundEst, _cappedAltEst, _interpEst, ] = calculateAllEstimatedFundingRate( mockMarket1, mmOraclePriceData, mmOraclePriceData as unknown as OraclePriceData, currentMarkPrice, now ); // console.log(_markTwapLive.toString()); // console.log(_oracleTwapLive.toString()); // console.log(_lowerboundEst.toString()); // console.log(_cappedAltEst.toString()); // console.log(_interpEst.toString()); // console.log('-----'); let [markTwapLive, oracleTwapLive, est1, est2] = calculateLongShortFundingRateAndLiveTwaps( mockMarket1, mmOraclePriceData, mmOraclePriceData as unknown as OraclePriceData, currentMarkPrice, now ); console.log( 'markTwapLive:', mockMarket1.amm.lastMarkPriceTwap.toString(), '->', markTwapLive.toString() ); console.log( 'oracTwapLive:', mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(), '->', oracleTwapLive.toString() ); console.log('pred funding:', est1.toString(), est2.toString()); assert(markTwapLive.eq(new BN('1680634'))); assert(oracleTwapLive.eq(new BN('1876031'))); assert(est1.eq(est2)); assert(est2.eq(new BN('-126261'))); mockMarket1.contractTier = ContractTier.C; [markTwapLive, oracleTwapLive, est1, est2] = calculateLongShortFundingRateAndLiveTwaps( mockMarket1, mmOraclePriceData, mmOraclePriceData as unknown as OraclePriceData, currentMarkPrice, now ); console.log( 'markTwapLive:', mockMarket1.amm.lastMarkPriceTwap.toString(), '->', markTwapLive.toString() ); console.log( 'oracTwapLive:', mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(), '->', oracleTwapLive.toString() ); console.log('pred funding:', est1.toString(), est2.toString()); assert(markTwapLive.eq(new BN('1680634'))); assert(oracleTwapLive.eq(new BN('1876031'))); assert(est1.eq(est2)); assert(est2.eq(new BN('-208332'))); mockMarket1.contractTier = ContractTier.SPECULATIVE; [markTwapLive, oracleTwapLive, est1, est2] = calculateLongShortFundingRateAndLiveTwaps( mockMarket1, mmOraclePriceData, mmOraclePriceData as unknown as OraclePriceData, currentMarkPrice, now ); console.log( 'markTwapLive:', mockMarket1.amm.lastMarkPriceTwap.toString(), '->', markTwapLive.toString() ); console.log( 'oracTwapLive:', mockMarket1.amm.historicalOracleData.lastOraclePriceTwap.toString(), '->', oracleTwapLive.toString() ); console.log('pred funding:', est1.toString(), est2.toString()); assert(markTwapLive.eq(new BN('1680634'))); assert(oracleTwapLive.eq(new BN('1876031'))); assert(est1.eq(est2)); assert(est2.eq(new BN('-416666'))); }); it('orderbook L2 gen (no topOfBookQuoteAmounts, 10 numOrders, low liquidity)', async () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0]; const cc = 38104569; mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add( new BN(1234835) ); mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.sub(BASE_PRECISION); mockMarket1.amm.quoteAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.pegMultiplier = new BN(18.32 * PEG_PRECISION.toNumber()); mockMarket1.amm.sqrtK = new BN(cc).mul(BASE_PRECISION); const now = new BN(1688881915); const mmOraclePriceData: MMOraclePriceData = { price: new BN(18.624 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 18.5535 * PRICE_PRECISION.toNumber() ); const updatedAmm = calculateUpdatedAMM(mockMarket1.amm, mmOraclePriceData); const [openBids, openAsks] = calculateMarketOpenBidAsk( updatedAmm.baseAssetReserve, updatedAmm.minBaseAssetReserve, updatedAmm.maxBaseAssetReserve, updatedAmm.orderStepSize ); const generator = getVammL2Generator({ marketAccount: mockMarket1, mmOraclePriceData, numOrders: 10, now, topOfBookQuoteAmounts: [], }); const bids = Array.from(generator.getL2Bids()); // console.log(bids); const totalBidSize = bids.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalBidSize:', totalBidSize.toString(), 'openBids:', openBids.toString() ); assert(totalBidSize.sub(openBids).abs().lt(new BN(10))); // smol err assert(totalBidSize.sub(openBids).lt(ZERO)); // under estimation const asks = Array.from(generator.getL2Asks()); // console.log(asks); const totalAskSize = asks.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalAskSize:', totalAskSize.toString(), 'openAsks:', openAsks.toString() ); assert(totalAskSize.sub(openAsks.abs()).lte(new BN(5))); // only tiny rounding errors }); it('orderbook L2 gen (no topOfBookQuoteAmounts, 10 numOrders)', async () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0]; const cc = 38104569; mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.mul( new BN(2) ); mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.div( new BN(2) ); mockMarket1.amm.quoteAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.pegMultiplier = new BN(18.32 * PEG_PRECISION.toNumber()); mockMarket1.amm.sqrtK = new BN(cc).mul(BASE_PRECISION); const now = new BN(1688881915); const mmOraclePriceData: MMOraclePriceData = { price: new BN(18.624 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 18.5535 * PRICE_PRECISION.toNumber() ); const updatedAmm = calculateUpdatedAMM(mockMarket1.amm, mmOraclePriceData); const [openBids, openAsks] = calculateMarketOpenBidAsk( updatedAmm.baseAssetReserve, updatedAmm.minBaseAssetReserve, updatedAmm.maxBaseAssetReserve, updatedAmm.orderStepSize ); const generator = getVammL2Generator({ marketAccount: mockMarket1, mmOraclePriceData, numOrders: 10, now, topOfBookQuoteAmounts: [], }); const bids = Array.from(generator.getL2Bids()); // console.log(bids); const totalBidSize = bids.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalBidSize:', totalBidSize.toString(), 'openBids:', openBids.toString() ); assert(totalBidSize.eq(openBids)); const asks = Array.from(generator.getL2Asks()); // console.log(asks); const totalAskSize = asks.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalAskSize:', totalAskSize.toString(), 'openAsks:', openAsks.toString() ); assert(totalAskSize.sub(openAsks.abs()).lte(new BN(5))); // only tiny rounding errors }); it('orderbook L2 gen (4 topOfBookQuoteAmounts, 10 numOrders)', async () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0]; const cc = 38104569; mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.mul( new BN(2) ); mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.div( new BN(2) ); mockMarket1.amm.quoteAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.pegMultiplier = new BN(18.32 * PEG_PRECISION.toNumber()); mockMarket1.amm.sqrtK = new BN(cc).mul(BASE_PRECISION); const now = new BN(1688881915); const mmOraclePriceData: MMOraclePriceData = { price: new BN(18.624 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 18.5535 * PRICE_PRECISION.toNumber() ); const updatedAmm = calculateUpdatedAMM(mockMarket1.amm, mmOraclePriceData); const [openBids, openAsks] = calculateMarketOpenBidAsk( updatedAmm.baseAssetReserve, updatedAmm.minBaseAssetReserve, updatedAmm.maxBaseAssetReserve, updatedAmm.orderStepSize ); assert(!openAsks.eq(openBids)); const generator = getVammL2Generator({ marketAccount: mockMarket1, mmOraclePriceData, numOrders: 10, now, topOfBookQuoteAmounts: [ new BN(10).mul(QUOTE_PRECISION), new BN(100).mul(QUOTE_PRECISION), new BN(1000).mul(QUOTE_PRECISION), new BN(10000).mul(QUOTE_PRECISION), ], }); const bids = Array.from(generator.getL2Bids()); // console.log(bids); const totalBidSize = bids.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalBidSize:', totalBidSize.toString(), 'openBids:', openBids.toString() ); assert(totalBidSize.eq(openBids)); const asks = Array.from(generator.getL2Asks()); // console.log(asks); const totalAskSize = asks.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalAskSize:', totalAskSize.toString(), 'openAsks:', openAsks.toString() ); assert(totalAskSize.sub(openAsks.abs()).lte(new BN(5))); // only tiny rounding errors }); it('orderbook L2 gen (4 topOfBookQuoteAmounts, 10 numOrders, low bid liquidity)', async () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0]; const cc = 38104569; mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add(BASE_PRECISION); // only 1 base mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.div( new BN(2) ); mockMarket1.amm.quoteAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.pegMultiplier = new BN(18.32 * PEG_PRECISION.toNumber()); mockMarket1.amm.sqrtK = new BN(cc).mul(BASE_PRECISION); const now = new BN(1688881915); const mmOraclePriceData: MMOraclePriceData = { price: new BN(18.624 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 18.5535 * PRICE_PRECISION.toNumber() ); const updatedAmm = calculateUpdatedAMM(mockMarket1.amm, mmOraclePriceData); const [openBids, openAsks] = calculateMarketOpenBidAsk( updatedAmm.baseAssetReserve, updatedAmm.minBaseAssetReserve, updatedAmm.maxBaseAssetReserve, updatedAmm.orderStepSize ); assert(!openAsks.eq(openBids)); const generator = getVammL2Generator({ marketAccount: mockMarket1, mmOraclePriceData, numOrders: 10, now, topOfBookQuoteAmounts: [ new BN(10).mul(QUOTE_PRECISION), new BN(100).mul(QUOTE_PRECISION), new BN(1000).mul(QUOTE_PRECISION), new BN(10000).mul(QUOTE_PRECISION), ], }); const bids = Array.from(generator.getL2Bids()); assert(bids.length == 2); console.log(bids[0].size.toString()); console.log(bids[1].size.toString()); const totalBidSize = bids.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalBidSize:', totalBidSize.toString(), 'openBids:', openBids.toString() ); assert(totalBidSize.eq(openBids)); const asks = Array.from(generator.getL2Asks()); // console.log(asks); const totalAskSize = asks.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalAskSize:', totalAskSize.toString(), 'openAsks:', openAsks.toString() ); assert(totalAskSize.sub(openAsks.abs()).lte(new BN(5))); // only tiny rounding errors }); it('orderbook L2 gen (4 topOfBookQuoteAmounts, 10 numOrders, low ask liquidity)', async () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0]; const cc = 38104569; mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add( BASE_PRECISION.mul(new BN(1000)) ); // 1000 base mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.sub( BASE_PRECISION.div(new BN(2)) ); // only .5 base mockMarket1.amm.quoteAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.pegMultiplier = new BN(18.32 * PEG_PRECISION.toNumber()); mockMarket1.amm.sqrtK = new BN(cc).mul(BASE_PRECISION); const now = new BN(1688881915); const mmOraclePriceData: MMOraclePriceData = { price: new BN(18.624 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, }; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 18.5535 * PRICE_PRECISION.toNumber() ); const updatedAmm = calculateUpdatedAMM(mockMarket1.amm, mmOraclePriceData); const [openBids, openAsks] = calculateMarketOpenBidAsk( updatedAmm.baseAssetReserve, updatedAmm.minBaseAssetReserve, updatedAmm.maxBaseAssetReserve, updatedAmm.orderStepSize ); assert(!openAsks.eq(openBids)); const generator = getVammL2Generator({ marketAccount: mockMarket1, mmOraclePriceData, numOrders: 10, now, topOfBookQuoteAmounts: [ new BN(10).mul(QUOTE_PRECISION), new BN(100).mul(QUOTE_PRECISION), new BN(1000).mul(QUOTE_PRECISION), new BN(10000).mul(QUOTE_PRECISION), ], }); const bids = Array.from(generator.getL2Bids()); const totalBidSize = bids.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalBidSize:', totalBidSize.toString(), 'openBids:', openBids.toString() ); assert(totalBidSize.sub(openBids).abs().lt(new BN(5))); const asks = Array.from(generator.getL2Asks()); // console.log(asks); assert(asks.length == 1); console.log(asks[0].size.toString()); const totalAskSize = asks.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalAskSize:', totalAskSize.toString(), 'openAsks:', openAsks.toString() ); assert(totalAskSize.sub(openAsks.abs()).lte(new BN(5))); // only tiny rounding errors }); it('orderbook L2 gen (no topOfBookQuoteAmounts, 10 numOrders, no liquidity)', async () => { const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets); const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0]; const cc = 38104569; mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.minOrderSize = new BN(5); mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add( new BN(9) ); mockMarket1.amm.minBaseAssetReserve = mockMarket1.amm.baseAssetReserve.sub( new BN(9) ); mockMarket1.amm.quoteAssetReserve = new BN(cc).mul(BASE_PRECISION); mockMarket1.amm.pegMultiplier = new BN(18.32 * PEG_PRECISION.toNumber()); mockMarket1.amm.sqrtK = new BN(cc).mul(BASE_PRECISION); const now = new BN(1688881915); const mmOraclePriceData: MMOraclePriceData = { price: new BN(18.624 * PRICE_PRECISION.toNumber()), slot: new BN(0), confidence: new BN(1), hasSufficientNumberOfDataPoints: true, isMMOracleActive: true, } as MMOraclePriceData; mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN( 18.5535 * PRICE_PRECISION.toNumber() ); const updatedAmm = calculateUpdatedAMM(mockMarket1.amm, mmOraclePriceData); const [openBids, openAsks] = calculateMarketOpenBidAsk( updatedAmm.baseAssetReserve, updatedAmm.minBaseAssetReserve, updatedAmm.maxBaseAssetReserve, updatedAmm.orderStepSize ); const generator = getVammL2Generator({ marketAccount: mockMarket1, mmOraclePriceData, numOrders: 10, now, topOfBookQuoteAmounts: [], }); const bids = Array.from(generator.getL2Bids()); // console.log(bids); const totalBidSize = bids.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalBidSize:', totalBidSize.toString(), 'openBids:', openBids.toString() ); assert(openBids.eq(new BN(9))); assert(totalBidSize.eq(ZERO)); const asks = Array.from(generator.getL2Asks()); // console.log(asks); const totalAskSize = asks.reduce((total: BN, order: L2Level) => { return total.add(order.size); }, ZERO); console.log( 'totalAskSize:', totalAskSize.toString(), 'openAsks:', openAsks.toString() ); assert(openAsks.eq(new BN(-9))); assert(totalAskSize.eq(ZERO)); }); });