ref price offset amm math fix (#1828)

* ref price offset amm math fix

* add latest slot optional var to callers of update amm spread

Author: moosecat2

sdk/src/dlob/orderBookLevels.ts

@@ -182,12 +182,14 @@ export function getVammL2Generator({
 	numOrders,
 	now = new BN(Math.floor(Date.now() / 1000)),
 	topOfBookQuoteAmounts = [],
+	latestSlot,
 }: {
 	marketAccount: PerpMarketAccount;
 	mmOraclePriceData: MMOraclePriceData;
 	numOrders: number;
 	now?: BN;
 	topOfBookQuoteAmounts?: BN[];
+	latestSlot?: BN;
 }): L2OrderBookGenerator {
 	const updatedAmm = calculateUpdatedAMM(marketAccount.amm, mmOraclePriceData);
 	const paused = isOperationPaused(
@@ -211,7 +213,8 @@ export function getVammL2Generator({
 		updatedAmm,
 		mmOraclePriceData,
 		now,
-		isVariant(marketAccount.contractType, 'prediction')
+		isVariant(marketAccount.contractType, 'prediction'),
+		latestSlot
 	);
 
 	const numBaseOrders = Math.max(1, numOrders - topOfBookQuoteAmounts.length);

sdk/src/math/amm.ts

@@ -197,14 +197,16 @@ export function calculateUpdatedAMMSpreadReserves(
 	amm: AMM,
 	direction: PositionDirection,
 	mmOraclePriceData: MMOraclePriceData,
-	isPrediction = false
+	isPrediction = false,
+	latestSlot?: BN
 ): { baseAssetReserve: BN; quoteAssetReserve: BN; sqrtK: BN; newPeg: BN } {
 	const newAmm = calculateUpdatedAMM(amm, mmOraclePriceData);
 	const [shortReserves, longReserves] = calculateSpreadReserves(
 		newAmm,
 		mmOraclePriceData,
 		undefined,
-		isPrediction
+		isPrediction,
+		latestSlot
 	);
 
 	const dirReserves = isVariant(direction, 'long')
@@ -225,7 +227,8 @@ export function calculateBidAskPrice(
 	amm: AMM,
 	mmOraclePriceData: MMOraclePriceData,
 	withUpdate = true,
-	isPrediction = false
+	isPrediction = false,
+	latestSlot?: BN
 ): [BN, BN] {
 	let newAmm: AMM;
 	if (withUpdate) {
@@ -238,7 +241,8 @@ export function calculateBidAskPrice(
 		newAmm,
 		mmOraclePriceData,
 		undefined,
-		isPrediction
+		isPrediction,
+		latestSlot
 	);
 
 	const askPrice = calculatePrice(
@@ -939,7 +943,8 @@ export function calculateSpreadReserves(
 	amm: AMM,
 	mmOraclePriceData: MMOraclePriceData,
 	now?: BN,
-	isPrediction = false
+	isPrediction = false,
+	latestSlot?: BN
 ) {
 	function calculateSpreadReserve(
 		spread: number,
@@ -1041,28 +1046,28 @@ export function calculateSpreadReserves(
 		amm.curveUpdateIntensity > 100;
 
 	if (doReferencePricOffsetSmooth) {
-		if (mmOraclePriceData.slot !== amm.lastUpdateSlot) {
-			const slotsPassed =
-				mmOraclePriceData.slot.toNumber() - amm.lastUpdateSlot.toNumber();
-			const fullOffsetDelta = referencePriceOffset - amm.referencePriceOffset;
-			const raw = Math.trunc(
-				Math.min(Math.abs(fullOffsetDelta), slotsPassed * 1000) / 10
-			);
-			const maxAllowed =
-				Math.abs(amm.referencePriceOffset) || Math.abs(referencePriceOffset);
+		const slotsPassed =
+			latestSlot != null
+				? BN.max(latestSlot.sub(amm.lastUpdateSlot), ZERO).toNumber()
+				: 0;
+		const fullOffsetDelta = referencePriceOffset - amm.referencePriceOffset;
+		const raw = Math.trunc(
+			Math.min(Math.abs(fullOffsetDelta), slotsPassed * 1000) / 10
+		);
+		const maxAllowed =
+			Math.abs(amm.referencePriceOffset) || Math.abs(referencePriceOffset);
 
-			const magnitude = Math.min(Math.max(raw, 10), maxAllowed);
-			const referencePriceDelta = Math.sign(fullOffsetDelta) * magnitude;
+		const magnitude = Math.min(Math.max(raw, 10), maxAllowed);
+		const referencePriceDelta = Math.sign(fullOffsetDelta) * magnitude;
 
-			referencePriceOffset = amm.referencePriceOffset + referencePriceDelta;
+		referencePriceOffset = amm.referencePriceOffset + referencePriceDelta;
 
-			if (referencePriceDelta < 0) {
-				longSpread += Math.abs(referencePriceDelta);
-				shortSpread += Math.abs(referencePriceOffset);
-			} else {
-				shortSpread += Math.abs(referencePriceDelta);
-				longSpread += Math.abs(referencePriceOffset);
-			}
+		if (referencePriceDelta < 0) {
+			longSpread += Math.abs(referencePriceDelta);
+			shortSpread += Math.abs(referencePriceOffset);
+		} else {
+			shortSpread += Math.abs(referencePriceDelta);
+			longSpread += Math.abs(referencePriceOffset);
 		}
 	}
 

sdk/src/math/market.ts

@@ -61,13 +61,16 @@ export function calculateReservePrice(
  */
 export function calculateBidPrice(
 	market: PerpMarketAccount,
-	mmOraclePriceData: MMOraclePriceData
+	mmOraclePriceData: MMOraclePriceData,
+	latestSlot?: BN
 ): BN {
 	const { baseAssetReserve, quoteAssetReserve, newPeg } =
 		calculateUpdatedAMMSpreadReserves(
 			market.amm,
 			PositionDirection.SHORT,
-			mmOraclePriceData
+			mmOraclePriceData,
+			undefined,
+			latestSlot
 		);
 
 	return calculatePrice(baseAssetReserve, quoteAssetReserve, newPeg);
@@ -81,13 +84,16 @@ export function calculateBidPrice(
  */
 export function calculateAskPrice(
 	market: PerpMarketAccount,
-	mmOraclePriceData: MMOraclePriceData
+	mmOraclePriceData: MMOraclePriceData,
+	latestSlot?: BN
 ): BN {
 	const { baseAssetReserve, quoteAssetReserve, newPeg } =
 		calculateUpdatedAMMSpreadReserves(
 			market.amm,
 			PositionDirection.LONG,
-			mmOraclePriceData
+			mmOraclePriceData,
+			undefined,
+			latestSlot
 		);
 
 	return calculatePrice(baseAssetReserve, quoteAssetReserve, newPeg);

sdk/src/math/position.ts

@@ -37,7 +37,8 @@ export function calculateBaseAssetValue(
 	userPosition: PerpPosition,
 	mmOraclePriceData: MMOraclePriceData,
 	useSpread = true,
-	skipUpdate = false
+	skipUpdate = false,
+	latestSlot?: BN
 ): BN {
 	if (userPosition.baseAssetAmount.eq(ZERO)) {
 		return ZERO;
@@ -52,7 +53,9 @@ export function calculateBaseAssetValue(
 				calculateUpdatedAMMSpreadReserves(
 					market.amm,
 					directionToClose,
-					mmOraclePriceData
+					mmOraclePriceData,
+					undefined,
+					latestSlot
 				);
 			prepegAmm = {
 				baseAssetReserve,

sdk/src/math/trade.ts

@@ -78,7 +78,8 @@ export function calculateTradeSlippage(
 	market: PerpMarketAccount,
 	inputAssetType: AssetType = 'quote',
 	mmOraclePriceData: MMOraclePriceData,
-	useSpread = true
+	useSpread = true,
+	latestSlot?: BN
 ): [BN, BN, BN, BN] {
 	let oldPrice: BN;
 
@@ -115,7 +116,9 @@ export function calculateTradeSlippage(
 			calculateUpdatedAMMSpreadReserves(
 				market.amm,
 				direction,
-				mmOraclePriceData
+				mmOraclePriceData,
+				undefined,
+				latestSlot
 			);
 		amm = {
 			baseAssetReserve,
@@ -170,7 +173,8 @@ export function calculateTradeAcquiredAmounts(
 	market: PerpMarketAccount,
 	inputAssetType: AssetType = 'quote',
 	mmOraclePriceData: MMOraclePriceData,
-	useSpread = true
+	useSpread = true,
+	latestSlot?: BN
 ): [BN, BN, BN] {
 	if (amount.eq(ZERO)) {
 		return [ZERO, ZERO, ZERO];
@@ -184,7 +188,9 @@ export function calculateTradeAcquiredAmounts(
 			calculateUpdatedAMMSpreadReserves(
 				market.amm,
 				direction,
-				mmOraclePriceData
+				mmOraclePriceData,
+				undefined,
+				latestSlot
 			);
 		amm = {
 			baseAssetReserve,
@@ -236,7 +242,8 @@ export function calculateTargetPriceTrade(
 	pct: BN = MAXPCT,
 	outputAssetType: AssetType = 'quote',
 	mmOraclePriceData?: MMOraclePriceData,
-	useSpread = true
+	useSpread = true,
+	latestSlot?: BN
 ): [PositionDirection, BN, BN, BN] {
 	assert(market.amm.baseAssetReserve.gt(ZERO));
 	assert(targetPrice.gt(ZERO));
@@ -272,7 +279,9 @@ export function calculateTargetPriceTrade(
 			calculateUpdatedAMMSpreadReserves(
 				market.amm,
 				direction,
-				mmOraclePriceData
+				mmOraclePriceData,
+				undefined,
+				latestSlot
 			);
 		baseAssetReserveBefore = baseAssetReserve;
 		quoteAssetReserveBefore = quoteAssetReserve;
@@ -430,7 +439,13 @@ export function calculateEstimatedPerpEntryPrice(
 	const swapDirection = getSwapDirection(assetType, direction);
 
 	const { baseAssetReserve, quoteAssetReserve, sqrtK, newPeg } =
-		calculateUpdatedAMMSpreadReserves(market.amm, direction, mmOraclePriceData);
+		calculateUpdatedAMMSpreadReserves(
+			market.amm,
+			direction,
+			mmOraclePriceData,
+			undefined,
+			new BN(slot)
+		);
 	const amm = {
 		baseAssetReserve,
 		quoteAssetReserve,