@drift-labs/common/lib/utils/math.js

Common functions for Drift

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.COMMON_MATH = void 0;
const sdk_1 = require("@drift-labs/sdk");
const calculateMarkPrice = (bestBidPrice, bestAskPrice, oraclePrice) => {
    const bid = bestBidPrice;
    const ask = bestAskPrice;
    let mid;
    // if bid/ask cross, force it to be the one closer to oracle, if oracle is in the middle, use oracle price
    if (bid && ask && bid.gt(ask) && oraclePrice) {
        if (bid.gt(oraclePrice) && ask.gt(oraclePrice)) {
            mid = sdk_1.BN.min(bid, ask);
        }
        else if (bid.lt(oraclePrice) && ask.lt(oraclePrice)) {
            mid = sdk_1.BN.max(bid, ask);
        }
        else {
            mid = oraclePrice;
        }
    }
    else {
        if (bid && ask) {
            mid = bid.add(ask).divn(2);
        }
        else if (oraclePrice) {
            mid = oraclePrice;
        }
        else {
            mid = undefined;
        }
    }
    return mid;
};
const calculateBidAskAndmarkPrice = (l2, oraclePrice) => {
    const bestBidPrice = l2.bids.reduce((previousMax, currentBid) => {
        if (!previousMax)
            return currentBid.price;
        return sdk_1.BN.max(currentBid.price, previousMax);
    }, undefined);
    const bestAskPrice = l2.asks.reduce((previousMin, currentBid) => {
        if (!previousMin)
            return currentBid.price;
        return sdk_1.BN.min(currentBid.price, previousMin);
    }, undefined);
    const markPrice = calculateMarkPrice(bestBidPrice, bestAskPrice, oraclePrice);
    return {
        bestBidPrice,
        bestAskPrice,
        markPrice,
    };
};
const calculateSpreadQuote = (bestBidPrice, bestAskPrice) => {
    return bestBidPrice.sub(bestAskPrice).abs();
};
function calculateSpreadPct(markPricePrice, spreadQuote) {
    return spreadQuote.muln(100).mul(sdk_1.PERCENTAGE_PRECISION).div(markPricePrice);
}
const calculateSpread = (bestBidPrice, bestAskPrice, markPrice) => {
    const spreadQuote = calculateSpreadQuote(bestBidPrice, bestAskPrice);
    const spreadPct = calculateSpreadPct(markPrice, spreadQuote);
    return {
        spreadPct,
        spreadQuote,
    };
};
const calculateSpreadBidAskMark = (l2, oraclePrice) => {
    if (l2.asks.length === 0 || l2.bids.length === 0) {
        return {
            spreadQuote: undefined,
            spreadPct: undefined,
            markPrice: undefined,
            bestBidPrice: undefined,
            bestAskPrice: undefined,
        };
    }
    const { bestBidPrice, bestAskPrice, markPrice } = calculateBidAskAndmarkPrice(l2, oraclePrice);
    const { spreadPct, spreadQuote } = calculateSpread(bestBidPrice, bestAskPrice, markPrice);
    return {
        bestBidPrice,
        bestAskPrice,
        markPrice,
        spreadPct,
        spreadQuote,
    };
};
exports.COMMON_MATH = {
    calculateSpreadBidAskMark,
};
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