npm - @d8x/perpetuals-sdk - Versions diffs - 2.7.0 → 2.7.2 - Mend

@d8x/perpetuals-sdk 2.7.0 → 2.7.2

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.

Files changed (33) hide show

package/dist/cjs/d8XMath.d.ts +6 -8
package/dist/cjs/d8XMath.js +97 -4
package/dist/cjs/d8XMath.js.map +1 -1
package/dist/cjs/main.d.ts +1 -0
package/dist/cjs/main.js +15 -0
package/dist/cjs/main.js.map +1 -0
package/dist/cjs/marketData.d.ts +1 -5
package/dist/cjs/marketData.js +23 -8
package/dist/cjs/marketData.js.map +1 -1
package/dist/cjs/version.d.ts +1 -1
package/dist/cjs/version.js +1 -1
package/dist/cjs/version.js.map +1 -1
package/dist/esm/d8XMath.d.ts +6 -8
package/dist/esm/d8XMath.js +93 -3
package/dist/esm/d8XMath.js.map +1 -1
package/dist/esm/main.d.ts +1 -0
package/dist/esm/main.js +13 -0
package/dist/esm/main.js.map +1 -0
package/dist/esm/main2.d.ts +1 -0
package/dist/esm/main2.js +18 -0
package/dist/esm/main2.js.map +1 -0
package/dist/esm/marketData.d.ts +1 -5
package/dist/esm/marketData.js +24 -9
package/dist/esm/marketData.js.map +1 -1
package/dist/esm/version.d.ts +1 -1
package/dist/esm/version.js +1 -1
package/dist/esm/version.js.map +1 -1
package/doc/d8x-perpetuals-sdk.md +2 -26
package/doc/marketData.md +2 -10
package/package.json +5 -2
package/src/d8XMath.ts +105 -4
package/src/marketData.ts +30 -10
package/src/version.ts +1 -1

package/dist/esm/marketData.d.ts CHANGED Viewed

@@ -230,13 +230,9 @@ export default class MarketData extends PerpetualDataHandler {
     }>;
     /**
      * Fee is relative to base-currency amount (=trade amount)
-     * @param maxMaintMgnRate maintenance margin rate param for pred mkts
-     * @param Sm Mark price
-     * @param tradeAmtBC signed trade amount
-     * @param tradeMgnRate margin rate param from perpetual
      * @returns relative exchange fee in decimals
      */
-    static exchangeFeePrdMkts(maxMaintMgnRate: number, Sm: number, tradeAmtBC: number, traderPosBC: number, tradeMgnRate: number): number;
+    static exchangeFeePrdMkts(Sm: number, tradeAmtBC: number, traderPosBC: number, traderLockedInQC: number, mu_m: number, mr: number, m_0: number, conf: bigint): number;
     /**
      * Estimates what the position risk will be if given amount of collateral is added/removed from the account.
      * @param {number} deltaCollateral Amount of collateral to add or remove (signed)

package/dist/esm/marketData.js CHANGED Viewed

@@ -1,7 +1,7 @@
 import { Contract, formatUnits, hexlify, Interface, JsonRpcProvider } from "ethers";
 import { BUY_SIDE, CLOSED_SIDE, COLLATERAL_CURRENCY_BASE, COLLATERAL_CURRENCY_QUANTO, ERC20_ABI, MULTICALL_ADDRESS, ORDER_TYPE_MARKET, PERP_STATE_STR, SELL_SIDE, ZERO_ADDRESS, ZERO_ORDER_ID, } from "./constants";
 import { CompositeToken__factory, ERC20__factory, IPerpetualManager__factory, Multicall3__factory, } from "./contracts";
-import { ABK64x64ToFloat, dec18ToFloat, decNToFloat, floatToABK64x64, getDepositAmountForLvgTrade, getMaxSignedPositionSize, pmExchangeFee, pmMaxSignedOpenTradeSize, } from "./d8XMath";
+import { ABK64x64ToFloat, dec18ToFloat, decNToFloat, extractLvgFeeParams, floatToABK64x64, getDepositAmountForLvgTrade, getMaxSignedPositionSize, pmExitFee, pmMaxSignedOpenTradeSize, pmOpenFee, } from "./d8XMath";
 import PerpetualDataHandler from "./perpetualDataHandler";
 import { contractSymbolToSymbol, toBytes4 } from "./utils";
 /**
@@ -607,20 +607,34 @@ export default class MarketData extends PerpetualDataHandler {
     }
     /**
      * Fee is relative to base-currency amount (=trade amount)
-     * @param maxMaintMgnRate maintenance margin rate param for pred mkts
-     * @param Sm Mark price
-     * @param tradeAmtBC signed trade amount
-     * @param tradeMgnRate margin rate param from perpetual
      * @returns relative exchange fee in decimals
      */
-    static exchangeFeePrdMkts(maxMaintMgnRate, Sm, tradeAmtBC, traderPosBC, tradeMgnRate) {
+    static exchangeFeePrdMkts(Sm, tradeAmtBC, traderPosBC, traderLockedInQC, mu_m, mr, m_0, conf) {
         const isClose = Math.sign(traderPosBC) != Math.sign(tradeAmtBC);
         const isFlip = Math.abs(traderPosBC + tradeAmtBC) > 0.01 && Math.sign(traderPosBC + tradeAmtBC) != Math.sign(traderPosBC);
+        const varphiBar = tradeAmtBC > 0 ? Sm - 1 : 2 - Sm;
+        const varphi = traderPosBC == 0
+            ? varphiBar
+            : traderPosBC > 0
+                ? traderLockedInQC / traderPosBC - 1
+                : 2 - traderLockedInQC / traderPosBC;
+        let fee;
+        const { jump, sigt } = extractLvgFeeParams(conf);
         if (isClose && !isFlip) {
-            // 0.1cents if is close
-            return 0.001;
+            // exit fee
+            fee = pmExitFee(varphi, varphiBar, mu_m, m_0, sigt, jump);
         }
-        return pmExchangeFee(Sm - 1, maxMaintMgnRate, tradeAmtBC, tradeMgnRate);
+        else {
+            // open fee
+            fee = pmOpenFee(varphi, varphiBar, mu_m, mr, sigt, jump);
+        }
+        if (fee < 0.001) {
+            fee = 0.001;
+        }
+        else if (fee > 0.65535) {
+            fee = 0.65535;
+        }
+        return fee;
     }
     /**
      * Estimates what the position risk will be if given amount of collateral is added/removed from the account.
@@ -963,6 +977,7 @@ export default class MarketData extends PerpetualDataHandler {
         const [longOI, shortOI] = net < 0 ? [oi, oi + net] : [oi - net, oi];
         let maxLong = pmMaxSignedOpenTradeSize(longOI, shortOI, indexPriceInfo.ema, true, mr, ammFunds);
         let maxShort = pmMaxSignedOpenTradeSize(longOI, shortOI, indexPriceInfo.ema, false, mr, ammFunds);
+        console.log({ maxLong, maxShort });
         if (traderPos > 0n) {
             // pos > 0, so short is closing direction
             maxShort = -Math.max(Math.abs(maxShort), ABK64x64ToFloat(traderPos));

package/dist/esm/marketData.js.map CHANGED Viewed

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package/dist/esm/version.d.ts CHANGED Viewed

	@@ -1 +1 @@
1	- export declare const D8X_SDK_VERSION = "2.7.00";
1	+ export declare const D8X_SDK_VERSION = "2.7.2";

package/dist/esm/version.js CHANGED Viewed

@@ -1,2 +1,2 @@
-export const D8X_SDK_VERSION = "2.7.00";
+export const D8X_SDK_VERSION = "2.7.2";
 //# sourceMappingURL=version.js.map

package/dist/esm/version.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- {"version":3,"file":"version.js","sourceRoot":"","sources":["../../src/version.ts"],"names":[],"mappings":"AAAA,MAAM,CAAC,MAAM,eAAe,GAAG,~~QAAQ~~,CAAC"}
1	+ {"version":3,"file":"version.js","sourceRoot":"","sources":["../../src/version.ts"],"names":[],"mappings":"AAAA,MAAM,CAAC,MAAM,eAAe,GAAG,OAAO,CAAC"}

package/doc/d8x-perpetuals-sdk.md CHANGED Viewed

@@ -150,7 +150,6 @@ on-chain</p></dd>
     * [~priceToProb(px)](#module_d8xMath..priceToProb) ⇒
     * [~probToPrice(prob)](#module_d8xMath..probToPrice) ⇒
     * [~pmMarginThresh(pos, lockedInQC, s2, s3, m)](#module_d8xMath..pmMarginThresh) ⇒
-    * [~pmMaintenanceMarginRate(position, lockedInQC, sm, m)](#module_d8xMath..pmMaintenanceMarginRate) ⇒ <code>number</code>
     * [~pmInitialMarginRate(posSign, s0, sm, cmin)](#module_d8xMath..pmInitialMarginRate) ⇒ <code>number</code>
     * [~pmExchangeFee(prob, m, tradeAmt, tradeMgnRate)](#module_d8xMath..pmExchangeFee) ⇒
     * [~pmMarginBalance(pos, s2, s3, ell, mc)](#module_d8xMath..pmMarginBalance) ⇒
@@ -525,21 +524,6 @@ return v &gt; 0 ? v : int128(0);</p>
 | s3 | <p>collateral to quote conversion</p> |
 | m | <p>base margin rate</p> |
-<a name="module_d8xMath..pmMaintenanceMarginRate"></a>
-### d8xMath~pmMaintenanceMarginRate(position, lockedInQC, sm, m) ⇒ <code>number</code>
-<p>Maintenance margin rate for prediction markets.</p>
-**Kind**: inner method of [<code>d8xMath</code>](#module_d8xMath)
-**Returns**: <code>number</code> - <p>The margin rate to be applied: (Math.abs(pos) * p * tau) / s3</p>
-| Param | Description |
-| --- | --- |
-| position | <p>signed position in base currency</p> |
-| lockedInQC | <p>locked in value, p or 1-p times number of contracts</p> |
-| sm | <p>mark-price (=1+p)</p> |
-| m | <p>absolute maintenance buffer per contract (mu_m, fMaintenanceMarginRate)</p> |
 <a name="module_d8xMath..pmInitialMarginRate"></a>
 ### d8xMath~pmInitialMarginRate(posSign, s0, sm, cmin) ⇒ <code>number</code>
@@ -4337,7 +4321,7 @@ No gas required for the queries here.</p>
         * [.fetchOnChainPerpetualStates()](#PerpetualDataHandler+fetchOnChainPerpetualStates) ⇒
         * [.checkHeartbeat()](#PerpetualDataHandler+checkHeartbeat) ⇒
     * _static_
-        * [.exchangeFeePrdMkts(maxMaintMgnRate, Sm, tradeAmtBC, tradeMgnRate)](#MarketData.exchangeFeePrdMkts) ⇒
+        * [.exchangeFeePrdMkts()](#MarketData.exchangeFeePrdMkts) ⇒
 <a name="new_MarketData_new"></a>
@@ -5662,19 +5646,11 @@ main();
 **Returns**: <p>True if all perp states are correct</p>
 <a name="MarketData.exchangeFeePrdMkts"></a>
-### MarketData.exchangeFeePrdMkts(maxMaintMgnRate, Sm, tradeAmtBC, tradeMgnRate) ⇒
+### MarketData.exchangeFeePrdMkts() ⇒
 <p>Fee is relative to base-currency amount (=trade amount)</p>
 **Kind**: static method of [<code>MarketData</code>](#MarketData)
 **Returns**: <p>relative exchange fee in decimals</p>
-| Param | Description |
-| --- | --- |
-| maxMaintMgnRate | <p>maintenance margin rate param for pred mkts</p> |
-| Sm | <p>Mark price</p> |
-| tradeAmtBC | <p>signed trade amount</p> |
-| tradeMgnRate | <p>margin rate param from perpetual</p> |
 <a name="OnChainPxFeed"></a>
 ## OnChainPxFeed

package/doc/marketData.md CHANGED Viewed

@@ -47,7 +47,7 @@ No gas required for the queries here.</p>
         * [.fetchPrdMktMetaData(symbol)](#MarketData+fetchPrdMktMetaData) ⇒
         * [.fetchPythMetaData(symbol)](#MarketData+fetchPythMetaData) ⇒
     * _static_
-        * [.exchangeFeePrdMkts(maxMaintMgnRate, Sm, tradeAmtBC, tradeMgnRate)](#MarketData.exchangeFeePrdMkts) ⇒
+        * [.exchangeFeePrdMkts()](#MarketData.exchangeFeePrdMkts) ⇒
 <a name="new_MarketData_new"></a>
@@ -860,16 +860,8 @@ The priority is:</p>
 <a name="MarketData.exchangeFeePrdMkts"></a>
-### MarketData.exchangeFeePrdMkts(maxMaintMgnRate, Sm, tradeAmtBC, tradeMgnRate) ⇒
+### MarketData.exchangeFeePrdMkts() ⇒
 <p>Fee is relative to base-currency amount (=trade amount)</p>
 **Kind**: static method of [<code>MarketData</code>](#MarketData)
 **Returns**: <p>relative exchange fee in decimals</p>
-| Param | Description |
-| --- | --- |
-| maxMaintMgnRate | <p>maintenance margin rate param for pred mkts</p> |
-| Sm | <p>Mark price</p> |
-| tradeAmtBC | <p>signed trade amount</p> |
-| tradeMgnRate | <p>margin rate param from perpetual</p> |

package/package.json CHANGED Viewed

@@ -1,6 +1,6 @@
 {
   "name": "@d8x/perpetuals-sdk",
-  "version": "2.7.00",
+  "version": "2.7.2",
   "description": "Node TypeScript SDK for D8X Perpetual Futures",
   "author": "D8X",
   "homepage": "https://github.com/D8-X/d8x-futures-node-sdk#readme",
@@ -68,5 +68,8 @@
     "tslib": "^2.5.0",
     "typescript": "^4.9.5"
   },
-  "packageManager": "yarn@1.22.22+sha512.a6b2f7906b721bba3d67d4aff083df04dad64c399707841b7acf00f6b133b7ac24255f2652fa22ae3534329dc6180534e98d17432037ff6fd140556e2bb3137e"
+  "packageManager": "yarn@1.22.22+sha512.a6b2f7906b721bba3d67d4aff083df04dad64c399707841b7acf00f6b133b7ac24255f2652fa22ae3534329dc6180534e98d17432037ff6fd140556e2bb3137e",
+  "resolutions": {
+    "jsdoc": "4.0.3"
+  }
 }

package/src/d8XMath.ts CHANGED Viewed

@@ -562,7 +562,7 @@ export function entropy(prob: number) {
  * @param m base margin rate
  * @returns required margin balance
  */
-function pmMarginThresh(pos: number, lockedInQC: number, s2: number, s3: number, m: number):number {
+function pmMarginThresh(pos: number, lockedInQC: number, s2: number, s3: number, m: number): number {
   return (pmMaintenanceMarginRate(pos, lockedInQC, s2, m) * Math.abs(pos)) / s3;
 }
@@ -573,7 +573,7 @@ function pmMarginThresh(pos: number, lockedInQC: number, s2: number, s3: number,
  * @param sm  mark-price (=1+p)
  * @param m absolute maintenance buffer per contract (mu_m, fMaintenanceMarginRate)
  * @returns {number} The margin rate to be applied: (Math.abs(pos) * p * tau) / s3
- */
+ */ pmExchangeFee;
 export function pmMaintenanceMarginRate(position: number, lockedInQC: number, sm: number, m: number): number {
   let pm = sm - 1;
   let entryP = position == 0 ? pm : Math.abs(lockedInQC / position) - 1;
@@ -582,8 +582,12 @@ export function pmMaintenanceMarginRate(position: number, lockedInQC: number, sm
     entryP = 1 - entryP;
   }
   const L = Math.max(entryP - pm, 0);
-  const balAtLiq = Math.min(m + L, entryP) * Math.abs(position) + position * sm - lockedInQC;
-  return balAtLiq / (Math.abs(position) * pm);
+  if (position == 0) {
+    return Math.min(m + L, entryP) / pm;
+  } else {
+    const balAtLiq = Math.min(m + L, entryP) * Math.abs(position) + (position * sm - lockedInQC);
+    return balAtLiq / pm / Math.abs(position);
+  }
 }
 /**
@@ -629,6 +633,103 @@ export function pmExchangeFee(prob: number, m: number, tradeAmt: number, tradeMg
   return Math.max(fee, 0.001);
 }
+export function pmExitFee(varphi: number, varphiBar: number, mu_m: number, m_0: number, sigt: number, jump: number) {
+  const pLiq = varphi + mu_m - m_0;
+  const kappa = calcKappa(varphiBar, pLiq, sigt);
+  let fee = prdMktLvgFee(kappa, varphi, m_0);
+  return fee;
+}
+export function pmOpenFee(varphi: number, varphiBar: number, mu_m: number, m_0: number, sigt: number, jump: number) {
+  const pLiq = varphi + mu_m - m_0;
+  const kappa = calcKappa(varphiBar, pLiq, sigt);
+  const es = calcJumpRisk(kappa, varphiBar, jump);
+  const feecap = (1 - varphiBar) * varphiBar - (1 - varphiBar) * m_0;
+  let fee = prdMktLvgFee(kappa, varphi, m_0);
+  fee = fee + es;
+  if (fee > feecap) {
+    fee = feecap;
+  }
+  if (fee < 0.001) {
+    fee = 0.001;
+  }
+  return fee;
+}
+function firstNonZeroNum(numDec: bigint) {
+  let pos = 0n;
+  let temp = numDec;
+  while (temp > 0n) {
+    temp /= 10n;
+    pos++;
+  }
+  return pos;
+}
+function decodeUint24Float(num: number | bigint) {
+  const n = BigInt(num);
+  const sgnE = n >> 23n;
+  const val = (n >> 3n) & ((1n << 20n) - 1n);
+  const exponent = n & ((1n << 3n) - 1n);
+  let v = BigInt.asIntN(128, val * 2n ** 64n);
+  let exponent1 = firstNonZeroNum(val);
+  if (exponent1 > 0n) exponent1--;
+  if (sgnE == 1n) {
+    v = (v * 2n ** 64n) / 10n ** exponent;
+  } else {
+    v = (v * 10n ** exponent) / 2n ** 64n;
+  }
+  return ABK64x64ToFloat(v);
+}
+export function extractLvgFeeParams(conf: bigint) {
+  // static replication of _checkOracleStatus and _extractLvgFeeParams
+  const param = BigInt.asIntN(64, conf >> 16n); //  int64(conf >> 16);
+  const enc = BigInt.asUintN(64, BigInt.asUintN(128, param)); // uint64(uint128(_param));
+  const j = BigInt.asUintN(64, enc >> 44n); // uint64 j = enc >> 44; //top 4 bits
+  const st = BigInt.asUintN(64, enc & ((BigInt.asUintN(64, 1n) << 44n) - 1n)); // uint64 st = enc & ((uint64(1) << 44) - 1); // low 44 bits are sigt (padded 24-bit)
+  const jump = ABK64x64ToFloat(BigInt.asUintN(128, BigInt.asIntN(64, j)) * BigInt.asIntN(128, 922337203685477580n)); // jump = int128(int64(j)) * int128(922337203685477580); // times 0.05 in ABDK
+  const sigt = decodeUint24Float(BigInt.asUintN(24, st & ((1n << 24n) - 1n))); // uint24(st & ((1 << 24) - 1));
+  return { jump, sigt };
+}
+//sigt = sigma*sqrt(t)
+function calcKappa(varphi: number, varphiLiq: number, sigt: number): number {
+  const p = 1 - varphi;
+  const pStar = 1 - varphiLiq;
+  const x0 = Math.log(p / (1 - p));
+  const a = Math.log(pStar / (1 - pStar));
+  const kappa = 2 * (1 - cdfNormalStd((a - x0) / sigt));
+  return kappa;
+}
+function calcJumpRisk(kappa: number, varphi: number, jump: number): number {
+  jump = Math.floor(jump / 0.05) * 0.05;
+  const jr = jump * (1 - varphi * (1 - kappa));
+  return jr;
+}
+//opening leverage fee with cash per contract of m0, without jump risk
+function prdMktLvgFee(kappa: number, varphi: number, m0: number): number {
+  const f = (1 - kappa) * varphi * (1 - varphi) - (1 - varphi * (1 - kappa)) * m0;
+  return f;
+}
+function cdfNormalStd(x: number) {
+  const t = 1 / (1 + 0.2315419 * Math.abs(x));
+  const d = 0.3989423 * Math.exp((-x * x) / 2);
+  let prob = d * t * (0.3193815 + t * (-0.3565638 + t * (1.781478 + t * (-1.821256 + t * 1.330274))));
+  if (x > 0) {
+    prob = 1 - prob;
+  }
+  return prob;
+}
 /**
  * Margin balance for prediction markets
  * @param pos signed position