@d8x/perpetuals-sdk 2.7.4 → 2.7.6

package/src/marketData.ts

@@ -505,7 +505,7 @@ export default class MarketData extends PerpetualDataHandler {
           perpId,
           floatToABK64x64(tradeAmountBC),
           [fS2, fS3],
-          indexPriceInfo.conf & ((1n << 16n) - 1n),
+          10n * (indexPriceInfo.conf & ((1n << 16n) - 1n)),
           indexPriceInfo.predMktCLOBParams,
         ]),
       },
@@ -840,38 +840,69 @@ export default class MarketData extends PerpetualDataHandler {
 
   /**
    * Fee is relative to base-currency amount (=trade amount)
-   * @returns relative exchange fee in decimals
+   * @param {number} Sm Mark price
+   * @param {number} tradeAmtBC Signed trade amount in base currency (positive for buy, negative for sell)
+   * @param {number} traderPosBC Current trader position in base currency (signed, positive for long, negative for short)
+   * @param {number} traderLockedInQC Locked-in value in quote currency for existing position (entry price * position size)
+   * @param {number} collateralCC Collateral in CC for existing position (fCashCC from margin account)
+   * @param {number} traderLeverage Leverage for the new trade
+   * @param {number} mu_m maintenance margin rate
+   * @param {number} mu_i Initial margin rate, for pred markets this is the min cash per contract required to open
+   * @param {bigint} conf Configuration bigint encoding jump and sigt (volatility * sqrt(time))
+   * @returns {number} Exchange fee per unit of base currency (e.g., 0.05 = 5 cents per contract)
    */
   public static exchangeFeePrdMkts(
     Sm: number,
     tradeAmtBC: number,
     traderPosBC: number,
     traderLockedInQC: number,
+    collateralCC: number,
     traderLeverage: number,
     mu_m: number,
-    m_0: number,
+    mu_i: number,
     conf: bigint
   ): number {
     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;
+    // varphi_0 is the entry mark price labeled varphiBar_0 on page 2 of the leveraged prediction markets paper used in equation (1)
+    const varphi_0 = tradeAmtBC > 0 ? Sm - 1 : 2 - Sm;
+
+    // varphi is the entry price of an existing position, we need this for the exit fee to compute liq price and the check if
+    // the original position is overcollateralized at entry
     const varphi =
       traderPosBC == 0
-        ? varphiBar
+        ? varphi_0
         : traderPosBC > 0
-        ? traderLockedInQC / traderPosBC - 1
-        : 2 - traderLockedInQC / traderPosBC;
+        ? traderLockedInQC / traderPosBC
+        : 1 - traderLockedInQC / traderPosBC;
+
+    // eq (1) leveraged prediction markets paper:
+    // m_0 = max(varphi_0 / l, c_{min}) + s(p_0 - pBar_0)^+
+    // c_{min} = min(varphi_0, mu_i) with mu_i being perpetualStaticInfo.initialMarginRate
+    // we assume that slippage s(p_0 - pBar_0)^+ is 0 here
+    const c_min = Math.min(varphi_0, mu_i);
+    const m_0 = Math.max(varphi_0 / traderLeverage, c_min);
+
+    // for the full exit fee m0 is taken from the existing position
+    const m_0Exit = traderPosBC == 0 ? 0 : collateralCC / Math.abs(traderPosBC);
+
     let fee: number;
     const { jump, sigt } = extractLvgFeeParams(conf);
 
     if (isClose && !isFlip) {
       // exit fee
-      fee = pmExitFee(varphi, varphiBar, mu_m, m_0, sigt, jump);
+      console.log("[exchangeFeePrdMkts] exit fee");
+      fee = -pmExitFee(varphi, varphi_0, m_0Exit, mu_m, mu_i, sigt, jump);
+
+      // if we are overcollateralized at entry (entry mark <= cash/contract), exit fee is 0.001 in any case
+      if (varphi <= m_0Exit) {
+        fee = 0.001;
+      }
     } else {
-      // open fee
-      fee = pmOpenFee(varphi, varphiBar, traderLeverage, mu_m, m_0, sigt, jump);
+      // entry fee
+      fee = pmOpenFee(varphi_0, m_0, mu_m, sigt, jump);
     }
     if (fee < 0.001) {
       fee = 0.001;

package/src/version.ts

@@ -1 +1 @@
-export const D8X_SDK_VERSION = "2.7.4";
+export const D8X_SDK_VERSION = "2.7.6";

package/dist/cjs/abi/AMMPerpLogic.json

@@ -1,580 +0,0 @@
-[
-    {
-        "inputs": [
-            {
-                "internalType": "int128[2]",
-                "name": "_fK2AMM",
-                "type": "int128[2]"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fk2Trader",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fCoverN",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128[2]",
-                "name": "fStressRet2",
-                "type": "int128[2]"
-            },
-            {
-                "internalType": "int128[2]",
-                "name": "fStressRet3",
-                "type": "int128[2]"
-            },
-            {
-                "internalType": "int128[2]",
-                "name": "fIndexPrices",
-                "type": "int128[2]"
-            },
-            {
-                "internalType": "enum AMMPerpLogic.CollateralCurrency",
-                "name": "_eCCY",
-                "type": "uint8"
-            }
-        ],
-        "name": "calculateDefaultFundSize",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "components": [
-                    {
-                        "internalType": "int128",
-                        "name": "fLockedValue1",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fPoolM1",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fPoolM2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fPoolM3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fAMM_K2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fCurrentTraderExposureEMA",
-                        "type": "int128"
-                    }
-                ],
-                "internalType": "struct AMMPerpLogic.AMMVariables",
-                "name": "_ammVars",
-                "type": "tuple"
-            },
-            {
-                "components": [
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fRho23",
-                        "type": "int128"
-                    }
-                ],
-                "internalType": "struct AMMPerpLogic.MarketVariables",
-                "name": "_mktVars",
-                "type": "tuple"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fTradeAmount",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fHBidAskSpread",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fIncentiveSpread",
-                "type": "int128"
-            }
-        ],
-        "name": "calculatePerpetualPrice",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "view",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "components": [
-                    {
-                        "internalType": "int128",
-                        "name": "fLockedValue1",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fPoolM1",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fPoolM2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fPoolM3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fAMM_K2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fCurrentTraderExposureEMA",
-                        "type": "int128"
-                    }
-                ],
-                "internalType": "struct AMMPerpLogic.AMMVariables",
-                "name": "_ammVars",
-                "type": "tuple"
-            },
-            {
-                "components": [
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fRho23",
-                        "type": "int128"
-                    }
-                ],
-                "internalType": "struct AMMPerpLogic.MarketVariables",
-                "name": "_mktVars",
-                "type": "tuple"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fTradeAmount",
-                "type": "int128"
-            },
-            {
-                "internalType": "bool",
-                "name": "_withCDF",
-                "type": "bool"
-            }
-        ],
-        "name": "calculateRiskNeutralPD",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "view",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "internalType": "uint16",
-                "name": "num",
-                "type": "uint16"
-            }
-        ],
-        "name": "decodeUint16Float",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "internalType": "int128",
-                "name": "_p",
-                "type": "int128"
-            }
-        ],
-        "name": "entropy",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "internalType": "int128",
-                "name": "_fPosition0",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fBalance0",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fTradeAmount",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fTargetLeverage",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fPrice",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fS2Mark",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fS3",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fS2",
-                "type": "int128"
-            }
-        ],
-        "name": "getDepositAmountForLvgPosition",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "internalType": "int128",
-                "name": "_fK2",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fL1",
-                "type": "int128"
-            },
-            {
-                "components": [
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fRho23",
-                        "type": "int128"
-                    }
-                ],
-                "internalType": "struct AMMPerpLogic.MarketVariables",
-                "name": "_mktVars",
-                "type": "tuple"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fTargetDD",
-                "type": "int128"
-            }
-        ],
-        "name": "getTargetCollateralM1",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "internalType": "int128",
-                "name": "_fK2",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fL1",
-                "type": "int128"
-            },
-            {
-                "components": [
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fRho23",
-                        "type": "int128"
-                    }
-                ],
-                "internalType": "struct AMMPerpLogic.MarketVariables",
-                "name": "_mktVars",
-                "type": "tuple"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fTargetDD",
-                "type": "int128"
-            }
-        ],
-        "name": "getTargetCollateralM2",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "internalType": "int128",
-                "name": "_fK2",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fL1",
-                "type": "int128"
-            },
-            {
-                "components": [
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fIndexPriceS3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma2",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fSigma3",
-                        "type": "int128"
-                    },
-                    {
-                        "internalType": "int128",
-                        "name": "fRho23",
-                        "type": "int128"
-                    }
-                ],
-                "internalType": "struct AMMPerpLogic.MarketVariables",
-                "name": "_mktVars",
-                "type": "tuple"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fTargetDD",
-                "type": "int128"
-            }
-        ],
-        "name": "getTargetCollateralM3",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "internalType": "int128",
-                "name": "_fPx",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fm",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fTradeAmt",
-                "type": "int128"
-            },
-            {
-                "internalType": "int128",
-                "name": "_fMgnRate",
-                "type": "int128"
-            }
-        ],
-        "name": "prdMktsLvgFee",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    },
-    {
-        "inputs": [
-            {
-                "internalType": "int128",
-                "name": "_amount",
-                "type": "int128"
-            },
-            {
-                "internalType": "uint64",
-                "name": "_params",
-                "type": "uint64"
-            }
-        ],
-        "name": "priceImpact",
-        "outputs": [
-            {
-                "internalType": "int128",
-                "name": "",
-                "type": "int128"
-            }
-        ],
-        "stateMutability": "pure",
-        "type": "function"
-    }
-]