sdk: update leverage calculations (#339)

* update leverage calcs * update getHealth * fix liquidateSpot test * CHANGELOG Co-authored-by: Chris Heaney <[email protected]>
drift-labs · Jan 26, 2023 · 3dfd9ad · 3dfd9ad
1 parent 527ac50
commit 3dfd9ad
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -13,6 +13,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - program: enforce min order size when trading against amm ([#334](https://github.com/drift-labs/protocol-v2/pull/334))
 
 ### Fixes
+- ts-sdk: update methods to account for new leverage formula ([#339](https://github.com/drift-labs/protocol-v2/pull/339))
 
 ### Breaking
 

diff --git a/sdk/src/driftClient.ts b/sdk/src/driftClient.ts
@@ -2990,7 +2990,9 @@ export class DriftClient {
 
 		const openOrder = this.getUser().getOrderByUserOrderId(userOrderId);
 		if (!openOrder) {
-			throw new Error(`No open order with user order id ${userOrderId.toString()}`);
+			throw new Error(
+				`No open order with user order id ${userOrderId.toString()}`
+			);
 		}
 		const cancelOrderIx = await this.getCancelOrderIx(openOrder.orderId);
 

diff --git a/sdk/src/user.ts b/sdk/src/user.ts
@@ -804,17 +804,12 @@ export class User {
 		} else if (totalCollateral.lte(ZERO)) {
 			health = 0;
 		} else {
-			// const totalCollateral = this.getTotalCollateral('Initial');
-			// const maintenanceMarginReq = this.getMaintenanceMarginRequirement();
-
-			const marginRatio =
-				this.getMarginRatio().toNumber() / MARGIN_PRECISION.toNumber();
-
-			const maintenanceRatio =
-				(maintenanceMarginReq.toNumber() / totalCollateral.toNumber()) *
-				marginRatio;
-
-			const healthP1 = Math.max(0, (marginRatio - maintenanceRatio) * 100) + 1;
+			const healthP1 =
+				Math.max(
+					0,
+					(totalCollateral.toNumber() / maintenanceMarginReq.toNumber() - 1) *
+						100
+				) + 1;
 
 			health = Math.min(1, Math.log(healthP1) / Math.log(100)) * 100;
 			if (health > 1) {
@@ -1072,12 +1067,27 @@ export class User {
 	): BN {
 		const market = this.driftClient.getPerpMarketAccount(marketIndex);
 
+		const totalPerpLiability = this.getTotalPerpPositionValue(
+			undefined,
+			undefined,
+			true
+		);
+		const totalSpotLiability = this.getSpotMarketLiabilityValue(
+			undefined,
+			undefined,
+			undefined,
+			true
+		);
+
 		const totalAssetValue = this.getTotalAssetValue();
-		if (totalAssetValue.eq(ZERO)) {
+
+		const netAssetValue = totalAssetValue.sub(totalSpotLiability);
+
+		if (netAssetValue.eq(ZERO)) {
 			return ZERO;
 		}
 
-		const totalLiabilityValue = this.getTotalLiabilityValue();
+		const totalLiabilityValue = totalPerpLiability.add(totalSpotLiability);
 
 		const marginRatio = calculateMarketMarginRatio(
 			market,
@@ -1095,23 +1105,36 @@ export class User {
 		return totalLiabilityValue
 			.add(additionalLiabilities)
 			.mul(TEN_THOUSAND)
-			.div(totalAssetValue);
+			.div(netAssetValue);
 	}
 
 	/**
 	 * calculates margin ratio: total collateral / |total position value|
 	 * @returns : Precision TEN_THOUSAND
 	 */
 	public getMarginRatio(marginCategory?: MarginCategory): BN {
-		const totalLiabilityValue = this.getTotalLiabilityValue(marginCategory);
+		const totalPerpLiability = this.getTotalPerpPositionValue(
+			undefined,
+			undefined,
+			true
+		);
+		const totalSpotLiability = this.getSpotMarketLiabilityValue(
+			undefined,
+			undefined,
+			undefined,
+			true
+		);
+
+		const totalLiabilityValue = totalPerpLiability.add(totalSpotLiability);
 
 		if (totalLiabilityValue.eq(ZERO)) {
 			return BN_MAX;
 		}
 
 		const totalAssetValue = this.getTotalAssetValue(marginCategory);
+		const netAssetValue = totalAssetValue.sub(totalSpotLiability);
 
-		return totalAssetValue.mul(TEN_THOUSAND).div(totalLiabilityValue);
+		return netAssetValue.mul(TEN_THOUSAND).div(totalLiabilityValue);
 	}
 
 	public canBeLiquidated(): boolean {
@@ -1597,21 +1620,29 @@ export class User {
 
 		const totalAssetValue = this.getTotalAssetValue();
 
-		const totalPerpPositionValue = currentPerpPositionAfterTrade
+		const totalPerpPositionLiability = currentPerpPositionAfterTrade
 			.add(totalPositionAfterTradeExcludingTargetMarket)
 			.abs();
 
-		const totalLiabilitiesAfterTrade = totalPerpPositionValue.add(
-			this.getSpotMarketLiabilityValue(undefined, undefined, undefined, false)
+		const totalSpotLiability = this.getSpotMarketLiabilityValue(
+			undefined,
+			undefined,
+			undefined,
+			includeOpenOrders
 		);
 
-		if (totalAssetValue.eq(ZERO) && totalLiabilitiesAfterTrade.eq(ZERO)) {
+		const totalLiabilitiesAfterTrade =
+			totalPerpPositionLiability.add(totalSpotLiability);
+
+		const netAssetValue = totalAssetValue.sub(totalSpotLiability);
+
+		if (netAssetValue.eq(ZERO)) {
 			return ZERO;
 		}
 
 		const newLeverage = totalLiabilitiesAfterTrade
 			.mul(TEN_THOUSAND)
-			.div(totalAssetValue);
+			.div(netAssetValue);
 
 		return newLeverage;
 	}

diff --git a/tests/liquidateSpot.ts b/tests/liquidateSpot.ts
@@ -156,7 +156,7 @@ describe('liquidate spot', () => {
 		await driftClient.fetchAccounts();
 		const healthBefore100 = user.getHealth();
 		console.log('healthBefore100:', healthBefore100);
-		assert(healthBefore100 == 98);
+		assert(healthBefore100 == 96);
 
 		console.log(
 			'spotLiquidationPrice:',
@@ -170,7 +170,7 @@ describe('liquidate spot', () => {
 		await user.fetchAccounts();
 		const healthBefore179 = user.getHealth();
 		console.log('healthBefore179:', healthBefore179);
-		assert(healthBefore179 == 22);
+		assert(healthBefore179 == 21);
 		console.log(
 			'spotLiquidationPrice:',
 			convertToNumber(user.spotLiquidationPrice(user.getSpotPosition(1)))