@d8x/perpetuals-sdk 2.5.13 → 2.5.15

package/src/constants.ts

@@ -32,6 +32,8 @@ export const MASK_STOP_ORDER = BigInt("0x20000000");
 export const MASK_KEEP_POS_LEVERAGE = BigInt("0x08000000");
 export const MASK_PREDICTION_MARKET = 2n;
 export const MASK_LOW_LIQUIDITY_MARKET = 4n;
+export const MASK_TRADFI_MARKET = 8n;
+
 
 export const ORDER_TYPE_LIMIT = "LIMIT";
 export const ORDER_TYPE_MARKET = "MARKET";

package/src/contracts/IPerpetualManager.ts

@@ -253,7 +253,7 @@ export declare namespace PerpStorage {
     fMinimalAMMExposureEMA: BigNumberish;
     fSettlementS3PriceData: BigNumberish;
     fSettlementS2PriceData: BigNumberish;
-    fTotalMarginBalance: BigNumberish;
+    fParams: BigNumberish;
     fMarkPriceEMALambda: BigNumberish;
     fFundingRateClamp: BigNumberish;
     fMaximalTradeSizeBumpUp: BigNumberish;
@@ -300,7 +300,7 @@ export declare namespace PerpStorage {
     fMinimalAMMExposureEMA: bigint,
     fSettlementS3PriceData: bigint,
     fSettlementS2PriceData: bigint,
-    fTotalMarginBalance: bigint,
+    fParams: bigint,
     fMarkPriceEMALambda: bigint,
     fFundingRateClamp: bigint,
     fMaximalTradeSizeBumpUp: bigint,
@@ -345,7 +345,7 @@ export declare namespace PerpStorage {
     fMinimalAMMExposureEMA: bigint;
     fSettlementS3PriceData: bigint;
     fSettlementS2PriceData: bigint;
-    fTotalMarginBalance: bigint;
+    fParams: bigint;
     fMarkPriceEMALambda: bigint;
     fFundingRateClamp: bigint;
     fMaximalTradeSizeBumpUp: bigint;
@@ -386,6 +386,7 @@ export declare namespace IPerpetualInfo {
     priceIds: BytesLike[];
     isPyth: boolean[];
     perpFlags: BigNumberish;
+    fAMMTargetDD: BigNumberish;
   };
 
   export type PerpetualStaticInfoStructOutput = [
@@ -403,7 +404,8 @@ export declare namespace IPerpetualInfo {
     fReferralRebateCC: bigint,
     priceIds: string[],
     isPyth: boolean[],
-    perpFlags: bigint
+    perpFlags: bigint,
+    fAMMTargetDD: bigint
   ] & {
     id: bigint;
     limitOrderBookAddr: string;
@@ -420,6 +422,7 @@ export declare namespace IPerpetualInfo {
     priceIds: string[];
     isPyth: boolean[];
     perpFlags: bigint;
+    fAMMTargetDD: bigint;
   };
 }
 
@@ -544,6 +547,7 @@ export interface IPerpetualManagerInterface extends Interface {
       | "settleNextTraderInPool"
       | "settleTraders"
       | "splitProtocolFee"
+      | "testTradeEvent"
       | "togglePerpEmergencyState"
       | "tradeViaOrderBook"
       | "transferBrokerLots"
@@ -552,7 +556,6 @@ export interface IPerpetualManagerInterface extends Interface {
       | "transferValueToTreasury"
       | "updateAMMTargetFundSize"
       | "updateDefaultFundTargetSize"
-      | "updateDefaultFundTargetSizeRandom"
       | "updateFundingAndPricesAfter"
       | "updateFundingAndPricesBefore"
       | "updatePriceFeeds"
@@ -1162,6 +1165,10 @@ export interface IPerpetualManagerInterface extends Interface {
     functionFragment: "splitProtocolFee",
     values: [BigNumberish]
   ): string;
+  encodeFunctionData(
+    functionFragment: "testTradeEvent",
+    values: [IPerpetualOrder.OrderStruct]
+  ): string;
   encodeFunctionData(
     functionFragment: "togglePerpEmergencyState",
     values: [BigNumberish]
@@ -1194,10 +1201,6 @@ export interface IPerpetualManagerInterface extends Interface {
     functionFragment: "updateDefaultFundTargetSize",
     values: [BigNumberish]
   ): string;
-  encodeFunctionData(
-    functionFragment: "updateDefaultFundTargetSizeRandom",
-    values: [BigNumberish]
-  ): string;
   encodeFunctionData(
     functionFragment: "updateFundingAndPricesAfter",
     values: [BigNumberish]
@@ -1699,6 +1702,10 @@ export interface IPerpetualManagerInterface extends Interface {
     functionFragment: "splitProtocolFee",
     data: BytesLike
   ): Result;
+  decodeFunctionResult(
+    functionFragment: "testTradeEvent",
+    data: BytesLike
+  ): Result;
   decodeFunctionResult(
     functionFragment: "togglePerpEmergencyState",
     data: BytesLike
@@ -1731,10 +1738,6 @@ export interface IPerpetualManagerInterface extends Interface {
     functionFragment: "updateDefaultFundTargetSize",
     data: BytesLike
   ): Result;
-  decodeFunctionResult(
-    functionFragment: "updateDefaultFundTargetSizeRandom",
-    data: BytesLike
-  ): Result;
   decodeFunctionResult(
     functionFragment: "updateFundingAndPricesAfter",
     data: BytesLike
@@ -3454,6 +3457,12 @@ export interface IPerpetualManager extends BaseContract {
     "view"
   >;
 
+  testTradeEvent: TypedContractMethod<
+    [_order: IPerpetualOrder.OrderStruct],
+    [void],
+    "nonpayable"
+  >;
+
   togglePerpEmergencyState: TypedContractMethod<
     [_perpetualId: BigNumberish],
     [void],
@@ -3498,12 +3507,6 @@ export interface IPerpetualManager extends BaseContract {
     "nonpayable"
   >;
 
-  updateDefaultFundTargetSizeRandom: TypedContractMethod<
-    [_iPoolIndex: BigNumberish],
-    [void],
-    "nonpayable"
-  >;
-
   updateFundingAndPricesAfter: TypedContractMethod<
     [_iPerpetualId: BigNumberish],
     [void],
@@ -4417,6 +4420,13 @@ export interface IPerpetualManager extends BaseContract {
   getFunction(
     nameOrSignature: "splitProtocolFee"
   ): TypedContractMethod<[fee: BigNumberish], [[bigint, bigint]], "view">;
+  getFunction(
+    nameOrSignature: "testTradeEvent"
+  ): TypedContractMethod<
+    [_order: IPerpetualOrder.OrderStruct],
+    [void],
+    "nonpayable"
+  >;
   getFunction(
     nameOrSignature: "togglePerpEmergencyState"
   ): TypedContractMethod<[_perpetualId: BigNumberish], [void], "nonpayable">;
@@ -4457,9 +4467,6 @@ export interface IPerpetualManager extends BaseContract {
   getFunction(
     nameOrSignature: "updateDefaultFundTargetSize"
   ): TypedContractMethod<[_iPerpetualId: BigNumberish], [void], "nonpayable">;
-  getFunction(
-    nameOrSignature: "updateDefaultFundTargetSizeRandom"
-  ): TypedContractMethod<[_iPoolIndex: BigNumberish], [void], "nonpayable">;
   getFunction(
     nameOrSignature: "updateFundingAndPricesAfter"
   ): TypedContractMethod<[_iPerpetualId: BigNumberish], [void], "nonpayable">;

package/src/contracts/PerpetualManagerProxy.ts

@@ -1206,19 +1206,19 @@ export namespace UpdateMarkPriceEvent {
     perpetualId: BigNumberish,
     fMidPricePremium: BigNumberish,
     fMarkPricePremium: BigNumberish,
-    fSpotIndexPrice: BigNumberish
+    fMarkIndexPrice: BigNumberish
   ];
   export type OutputTuple = [
     perpetualId: bigint,
     fMidPricePremium: bigint,
     fMarkPricePremium: bigint,
-    fSpotIndexPrice: bigint
+    fMarkIndexPrice: bigint
   ];
   export interface OutputObject {
     perpetualId: bigint;
     fMidPricePremium: bigint;
     fMarkPricePremium: bigint;
-    fSpotIndexPrice: bigint;
+    fMarkIndexPrice: bigint;
   }
   export type Event = TypedContractEvent<InputTuple, OutputTuple, OutputObject>;
   export type Filter = TypedDeferredTopicFilter<Event>;

package/src/contracts/factories/IPerpetualManager__factory.ts

@@ -3188,7 +3188,7 @@ const _abi = [
           },
           {
             internalType: "int128",
-            name: "fTotalMarginBalance",
+            name: "fParams",
             type: "int128",
           },
           {
@@ -3370,6 +3370,11 @@ const _abi = [
             name: "perpFlags",
             type: "int128",
           },
+          {
+            internalType: "int128",
+            name: "fAMMTargetDD",
+            type: "int128",
+          },
         ],
         internalType: "struct IPerpetualInfo.PerpetualStaticInfo[]",
         name: "",
@@ -3453,7 +3458,7 @@ const _abi = [
           },
           {
             internalType: "uint16",
-            name: "minimalSpreadTbps",
+            name: "minimalSpreadBps",
             type: "uint16",
           },
           {
@@ -3580,7 +3585,7 @@ const _abi = [
           },
           {
             internalType: "int128",
-            name: "fTotalMarginBalance",
+            name: "fParams",
             type: "int128",
           },
           {
@@ -5084,6 +5089,91 @@ const _abi = [
     stateMutability: "pure",
     type: "function",
   },
+  {
+    inputs: [
+      {
+        components: [
+          {
+            internalType: "uint16",
+            name: "leverageTDR",
+            type: "uint16",
+          },
+          {
+            internalType: "uint16",
+            name: "brokerFeeTbps",
+            type: "uint16",
+          },
+          {
+            internalType: "uint24",
+            name: "iPerpetualId",
+            type: "uint24",
+          },
+          {
+            internalType: "address",
+            name: "traderAddr",
+            type: "address",
+          },
+          {
+            internalType: "uint32",
+            name: "executionTimestamp",
+            type: "uint32",
+          },
+          {
+            internalType: "address",
+            name: "brokerAddr",
+            type: "address",
+          },
+          {
+            internalType: "uint32",
+            name: "submittedTimestamp",
+            type: "uint32",
+          },
+          {
+            internalType: "uint32",
+            name: "flags",
+            type: "uint32",
+          },
+          {
+            internalType: "uint32",
+            name: "iDeadline",
+            type: "uint32",
+          },
+          {
+            internalType: "address",
+            name: "executorAddr",
+            type: "address",
+          },
+          {
+            internalType: "int128",
+            name: "fAmount",
+            type: "int128",
+          },
+          {
+            internalType: "int128",
+            name: "fLimitPrice",
+            type: "int128",
+          },
+          {
+            internalType: "int128",
+            name: "fTriggerPrice",
+            type: "int128",
+          },
+          {
+            internalType: "bytes",
+            name: "brokerSignature",
+            type: "bytes",
+          },
+        ],
+        internalType: "struct IPerpetualOrder.Order",
+        name: "_order",
+        type: "tuple",
+      },
+    ],
+    name: "testTradeEvent",
+    outputs: [],
+    stateMutability: "nonpayable",
+    type: "function",
+  },
   {
     inputs: [
       {
@@ -5291,19 +5381,6 @@ const _abi = [
     stateMutability: "nonpayable",
     type: "function",
   },
-  {
-    inputs: [
-      {
-        internalType: "uint8",
-        name: "_iPoolIndex",
-        type: "uint8",
-      },
-    ],
-    name: "updateDefaultFundTargetSizeRandom",
-    outputs: [],
-    stateMutability: "nonpayable",
-    type: "function",
-  },
   {
     inputs: [
       {

package/src/contracts/factories/PerpetualManagerProxy__factory.ts

@@ -1218,7 +1218,7 @@ const _abi = [
       {
         indexed: false,
         internalType: "int128",
-        name: "fSpotIndexPrice",
+        name: "fMarkIndexPrice",
         type: "int128",
       },
     ],

package/src/marketData.ts

@@ -988,7 +988,6 @@ export default class MarketData extends PerpetualDataHandler {
   ): [number, number | undefined, number] {
     let S2Liq: number, S3Liq: number | undefined;
     const staticInfo = symbolToPerpStaticInfo.get(symbol)!;
-    let tau = staticInfo.maintenanceMarginRate;
     let ccyType = staticInfo.collateralCurrencyType;
     const isPred = MarketData.isPredictionMarketStatic(staticInfo);
     const idx_availableCashCC = 2;
@@ -997,14 +996,16 @@ export default class MarketData extends PerpetualDataHandler {
     const idx_locked_in = 5;
     const idx_mark_price = 8;
     const idx_s3 = 9;
-    let traderState = new Array<bigint>(10);
+    const idx_maint_mgn_rate = 10;
+    let traderState = new Array<bigint>(11);
     traderState[idx_availableCashCC] = floatToABK64x64(marginCashCC);
     traderState[idx_cash] = traderState[idx_availableCashCC];
     traderState[idx_notional] = floatToABK64x64(signedPositionBC);
     traderState[idx_locked_in] = floatToABK64x64(lockedInQC);
     traderState[idx_mark_price] = floatToABK64x64(markPrice);
     traderState[idx_s3] = floatToABK64x64(collToQuoteConversion);
-
+    traderState[idx_maint_mgn_rate] = floatToABK64x64(PerpetualDataHandler.getMaintenanceMarginRate(staticInfo));
+    let tau; 
     [S2Liq, S3Liq, tau, ,] = MarketData._calculateLiquidationPrice(
       symbol,
       traderState,
@@ -1735,6 +1736,7 @@ export default class MarketData extends PerpetualDataHandler {
       priceIds: perpInfo.priceIds,
       isPyth: perpInfo.isPyth,
       perpFlags: perpInfo.perpFlags,
+      fAMMTargetDD: perpInfo.fAMMTargetDD,
     };
     return res;
   }

package/src/nodeSDKTypes.ts

@@ -80,6 +80,7 @@ export interface PerpetualStaticInfo {
   priceIds: string[];
   isPyth: boolean[];
   perpFlags: bigint;
+  fAMMTargetDD: bigint;
 }
 
 /*

package/src/perpetualDataHandler.ts

@@ -698,6 +698,7 @@ export default class PerpetualDataHandler {
           priceIds: perpInfos[j].priceIds,
           isPyth: perpInfos[j].isPyth,
           perpFlags: BigInt(perpInfos[j].perpFlags?.toString() ?? 0),
+          fAMMTargetDD: perpInfos[j].fAMMTargetDD
         };
         infoArr.push(info);
       }
@@ -834,7 +835,7 @@ export default class PerpetualDataHandler {
         fMinimalAMMExposureEMA: ABK64x64ToFloat(BigInt(orig.fMinimalAMMExposureEMA)), // parameter: minimal abs value for fCurrentAMMExposureEMA that we don't want to undershoot
         fSettlementS3PriceData: ABK64x64ToFloat(BigInt(orig.fSettlementS3PriceData)), //quanto index
         fSettlementS2PriceData: ABK64x64ToFloat(BigInt(orig.fSettlementS2PriceData)), //base-quote pair. Used as last price in normal state.
-        fTotalMarginBalance: ABK64x64ToFloat(BigInt(orig.fTotalMarginBalance)), //calculated for settlement, in collateral currency
+        fTotalMarginBalance: ABK64x64ToFloat(BigInt(orig.fParams)), //calculated for settlement, in collateral currency
         fMarkPriceEMALambda: ABK64x64ToFloat(Number(orig.fMarkPriceEMALambda)), // parameter: Lambda parameter for EMA used in mark-price for funding rates
         fFundingRateClamp: ABK64x64ToFloat(Number(orig.fFundingRateClamp)), // parameter: funding rate clamp between which we charge 1bps
         fMaximalTradeSizeBumpUp: ABK64x64ToFloat(Number(orig.fMaximalTradeSizeBumpUp)), // parameter: >1, users can create a maximal position of size fMaximalTradeSizeBumpUp*fCurrentAMMExposureEMA
@@ -1401,6 +1402,7 @@ export default class PerpetualDataHandler {
     const idx_locked_in = 5;
     const idx_mark_price = 8;
     const idx_s3 = 9;
+    const idx_maint_mgn_rate = 10;
     // const idx_s2 = 10;
     let S2Liq: number;
     let S3Liq: number = ABK64x64ToFloat(traderState[idx_s3]);
@@ -1408,7 +1410,7 @@ export default class PerpetualDataHandler {
     if (perpInfo == undefined) {
       throw new Error(`no info for perpetual ${symbol}`);
     }
-    const tau = perpInfo.maintenanceMarginRate;
+    const tau = ABK64x64ToFloat(traderState[idx_maint_mgn_rate]);
     const lockedInValueQC = ABK64x64ToFloat(traderState[idx_locked_in]);
     const position = ABK64x64ToFloat(traderState[idx_notional]);
     const cashCC = ABK64x64ToFloat(traderState[idx_availableCashCC]);
@@ -2099,6 +2101,15 @@ export default class PerpetualDataHandler {
     }
     return containsFlag(staticInfo.perpFlags, MASK_LOW_LIQUIDITY_MARKET);
   }
+  /**
+   * Determines whether a given perpetual represents a tradfi market
+   * which has open/close times
+   * @param staticInfo Perpetual static info
+   * @returns True if perp has tradfi market flag set
+   */
+  public static isTradFiMarketStatic(staticInfo: PerpetualStaticInfo) {
+    return containsFlag(staticInfo.perpFlags, MASK_PREDICTION_MARKET);
+  }
 
   /**
    * Determines whether a given perpetual represents a prediction market
@@ -2108,4 +2119,50 @@ export default class PerpetualDataHandler {
   public static isPredictionMarketStatic(staticInfo: PerpetualStaticInfo) {
     return containsFlag(staticInfo.perpFlags, MASK_PREDICTION_MARKET);
   }
-}
+
+  /**
+   * Get initial margin rate from static data considering open/close of tradfi markets
+   * @param staticInfo static info
+   * @returns initial margin rate in decimals 
+   */  
+  public static getInitialMarginRate(staticInfo: PerpetualStaticInfo) : number {
+    if (!PerpetualDataHandler.isTradFiMarketStatic(staticInfo)) {
+      return staticInfo.initialMarginRate;
+    }
+    const t = (Date.now()/1000) % 86_400;
+    let oc = PerpetualDataHandler.decodeOpenCloseSeconds(staticInfo.fAMMTargetDD);
+    const isOpen = (t > oc.openSec) != (t > oc.closeSec) != (oc.openSec > oc.closeSec);
+    if (isOpen) {
+      return staticInfo.initialMarginRate;
+    }
+    return 0.2;//5x
+  }
+ 
+  /**
+   * Get maintenance margin rate from static data considering open/close of tradfi markets
+   * @param staticInfo static info
+   * @returns maintenance margin rate in decimals 
+   */
+  public static getMaintenanceMarginRate(staticInfo: PerpetualStaticInfo) : number {
+    if (!PerpetualDataHandler.isTradFiMarketStatic(staticInfo)) {
+      return staticInfo.maintenanceMarginRate;
+    }
+    const t = (Date.now()/1000) % 86_400;
+    let oc = PerpetualDataHandler.decodeOpenCloseSeconds(staticInfo.fAMMTargetDD);
+    const isOpen = (t > oc.openSec) != (t > oc.closeSec) != (oc.openSec > oc.closeSec);
+    if (isOpen) {
+      return staticInfo.maintenanceMarginRate;
+    }
+    return 0.1;//10x
+  }
+
+  public static decodeOpenCloseSeconds(packed: bigint): { openSec: number; closeSec: number } {
+    const MASK = 0x7Fn; // 7-bit mask
+    const closeSlot = Number(packed & MASK);
+    const openSlot = Number((packed >> 7n) & MASK);
+    return {
+      openSec: openSlot * 900,  // 15 * 60
+      closeSec: closeSlot * 900,
+    }
+  }
+}

package/src/priceFeeds.ts

@@ -300,7 +300,7 @@ export default class PriceFeeds {
         ema: decNToFloat(s2EmaInfo?.price ?? 0n, -(s2EmaInfo?.expo ?? 1)),
         s2MktClosed: mktClosed[0],
         s3MktClosed: mktClosed[1],
-        conf: s2Info?.conf ?? 0n,
+        conf: BigInt(s2Info?.conf ?? 0n),
         predMktCLOBParams: s2EmaInfo?.conf ?? 0n,
       } as IdxPriceInfo;
     } else {

package/src/version.ts

@@ -1 +1 @@
-export const D8X_SDK_VERSION = "2.5.13";
+export const D8X_SDK_VERSION = "2.5.15";