@d8x/perpetuals-sdk 0.1.12 → 0.2.0

package/dist/esm/perpetualEventHandler.js

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+import { __awaiter, __generator, __read, __values } from "tslib";
+import { emitWarning } from "process";
+import { ABK64x64ToFloat, mul64x64 } from "./d8XMath";
+import { ONE_64x64, } from "./nodeSDKTypes";
+/**
+ * This class handles events and stores relevant variables
+ * as member variables. The events change the state of the member variables:
+ *  mktData : MarketData relevant market data with current state (e.g. index price)
+ *  ordersInPerpetual: Map<number, OrderStruct> all open orders for the given trader
+ *  positionInPerpetual: Map<number, MarginAccount> all open positions for the given trader
+ *
+ *
+ * Get data:
+ *  - getPerpetualData(perp id (string) or symbol) : PerpetualState. This is a reference!
+ *  - getExchangeInfo() : ExchangeInfo. This is a reference!
+ *  - getCurrentPositionRisk(perp id (string) or symbol) : MarginAccount. This is a reference!
+ *  - getOrdersInPerpetualMap : Map<number, OrderStruct>. This is a reference!
+ *  - getpositionInPerpetualMap : Map<number, MarginAccount>. This is a reference!
+ *
+ * Construct with a trader address and a marketData object
+ * Initialize to gather all the relevant data.
+ * Send event variables to event handler "on<EventName>" - this updates members
+ * - [x] onUpdateMarkPrice              : emitted on proxy; updates markprice and index price data
+ * - [x] onUpdateUpdateFundingRate      : emitted on proxy; sets funding rate
+ * - [x] onExecutionFailed              : emitted on order book; removes an open order
+ * - [x] onPerpetualLimitOrderCancelled : emitted on order book; removes an open order
+ * - [x] onPerpetualLimitOrderCreated   : emitted on order book; adds an open order to the data
+ * - [x] async onUpdateMarginAccount    : emitted on proxy; updates position data and open interest
+ * - [x] onTrade                        : emitted on proxy; returns TradeEvent to be displayed
+ */
+var PerpetualEventHandler = /** @class */ (function () {
+    function PerpetualEventHandler(mktData, traderAddr) {
+        this.mktData = mktData;
+        this.traderAddr = traderAddr;
+        this.ordersInPerpetual = new Map();
+        this.positionInPerpetual = new Map();
+        this.poolIndexForPerpetual = new Map();
+    }
+    /**
+     * Call this async function to initialize the
+     * market data
+     */
+    PerpetualEventHandler.prototype.initialize = function () {
+        return __awaiter(this, void 0, void 0, function () {
+            var _a, k, poolState, poolSymbol, j, perpState, perpSymbol, orders, perpId, position;
+            return __generator(this, function (_b) {
+                switch (_b.label) {
+                    case 0:
+                        _a = this;
+                        return [4 /*yield*/, this.mktData.exchangeInfo()];
+                    case 1:
+                        _a.exchangeInfo = _b.sent();
+                        k = 0;
+                        _b.label = 2;
+                    case 2:
+                        if (!(k < this.exchangeInfo.pools.length)) return [3 /*break*/, 8];
+                        poolState = this.exchangeInfo.pools[k];
+                        poolSymbol = poolState.poolSymbol;
+                        j = 0;
+                        _b.label = 3;
+                    case 3:
+                        if (!(j < poolState.perpetuals.length)) return [3 /*break*/, 7];
+                        perpState = poolState.perpetuals[j];
+                        perpSymbol = perpState.baseCurrency + "-" + perpState.quoteCurrency + "-" + poolSymbol;
+                        return [4 /*yield*/, this.mktData.openOrders(this.traderAddr, perpSymbol)];
+                    case 4:
+                        orders = _b.sent();
+                        perpId = perpState.id;
+                        this.ordersInPerpetual.set(perpId, orders);
+                        return [4 /*yield*/, this.mktData.positionRisk(this.traderAddr, perpSymbol)];
+                    case 5:
+                        position = _b.sent();
+                        this.positionInPerpetual.set(perpId, position);
+                        this.poolIndexForPerpetual.set(perpId, k);
+                        _b.label = 6;
+                    case 6:
+                        j++;
+                        return [3 /*break*/, 3];
+                    case 7:
+                        k++;
+                        return [3 /*break*/, 2];
+                    case 8: return [2 /*return*/];
+                }
+            });
+        });
+    };
+    /**
+     * Get the current exchange info
+     * @returns exchange info
+     */
+    PerpetualEventHandler.prototype.getExchangeInfo = function () {
+        return this.exchangeInfo;
+    };
+    /**
+     * getOrdersInPerpetualMap
+     * @returns this.ordersInPerpetual
+     */
+    PerpetualEventHandler.prototype.getOrdersInPerpetualMap = function () {
+        return this.ordersInPerpetual;
+    };
+    /**
+     * getpositionInPerpetualMap
+     * @returns this.positionInPerpetual
+     */
+    PerpetualEventHandler.prototype.getpositionInPerpetualMap = function () {
+        return this.positionInPerpetual;
+    };
+    /**
+     * Get the data for a perpetual with a given index
+     * @param perpetualIdOrSymbol perpetual idx as string or symbol for which we want the data
+     * @returns perpetual data for this idx
+     */
+    PerpetualEventHandler.prototype.getPerpetualData = function (perpetualIdOrSymbol) {
+        var _a;
+        var perpId = Number(perpetualIdOrSymbol);
+        if (isNaN(perpId)) {
+            perpId = this.mktData.getPerpIdFromSymbol(perpetualIdOrSymbol);
+        }
+        //uint24 perpetualId = uint24(_iPoolId) * 100_000 + iPerpetualIndex;
+        var poolIdx = this.poolIndexForPerpetual.get(perpId); //Math.floor(perpId / 100_000);
+        var perpetuals = (_a = this.exchangeInfo) === null || _a === void 0 ? void 0 : _a.pools[poolIdx].perpetuals;
+        if (perpetuals == undefined) {
+            emitWarning("exchangeInfo not found, initialize perpetualEventHandler");
+            return undefined;
+        }
+        // find perpetual
+        var k;
+        for (k = 0; k < (perpetuals === null || perpetuals === void 0 ? void 0 : perpetuals.length) && perpetuals[k].id != perpId; k++)
+            ;
+        if (perpetuals[k].id != perpId) {
+            emitWarning("getPerpetualData: perpetual id ".concat(perpId, " not found"));
+            return undefined;
+        }
+        return perpetuals[k];
+    };
+    /**
+     * Get the trader's current position risk (margin account data)
+     * @param perpetualIdOrSymbol perpetual id as string ('100003') or symbol ('BTC-USD-MATIC')
+     * @returns undefined if no position or margin account (='position risk')
+     */
+    PerpetualEventHandler.prototype.getCurrentPositionRisk = function (perpetualIdOrSymbol) {
+        var perpId = Number(perpetualIdOrSymbol);
+        if (isNaN(perpId)) {
+            perpId = this.mktData.getPerpIdFromSymbol(perpetualIdOrSymbol);
+        }
+        return this.positionInPerpetual.get(perpId);
+    };
+    /**
+     * Update the following prices:
+     *  - index price
+     *  - collateral price
+     *  - mid-price
+     * @param perpetualIdOrSymbol perpetual id as string ('100003') or symbol ('BTC-USD-MATIC')
+     */
+    PerpetualEventHandler.prototype.updatePrices = function (perpetualIdOrSymbol) {
+        return __awaiter(this, void 0, void 0, function () {
+            var perpId, symbol, sym, perpState, perp;
+            return __generator(this, function (_a) {
+                switch (_a.label) {
+                    case 0:
+                        perpId = Number(perpetualIdOrSymbol);
+                        symbol = perpetualIdOrSymbol;
+                        if (!isNaN(perpId)) {
+                            sym = this.mktData.getSymbolFromPerpId(perpId);
+                            if (sym == undefined) {
+                                throw new Error("Symbol not found for perpetual ".concat(perpId));
+                            }
+                            symbol = sym;
+                        }
+                        return [4 /*yield*/, this.mktData.getPerpetualState(symbol)];
+                    case 1:
+                        perpState = _a.sent();
+                        perp = this.getPerpetualData(symbol);
+                        if (perp == undefined) {
+                            throw new Error("Perpetual not found: ".concat(symbol));
+                        }
+                        perp.state = perpState.state;
+                        perp.indexPrice = perpState.indexPrice;
+                        perp.collToQuoteIndexPrice = perpState.collToQuoteIndexPrice;
+                        perp.markPrice = perpState.markPrice;
+                        perp.midPrice = perpState.midPrice;
+                        perp.currentFundingRateBps = perpState.currentFundingRateBps;
+                        perp.openInterestBC = perpState.openInterestBC;
+                        perp.indexPrice = perpState.indexPrice;
+                        perp.collToQuoteIndexPrice = perpState.collToQuoteIndexPrice;
+                        return [2 /*return*/];
+                }
+            });
+        });
+    };
+    /**
+     * Handle the event UpdateMarkPrice and update relevant
+     * data
+     * @param perpetualId perpetual Id
+     * @param fMarkPricePremium premium rate in ABDK format
+     * @param fSpotIndexPrice spot index price in ABDK format
+     * @returns void
+     */
+    PerpetualEventHandler.prototype.onUpdateMarkPrice = function (perpetualId, fMidPricePremium, fMarkPricePremium, fSpotIndexPrice) {
+        var _a = __read(PerpetualEventHandler.ConvertUpdateMarkPrice(fMidPricePremium, fMarkPricePremium, fSpotIndexPrice), 3), newMidPrice = _a[0], newMarkPrice = _a[1], newIndexPrice = _a[2];
+        var perpetual = this.getPerpetualData(perpetualId.toString());
+        if (perpetual == undefined) {
+            return;
+        }
+        perpetual.midPrice = newMidPrice;
+        perpetual.markPrice = newMarkPrice;
+        perpetual.indexPrice = newIndexPrice;
+    };
+    /**
+     * Handle the event UpdateFundingRate and update relevant
+     * data
+     * UpdateFundingRate(uint24 indexed perpetualId, int128 fFundingRate)
+     * @param fFundingRate funding rate in ABDK format
+     */
+    PerpetualEventHandler.prototype.onUpdateUpdateFundingRate = function (perpetualId, fFundingRate) {
+        var newRate = ABK64x64ToFloat(fFundingRate);
+        var perpetual = this.getPerpetualData(perpetualId.toString());
+        if (perpetual == undefined) {
+            return;
+        }
+        perpetual.currentFundingRateBps = newRate * 1e4;
+    };
+    /**
+     * event ExecutionFailed(
+          uint24 indexed perpetualId,
+          address indexed trader,
+          bytes32 digest,
+          string reason
+      );
+     * @param perpetualId id of the perpetual
+     * @param trader address of the trader
+     * @param digest digest of the order/cancel order
+     * @param reason reason why the execution failed
+     */
+    PerpetualEventHandler.prototype.onExecutionFailed = function (perpetualId, trader, digest, reason) {
+        if (trader != this.traderAddr) {
+            emitWarning("onExecutionFailed: trader ".concat(trader, " not relevant"));
+            return;
+        }
+        // remove order from open orders
+        var orderStructs = this.ordersInPerpetual.get(perpetualId);
+        if (orderStructs == undefined) {
+            emitWarning("onExecutionFailed: no order found for perpetual ".concat(perpetualId));
+            return;
+        }
+        if (reason == "cancel delay required") {
+            // canceling failed. We don't remove the order
+            return;
+        }
+        PerpetualEventHandler.deleteOrder(orderStructs, digest);
+    };
+    /**
+     * Event emitted by perpetual proxy
+     * event PerpetualLimitOrderCancelled(bytes32 indexed orderHash);
+     * @param orderId string order id/digest
+     */
+    PerpetualEventHandler.prototype.onPerpetualLimitOrderCancelled = function (orderId) {
+        // remove order from open orders
+        var perpId = PerpetualEventHandler.findOrderForId(orderId, this.ordersInPerpetual);
+        if (perpId == undefined) {
+            emitWarning("onPerpetualLimitOrderCancelled: no order found with id ".concat(orderId));
+            return;
+        }
+        var orderStruct = this.ordersInPerpetual.get(perpId);
+        PerpetualEventHandler.deleteOrder(orderStruct, orderId);
+    };
+    /**
+     * event PerpetualLimitOrderCreated(
+     *    uint24 indexed perpetualId,
+     *    address indexed trader,
+     *    address referrerAddr,
+     *    address brokerAddr,
+     *    Order order,
+     *    bytes32 digest
+     *)
+     * @param perpetualId id of the perpetual
+     * @param trader address of the trader
+     * @param referrerAddr address of the referrer
+     * @param brokerAddr address of the broker
+     * @param Order order struct
+     * @param digest order id
+     */
+    PerpetualEventHandler.prototype.onPerpetualLimitOrderCreated = function (perpetualId, trader, _referrerAddr, _brokerAddr, Order, digest) {
+        if (trader != this.traderAddr) {
+            emitWarning("onPerpetualLimitOrderCreated: trader ".concat(trader, " not relevant"));
+            return;
+        }
+        var order = this.mktData.smartContractOrderToOrder(Order);
+        var orderStruct = this.ordersInPerpetual.get(perpetualId);
+        if (orderStruct == undefined) {
+            // no order for this perpetual so far
+            this.ordersInPerpetual.set(perpetualId, { orders: [order], orderIds: [digest] });
+        }
+        else {
+            orderStruct.orderIds.push(digest);
+            orderStruct.orders.push(order);
+        }
+    };
+    /**
+     * This function is async -> queries the margin account
+     * @param perpetualId id of the perpetual
+     * @param trader trader address
+     * @param positionId position id
+     * @param fPositionBC position size in base currency
+     * @param fCashCC margin collateral in margin account
+     * @param fLockedInValueQC pos*average opening price
+     * @param fFundingPaymentCC funding payment made
+     * @param fOpenInterestBC open interest
+     */
+    PerpetualEventHandler.prototype.onUpdateMarginAccount = function (perpetualId, trader, _positionId, _fPositionBC, _fCashCC, _fLockedInValueQC, _fFundingPaymentCC, fOpenInterestBC) {
+        return __awaiter(this, void 0, void 0, function () {
+            var perpetual, perpetualIdStr, margin;
+            return __generator(this, function (_a) {
+                switch (_a.label) {
+                    case 0:
+                        perpetual = this.getPerpetualData(perpetualId.toString());
+                        if (perpetual == undefined) {
+                            emitWarning("onUpdateMarginAccount: perpetual ".concat(perpetualId, " not found"));
+                            return [2 /*return*/];
+                        }
+                        perpetual.openInterestBC = ABK64x64ToFloat(fOpenInterestBC);
+                        if (trader != this.traderAddr) {
+                            return [2 /*return*/];
+                        }
+                        perpetualIdStr = perpetualId.toString();
+                        return [4 /*yield*/, this.mktData.positionRisk(this.traderAddr, perpetualIdStr)];
+                    case 1:
+                        margin = _a.sent();
+                        this.positionInPerpetual.set(perpetualId, margin);
+                        return [2 /*return*/];
+                }
+            });
+        });
+    };
+    /**
+     *
+     * @param perpetualId perpetual id
+     * @param trader trader address
+     * @param positionId position id
+     * @param order order struct
+     * @param orderDigest order id
+     * @param newPositionSizeBC new pos size in base currency ABDK
+     * @param price price in ABDK format
+     * @returns trade event data in regular number format
+     */
+    PerpetualEventHandler.prototype.onTrade = function (perpetualId, _trader, positionId, _order, orderDigest, newPositionSizeBC, _price) {
+        // remove order digest from open orders
+        var orderStructs = this.ordersInPerpetual.get(perpetualId);
+        if (orderStructs == undefined) {
+            emitWarning("onTrade: executed order not found ".concat(orderDigest));
+        }
+        else {
+            PerpetualEventHandler.deleteOrder(orderStructs, orderDigest);
+        }
+        // return transformed trade info
+        return {
+            perpetualId: perpetualId,
+            positionId: positionId,
+            orderId: orderDigest,
+            newPositionSizeBC: ABK64x64ToFloat(newPositionSizeBC),
+            executionPrice: ABK64x64ToFloat(newPositionSizeBC),
+        };
+    };
+    /**
+     * static function to find the number of the  OrderStruct with given orderId
+     * @param orderId id/digest of order
+     * @param orderMap mapping for perpetualId->OrderStruct
+     * @returns id of perpetual that contains order with id = orderId or undefined
+     */
+    PerpetualEventHandler.findOrderForId = function (orderId, orderMap) {
+        var e_1, _a;
+        try {
+            /*orderMapMap<number, {
+              orders: Order[];
+              orderIds: string[];*/
+            for (var _b = __values(orderMap.keys()), _c = _b.next(); !_c.done; _c = _b.next()) {
+                var perpId = _c.value;
+                var orderStructs = orderMap.get(perpId);
+                if (orderStructs === null || orderStructs === void 0 ? void 0 : orderStructs.orderIds.includes(orderId)) {
+                    return perpId;
+                }
+            }
+        }
+        catch (e_1_1) { e_1 = { error: e_1_1 }; }
+        finally {
+            try {
+                if (_c && !_c.done && (_a = _b.return)) _a.call(_b);
+            }
+            finally { if (e_1) throw e_1.error; }
+        }
+        return undefined;
+    };
+    /**
+     * Delete the order with given id from the class member data
+     * @param orderStructs array of order struct as stored for the trader and a given perpetual
+     * @param orderId digest/order id
+     * @returns void
+     */
+    PerpetualEventHandler.deleteOrder = function (orderStructs, orderId) {
+        // find order
+        var k;
+        for (k = 0; k < orderStructs.orderIds.length && orderStructs.orderIds[k] != orderId; k++)
+            ;
+        if (orderStructs.orderIds[k] != orderId) {
+            emitWarning("deleteOrder: no order found with digest ".concat(orderId));
+            return;
+        }
+        // delete element k on reference of orders
+        orderStructs.orders[k] = orderStructs.orders[orderStructs.orders.length - 1];
+        orderStructs.orders.pop();
+        orderStructs.orderIds[k] = orderStructs.orderIds[orderStructs.orderIds.length - 1];
+        orderStructs.orderIds.pop();
+    };
+    /**
+     * UpdateMarkPrice(
+     *  uint24 indexed perpetualId,
+     *  int128 fMarkPricePremium,
+     *  int128 fSpotIndexPrice
+     * )
+     * @param fMarkPricePremium premium rate in ABDK format
+     * @param fSpotIndexPrice spot index price in ABDK format
+     * @returns mark price and spot index in float
+     */
+    PerpetualEventHandler.ConvertUpdateMarkPrice = function (fMidPricePremium, fMarkPricePremium, fSpotIndexPrice) {
+        var fMarkPrice = mul64x64(fSpotIndexPrice, ONE_64x64.add(fMarkPricePremium));
+        var fMidPrice = mul64x64(fSpotIndexPrice, ONE_64x64.add(fMidPricePremium));
+        var midPrice = ABK64x64ToFloat(fMidPrice);
+        var markPrice = ABK64x64ToFloat(fMarkPrice);
+        var indexPrice = ABK64x64ToFloat(fSpotIndexPrice);
+        return [midPrice, markPrice, indexPrice];
+    };
+    return PerpetualEventHandler;
+}());
+export default PerpetualEventHandler;
+//# sourceMappingURL=perpetualEventHandler.js.map

package/dist/esm/perpetualEventHandler.js.map

@@ -0,0 +1 @@
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package/dist/esm/priceFeeds.d.ts

@@ -0,0 +1,115 @@
+import PerpetualDataHandler from "./perpetualDataHandler";
+import { PriceFeedConfig, PriceFeedSubmission, PriceFeedFormat } from "./nodeSDKTypes";
+/**
+ * This class communicates with the REST API that provides price-data that is
+ * to be submitted to the smart contracts for certain functions such as
+ * trader liquidations, trade executions, change of trader margin amount.
+ */
+export default class PriceFeeds {
+    private config;
+    private feedEndpoints;
+    private feedInfo;
+    private dataHandler;
+    private triangulations;
+    private THRESHOLD_MARKET_CLOSED_SEC;
+    constructor(dataHandler: PerpetualDataHandler, priceFeedConfigNetwork: string);
+    /**
+     * Pre-processing of triangulations for symbols, given the price feeds
+     * @param symbols set of symbols we want to triangulate from price feeds
+     */
+    initializeTriangulations(symbols: Set<string>): void;
+    /**
+     * Get required information to be able to submit a blockchain transaction with price-update
+     * such as trade execution, liquidation
+     * @param symbol symbol of perpetual, e.g., BTC-USD-MATIC
+     * @returns PriceFeedSubmission, index prices, market closed information
+     */
+    fetchFeedPriceInfoAndIndicesForPerpetual(symbol: string): Promise<{
+        submission: PriceFeedSubmission;
+        pxS2S3: [number, number];
+        mktClosed: [boolean, boolean];
+    }>;
+    /**
+     * Get all prices/isMarketClosed for the provided symbols via
+     * "latest_price_feeds" and triangulation. Triangulation must be defined in config, unless
+     * it is a direct price feed.
+     * @returns map of feed-price symbol to price/isMarketClosed
+     */
+    fetchPrices(symbols: string[]): Promise<Map<string, [number, boolean]>>;
+    /**
+     * Get index prices and market closed information for the given perpetual
+     * @param symbol perpetual symbol such as ETH-USD-MATIC
+     * @returns Index prices and market closed information
+     */
+    fetchPricesForPerpetual(symbol: string): Promise<{
+        idxPrices: number[];
+        mktClosed: boolean[];
+    }>;
+    /**
+     * Fetch the provided feed prices and bool whether market is closed or open
+     * - requires the feeds to be defined in priceFeedConfig.json
+     * - if undefined, all feeds are queried
+     * @param symbols array of feed-price symbols (e.g., [btc-usd, eth-usd]) or undefined
+     * @returns mapping symbol-> [price, isMarketClosed]
+     */
+    fetchFeedPrices(symbols?: string[]): Promise<Map<string, [number, boolean]>>;
+    /**
+     * Get all configured feed prices via "latest_price_feeds"
+     * @returns map of feed-price symbol to price/isMarketClosed
+     */
+    fetchAllFeedPrices(): Promise<Map<string, [number, boolean]>>;
+    /**
+     * Get the latest prices for a given perpetual from the offchain oracle
+     * networks
+     * @param symbol perpetual symbol of the form BTC-USD-MATIC
+     * @returns array of price feed updates that can be submitted to the smart contract
+     * and corresponding price information
+     */
+    fetchLatestFeedPriceInfoForPerpetual(symbol: string): Promise<PriceFeedSubmission>;
+    /**
+     * Extract pair-prices from underlying price feeds via triangulation
+     * The function either needs a direct price feed or a defined triangulation to succesfully
+     * return a triangulated price
+     * @param symbols array of pairs for which we want prices, e.g., [BTC-USDC, ETH-USD]
+     * @param feeds data obtained via fetchLatestFeedPriceInfo or fetchLatestFeedPrices
+     * @returns array of prices with same order as symbols
+     */
+    calculateTriangulatedPricesFromFeedInfo(symbols: string[], feeds: PriceFeedSubmission): [number[], boolean[]];
+    /**
+     * Extract pair-prices from underlying price feeds via triangulation
+     * The function either needs a direct price feed or a defined triangulation to succesfully
+     * return a triangulated price
+     * @param symbols array of pairs for which we want prices, e.g., [BTC-USDC, ETH-USD]
+     * @param feeds data obtained via fetchLatestFeedPriceInfo or fetchLatestFeedPrices
+     * @returns array of prices with same order as symbols
+     */
+    triangulatePricesFromFeedPrices(symbols: string[], feedPriceMap: Map<string, [number, boolean]>): [number[], boolean[]];
+    /**
+     * Queries the REST endpoint and returns parsed VAA price data
+     * @param query query price-info from endpoint
+     * @returns vaa and price info
+     */
+    private fetchVAAQuery;
+    /**
+     * Queries the REST endpoint and returns parsed price data
+     * @param query query price-info from endpoint
+     * @returns vaa and price info
+     */
+    fetchPriceQuery(query: string): Promise<[string[], PriceFeedFormat[]]>;
+    /**
+     * Searches for configuration for given network
+     * @param configs pricefeed configuration from json
+     * @param network e.g. testnet
+     * @returns selected configuration
+     */
+    static _selectConfig(configs: PriceFeedConfig[], network: string): PriceFeedConfig;
+    /**
+     * Wraps configuration into convenient data-structure
+     * @param config configuration for the selected network
+     * @returns feedInfo-map and endPoints-array
+     */
+    static _constructFeedInfo(config: PriceFeedConfig): [Map<string, {
+        symbol: string;
+        endpointId: number;
+    }>, string[]];
+}