@drift-labs/sdk-browser/lib/browser/math/trade.d.ts

SDK for Drift Protocol

/// <reference types="bn.js" />
import { PerpMarketAccount, PositionDirection, SpotMarketAccount, UserStatsAccount } from '../types';
import { BN } from '@coral-xyz/anchor';
import { AssetType } from './amm';
import { MMOraclePriceData, OraclePriceData } from '../oracles/types';
import { DLOB } from '../dlob/DLOB';
import { PublicKey } from '@solana/web3.js';
import { Orderbook } from '@project-serum/serum';
import { L2OrderBook } from '../dlob/orderBookLevels';
export type PriceImpactUnit = 'entryPrice' | 'maxPrice' | 'priceDelta' | 'priceDeltaAsNumber' | 'pctAvg' | 'pctMax' | 'quoteAssetAmount' | 'quoteAssetAmountPeg' | 'acquiredBaseAssetAmount' | 'acquiredQuoteAssetAmount' | 'all';
/**
 * Calculates avg/max slippage (price impact) for candidate trade
 *
 * @deprecated use calculateEstimatedPerpEntryPrice instead
 *
 * @param direction
 * @param amount
 * @param market
 * @param inputAssetType which asset is being traded
 * @param useSpread whether to consider spread with calculating slippage
 * @return [pctAvgSlippage, pctMaxSlippage, entryPrice, newPrice]
 *
 * 'pctAvgSlippage' =>  the percentage change to entryPrice (average est slippage in execution) : Precision PRICE_PRECISION
 *
 * 'pctMaxSlippage' =>  the percentage change to maxPrice (highest est slippage in execution) : Precision PRICE_PRECISION
 *
 * 'entryPrice' => the average price of the trade : Precision PRICE_PRECISION
 *
 * 'newPrice' => the price of the asset after the trade : Precision PRICE_PRECISION
 */
export declare function calculateTradeSlippage(direction: PositionDirection, amount: BN, market: PerpMarketAccount, inputAssetType: AssetType, mmOraclePriceData: MMOraclePriceData, useSpread?: boolean, latestSlot?: BN): [BN, BN, BN, BN];
/**
 * Calculates acquired amounts for trade executed
 * @param direction
 * @param amount
 * @param market
 * @param inputAssetType
 * @param useSpread
 * @return
 * 	| 'acquiredBase' =>  positive/negative change in user's base : BN AMM_RESERVE_PRECISION
 * 	| 'acquiredQuote' => positive/negative change in user's quote : BN TODO-PRECISION
 */
export declare function calculateTradeAcquiredAmounts(direction: PositionDirection, amount: BN, market: PerpMarketAccount, inputAssetType: AssetType, mmOraclePriceData: MMOraclePriceData, useSpread?: boolean, latestSlot?: BN): [BN, BN, BN];
/**
 * calculateTargetPriceTrade
 * simple function for finding arbitraging trades
 *
 * @deprecated
 *
 * @param market
 * @param targetPrice
 * @param pct optional default is 100% gap filling, can set smaller.
 * @param outputAssetType which asset to trade.
 * @param useSpread whether or not to consider the spread when calculating the trade size
 * @returns trade direction/size in order to push price to a targetPrice,
 *
 * [
 *   direction => direction of trade required, PositionDirection
 *   tradeSize => size of trade required, TODO-PRECISION
 *   entryPrice => the entry price for the trade, PRICE_PRECISION
 *   targetPrice => the target price PRICE_PRECISION
 * ]
 */
export declare function calculateTargetPriceTrade(market: PerpMarketAccount, targetPrice: BN, pct?: BN, outputAssetType?: AssetType, mmOraclePriceData?: MMOraclePriceData, useSpread?: boolean, latestSlot?: BN): [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 usersToSkip
 */
export declare function calculateEstimatedPerpEntryPrice(assetType: AssetType, amount: BN, direction: PositionDirection, market: PerpMarketAccount, mmOraclePriceData: MMOraclePriceData, dlob: DLOB, slot: number, usersToSkip?: Map<PublicKey, boolean>): {
    entryPrice: BN;
    priceImpact: BN;
    bestPrice: BN;
    worstPrice: BN;
    baseFilled: BN;
    quoteFilled: 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 serum)
 *
 * @param assetType
 * @param amount
 * @param direction
 * @param market
 * @param oraclePriceData
 * @param dlob
 * @param serumBids
 * @param serumAsks
 * @param slot
 * @param usersToSkip
 */
export declare function calculateEstimatedSpotEntryPrice(assetType: AssetType, amount: BN, direction: PositionDirection, market: SpotMarketAccount, oraclePriceData: OraclePriceData, dlob: DLOB, serumBids: Orderbook, serumAsks: Orderbook, slot: number, usersToSkip?: Map<PublicKey, boolean>): {
    entryPrice: BN;
    priceImpact: BN;
    bestPrice: BN;
    worstPrice: BN;
    baseFilled: BN;
    quoteFilled: BN;
};
export declare function calculateEstimatedEntryPriceWithL2(assetType: AssetType, amount: BN, direction: PositionDirection, basePrecision: BN, l2: L2OrderBook): {
    entryPrice: BN;
    priceImpact: BN;
    bestPrice: BN;
    worstPrice: BN;
    baseFilled: BN;
    quoteFilled: BN;
};
export declare function getUser30dRollingVolumeEstimate(userStatsAccount: UserStatsAccount, now?: BN): BN;