npm - @atomicfinance/bitcoin-dlc-provider - Versions diffs - 4.2.7 → 4.2.8 - Mend

@atomicfinance/bitcoin-dlc-provider 4.2.7 → 4.2.8

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Files changed (967) hide show

package/.yalc/@node-dlc/core/coverage/lcov-report/lib/dlc/finance/CsoInfo.ts.html DELETED Viewed

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-<html lang="en">
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-    <title>Code coverage report for lib/dlc/finance/CsoInfo.ts</title>
-    <meta charset="utf-8" />
-    <link rel="stylesheet" href="../../../prettify.css" />
-    <link rel="stylesheet" href="../../../base.css" />
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-        <h1><a href="../../../index.html">All files</a> / <a href="index.html">lib/dlc/finance</a> CsoInfo.ts</h1>
-        <div class='clearfix'>
-            <div class='fl pad1y space-right2'>
-                <span class="strong">88.62% </span>
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-<a name='L431'></a><a href='#L431'>431</a>
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-<span class="cline-any cline-neutral">&nbsp;</span></td><td class="text"><pre class="prettyprint lang-js">import { Value } from '@node-dlc/bitcoin';
-import {
-  ContractDescriptorType,
-  ContractInfo,
-  ContractInfoType,
-  DigitDecompositionEventDescriptor,
-  MessageType,
-  MultiOracleInfo,
-  NumericalDescriptor,
-  OrderPositionInfo,
-  PayoutCurvePieceType,
-  PayoutFunction,
-  PolynomialPayoutCurvePiece,
-  SingleContractInfo,
-  SingleOracleInfo,
-} from '@node-dlc/messaging';
-import assert from 'assert';
-import Decimal from 'decimal.js';
-&nbsp;
-import {
-  DlcParty,
-  roundToNearestMultiplier,
-  roundUpToNearestMultiplier,
-  UNIT_MULTIPLIER,
-} from './Builder';
-import { HasContractInfo, HasOfferCollateral, HasType } from './OptionInfo';
-&nbsp;
-export interface CsoInfo {
-  normalizedMaxGain: Value; // Max Gain Relative to 1 BTC Contract
-  normalizedMaxLoss: Value; // Max Loss Relative to 1 BTC Contract
-  maxGainForContractSize: Value; // Max Gain Relative to Contract Size
-  maxLossForContractSize: Value; // Max Loss Relative to Contract Size
-  minPayout: bigint;
-  maxPayout: bigint;
-  contractSize: Value;
-  offerCollateral: Value;
-  totalCollateral: Value;
-  expiry: Date;
-}
-&nbsp;
-export interface CsoInfoParams {
-  normalizedMaxGain: Value; // Max Gain Relative to 1 BTC Contract
-  normalizedMaxLoss: Value; // Max Loss Relative to 1 BTC Contract
-  maxGainForContractSize: Value; // Max Gain Relative to Contract Size
-  maxLossForContractSize: Value; // Max Loss Relative to Contract Size
-  offerCollateral: Value; // Offer Collateral
-}
-&nbsp;
-const ONE_BTC_CONTRACT = Value.fromBitcoin(1);
-&nbsp;
-export type MaybeHasPositionInfo = {
-  positionInfo?: OrderPositionInfo;
-};
-&nbsp;
-/**
- * getCsoInfoParamsFromContractInfo V0
- *
- * Old getCsoInfoParamsFromContractInfo implementation
- *
- * @param {Value} contractSize - The size of the contract in terms of value.
- * @param {Value} collateral - The collateral value put up for the contract.
- * @param {DlcParty} shiftForFees - Specifies which party ('offeror' or 'acceptor') will bear the fees, affecting the outcome values.
- * @param {Value} fees - The fees associated with the contract.
- * @param {string} unit - The unit of measurement for the contract outcomes (e.g., 'BTC').
- * @param {Value} startOutcomeValue - The starting outcome value for the contract.
- * @param {Value} endOutcomeValue - The ending outcome value for the contract.
- * @returns {CsoInfoParams} An object containing the calculated CSO parameters:
- *                          - normalizedMaxGain: Maximum gain relative to a 1 BTC contract.
- *                          - normalizedMaxLoss: Maximum loss relative to a 1 BTC contract.
- *                          - maxGainForContractSize: Maximum gain for the actual contract size.
- *                          - maxLossForContractSize: Maximum loss for the actual contract size.
- *                          - offerCollateral: The offer collateral value after adjustments.
- *
- * Note: This function calculates the adjusted fees incorrectly, using collateral instead of contract size. Use v1 where possible.
- */
-export const getCsoInfoParamsFromContractInfoV0 = (
-  contractSize: Value,
-  collateral: Value,
-  shiftForFees: DlcParty,
-  fees: Value,
-  unit: string,
-  startOutcomeValue: Value,
-  endOutcomeValue: Value,
-): CsoInfoParams =&gt; {
-  const leverageMultiplier = parseFloat(
-    new Decimal(contractSize.bitcoin).dividedBy(collateral.bitcoin).toFixed(1),
-  );
-&nbsp;
-  const defaultContractSize = Value.fromBitcoin(1);
-&nbsp;
-  const shiftValue =
-    collateral.sats &gt; 0
-      ? Value.fromSats(
-          roundToNearestMultiplier(
-            (fees.sats * defaultContractSize.sats) / collateral.sats, // WARNING: this should be contract size not collateral
-            UNIT_MULTIPLIER[unit.toLowerCase()], // (use v1 if possible)
-          ),
-        )
-      : <span class="branch-1 cbranch-no" title="branch not covered" >Value.zero();</span>
-&nbsp;
-  if (shiftForFees === 'offeror') {
-    startOutcomeValue.sub(shiftValue);
-    endOutcomeValue.sub(shiftValue);
-  } else <span class="missing-if-branch" title="if path not taken" >I</span>if (shiftForFees === 'acceptor') {
-<span class="cstat-no" title="statement not covered" >    startOutcomeValue.add(shiftValue);</span>
-<span class="cstat-no" title="statement not covered" >    endOutcomeValue.add(shiftValue);</span>
-  }
-&nbsp;
-  const normalizedMaxGain = endOutcomeValue.clone();
-  normalizedMaxGain.sub(ONE_BTC_CONTRACT);
-&nbsp;
-  const normalizedMaxLoss = ONE_BTC_CONTRACT.clone();
-  normalizedMaxLoss.sub(startOutcomeValue);
-&nbsp;
-  const maxGainForContractSize = Value.fromBitcoin(
-    new Decimal(normalizedMaxGain.bitcoin)
-      .times(leverageMultiplier)
-      .toDecimalPlaces(5)
-      .toNumber(),
-  );
-&nbsp;
-  const maxLossForContractSize = Value.fromBitcoin(
-    new Decimal(normalizedMaxLoss.bitcoin)
-      .times(contractSize.bitcoin)
-      .toDecimalPlaces(
-        8 - Math.log10(Number(UNIT_MULTIPLIER[unit.toLowerCase()])),
-      )
-      .toNumber(),
-  );
-&nbsp;
-  const offerCollateral = collateral.clone();
-  offerCollateral.sub(
-    Value.fromSats(
-      (maxGainForContractSize.sats * collateral.sats) / BigInt(1e8),
-    ),
-  );
-&nbsp;
-  return {
-    normalizedMaxGain,
-    normalizedMaxLoss,
-    maxGainForContractSize,
-    maxLossForContractSize,
-    offerCollateral,
-  };
-};
-&nbsp;
-/**
- * getCsoInfoParamsFromContractInfo V1
- *
- * Fixed getCsoInfoParamsFromContractInfo implementation
- *
- * @param {Value} contractSize - The size of the contract in terms of value.
- * @param {Value} collateral - The collateral value put up for the contract.
- * @param {DlcParty} shiftForFees - Specifies which party ('offeror' or 'acceptor') will bear the fees, affecting the outcome values.
- * @param {Value} fees - The fees associated with the contract.
- * @param {string} unit - The unit of measurement for the contract outcomes (e.g., 'BTC').
- * @param {Value} startOutcomeValue - The starting outcome value for the contract.
- * @param {Value} endOutcomeValue - The ending outcome value for the contract.
- * @returns {CsoInfoParams} An object containing the calculated CSO parameters:
- *                          - normalizedMaxGain: Maximum gain relative to a 1 BTC contract.
- *                          - normalizedMaxLoss: Maximum loss relative to a 1 BTC contract.
- *                          - maxGainForContractSize: Maximum gain for the actual contract size.
- *                          - maxLossForContractSize: Maximum loss for the actual contract size.
- *                          - offerCollateral: The offer collateral value after adjustments.
- *
- * This version improves upon the previous by correctly adjusting fees based on the contract size, leading to more accurate
- * calculations of CSO parameters.
- */
-export const getCsoInfoParamsFromContractInfoV1 = (
-  contractSize: Value,
-  collateral: Value,
-  shiftForFees: DlcParty,
-  fees: Value,
-  unit: string,
-  startOutcomeValue: Value,
-  endOutcomeValue: Value,
-): CsoInfoParams =&gt; {
-  const feesAdjusted = Value.fromSats(
-    roundToNearestMultiplier(
-      (fees.sats * BigInt(1e8)) / contractSize.sats, // NOTE: this is done correctly using contractSize
-      BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
-    ),
-  );
-&nbsp;
-  if (shiftForFees === 'offeror') {
-    startOutcomeValue.sub(feesAdjusted);
-    endOutcomeValue.sub(feesAdjusted);
-  } else if (shiftForFees === 'acceptor') {
-    startOutcomeValue.add(feesAdjusted);
-    endOutcomeValue.add(feesAdjusted);
-  }
-&nbsp;
-  const normalizedMaxGain = endOutcomeValue.clone();
-  normalizedMaxGain.sub(ONE_BTC_CONTRACT);
-&nbsp;
-  const normalizedMaxLoss = ONE_BTC_CONTRACT.clone();
-  normalizedMaxLoss.sub(startOutcomeValue);
-&nbsp;
-  const maxGainForContractSize = Value.fromSats(
-    roundUpToNearestMultiplier(
-      (normalizedMaxGain.sats * contractSize.sats) / BigInt(1e8),
-      BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
-    ),
-  );
-&nbsp;
-  const maxLossForContractSize = Value.fromSats(
-    roundUpToNearestMultiplier(
-      (normalizedMaxLoss.sats * contractSize.sats) / BigInt(1e8),
-      BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
-    ),
-  );
-&nbsp;
-  const offerCollateral = collateral.clone();
-  offerCollateral.sub(maxGainForContractSize);
-&nbsp;
-  return {
-    normalizedMaxGain,
-    normalizedMaxLoss,
-    maxGainForContractSize,
-    maxLossForContractSize,
-    offerCollateral,
-  };
-};
-&nbsp;
-/**
- * Decode CsoInfo from a ContractInfo object. Essentially the opposite of buildCustomStrategyOrderOffer
- *
- * @param {_contractInfo} ContractInfo - Contract Info object, containing oracle and descriptor info
- * @param {DlcParty} shiftForFees - Specifies which party ('offeror', 'acceptor', or 'neither') will pay for network fees
- * @param {Value} fees - Network fees associated with the contract. Defaults to 0 sats.
- * @param {_contractSize} Value - Optional.  If not provided, it defaults to the total collateral.
- * @param {csoVersion} 'v0' | 'v1' - Specifies the version of the CSO parameter calculation to use. Defaults to 'v1'.
- * @returns {CsoInfo} An object containing the calculated CSO information:
- *                    - normalizedMaxGain: Maximum gain relative to a 1 BTC contract.
- *                    - normalizedMaxLoss: Maximum loss relative to a 1 BTC contract.
- *                    - maxGainForContractSize: Maximum gain for the actual contract size.
- *                    - maxLossForContractSize: Maximum loss for the actual contract size.
- *                    - minPayout: Minimum payout as determined by the contract's payout function.
- *                    - maxPayout: Maximum payout as determined by the contract's payout function.
- *                    - contractSize: The size of the contract in terms of value.
- *                    - offerCollateral: The offer collateral value after adjustments.
- *                    - totalCollateral: The total collateral put up for the contract.
- *                    - expiry: The expiry date of the contract based on the oracle's event maturity epoch.
- *
- * Note: This function performs several validations to ensure that the contract information and its components are of the
- * expected types and formats.
- *       It throws errors if unsupported types or formats are encountered.
- */
-export const getCsoInfoFromContractInfo = (
-  _contractInfo: ContractInfo,
-  shiftForFees: DlcParty = <span class="branch-0 cbranch-no" title="branch not covered" >'neither',</span>
-  fees: Value = <span class="branch-0 cbranch-no" title="branch not covered" >Value.fromSats(0),</span>
-  _contractSize?: Value,
-  csoVersion: 'v0' | 'v1' = 'v1',
-): CsoInfo =&gt; {
-  <span class="missing-if-branch" title="if path not taken" >I</span>if (_contractInfo.contractInfoType !== ContractInfoType.Single)
-<span class="cstat-no" title="statement not covered" >    throw Error('Only ContractInfoV0 currently supported');</span>
-&nbsp;
-  const contractInfo = _contractInfo as SingleContractInfo;
-  <span class="missing-if-branch" title="if path not taken" >I</span>if (
-    contractInfo.contractDescriptor.contractDescriptorType !==
-    ContractDescriptorType.NumericOutcome
-  )
-<span class="cstat-no" title="statement not covered" >    throw Error('Only Numeric Descriptor currently supported');</span>
-&nbsp;
-  const oracleInfo = contractInfo.oracleInfo;
-&nbsp;
-  // Handle both SingleOracleInfo and MultiOracleInfo
-  let eventMaturityEpoch: number;
-  let eventDescriptor: DigitDecompositionEventDescriptor;
-&nbsp;
-  switch (oracleInfo.type) {
-    case MessageType.SingleOracleInfo: {
-      const singleOracleInfo = oracleInfo as SingleOracleInfo;
-      eventMaturityEpoch =
-        singleOracleInfo.announcement.oracleEvent.eventMaturityEpoch;
-      eventDescriptor = singleOracleInfo.announcement.oracleEvent
-        .eventDescriptor as DigitDecompositionEventDescriptor;
-&nbsp;
-      <span class="missing-if-branch" title="if path not taken" >I</span>if (
-        singleOracleInfo.announcement.oracleEvent.eventDescriptor.type !==
-        MessageType.DigitDecompositionEventDescriptor
-      )
-<span class="cstat-no" title="statement not covered" >        throw Error(</span>
-          'Only DigitDecompositionEventDescriptor currently supported',
-        );
-      break;
-    }
-<span class="branch-1 cbranch-no" title="branch not covered" >    case MessageType.MultiOracleInfo: {</span>
-      const multiOracleInfo = <span class="cstat-no" title="statement not covered" >oracleInfo as MultiOracleInfo;</span>
-<span class="cstat-no" title="statement not covered" >      eventMaturityEpoch =</span>
-        multiOracleInfo.announcements[0].oracleEvent.eventMaturityEpoch;
-<span class="cstat-no" title="statement not covered" >      eventDescriptor = multiOracleInfo.announcements[0].oracleEvent</span>
-        .eventDescriptor as DigitDecompositionEventDescriptor;
-&nbsp;
-<span class="cstat-no" title="statement not covered" >      if (</span>
-        multiOracleInfo.announcements[0].oracleEvent.eventDescriptor.type !==
-        MessageType.DigitDecompositionEventDescriptor
-      )
-<span class="cstat-no" title="statement not covered" >        throw Error(</span>
-          'Only DigitDecompositionEventDescriptor currently supported',
-        );
-<span class="cstat-no" title="statement not covered" >      break;</span>
-    }
-<span class="branch-2 cbranch-no" title="branch not covered" >    default:</span>
-<span class="cstat-no" title="statement not covered" >      throw Error('Unknown oracle info type');</span>
-  }
-&nbsp;
-  const contractDescriptor = contractInfo.contractDescriptor as NumericalDescriptor;
-  <span class="missing-if-branch" title="if path not taken" >I</span>if (contractDescriptor.payoutFunction.type !== MessageType.PayoutFunction)
-<span class="cstat-no" title="statement not covered" >    throw Error('Only PayoutFunction currently supported');</span>
-&nbsp;
-  const payoutFunction = contractDescriptor.payoutFunction as PayoutFunction;
-&nbsp;
-  validateCsoPayoutFunction(payoutFunction);
-&nbsp;
-  const initialPiece = payoutFunction.payoutFunctionPieces[0];
-  const midPiece = payoutFunction.payoutFunctionPieces[1];
-&nbsp;
-  const minPayout = initialPiece.endPoint.outcomePayout;
-  const maxPayout = midPiece.endPoint.outcomePayout;
-&nbsp;
-  const startOutcome = initialPiece.endPoint.eventOutcome;
-  const endOutcome = midPiece.endPoint.eventOutcome;
-&nbsp;
-  const unit = eventDescriptor.unit;
-&nbsp;
-  const collateral = Value.fromSats(contractInfo.totalCollateral);
-  const contractSize =
-    _contractSize &amp;&amp; _contractSize.sats &gt; 0 ? _contractSize : collateral;
-&nbsp;
-  const startOutcomeValue = Value.fromSats(
-    startOutcome * UNIT_MULTIPLIER[unit.toLowerCase()],
-  );
-  const endOutcomeValue = Value.fromSats(
-    endOutcome * UNIT_MULTIPLIER[unit.toLowerCase()],
-  );
-&nbsp;
-  const getCsoInfoParamsFromContractInfo =
-    csoVersion === 'v0'
-      ? getCsoInfoParamsFromContractInfoV0
-      : getCsoInfoParamsFromContractInfoV1;
-&nbsp;
-  const {
-    normalizedMaxGain,
-    normalizedMaxLoss,
-    maxGainForContractSize,
-    maxLossForContractSize,
-    offerCollateral,
-  } = getCsoInfoParamsFromContractInfo(
-    contractSize,
-    collateral,
-    shiftForFees,
-    fees,
-    unit,
-    startOutcomeValue,
-    endOutcomeValue,
-  );
-&nbsp;
-  const expiry = new Date(eventMaturityEpoch * 1000);
-&nbsp;
-  return {
-    normalizedMaxGain,
-    normalizedMaxLoss,
-    maxGainForContractSize,
-    maxLossForContractSize,
-    minPayout,
-    maxPayout,
-    contractSize,
-    offerCollateral,
-    totalCollateral: collateral,
-    expiry,
-  };
-};
-&nbsp;
-/**
- * Get CsoInfo from OrderOffer or DlcOffer and validate
- *
- * @param {HasContractInfo &amp; HasType} offer
- * @returns {CsoInfo}
- */
-export const getCsoInfoFromOffer = (
-  offer: HasContractInfo &amp; HasType &amp; HasOfferCollateral &amp; MaybeHasPositionInfo,
-  csoVersion: 'v0' | 'v1' = 'v1',
-): CsoInfo =&gt; {
-  <span class="missing-if-branch" title="if path not taken" >I</span>if (
-    offer.type !== MessageType.DlcOffer &amp;&amp;
-    offer.type !== MessageType.OrderOffer
-  )
-<span class="cstat-no" title="statement not covered" >    throw Error('Only DlcOffer and OrderOffer currently supported');</span>
-&nbsp;
-  let shiftForFees: DlcParty = 'neither';
-  const fees = Value.zero();
-  const contractSize = Value.zero();
-&nbsp;
-  if (offer.positionInfo) {
-    shiftForFees = (offer.positionInfo as OrderPositionInfo).shiftForFees;
-    fees.add(Value.fromSats((offer.positionInfo as OrderPositionInfo).fees));
-    contractSize.add(
-      Value.fromSats((offer.positionInfo as OrderPositionInfo).contractSize),
-    );
-  }
-&nbsp;
-  const positionInfo = getCsoInfoFromContractInfo(
-    offer.contractInfo,
-    shiftForFees,
-    fees,
-    contractSize,
-    csoVersion,
-  );
-&nbsp;
-  if (positionInfo.offerCollateral.sats !== offer.offerCollateral)
-    throw Error('Offer was not generated with CSO ContractInfo');
-&nbsp;
-  return positionInfo;
-};
-&nbsp;
-/**
- * Validate Payout Function for proper CSO format
- *
- * It should have 3 PayoutCurvePieces which consist of a flat line (maxLoss),
- * ascending line (maxLoss to maxGain) and finally another flat line (maxGain)
- *
- * All PayoutCurvePieces should be type PolynomialPayoutCurvePieces
- *
- * @param {PayoutFunction} payoutFunction
- */
-export const validateCsoPayoutFunction = (
-  payoutFunction: PayoutFunction,
-): void =&gt; {
-  assert(
-    payoutFunction.payoutFunctionPieces.length === 3,
-    'CSO Payout Function must have 3 PayoutFunctionPieces',
-  );
-  for (const [i, piece] of payoutFunction.payoutFunctionPieces.entries()) {
-    assert(
-      piece.payoutCurvePiece.payoutCurvePieceType ===
-        PayoutCurvePieceType.Polynomial ||
-<span class="branch-1 cbranch-no" title="branch not covered" >        piece.payoutCurvePiece.type === MessageType.PolynomialPayoutCurvePiece,</span>
-      'CSO Payout Function PayoutCurvePieces must be PolynomialCurvePieces',
-    );
-&nbsp;
-    const payoutCurvePiece = piece.payoutCurvePiece as PolynomialPayoutCurvePiece;
-    const points = payoutCurvePiece.points;
-&nbsp;
-    // eventOutcome should always be ascending
-    assert(
-      points[0].eventOutcome &lt; points[1].eventOutcome,
-      'CSO Payout Function PayoutCurvePiece point payout should be an ascending line',
-    );
-&nbsp;
-    // endpoints should always be ascending
-    let previousPiece, previousPoints;
-    if (i &gt; 0) {
-      previousPiece = payoutFunction.payoutFunctionPieces[i - 1];
-      previousPoints = previousPiece.payoutCurvePiece.points;
-      assert(
-        previousPiece.endPoint.eventOutcome &lt; piece.endPoint.eventOutcome,
-        'CSO Payout Function point endpoints should be an ascending line',
-      );
-      assert(
-        previousPoints[1].outcomePayout === points[0].outcomePayout,
-        'CSO Payout Function point outcome payout should be continuous without gaps',
-      );
-    }
-&nbsp;
-    switch (i) {
-      case 0:
-        // First piece - should start from initial endpoint
-        // maxLoss should be a flat line
-        assert(
-          points[0].outcomePayout === points[1].outcomePayout,
-          'CSO Payout Function maxLoss PayoutCurvePiece point should be a flat line',
-        );
-        break;
-      case 1:
-        // maxLoss to maxGain should be an ascending line
-        assert(
-          previousPiece.endPoint.outcomePayout &lt; piece.endPoint.outcomePayout,
-        );
-        assert(
-          points[0].outcomePayout &lt; points[1].outcomePayout,
-          'CSO Payout Function maxLoss to maxGain PayoutCurvePiece point should be an ascending line',
-        );
-        break;
-      case 2:
-        // maxGain should be a flat line
-        assert(
-          previousPiece.endPoint.outcomePayout === piece.endPoint.outcomePayout,
-        );
-        assert(
-          points[0].outcomePayout === points[1].outcomePayout,
-          'CSO Payout Function maxGain PayoutCurvePiece point should be a flat line',
-        );
-        break;
-    }
-  }
-};
-&nbsp;</pre></td></tr></table></pre>
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