@1delta/margin-fetcher 0.0.13 → 0.0.15-0.1

package/src/lending-pairs/computeLendingPairs.ts

@@ -1,445 +0,0 @@
-import { getAssetMeta, toGenericPriceKey, toOracleKey } from "../assets";
-import {
-	getLiquidityThresholds,
-	meetsLiquidityThresholds,
-} from "../assets/liquidityThresholds";
-import { ConfigEntry, LenderData, PoolData } from "../types";
-import { isAaveV3Type, isInit } from "../utils";
-
-export interface LendingPair {
-	// lender info
-	chainId: string;
-	lender: string;
-	// asset addresses
-	assetLong: string;
-	assetShort: string;
-
-	// asset group for long asset
-	assetGroupLong: string;
-	// asset group for short asset
-	assetGroupShort: string;
-	// pair prices
-	price: number;
-	price24h: number;
-	priceChange: number;
-
-	// pair props
-	maxLeverage: number;
-	apr: number;
-	baseApr: number;
-	rewardApr: number;
-	tags?: string[];
-	eMode?: number;
-
-	// liquidity data
-	longTotalDepositsUSD: number;
-	longTotalDebtUSD: number;
-	longTotalLiquidityUSD: number;
-	shortTotalDepositsUSD: number;
-	shortTotalDebtUSD: number;
-	shortTotalLiquidityUSD: number;
-
-	// status flags
-	longIsActive: boolean;
-	longIsFrozen: boolean;
-	shortIsActive: boolean;
-	shortIsFrozen: boolean;
-	shortBorrowingEnabled: boolean;
-}
-
-const isEMode = (longData: PoolData, shortData: PoolData) =>
-	Boolean(longData.eMode)
-		? Number(longData.eMode?.category) > 0 &&
-		  Number(longData.eMode?.category) === shortData.eMode?.category
-		: false;
-
-const intersection = <T>(a0: T[], a1: T[]): T[] => {
-	return a0.filter((a) => a1.includes(a));
-};
-const LENDER_MODE_NO_MODE = 0;
-
-// calculate the maximum  leverage for a given pair
-const getMaxLeverage = (
-	lender: string,
-	longData: PoolData,
-	shortData: PoolData
-) => {
-	// for Aave V3 we check for eModes
-	if (isAaveV3Type(lender)) {
-		const cf = isEMode(longData, shortData)
-			? longData.config[longData.eMode?.category ?? 0]?.borrowCollateralFactor
-			: longData.config[LENDER_MODE_NO_MODE]?.borrowCollateralFactor;
-		return 1 / (1 - cf);
-	}
-	// for init, we match the modes and find the one with the highest collatearal factor
-	if (isInit(lender)) {
-		const modeIntersect = intersection(
-			Object.values(longData.config).map((c: ConfigEntry) => c.category),
-			Object.values(shortData.config).map((c: ConfigEntry) => c.category)
-		);
-
-		if (modeIntersect.length === 0) return 1;
-		const configId = Object.values(longData.config)
-			.filter((c: ConfigEntry) => modeIntersect.includes(c.category))
-			.sort((c: ConfigEntry, d: ConfigEntry) =>
-				c.borrowCollateralFactor < d.borrowCollateralFactor ? 1 : -1
-			)[0].category;
-
-		// we have to use the adjusted formula with the borrowFactor here
-		const cf = longData.config[configId]?.borrowCollateralFactor;
-		const bf = shortData.config[configId]?.borrowFactor;
-		return 1 / (1 - cf / bf);
-	}
-	// all other cases use the default mode no_mode without borrowFactor
-	const cf =
-		longData?.config?.[LENDER_MODE_NO_MODE]?.borrowCollateralFactor ?? 0.8;
-	return 1 / (1 - cf);
-};
-
-/** create array of pairs for given lender data */
-export function generateLendingPairs(
-	lenderData: LenderData,
-	prices: { [k: string]: number },
-	histPrices: { [k: string]: number }
-): LendingPair[] {
-	const pairs: LendingPair[] = [];
-
-	for (const chainId in lenderData) {
-		const chainEntry = lenderData[chainId];
-		const lenderToData = chainEntry.data ?? chainEntry;
-
-		for (const lender in lenderToData) {
-			const lenderEntry = lenderToData[lender];
-
-			// protect agaist error data
-			let pools: any[] = Object.values(
-				lenderEntry?.data ?? lenderEntry ?? {}
-			).map((a: any) => (a?.data ? a.data : a));
-
-			// sometimes error messages are included
-			const hasErrorMessages = pools.some(
-				(p: any) =>
-					typeof p === "string" &&
-					(p.includes("No lenders available") || p.includes("Failed to fetch"))
-			);
-
-			if (hasErrorMessages) continue;
-
-			// cast to poolData
-			const validPools: PoolData[] = pools.filter(
-				(p: any) => typeof p === "object" && p !== null
-			);
-			const poolArray = validPools.filter((p) => !p?.isFrozen);
-
-			// Loop through all ordered pairs of pools
-			for (let i = 0; i < poolArray.length; i++) {
-				for (let j = 0; j < poolArray.length; j++) {
-					if (i === j) continue;
-
-					const long = poolArray[i];
-					const short = poolArray[j];
-					if (!short.borrowingEnabled) continue;
-
-					// Skip same asset pairs
-					if (long.underlying === short.underlying) continue;
-
-					const maxDepositLeverage = getMaxLeverage(lender, long, short);
-					const borrowLeverage = maxDepositLeverage - 1;
-					const depositLeverage = borrowLeverage + 1;
-					let collateralRewards = 0;
-					let borrowRewards = 0;
-					const rewards: any = {};
-					// get the rewards from the collateral
-					for (const [rewardId, baseYields] of Object.entries(
-						long.rewards ?? {}
-					)) {
-						collateralRewards += baseYields.depositRate;
-						if (baseYields.depositRate > 0)
-							rewards[rewardId] = baseYields.depositRate * depositLeverage;
-					}
-					// get the rewards from debt
-					for (const [rewardId, baseYields] of Object.entries(
-						short.rewards ?? {}
-					)) {
-						const borrowRate =
-							baseYields.stableBorrowRate >= baseYields.variableBorrowRate
-								? baseYields.stableBorrowRate
-								: baseYields.variableBorrowRate;
-						borrowRewards += borrowRate;
-						if (borrowRate != 0)
-							rewards[rewardId] =
-								(rewards[rewardId] ?? 0) + borrowRate * borrowLeverage;
-					}
-					const depositApr = long.depositRate + long.stakingYield;
-					const borrowApr = short.variableBorrowRate + short.stakingYield;
-
-					const [assetGroupLong, keyLong] = getPriceKey(
-						long.underlying,
-						chainId
-					);
-					const [assetGroupShort, keyShort] = getPriceKey(
-						short.underlying,
-						chainId
-					);
-					const priceLong = prices[keyLong] ?? 0;
-					const priceShort = prices[keyShort] ?? 0;
-
-					const price24hLong = histPrices[keyLong] ?? priceLong;
-					const price24hShort = histPrices[keyShort] ?? priceShort;
-
-					const price = priceShort !== 0 ? priceLong / priceShort : 0;
-					const price24h =
-						price24hShort !== 0 ? price24hLong / price24hShort : 0;
-
-					// only base apr
-					const baseApr =
-						depositApr * depositLeverage - borrowApr * borrowLeverage;
-
-					// only rewards apr
-					const rewardApr =
-						collateralRewards * depositLeverage +
-						borrowRewards * borrowLeverage;
-
-					// total apr
-					const totalApr = baseApr + rewardApr;
-
-					pairs.push({
-						chainId,
-						lender,
-						assetLong: long.underlying,
-						assetShort: short.underlying,
-						price,
-						price24h,
-						assetGroupLong,
-						assetGroupShort,
-						priceChange: price24h === 0 ? 0 : (price - price24h) / price24h,
-						maxLeverage: maxDepositLeverage,
-						apr: totalApr,
-						baseApr,
-						rewardApr,
-						eMode: long.eMode?.category ?? 0,
-						longTotalDepositsUSD: long.totalDepositsUSD,
-						longTotalDebtUSD: long.totalDebtUSD,
-						longTotalLiquidityUSD: long.totalLiquidityUSD,
-						shortTotalDepositsUSD: short.totalDepositsUSD,
-						shortTotalDebtUSD: short.totalDebtUSD,
-						shortTotalLiquidityUSD: short.totalLiquidityUSD,
-						longIsActive: long.isActive,
-						longIsFrozen: long.isFrozen,
-						shortIsActive: short.isActive,
-						shortIsFrozen: short.isFrozen,
-						shortBorrowingEnabled: short.borrowingEnabled,
-					});
-				}
-			}
-		}
-	}
-
-	return pairs;
-}
-
-function getPriceKey(asset: string, chainId: string): [string, string] {
-	const assetGroup = getAssetMeta(chainId, asset)?.assetGroup;
-	return [
-		assetGroup,
-		toOracleKey(assetGroup) ?? toGenericPriceKey(asset, chainId),
-	];
-}
-
-const MAX_ENTRIES = 10;
-
-function filterPairsByCategory(
-	pairs: LendingPair[],
-	longFilter: (group: string) => boolean,
-	shortFilter: (group: string) => boolean
-): LendingPair[] {
-	return pairs
-		.filter((p) => {
-			if (!longFilter(p.assetGroupLong) || !shortFilter(p.assetGroupShort)) {
-				return false;
-			}
-
-			if (
-				p.assetGroupShort?.includes("PT-") ||
-				p.assetGroupLong?.includes("PT-")
-			) {
-				return false;
-			}
-
-			if (
-				!p.longIsActive ||
-				p.longIsFrozen ||
-				!p.shortIsActive ||
-				p.shortIsFrozen
-			) {
-				return false;
-			}
-
-			if (!p.shortBorrowingEnabled) {
-				return false;
-			}
-
-			// apply liquidity thresholds
-			const longThresholds = getLiquidityThresholds(
-				p.chainId,
-				p.assetLong,
-				p.assetGroupLong
-			);
-			const shortThresholds = getLiquidityThresholds(
-				p.chainId,
-				p.assetShort,
-				p.assetGroupShort
-			);
-
-			const longMeetsThresholds = meetsLiquidityThresholds(
-				{
-					totalDepositsUSD: p.longTotalDepositsUSD,
-					totalDebtUSD: p.longTotalDebtUSD,
-					totalLiquidityUSD: p.longTotalLiquidityUSD,
-				},
-				longThresholds
-			);
-
-			const shortMeetsThresholds = meetsLiquidityThresholds(
-				{
-					totalDepositsUSD: p.shortTotalDepositsUSD,
-					totalDebtUSD: p.shortTotalDebtUSD,
-					totalLiquidityUSD: p.shortTotalLiquidityUSD,
-				},
-				shortThresholds
-			);
-
-			if (!longMeetsThresholds || !shortMeetsThresholds) {
-				return false;
-			}
-
-			return true;
-		})
-		.sort((a, b) => b.apr - a.apr)
-		.slice(0, MAX_ENTRIES);
-}
-
-export function getTopPairs(pairs: LendingPair[]) {
-	const stables = filterPairsByCategory(
-		pairs,
-		(group) => group?.includes("USD") ?? false,
-		(group) => group?.includes("USD") ?? false
-	);
-
-	const btcLst = filterPairsByCategory(
-		pairs,
-		(group) => group?.includes("BTC") ?? false,
-		(group) => group?.includes("BTC") ?? false
-	);
-
-	const ethLst = filterPairsByCategory(
-		pairs,
-		(group) => group?.includes("ETH") ?? false,
-		(group) => group?.includes("ETH") ?? false
-	);
-
-	return {
-		stables,
-		btcLst,
-		ethLst,
-		gainers: getDistinctPairsByShortAsset(pairs).slice(0, MAX_ENTRIES),
-	};
-}
-
-function isStable(assetGroup: string): boolean {
-	return assetGroup.includes("USD");
-}
-
-export function getDistinctPairsByShortAsset(
-	pairs: LendingPair[]
-): LendingPair[] {
-	const qualityPairs = pairs.filter((p) => {
-		if (!isFinite(p.apr) || !isFinite(p.priceChange)) {
-			return false;
-		}
-
-		if (
-			!p.longIsActive ||
-			p.longIsFrozen ||
-			!p.shortIsActive ||
-			p.shortIsFrozen
-		) {
-			return false;
-		}
-
-		if (!p.shortBorrowingEnabled) {
-			return false;
-		}
-
-		// Apply liquidity thresholds
-		const longThresholds = getLiquidityThresholds(
-			p.chainId,
-			p.assetLong,
-			p.assetGroupLong
-		);
-		const shortThresholds = getLiquidityThresholds(
-			p.chainId,
-			p.assetShort,
-			p.assetGroupShort
-		);
-
-		const longMeetsThresholds = meetsLiquidityThresholds(
-			{
-				totalDepositsUSD: p.longTotalDepositsUSD,
-				totalDebtUSD: p.longTotalDebtUSD,
-				totalLiquidityUSD: p.longTotalLiquidityUSD,
-			},
-			longThresholds
-		);
-
-		const shortMeetsThresholds = meetsLiquidityThresholds(
-			{
-				totalDepositsUSD: p.shortTotalDepositsUSD,
-				totalDebtUSD: p.shortTotalDebtUSD,
-				totalLiquidityUSD: p.shortTotalLiquidityUSD,
-			},
-			shortThresholds
-		);
-
-		if (!longMeetsThresholds || !shortMeetsThresholds) {
-			return false;
-		}
-
-		if (
-			p.assetGroupShort?.includes("PT-") ||
-			p.assetGroupLong?.includes("PT-")
-		) {
-			return false;
-		}
-
-		return true;
-	});
-
-	const sorted = [...qualityPairs].sort(
-		(a, b) => b.priceChange - a.priceChange
-	);
-
-	const blacklist = new Set<string>();
-	const blacklistLong = new Set<string>();
-	const result: LendingPair[] = [];
-
-	for (const pair of sorted) {
-		const shortGroup = pair.assetGroupShort;
-		const longGroup = pair.assetGroupLong;
-
-		if (blacklist.has(shortGroup) || blacklistLong.has(longGroup)) continue;
-
-		result.push(pair);
-
-		// Only blacklist if not a stablecoin
-		if (!isStable(shortGroup)) {
-			blacklist.add(shortGroup);
-		}
-		if (!isStable(longGroup)) {
-			blacklistLong.add(longGroup);
-		}
-		if (result.length >= 10) return result;
-	}
-
-	return result;
-}

package/src/lending-pairs/index.ts

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