@1delta/margin-fetcher 0.0.8 → 0.0.10

package/src/lending-pairs/computeLendingPairs.ts

@@ -1,213 +1,445 @@
-import { getAssetMeta, toGenericPriceKey, toOracleKey } from "../assets"
-import { ConfigEntry, LenderData, PoolData } from "../types"
-import { isAaveV3Type, isInit } from "../utils"
+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
-    tags?: string[]
-    eMode?: number
+	// 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 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
+	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)
-}
+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
-            // @ts-ignore
-            let pools: PoolData[] = Object.values(lenderEntry?.data ?? lenderEntry ?? {}).map(a => a?.data ? a.data : a);
-
-            // sometimes error messages are included
-            // @ts-ignore
-            if (pools.includes("No lenders available") || pools.includes("Failed to fetch")) continue;
-            const poolArray = pools.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
-
-
-                    pairs.push({
-                        chainId,
-                        lender,
-                        assetLong: long.underlying,
-                        assetShort: short.underlying,
-                        price,
-                        price24h,
-                        assetGroupLong,
-                        assetGroupShort,
-                        priceChange: price24h === 0 ? 0 : (price - price24h) / price24h,
-                        maxLeverage: maxDepositLeverage,
-                        apr: (depositApr + collateralRewards) * depositLeverage + (borrowRewards - borrowApr) * borrowLeverage,
-                        eMode: long.eMode?.category ?? 0
-                    });
-                }
-            }
-        }
-    }
-
-    return pairs;
+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 assetGroup = getAssetMeta(chainId, asset)?.assetGroup;
+	return [
+		assetGroup,
+		toOracleKey(assetGroup) ?? toGenericPriceKey(asset, chainId),
+	];
 }
 
-const MAX_ENTRIES = 10
+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 = pairs.filter(p => p.assetGroupLong?.includes("USD") && p.assetGroupShort?.includes("USD") && !p.assetGroupShort?.includes("PT-")).sort((a, b) => a.apr > b.apr ? -1 : 1).slice(0, MAX_ENTRIES)
-    const btcLst = pairs.filter(p => p.assetGroupLong?.includes("BTC") && p.assetGroupShort?.includes("BTC") && !p.assetGroupShort?.includes("PT-")).sort((a, b) => a.apr > b.apr ? -1 : 1).slice(0, MAX_ENTRIES)
-    const ethLst = pairs.filter(p => p.assetGroupLong?.includes("ETH") && p.assetGroupShort?.includes("ETH") && !p.assetGroupShort?.includes("PT-")).sort((a, b) => a.apr > b.apr ? -1 : 1).slice(0, MAX_ENTRIES)
-
-    return {
-        stables,
-        btcLst,
-        ethLst,
-        gainers: getDistinctPairsByShortAsset(pairs).slice(0, MAX_ENTRIES),
-    }
+	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");
+	return assetGroup.includes("USD");
 }
 
 export function getDistinctPairsByShortAsset(
-    pairs: LendingPair[],
+	pairs: LendingPair[]
 ): LendingPair[] {
-    const sorted = [...pairs].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;
-}
+	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;
+}