@d8x/perpetuals-sdk 2.0.13-alpha → 2.1.1-alpha2
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/cjs/abi/IPerpetualManager.json +154 -4
- package/dist/cjs/abi/OracleFactory.json +94 -25
- package/dist/cjs/abi/PerpetualManagerProxy.json +212 -2
- package/dist/cjs/accountTrade.d.ts +3 -3
- package/dist/cjs/accountTrade.js +1 -1
- package/dist/cjs/accountTrade.js.map +1 -1
- package/dist/cjs/brokerTool.d.ts +5 -1
- package/dist/cjs/brokerTool.js +20 -7
- package/dist/cjs/brokerTool.js.map +1 -1
- package/dist/cjs/config/defaultConfig.json +0 -12
- package/dist/cjs/config/priceFeedConfig.json +1 -19
- package/dist/cjs/constants.d.ts +0 -1
- package/dist/cjs/constants.js +2 -3
- package/dist/cjs/constants.js.map +1 -1
- package/dist/cjs/contracts/IPerpetualManager.d.ts +93 -13
- package/dist/cjs/contracts/OracleFactory.d.ts +69 -20
- package/dist/cjs/contracts/PerpetualManagerProxy.d.ts +109 -4
- package/dist/cjs/contracts/factories/IPerpetualManager__factory.d.ts +118 -4
- package/dist/cjs/contracts/factories/IPerpetualManager__factory.js +154 -4
- package/dist/cjs/contracts/factories/IPerpetualManager__factory.js.map +1 -1
- package/dist/cjs/contracts/factories/OracleFactory__factory.d.ts +75 -20
- package/dist/cjs/contracts/factories/OracleFactory__factory.js +94 -25
- package/dist/cjs/contracts/factories/OracleFactory__factory.js.map +1 -1
- package/dist/cjs/contracts/factories/PerpetualManagerProxy__factory.d.ts +159 -2
- package/dist/cjs/contracts/factories/PerpetualManagerProxy__factory.js +212 -2
- package/dist/cjs/contracts/factories/PerpetualManagerProxy__factory.js.map +1 -1
- package/dist/cjs/d8XMath.d.ts +59 -1
- package/dist/cjs/d8XMath.js +259 -3
- package/dist/cjs/d8XMath.js.map +1 -1
- package/dist/cjs/liquidatorTool.d.ts +1 -0
- package/dist/cjs/liquidatorTool.js +24 -7
- package/dist/cjs/liquidatorTool.js.map +1 -1
- package/dist/cjs/marketData.d.ts +45 -23
- package/dist/cjs/marketData.js +292 -197
- package/dist/cjs/marketData.js.map +1 -1
- package/dist/cjs/nodeSDKTypes.d.ts +24 -1
- package/dist/cjs/nodeSDKTypes.js.map +1 -1
- package/dist/cjs/orderExecutorTool.d.ts +3 -3
- package/dist/cjs/orderExecutorTool.js +38 -13
- package/dist/cjs/orderExecutorTool.js.map +1 -1
- package/dist/cjs/perpetualDataHandler.d.ts +28 -17
- package/dist/cjs/perpetualDataHandler.js +71 -45
- package/dist/cjs/perpetualDataHandler.js.map +1 -1
- package/dist/cjs/perpetualEventHandler.d.ts +1 -1
- package/dist/cjs/perpetualEventHandler.js +6 -7
- package/dist/cjs/perpetualEventHandler.js.map +1 -1
- package/dist/cjs/polyMktsPxFeed.d.ts +5 -3
- package/dist/cjs/polyMktsPxFeed.js +34 -2
- package/dist/cjs/polyMktsPxFeed.js.map +1 -1
- package/dist/cjs/priceFeeds.d.ts +6 -7
- package/dist/cjs/priceFeeds.js +36 -14
- package/dist/cjs/priceFeeds.js.map +1 -1
- package/dist/cjs/version.d.ts +1 -1
- package/dist/cjs/version.js +1 -1
- package/dist/cjs/writeAccessHandler.js +1 -1
- package/dist/cjs/writeAccessHandler.js.map +1 -1
- package/dist/esm/abi/IPerpetualManager.json +154 -4
- package/dist/esm/abi/OracleFactory.json +94 -25
- package/dist/esm/abi/PerpetualManagerProxy.json +212 -2
- package/dist/esm/accountTrade.d.ts +3 -3
- package/dist/esm/accountTrade.js +1 -1
- package/dist/esm/accountTrade.js.map +1 -1
- package/dist/esm/brokerTool.d.ts +5 -1
- package/dist/esm/brokerTool.js +21 -8
- package/dist/esm/brokerTool.js.map +1 -1
- package/dist/esm/config/defaultConfig.json +0 -12
- package/dist/esm/config/priceFeedConfig.json +1 -19
- package/dist/esm/constants.d.ts +0 -1
- package/dist/esm/constants.js +1 -2
- package/dist/esm/constants.js.map +1 -1
- package/dist/esm/contracts/IPerpetualManager.d.ts +93 -13
- package/dist/esm/contracts/OracleFactory.d.ts +69 -20
- package/dist/esm/contracts/PerpetualManagerProxy.d.ts +109 -4
- package/dist/esm/contracts/factories/IPerpetualManager__factory.d.ts +118 -4
- package/dist/esm/contracts/factories/IPerpetualManager__factory.js +154 -4
- package/dist/esm/contracts/factories/IPerpetualManager__factory.js.map +1 -1
- package/dist/esm/contracts/factories/OracleFactory__factory.d.ts +75 -20
- package/dist/esm/contracts/factories/OracleFactory__factory.js +94 -25
- package/dist/esm/contracts/factories/OracleFactory__factory.js.map +1 -1
- package/dist/{cjs/contracts/factories/MockToken__factory.d.ts → esm/contracts/factories/PerpStorage__factory.d.ts} +115 -128
- package/dist/esm/contracts/factories/{MockToken__factory.js → PerpStorage__factory.js} +128 -139
- package/dist/esm/contracts/factories/PerpStorage__factory.js.map +1 -0
- package/dist/esm/contracts/factories/PerpetualManagerProxy__factory.d.ts +159 -2
- package/dist/esm/contracts/factories/PerpetualManagerProxy__factory.js +212 -2
- package/dist/esm/contracts/factories/PerpetualManagerProxy__factory.js.map +1 -1
- package/dist/esm/d8XMath.d.ts +59 -1
- package/dist/esm/d8XMath.js +251 -2
- package/dist/esm/d8XMath.js.map +1 -1
- package/dist/esm/liquidatorTool.d.ts +1 -0
- package/dist/esm/liquidatorTool.js +25 -8
- package/dist/esm/liquidatorTool.js.map +1 -1
- package/dist/esm/marketData.d.ts +45 -23
- package/dist/esm/marketData.js +295 -200
- package/dist/esm/marketData.js.map +1 -1
- package/dist/esm/nodeSDKTypes.d.ts +24 -1
- package/dist/esm/nodeSDKTypes.js.map +1 -1
- package/dist/esm/orderExecutorTool.d.ts +3 -3
- package/dist/esm/orderExecutorTool.js +38 -13
- package/dist/esm/orderExecutorTool.js.map +1 -1
- package/dist/esm/perpetualDataHandler.d.ts +28 -17
- package/dist/esm/perpetualDataHandler.js +74 -48
- package/dist/esm/perpetualDataHandler.js.map +1 -1
- package/dist/esm/perpetualEventHandler.d.ts +1 -1
- package/dist/esm/perpetualEventHandler.js +6 -7
- package/dist/esm/perpetualEventHandler.js.map +1 -1
- package/dist/esm/polyMktsPxFeed.d.ts +5 -3
- package/dist/esm/polyMktsPxFeed.js +34 -2
- package/dist/esm/polyMktsPxFeed.js.map +1 -1
- package/dist/esm/priceFeeds.d.ts +6 -7
- package/dist/esm/priceFeeds.js +36 -14
- package/dist/esm/priceFeeds.js.map +1 -1
- package/dist/esm/version.d.ts +1 -1
- package/dist/esm/version.js +1 -1
- package/dist/esm/writeAccessHandler.js +3 -3
- package/dist/esm/writeAccessHandler.js.map +1 -1
- package/doc/brokerTool.md +3 -1
- package/doc/d8x-perpetuals-sdk.md +804 -132
- package/doc/marketData.md +813 -0
- package/doc/perpetualDataHandler.md +76 -7
- package/package.json +1 -1
- package/src/abi/IPerpetualManager.json +154 -4
- package/src/abi/OracleFactory.json +523 -454
- package/src/abi/PerpetualManagerProxy.json +1596 -1386
- package/src/accountTrade.ts +3 -3
- package/src/brokerTool.ts +22 -8
- package/src/config/defaultConfig.json +0 -13
- package/src/config/priceFeedConfig.json +1 -19
- package/src/constants.ts +1 -2
- package/src/contracts/IPerpetualManager.ts +140 -10
- package/src/contracts/OracleFactory.ts +100 -26
- package/src/contracts/PerpetualManagerProxy.ts +192 -3
- package/src/contracts/factories/IPerpetualManager__factory.ts +154 -4
- package/src/contracts/factories/OracleFactory__factory.ts +94 -25
- package/src/contracts/factories/PerpetualManagerProxy__factory.ts +212 -2
- package/src/d8XMath.ts +327 -2
- package/src/liquidatorTool.ts +29 -14
- package/src/marketData.ts +448 -250
- package/src/nodeSDKTypes.ts +30 -1
- package/src/orderExecutorTool.ts +48 -20
- package/src/perpetualDataHandler.ts +108 -55
- package/src/perpetualEventHandler.ts +6 -7
- package/src/polyMktsPxFeed.ts +40 -4
- package/src/priceFeeds.ts +41 -17
- package/src/version.ts +1 -1
- package/src/writeAccessHandler.ts +2 -2
- package/dist/cjs/abi/BeaconProxy.json +0 -71
- package/dist/cjs/abi/Maintainer.json +0 -774
- package/dist/cjs/abi/MockToken.json +0 -347
- package/dist/cjs/abi/UUPSUpgradeable.json +0 -104
- package/dist/cjs/abi/WeETH.json +0 -310
- package/dist/cjs/abi-zkevm/LimitOrderBook.json +0 -910
- package/dist/cjs/abi-zkevm/LimitOrderBookFactory.json +0 -236
- package/dist/cjs/contracts/BeaconProxy.d.ts +0 -63
- package/dist/cjs/contracts/BeaconProxy.js +0 -3
- package/dist/cjs/contracts/BeaconProxy.js.map +0 -1
- package/dist/cjs/contracts/Maintainer.d.ts +0 -799
- package/dist/cjs/contracts/Maintainer.js +0 -3
- package/dist/cjs/contracts/Maintainer.js.map +0 -1
- package/dist/cjs/contracts/MockToken.d.ts +0 -263
- package/dist/cjs/contracts/MockToken.js +0 -3
- package/dist/cjs/contracts/MockToken.js.map +0 -1
- package/dist/cjs/contracts/UUPSUpgradeable.d.ts +0 -118
- package/dist/cjs/contracts/UUPSUpgradeable.js +0 -3
- package/dist/cjs/contracts/UUPSUpgradeable.js.map +0 -1
- package/dist/cjs/contracts/WeETH.d.ts +0 -503
- package/dist/cjs/contracts/WeETH.js +0 -3
- package/dist/cjs/contracts/WeETH.js.map +0 -1
- package/dist/cjs/contracts/factories/BeaconProxy__factory.d.ts +0 -61
- package/dist/cjs/contracts/factories/BeaconProxy__factory.js +0 -89
- package/dist/cjs/contracts/factories/BeaconProxy__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/Maintainer__factory.d.ts +0 -609
- package/dist/cjs/contracts/factories/Maintainer__factory.js +0 -792
- package/dist/cjs/contracts/factories/Maintainer__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/MockToken__factory.js +0 -365
- package/dist/cjs/contracts/factories/MockToken__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/UUPSUpgradeable__factory.d.ts +0 -87
- package/dist/cjs/contracts/factories/UUPSUpgradeable__factory.js +0 -122
- package/dist/cjs/contracts/factories/UUPSUpgradeable__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/WeETH__factory.d.ts +0 -545
- package/dist/cjs/contracts/factories/WeETH__factory.js +0 -721
- package/dist/cjs/contracts/factories/WeETH__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/lean0/IPerpetualManager__factory.d.ts +0 -4136
- package/dist/cjs/contracts/factories/lean0/IPerpetualManager__factory.js +0 -5324
- package/dist/cjs/contracts/factories/lean0/IPerpetualManager__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/lean0/LimitOrderBookFactory__factory.d.ts +0 -189
- package/dist/cjs/contracts/factories/lean0/LimitOrderBookFactory__factory.js +0 -254
- package/dist/cjs/contracts/factories/lean0/LimitOrderBookFactory__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/lean0/LimitOrderBook__factory.d.ts +0 -715
- package/dist/cjs/contracts/factories/lean0/LimitOrderBook__factory.js +0 -928
- package/dist/cjs/contracts/factories/lean0/LimitOrderBook__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/lean0/ShareToken__factory.d.ts +0 -344
- package/dist/cjs/contracts/factories/lean0/ShareToken__factory.js +0 -456
- package/dist/cjs/contracts/factories/lean0/ShareToken__factory.js.map +0 -1
- package/dist/cjs/contracts/factories/lean0/index.d.ts +0 -4
- package/dist/cjs/contracts/factories/lean0/index.js +0 -15
- package/dist/cjs/contracts/factories/lean0/index.js.map +0 -1
- package/dist/cjs/contracts/lean0/IPerpetualManager.d.ts +0 -2821
- package/dist/cjs/contracts/lean0/IPerpetualManager.js +0 -3
- package/dist/cjs/contracts/lean0/IPerpetualManager.js.map +0 -1
- package/dist/cjs/contracts/lean0/LimitOrderBook.d.ts +0 -533
- package/dist/cjs/contracts/lean0/LimitOrderBook.js +0 -3
- package/dist/cjs/contracts/lean0/LimitOrderBook.js.map +0 -1
- package/dist/cjs/contracts/lean0/LimitOrderBookFactory.d.ts +0 -210
- package/dist/cjs/contracts/lean0/LimitOrderBookFactory.js +0 -3
- package/dist/cjs/contracts/lean0/LimitOrderBookFactory.js.map +0 -1
- package/dist/cjs/contracts/lean0/ShareToken.d.ts +0 -320
- package/dist/cjs/contracts/lean0/ShareToken.js +0 -3
- package/dist/cjs/contracts/lean0/ShareToken.js.map +0 -1
- package/dist/cjs/contracts/lean0/index.d.ts +0 -4
- package/dist/cjs/contracts/lean0/index.js +0 -3
- package/dist/cjs/contracts/lean0/index.js.map +0 -1
- package/dist/esm/abi/BeaconProxy.json +0 -71
- package/dist/esm/abi/Maintainer.json +0 -774
- package/dist/esm/abi/MockToken.json +0 -347
- package/dist/esm/abi/UUPSUpgradeable.json +0 -104
- package/dist/esm/abi/WeETH.json +0 -310
- package/dist/esm/abi/lean0/IPerpetualManager.json +0 -5306
- package/dist/esm/abi/lean0/LimitOrderBook.json +0 -910
- package/dist/esm/abi/lean0/LimitOrderBookFactory.json +0 -236
- package/dist/esm/abi/lean0/ShareToken.json +0 -438
- package/dist/esm/abi-zkevm/LimitOrderBook.json +0 -910
- package/dist/esm/abi-zkevm/LimitOrderBookFactory.json +0 -236
- package/dist/esm/contracts/BeaconProxy.d.ts +0 -63
- package/dist/esm/contracts/BeaconProxy.js +0 -2
- package/dist/esm/contracts/BeaconProxy.js.map +0 -1
- package/dist/esm/contracts/Maintainer.d.ts +0 -799
- package/dist/esm/contracts/Maintainer.js +0 -2
- package/dist/esm/contracts/Maintainer.js.map +0 -1
- package/dist/esm/contracts/MockToken.d.ts +0 -263
- package/dist/esm/contracts/MockToken.js +0 -2
- package/dist/esm/contracts/MockToken.js.map +0 -1
- package/dist/esm/contracts/UUPSUpgradeable.d.ts +0 -118
- package/dist/esm/contracts/UUPSUpgradeable.js +0 -2
- package/dist/esm/contracts/UUPSUpgradeable.js.map +0 -1
- package/dist/esm/contracts/WeETH.d.ts +0 -503
- package/dist/esm/contracts/WeETH.js +0 -2
- package/dist/esm/contracts/WeETH.js.map +0 -1
- package/dist/esm/contracts/factories/BeaconProxy__factory.d.ts +0 -61
- package/dist/esm/contracts/factories/BeaconProxy__factory.js +0 -85
- package/dist/esm/contracts/factories/BeaconProxy__factory.js.map +0 -1
- package/dist/esm/contracts/factories/Maintainer__factory.d.ts +0 -609
- package/dist/esm/contracts/factories/Maintainer__factory.js +0 -788
- package/dist/esm/contracts/factories/Maintainer__factory.js.map +0 -1
- package/dist/esm/contracts/factories/MockToken__factory.d.ts +0 -273
- package/dist/esm/contracts/factories/MockToken__factory.js.map +0 -1
- package/dist/esm/contracts/factories/UUPSUpgradeable__factory.d.ts +0 -87
- package/dist/esm/contracts/factories/UUPSUpgradeable__factory.js +0 -118
- package/dist/esm/contracts/factories/UUPSUpgradeable__factory.js.map +0 -1
- package/dist/esm/contracts/factories/WeETH__factory.d.ts +0 -545
- package/dist/esm/contracts/factories/WeETH__factory.js +0 -717
- package/dist/esm/contracts/factories/WeETH__factory.js.map +0 -1
- package/dist/esm/contracts/factories/lean0/IPerpetualManager__factory.d.ts +0 -4136
- package/dist/esm/contracts/factories/lean0/IPerpetualManager__factory.js +0 -5320
- package/dist/esm/contracts/factories/lean0/IPerpetualManager__factory.js.map +0 -1
- package/dist/esm/contracts/factories/lean0/LimitOrderBookFactory__factory.d.ts +0 -189
- package/dist/esm/contracts/factories/lean0/LimitOrderBookFactory__factory.js +0 -250
- package/dist/esm/contracts/factories/lean0/LimitOrderBookFactory__factory.js.map +0 -1
- package/dist/esm/contracts/factories/lean0/LimitOrderBook__factory.d.ts +0 -715
- package/dist/esm/contracts/factories/lean0/LimitOrderBook__factory.js +0 -924
- package/dist/esm/contracts/factories/lean0/LimitOrderBook__factory.js.map +0 -1
- package/dist/esm/contracts/factories/lean0/ShareToken__factory.d.ts +0 -344
- package/dist/esm/contracts/factories/lean0/ShareToken__factory.js +0 -452
- package/dist/esm/contracts/factories/lean0/ShareToken__factory.js.map +0 -1
- package/dist/esm/contracts/factories/lean0/index.d.ts +0 -4
- package/dist/esm/contracts/factories/lean0/index.js +0 -8
- package/dist/esm/contracts/factories/lean0/index.js.map +0 -1
- package/dist/esm/contracts/lean0/IPerpetualManager.d.ts +0 -2821
- package/dist/esm/contracts/lean0/IPerpetualManager.js +0 -2
- package/dist/esm/contracts/lean0/IPerpetualManager.js.map +0 -1
- package/dist/esm/contracts/lean0/LimitOrderBook.d.ts +0 -533
- package/dist/esm/contracts/lean0/LimitOrderBook.js +0 -2
- package/dist/esm/contracts/lean0/LimitOrderBook.js.map +0 -1
- package/dist/esm/contracts/lean0/LimitOrderBookFactory.d.ts +0 -210
- package/dist/esm/contracts/lean0/LimitOrderBookFactory.js +0 -2
- package/dist/esm/contracts/lean0/LimitOrderBookFactory.js.map +0 -1
- package/dist/esm/contracts/lean0/ShareToken.d.ts +0 -320
- package/dist/esm/contracts/lean0/ShareToken.js +0 -2
- package/dist/esm/contracts/lean0/ShareToken.js.map +0 -1
- package/dist/esm/contracts/lean0/index.d.ts +0 -4
- package/dist/esm/contracts/lean0/index.js +0 -2
- package/dist/esm/contracts/lean0/index.js.map +0 -1
- package/src/abi-zkevm/IPerpetualManager.json +0 -5366
package/dist/cjs/d8XMath.js
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.probToPrice = exports.priceToProb = exports.getDepositAmountForLvgTrade = exports.getNewPositionLeverage = exports.getMaxSignedPositionSize = exports.getMarginRequiredForLeveragedTrade = exports.calculateLiquidationPriceCollateralQuote = exports.calculateLiquidationPriceCollateralQuanto = exports.calculateLiquidationPriceCollateralBase = exports.div64x64 = exports.mul64x64 = exports.roundToLotString = exports.countDecimalsOf = exports.floatToDecN = exports.floatToDec18 = exports.floatToABK64x64 = exports.dec18ToFloat = exports.decNToFloat = exports.ABK64x64ToFloat = exports.ABDK29ToFloat = void 0;
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exports.pmFindMaxTradeSize = exports.pmFindLiquidationPrice = exports.pmExchangeFee = exports.expectedLoss = exports.pmInitialMarginRate = exports.pmMaintenanceMarginRate = exports.entropy = exports.probToPrice = exports.priceToProb = exports.getDepositAmountForLvgTrade = exports.getNewPositionLeverage = exports.getMaxSignedPositionSize = exports.getMarginRequiredForLeveragedTrade = exports.calculateLiquidationPriceCollateralQuote = exports.calculateLiquidationPriceCollateralQuanto = exports.calculateLiquidationPriceCollateralBase = exports.div64x64 = exports.mul64x64 = exports.roundToLotString = exports.countDecimalsOf = exports.floatToDecN = exports.floatToDec18 = exports.floatToABK64x64 = exports.dec18ToFloat = exports.decNToFloat = exports.ABK64x64ToFloat = exports.ABDK29ToFloat = void 0;
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/**
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* @module d8xMath
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* @param {number} price - price to trade amount 'tradeAmnt'
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* @param {number} S3 - collateral to quote conversion (=S2 if base-collateral, =1 if quote collateral, = index S3 if quanto)
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* @param {boolean} isPredMkt - true if prediction market
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* @returns {number} Amount to be deposited to have the given leverage when trading into position pos before fees
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*/
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function getDepositAmountForLvgTrade(pos0, b0, tradeAmnt, targetLvg, price, S3, S2Mark) {
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function getDepositAmountForLvgTrade(pos0, b0, tradeAmnt, targetLvg, price, S3, S2Mark, isPredMkt) {
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let pnl = (tradeAmnt * (S2Mark - price)) / S3;
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let S2MarkBefore = S2Mark;
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if (isPredMkt) {
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// adjust mark price to 'probability'
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S2Mark = S2Mark - 1;
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S2MarkBefore = S2Mark;
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S2MarkBefore = 1 - S2Mark;
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}
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347
|
+
if (pos0 + tradeAmnt < 0) {
|
|
348
|
+
S2Mark = 1 - S2Mark;
|
|
349
|
+
}
|
|
350
|
+
}
|
|
338
351
|
if (targetLvg == 0) {
|
|
339
|
-
|
|
352
|
+
// use current leverage
|
|
353
|
+
targetLvg = (Math.abs(pos0) * S2MarkBefore) / S3 / b0;
|
|
340
354
|
}
|
|
341
355
|
let b = (Math.abs(pos0 + tradeAmnt) * S2Mark) / S3 / targetLvg;
|
|
342
356
|
return -(b0 + pnl - b);
|
|
@@ -363,4 +377,246 @@ function probToPrice(prob) {
|
|
|
363
377
|
return 1 + prob;
|
|
364
378
|
}
|
|
365
379
|
exports.probToPrice = probToPrice;
|
|
380
|
+
// shannon entropy
|
|
381
|
+
function entropy(prob) {
|
|
382
|
+
if (prob < 1e-15 || prob - 1 > 1e-15) {
|
|
383
|
+
return 0;
|
|
384
|
+
}
|
|
385
|
+
return -prob * Math.log2(prob) - (1 - prob) * Math.log2(1 - prob);
|
|
386
|
+
}
|
|
387
|
+
exports.entropy = entropy;
|
|
388
|
+
/**
|
|
389
|
+
* Maintenance margin requirement for prediction markets
|
|
390
|
+
* @param pos signed position
|
|
391
|
+
* @param s2 mark price
|
|
392
|
+
* @param s3 collateral to quote conversion
|
|
393
|
+
* @param m base margin rate
|
|
394
|
+
* @returns required margin balance
|
|
395
|
+
*/
|
|
396
|
+
function pmMarginThresh(pos, s2, s3, m = 0.18) {
|
|
397
|
+
let p = s2 - 1;
|
|
398
|
+
if (pos < 0) {
|
|
399
|
+
p = 1 - p;
|
|
400
|
+
}
|
|
401
|
+
const h = entropy(p);
|
|
402
|
+
const tau = m + (0.4 - m) * h;
|
|
403
|
+
return (Math.abs(pos) * p * tau) / s3;
|
|
404
|
+
}
|
|
405
|
+
/**
|
|
406
|
+
* Maintenance margin rate for prediction markets.
|
|
407
|
+
* @param posSign sign of position in base currency (can be signed position or -1, 1)
|
|
408
|
+
* @param sm mark-price (=1+p)
|
|
409
|
+
* @param m max margin rate from fInitialMarginRate
|
|
410
|
+
* @returns margin rate to be applied (Math.abs(pos) * p * tau) / s3;
|
|
411
|
+
*/
|
|
412
|
+
function pmMaintenanceMarginRate(posSign, sm, m = 0.18) {
|
|
413
|
+
let p = sm - 1;
|
|
414
|
+
if (posSign < 0) {
|
|
415
|
+
p = 1 - p;
|
|
416
|
+
}
|
|
417
|
+
const h = entropy(p);
|
|
418
|
+
return m + (0.4 - m) * h;
|
|
419
|
+
}
|
|
420
|
+
exports.pmMaintenanceMarginRate = pmMaintenanceMarginRate;
|
|
421
|
+
/**
|
|
422
|
+
* Maintenance margin rate for prediction markets.
|
|
423
|
+
* @param posSign sign of position in base currency (can be signed position or -1, 1)
|
|
424
|
+
* @param sm mark-price (=1+p)
|
|
425
|
+
* @param m max margin rate from fMaintenanceMarginRate
|
|
426
|
+
* @returns margin rate to be applied (Math.abs(pos) * p * tau) / s3;
|
|
427
|
+
*/
|
|
428
|
+
function pmInitialMarginRate(posSign, sm, m = 0.2) {
|
|
429
|
+
let p = sm - 1;
|
|
430
|
+
if (posSign < 0) {
|
|
431
|
+
p = 1 - p;
|
|
432
|
+
}
|
|
433
|
+
const h = entropy(p);
|
|
434
|
+
return m + (0.5 - m) * h;
|
|
435
|
+
}
|
|
436
|
+
exports.pmInitialMarginRate = pmInitialMarginRate;
|
|
437
|
+
/**
|
|
438
|
+
* Calculate the expected loss for a prediction market trade used for
|
|
439
|
+
* prediction market fees
|
|
440
|
+
* @param p probability derived from mark price (long)
|
|
441
|
+
* @param m maximal maintenance rate from which we defer the actual maintenance margin rate
|
|
442
|
+
* @param totLong total long in base currency
|
|
443
|
+
* @param totShort total short
|
|
444
|
+
* @param tradeAmt signed trade amount, can be zero
|
|
445
|
+
* @param tradeMgnRate margin rate of the trader
|
|
446
|
+
*/
|
|
447
|
+
function expectedLoss(p, m, totLong, totShort, tradeAmt, tradeMgnRate) {
|
|
448
|
+
// maintenance margin rate
|
|
449
|
+
m = (0.4 - m) * entropy(p) + m;
|
|
450
|
+
let dlm = 0;
|
|
451
|
+
let dl = 0;
|
|
452
|
+
let dsm = 0;
|
|
453
|
+
let ds = 0;
|
|
454
|
+
if (tradeAmt > 0) {
|
|
455
|
+
dlm = p * tradeAmt * tradeMgnRate;
|
|
456
|
+
dl = tradeAmt;
|
|
457
|
+
}
|
|
458
|
+
else if (tradeAmt < 0) {
|
|
459
|
+
dsm = (1 - p) * Math.abs(tradeAmt) * tradeMgnRate;
|
|
460
|
+
ds = Math.abs(tradeAmt);
|
|
461
|
+
}
|
|
462
|
+
const a = Math.max(0, dl + totLong - m * totShort - dsm);
|
|
463
|
+
const b = Math.max(0, ds + totShort - m * totLong + dsm);
|
|
464
|
+
return p * (1 - p) * (a + b);
|
|
465
|
+
}
|
|
466
|
+
exports.expectedLoss = expectedLoss;
|
|
467
|
+
/**
|
|
468
|
+
* Exchange fee as a rate for prediction markets
|
|
469
|
+
* @param prob long probability
|
|
470
|
+
* @param m max maintenance margin rate (0.18)
|
|
471
|
+
* @param totShort
|
|
472
|
+
* @param totLong
|
|
473
|
+
* @param tradeAmt trade amount in base currency
|
|
474
|
+
* @param tradeMgnRate margin rate for this trade
|
|
475
|
+
* @returns fee relative to tradeAmt
|
|
476
|
+
*/
|
|
477
|
+
function pmExchangeFee(prob, m, totShort, totLong, tradeAmt, tradeMgnRate) {
|
|
478
|
+
const el0 = expectedLoss(prob, m, totLong, totShort, 0, 0);
|
|
479
|
+
const el1 = expectedLoss(prob, m, totLong, totShort, tradeAmt, tradeMgnRate);
|
|
480
|
+
const fee = (el1 - el0) / Math.abs(tradeAmt);
|
|
481
|
+
return Math.max(fee, 0.001);
|
|
482
|
+
}
|
|
483
|
+
exports.pmExchangeFee = pmExchangeFee;
|
|
484
|
+
/**
|
|
485
|
+
* Margin balance for prediction markets
|
|
486
|
+
* @param pos signed position
|
|
487
|
+
* @param s2 mark price
|
|
488
|
+
* @param s3 collateral to quote conversion
|
|
489
|
+
* @param ell locked in value
|
|
490
|
+
* @param mc margin cash in collateral currency
|
|
491
|
+
* @returns current margin balance
|
|
492
|
+
*/
|
|
493
|
+
function pmMarginBalance(pos, s2, s3, ell, mc) {
|
|
494
|
+
return (pos * s2) / s3 - ell / s3 + mc;
|
|
495
|
+
}
|
|
496
|
+
function pmExcessBalance(pos, s2, s3, ell, mc, m) {
|
|
497
|
+
return pmMarginBalance(pos, mc, s2, s3, ell) - pmMarginThresh(pos, s2, s3, m);
|
|
498
|
+
}
|
|
499
|
+
// finds the liquidation price for prediction markets
|
|
500
|
+
// using Newton's algorithm
|
|
501
|
+
function pmFindLiquidationPrice(pos, s3, ell, mc, baseMarginRate, s2Start = 0.5) {
|
|
502
|
+
const delta_s = 0.01;
|
|
503
|
+
let s = 100;
|
|
504
|
+
let s_new = s2Start;
|
|
505
|
+
while (Math.abs(s_new - s) > 0.01) {
|
|
506
|
+
s = s_new;
|
|
507
|
+
const f = Math.pow(pmExcessBalance(pos, s, s3, ell, mc, baseMarginRate), 2);
|
|
508
|
+
const ds = (Math.pow(pmExcessBalance(pos, s + delta_s, s3, ell, mc, baseMarginRate), 2) - f) / delta_s;
|
|
509
|
+
s_new = s - f / ds;
|
|
510
|
+
if (s_new < 1) {
|
|
511
|
+
return 1;
|
|
512
|
+
}
|
|
513
|
+
if (s_new > 2) {
|
|
514
|
+
return 2;
|
|
515
|
+
}
|
|
516
|
+
}
|
|
517
|
+
return s;
|
|
518
|
+
}
|
|
519
|
+
exports.pmFindLiquidationPrice = pmFindLiquidationPrice;
|
|
520
|
+
/**
|
|
521
|
+
* Calculate the excess margin defined as
|
|
522
|
+
* excess := margin balance - trading fee - initial margin threshold
|
|
523
|
+
* for the given trade and position
|
|
524
|
+
* @param tradeAmt
|
|
525
|
+
* @param currentCashCC
|
|
526
|
+
* @param currentPos
|
|
527
|
+
* @param currentLockedInQC
|
|
528
|
+
* @param limitPrice
|
|
529
|
+
* @param Sm
|
|
530
|
+
* @param S3
|
|
531
|
+
* @param totLong
|
|
532
|
+
* @param totShort
|
|
533
|
+
* @returns excess margin as defined above
|
|
534
|
+
*/
|
|
535
|
+
function excessMargin(tradeAmt, currentCashCC, currentPos, currentLockedInQC, limitPrice, Sm, S3, totLong, totShort) {
|
|
536
|
+
const m = 0.18; //max maintenance margin rate
|
|
537
|
+
const m0 = 0.2; //max initial margin rate
|
|
538
|
+
const pos = currentPos + tradeAmt;
|
|
539
|
+
let p = Sm - 1;
|
|
540
|
+
if (pos < 0) {
|
|
541
|
+
p = 2 - Sm; //=1-(Sm-1)
|
|
542
|
+
}
|
|
543
|
+
const h = entropy(p);
|
|
544
|
+
const tau = m0 + (0.5 - m0) * h;
|
|
545
|
+
const thresh = Math.abs(pos) * p * tau;
|
|
546
|
+
const b0 = currentCashCC + Math.abs(currentPos) * Sm - currentLockedInQC + Math.max(0, tradeAmt * (Sm - limitPrice));
|
|
547
|
+
// b0 + margin - fee > threshold
|
|
548
|
+
// margin = threshold - b0 + fee
|
|
549
|
+
const fee_cc = pmExchangeFee(p, m, totShort, totLong, tradeAmt, tau) / S3;
|
|
550
|
+
// missing: referral rebate
|
|
551
|
+
return b0 / S3 - thresh / S3 - fee_cc;
|
|
552
|
+
}
|
|
553
|
+
/**
|
|
554
|
+
* Find maximal trade size (short dir=-1 or long dir=1) for prediction
|
|
555
|
+
* markets.
|
|
556
|
+
* @param dir
|
|
557
|
+
* @param currentPosition
|
|
558
|
+
* @param currentCashCC
|
|
559
|
+
* @param currentLockedInValue
|
|
560
|
+
* @param limitPrice
|
|
561
|
+
* @param Sm
|
|
562
|
+
* @param S3
|
|
563
|
+
* @param totLong
|
|
564
|
+
* @param totShort
|
|
565
|
+
* @param maxShort
|
|
566
|
+
* @param maxLong
|
|
567
|
+
* @returns signed max trade size
|
|
568
|
+
*/
|
|
569
|
+
function pmFindMaxTradeSize(dir, currentPosition, currentCashCC, currentLockedInValue, limitPrice, Sm, S3, totLong, totShort, maxShort, maxLong) {
|
|
570
|
+
if (dir < 0) {
|
|
571
|
+
dir = -1;
|
|
572
|
+
}
|
|
573
|
+
else {
|
|
574
|
+
dir = 1;
|
|
575
|
+
}
|
|
576
|
+
const lot = 10;
|
|
577
|
+
const deltaS = 1; //for derivative
|
|
578
|
+
const f0 = excessMargin(dir * deltaS, currentCashCC, currentPosition, currentLockedInValue, limitPrice, Sm, S3, totLong, totShort);
|
|
579
|
+
if (f0 < lot) {
|
|
580
|
+
// no trade possible
|
|
581
|
+
return 0;
|
|
582
|
+
}
|
|
583
|
+
// numerically find maximal trade size
|
|
584
|
+
let sNew = dir * lot * 10;
|
|
585
|
+
let s = 2 * sNew;
|
|
586
|
+
while (true) {
|
|
587
|
+
let count = 0;
|
|
588
|
+
while (Math.abs(sNew - s) > 1 && count < 100) {
|
|
589
|
+
s = sNew;
|
|
590
|
+
const f = excessMargin(s, currentCashCC, currentPosition, currentLockedInValue, limitPrice, Sm, S3, totLong, totShort) **
|
|
591
|
+
2;
|
|
592
|
+
const f2 = excessMargin(s + deltaS, currentCashCC, currentPosition, currentLockedInValue, limitPrice, Sm, S3, totLong, totShort) ** 2;
|
|
593
|
+
let ds = (f2 - f) / deltaS;
|
|
594
|
+
sNew = s - f / ds;
|
|
595
|
+
count += 1;
|
|
596
|
+
}
|
|
597
|
+
if (count < 100) {
|
|
598
|
+
break;
|
|
599
|
+
}
|
|
600
|
+
// Newton algorithm failed,
|
|
601
|
+
// choose new starting value
|
|
602
|
+
if (dir > 0) {
|
|
603
|
+
sNew = Math.random() * (maxLong - currentPosition);
|
|
604
|
+
}
|
|
605
|
+
else {
|
|
606
|
+
sNew = -Math.random() * (Math.abs(maxShort) + currentPosition);
|
|
607
|
+
}
|
|
608
|
+
}
|
|
609
|
+
// ensure trade maximal trade sNew does not exceed
|
|
610
|
+
// the contract limits
|
|
611
|
+
if (currentPosition + sNew < maxShort) {
|
|
612
|
+
sNew = maxShort - currentPosition;
|
|
613
|
+
}
|
|
614
|
+
else if (currentPosition + sNew > maxLong) {
|
|
615
|
+
sNew = maxLong - currentPosition;
|
|
616
|
+
}
|
|
617
|
+
// round trade size down to lot
|
|
618
|
+
sNew = Math.sign(sNew) * Math.floor(Math.abs(sNew) / lot) * lot;
|
|
619
|
+
return sNew;
|
|
620
|
+
}
|
|
621
|
+
exports.pmFindMaxTradeSize = pmFindMaxTradeSize;
|
|
366
622
|
//# sourceMappingURL=d8XMath.js.map
|
package/dist/cjs/d8XMath.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
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@@ -87,6 +87,7 @@ export default class LiquidatorTool extends WriteAccessHandler {
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87
87
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* False means that the trader's position can be liquidated.
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88
88
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*/
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89
89
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isMaintenanceMarginSafe(symbol: string, traderAddr: string, indexPrices?: [number, number], overrides?: Overrides): Promise<boolean>;
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90
|
+
static maintenanceMarginPredMkts(maintMgnRateBase: number, pos: number, s3: number, markPx: number): number;
|
|
90
91
|
/**
|
|
91
92
|
* Total number of active accounts for this symbol, i.e. accounts with positions that are currently open.
|
|
92
93
|
* @param {string} symbol Symbol of the form ETH-USD-MATIC.
|
|
@@ -200,10 +200,14 @@ class LiquidatorTool extends writeAccessHandler_1.default {
|
|
|
200
200
|
if (indexPrices == undefined) {
|
|
201
201
|
// fetch from API
|
|
202
202
|
let obj = await this.priceFeedGetter.fetchPricesForPerpetual(symbol);
|
|
203
|
-
indexPrices = [
|
|
203
|
+
indexPrices = [
|
|
204
|
+
obj.ema,
|
|
205
|
+
obj.s3 ?? 0, // s3
|
|
206
|
+
];
|
|
204
207
|
}
|
|
205
|
-
|
|
206
|
-
|
|
208
|
+
const fIdxPx = indexPrices.map((x) => (0, d8XMath_1.floatToABK64x64)(x == undefined || Number.isNaN(x) ? 0 : x));
|
|
209
|
+
let traderState = await this.proxyContract.getTraderState(perpID, traderAddr, fIdxPx, overrides || {});
|
|
210
|
+
if (traderState[idx_notional] === 0n) {
|
|
207
211
|
// trader does not have open position
|
|
208
212
|
return true;
|
|
209
213
|
}
|
|
@@ -216,14 +220,27 @@ class LiquidatorTool extends writeAccessHandler_1.default {
|
|
|
216
220
|
const pos = (0, d8XMath_1.ABK64x64ToFloat)(traderState[idx_marginAccountPositionBC]);
|
|
217
221
|
const marginbalance = (0, d8XMath_1.ABK64x64ToFloat)(traderState[idx_marginBalance]);
|
|
218
222
|
const coll2quote = (0, d8XMath_1.ABK64x64ToFloat)(traderState[idx_collateralToQuoteConversion]);
|
|
219
|
-
let
|
|
223
|
+
let threshold;
|
|
220
224
|
if (this.isPredictionMarket(symbol)) {
|
|
221
|
-
|
|
222
|
-
|
|
225
|
+
const idx_markPrice = 8;
|
|
226
|
+
const markPrice = (0, d8XMath_1.ABK64x64ToFloat)(traderState[idx_markPrice]);
|
|
227
|
+
threshold = LiquidatorTool.maintenanceMarginPredMkts(maintMgnRate, pos, coll2quote, markPrice);
|
|
228
|
+
}
|
|
229
|
+
else {
|
|
230
|
+
const base2collateral = indexPrices[0] / coll2quote;
|
|
231
|
+
threshold = Math.abs(pos * base2collateral * maintMgnRate);
|
|
223
232
|
}
|
|
224
|
-
const threshold = Math.abs(pos * base2collateral * maintMgnRate);
|
|
225
233
|
return marginbalance >= threshold;
|
|
226
234
|
}
|
|
235
|
+
static maintenanceMarginPredMkts(maintMgnRateBase, pos, s3, markPx) {
|
|
236
|
+
let p = markPx - 1;
|
|
237
|
+
// p: price = 1+prob
|
|
238
|
+
if (pos < 0) {
|
|
239
|
+
p = 1 - p;
|
|
240
|
+
}
|
|
241
|
+
const tau = maintMgnRateBase + (0.4 - maintMgnRateBase) * (0, d8XMath_1.entropy)(p);
|
|
242
|
+
return (Math.abs(pos) * p * tau) / s3;
|
|
243
|
+
}
|
|
227
244
|
/**
|
|
228
245
|
* Total number of active accounts for this symbol, i.e. accounts with positions that are currently open.
|
|
229
246
|
* @param {string} symbol Symbol of the form ETH-USD-MATIC.
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"liquidatorTool.js","sourceRoot":"","sources":["../../src/liquidatorTool.ts"],"names":[],"mappings":";;;;;AAAA,mCAA8G;AAE9G,qDAAuD;AACvD,
|
|
1
|
+
{"version":3,"file":"liquidatorTool.js","sourceRoot":"","sources":["../../src/liquidatorTool.ts"],"names":[],"mappings":";;;;;AAAA,mCAA8G;AAE9G,qDAAuD;AACvD,uCAAsE;AAEtE,8EAAsD;AAEtD;;;;GAIG;AACH,MAAqB,cAAe,SAAQ,4BAAkB;IAC5D;;;;;;;;;;;;;;;;;;;OAmBG;IACH,YAAmB,MAAqB,EAAE,MAAuB;QAC/D,KAAK,CAAC,MAAM,EAAE,MAAM,CAAC,CAAC;IACxB,CAAC;IAEM,KAAK,CAAC,aAAa,CACxB,MAAc,EACd,YAAkC,EAClC,SAAkD;QAElD,IAAI,IAAI,CAAC,aAAa,IAAI,IAAI,IAAI,IAAI,CAAC,MAAM,IAAI,IAAI,EAAE;YACrD,MAAM,KAAK,CAAC,qEAAqE,CAAC,CAAC;SACpF;QACD,IAAI,MAA0B,CAAC;QAC/B,IAAI,SAAS,EAAE;YACb,CAAC,EAAE,MAAM,EAAE,GAAG,SAAS,EAAE,GAAG,SAAS,CAAC,CAAC;SACxC;QACD,MAAM,QAAQ,GAAG,IAAI,wBAAe,CAAC,MAAM,IAAI,IAAI,CAAC,OAAO,EAAE,IAAI,CAAC,OAAO,EAAE,EAAE,aAAa,EAAE,IAAI,EAAE,CAAC,CAAC;QACpG,IAAI,MAAM,GAAG,cAAc,CAAC,mBAAmB,CAAC,MAAM,EAAE,IAAI,CAAC,sBAAsB,CAAC,CAAC;QACrF,IAAI,YAAY,IAAI,SAAS,EAAE;YAC7B,YAAY,GAAG,MAAM,IAAI,CAAC,wBAAwB,CAAC,MAAM,CAAC,CAAC;SAC5D;QACD,IAAI,CAAC,SAAS,IAAI,SAAS,CAAC,QAAQ,IAAI,SAAS,EAAE;YACjD,SAAS,GAAG;gBACV,QAAQ,EAAE,SAAS,EAAE,QAAQ,IAAI,IAAI,CAAC,QAAQ;gBAC9C,GAAG,SAAS;aACO,CAAC;SACvB;QAED,MAAM,IAAI,GAAG,0BAAc,CAAC,OAAO,CAAC,IAAI,CAAC,QAAS,EAAE,QAAQ,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;QACnF,MAAM,QAAQ,GAAG,IAAI,CAAC,sBAAsB,CAAC,GAAG,CAAC,MAAM,CAAE,CAAC,QAAQ,CAAC;QACnE,OAAO,MAAM,IAAI,CAAC,2BAA2B,CAAC,YAAY,CAAC,aAAa,EAAE,QAAQ,EAAE,YAAY,CAAC,UAAU,EAAE;YAC3G,KAAK,EAAE,IAAI,CAAC,qBAAqB,GAAG,YAAY,CAAC,UAAU,CAAC,MAAM;YAClE,QAAQ,EAAE,SAAS,EAAE,QAAQ,IAAI,IAAI,CAAC,QAAQ;YAC9C,KAAK,EAAE,SAAS,CAAC,KAAK;SACvB,CAAC,CAAC;IACL,CAAC;IAED;;;;;;;;;;;;;;;;;;;;;;;;OAwBG;IACI,KAAK,CAAC,eAAe,CAC1B,MAAc,EACd,UAAkB,EAClB,iBAAyB,EAAE,EAC3B,UAAgC,EAChC,SAAqE;QAErE,mDAAmD;QACnD,IAAI,IAAI,CAAC,aAAa,IAAI,IAAI,IAAI,IAAI,CAAC,MAAM,IAAI,IAAI,EAAE;YACrD,MAAM,KAAK,CAAC,qEAAqE,CAAC,CAAC;SACpF;QACD,kDAAkD;QAClD,IAAI,cAAc,IAAI,EAAE,EAAE;YACxB,cAAc,GAAG,IAAI,CAAC,UAAU,CAAC;SAClC;QACD,IAAI,MAA0B,CAAC;QAC/B,IAAI,OAA4B,CAAC;QACjC,IAAI,SAAS,EAAE;YACb,CAAC,EAAE,MAAM,EAAE,OAAO,EAAE,GAAG,SAAS,EAAE,GAAG,SAAS,CAAC,CAAC;SACjD;QACD,MAAM,QAAQ,GAAG,IAAI,wBAAe,CAAC,MAAM,IAAI,IAAI,CAAC,OAAO,EAAE,IAAI,CAAC,OAAO,EAAE,EAAE,aAAa,EAAE,IAAI,EAAE,CAAC,CAAC;QACpG,IAAI,MAAM,GAAG,cAAc,CAAC,mBAAmB,CAAC,MAAM,EAAE,IAAI,CAAC,sBAAsB,CAAC,CAAC;QACrF,IAAI,UAAU,IAAI,SAAS,EAAE;YAC3B,UAAU,GAAG,MAAM,IAAI,CAAC,wBAAwB,CAAC,MAAM,CAAC,CAAC;SAC1D;QACD,IAAI,CAAC,SAAS,IAAI,SAAS,CAAC,QAAQ,IAAI,SAAS,EAAE;YACjD,SAAS,GAAG;gBACV,QAAQ,EAAE,SAAS,EAAE,QAAQ,IAAI,IAAI,CAAC,QAAQ;gBAC9C,GAAG,SAAS;aACO,CAAC;SACvB;QACD,eAAe;QACf,IAAI,QAAQ,GAAG,CAAC,CAAC;QACjB,IAAI,MAAc,CAAC;QACnB,IAAI,KAAK,GAAG,SAAS,EAAE,KAAK,CAAC;QAC7B,IAAI,OAAO,EAAE;YACX,IAAI;gBACF,MAAM,IAAI,GAAG,0BAAc,CAAC,OAAO,CAAC,IAAI,CAAC,QAAS,EAAE,QAAQ,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;gBACnF,MAAM,QAAQ,GAAG,IAAI,CAAC,sBAAsB,CAAC,GAAG,CAAC,MAAM,CAAE,CAAC,QAAQ,CAAC;gBACnE,MAAM,MAAM,GAAG,MAAM,IAAI,CAAC,2BAA2B,CACnD,UAAU,CAAC,aAAa,EACxB,QAAQ,EACR,UAAU,CAAC,UAAU,EACrB;oBACE,KAAK,EAAE,IAAI,CAAC,qBAAqB,GAAG,UAAU,CAAC,UAAU,CAAC,MAAM;oBAChE,QAAQ,EAAE,SAAS,EAAE,QAAQ,IAAI,IAAI,CAAC,QAAQ;oBAC9C,KAAK,EAAE,SAAS,CAAC,KAAK;iBACvB,CACF,CAAC;gBACF,QAAQ,IAAI,CAAC,CAAC;gBACd,uBAAuB;aACxB;YAAC,OAAO,CAAC,EAAE;gBACV,OAAO,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC;aAChB;YACD,MAAM,GAAG,IAAI,CAAC,aAAa,CAAC,SAAS,CAAC,kBAAkB,CAAC,gBAAgB,EAAE;gBACzE,MAAM;gBACN,cAAc;gBACd,UAAU;gBACV,EAAE;gBACF,EAAE;aACH,CAAC,CAAC;SACJ;aAAM;YACL,MAAM,GAAG,IAAI,CAAC,aAAa,CAAC,SAAS,CAAC,kBAAkB,CAAC,gBAAgB,EAAE;gBACzE,MAAM;gBACN,cAAc;gBACd,UAAU;gBACV,UAAU,CAAC,aAAa;gBACxB,UAAU,CAAC,UAAU;aACtB,CAAC,CAAC;YACH,KAAK,GAAG,IAAI,CAAC,qBAAqB,GAAG,UAAU,CAAC,UAAU,CAAC,MAAM,CAAC;SACnE;QACD,IAAI,CAAC,CAAC,SAAS,EAAE,KAAK,EAAE;YACtB,SAAS,CAAC,KAAK,GAAG,SAAS,CAAC,KAAK,GAAG,QAAQ,CAAC;SAC9C;QACD,IAAI,UAAU,GAAG;YACf,EAAE,EAAE,IAAI,CAAC,SAAS;YAClB,IAAI,EAAE,IAAI,CAAC,UAAU;YACrB,KAAK,EAAE,SAAS,CAAC,KAAK;YACtB,IAAI,EAAE,MAAM;YACZ,KAAK,EAAE,KAAK;YACZ,QAAQ,EAAE,SAAS,CAAC,QAAQ;YAC5B,sDAAsD;YACtD,QAAQ,EAAE,SAAS,CAAC,QAAQ;YAC5B,OAAO,EAAE,IAAI,CAAC,OAAO;SACtB,CAAC;QACF,OAAO,MAAM,IAAI,CAAC,MAAM,CAAC,eAAe,CAAC,UAAU,CAAC,CAAC;IACvD,CAAC;IAED;;;;;;;;;;;;;;;;;;;;;;;;OAwBG;IACI,KAAK,CAAC,uBAAuB,CAClC,MAAc,EACd,UAAkB,EAClB,WAA8B,EAC9B,SAAqB;QAErB,IAAI,IAAI,CAAC,aAAa,IAAI,IAAI,EAAE;YAC9B,MAAM,KAAK,CAAC,2DAA2D,CAAC,CAAC;SAC1E;QACD,MAAM,YAAY,GAAG,CAAC,CAAC;QACvB,IAAI,MAAM,GAAG,cAAc,CAAC,mBAAmB,CAAC,MAAM,EAAE,IAAI,CAAC,sBAAsB,CAAC,CAAC;QACrF,IAAI,WAAW,IAAI,SAAS,EAAE;YAC5B,iBAAiB;YACjB,IAAI,GAAG,GAAG,MAAM,IAAI,CAAC,eAAe,CAAC,uBAAuB,CAAC,MAAM,CAAC,CAAC;YAErE,WAAW,GAAG;gBACZ,GAAG,CAAC,GAAG;gBACP,GAAG,CAAC,EAAE,IAAI,CAAC,EAAE,KAAK;aACnB,CAAC;SACH;QACD,MAAM,MAAM,GAAG,WAAW,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,IAAA,yBAAe,EAAC,CAAC,IAAI,SAAS,IAAI,MAAM,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAG/F,CAAC;QACF,IAAI,WAAW,GAAG,MAAM,IAAI,CAAC,aAAa,CAAC,cAAc,CAAC,MAAM,EAAE,UAAU,EAAE,MAAM,EAAE,SAAS,IAAI,EAAE,CAAC,CAAC;QACvG,IAAI,WAAW,CAAC,YAAY,CAAC,KAAK,EAAE,EAAE;YACpC,qCAAqC;YACrC,OAAO,IAAI,CAAC;SACb;QACD,oCAAoC;QACpC,MAAM,sBAAsB,GAAG,EAAE,CAAC;QAClC,MAAM,2BAA2B,GAAG,CAAC,CAAC;QACtC,MAAM,+BAA+B,GAAG,CAAC,CAAC;QAC1C,MAAM,iBAAiB,GAAG,CAAC,CAAC;QAC5B,MAAM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|
package/dist/cjs/marketData.d.ts
CHANGED
|
@@ -3,7 +3,7 @@ import { OrderStatus } from "./constants";
|
|
|
3
3
|
import { type LimitOrderBook, type Multicall3 } from "./contracts";
|
|
4
4
|
import { IPerpetualOrder, type PerpStorage } from "./contracts/IPerpetualManager";
|
|
5
5
|
import { type IClientOrder } from "./contracts/LimitOrderBook";
|
|
6
|
-
import { type ExchangeInfo, type MarginAccount, type NodeSDKConfig, type Order, type PerpetualState, type PerpetualStaticInfo, type PoolState, type PoolStaticInfo, type SmartContractOrder } from "./nodeSDKTypes";
|
|
6
|
+
import { type ExchangeInfo, type MarginAccount, type NodeSDKConfig, type Order, type PerpetualState, type PerpetualStaticInfo, type PoolState, type PoolStaticInfo, type SmartContractOrder, type IdxPriceInfo } from "./nodeSDKTypes";
|
|
7
7
|
import PerpetualDataHandler from "./perpetualDataHandler";
|
|
8
8
|
import PriceFeeds from "./priceFeeds";
|
|
9
9
|
/**
|
|
@@ -78,9 +78,9 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
78
78
|
* }
|
|
79
79
|
* main();
|
|
80
80
|
*
|
|
81
|
-
* @returns
|
|
81
|
+
* @returns read-only proxy instance
|
|
82
82
|
*/
|
|
83
|
-
getReadOnlyProxyInstance():
|
|
83
|
+
getReadOnlyProxyInstance(): import("./contracts").IPerpetualManager;
|
|
84
84
|
/**
|
|
85
85
|
* Information about the products traded in the exchange.
|
|
86
86
|
* @example
|
|
@@ -190,11 +190,13 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
190
190
|
* @ignore
|
|
191
191
|
*/
|
|
192
192
|
protected _positionRiskForTraderInPerpetuals(traderAddr: string, symbols: string[], provider: Provider, overrides?: Overrides): Promise<MarginAccount[]>;
|
|
193
|
+
private dataForPositionRiskOnTrade;
|
|
193
194
|
/**
|
|
194
195
|
* Estimates what the position risk will be if a given order is executed.
|
|
195
196
|
* @param traderAddr Address of trader
|
|
196
197
|
* @param order Order to be submitted
|
|
197
|
-
* @param
|
|
198
|
+
* @param signedPositionNotionalBaseCCY signed position notional of current position (before trade)
|
|
199
|
+
* @param tradingFeeTbps trading fee in tenth of basis points (exchange fee and broker fee)
|
|
198
200
|
* @param indexPriceInfo Index prices and market status (open/closed). Defaults to current market status if not given.
|
|
199
201
|
* @returns Position risk after trade, including order cost and maximal trade sizes for position
|
|
200
202
|
* @example
|
|
@@ -214,19 +216,27 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
214
216
|
* executionTimestamp: Date.now()/1000,
|
|
215
217
|
* };
|
|
216
218
|
* // Get position risk conditional on this order being executed
|
|
217
|
-
* const posRisk = await mktData.positionRiskOnTrade("0xAb5801a7D398351b8bE11C439e05C5B3259aeC9B", order);
|
|
219
|
+
* const posRisk = await mktData.positionRiskOnTrade("0xAb5801a7D398351b8bE11C439e05C5B3259aeC9B", order, 0, 60);
|
|
218
220
|
* console.log(posRisk);
|
|
219
221
|
* }
|
|
220
222
|
* main();
|
|
221
223
|
*/
|
|
222
|
-
positionRiskOnTrade(traderAddr: string, order: Order,
|
|
223
|
-
tradingFeeTbps?: number;
|
|
224
|
-
}): Promise<{
|
|
224
|
+
positionRiskOnTrade(traderAddr: string, order: Order, signedPositionNotionalBaseCCY: number, tradingFeeTbps: number, indexPriceInfo?: IdxPriceInfo, overrides?: Overrides): Promise<{
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newPositionRisk: MarginAccount;
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orderCost: number;
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maxLongTrade: number;
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maxShortTrade: number;
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}>;
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/**
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* Fee is relative to base-currency amount (=trade amount)
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* @param state current perpetual state (need longBC and shortBC)
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* @param maxMaintMgnRate maintenance margin rate param for pred mkts
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* @param Sm Mark price
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* @param tradeAmtBC signed trade amount
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* @param tradeMgnRate margin rate param from perpetual
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* @returns relative exchange fee in decimals
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*/
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static exchangeFeePrdMkts(state: PerpetualState, maxMaintMgnRate: number, Sm: number, tradeAmtBC: number, tradeMgnRate: number): number;
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/**
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* Estimates what the position risk will be if given amount of collateral is added/removed from the account.
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* @param {number} deltaCollateral Amount of collateral to add or remove (signed)
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@@ -248,20 +258,22 @@ export default class MarketData extends PerpetualDataHandler {
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* }
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* main();
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*/
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positionRiskOnCollateralAction(deltaCollateral: number, account: MarginAccount, indexPriceInfo?:
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positionRiskOnCollateralAction(deltaCollateral: number, account: MarginAccount, indexPriceInfo?: IdxPriceInfo, overrides?: Overrides): Promise<MarginAccount>;
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/**
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-
* Calculates liquidation prices for a
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* Calculates liquidation prices for a position
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* constructed in positionRiskOnTrade/positionRiskOnCollateralAction
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* @param symbol Perpetual symbol
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* @param lockedInQC Locked in value
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* @param signedPositionBC Signed position size
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-
* @param marginCashCC
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* @param marginCashCC Available cash in margin account (includes unpaid funding)
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* @param markPrice Mark price
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-
* @param collToQuoteConversion Collateral index price
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* @param collToQuoteConversion Collateral index price (S3)
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* @param S2 index price
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* @param symbolToPerpStaticInfo Symbol-to-perp static info mapping
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* @returns [Base index price, Collateral index price, Maintenance margin rate]
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* @ignore
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*/
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-
protected static _getLiquidationParams(symbol: string, lockedInQC: number, signedPositionBC: number, marginCashCC: number, markPrice: number, collToQuoteConversion: number, symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>): [number, number | undefined, number];
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+
protected static _getLiquidationParams(symbol: string, lockedInQC: number, signedPositionBC: number, marginCashCC: number, markPrice: number, collToQuoteConversion: number, S2: number, symbolToPerpStaticInfo: Map<string, PerpetualStaticInfo>): [number, number | undefined, number];
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/**
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* Gets the wallet balance in the settlement currency corresponding to a given perpetual symbol.
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* The settlement currency is usually the same as the collateral currency.
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@@ -387,6 +399,17 @@ export default class MarketData extends PerpetualDataHandler {
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buy: number;
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sell: number;
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|
}>;
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|
402
|
+
private pmMaxOrderSizeForTrader;
|
|
403
|
+
/**
|
|
404
|
+
* Returns the maximal allowed short pos and long pos (signed) for a trader
|
|
405
|
+
* with given notional (in ABDK format) in the perpetual, ignoring the traders wallet balance
|
|
406
|
+
* @param perpId
|
|
407
|
+
* @param currentTraderPos ABDK64x64 notional position of trader
|
|
408
|
+
* @param overrides
|
|
409
|
+
* @returns [maxShortPos, maxLongPos] signed maximal position sizes
|
|
410
|
+
*/
|
|
411
|
+
getMaxShortLongPos(perpId: number, currentTraderPos: bigint, overrides?: Overrides): Promise<[number, number]>;
|
|
412
|
+
private rmMaxOrderSizeForTrader;
|
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|
/**
|
|
391
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|
* Perpetual-wide maximal signed position size in perpetual.
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|
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|
* @param side BUY_SIDE or SELL_SIDE
|
|
@@ -427,7 +450,7 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
427
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|
*
|
|
428
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|
* @returns {number} Price of index in given currency.
|
|
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|
*/
|
|
430
|
-
getOraclePrice(base: string, quote: string, overrides?: Overrides): Promise<
|
|
453
|
+
getOraclePrice(base: string, quote: string, overrides?: Overrides): Promise<[bigint, bigint]>;
|
|
431
454
|
/**
|
|
432
455
|
* Get the status of an order given a symbol and order Id
|
|
433
456
|
* @param symbol Symbol of the form ETH-USD-MATIC
|
|
@@ -474,6 +497,7 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
474
497
|
/**
|
|
475
498
|
* Get the current mark price
|
|
476
499
|
* @param symbol symbol of the form ETH-USD-MATIC
|
|
500
|
+
* @param indexPrices optional. IdxPriceInfo
|
|
477
501
|
* @example
|
|
478
502
|
* import { MarketData, PerpetualDataHandler } from '@d8x/perpetuals-sdk';
|
|
479
503
|
* async function main() {
|
|
@@ -490,11 +514,12 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
490
514
|
*
|
|
491
515
|
* @returns {number} mark price
|
|
492
516
|
*/
|
|
493
|
-
getMarkPrice(symbol: string, indexPrices?:
|
|
517
|
+
getMarkPrice(symbol: string, indexPrices?: IdxPriceInfo): Promise<number>;
|
|
494
518
|
/**
|
|
495
519
|
* get the current price for a given quantity
|
|
496
520
|
* @param symbol symbol of the form ETH-USD-MATIC
|
|
497
521
|
* @param quantity quantity to be traded, negative if short
|
|
522
|
+
* @param priceInfo [s2, s3, conf, params]; for non-prediction markets conf/params can be 0
|
|
498
523
|
* @example
|
|
499
524
|
* import { MarketData, PerpetualDataHandler } from '@d8x/perpetuals-sdk';
|
|
500
525
|
* async function main() {
|
|
@@ -511,13 +536,13 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
511
536
|
*
|
|
512
537
|
* @returns {number} price
|
|
513
538
|
*/
|
|
514
|
-
getPerpetualPrice(symbol: string, quantity: number,
|
|
539
|
+
getPerpetualPrice(symbol: string, quantity: number, priceInfo?: IdxPriceInfo, overrides?: Overrides): Promise<number>;
|
|
515
540
|
/**
|
|
516
541
|
* Query recent perpetual state from blockchain
|
|
517
542
|
* @param {string} symbol symbol of the form ETH-USD-MATIC
|
|
518
543
|
* @returns {PerpetualState} PerpetualState copy
|
|
519
544
|
*/
|
|
520
|
-
getPerpetualState(symbol: string, indexPriceInfo?:
|
|
545
|
+
getPerpetualState(symbol: string, indexPriceInfo?: IdxPriceInfo, overrides?: Overrides): Promise<PerpetualState>;
|
|
521
546
|
/**
|
|
522
547
|
* Query recent pool state from blockchain, not including perpetual states
|
|
523
548
|
* @param {string} poolSymbol symbol of the form USDC
|
|
@@ -584,7 +609,7 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
584
609
|
* Result is in collateral currency
|
|
585
610
|
* @param {string} traderAddr address of the trader
|
|
586
611
|
* @param {string} symbol perpetual symbol of the form BTC-USD-MATIC
|
|
587
|
-
* @param indexPrices optional
|
|
612
|
+
* @param indexPrices optional indexPriceInfo
|
|
588
613
|
* @returns available margin in collateral currency
|
|
589
614
|
* @example
|
|
590
615
|
* import { MarketData, PerpetualDataHandler } from '@d8x/perpetuals-sdk';
|
|
@@ -600,7 +625,7 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
600
625
|
* }
|
|
601
626
|
* main();
|
|
602
627
|
*/
|
|
603
|
-
getAvailableMargin(traderAddr: string, symbol: string, indexPrices?:
|
|
628
|
+
getAvailableMargin(traderAddr: string, symbol: string, indexPrices?: IdxPriceInfo, overrides?: Overrides): Promise<number>;
|
|
604
629
|
/**
|
|
605
630
|
* Calculate a type of exchange loyality score based on trader volume
|
|
606
631
|
* @param {string} traderAddr address of the trader
|
|
@@ -733,8 +758,5 @@ export default class MarketData extends PerpetualDataHandler {
|
|
|
733
758
|
* @param symbol Perpetual symbol of the form BTC-USDc-USDC
|
|
734
759
|
* @returns Prices and market-closed information
|
|
735
760
|
*/
|
|
736
|
-
fetchPricesForPerpetual(symbol: string): Promise<
|
|
737
|
-
idxPrices: number[];
|
|
738
|
-
mktClosed: boolean[];
|
|
739
|
-
}>;
|
|
761
|
+
fetchPricesForPerpetual(symbol: string): Promise<IdxPriceInfo>;
|
|
740
762
|
}
|