@1delta/margin-fetcher 0.0.1

package/src/lending/user-data/types.ts

@@ -0,0 +1,280 @@
+import { Lender } from "@1delta/asset-registry"
+import { BaseYields, RewardsMap } from "../aave-v3-type/types"
+
+export type SerializedBigNumber = string
+export type SerializedNumber = string
+
+export interface LenderUserQuery {
+  lender: Lender
+  account: string
+}
+
+export interface AllowanceData {
+  allowanceWithdrawal: string
+  allowanceBorrowingVariable: string
+  allowanceBorrowingStable: string
+}
+
+export interface UserLendingPosition extends AllowanceData {
+  // token amounts
+  deposits: number
+  debt: number
+  debtStable: number
+  // usd amounts
+  depositsUSD: number
+  debtUSD: number
+  debtStableUSD: number
+
+  collateralActive: boolean
+  claimableRewards: number
+}
+
+export type UserRewardEntry = { [asset: string]: { totalRewards: number, claimableRewards: number } }
+
+export interface LenderUserResponse {
+  chainId: string
+  account: string
+  lendingPositions: {
+    [lender: string]: {
+      [tokenSymbol: string]: UserLendingPosition
+    }
+  }
+  rewards: UserRewardEntry
+}
+
+// Aave V2 specific enums
+export enum AaveV2TypeGetUserReserveData {
+  currentATokenBalance = 0,
+  currentStableDebt,
+  currentVariableDebt,
+  principalStableDebt,
+  scaledVariableDebt,
+  stableBorrowRate,
+  liquidityRate,
+  stableRateLastUpdated,
+  usageAsCollateralEnabled,
+}
+
+// Aave V3 specific enums
+export enum AaveV3TypeGetUserReserveData {
+  currentATokenBalance = 0,
+  currentStableDebt,
+  currentVariableDebt,
+  principalStableDebt,
+  scaledVariableDebt,
+  stableBorrowRate,
+  liquidityRate,
+  stableRateLastUpdated,
+  usageAsCollateralEnabled,
+} 
+
+///////
+export interface AaveV2UserReserveResponse {
+  chainId: string
+  account: string
+  lendingPositions: {
+    [id: string]: {
+      [tokenSymbol: string]: AavelendingPositions
+    }
+  },
+  rewards: UserRewardEntry
+}
+
+interface AavelendingPositions extends AllowanceData {
+  // token amounts
+  deposits: number
+  debt: number
+  debtStable: number
+  // usd amounts
+  depositsUSD: number
+  debtUSD: number
+  debtStableUSD: number
+
+  collateralActive: boolean
+  claimableRewards: number
+}
+
+export interface AaveV3UserReserveResponse {
+  chainId: string
+  lendingPositions: {
+    [id: string]: {
+      [tokenSymbol: string]: AavelendingPositions
+    }
+  }
+  userEMode: number
+  rewards?: any
+  account: string
+}
+
+export interface CompoundV3UserReserveResponse {
+  lendingPositions: {
+    [id: string]: {
+      [tokenSymbol: string]: {
+        // tokens
+        deposits: number
+        debt: number
+        debtStable: number
+        // dollars
+        depositsUSD: number
+        debtUSD: number
+        debtStableUSD: number
+
+        collateralActive: boolean
+        // user collateral raw (to withdraw max)
+        depositsRaw: SerializedBigNumber;
+        isAllowed: boolean
+      }
+    }
+  },
+  chainId: string
+  baseAsset: string
+  rewards: UserRewardEntry
+  account: string
+}
+
+export interface AaveV3Public extends LenderPublicBase {
+
+  lastUpdateTimestamp?: number
+
+  // flags of reserve state
+  usageAsCollateralEnabled?: boolean
+  hasStable?: boolean
+  isActive?: boolean
+  isFrozen?: boolean
+
+  // emode info
+  // each eMode category has a custom ltv and liquidation threshold
+  eMode?: EModeData
+
+  // limits
+  debtCeiling: number
+  supplyCap: number
+  borrowCap: number
+
+  config: { [modeId: number]: LenderConfigData }
+}
+
+/**
+ * Interface shared by all lenders
+ */
+export interface LenderPublicBase extends LenderYields, LenderTotalAmounts {
+
+  // borrow enabled flag
+  borrowingEnabled: boolean
+
+  config: LenderConfigMap
+}
+
+export interface LenderYields extends BaseYields {
+  // staking
+  stakingYield: number
+
+  // rewards
+  rewards?: RewardsMap
+}
+
+export interface LenderTotalAmounts {
+  // debt totals
+  totalDebt: number
+  totalDebtStable: number
+  // deposit total
+  totalDeposits: number
+  // liquidity
+  totalLiquidity: number
+
+  /** USD values */
+
+  // debt totals
+  totalDebtUSD: number
+  totalDebtStableUSD: number
+  // deposit total
+  totalDepositsUSD: number
+  // liquidity
+  totalLiquidityUSD: number
+}
+
+export interface LenderConfigMap {
+  [modeId: number]: LenderConfigData
+}
+
+/**
+ * The Mode-specific configuration for a lender asset
+ */
+export interface LenderConfigData {
+  category: number;
+  borrowCollateralFactor: number;
+  collateralFactor: number;
+  borrowFactor: number
+}
+
+export interface ModeBase {
+  category: number
+  label: string
+}
+
+export interface EModeData extends ModeBase {
+  borrowCollateralFactor: number;
+  collateralFactor: number;
+  priceSource: string;
+}
+
+export interface AaveV2Public extends LenderPublicBase {
+  // reserve market data
+  lastUpdateTimestamp?: number
+
+  // reserve config
+  decimals?: number
+  reserveFactor?: SerializedBigNumber
+  usageAsCollateralEnabled?: boolean
+  hasStable?: boolean
+
+  // frozen
+  isActive?: boolean
+  isFrozen?: boolean
+}
+
+export interface CompoundV3Public extends LenderPublicBase {
+  supplyCap: number;
+  utilization: number;
+}
+
+export interface UserApr {
+  apr: number
+  borrowApr: number
+  depositApr: number
+}
+
+export interface InitUserReserveResponse {
+  chainId: string
+  lendingPositions: {
+    // positionId is the NFT id
+    [posId: string]: {
+      mode: number;
+      positions: {
+        [tokenSymbol: string]: {
+          deposits: number
+          debt: number,
+          depositsUSD: number
+          debtUSD: number,
+          debtStable: 0,
+          debtStableUSD: 0,
+          collateralActive: boolean
+          isAllowed: boolean
+        }
+      }
+    }
+  }
+  assets: string[]
+  account: string
+}
+
+export interface InitPublic extends LenderPublicBase {
+  // flags of reserve state
+  usageAsCollateralEnabled?: boolean;
+
+  // limits
+  debtCeiling: number;
+  supplyCap: number;
+  borrowCap: number;
+
+}

package/src/lending/user-data/utils/createGeneralUserState.ts

@@ -0,0 +1,118 @@
+import { divideAccrualsToAprs } from "."
+import { AaveV2Public, AaveV2UserReserveResponse, AaveV3Public, AaveV3UserReserveResponse, CompoundV3Public, CompoundV3UserReserveResponse } from "../types"
+import { safeDivide } from "./formatting"
+
+type LenderUserData = AaveV3UserReserveResponse | AaveV2UserReserveResponse | CompoundV3UserReserveResponse
+type LenderState = AaveV3Public | AaveV2Public | CompoundV3Public
+
+export function createBaseTypeUserState(
+  payload: LenderUserData,
+  lenderData: { [a: string]: LenderState },
+  totalDeposits24h: number = 0,
+  totalDebt24h: number = 0
+) {
+  let assetKeys = Object.keys(payload.lendingPositions["0"] ?? {})
+  const { chainId, account } = payload
+
+  const mode = Number((payload as any).userEMode ?? 0)
+
+  // organic yields
+  let depositInterest = 0
+  let borrowInterest = 0
+  // rewards
+  let rewardDepositAccrual = 0
+  let rewardBorrowAccrual = 0
+  // staking
+  let stakingDepositAccrual = 0
+  let stakingBorrowAccrual = 0
+  // amountrs
+  let deposits = 0
+  let debt = 0
+  let collateral = 0
+  let borrowDiscountedCollateral = 0
+
+  let rewardsPerAsset: any = {}
+  // main user data
+  for (let i = 0; i < assetKeys.length; i++) {
+    const asset = assetKeys[i]
+    if (!lenderData?.[asset]) continue;
+    const { depositsUSD, debtStableUSD, debtUSD, collateralActive } = payload.lendingPositions["0"][asset]
+    const {
+      depositRate, stakingYield, variableBorrowRate, stableBorrowRate,
+      rewards
+    } = lenderData[asset]
+
+    // amounts
+    deposits += depositsUSD
+    debt += debtStableUSD
+    debt += debtUSD
+
+    // rewards 
+    Object.entries(rewards ?? {}).forEach(([key, rewardData]: [string, any]) => {
+      rewardDepositAccrual += rewardData.depositRate * depositsUSD
+      rewardBorrowAccrual += rewardData.variableBorrowRate * debtUSD + (rewardData.stableBorrowRate ?? 0) * debtStableUSD
+
+      // totals
+      const rewDepo = rewardData.depositRate * depositsUSD
+      const rewDebt = rewardData.variableBorrowRate * debtUSD + (rewardData.stableBorrowRate ?? 0) * (debtStableUSD ?? 0)
+
+      if (!rewardsPerAsset[key]) rewardsPerAsset[key] = { depositApr: 0, borrowApr: 0 }
+      if (rewDepo > 0) rewardsPerAsset[key].depositApr += rewDepo
+      if (rewDebt > 0) rewardsPerAsset[key].borrowApr += rewDebt
+    })
+
+    // staking
+    stakingDepositAccrual += (stakingYield ?? 0) * depositsUSD
+    stakingBorrowAccrual += (stakingYield ?? 0) * (debtStableUSD + debtUSD)
+    if (collateralActive) {
+      // risk adjusted
+      collateral += (lenderData[asset].config[mode]?.collateralFactor ?? 1) * depositsUSD
+      borrowDiscountedCollateral += (lenderData[asset].config[mode]?.borrowCollateralFactor ?? 1) * depositsUSD
+    }
+    // IRs
+    depositInterest += depositRate * depositsUSD
+    borrowInterest += debtStableUSD * stableBorrowRate + debtUSD * variableBorrowRate
+
+  }
+  const nav = deposits - debt
+  // aggregated balance data
+  const balanceData = {
+    "0": {
+      borrowDiscountedCollateral,
+      collateral,
+      deposits,
+      debt,
+      adjustedDebt: debt,
+      nav,
+      deposits24h: totalDeposits24h,
+      debt24h: totalDebt24h,
+      nav24h: totalDeposits24h - totalDebt24h,
+      ...(payload.rewards ? { rewards: payload.rewards } : {})
+    }
+  }
+
+  // aggregated apr data
+  const aprData = {
+    "0": {
+      apr: safeDivide(depositInterest - borrowInterest, nav),
+      borrowApr: safeDivide(borrowInterest, debt),
+      depositApr: safeDivide(depositInterest, deposits),
+      rewards: divideAccrualsToAprs(rewardsPerAsset, nav, deposits, debt),
+      rewardApr: safeDivide(rewardDepositAccrual + rewardBorrowAccrual, nav),
+      rewardDepositApr: safeDivide(rewardDepositAccrual, deposits),
+      rewardBorrowApr: safeDivide(rewardBorrowAccrual, debt),
+      stakingApr: safeDivide(stakingDepositAccrual - stakingBorrowAccrual, nav),
+      stakingDepositApr: safeDivide(stakingDepositAccrual, deposits),
+      stakingBorrowApr: safeDivide(stakingBorrowAccrual, debt),
+    }
+  }
+  const userConfigs = { "0": { selectedMode: mode, id: account } }
+
+  return {
+    account,
+    chainId,
+    balanceData,
+    aprData,
+    userConfigs,
+  }
+}

package/src/lending/user-data/utils/createMultiAccountStyleUserState.ts

@@ -0,0 +1,113 @@
+import { LENDER_MODE_NO_MODE } from "../../../assets"
+import { InitPublic, InitUserReserveResponse } from "../types"
+import { safeDivide } from "./formatting"
+
+export function createMultiAccountTypeUserState(
+  payload: InitUserReserveResponse,
+  lenderData: { [a: string]: InitPublic },
+  histData: {
+    [a: string]: {
+      totalDebt24h: number,
+      totalDeposits24h: number
+    }
+  }
+) {
+  const positionKeys = Object.keys(payload.lendingPositions ?? {})
+  let assetKeys = payload.assets
+  const { chainId, account } = payload
+
+  let userConfigs: any = {}
+  let balanceData: any = {}
+  let aprData: any = {}
+  // main user data
+  for (let j = 0; j < positionKeys.length; j++) {
+    const posId = positionKeys[j]
+    const position = payload.lendingPositions[posId]
+    const { mode: posMode } = position
+    // position mode can be undefined
+    // in this case we default to no mode
+    const mode = posMode ?? LENDER_MODE_NO_MODE
+    userConfigs[posId] = {
+      id: posId,
+      selectedMode: mode,
+    }
+    // organic yields
+    let depositInterest = 0
+    let borrowInterest = 0
+    // rewards
+    let rewardDepositAccrual = 0
+    let rewardBorrowAccrual = 0
+    // staking
+    let stakingDepositAccrual = 0
+    let stakingBorrowAccrual = 0
+    // amountrs
+    let deposits = 0
+    let debt = 0
+    let collateral = 0
+    let borrowDiscountedCollateral = 0
+    let adjustedDebt = 0
+    for (let i = 0; i < assetKeys.length; i++) {
+      const asset = assetKeys[i]
+      const { depositsUSD, debtUSD } = payload.lendingPositions[posId].positions[asset]
+      if (!lenderData?.[asset]) continue;
+      const { depositRate, stakingYield, variableBorrowRate, rewards } = lenderData[asset]
+      // amounts
+      deposits += depositsUSD
+      debt += debtUSD
+      // rewards
+      Object.entries(rewards ?? {}).map(([key, rewardData]) => {
+        rewardDepositAccrual += rewardData.depositRate * depositsUSD
+        rewardBorrowAccrual += rewardData.variableBorrowRate * debtUSD + rewardData.stableBorrowRate * debtUSD
+      })
+      // staking
+      stakingDepositAccrual += (stakingYield ?? 0) * depositsUSD
+      stakingBorrowAccrual += (stakingYield ?? 0) * debtUSD
+
+      const config = lenderData[asset].config[mode]
+
+      // risk adjusted
+      collateral += (config?.collateralFactor ?? 1) * depositsUSD
+      borrowDiscountedCollateral += (config?.borrowCollateralFactor ?? 1) * depositsUSD
+      adjustedDebt += (config?.borrowFactor ?? 1) * debtUSD
+
+      // IRs
+      depositInterest += depositRate * depositsUSD
+      borrowInterest += debtUSD * variableBorrowRate
+
+    }
+    const nav = deposits - debt
+
+    // aggregated balance data
+    balanceData[posId] = {
+      borrowDiscountedCollateral,
+      collateral,
+      deposits,
+      debt,
+      adjustedDebt,
+      nav,
+      deposits24h: histData[posId]?.totalDeposits24h,
+      debt24h: histData[posId]?.totalDebt24h,
+      nav24h: histData[posId]?.totalDeposits24h - histData[posId]?.totalDebt24h,
+    }
+
+    // aggregated apr data
+    aprData[posId] = {
+      apr: safeDivide(depositInterest - borrowInterest, nav),
+      borrowApr: safeDivide(borrowInterest, debt),
+      depositApr: safeDivide(depositInterest, deposits),
+      rewardApr: safeDivide(rewardDepositAccrual + rewardBorrowAccrual, nav),
+      rewardDepositApr: safeDivide(rewardDepositAccrual, deposits),
+      rewardBorrowApr: safeDivide(rewardBorrowAccrual, debt),
+      stakingApr: safeDivide(stakingDepositAccrual - stakingBorrowAccrual, nav),
+      stakingDepositApr: safeDivide(stakingDepositAccrual, deposits),
+      stakingBorrowApr: safeDivide(stakingBorrowAccrual, debt),
+    }
+  }
+  return {
+    account,
+    chainId,
+    balanceData,
+    aprData,
+    userConfigs
+  }
+}

package/src/lending/user-data/utils/formatting/generalFormatters.ts

@@ -0,0 +1,121 @@
+import _ from 'lodash'
+import { LenderConfigMap } from '../../types'
+
+export const safeDivide = (a: number, b: number) => {
+  return a === 0 || isNaN(a) ? 0 : b !== 0 ? a / b : Infinity
+}
+
+export function capitalizeFirstLetter(data: string) {
+  if (!data) return ''
+  return data.charAt(0).toUpperCase() + data.slice(1)
+}
+
+/**
+ * Formats e.g. 0.04 to 4%
+ * @param n ratio
+ * @param decs decimals to show
+ * @returns percent as string
+ */
+export const formatRatioToPercent = (n: number, decs: number) => {
+  return `${n >= 0 ? '+' : ''}${roundNumber(n * 100, decs)}%`
+}
+
+/**
+ * Formats e.g. 0.04 to 4%, adds a + if positive
+ * @param n ratio
+ * @param decs decimals to show
+ * @returns percent as string
+ */
+export const formatSignedRatioToPercent = (n: number, decs: number) => {
+  if (n > 1e7) return '>100K%' // we ceil percentages at 100k and abbreviate
+  return `${n > 0 ? '+' : ''}${roundNumber(n * 100, decs)}%` // we assume no lower values that -100%
+}
+
+export const formatSignedRatioToPercentSign = (n: number, decs: number, skipSign = false) => {
+  if (n > 1e7) return '>100K%' // we ceil percentages at 100k and abbreviate
+  // Skip the sign when icons are used
+  return `${skipSign ? '' : n > 0 ? '+' : ''}${roundNumber(Math.abs(n * 100), decs)}%`
+}
+
+/**
+ * Formats e.g. 4 to 4%
+ * @param n percent number
+ * @param decs decimals to show
+ * @returns percent as string
+ */
+export const formatNumberToPercent = (n: number | undefined, decs = 2) => {
+  if (!n) return '0%'
+  if (isNaN(n)) return ''
+  return `${roundNumber(Number(n ?? 0), decs)}%`
+}
+
+export const formatPercentagePoints = (n: number, decs: number) => {
+  return `${roundNumber(n * 100, decs)}pp`
+}
+
+export const formatNumber = (n: number, decs: number) => {
+  if (!n) return '0'
+  if (isNaN(n)) return ''
+  return roundNumber(n, decs).toLocaleString()
+}
+
+/**
+ * Round using lodash
+ * @param n number to round
+ * @param decs decimals
+ * @returns number
+ */
+export const roundNumber = (n: number, decs: number) => {
+  return _.round(n, decs)
+}
+
+/**
+ * Converts a colateral factor e.g. 0.8 to 1/(1-0.8) = 5
+ * @param n amount
+ * @param decs decimals to show
+ * @returns leverage as string
+ */
+export const convertCollateralFactorToLeverage = (n: number, decs: number): number => {
+  return roundNumber(1 / (1 - n), decs)
+}
+
+export const parseToTimes = (n: number) => `${n}×`
+
+export const parseToTimesPrefix = (n: number) => `×${n}`
+
+export const parseLeverage = (cf: number, decs = 2) => parseToTimes(convertCollateralFactorToLeverage(cf, decs))
+
+export const parseLeverageRange = (config: LenderConfigMap) => {
+  const levs = _.uniq(
+    Object.values(config ?? {}).map((cfg) => convertCollateralFactorToLeverage(cfg.borrowCollateralFactor, 2)),
+  )
+  if (!levs) return ''
+  if (levs.length === 1) return parseToTimes(levs[0])
+  return `${_.min(levs)}-${parseToTimes(Number(_.max(levs)))}`
+}
+
+/**
+ * Get apr from intinsic interest and reward
+ * @param apr apr number
+ * @param reward reward [per year] number
+ * @returns number, validated for NaN
+ */
+export const getApr = (apr: number, reward: number, staking: number) => {
+  const aprClean = !isNaN(apr) ? apr : 0
+  const rewardClean = !isNaN(reward) ? reward : 0
+  const stakingClean = !isNaN(staking) ? staking : 0
+  if (aprClean + rewardClean + stakingClean < 0.01 && aprClean + rewardClean + stakingClean > -0.01) return '-'
+  return `${(aprClean + rewardClean + stakingClean).toFixed(2)}%`
+}
+
+// Converters from apy to apr and reversed
+
+const SECONDS_PER_YEAR = 31536000
+
+export const aprToApy = (apr: number) => {
+  return (1 + apr / SECONDS_PER_YEAR) ** SECONDS_PER_YEAR - 1
+}
+
+export const apyToApr = (apy: number) => {
+  return ((apy + 1) ** (1 / SECONDS_PER_YEAR) - 1) * SECONDS_PER_YEAR
+}

package/src/lending/user-data/utils/formatting/index.ts

@@ -0,0 +1 @@
+export * from "./generalFormatters"

package/src/lending/user-data/utils/index.ts

@@ -0,0 +1,19 @@
+import { UserApr } from "../types"
+import { safeDivide } from "./formatting"
+
+export * from "./createGeneralUserState"
+export * from "./formatting"
+export * from "./createMultiAccountStyleUserState"
+
+export function divideAccrualsToAprs(aprs: { [assets: string]: UserApr }, nav: number, deposits: number, debt: number) {
+    if (nav === 0) return {}
+    let d: any = {}
+    Object.entries(aprs).map(([k, data]) => {
+      d[k] = {
+        apr: safeDivide(data.borrowApr + data.depositApr, nav),
+        borrowApr: safeDivide(data.borrowApr, debt),
+        depositApr: safeDivide(data.depositApr, deposits),
+      }
+    })
+    return d
+  }