@atomicfinance/bitcoin-dlc-provider 4.2.6 → 4.2.8

package/.yalc/@node-dlc/core/lib/dlc/finance/Builder.ts

@@ -1,730 +0,0 @@
-import { Value } from '@node-dlc/bitcoin';
-import {
-  DigitDecompositionEventDescriptorV0,
-  MessageType,
-  NumericalDescriptor,
-  OracleAnnouncement,
-  OrderOffer,
-  OrderPositionInfo,
-  PayoutFunction,
-  RoundingIntervals,
-  SingleContractInfo,
-  SingleOracleInfo,
-} from '@node-dlc/messaging';
-import {
-  BitcoinNetwork,
-  BitcoinNetworks,
-  chainHashFromNetwork,
-} from 'bitcoin-networks';
-import Decimal from 'decimal.js';
-
-import { dustThreshold } from '../CoinSelect';
-import { getFinalizerByCount } from '../TxFinalizer';
-import { CoveredCall } from './CoveredCall';
-import { LinearPayout } from './LinearPayout';
-import { LongCall } from './LongCall';
-import { LongPut } from './LongPut';
-import { ShortPut } from './ShortPut';
-
-export const UNIT_MULTIPLIER = {
-  bits: BigInt(1e2),
-  sats: BigInt(1),
-};
-
-/**
- * Round a number to the nearest multiple of a given multiplier.
- *
- * @param num - The number to be rounded.
- * @param multiplier - The multiplier to round to.
- * @returns The number rounded to the nearest multiple of the multiplier.
- *
- * @example
- * ```typescript
- * // Example: rounding to nearest 100
- * const number = BigInt(354);
- * const multiplier = BigInt(100);
- * const roundedNumber = roundToNearestMultiplier(number, multiplier);
- * console.log(roundedNumber); // Output: 300
- * ```
- */
-export const roundToNearestMultiplier = (
-  num: bigint,
-  multiplier: bigint,
-): bigint => (num / multiplier) * multiplier;
-
-/**
- * Round a number up to the nearest multiple of a given multiplier.
- *
- * @param num - The number to be rounded.
- * @param multiplier - The multiplier to round to.
- * @returns The number rounded up to the nearest multiple of the multiplier.
- *
- * @example
- * ```typescript
- * // Example: rounding up to nearest 100
- * const number = BigInt(354);
- * const multiplier = BigInt(100);
- * const roundedNumber = roundToNearestMultiplier(number, multiplier);
- * console.log(roundedNumber); // Output: 400
- * ```
- */
-export const roundUpToNearestMultiplier = (
-  num: bigint,
-  multiplier: bigint,
-): bigint => ((num + multiplier - BigInt(1)) / multiplier) * multiplier;
-
-export const roundDownToNearestMultiplier = (
-  num: bigint,
-  multiplier: bigint,
-): bigint => num - (num % multiplier);
-
-export type DlcParty = 'offeror' | 'acceptor' | 'neither';
-
-/**
- * Compute rounding intervals for a linear or hyperbola payout curve
- *
- * @param {number | bigint | Value} rounding rounding interval in sats
- * @param {number | bigint | Value} contractSize contract size in sats
- * @returns rounding mod for contract size
- */
-export const computeRoundingModulus = (
-  rounding: number | bigint | Value,
-  contractSize: number | bigint | Value,
-): bigint => {
-  const roundingInSats =
-    rounding instanceof Value
-      ? rounding.sats
-      : typeof rounding === 'number'
-      ? BigInt(Math.round(rounding * 1e8)) // Convert bitcoin amount to satoshis
-      : rounding;
-
-  const contractSizeInSats =
-    contractSize instanceof Value
-      ? contractSize.sats
-      : typeof contractSize === 'number'
-      ? BigInt(Math.round(contractSize * 1e8)) // Convert bitcoin amount to satoshis
-      : contractSize;
-
-  return (roundingInSats * contractSizeInSats) / BigInt(1e8);
-};
-
-/**
- * Get digit decomposition event descriptor from oracle announcement
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @returns {DigitDecompositionEventDescriptorV0} event descriptor
- */
-export const getDigitDecompositionEventDescriptor = (
-  announcement: OracleAnnouncement,
-): DigitDecompositionEventDescriptorV0 => {
-  if (
-    announcement.oracleEvent.eventDescriptor.type !==
-    MessageType.DigitDecompositionEventDescriptorV0
-  )
-    throw Error('Only DigitDecompositionEventDescriptorV0 currently supported');
-
-  const eventDescriptor = announcement.oracleEvent
-    .eventDescriptor as DigitDecompositionEventDescriptorV0;
-
-  return eventDescriptor;
-};
-
-/**
- * Build an orderoffer for ContractDescriptorV1
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @param {bigint} totalCollateral total collateral in satoshis
- * @param {bigint} offerCollateral offer collateral in satoshis
- * @param {PayoutFunction} payoutFunction
- * @param {RoundingIntervals} roundingIntervals
- * @param {bigint} feePerByte sats/vbyte
- * @param {NetworkName} network
- * @returns {OrderOffer} Returns order offer
- */
-export const buildOrderOffer = (
-  announcement: OracleAnnouncement,
-  totalCollateral: bigint,
-  offerCollateral: bigint,
-  payoutFunction: PayoutFunction,
-  roundingIntervals: RoundingIntervals,
-  feePerByte: bigint,
-  network: string,
-): OrderOffer => {
-  const eventDescriptor = getDigitDecompositionEventDescriptor(announcement);
-
-  const contractDescriptor = new NumericalDescriptor();
-  contractDescriptor.numDigits = eventDescriptor.nbDigits;
-  contractDescriptor.payoutFunction = payoutFunction;
-  contractDescriptor.roundingIntervals = roundingIntervals;
-
-  const oracleInfo = new SingleOracleInfo();
-  oracleInfo.announcement = announcement;
-
-  const contractInfo = new SingleContractInfo();
-  contractInfo.totalCollateral = totalCollateral;
-  contractInfo.contractDescriptor = contractDescriptor;
-  contractInfo.oracleInfo = oracleInfo;
-
-  const orderOffer = new OrderOffer();
-
-  // Set required fields for OrderOffer
-  orderOffer.contractFlags = Buffer.from('00', 'hex'); // Default contract flags
-  // Generate a random 32-byte temporary contract ID
-  orderOffer.temporaryContractId = Buffer.from(
-    Array.from({ length: 32 }, () => Math.floor(Math.random() * 256)),
-  );
-  orderOffer.chainHash = chainHashFromNetwork(BitcoinNetworks[network]);
-  orderOffer.contractInfo = contractInfo;
-  orderOffer.offerCollateral = offerCollateral; // Use correct property name
-  orderOffer.feeRatePerVb = feePerByte;
-  orderOffer.cetLocktime = Math.floor(new Date().getTime() / 1000); // set to current time
-  orderOffer.refundLocktime =
-    announcement.oracleEvent.eventMaturityEpoch + 2419200; // 4 weeks after maturity
-
-  return orderOffer;
-};
-
-/**
- * Builds an order offer for a covered call or short put
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @param {number} contractSize contract size in satoshis
- * @param {number} strikePrice strike price of contract
- * @param {number} premium premium of contract in satoshis
- * @param {number | bigint} feePerByte sats/vbyte
- * @param {number} rounding rounding interval
- * @param {string} network bitcoin network type
- * @param {string} type call or put
- * @param {number} _totalCollateral total collateral in satoshis (applicable only for short put)
- * @returns {OrderOffer} Returns order offer
- */
-export const buildOptionOrderOffer = (
-  announcement: OracleAnnouncement,
-  contractSize: Value,
-  strikePrice: number,
-  premium: Value,
-  feePerByte: number | bigint,
-  rounding: number,
-  network: string,
-  type: 'call' | 'put',
-  direction: 'long' | 'short',
-  _totalCollateral?: Value,
-): OrderOffer => {
-  const eventDescriptor = getDigitDecompositionEventDescriptor(announcement);
-
-  let totalCollateral: bigint;
-  let payoutFunctionInfo: {
-    payoutFunction: PayoutFunction;
-    totalCollateral?: bigint;
-  };
-
-  const roundingIntervals = new RoundingIntervals();
-  const roundingMod = computeRoundingModulus(rounding, contractSize);
-
-  if (direction === 'short') {
-    if (type === 'call') {
-      payoutFunctionInfo = CoveredCall.buildPayoutFunction(
-        BigInt(strikePrice),
-        contractSize.sats,
-        eventDescriptor.base,
-        eventDescriptor.nbDigits,
-      );
-
-      totalCollateral = payoutFunctionInfo.totalCollateral;
-      roundingIntervals.intervals = [
-        {
-          beginInterval: BigInt(0),
-          roundingMod: BigInt(1),
-        },
-        {
-          beginInterval: BigInt(strikePrice),
-          roundingMod,
-        },
-      ];
-    } else {
-      payoutFunctionInfo = ShortPut.buildPayoutFunction(
-        BigInt(strikePrice),
-        contractSize.sats,
-        _totalCollateral.sats,
-        eventDescriptor.base,
-        eventDescriptor.nbDigits,
-      );
-      totalCollateral = _totalCollateral.sats;
-      roundingIntervals.intervals = [
-        {
-          beginInterval: BigInt(0),
-          roundingMod,
-        },
-        {
-          beginInterval: BigInt(strikePrice),
-          roundingMod: BigInt(1),
-        },
-      ];
-    }
-  } else {
-    totalCollateral = _totalCollateral.sats;
-
-    if (type === 'call') {
-      payoutFunctionInfo = LongCall.buildPayoutFunction(
-        BigInt(strikePrice),
-        contractSize.sats,
-        totalCollateral,
-        eventDescriptor.base,
-        eventDescriptor.nbDigits,
-      );
-
-      roundingIntervals.intervals = [
-        {
-          beginInterval: BigInt(0),
-          roundingMod: BigInt(1),
-        },
-        {
-          beginInterval: BigInt(strikePrice),
-          roundingMod,
-        },
-      ];
-    } else {
-      payoutFunctionInfo = LongPut.buildPayoutFunction(
-        BigInt(strikePrice),
-        contractSize.sats,
-        totalCollateral,
-        eventDescriptor.base,
-        eventDescriptor.nbDigits,
-      );
-
-      roundingIntervals.intervals = [
-        {
-          beginInterval: BigInt(0),
-          roundingMod,
-        },
-        {
-          beginInterval: BigInt(strikePrice),
-          roundingMod: BigInt(1),
-        },
-      ];
-    }
-  }
-
-  const payoutFunction = payoutFunctionInfo.payoutFunction;
-
-  const offerCollateral =
-    direction === 'short' ? totalCollateral - premium.sats : premium.sats;
-
-  return buildOrderOffer(
-    announcement,
-    totalCollateral,
-    offerCollateral,
-    payoutFunction,
-    roundingIntervals,
-    BigInt(feePerByte),
-    network,
-  );
-};
-
-/**
- * Builds an order offer for a covered call
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @param {number} contractSize contract size in satoshis
- * @param {number} strikePrice strike price of contract
- * @param {number} premium premium of contract in satoshis
- * @param {number} feePerByte sats/vbyte
- * @param {number} rounding rounding interval
- * @param {string} network bitcoin network type
- * @returns {OrderOffer} Returns order offer
- */
-export const buildCoveredCallOrderOffer = (
-  announcement: OracleAnnouncement,
-  contractSize: Value,
-  strikePrice: number,
-  premium: Value,
-  feePerByte: number,
-  rounding: number,
-  network: string,
-): OrderOffer => {
-  return buildOptionOrderOffer(
-    announcement,
-    contractSize,
-    strikePrice,
-    premium,
-    feePerByte,
-    rounding,
-    network,
-    'call',
-    'short',
-  );
-};
-
-/**
- * Builds an order offer for a short put
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @param {number} contractSize contract size in satoshis
- * @param {number} strikePrice strike price of contract
- * @param {number} totalCollateral total collateral in satoshis
- * @param {number} premium premium of contract in satoshis
- * @param {number} feePerByte sats/vbyte
- * @param {number} rounding rounding interval
- * @param {string} network bitcoin network type
- * @returns {OrderOffer} Returns order offer
- */
-export const buildShortPutOrderOffer = (
-  announcement: OracleAnnouncement,
-  contractSize: Value,
-  strikePrice: number,
-  totalCollateral: Value,
-  premium: Value,
-  feePerByte: number,
-  rounding: number,
-  network: string,
-): OrderOffer => {
-  return buildOptionOrderOffer(
-    announcement,
-    contractSize,
-    strikePrice,
-    premium,
-    feePerByte,
-    rounding,
-    network,
-    'put',
-    'short',
-    totalCollateral,
-  );
-};
-
-/**
- * Builds an order offer for a long call
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @param {number} contractSize contract size in satoshis
- * @param {number} strikePrice strike price of contract
- * @param {number} maxGain maximum amount that can be gained (totalCollateral)
- * @param {number} premium premium of contract in satoshis
- * @param {number} feePerByte sats/vbyte
- * @param {number} rounding rounding interval
- * @param {string} network bitcoin network type
- * @returns {OrderOffer} Returns order offer
- */
-export const buildLongCallOrderOffer = (
-  announcement: OracleAnnouncement,
-  contractSize: Value,
-  strikePrice: number,
-  maxGain: Value,
-  premium: Value,
-  feePerByte: number,
-  rounding: number,
-  network: string,
-): OrderOffer => {
-  return buildOptionOrderOffer(
-    announcement,
-    contractSize,
-    strikePrice,
-    premium,
-    feePerByte,
-    rounding,
-    network,
-    'call',
-    'long',
-    maxGain,
-  );
-};
-
-/**
- * Builds an order offer for a long put
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @param {number} contractSize contract size in satoshis
- * @param {number} strikePrice strike price of contract
- * @param {number} maxGain maximum amount that can be gained (totalCollateral)
- * @param {number} premium premium of contract in satoshis
- * @param {number} feePerByte sats/vbyte
- * @param {number} rounding rounding interval
- * @param {string} network bitcoin network type
- * @returns {OrderOffer} Returns order offer
- */
-export const buildLongPutOrderOffer = (
-  announcement: OracleAnnouncement,
-  contractSize: Value,
-  strikePrice: number,
-  maxGain: Value,
-  premium: Value,
-  feePerByte: number,
-  rounding: number,
-  network: string,
-): OrderOffer => {
-  return buildOptionOrderOffer(
-    announcement,
-    contractSize,
-    strikePrice,
-    premium,
-    feePerByte,
-    rounding,
-    network,
-    'put',
-    'long',
-    maxGain,
-  );
-};
-
-/**
- * Builds an order offer for a linear curve
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @param {Value} offerCollateral offer collateral amount
- * @param {Value} minPayout minimum payout
- * @param {Value} maxPayout maximum payout (also total collateral)
- * @param {bigint} startOutcome oracle outcome (in bits or sats)
- * @param {bigint} endOutcome oracle outcome (in bits or sats)
- * @param {bigint} feePerByte sats/vbyte
- * @param {Value} rounding rounding mod for RoundingInterval
- * @param {BitcoinNetwork} network bitcoin, bitcoin_testnet or bitcoin_regtest
- * @param {DlcParty} [shiftForFees] shift for offerer, acceptor or neither (who should pay fees)
- * @param {Value} [fees] fees to shift
- * @returns {OrderOffer}
- */
-export const buildLinearOrderOffer = (
-  announcement: OracleAnnouncement,
-  offerCollateral: Value,
-  minPayout: Value,
-  maxPayout: Value,
-  startOutcome: bigint,
-  endOutcome: bigint,
-  feePerByte: bigint,
-  roundingIntervals: RoundingIntervals,
-  network: BitcoinNetwork,
-  shiftForFees: DlcParty = 'neither',
-  fees: Value = Value.fromSats(0),
-): OrderOffer => {
-  if (maxPayout.lt(minPayout))
-    throw Error('maxPayout must be greater than minPayout');
-  if (endOutcome < startOutcome)
-    throw Error('endOutcome must be greater than startOutcome');
-
-  const eventDescriptor = getDigitDecompositionEventDescriptor(announcement);
-
-  const totalCollateral = maxPayout.sats;
-
-  const { payoutFunction } = LinearPayout.buildPayoutFunction(
-    minPayout.sats,
-    maxPayout.sats,
-    startOutcome,
-    endOutcome,
-    eventDescriptor.base,
-    eventDescriptor.nbDigits,
-  );
-
-  const orderOffer = buildOrderOffer(
-    announcement,
-    totalCollateral,
-    offerCollateral.sats,
-    payoutFunction,
-    roundingIntervals,
-    feePerByte,
-    network.name,
-  );
-
-  const positionInfo = new OrderPositionInfo();
-  positionInfo.shiftForFees = shiftForFees;
-  positionInfo.fees = shiftForFees === 'neither' ? BigInt(0) : fees.sats;
-  orderOffer.positionInfo = positionInfo;
-
-  return orderOffer;
-};
-
-/**
- * Builds a custom strategy order offer
- *
- * Calculates offer fees
- * calculates the minimum max gain
- * maxLoss and maxGain are normalized to 1 BTC contracts
- *
- * shiftForFees 'offeror' means 'offeror' pays network fees
- * shiftForFees 'acceptor' means 'acceptor' pays network fees
- *
- * numContracts refers to the number of DLCs in the funding transaction
- * if it's not a batch dlc funding transaction, then this is not relevant
- *
- * @param {OracleAnnouncement} announcement oracle announcement
- * @param {Value} contractSize contract size
- * @param {Value} normalizedMaxLoss maximum amount that can be lost based on 1 BTC contract
- * @param {Value} normalizedMaxGain maximum amount that can be gained based on 1 BTC contract
- * @param {bigint} feePerByte sats/vbyte
- * @param {Value} roundingIntervals rounding mod for RoundingInterval
- * @param {BitcoinNetwork} network bitcoin, bitcoin_testnet or bitcoin_regtest
- * @param {DlcParty} [shiftForFees] shift for offerer, acceptor or neither
- * @param {Value} [fees_] fees to shift
- * @param {Value} [collateral] collateral to use
- * @param {number} [numOfferInputs] number of inputs to use
- * @param {number} [numContracts] number of DLCs in the funding transaction
- *
- * @returns {OrderOffer}
- */
-export const buildCustomStrategyOrderOffer = (
-  announcement: OracleAnnouncement,
-  contractSize: Value,
-  normalizedMaxLoss: Value,
-  normalizedMaxGain: Value,
-  feePerByte: bigint,
-  roundingIntervals: RoundingIntervals,
-  network: BitcoinNetwork,
-  shiftForFees: DlcParty = 'neither',
-  fees_: Value = Value.fromSats(0), // NOTE: fees should be divided before doing batch transaction
-  collateral: Value = Value.fromSats(0),
-  numOfferInputs = 1,
-  numContracts = 1,
-  skipValidation = false,
-): OrderOffer => {
-  if (contractSize.eq(Value.zero())) {
-    throw Error('contractSize must be greater than 0');
-  }
-
-  if (collateral.eq(Value.zero())) {
-    collateral = contractSize.clone();
-  }
-
-  const eventDescriptor = getDigitDecompositionEventDescriptor(announcement);
-
-  const unit = eventDescriptor.unit;
-
-  const fees = Value.fromSats(
-    Number(new Decimal(Number(fees_.sats)).dividedBy(numContracts).toFixed(0)),
-  );
-
-  const finalizer = getFinalizerByCount(
-    feePerByte,
-    numOfferInputs,
-    1,
-    numContracts,
-  );
-  const offerFees = Value.fromSats(finalizer.offerFees);
-
-  // Use offerFees + dustThreshold for min max gain, to ensure in the case of
-  // 0 PnL the acceptor payout is not dust
-  const minMaxGainForContractSize_ = offerFees.addn(
-    Value.fromSats(dustThreshold(BigInt(feePerByte))),
-  );
-  const minMaxGainForContractSize = Value.fromSats(
-    roundUpToNearestMultiplier(
-      minMaxGainForContractSize_.sats,
-      BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
-    ),
-  );
-
-  const maxLossForContractSize = Value.fromSats(
-    roundUpToNearestMultiplier(
-      (normalizedMaxLoss.sats * contractSize.sats) / BigInt(1e8),
-      BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
-    ),
-  );
-  const tempMaxGainForContractSize = Value.fromSats(
-    roundUpToNearestMultiplier(
-      (normalizedMaxGain.sats * contractSize.sats) / BigInt(1e8),
-      BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
-    ),
-  );
-
-  const maxGainForContractSize = Value.zero();
-
-  if (tempMaxGainForContractSize.lt(minMaxGainForContractSize)) {
-    maxGainForContractSize.add(minMaxGainForContractSize);
-  } else {
-    maxGainForContractSize.add(tempMaxGainForContractSize);
-  }
-
-  const maxGainAdjusted = Value.fromSats(
-    roundToNearestMultiplier(
-      (maxGainForContractSize.sats * BigInt(1e8)) / contractSize.sats,
-      BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
-    ),
-  );
-
-  const feesAdjusted = Value.fromSats(
-    roundToNearestMultiplier(
-      (fees.sats * BigInt(1e8)) / contractSize.sats,
-      BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
-    ),
-  );
-
-  const minPayout = collateral.clone();
-  if (minPayout.lt(maxLossForContractSize.addn(maxGainForContractSize))) {
-    throw new Error(
-      'Subtraction would result in a negative value for minPayout.',
-    );
-  }
-  minPayout.sub(maxLossForContractSize);
-  minPayout.sub(maxGainForContractSize);
-  const maxPayout = collateral.clone();
-
-  const startOutcomeValue = Value.fromBitcoin(1);
-  startOutcomeValue.sub(normalizedMaxLoss);
-  const endOutcomeValue = Value.fromBitcoin(1);
-  endOutcomeValue.add(maxGainAdjusted);
-
-  if (shiftForFees === 'offeror') {
-    startOutcomeValue.add(feesAdjusted);
-    endOutcomeValue.add(feesAdjusted);
-  } else if (shiftForFees === 'acceptor') {
-    startOutcomeValue.sub(feesAdjusted);
-    endOutcomeValue.sub(feesAdjusted);
-  }
-
-  const startOutcome =
-    startOutcomeValue.sats / BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]);
-  const endOutcome =
-    endOutcomeValue.sats / BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]);
-
-  const offerCollateral = collateral.clone();
-  if (offerCollateral.lt(maxGainForContractSize)) {
-    throw new Error(
-      'Subtraction would result in a negative value for offerCollateral.',
-    );
-  }
-  offerCollateral.sub(maxGainForContractSize);
-
-  const orderOffer = buildLinearOrderOffer(
-    announcement,
-    offerCollateral,
-    minPayout,
-    maxPayout,
-    startOutcome,
-    endOutcome,
-    feePerByte,
-    roundingIntervals,
-    network,
-    shiftForFees,
-    fees,
-  );
-
-  (orderOffer.positionInfo as OrderPositionInfo).contractSize =
-    contractSize.sats;
-
-  (orderOffer.positionInfo as OrderPositionInfo).instrumentName = ((orderOffer.contractInfo as SingleContractInfo)
-    .oracleInfo as SingleOracleInfo).announcement.oracleEvent.eventId;
-
-  if (!skipValidation) orderOffer.validate();
-
-  return orderOffer;
-};
-
-interface IInterval {
-  beginInterval: bigint;
-  rounding: number | bigint | Value;
-}
-
-export const buildRoundingIntervalsFromIntervals = (
-  contractSize: Value,
-  intervals: IInterval[],
-): RoundingIntervals => {
-  const roundingIntervals = new RoundingIntervals();
-
-  roundingIntervals.intervals = intervals.map((interval) => {
-    const roundingMod = computeRoundingModulus(interval.rounding, contractSize);
-
-    return {
-      beginInterval: interval.beginInterval,
-      roundingMod,
-    };
-  });
-
-  return roundingIntervals;
-};