@d8x/perpetuals-sdk 2.1.26-alpha2 → 2.1.28-alpha2

package/src/constants.ts

@@ -4,6 +4,7 @@ import { NodeSDKConfig } from "./nodeSDKTypes";
 export const ERC20_ABI = require("./abi/ERC20.json");
 export const MOCK_TOKEN_SWAP_ABI = require("./abi/MockTokenSwap.json");
 export const PROXY_ABI = require("./abi/IPerpetualManager.json");
+export const PROXY_ZKEVM_ABI = require("./abi-zkevm/IPerpetualManager.json");
 export const LOB_FACTORY_ABI = require("./abi/LimitOrderBookFactory.json");
 export const LOB_ABI = require("./abi/LimitOrderBook.json");
 export const SHARE_TOKEN_ABI = require("./abi/ShareToken.json");
@@ -57,7 +58,7 @@ export const DEFAULT_CONFIG_TESTNET_NAME = "testnet";
 
 let defaultConfigs = require("./config/defaultConfig.json") as NodeSDKConfig[];
 defaultConfigs.map((config) => {
-  config.proxyABI = PROXY_ABI;
+  config.proxyABI = config.proxyABILocation.includes("abi-zkevm") ? PROXY_ZKEVM_ABI : PROXY_ABI;
   config.lobABI = LOB_ABI;
   config.lobFactoryABI = LOB_FACTORY_ABI;
   config.shareTokenABI = SHARE_TOKEN_ABI;

package/src/d8XMath.ts

@@ -440,7 +440,7 @@ export function probToPrice(prob: number) {
 
 // shannon entropy
 export function entropy(prob: number) {
-  if (prob < 1e-15 || prob - 1 > 1e-15) {
+  if (prob < 1e-15 || prob > 1 - 1e-15) {
     return 0;
   }
   return -prob * Math.log2(prob) - (1 - prob) * Math.log2(1 - prob);
@@ -778,23 +778,24 @@ function pmExcessCashAtLvg(
 }
 
 /**
- * Find maximal trade size (short dir=-1 or long dir=1) for prediction
+ * Find maximal *affordable* trade size (short dir=-1 or long dir=1) for prediction
  * markets at provided leverage and incorporating the current position
  * and wallet balance.
  * Factors in lot size and global max short/long
- * @param dir
- * @param lvg
- * @param walletBalCC
- * @param slippage  slippage percent
- * @param currentPosition
- * @param currentCashCC
- * @param currentLockedInValue
- * @param S2
- * @param Sm
- * @param S3
- * @param maxShort global max short order size (sign irrelevant)
- * @param maxLong global max long order size (positive)
- * @returns max trade size
+ * @param dir   direction of trade (-1 sell, 1 buy)
+ * @param lvg   leverage of the trade
+ * @param walletBalCC wallet balance of the trader (collateral currency)
+ * @param slippage  slippage percent used to estimate a traded price
+ * @param currentPosition position in base currency of the trader
+ * @param currentCashCC this is the cash available net of unpaid funding (often called available cash)
+ * @param currentLockedInValue average entry price * signed position size in base currency, in margin account
+ * @param S2  current index price of the form 1+p (regardless whether short or long)
+ * @param Sm  current mark price (not just the mark price index but including the ema-premium from the contract)
+ * @param S3  current collateral to quote index price
+ * @param glblMaxTrade global max short or long order size that we retreive, e.g., from position risk (sign irrelevant)
+ *        based on  long: (*ℓ+n) * (1-p) - m (1-p) s = F → n = (F+m*(1-p)*s)/(1-p)-ℓ*
+ *                  short: (s+n)*p - m p *ℓ* = F →n = (F+m*p**ℓ*)/p-s
+ * @returns max *signed* trade size
  */
 export function pmFindMaxPersonalTradeSizeAtLeverage(
   dir: number,
@@ -807,8 +808,7 @@ export function pmFindMaxPersonalTradeSizeAtLeverage(
   S2: number,
   Sm: number,
   S3: number,
-  maxShort: number,
-  maxLong: number
+  glblMaxTrade: number
 ): number {
   if (dir < 0) {
     dir = -1;
@@ -880,17 +880,17 @@ export function pmFindMaxPersonalTradeSizeAtLeverage(
     // Newton algorithm failed,
     // choose new starting value
     if (dir > 0) {
-      sNew = Math.random() * (maxLong - currentPosition);
+      sNew = Math.random() * (glblMaxTrade - currentPosition);
     } else {
-      sNew = -Math.random() * (Math.abs(maxShort) + currentPosition);
+      sNew = -Math.random() * (Math.abs(glblMaxTrade) + currentPosition);
     }
   }
   // ensure trade maximal trade sNew does not exceed
   // the contract limits
-  if (sNew < -Math.abs(maxShort)) {
-    sNew = -Math.abs(maxShort);
-  } else if (sNew > maxLong) {
-    sNew = maxLong;
+  if (sNew < -Math.abs(glblMaxTrade)) {
+    sNew = -Math.abs(glblMaxTrade);
+  } else if (sNew > glblMaxTrade) {
+    sNew = glblMaxTrade;
   }
   // round trade size down to lot
   sNew = Math.sign(sNew) * Math.floor(Math.abs(sNew) / lot) * lot;

package/src/marketData.ts

@@ -571,13 +571,13 @@ export default class MarketData extends PerpetualDataHandler {
       "getMaxSignedOpenTradeSizeForPos",
       encodedResults[2].returnData
     )[0] as bigint;
-    const maxLongTrade = Math.max(0, ABK64x64ToFloat(fMaxLong) - signedPositionNotionalBaseCCY);
+    const maxLongTrade = ABK64x64ToFloat(fMaxLong);
     // max sell
     const fMaxShort = this.proxyContract.interface.decodeFunctionResult(
       "getMaxSignedOpenTradeSizeForPos",
       encodedResults[3].returnData
     )[0] as bigint;
-    const maxShortTrade = Math.max(0, Math.abs(ABK64x64ToFloat(fMaxShort)) - signedPositionNotionalBaseCCY);
+    const maxShortTrade = ABK64x64ToFloat(fMaxShort);
     return { account: account, ammPrice: ammPrice, maxShortTrade: maxShortTrade, maxLongTrade: maxLongTrade };
   }
 

package/src/version.ts

@@ -1 +1 @@
-export const D8X_SDK_VERSION = "2.1.26-alpha2";
+export const D8X_SDK_VERSION = "2.1.28-alpha2";