A program that allows you to fetch on-chain TWAPs from OpenBook V2 markets.
We provide a Uniswap V2-style oracle. This means:
- For each market, there is a running price aggregator.
- Before the first trade in a slot, we add the current spot price (defined as the average of the best bid and the best offer) to the aggregator.
- To fetch a TWAP between two points, one can compute (current_aggregator - past_aggregator) / slots_elapsed. Just like in Uniswap V2, the client is responsible for storing past aggregator points.
The TWAP market program decorates the OpenBook v2 program. It does this by having
a wrapper TWAPMarket account that stores the TWAP and is the open_orders_admin
of the underlying openbook_v2 market. That way, all order book state transitions
are forced to proxy through the twap_market program.
| tag | network | program ID |
|---|---|---|
| v0.1 | mainnet | TWAPrdhADy2aTKN5iFZtNnkQYXERD9NvKjPFVPMSCNN |
| v0.1 | devnet | TWAPrdhADy2aTKN5iFZtNnkQYXERD9NvKjPFVPMSCNN |
| v0 | mainnet | TWAP7frdvD3ia7TWc8e9SxZMmrpd2Yf3ifSPAHS8VG3 |
| v0 | devnet | TWAP7frdvD3ia7TWc8e9SxZMmrpd2Yf3ifSPAHS8VG3 |
All programs are immutable.
The program was compiled with solana-verifiable-build, which means that anyone can verify that the on-chain program matches the source code. To do so, install the CLI and run:
$ solana-verify verify-from-repo -um --program-id TWAPrdhADy2aTKN5iFZtNnkQYXERD9NvKjPFVPMSCNN https://github.com/metaDAOproject/openbook-twap --library-name openbook_twap -b ellipsislabs/solana:1.16.10
You can also see OtterSec's attestation of this verification here.
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