@d8x/perpetuals-sdk 0.1.1 → 0.1.2

package/dist/d8XMath.d.ts

@@ -96,17 +96,15 @@ export declare function getMaxSignedPositionSize(marginCollateral: number, curre
 /**
  * Compute the leverage resulting from a trade
  * @param tradeAmount Amount to trade, in base currency, signed
- * @param marginCollateral Amount of cash in the margin account, after the trade, in collateral currency
+ * @param marginCollateral Amount of cash in the margin account, in collateral currency
  * @param currentPosition Position size before the trade
  * @param currentLockedInValue Locked-in value before the trade
- * @param indexPriceS2 Spot price of the index when the trade happens
+ * @param price Price charged to trade tradeAmount
  * @param indexPriceS3 Spot price of the collateral currency when the trade happens
  * @param markPrice Mark price of the index when the trade happens
- * @param limitPrice Price charged to trade tradeAmount
- * @param feeRate Trading fee rate applicable to this trade
  * @returns Leverage of the resulting position
  */
-export declare function getNewPositionLeverage(tradeAmount: number, marginCollateral: number, currentPosition: number, currentLockedInValue: number, indexPriceS2: number, indexPriceS3: number, markPrice: number, limitPrice: number, feeRate: number): number;
+export declare function getNewPositionLeverage(tradeAmount: number, marginCollateral: number, currentPosition: number, currentLockedInValue: number, price: number, indexPriceS3: number, markPrice: number): number;
 /**
  * Determine amount to be deposited into margin account so that the given leverage
  * is obtained when trading a position pos (trade amount = position)

package/dist/d8XMath.js

@@ -224,20 +224,18 @@ exports.getMaxSignedPositionSize = getMaxSignedPositionSize;
 /**
  * Compute the leverage resulting from a trade
  * @param tradeAmount Amount to trade, in base currency, signed
- * @param marginCollateral Amount of cash in the margin account, after the trade, in collateral currency
+ * @param marginCollateral Amount of cash in the margin account, in collateral currency
  * @param currentPosition Position size before the trade
  * @param currentLockedInValue Locked-in value before the trade
- * @param indexPriceS2 Spot price of the index when the trade happens
+ * @param price Price charged to trade tradeAmount
  * @param indexPriceS3 Spot price of the collateral currency when the trade happens
  * @param markPrice Mark price of the index when the trade happens
- * @param limitPrice Price charged to trade tradeAmount
- * @param feeRate Trading fee rate applicable to this trade
  * @returns Leverage of the resulting position
  */
-function getNewPositionLeverage(tradeAmount, marginCollateral, currentPosition, currentLockedInValue, indexPriceS2, indexPriceS3, markPrice, limitPrice, feeRate) {
+function getNewPositionLeverage(tradeAmount, marginCollateral, currentPosition, currentLockedInValue, price, indexPriceS3, markPrice) {
     let newPosition = tradeAmount + currentPosition;
-    let pnlQC = currentPosition * markPrice - currentLockedInValue + tradeAmount * (markPrice - limitPrice);
-    return ((Math.abs(newPosition) * indexPriceS2) / (marginCollateral * indexPriceS3 + pnlQC - feeRate * Math.abs(tradeAmount)));
+    let pnlQC = currentPosition * markPrice - currentLockedInValue + tradeAmount * (markPrice - price);
+    return (Math.abs(newPosition) * markPrice) / (marginCollateral * indexPriceS3 + pnlQC);
 }
 exports.getNewPositionLeverage = getNewPositionLeverage;
 /**

package/dist/marketData.d.ts

@@ -139,7 +139,7 @@ export default class MarketData extends PerpetualDataHandler {
      * @param currentPositionRisk Position risk before trade
      * @returns {MarginAccount} Position risk after trade
      */
-    positionRiskOnTrade(traderAddr: string, order: Order, currentPositionRisk?: MarginAccount): Promise<MarginAccount>;
+    positionRiskOnTrade(traderAddr: string, order: Order, currentPositionRisk?: MarginAccount, indexPriceInfo?: [number, number, boolean, boolean]): Promise<MarginAccount>;
     /**
      * Estimates what the position risk will be if given amount of collateral is added/removed from the account.
      * @param traderAddr Address of trader
@@ -147,7 +147,7 @@ export default class MarketData extends PerpetualDataHandler {
      * @param currentPositionRisk Position risk before
      * @returns {MarginAccount} Position risk after
      */
-    positionRiskOnCollateralAction(deltaCollateral: number, currentPositionRisk: MarginAccount): Promise<MarginAccount>;
+    positionRiskOnCollateralAction(deltaCollateral: number, currentPositionRisk: MarginAccount, indexPriceInfo?: [number, number, boolean, boolean]): Promise<MarginAccount>;
     protected static _positionRiskOnAccountAction(symbol: string, tradeAmount: number, marginDeposit: number, tradeLeverage: number | undefined, keepPositionLvg: boolean | undefined, tradePrice: number, feeRate: number, perpetualState: PerpetualState, currentPositionRisk: MarginAccount, symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>): MarginAccount;
     /**
      * Gets the wallet balance in the collateral currency corresponding to a given perpetual symbol.
@@ -278,6 +278,6 @@ export default class MarketData extends PerpetualDataHandler {
      * @ignore
      */
     static orderIdsOfTrader(traderAddr: string, orderBookContract: ethers.Contract): Promise<string[]>;
-    getAvailableMargin(traderAddr: string, symbol: string): Promise<number>;
+    getAvailableMargin(traderAddr: string, symbol: string, indexPrices?: [number, number]): Promise<number>;
     static _exchangeInfo(_proxyContract: ethers.Contract, _poolStaticInfos: Array<PoolStaticInfo>, _symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>, _symbolList: Map<string, string>, _priceFeedGetter: PriceFeeds): Promise<ExchangeInfo>;
 }

package/dist/marketData.js

@@ -200,7 +200,7 @@ class MarketData extends perpetualDataHandler_1.default {
      * @param currentPositionRisk Position risk before trade
      * @returns {MarginAccount} Position risk after trade
      */
-    positionRiskOnTrade(traderAddr, order, currentPositionRisk) {
+    positionRiskOnTrade(traderAddr, order, currentPositionRisk, indexPriceInfo) {
         var _a, _b, _c;
         return __awaiter(this, void 0, void 0, function* () {
             if (this.proxyContract == null) {
@@ -209,6 +209,10 @@ class MarketData extends perpetualDataHandler_1.default {
             if (currentPositionRisk == undefined) {
                 currentPositionRisk = yield this.positionRisk(traderAddr, order.symbol);
             }
+            if (indexPriceInfo == undefined) {
+                let obj = yield this.priceFeedGetter.fetchPricesForPerpetual(currentPositionRisk.symbol);
+                indexPriceInfo = [obj.idxPrices[0], obj.idxPrices[1], obj.mktClosed[0], obj.mktClosed[1]];
+            }
             let poolId = perpetualDataHandler_1.default._getPoolIdFromSymbol(order.symbol, this.poolStaticInfos);
             // price for this order = limit price (conservative) if given, else the current perp price
             let tradeAmount = Math.abs(order.quantity) * (order.side == nodeSDKTypes_1.BUY_SIDE ? 1 : -1);
@@ -217,7 +221,7 @@ class MarketData extends perpetualDataHandler_1.default {
             let feeRate = ((yield this.proxyContract.queryExchangeFee(poolId, traderAddr, (_b = order.brokerAddr) !== null && _b !== void 0 ? _b : nodeSDKTypes_1.ZERO_ADDRESS)) +
                 ((_c = order.brokerFeeTbps) !== null && _c !== void 0 ? _c : 0)) /
                 100000;
-            let perpetualState = yield this.getPerpetualState(order.symbol);
+            let perpetualState = yield this.getPerpetualState(order.symbol, indexPriceInfo);
             return MarketData._positionRiskOnAccountAction(order.symbol, tradeAmount, 0, order.leverage, order.keepPositionLvg, tradePrice, feeRate, perpetualState, currentPositionRisk, this.symbolToPerpStaticInfo);
         });
     }
@@ -228,12 +232,16 @@ class MarketData extends perpetualDataHandler_1.default {
      * @param currentPositionRisk Position risk before
      * @returns {MarginAccount} Position risk after
      */
-    positionRiskOnCollateralAction(deltaCollateral, currentPositionRisk) {
+    positionRiskOnCollateralAction(deltaCollateral, currentPositionRisk, indexPriceInfo) {
         return __awaiter(this, void 0, void 0, function* () {
             if (this.proxyContract == null) {
                 throw Error("no proxy contract initialized. Use createProxyInstance().");
             }
-            let perpetualState = yield this.getPerpetualState(currentPositionRisk.symbol);
+            if (indexPriceInfo == undefined) {
+                let obj = yield this.priceFeedGetter.fetchPricesForPerpetual(currentPositionRisk.symbol);
+                indexPriceInfo = [obj.idxPrices[0], obj.idxPrices[1], obj.mktClosed[0], obj.mktClosed[1]];
+            }
+            let perpetualState = yield this.getPerpetualState(currentPositionRisk.symbol, indexPriceInfo);
             return MarketData._positionRiskOnAccountAction(currentPositionRisk.symbol, 0, deltaCollateral, undefined, false, 0, 0, perpetualState, currentPositionRisk, this.symbolToPerpStaticInfo);
         });
     }
@@ -243,6 +251,8 @@ class MarketData extends perpetualDataHandler_1.default {
         let newPosition = currentPosition + tradeAmount;
         let newSide = newPosition > 0 ? nodeSDKTypes_1.BUY_SIDE : newPosition < 0 ? nodeSDKTypes_1.SELL_SIDE : nodeSDKTypes_1.CLOSED_SIDE;
         let lockedInValue = currentPositionRisk.entryPrice * currentPosition;
+        let newLockedInValue = lockedInValue + tradeAmount * tradePrice;
+        let newEntryPrice = newPosition == 0 ? 0 : Math.abs(newLockedInValue / newPosition);
         if (tradeAmount == 0) {
             keepPositionLvg = false;
         }
@@ -262,32 +272,35 @@ class MarketData extends perpetualDataHandler_1.default {
             // this gives us the total margin needed in the account so that it satisfies the leverage condition
             newCollateral = (0, d8XMath_1.getMarginRequiredForLeveragedTrade)(currentPositionRisk.leverage, currentPosition, lockedInValue, tradeAmount, markPrice, indexPriceS2, indexPriceS3, tradePrice, feeRate);
             // the new leverage follows from the updated margin and position
-            newLeverage = (0, d8XMath_1.getNewPositionLeverage)(tradeAmount, newCollateral, currentPosition, lockedInValue, indexPriceS2, indexPriceS3, markPrice, tradePrice, feeRate);
+            newLeverage = (0, d8XMath_1.getNewPositionLeverage)(tradeAmount, newCollateral, currentPosition, lockedInValue, tradePrice, indexPriceS3, markPrice);
         }
         else if (tradeAmount != 0) {
-            let depositAtTradeTime;
+            let deltaCash;
             if (!isOpen && !isFlip && !keepPositionLvgOnClose) {
-                // no deposit from trader's wallet, but there is realized pnl
-                depositAtTradeTime = tradeAmount * (tradePrice - currentPositionRisk.entryPrice);
+                // cash comes from realized pnl
+                deltaCash = (tradeAmount * (tradePrice - currentPositionRisk.entryPrice)) / indexPriceS3;
+                newLockedInValue = lockedInValue + currentPositionRisk.entryPrice * tradeAmount;
             }
             else {
                 // target lvg will default current lvg if not specified
                 let targetLvg = isFlip || isOpen ? tradeLeverage !== null && tradeLeverage !== void 0 ? tradeLeverage : 0 : 0;
                 let b0, pos0;
                 [b0, pos0] = isOpen ? [0, 0] : [currentPositionRisk.collateralCC, currentPosition];
-                depositAtTradeTime = (0, d8XMath_1.getDepositAmountForLvgTrade)(b0, pos0, tradeAmount, targetLvg, tradePrice, indexPriceS2, markPrice);
+                // cash comes from trader wallet
+                deltaCash = (0, d8XMath_1.getDepositAmountForLvgTrade)(b0, pos0, tradeAmount, targetLvg, tradePrice, indexPriceS3, markPrice);
+                // premium/instantaneous pnl
+                // deltaCash -= (tradeAmount * (tradePrice - indexPriceS2)) / indexPriceS3;
+                newLockedInValue = lockedInValue + tradeAmount * tradePrice;
             }
-            newCollateral = currentPositionRisk.collateralCC + depositAtTradeTime;
+            newCollateral = currentPositionRisk.collateralCC + deltaCash; // - (feeRate * Math.abs(tradeAmount) * indexPriceS2) / indexPriceS3;
             // the new leverage corresponds to increasing the position and collateral according to the order
-            newLeverage = (0, d8XMath_1.getNewPositionLeverage)(tradeAmount, newCollateral, currentPosition, lockedInValue, indexPriceS2, indexPriceS3, markPrice, tradePrice, feeRate);
+            newLeverage = (0, d8XMath_1.getNewPositionLeverage)(0, newCollateral, newPosition, newLockedInValue, tradePrice, indexPriceS3, markPrice);
         }
         else {
             // there is no order, adding/removing collateral
             newCollateral = currentPositionRisk.collateralCC + marginDeposit;
-            newLeverage = (0, d8XMath_1.getNewPositionLeverage)(0, newCollateral, currentPosition, lockedInValue, indexPriceS2, indexPriceS3, markPrice, 0, 0);
+            newLeverage = (0, d8XMath_1.getNewPositionLeverage)(0, newCollateral, currentPosition, lockedInValue, indexPriceS2, indexPriceS3, markPrice);
         }
-        let newLockedInValue = lockedInValue + tradeAmount * tradePrice;
-        let entryPrice = newPosition == 0 ? 0 : Math.abs(newLockedInValue / newPosition);
         // liquidation vars
         let S2Liq, S3Liq;
         let tau = symbolToPerpStaticInfo.get(symbol).maintenanceMarginRate;
@@ -307,7 +320,7 @@ class MarketData extends perpetualDataHandler_1.default {
             symbol: currentPositionRisk.symbol,
             positionNotionalBaseCCY: Math.abs(newPosition),
             side: newSide,
-            entryPrice: entryPrice,
+            entryPrice: newEntryPrice,
             leverage: newLeverage,
             markPrice: markPrice,
             unrealizedPnlQuoteCCY: newPosition * markPrice - newLockedInValue,
@@ -571,14 +584,22 @@ class MarketData extends perpetualDataHandler_1.default {
             return digests;
         });
     }
-    getAvailableMargin(traderAddr, symbol) {
+    getAvailableMargin(traderAddr, symbol, indexPrices) {
         return __awaiter(this, void 0, void 0, function* () {
             if (this.proxyContract == null) {
                 throw Error("no proxy contract initialized. Use createProxyInstance().");
             }
             let mgnAcct = yield perpetualDataHandler_1.default.getMarginAccount(traderAddr, symbol, this.symbolToPerpStaticInfo, this.proxyContract);
+            if (indexPrices == undefined) {
+                // fetch from API
+                let obj = yield this.priceFeedGetter.fetchPricesForPerpetual(symbol);
+                indexPrices = [obj.idxPrices[0], obj.idxPrices[1]];
+            }
+            let S2 = indexPrices[0];
+            let ccyType = this.getPerpetualStaticInfo(symbol).collateralCurrencyType;
+            let S3 = ccyType == nodeSDKTypes_1.COLLATERAL_CURRENCY_QUANTO ? indexPrices[1] : ccyType == nodeSDKTypes_1.COLLATERAL_CURRENCY_QUOTE ? 1 : S2;
             let perpInfo = this.symbolToPerpStaticInfo.get(symbol);
-            let balanceCC = mgnAcct.collateralCC + mgnAcct.unrealizedPnlQuoteCCY / mgnAcct.collToQuoteConversion;
+            let balanceCC = mgnAcct.collateralCC + mgnAcct.unrealizedPnlQuoteCCY / S3;
             let initalMarginCC = Math.abs((perpInfo.initialMarginRate * mgnAcct.positionNotionalBaseCCY * mgnAcct.markPrice) /
                 mgnAcct.collToQuoteConversion);
             return balanceCC - initalMarginCC;
@@ -595,7 +616,7 @@ class MarketData extends perpetualDataHandler_1.default {
             for (let perpSymbol of _symbolToPerpStaticInfo.keys()) {
                 let sInfo = _symbolToPerpStaticInfo.get(perpSymbol);
                 allSym.add(sInfo.S2Symbol);
-                if (sInfo.S3Symbol != '') {
+                if (sInfo.S3Symbol != "") {
                     allSym.add(sInfo.S3Symbol);
                 }
             }
@@ -619,8 +640,12 @@ class MarketData extends perpetualDataHandler_1.default {
                 let poolSymbol = PoolState.poolSymbol;
                 for (var k = 0; k < perpetualIDs.length; k++) {
                     let perp = yield _proxyContract.getPerpetual(perpetualIDs[k]);
-                    let symS2 = (0, utils_1.contractSymbolToSymbol)(perp.S2BaseCCY, _symbolList) + "-" + (0, utils_1.contractSymbolToSymbol)(perp.S2QuoteCCY, _symbolList);
-                    let symS3 = (0, utils_1.contractSymbolToSymbol)(perp.S3BaseCCY, _symbolList) + "-" + (0, utils_1.contractSymbolToSymbol)(perp.S3QuoteCCY, _symbolList);
+                    let symS2 = (0, utils_1.contractSymbolToSymbol)(perp.S2BaseCCY, _symbolList) +
+                        "-" +
+                        (0, utils_1.contractSymbolToSymbol)(perp.S2QuoteCCY, _symbolList);
+                    let symS3 = (0, utils_1.contractSymbolToSymbol)(perp.S3BaseCCY, _symbolList) +
+                        "-" +
+                        (0, utils_1.contractSymbolToSymbol)(perp.S3QuoteCCY, _symbolList);
                     let perpSymbol = symS2 + "-" + poolSymbol;
                     //console.log("perpsymbol=",perpSymbol);
                     let res = idxPriceMap.get(symS2);
@@ -645,7 +670,7 @@ class MarketData extends perpetualDataHandler_1.default {
                     }
                     let fMidPrice = yield _proxyContract.queryPerpetualPrice(perpetualIDs[k], ethers_1.BigNumber.from(0), [
                         (0, d8XMath_1.floatToABK64x64)(indexS2),
-                        (0, d8XMath_1.floatToABK64x64)(indexS3)
+                        (0, d8XMath_1.floatToABK64x64)(indexS3),
                     ]);
                     let markPremiumRate = (0, d8XMath_1.ABK64x64ToFloat)(perp.currentMarkPremiumRate.fPrice);
                     let currentFundingRateBps = 1e4 * (0, d8XMath_1.ABK64x64ToFloat)(perp.fCurrentFundingRate);
@@ -662,7 +687,7 @@ class MarketData extends perpetualDataHandler_1.default {
                         currentFundingRateBps: currentFundingRateBps,
                         openInterestBC: (0, d8XMath_1.ABK64x64ToFloat)(perp.fOpenInterest),
                         maxPositionBC: Infinity,
-                        isMarketClosed: isS2MktClosed || isS3MktClosed
+                        isMarketClosed: isS2MktClosed || isS3MktClosed,
                     };
                     PoolState.perpetuals.push(PerpetualState);
                 }

package/dist/perpetualDataHandler.d.ts

@@ -94,7 +94,7 @@ export default class PerpetualDataHandler {
     protected static _getSymbolFromPoolId(poolId: number, staticInfos: PoolStaticInfo[]): string;
     protected static _getPoolIdFromSymbol(symbol: string, staticInfos: PoolStaticInfo[]): number;
     static getNestedPerpetualIds(_proxyContract: ethers.Contract): Promise<number[][]>;
-    static getMarginAccount(traderAddr: string, symbol: string, symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>, _proxyContract: ethers.Contract): Promise<MarginAccount>;
+    static getMarginAccount(traderAddr: string, symbol: string, symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>, _proxyContract: ethers.Contract, _pxS2S3?: [number, number | undefined]): Promise<MarginAccount>;
     protected static _queryPerpetualPrice(symbol: string, tradeAmount: number, symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>, _proxyContract: ethers.Contract, indexPrices: [number, number]): Promise<number>;
     protected static _queryPerpetualMarkPrice(symbol: string, symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>, _proxyContract: ethers.Contract, indexPrices: [number, number]): Promise<number>;
     protected static _queryPerpetualState(symbol: string, symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>, _proxyContract: ethers.Contract, indexPrices: [number, number, boolean, boolean]): Promise<PerpetualState>;
@@ -164,4 +164,11 @@ export default class PerpetualDataHandler {
      */
     getPoolIndexFromSymbol(symbol: string): number;
     getMarginTokenFromSymbol(symbol: string): string | undefined;
+    /**
+     * Performs basic validity checks on a given order
+     * @param order Order struct
+     * @param traderAccount Trader account
+     * @param perpStaticInfo Symbol to perpetual info map
+     */
+    protected static checkOrder(order: Order, traderAccount: MarginAccount, perpStaticInfo: Map<string, PerpetualStaticInfo>): void;
 }

package/dist/perpetualDataHandler.js

@@ -111,23 +111,21 @@ class PerpetualDataHandler {
                     // try to find a limit order book
                     let lobAddr = yield this.lobFactoryContract.getOrderBookAddress(perpetualIDs[k]);
                     currentLimitOrderBookAddr.push(lobAddr);
-                    if (poolCCY == undefined) {
-                        // we find out the pool currency by looking at all perpetuals
-                        // unless for quanto perpetuals, we know the pool currency
-                        // from the perpetual. This fails if we have a pool with only
-                        // quanto perpetuals
-                        if (perp.eCollateralCurrency == nodeSDKTypes_1.COLLATERAL_CURRENCY_BASE) {
-                            poolCCY = base;
-                            ccy.push(nodeSDKTypes_1.CollaterlCCY.BASE);
-                        }
-                        else if (perp.eCollateralCurrency == nodeSDKTypes_1.COLLATERAL_CURRENCY_QUOTE) {
-                            poolCCY = quote;
-                            ccy.push(nodeSDKTypes_1.CollaterlCCY.QUOTE);
-                        }
-                        else {
-                            poolCCY = base3;
-                            ccy.push(nodeSDKTypes_1.CollaterlCCY.QUANTO);
-                        }
+                    // we find out the pool currency by looking at all perpetuals
+                    // unless for quanto perpetuals, we know the pool currency
+                    // from the perpetual. This fails if we have a pool with only
+                    // quanto perpetuals
+                    if (perp.eCollateralCurrency == nodeSDKTypes_1.COLLATERAL_CURRENCY_BASE) {
+                        poolCCY = poolCCY !== null && poolCCY !== void 0 ? poolCCY : base;
+                        ccy.push(nodeSDKTypes_1.CollaterlCCY.BASE);
+                    }
+                    else if (perp.eCollateralCurrency == nodeSDKTypes_1.COLLATERAL_CURRENCY_QUOTE) {
+                        poolCCY = poolCCY !== null && poolCCY !== void 0 ? poolCCY : quote;
+                        ccy.push(nodeSDKTypes_1.CollaterlCCY.QUOTE);
+                    }
+                    else {
+                        poolCCY = poolCCY !== null && poolCCY !== void 0 ? poolCCY : base3;
+                        ccy.push(nodeSDKTypes_1.CollaterlCCY.QUANTO);
                     }
                 }
                 if (perpetualIDs.length == 0) {
@@ -286,12 +284,16 @@ class PerpetualDataHandler {
             return poolIds;
         });
     }
-    static getMarginAccount(traderAddr, symbol, symbolToPerpStaticInfo, _proxyContract) {
+    static getMarginAccount(traderAddr, symbol, symbolToPerpStaticInfo, _proxyContract, _pxS2S3) {
         return __awaiter(this, void 0, void 0, function* () {
             let perpId = Number(symbol);
             if (isNaN(perpId)) {
                 perpId = PerpetualDataHandler.symbolToPerpetualId(symbol, symbolToPerpStaticInfo);
             }
+            // TODO: correct numbers using actual S2, S3
+            // if (_pxS2S3 == undefined) {
+            //   // fetch s2,s3
+            // }
             const idx_cash = 3;
             const idx_notional = 4;
             const idx_locked_in = 5;
@@ -342,20 +344,26 @@ class PerpetualDataHandler {
         });
     }
     static _queryPerpetualState(symbol, symbolToPerpStaticInfo, _proxyContract, indexPrices) {
-        var _a, _b;
         return __awaiter(this, void 0, void 0, function* () {
             let perpId = PerpetualDataHandler.symbolToPerpetualId(symbol, symbolToPerpStaticInfo);
+            let staticInfo = symbolToPerpStaticInfo.get(symbol);
             let ccy = symbol.split("-");
             let [S2, S3] = [indexPrices[0], indexPrices[1]];
-            let ammState = yield _proxyContract.getAMMState(perpId, [S2, S3].map((x) => (0, d8XMath_1.floatToABK64x64)(x == undefined || Number.isNaN(x) ? 0 : x)));
-            let markPrice = (0, d8XMath_1.ABK64x64ToFloat)(ammState[6].mul(nodeSDKTypes_1.ONE_64x64.add(ammState[8])).div(nodeSDKTypes_1.ONE_64x64));
+            if (staticInfo.collateralCurrencyType == nodeSDKTypes_1.CollaterlCCY.BASE) {
+                S3 = S2;
+            }
+            else if (staticInfo.collateralCurrencyType == nodeSDKTypes_1.CollaterlCCY.QUOTE) {
+                S3 = 1;
+            }
+            let ammState = yield _proxyContract.getAMMState(perpId, [S2, S3].map(d8XMath_1.floatToABK64x64));
+            let markPrice = S2 * (1 + (0, d8XMath_1.ABK64x64ToFloat)(ammState[8]));
             let state = {
                 id: perpId,
                 state: nodeSDKTypes_1.PERP_STATE_STR[ammState[13]],
                 baseCurrency: ccy[0],
                 quoteCurrency: ccy[1],
-                indexPrice: (0, d8XMath_1.ABK64x64ToFloat)(ammState[6]),
-                collToQuoteIndexPrice: (0, d8XMath_1.ABK64x64ToFloat)(ammState[7]),
+                indexPrice: S2,
+                collToQuoteIndexPrice: S3,
                 markPrice: markPrice,
                 midPrice: (0, d8XMath_1.ABK64x64ToFloat)(ammState[10]),
                 currentFundingRateBps: (0, d8XMath_1.ABK64x64ToFloat)(ammState[14]) * 1e4,
@@ -363,12 +371,6 @@ class PerpetualDataHandler {
                 maxPositionBC: (0, d8XMath_1.ABK64x64ToFloat)(ammState[12]),
                 isMarketClosed: indexPrices[2] || indexPrices[3],
             };
-            if (((_a = symbolToPerpStaticInfo.get(symbol)) === null || _a === void 0 ? void 0 : _a.collateralCurrencyType) == nodeSDKTypes_1.CollaterlCCY.BASE) {
-                state.collToQuoteIndexPrice = state.indexPrice;
-            }
-            else if (((_b = symbolToPerpStaticInfo.get(symbol)) === null || _b === void 0 ? void 0 : _b.collateralCurrencyType) == nodeSDKTypes_1.CollaterlCCY.QUOTE) {
-                state.collToQuoteIndexPrice = 1;
-            }
             return state;
         });
     }
@@ -720,5 +722,40 @@ class PerpetualDataHandler {
         }
         return undefined;
     }
+    /**
+     * Performs basic validity checks on a given order
+     * @param order Order struct
+     * @param traderAccount Trader account
+     * @param perpStaticInfo Symbol to perpetual info map
+     */
+    static checkOrder(order, traderAccount, perpStaticInfo) {
+        // this throws error if not found
+        let perpetualId = PerpetualDataHandler.symbolToPerpetualId(order.symbol, perpStaticInfo);
+        // check side
+        if (order.side != nodeSDKTypes_1.BUY_SIDE && order.side != nodeSDKTypes_1.SELL_SIDE) {
+            throw Error(`order side must be ${nodeSDKTypes_1.BUY_SIDE} or ${nodeSDKTypes_1.SELL_SIDE}`);
+        }
+        // check amount
+        let lotSize = perpStaticInfo.get(order.symbol).lotSizeBC;
+        let curPos = traderAccount.side == nodeSDKTypes_1.CLOSED_SIDE
+            ? 0
+            : (traderAccount.side == nodeSDKTypes_1.BUY_SIDE ? 1 : -1) * traderAccount.positionNotionalBaseCCY;
+        let newPos = curPos + (order.side == nodeSDKTypes_1.BUY_SIDE ? 1 : -1) * order.quantity;
+        if (Math.abs(order.quantity) < lotSize || (Math.abs(newPos) >= lotSize && Math.abs(newPos) < 10 * lotSize)) {
+            throw Error(`trade amount too small: ${order.quantity} ${perpStaticInfo.get(order.symbol).S2Symbol}`);
+        }
+        // check limit price
+        if (order.side == nodeSDKTypes_1.BUY_SIDE && order.limitPrice != undefined && order.limitPrice <= 0) {
+            throw Error(`invalid limit price for buy order: ${order.limitPrice}`);
+        }
+        // broker fee
+        if (order.brokerFeeTbps != undefined && order.brokerFeeTbps < 0) {
+            throw Error(`invalid broker fee: ${order.brokerFeeTbps / 10} bps`);
+        }
+        // stop price
+        if (order.stopPrice != undefined && order.stopPrice < 0) {
+            throw Error(`invalid stop price: ${order.stopPrice}`);
+        }
+    }
 }
 exports.default = PerpetualDataHandler;

package/dist/version.d.ts

@@ -1 +1 @@
-export declare const D8X_SDK_VERSION = "0.1.1";
+export declare const D8X_SDK_VERSION = "0.1.2";

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 = "0.1.1";
+exports.D8X_SDK_VERSION = "0.1.2";

package/package.json

@@ -33,7 +33,7 @@
   },
   "name": "@d8x/perpetuals-sdk",
   "description": "Node TypeScript SDK for D8X Perpetual Futures",
-  "version": "0.1.1",
+  "version": "0.1.2",
   "main": "./dist/index.js",
   "types": "./dist/index.d.ts",
   "directories": {

package/src/d8XMath.ts

@@ -265,14 +265,12 @@ export function getMaxSignedPositionSize(
 /**
  * Compute the leverage resulting from a trade
  * @param tradeAmount Amount to trade, in base currency, signed
- * @param marginCollateral Amount of cash in the margin account, after the trade, in collateral currency
+ * @param marginCollateral Amount of cash in the margin account, in collateral currency
  * @param currentPosition Position size before the trade
  * @param currentLockedInValue Locked-in value before the trade
- * @param indexPriceS2 Spot price of the index when the trade happens
+ * @param price Price charged to trade tradeAmount
  * @param indexPriceS3 Spot price of the collateral currency when the trade happens
  * @param markPrice Mark price of the index when the trade happens
- * @param limitPrice Price charged to trade tradeAmount
- * @param feeRate Trading fee rate applicable to this trade
  * @returns Leverage of the resulting position
  */
 export function getNewPositionLeverage(
@@ -280,17 +278,13 @@ export function getNewPositionLeverage(
   marginCollateral: number,
   currentPosition: number,
   currentLockedInValue: number,
-  indexPriceS2: number,
+  price: number,
   indexPriceS3: number,
-  markPrice: number,
-  limitPrice: number,
-  feeRate: number
+  markPrice: number
 ): number {
   let newPosition = tradeAmount + currentPosition;
-  let pnlQC = currentPosition * markPrice - currentLockedInValue + tradeAmount * (markPrice - limitPrice);
-  return (
-    (Math.abs(newPosition) * indexPriceS2) / (marginCollateral * indexPriceS3 + pnlQC - feeRate * Math.abs(tradeAmount))
-  );
+  let pnlQC = currentPosition * markPrice - currentLockedInValue + tradeAmount * (markPrice - price);
+  return (Math.abs(newPosition) * markPrice) / (marginCollateral * indexPriceS3 + pnlQC);
 }
 
 /**

package/src/marketData.ts

@@ -16,6 +16,7 @@ import {
   CLOSED_SIDE,
   COLLATERAL_CURRENCY_BASE,
   COLLATERAL_CURRENCY_QUANTO,
+  COLLATERAL_CURRENCY_QUOTE,
   CollaterlCCY,
   ERC20_ABI,
   ExchangeInfo,
@@ -146,7 +147,13 @@ export default class MarketData extends PerpetualDataHandler {
     if (this.proxyContract == null) {
       throw Error("no proxy contract initialized. Use createProxyInstance().");
     }
-    return await MarketData._exchangeInfo(this.proxyContract, this.poolStaticInfos, this.symbolToPerpStaticInfo, this.symbolList, this.priceFeedGetter);
+    return await MarketData._exchangeInfo(
+      this.proxyContract,
+      this.poolStaticInfos,
+      this.symbolToPerpStaticInfo,
+      this.symbolList,
+      this.priceFeedGetter
+    );
   }
 
   /**
@@ -224,7 +231,8 @@ export default class MarketData extends PerpetualDataHandler {
   public async positionRiskOnTrade(
     traderAddr: string,
     order: Order,
-    currentPositionRisk?: MarginAccount
+    currentPositionRisk?: MarginAccount,
+    indexPriceInfo?: [number, number, boolean, boolean]
   ): Promise<MarginAccount> {
     if (this.proxyContract == null) {
       throw Error("no proxy contract initialized. Use createProxyInstance().");
@@ -232,6 +240,10 @@ export default class MarketData extends PerpetualDataHandler {
     if (currentPositionRisk == undefined) {
       currentPositionRisk = await this.positionRisk(traderAddr, order.symbol);
     }
+    if (indexPriceInfo == undefined) {
+      let obj = await this.priceFeedGetter.fetchPricesForPerpetual(currentPositionRisk.symbol);
+      indexPriceInfo = [obj.idxPrices[0], obj.idxPrices[1], obj.mktClosed[0], obj.mktClosed[1]];
+    }
     let poolId = PerpetualDataHandler._getPoolIdFromSymbol(order.symbol, this.poolStaticInfos);
     // price for this order = limit price (conservative) if given, else the current perp price
     let tradeAmount = Math.abs(order.quantity) * (order.side == BUY_SIDE ? 1 : -1);
@@ -241,7 +253,7 @@ export default class MarketData extends PerpetualDataHandler {
       ((await this.proxyContract.queryExchangeFee(poolId, traderAddr, order.brokerAddr ?? ZERO_ADDRESS)) +
         (order.brokerFeeTbps ?? 0)) /
       100_000;
-    let perpetualState = await this.getPerpetualState(order.symbol);
+    let perpetualState = await this.getPerpetualState(order.symbol, indexPriceInfo);
 
     return MarketData._positionRiskOnAccountAction(
       order.symbol,
@@ -266,12 +278,17 @@ export default class MarketData extends PerpetualDataHandler {
    */
   public async positionRiskOnCollateralAction(
     deltaCollateral: number,
-    currentPositionRisk: MarginAccount
+    currentPositionRisk: MarginAccount,
+    indexPriceInfo?: [number, number, boolean, boolean]
   ): Promise<MarginAccount> {
     if (this.proxyContract == null) {
       throw Error("no proxy contract initialized. Use createProxyInstance().");
     }
-    let perpetualState = await this.getPerpetualState(currentPositionRisk.symbol);
+    if (indexPriceInfo == undefined) {
+      let obj = await this.priceFeedGetter.fetchPricesForPerpetual(currentPositionRisk.symbol);
+      indexPriceInfo = [obj.idxPrices[0], obj.idxPrices[1], obj.mktClosed[0], obj.mktClosed[1]];
+    }
+    let perpetualState = await this.getPerpetualState(currentPositionRisk.symbol, indexPriceInfo);
 
     return MarketData._positionRiskOnAccountAction(
       currentPositionRisk.symbol,
@@ -304,6 +321,8 @@ export default class MarketData extends PerpetualDataHandler {
     let newPosition = currentPosition + tradeAmount;
     let newSide = newPosition > 0 ? BUY_SIDE : newPosition < 0 ? SELL_SIDE : CLOSED_SIDE;
     let lockedInValue = currentPositionRisk.entryPrice * currentPosition;
+    let newLockedInValue = lockedInValue + tradeAmount * tradePrice;
+    let newEntryPrice = newPosition == 0 ? 0 : Math.abs(newLockedInValue / newPosition);
     if (tradeAmount == 0) {
       keepPositionLvg = false;
     }
@@ -338,44 +357,37 @@ export default class MarketData extends PerpetualDataHandler {
         newCollateral,
         currentPosition,
         lockedInValue,
-        indexPriceS2,
-        indexPriceS3,
-        markPrice,
         tradePrice,
-        feeRate
+        indexPriceS3,
+        markPrice
       );
     } else if (tradeAmount != 0) {
-      let depositAtTradeTime: number;
+      let deltaCash: number;
       if (!isOpen && !isFlip && !keepPositionLvgOnClose) {
-        // no deposit from trader's wallet, but there is realized pnl
-        depositAtTradeTime = tradeAmount * (tradePrice - currentPositionRisk.entryPrice);
+        // cash comes from realized pnl
+        deltaCash = (tradeAmount * (tradePrice - currentPositionRisk.entryPrice)) / indexPriceS3;
+        newLockedInValue = lockedInValue + currentPositionRisk.entryPrice * tradeAmount;
       } 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
-        );
+        // cash comes from trader wallet
+        deltaCash = getDepositAmountForLvgTrade(b0, pos0, tradeAmount, targetLvg, tradePrice, indexPriceS3, markPrice);
+        // premium/instantaneous pnl
+        // deltaCash -= (tradeAmount * (tradePrice - indexPriceS2)) / indexPriceS3;
+        newLockedInValue = lockedInValue + tradeAmount * tradePrice;
       }
-      newCollateral = currentPositionRisk.collateralCC + depositAtTradeTime;
+      newCollateral = currentPositionRisk.collateralCC + deltaCash; // - (feeRate * Math.abs(tradeAmount) * indexPriceS2) / indexPriceS3;
       // the new leverage corresponds to increasing the position and collateral according to the order
       newLeverage = getNewPositionLeverage(
-        tradeAmount,
+        0,
         newCollateral,
-        currentPosition,
-        lockedInValue,
-        indexPriceS2,
-        indexPriceS3,
-        markPrice,
+        newPosition,
+        newLockedInValue,
         tradePrice,
-        feeRate
+        indexPriceS3,
+        markPrice
       );
     } else {
       // there is no order, adding/removing collateral
@@ -387,13 +399,10 @@ export default class MarketData extends PerpetualDataHandler {
         lockedInValue,
         indexPriceS2,
         indexPriceS3,
-        markPrice,
-        0,
-        0
+        markPrice
       );
     }
-    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;
@@ -419,7 +428,7 @@ export default class MarketData extends PerpetualDataHandler {
       symbol: currentPositionRisk.symbol,
       positionNotionalBaseCCY: Math.abs(newPosition),
       side: newSide,
-      entryPrice: entryPrice,
+      entryPrice: newEntryPrice,
       leverage: newLeverage,
       markPrice: markPrice,
       unrealizedPnlQuoteCCY: newPosition * markPrice - newLockedInValue,
@@ -549,11 +558,16 @@ export default class MarketData extends PerpetualDataHandler {
     if (this.proxyContract == null) {
       throw Error("no proxy contract initialized. Use createProxyInstance().");
     }
-    if(indexPrices==undefined) {
+    if (indexPrices == undefined) {
       let obj = await this.priceFeedGetter.fetchPricesForPerpetual(symbol);
       indexPrices = [obj.idxPrices[0], obj.idxPrices[1]];
     }
-    return await PerpetualDataHandler._queryPerpetualMarkPrice(symbol, this.symbolToPerpStaticInfo, this.proxyContract, indexPrices);
+    return await PerpetualDataHandler._queryPerpetualMarkPrice(
+      symbol,
+      this.symbolToPerpStaticInfo,
+      this.proxyContract,
+      indexPrices
+    );
   }
 
   /**
@@ -576,11 +590,11 @@ export default class MarketData extends PerpetualDataHandler {
    *
    * @returns price (number)
    */
-  public async getPerpetualPrice(symbol: string, quantity: number, indexPrices?:[number, number]): Promise<number> {
+  public async getPerpetualPrice(symbol: string, quantity: number, indexPrices?: [number, number]): Promise<number> {
     if (this.proxyContract == null) {
       throw Error("no proxy contract initialized. Use createProxyInstance().");
     }
-    if (indexPrices==undefined) {
+    if (indexPrices == undefined) {
       // fetch from API
       let obj = await this.priceFeedGetter.fetchPricesForPerpetual(symbol);
       indexPrices = [obj.idxPrices[0], obj.idxPrices[1]];
@@ -600,11 +614,14 @@ export default class MarketData extends PerpetualDataHandler {
    * @param indexPrices S2 and S3 prices/isMarketOpen if not provided fetch via REST API
    * @returns PerpetualState reference
    */
-  public async getPerpetualState(symbol: string, indexPriceInfo?: [number, number, boolean, boolean]): Promise<PerpetualState> {
+  public async getPerpetualState(
+    symbol: string,
+    indexPriceInfo?: [number, number, boolean, boolean]
+  ): Promise<PerpetualState> {
     if (this.proxyContract == null) {
       throw Error("no proxy contract initialized. Use createProxyInstance().");
     }
-    if (indexPriceInfo==undefined) {
+    if (indexPriceInfo == undefined) {
       let obj = await this.priceFeedGetter.fetchPricesForPerpetual(symbol);
       indexPriceInfo = [obj.idxPrices[0], obj.idxPrices[1], obj.mktClosed[0], obj.mktClosed[1]];
     }
@@ -706,7 +723,7 @@ export default class MarketData extends PerpetualDataHandler {
     return digests;
   }
 
-  public async getAvailableMargin(traderAddr: string, symbol: string): Promise<number> {
+  public async getAvailableMargin(traderAddr: string, symbol: string, indexPrices?: [number, number]): Promise<number> {
     if (this.proxyContract == null) {
       throw Error("no proxy contract initialized. Use createProxyInstance().");
     }
@@ -716,8 +733,16 @@ export default class MarketData extends PerpetualDataHandler {
       this.symbolToPerpStaticInfo,
       this.proxyContract
     );
+    if (indexPrices == undefined) {
+      // fetch from API
+      let obj = await this.priceFeedGetter.fetchPricesForPerpetual(symbol);
+      indexPrices = [obj.idxPrices[0], obj.idxPrices[1]];
+    }
+    let S2 = indexPrices[0];
+    let ccyType = this.getPerpetualStaticInfo(symbol).collateralCurrencyType;
+    let S3 = ccyType == COLLATERAL_CURRENCY_QUANTO ? indexPrices[1] : ccyType == COLLATERAL_CURRENCY_QUOTE ? 1 : S2;
     let perpInfo = this.symbolToPerpStaticInfo.get(symbol);
-    let balanceCC = mgnAcct.collateralCC + mgnAcct.unrealizedPnlQuoteCCY / mgnAcct.collToQuoteConversion;
+    let balanceCC = mgnAcct.collateralCC + mgnAcct.unrealizedPnlQuoteCCY / S3;
     let initalMarginCC = Math.abs(
       (perpInfo!.initialMarginRate * mgnAcct.positionNotionalBaseCCY * mgnAcct.markPrice) /
         mgnAcct.collToQuoteConversion
@@ -728,7 +753,7 @@ export default class MarketData extends PerpetualDataHandler {
   public static async _exchangeInfo(
     _proxyContract: ethers.Contract,
     _poolStaticInfos: Array<PoolStaticInfo>,
-    _symbolToPerpStaticInfo : Map<string, PerpetualStaticInfo>,
+    _symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>,
     _symbolList: Map<string, string>,
     _priceFeedGetter: PriceFeeds
   ): Promise<ExchangeInfo> {
@@ -736,18 +761,18 @@ export default class MarketData extends PerpetualDataHandler {
     let factory = await _proxyContract.getOracleFactory();
     let info: ExchangeInfo = { pools: [], oracleFactoryAddr: factory, proxyAddr: _proxyContract.address };
     const numPools = nestedPerpetualIDs.length;
-    
+
     // get all prices
     let allSym = new Set<string>();
-    for(let perpSymbol of _symbolToPerpStaticInfo.keys()) {
-      let sInfo : PerpetualStaticInfo | undefined = _symbolToPerpStaticInfo.get(perpSymbol);
+    for (let perpSymbol of _symbolToPerpStaticInfo.keys()) {
+      let sInfo: PerpetualStaticInfo | undefined = _symbolToPerpStaticInfo.get(perpSymbol);
       allSym.add(sInfo!.S2Symbol);
-      if(sInfo!.S3Symbol!='') {
+      if (sInfo!.S3Symbol != "") {
         allSym.add(sInfo!.S3Symbol);
       }
     }
     let allSymArr = Array.from(allSym.values());
-    let idxPriceMap : Map<string, [number,boolean]> = await _priceFeedGetter.fetchPrices(allSymArr);
+    let idxPriceMap: Map<string, [number, boolean]> = await _priceFeedGetter.fetchPrices(allSymArr);
 
     for (var j = 0; j < numPools; j++) {
       let perpetualIDs = nestedPerpetualIDs[j];
@@ -767,33 +792,39 @@ export default class MarketData extends PerpetualDataHandler {
       let poolSymbol = PoolState.poolSymbol;
       for (var k = 0; k < perpetualIDs.length; k++) {
         let perp = await _proxyContract.getPerpetual(perpetualIDs[k]);
-        let symS2 = contractSymbolToSymbol(perp.S2BaseCCY, _symbolList)+"-"+contractSymbolToSymbol(perp.S2QuoteCCY, _symbolList);
-        let symS3 = contractSymbolToSymbol(perp.S3BaseCCY, _symbolList)+"-"+contractSymbolToSymbol(perp.S3QuoteCCY, _symbolList);
-        let perpSymbol = symS2+"-"+poolSymbol;
+        let symS2 =
+          contractSymbolToSymbol(perp.S2BaseCCY, _symbolList) +
+          "-" +
+          contractSymbolToSymbol(perp.S2QuoteCCY, _symbolList);
+        let symS3 =
+          contractSymbolToSymbol(perp.S3BaseCCY, _symbolList) +
+          "-" +
+          contractSymbolToSymbol(perp.S3QuoteCCY, _symbolList);
+        let perpSymbol = symS2 + "-" + poolSymbol;
         //console.log("perpsymbol=",perpSymbol);
-        let res = idxPriceMap.get(symS2)
-        if (res==undefined) {
+        let res = idxPriceMap.get(symS2);
+        if (res == undefined) {
           throw new Error(`Price for index ${symS2} could not be fetched - config issue`);
         }
-        let [indexS2, isS2MktClosed] : [number, boolean] = [res[0], res[1]];
+        let [indexS2, isS2MktClosed]: [number, boolean] = [res[0], res[1]];
         let indexS3 = 1;
         let isS3MktClosed = false;
         if (perp.eCollateralCurrency == COLLATERAL_CURRENCY_BASE) {
           indexS3 = indexS2;
         } else if (perp.eCollateralCurrency == COLLATERAL_CURRENCY_QUANTO) {
           res = idxPriceMap.get(symS3);
-          if (res==undefined) {
+          if (res == undefined) {
             throw new Error(`Price for index ${symS3} could not be fetched - config issue`);
           } else {
             indexS3 = res[0];
-            isS3MktClosed = res[1]; 
+            isS3MktClosed = res[1];
           }
         }
         let fMidPrice = await _proxyContract.queryPerpetualPrice(perpetualIDs[k], BigNumber.from(0), [
           floatToABK64x64(indexS2),
-          floatToABK64x64(indexS3)
+          floatToABK64x64(indexS3),
         ]);
-        
+
         let markPremiumRate = ABK64x64ToFloat(perp.currentMarkPremiumRate.fPrice);
         let currentFundingRateBps = 1e4 * ABK64x64ToFloat(perp.fCurrentFundingRate);
         let state = PERP_STATE_STR[perp.state];
@@ -809,7 +840,7 @@ export default class MarketData extends PerpetualDataHandler {
           currentFundingRateBps: currentFundingRateBps,
           openInterestBC: ABK64x64ToFloat(perp.fOpenInterest),
           maxPositionBC: Infinity,
-          isMarketClosed: isS2MktClosed || isS3MktClosed
+          isMarketClosed: isS2MktClosed || isS3MktClosed,
         };
         PoolState.perpetuals.push(PerpetualState);
       }

package/src/perpetualDataHandler.ts

@@ -166,21 +166,20 @@ export default class PerpetualDataHandler {
         // try to find a limit order book
         let lobAddr = await this.lobFactoryContract.getOrderBookAddress(perpetualIDs[k]);
         currentLimitOrderBookAddr.push(lobAddr);
-        if (poolCCY == undefined) {
-          // we find out the pool currency by looking at all perpetuals
-          // unless for quanto perpetuals, we know the pool currency
-          // from the perpetual. This fails if we have a pool with only
-          // quanto perpetuals
-          if (perp.eCollateralCurrency == COLLATERAL_CURRENCY_BASE) {
-            poolCCY = base;
-            ccy.push(CollaterlCCY.BASE);
-          } else if (perp.eCollateralCurrency == COLLATERAL_CURRENCY_QUOTE) {
-            poolCCY = quote;
-            ccy.push(CollaterlCCY.QUOTE);
-          } else {
-            poolCCY = base3;
-            ccy.push(CollaterlCCY.QUANTO);
-          }
+
+        // we find out the pool currency by looking at all perpetuals
+        // unless for quanto perpetuals, we know the pool currency
+        // from the perpetual. This fails if we have a pool with only
+        // quanto perpetuals
+        if (perp.eCollateralCurrency == COLLATERAL_CURRENCY_BASE) {
+          poolCCY = poolCCY ?? base;
+          ccy.push(CollaterlCCY.BASE);
+        } else if (perp.eCollateralCurrency == COLLATERAL_CURRENCY_QUOTE) {
+          poolCCY = poolCCY ?? quote;
+          ccy.push(CollaterlCCY.QUOTE);
+        } else {
+          poolCCY = poolCCY ?? base3;
+          ccy.push(CollaterlCCY.QUANTO);
         }
       }
       if (perpetualIDs.length == 0) {
@@ -352,12 +351,17 @@ export default class PerpetualDataHandler {
     traderAddr: string,
     symbol: string,
     symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>,
-    _proxyContract: ethers.Contract
+    _proxyContract: ethers.Contract,
+    _pxS2S3?: [number, number | undefined]
   ): Promise<MarginAccount> {
     let perpId = Number(symbol);
     if (isNaN(perpId)) {
       perpId = PerpetualDataHandler.symbolToPerpetualId(symbol, symbolToPerpStaticInfo);
     }
+    // TODO: correct numbers using actual S2, S3
+    // if (_pxS2S3 == undefined) {
+    //   // fetch s2,s3
+    // }
     const idx_cash = 3;
     const idx_notional = 4;
     const idx_locked_in = 5;
@@ -434,20 +438,23 @@ export default class PerpetualDataHandler {
     indexPrices: [number, number, boolean, boolean]
   ): Promise<PerpetualState> {
     let perpId = PerpetualDataHandler.symbolToPerpetualId(symbol, symbolToPerpStaticInfo);
+    let staticInfo = symbolToPerpStaticInfo.get(symbol)!;
     let ccy = symbol.split("-");
     let [S2, S3] = [indexPrices[0], indexPrices[1]];
-    let ammState = await _proxyContract.getAMMState(
-      perpId,
-      [S2, S3].map((x) => floatToABK64x64(x == undefined || Number.isNaN(x) ? 0 : x))
-    );
-    let markPrice = ABK64x64ToFloat(ammState[6].mul(ONE_64x64.add(ammState[8])).div(ONE_64x64));
+    if (staticInfo.collateralCurrencyType == CollaterlCCY.BASE) {
+      S3 = S2;
+    } else if (staticInfo.collateralCurrencyType == CollaterlCCY.QUOTE) {
+      S3 = 1;
+    }
+    let ammState = await _proxyContract.getAMMState(perpId, [S2, S3].map(floatToABK64x64));
+    let markPrice = S2 * (1 + ABK64x64ToFloat(ammState[8]));
     let state = {
       id: perpId,
       state: PERP_STATE_STR[ammState[13]],
       baseCurrency: ccy[0],
       quoteCurrency: ccy[1],
-      indexPrice: ABK64x64ToFloat(ammState[6]),
-      collToQuoteIndexPrice: ABK64x64ToFloat(ammState[7]),
+      indexPrice: S2,
+      collToQuoteIndexPrice: S3,
       markPrice: markPrice,
       midPrice: ABK64x64ToFloat(ammState[10]),
       currentFundingRateBps: ABK64x64ToFloat(ammState[14]) * 1e4,
@@ -455,11 +462,6 @@ export default class PerpetualDataHandler {
       maxPositionBC: ABK64x64ToFloat(ammState[12]),
       isMarketClosed: indexPrices[2] || indexPrices[3],
     };
-    if (symbolToPerpStaticInfo.get(symbol)?.collateralCurrencyType == CollaterlCCY.BASE) {
-      state.collToQuoteIndexPrice = state.indexPrice;
-    } else if (symbolToPerpStaticInfo.get(symbol)?.collateralCurrencyType == CollaterlCCY.QUOTE) {
-      state.collToQuoteIndexPrice = 1;
-    }
     return state;
   }
 
@@ -834,4 +836,50 @@ export default class PerpetualDataHandler {
     }
     return undefined;
   }
+
+  /**
+   * Performs basic validity checks on a given order
+   * @param order Order struct
+   * @param traderAccount Trader account
+   * @param perpStaticInfo Symbol to perpetual info map
+   */
+  protected static checkOrder(
+    order: Order,
+    traderAccount: MarginAccount,
+    perpStaticInfo: Map<string, PerpetualStaticInfo>
+  ) {
+    // this throws error if not found
+    let perpetualId = PerpetualDataHandler.symbolToPerpetualId(order.symbol, perpStaticInfo);
+
+    // check side
+    if (order.side != BUY_SIDE && order.side != SELL_SIDE) {
+      throw Error(`order side must be ${BUY_SIDE} or ${SELL_SIDE}`);
+    }
+
+    // check amount
+    let lotSize = perpStaticInfo.get(order.symbol)!.lotSizeBC;
+    let curPos =
+      traderAccount.side == CLOSED_SIDE
+        ? 0
+        : (traderAccount.side == BUY_SIDE ? 1 : -1) * traderAccount.positionNotionalBaseCCY;
+    let newPos = curPos + (order.side == BUY_SIDE ? 1 : -1) * order.quantity;
+    if (Math.abs(order.quantity) < lotSize || (Math.abs(newPos) >= lotSize && Math.abs(newPos) < 10 * lotSize)) {
+      throw Error(`trade amount too small: ${order.quantity} ${perpStaticInfo.get(order.symbol)!.S2Symbol}`);
+    }
+
+    // check limit price
+    if (order.side == BUY_SIDE && order.limitPrice != undefined && order.limitPrice <= 0) {
+      throw Error(`invalid limit price for buy order: ${order.limitPrice}`);
+    }
+
+    // broker fee
+    if (order.brokerFeeTbps != undefined && order.brokerFeeTbps < 0) {
+      throw Error(`invalid broker fee: ${order.brokerFeeTbps / 10} bps`);
+    }
+
+    // stop price
+    if (order.stopPrice != undefined && order.stopPrice < 0) {
+      throw Error(`invalid stop price: ${order.stopPrice}`);
+    }
+  }
 }

package/src/version.ts

@@ -1 +1 @@
-export const D8X_SDK_VERSION = "0.1.1";
+export const D8X_SDK_VERSION = "0.1.2";