@d8x/perpetuals-sdk 2.0.13-alpha → 2.1.1-alpha2

package/src/perpetualEventHandler.ts

@@ -175,7 +175,7 @@ export default class PerpetualEventHandler {
     perp.state = perpState.state;
     perp.indexPrice = perpState.indexPrice;
     perp.collToQuoteIndexPrice = perpState.collToQuoteIndexPrice;
-    perp.markPrice = perpState.markPrice;
+    perp.markPremium = perpState.markPremium;
     perp.midPrice = perpState.midPrice;
     perp.currentFundingRateBps = perpState.currentFundingRateBps;
     perp.openInterestBC = perpState.openInterestBC;
@@ -197,7 +197,7 @@ export default class PerpetualEventHandler {
     fMarkPricePremium: bigint,
     fSpotIndexPrice: bigint
   ): void {
-    let [newMidPrice, newMarkPrice, newIndexPrice] = PerpetualEventHandler.ConvertUpdateMarkPrice(
+    let [newMidPrice, newMarkPricePrem, newIndexPrice] = PerpetualEventHandler.ConvertUpdateMarkPrice(
       fMidPricePremium,
       fMarkPricePremium,
       fSpotIndexPrice
@@ -207,7 +207,7 @@ export default class PerpetualEventHandler {
       return;
     }
     perpetual.midPrice = newMidPrice;
-    perpetual.markPrice = newMarkPrice;
+    perpetual.markPremium = newMarkPricePrem;
     perpetual.indexPrice = newIndexPrice;
   }
 
@@ -436,18 +436,17 @@ export default class PerpetualEventHandler {
    * )
    * @param fMarkPricePremium premium rate in ABDK format
    * @param fSpotIndexPrice spot index price in ABDK format
-   * @returns mark price and spot index in float
+   * @returns midPrice, markPricePremium, indexPrice in float
    */
   private static ConvertUpdateMarkPrice(
     fMidPricePremium: bigint,
     fMarkPricePremium: bigint,
     fSpotIndexPrice: bigint
   ): [number, number, number] {
-    let fMarkPrice = mul64x64(fSpotIndexPrice, ONE_64x64 + fMarkPricePremium);
     let fMidPrice = mul64x64(fSpotIndexPrice, ONE_64x64 + fMidPricePremium);
     let midPrice = ABK64x64ToFloat(fMidPrice);
-    let markPrice = ABK64x64ToFloat(fMarkPrice);
+    let markPricePremium = ABK64x64ToFloat(fMarkPricePremium);
     let indexPrice = ABK64x64ToFloat(fSpotIndexPrice);
-    return [midPrice, markPrice, indexPrice];
+    return [midPrice, markPricePremium, indexPrice];
   }
 }

package/src/polyMktsPxFeed.ts

@@ -1,5 +1,5 @@
 import { probToPrice } from "./d8XMath";
-import type { PriceFeedConfig } from "./nodeSDKTypes";
+import type { PriceFeedConfig, PriceFeedJson, PredMktPriceInfo } from "./nodeSDKTypes";
 
 interface PolyConfig {
   sym: string;
@@ -14,9 +14,21 @@ interface PolyConfig {
  */
 export default class PolyMktsPxFeed {
   private ids: Map<string, PolyConfig>;
+  private oracleEndpoint: string;
 
   constructor(config: PriceFeedConfig) {
     this.ids = new Map<string, PolyConfig>();
+    this.oracleEndpoint = "";
+    for (let k = 0; k < config.endpoints.length; k++) {
+      if (config.endpoints[k].type == "polymarket") {
+        let endp = config.endpoints[k].writeEndpoints;
+        this.oracleEndpoint = endp[Math.floor(Math.random() * endp.length)];
+        break;
+      }
+    }
+    if (this.oracleEndpoint == "") {
+      throw Error("no polymarkets write endpoint defined in priceFeedConfig");
+    }
     for (let k = 0; k < config.ids.length; k++) {
       if (config.ids[k].type == "polymarket") {
         const sym = config.ids[k].symbol;
@@ -29,21 +41,45 @@ export default class PolyMktsPxFeed {
         this.ids.set(sym, el);
       }
     }
+
+    this.oracleEndpoint = this.oracleEndpoint.replace(/\/$/, "") + "/v2/updates/price/latest?encoding=base64&ids[]=";
   }
 
   public isPolyMktsSym(sym: string) {
     return this.ids.get(sym) == undefined;
   }
 
-  public async fetchPriceForSym(sym: string): Promise<number> {
+  // returns index price, ema price, conf in tbps, parameters for order book
+  public async fetchPriceForSym(sym: string): Promise<PredMktPriceInfo> {
     const mkt = this.ids.get(sym);
     if (mkt == undefined) {
       throw new Error(`symbol not in polymarket universe: ${sym}`);
     }
-    return this.fetchPrice(mkt.idDec);
+    return this.fetchPrice(mkt.id);
+  }
+
+  // fetch price of the form 1+p from oracle, also fetches ema
+  public async fetchPrice(tokenIdHex: string): Promise<PredMktPriceInfo> {
+    const query = this.oracleEndpoint + tokenIdHex;
+    let response = await fetch(query);
+    if (response.status !== 200) {
+      throw new Error(`unexpected status code: ${response.status}`);
+    }
+    if (!response.ok) {
+      throw new Error(`failed to fetch posts (${response.status}): ${response.statusText} ${query}`);
+    }
+    const data = await response.json();
+    const emaObj = data.parsed[0].ema_price as PriceFeedJson;
+    const pxObj = data.parsed[0].price as PriceFeedJson;
+
+    const px = Number(pxObj.price) * Math.pow(10, pxObj.expo);
+    const ema = Number(emaObj.price) * Math.pow(10, emaObj.expo);
+    const params = BigInt(emaObj.conf);
+    const conf = BigInt(pxObj.conf);
+    return { s2: px, ema: ema, s2MktClosed: false, conf: conf, predMktCLOBParams: params } as PredMktPriceInfo;
   }
 
-  public async fetchPrice(tokenIdDec: string): Promise<number> {
+  public async fetchPriceFromAPI(tokenIdDec: string): Promise<number> {
     const query = "https://clob.polymarket.com/midpoint?token_id=" + tokenIdDec;
     let response = await fetch(query);
     if (response.status !== 200) {

package/src/priceFeeds.ts

@@ -7,6 +7,8 @@ import type {
   PriceFeedFormat,
   PriceFeedSubmission,
   PythV2LatestPriceFeed,
+  IdxPriceInfo,
+  PredMktPriceInfo,
 } from "./nodeSDKTypes";
 import PerpetualDataHandler from "./perpetualDataHandler";
 import Triangulator from "./triangulator";
@@ -41,7 +43,7 @@ export default class PriceFeeds {
   constructor(dataHandler: PerpetualDataHandler, priceFeedConfigNetwork: string) {
     let configs = require("./config/priceFeedConfig.json") as PriceFeedConfig[];
     this.config = PriceFeeds._selectConfig(configs, priceFeedConfigNetwork);
-    this.polyMktsPxFeed = new PolyMktsPxFeed(this.config);
+
     // if SDK config contains custom price feed endpoints, these override the
     // public/default ones
     if (dataHandler.config.priceFeedEndpoints && dataHandler.config.priceFeedEndpoints.length > 0) {
@@ -66,7 +68,7 @@ export default class PriceFeeds {
     if (this.writeFeedEndpoints.length == 0) {
       throw new Error("PriceFeeds: no writeEndpoints provided in config");
     }
-
+    this.polyMktsPxFeed = new PolyMktsPxFeed(this.config);
     this.dataHandler = dataHandler;
     this.triangulations = new Map<string, [string[], boolean[]]>();
   }
@@ -200,10 +202,25 @@ export default class PriceFeeds {
   /**
    * 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
+   * @returns Index prices and market closed information; for prediction markets also
+   * ema, confidence, and order book parameters.
    */
-  public async fetchPricesForPerpetual(symbol: string): Promise<{ idxPrices: number[]; mktClosed: boolean[] }> {
+  public async fetchPricesForPerpetual(symbol: string): Promise<IdxPriceInfo> {
     let indexSymbols = this.dataHandler.getIndexSymbols(symbol).filter((x) => x != "");
+    if (this.dataHandler.isPredictionMarket(symbol)) {
+      let priceObj = await this.polyMktsPxFeed.fetchPriceForSym(indexSymbols[0]);
+      const s3map = await this.fetchFeedPrices([indexSymbols[1]]);
+      const s3 = s3map.get(indexSymbols[1])!;
+      return {
+        s2: priceObj.s2,
+        s3: s3[0],
+        ema: priceObj.ema,
+        s2MktClosed: priceObj.s2MktClosed,
+        s3MktClosed: s3[1],
+        conf: priceObj.conf,
+        predMktCLOBParams: priceObj.predMktCLOBParams,
+      } as IdxPriceInfo;
+    }
     // determine relevant price feeds
     let feedSymbols = new Array<string>();
     for (let sym of indexSymbols) {
@@ -222,12 +239,15 @@ export default class PriceFeeds {
     let feedPrices = await this.fetchFeedPrices(feedSymbols);
     // triangulate
     let [prices, mktClosed] = this.triangulatePricesFromFeedPrices(indexSymbols, feedPrices);
-    // ensure we return an array of 2 in all cases
-    if (prices.length == 1) {
-      prices.push(0);
-      mktClosed.push(false);
-    }
-    return { idxPrices: prices, mktClosed: mktClosed };
+    return {
+      s2: prices[0],
+      s3: prices[1],
+      ema: prices[0],
+      s2MktClosed: mktClosed[0],
+      s3MktClosed: mktClosed[1],
+      conf: BigInt(0),
+      predMktCLOBParams: BigInt(0),
+    } as IdxPriceInfo;
   }
 
   /**
@@ -238,7 +258,8 @@ export default class PriceFeeds {
    *   endpoints are used
    * @param symbols array of feed-price symbols (e.g., [btc-usd, eth-usd]) or
    * undefined
-   * @returns mapping symbol-> [price, isMarketClosed]
+   * @returns mapping symbol-> [price, isMarketClosed], also has an entry
+   * <symbol>:ema for each polymarket symbol that maps to the ema price
    */
   public async fetchFeedPrices(symbols?: string[]): Promise<Map<string, [number, boolean]>> {
     let queries = new Array<string>(this.feedEndpoints.length);
@@ -301,10 +322,11 @@ export default class PriceFeeds {
     let polyPxs = await polyMktsPromise;
     for (let k = 0; k < polyPxs.length; k++) {
       let sym = polyMktSyms[k];
-      if (polyPxs[k] == -1) {
+      if (polyPxs[k] == undefined) {
         continue;
       }
-      resultPrices.set(sym, [polyPxs[k], false]);
+      resultPrices.set(sym, [polyPxs[k]!.s2, polyPxs[k]!.s2MktClosed]);
+      resultPrices.set(sym + ":ema", [polyPxs[k]!.ema, polyPxs[k]!.s2MktClosed]);
     }
     return resultPrices;
   }
@@ -320,15 +342,17 @@ export default class PriceFeeds {
     return prices;
   }
 
+  // returns an array with two values per symbol: price, ema
   private async queryPolyMktsPxFeeds(symbols: string[]) {
-    let prices: number[] = new Array<number>();
+    let prices = new Array<PredMktPriceInfo | undefined>();
     for (let k = 0; k < symbols.length; k++) {
       try {
-        let price = await this.polyMktsPxFeed.fetchPriceForSym(symbols[k]);
-        prices.push(price);
+        let info = await this.polyMktsPxFeed.fetchPriceForSym(symbols[k]);
+        prices.push(info);
       } catch (error) {
         console.log("fetchPriceForSym failed for " + symbols[k]);
-        prices.push(-1);
+        console.log(error);
+        prices.push(undefined);
       }
       if (k > 0) {
         await sleep(0.25);

package/src/version.ts

@@ -1 +1 @@
-export const D8X_SDK_VERSION = "2.0.13-alpha";
+export const D8X_SDK_VERSION = "2.1.1-alpha2";

package/src/writeAccessHandler.ts

@@ -9,7 +9,7 @@ import {
   Wallet,
 } from "ethers";
 import { MAX_UINT_256, MULTICALL_ADDRESS } from "./constants";
-import { ERC20__factory, MockTokenSwap__factory, Multicall3__factory } from "./contracts";
+import { ERC20__factory, IPerpetualManager__factory, MockTokenSwap__factory, Multicall3__factory } from "./contracts";
 import { PayableOverrides } from "./contracts/common";
 import { floatToDecN } from "./d8XMath";
 import MarketData from "./marketData";
@@ -66,7 +66,7 @@ export default class WriteAccessHandler extends PerpetualDataHandler {
       const mktData = providerOrMarketData;
       this.nodeURL = mktData.config.nodeURL;
       this.provider = new JsonRpcProvider(mktData.config.nodeURL, mktData.network, { staticNetwork: true });
-      this.proxyContract = new Contract(mktData.getProxyAddress(), this.config.proxyABI!, this.provider);
+      this.proxyContract = IPerpetualManager__factory.connect(mktData.getProxyAddress(), this.provider);
       this.multicall = Multicall3__factory.connect(this.config.multicall ?? MULTICALL_ADDRESS, this.provider);
       ({
         nestedPerpetualIDs: this.nestedPerpetualIDs,

package/dist/cjs/abi/BeaconProxy.json

@@ -1,71 +0,0 @@
-[
-    {
-        "inputs": [
-            {
-                "internalType": "address",
-                "name": "beacon",
-                "type": "address"
-            },
-            {
-                "internalType": "bytes",
-                "name": "data",
-                "type": "bytes"
-            }
-        ],
-        "stateMutability": "payable",
-        "type": "constructor"
-    },
-    {
-        "anonymous": false,
-        "inputs": [
-            {
-                "indexed": false,
-                "internalType": "address",
-                "name": "previousAdmin",
-                "type": "address"
-            },
-            {
-                "indexed": false,
-                "internalType": "address",
-                "name": "newAdmin",
-                "type": "address"
-            }
-        ],
-        "name": "AdminChanged",
-        "type": "event"
-    },
-    {
-        "anonymous": false,
-        "inputs": [
-            {
-                "indexed": true,
-                "internalType": "address",
-                "name": "beacon",
-                "type": "address"
-            }
-        ],
-        "name": "BeaconUpgraded",
-        "type": "event"
-    },
-    {
-        "anonymous": false,
-        "inputs": [
-            {
-                "indexed": true,
-                "internalType": "address",
-                "name": "implementation",
-                "type": "address"
-            }
-        ],
-        "name": "Upgraded",
-        "type": "event"
-    },
-    {
-        "stateMutability": "payable",
-        "type": "fallback"
-    },
-    {
-        "stateMutability": "payable",
-        "type": "receive"
-    }
-]