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ref price offset amm math fix #1828

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Merged
merged 2 commits into from
Aug 21, 2025
Merged

ref price offset amm math fix #1828

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67e5f1c
ref price offset amm math fix
moosecat2 Aug 20, 2025
1d12b67
add latest slot optional var to callers of update amm spread
moosecat2 Aug 20, 2025
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5 changes: 4 additions & 1 deletion sdk/src/dlob/orderBookLevels.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -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(
Expand All @@ -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);
Expand Down
53 changes: 29 additions & 24 deletions sdk/src/math/amm.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -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')
Expand All @@ -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) {
Expand All @@ -238,7 +241,8 @@ export function calculateBidAskPrice(
newAmm,
mmOraclePriceData,
undefined,
isPrediction
isPrediction,
latestSlot
);

const askPrice = calculatePrice(
Expand Down Expand Up @@ -939,7 +943,8 @@ export function calculateSpreadReserves(
amm: AMM,
mmOraclePriceData: MMOraclePriceData,
now?: BN,
isPrediction = false
isPrediction = false,
latestSlot?: BN
) {
function calculateSpreadReserve(
spread: number,
Expand Down Expand Up @@ -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);
}
}

Expand Down
14 changes: 10 additions & 4 deletions sdk/src/math/market.ts
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Expand Up @@ -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);
Expand All @@ -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);
Expand Down
7 changes: 5 additions & 2 deletions sdk/src/math/position.ts
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Expand Up @@ -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;
Expand All @@ -52,7 +53,9 @@ export function calculateBaseAssetValue(
calculateUpdatedAMMSpreadReserves(
market.amm,
directionToClose,
mmOraclePriceData
mmOraclePriceData,
undefined,
latestSlot
);
prepegAmm = {
baseAssetReserve,
Expand Down
29 changes: 22 additions & 7 deletions sdk/src/math/trade.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -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;

Expand Down Expand Up @@ -115,7 +116,9 @@ export function calculateTradeSlippage(
calculateUpdatedAMMSpreadReserves(
market.amm,
direction,
mmOraclePriceData
mmOraclePriceData,
undefined,
latestSlot
);
amm = {
baseAssetReserve,
Expand Down Expand Up @@ -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];
Expand All @@ -184,7 +188,9 @@ export function calculateTradeAcquiredAmounts(
calculateUpdatedAMMSpreadReserves(
market.amm,
direction,
mmOraclePriceData
mmOraclePriceData,
undefined,
latestSlot
);
amm = {
baseAssetReserve,
Expand Down Expand Up @@ -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));
Expand Down Expand Up @@ -272,7 +279,9 @@ export function calculateTargetPriceTrade(
calculateUpdatedAMMSpreadReserves(
market.amm,
direction,
mmOraclePriceData
mmOraclePriceData,
undefined,
latestSlot
);
baseAssetReserveBefore = baseAssetReserve;
quoteAssetReserveBefore = quoteAssetReserve;
Expand Down Expand Up @@ -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,
Expand Down
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