sdk: add calculateBaseAssetAmountToCoverMarginShortage (#1409)

* sdk: add calculateBaseAssetAmountToCoverMarginShortage

* add calculateMaxPctToLiquidate

* prettify

sdk/src/constants/numericConstants.ts

@@ -84,6 +84,9 @@ export const MARGIN_PRECISION = TEN_THOUSAND;
 export const BID_ASK_SPREAD_PRECISION = new BN(1000000); // 10^6
 export const LIQUIDATION_PCT_PRECISION = TEN_THOUSAND;
 export const FUNDING_RATE_OFFSET_DENOMINATOR = new BN(5000);
+export const PRICE_TIMES_AMM_TO_QUOTE_PRECISION_RATIO = PRICE_PRECISION.mul(
+	AMM_TO_QUOTE_PRECISION_RATIO
+);
 
 export const FIVE_MINUTE = new BN(60 * 5);
 export const ONE_HOUR = new BN(60 * 60);

sdk/src/index.ts

@@ -58,6 +58,7 @@ export * from './math/amm';
 export * from './math/trade';
 export * from './math/orders';
 export * from './math/repeg';
+export * from './math/liquidation';
 export * from './math/margin';
 export * from './math/insurance';
 export * from './math/superStake';

sdk/src/math/liquidation.ts

@@ -0,0 +1,79 @@
+import { BN } from '@coral-xyz/anchor';
+import {
+	PRICE_PRECISION,
+	LIQUIDATION_FEE_PRECISION,
+	MARGIN_PRECISION,
+	PRICE_TIMES_AMM_TO_QUOTE_PRECISION_RATIO,
+	QUOTE_PRECISION,
+	LIQUIDATION_PCT_PRECISION,
+} from '../constants/numericConstants';
+
+export function calculateBaseAssetAmountToCoverMarginShortage(
+	marginShortage: BN,
+	marginRatio: number,
+	liquidationFee: number,
+	ifLiquidationFee: number,
+	oraclePrice: BN,
+	quoteOraclePrice: BN
+): BN | undefined {
+	const marginRatioBN = new BN(marginRatio)
+		.mul(LIQUIDATION_FEE_PRECISION)
+		.div(MARGIN_PRECISION);
+	const liquidationFeeBN = new BN(liquidationFee);
+
+	if (oraclePrice.eq(new BN(0)) || marginRatioBN.lte(liquidationFeeBN)) {
+		// undefined is max
+		return undefined;
+	}
+
+	return marginShortage.mul(PRICE_TIMES_AMM_TO_QUOTE_PRECISION_RATIO).div(
+		oraclePrice
+			.mul(quoteOraclePrice)
+			.div(PRICE_PRECISION)
+			.mul(marginRatioBN.sub(liquidationFeeBN))
+			.div(LIQUIDATION_FEE_PRECISION)
+			.sub(
+				oraclePrice.mul(new BN(ifLiquidationFee)).div(LIQUIDATION_FEE_PRECISION)
+			)
+	);
+}
+
+export function calculateMaxPctToLiquidate(
+	userLastActiveSlot: BN,
+	userLiquidationMarginFreed: BN,
+	marginShortage: BN,
+	slot: BN,
+	initialPctToLiquidate: BN,
+	liquidationDuration: BN
+): BN {
+	// if margin shortage is tiny, accelerate liquidation
+	if (marginShortage.lt(new BN(50).mul(QUOTE_PRECISION))) {
+		return LIQUIDATION_PCT_PRECISION;
+	}
+
+	let slotsElapsed;
+	if (userLiquidationMarginFreed.gt(new BN(0))) {
+		slotsElapsed = BN.max(slot.sub(userLastActiveSlot), new BN(0));
+	} else {
+		slotsElapsed = new BN(0);
+	}
+
+	const pctFreeable = BN.min(
+		slotsElapsed
+			.mul(LIQUIDATION_PCT_PRECISION)
+			.div(liquidationDuration) // ~ 1 minute if per slot is 400ms
+			.add(initialPctToLiquidate),
+		LIQUIDATION_PCT_PRECISION
+	);
+
+	const totalMarginShortage = marginShortage.add(userLiquidationMarginFreed);
+	const maxMarginFreed = totalMarginShortage
+		.mul(pctFreeable)
+		.div(LIQUIDATION_PCT_PRECISION);
+	const marginFreeable = BN.max(
+		maxMarginFreed.sub(userLiquidationMarginFreed),
+		new BN(0)
+	);
+
+	return marginFreeable.mul(LIQUIDATION_PCT_PRECISION).div(marginShortage);
+}