@d8x/perpetuals-sdk 0.0.44 → 0.0.45

package/dist/version.d.ts

@@ -1 +1 @@
-export declare const D8X_SDK_VERSION = "0.0.43";
+export declare const D8X_SDK_VERSION = "0.0.45";

package/dist/version.js

@@ -1,4 +1,4 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.D8X_SDK_VERSION = void 0;
-exports.D8X_SDK_VERSION = "0.0.43";
+exports.D8X_SDK_VERSION = "0.0.45";

package/package.json

@@ -10,7 +10,8 @@
     "build:doc": "jsdoc2md --files ./src/accountTrade.ts --configure ./jsdoc2md.json > ./doc/accountTrade.md && jsdoc2md --files ./src/marketData.ts --configure ./jsdoc2md.json > ./doc/marketData.md && jsdoc2md --files ./src/liquidatorTool.ts --configure ./jsdoc2md.json > ./doc/liquidatorTool.md && jsdoc2md --files ./src/liquidityProviderTool.ts --configure ./jsdoc2md.json > ./doc/liquidityProviderTool.md && jsdoc2md --files ./src/brokerTool.ts --configure ./jsdoc2md.json > ./doc/brokerTool.md && jsdoc2md --files ./src/orderReferrerTool.ts --configure ./jsdoc2md.json > ./doc/orderReferrerTool.md && jsdoc2md --files ./src/*.ts --configure ./jsdoc2md.json > ./doc/d8x-perpetuals-sdk.md",
     "test": "jest",
     "coverage": "nyc -r lcov -e .ts -x \"*.test.ts\" npm run test",
-    "prepubish": "test test/readonly.test && build:doc"
+    "prebuild": "node -p \"'export const D8X_SDK_VERSION = ' + JSON.stringify(require('./package.json').version) + ';'\" > src/version.ts",
+    "prepublish": "yarn build"
   },
   "devDependencies": {
     "@babel/core": "^7.20.2",
@@ -32,7 +33,7 @@
   },
   "name": "@d8x/perpetuals-sdk",
   "description": "Node TypeScript SDK for D8X Perpetual Futures",
-  "version": "0.0.44",
+  "version": "0.0.45",
   "main": "./dist/index.js",
   "types": "./dist/index.d.ts",
   "directories": {

package/src/d8XMath.ts

@@ -275,26 +275,33 @@ export function getNewPositionLeverage(
   );
 }
 
-export function getMaxCollateralToRemove(
-  currentPosition: number,
-  currentLockedInValue: number,
-  currentAvailableCash: number,
-  markPrice: number,
-  indexPriceS2: number,
-  indexPriceS3: number,
-  initialMarginRate: number
-): number {
-  return (
-    getMarginRequiredForLeveragedTrade(
-      1 / initialMarginRate,
-      currentPosition,
-      currentLockedInValue,
-      0,
-      markPrice,
-      indexPriceS2,
-      indexPriceS3,
-      indexPriceS2,
-      0
-    ) - currentAvailableCash
-  );
+/**
+ * Determine amount to be deposited into margin account so that the given leverage
+ * is obtained when trading a position pos (trade amount = position)
+ * Does NOT include fees
+ * Smart contract equivalent: calcMarginForTargetLeverage(..., _ignorePosBalance = false & balance = b0)
+ * @param {number} pos0 - current position
+ * @param {number} b0 - current balance
+ * @param {number} tradeAmnt - amount to trade
+ * @param {number} targetLvg - target leverage
+ * @param {number} price - price to trade amount 'tradeAmnt'
+ * @param {number} S3 - collateral to quote conversion (=S2 if base-collateral, =1 if quote collateral, = index S3 if quanto)
+ * @param {number} S2Mark - mark price
+ * @returns {number} Amount to be deposited to have the given leverage when trading into position pos before fees
+ */
+export function getDepositAmountForLvgTrade(
+  pos0: number,
+  b0: number,
+  tradeAmnt: number,
+  targetLvg: number,
+  price: number,
+  S3: number,
+  S2Mark: number
+) {
+  let pnl = (tradeAmnt * (S2Mark - price)) / S3;
+  if (targetLvg == 0) {
+    targetLvg = (Math.abs(pos0) * S2Mark) / S3 / b0;
+  }
+  let b = (Math.abs(pos0 + tradeAmnt) * S2Mark) / S3 / targetLvg;
+  return -(b0 + pnl - b);
 }

package/src/index.ts

@@ -25,3 +25,5 @@ export {
   TraderInterface,
   PerpetualEventHandler,
 };
+
+export * from "./version";

package/src/marketData.ts

@@ -5,6 +5,7 @@ import {
   calculateLiquidationPriceCollateralQuanto,
   calculateLiquidationPriceCollateralQuote,
   floatToABK64x64,
+  getDepositAmountForLvgTrade,
   getMarginRequiredForLeveragedTrade,
   getMaxSignedPositionSize,
   getNewPositionLeverage,
@@ -297,13 +298,17 @@ export default class MarketData extends PerpetualDataHandler {
     currentPositionRisk: MarginAccount,
     symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>
   ): MarginAccount {
-    let currentPosition = currentPositionRisk.positionNotionalBaseCCY;
-    let newPosition = currentPositionRisk.positionNotionalBaseCCY + tradeAmount;
-    let side = newPosition > 0 ? BUY_SIDE : newPosition < 0 ? SELL_SIDE : CLOSED_SIDE;
+    let currentSide = currentPositionRisk.side;
+    let currentPosition = (currentSide == BUY_SIDE ? 1 : -1) * currentPositionRisk.positionNotionalBaseCCY;
+    let newPosition = currentPosition + tradeAmount;
+    let newSide = newPosition > 0 ? BUY_SIDE : newPosition < 0 ? SELL_SIDE : CLOSED_SIDE;
     let lockedInValue = currentPositionRisk.entryPrice * currentPosition;
     if (tradeAmount == 0) {
       keepPositionLvg = false;
     }
+    let isOpen = newPosition != 0 && (tradeAmount == 0 || currentPosition == 0 || tradeAmount * currentPosition > 0);
+    let isFlip = Math.abs(tradeAmount) > Math.abs(currentPosition) && !isOpen;
+    let keepPositionLvgOnClose = keepPositionLvg && !isOpen;
     // need these for leverage/margin calculations
     let [markPrice, indexPriceS2, indexPriceS3] = [
       perpetualState.markPrice,
@@ -339,19 +344,26 @@ export default class MarketData extends PerpetualDataHandler {
         feeRate
       );
     } else if (tradeAmount != 0) {
-      // the order has its own leverage and margin requirements
-      let tradeCollateral = getMarginRequiredForLeveragedTrade(
-        tradeLeverage,
-        0,
-        0,
-        tradeAmount,
-        markPrice,
-        indexPriceS2,
-        indexPriceS3,
-        tradePrice,
-        feeRate
-      );
-      newCollateral = currentPositionRisk.collateralCC + tradeCollateral;
+      let depositAtTradeTime: number;
+      if (!isOpen && !isFlip && !keepPositionLvgOnClose) {
+        // no deposit from trader's wallet, but there is realized pnl
+        depositAtTradeTime = tradeAmount * (tradePrice - currentPositionRisk.entryPrice);
+      } else {
+        // target lvg will default current lvg if not specified
+        let targetLvg = isFlip || isOpen ? tradeLeverage ?? 0 : 0;
+        let b0, pos0;
+        [b0, pos0] = isOpen ? [0, 0] : [currentPositionRisk.collateralCC, currentPosition];
+        depositAtTradeTime = getDepositAmountForLvgTrade(
+          b0,
+          pos0,
+          tradeAmount,
+          targetLvg,
+          tradePrice,
+          indexPriceS2,
+          markPrice
+        );
+      }
+      newCollateral = currentPositionRisk.collateralCC + depositAtTradeTime;
       // the new leverage corresponds to increasing the position and collateral according to the order
       newLeverage = getNewPositionLeverage(
         tradeAmount,
@@ -380,7 +392,7 @@ export default class MarketData extends PerpetualDataHandler {
       );
     }
     let newLockedInValue = lockedInValue + tradeAmount * tradePrice;
-
+    let entryPrice = newPosition == 0 ? 0 : Math.abs(newLockedInValue / newPosition);
     // liquidation vars
     let S2Liq: number, S3Liq: number | undefined;
     let tau = symbolToPerpStaticInfo.get(symbol)!.maintenanceMarginRate;
@@ -401,14 +413,15 @@ export default class MarketData extends PerpetualDataHandler {
     } else {
       S2Liq = calculateLiquidationPriceCollateralQuote(newLockedInValue, newPosition, newCollateral, tau);
     }
+
     let newPositionRisk: MarginAccount = {
       symbol: currentPositionRisk.symbol,
       positionNotionalBaseCCY: Math.abs(newPosition),
-      side: side,
-      entryPrice: newPosition == 0 ? 0 : Math.abs(newLockedInValue / newPosition),
+      side: newSide,
+      entryPrice: entryPrice,
       leverage: newLeverage,
       markPrice: markPrice,
-      unrealizedPnlQuoteCCY: currentPositionRisk.unrealizedPnlQuoteCCY + tradeAmount * (markPrice - tradePrice),
+      unrealizedPnlQuoteCCY: newPosition * markPrice - newLockedInValue,
       unrealizedFundingCollateralCCY: currentPositionRisk.unrealizedFundingCollateralCCY,
       collateralCC: newCollateral,
       collToQuoteConversion: indexPriceS3,

package/src/version.ts

@@ -1 +1 @@
-export const D8X_SDK_VERSION = "0.0.43";
+export const D8X_SDK_VERSION = "0.0.45";