@d8x/perpetuals-sdk 2.7.5 → 2.7.7

package/dist/esm/main2.js

@@ -0,0 +1,18 @@
+import { MarketData, PerpetualDataHandler } from "@d8x/perpetuals-sdk";
+async function main() {
+    console.log(MarketData);
+    // setup
+    const config = PerpetualDataHandler.readSDKConfig("zkevm");
+    let mktData = new MarketData(config);
+    await mktData.createProxyInstance();
+    // Get exchange info
+    let info = await mktData.exchangeInfo();
+    console.log(info);
+    const pools = info.pools;
+    pools.forEach((pool, index) => {
+        console.log(`Perpetuals in pool ${index} (${pool.poolSymbol}):`);
+        console.log(pool.perpetuals);
+    });
+}
+main();
+//# sourceMappingURL=main2.js.map

package/dist/esm/main2.js.map

@@ -0,0 +1 @@
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package/dist/esm/marketData.d.ts

@@ -230,9 +230,18 @@ export default class MarketData extends PerpetualDataHandler {
     }>;
     /**
      * Fee is relative to base-currency amount (=trade amount)
-     * @returns relative exchange fee in decimals
-     */
-    static exchangeFeePrdMkts(Sm: number, tradeAmtBC: number, traderPosBC: number, traderLockedInQC: number, traderLeverage: number, mu_m: number, m_0: number, conf: bigint): number;
+     * @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)
+     */
+    static exchangeFeePrdMkts(Sm: number, tradeAmtBC: number, traderPosBC: number, traderLockedInQC: number, collateralCC: number, traderLeverage: number, mu_m: number, mu_i: 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

@@ -607,26 +607,52 @@ 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)
      */
-    static exchangeFeePrdMkts(Sm, tradeAmtBC, traderPosBC, traderLockedInQC, traderLeverage, mu_m, m_0, conf) {
+    static exchangeFeePrdMkts(Sm, tradeAmtBC, traderPosBC, traderLockedInQC, collateralCC, traderLeverage, mu_m, mu_i, 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;
+        // 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;
+        //console.log("[exchangeFeePrdMkts] varphi:", varphi, "varphi_0:", varphi_0);
+        // 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;
         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;

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package/dist/esm/version.d.ts

@@ -1 +1 @@
-export declare const D8X_SDK_VERSION = "2.7.5";
+export declare const D8X_SDK_VERSION = "2.7.7";

package/dist/esm/version.js

@@ -1,2 +1,2 @@
-export const D8X_SDK_VERSION = "2.7.5";
+export const D8X_SDK_VERSION = "2.7.7";
 //# sourceMappingURL=version.js.map

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@d8x/perpetuals-sdk",
-  "version": "2.7.5",
+  "version": "2.7.7",
   "description": "Node TypeScript SDK for D8X Perpetual Futures",
   "author": "D8X",
   "homepage": "https://github.com/D8-X/d8x-futures-node-sdk#readme",

package/src/d8XMath.ts

@@ -633,30 +633,41 @@ 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);
-  // console.log({ pLiq, kappa, varphi });
-  return fee;
-}
-
-export function pmOpenFee(
+export function pmExitFee(
   varphi: number,
-  varphiBar: number,
-  lvg: number,
+  varphi_0: number,
+  m_0Exit: number,
   mu_m: number,
-  m_0: number,
+  mu_i: number,
   sigt: number,
   jump: number
 ) {
-  let fee = Math.min(varphiBar, m_0) / lvg;
-  const pLiq = varphi + mu_m - fee;
-  const kappa = calcKappa(varphiBar, pLiq, sigt);
-  const es = calcJumpRisk(kappa, varphiBar, jump);
-  const feecap = (1 - varphiBar) * varphiBar - (1 - varphiBar) * fee;
-  // let fee = prdMktLvgFee(kappa, varphi, m_0);
-  // console.log({ m_0, pLiq, lvg, kappa, es, feecap, fee, varphi, varphiBar });
+  // We implement equation (10) from leveraged binary markets paper - full closure fee only !
+  // pLiq and kappa for existing position, varphi is the entry price of the existing position
+  const pLiq = varphi + mu_m - m_0Exit;
+  // varphi_0 is the mark price for the closing trade, need to flip to get the mark for the position
+  const pricePos = 1 - varphi_0;
+  const kappa = calcKappa(pricePos, pLiq, sigt);
+
+  //console.log("[pmExitFee] kappa:", kappa, "pLiq:", pLiq, "varphi:", varphi);
+  let fee = prdMktLvgFee(kappa, pricePos, mu_i);
+  return fee;
+}
+
+export function pmOpenFee(varphi_0: number, m_0: number, mu_m: number, sigt: number, jump: number) {
+  // eq (4) leveraged prediction markets paper:
+  // varphiLiq = varphi + mu_m - m_0
+
+  const varphiLiq = varphi_0 + mu_m - m_0;
+  const kappa = calcKappa(varphi_0, varphiLiq, sigt);
+  //console.log("[pmOpenFee] kappa:", kappa, "varphiLiq:", varphiLiq, "m_0:", m_0);
+
+  let fee = prdMktLvgFee(kappa, varphi_0, m_0);
+  const es = calcJumpRisk(kappa, varphi_0, jump);
+
+  // cap ft = (1 - φt) φt - (1-φt) m0
+  const feecap = (1 - varphi_0) * varphi_0 - (1 - varphi_0) * m_0;
+
   fee = fee + es;
   if (fee > feecap) {
     fee = feecap;
@@ -714,38 +725,57 @@ function decodeUint16Float(num: bigint) {
 
 function decodeUint24Float(num: number | bigint) {
   const n = BigInt(num);
+  const ONE_64x64 = 2n ** 64n;
 
   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);
+  // v = val * ONE_64x64
+  let v = BigInt.asIntN(128, val * ONE_64x64);
 
+  // Normalize: find first non-zero digit position
   let exponent1 = firstNonZeroNum(val);
   if (exponent1 > 0n) exponent1--;
 
+  if (exponent1 > 0n) {
+    const pow10exp1 = 10n ** exponent1 * ONE_64x64;
+    v = (v * ONE_64x64) / pow10exp1;
+  }
+
+  // Apply exponent
   if (sgnE == 1n) {
-    v = (v * 2n ** 64n) / 10n ** exponent;
+    const pow10exp = 10n ** exponent * ONE_64x64;
+    v = (v * ONE_64x64) / pow10exp;
   } else {
-    v = (v * 10n ** exponent) / 2n ** 64n;
+    const pow10exp = 10n ** exponent * ONE_64x64;
+    v = (v * pow10exp) / ONE_64x64;
   }
+
   return ABK64x64ToFloat(v);
 }
 
 export function extractLvgFeeParams(conf: bigint) {
-  // static replication of _checkOracleStatus and _extractLvgFeeParams
-  //  int64(conf >> 16);
+  // _param == int64(odinvalue >> 16)
   const param = BigInt.asIntN(64, conf >> 16n);
-  // uint64(uint128(_param));
+  // uint64(uint128(_param))
   const enc = BigInt.asUintN(64, BigInt.asUintN(128, param));
   // uint64 j = enc >> 44; //top 4 bits
   const j = BigInt.asUintN(64, enc >> 44n);
-  // uint64 st = enc & ((uint64(1) << 44) - 1); // low 44 bits are sigt (padded 24-bit)
-  const st = BigInt.asUintN(64, enc & ((BigInt.asUintN(64, 1n) << 44n) - 1n));
+  // uint64 st = enc & ((uint64(1) << 44) - 1);
+  const st = BigInt.asUintN(64, enc & ((1n << 44n) - 1n));
+
   // jump = int128(int64(j)) * int128(922337203685477580); // times 0.05 in ABDK
-  const jump = ABK64x64ToFloat(BigInt.asIntN(128, BigInt.asIntN(64, j))) * 0.5;
-  const sigt = decodeUint24Float(BigInt.asUintN(24, st & ((1n << 24n) - 1n))); // uint24(st & ((1 << 24) - 1));
-  // console.log({ jump, sigt });
+  // 922337203685477580 = 0.05 * 2^64
+  const JUMP_MULTIPLIER = 922337203685477580n; // 0.05 in ABDK
+  const jumpABDK = BigInt.asIntN(128, BigInt.asIntN(64, j)) * JUMP_MULTIPLIER;
+  const jump = ABK64x64ToFloat(jumpABDK);
+
+  // sigT = _decodeUint24Float(uint24(st & ((1 << 24) - 1)));
+  const sigtEncoded = BigInt.asUintN(24, st & ((1n << 24n) - 1n));
+  const sigt = decodeUint24Float(Number(sigtEncoded));
+  //console.log("[extractLvgFeeParams] jump:", jump, "sigt:", sigt);
+
   return { jump, sigt };
 }
 
@@ -790,15 +820,16 @@ export function decodePriceImpact(amount: bigint, params: bigint) {
 
 //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 varphiBar = 1 - varphi;
+  const varphiBar_star = 1 - varphiLiq;
+
+  const x0 = Math.log(varphiBar / (1 - varphiBar));
+  const a = Math.log(varphiBar_star / (1 - varphiBar_star));
   // a - x0 = log( p*(1-p*) / (1-p)p* )
-  const cdfArg = Math.log((p * (1 - pStar)) / (pStar * (1 - p))) / sigt;
+  const cdfArg = Math.log((varphiBar * (1 - varphiBar_star)) / (varphiBar_star * (1 - varphiBar))) / sigt;
   // console.log({ p, pStar, x0, a, sigt, cdfarg: (a - x0) / sigt });
   if (isNaN(cdfArg)) {
-    return pStar * (1 - p) < p * (1 - pStar) ? 0 : 2;
+    return varphiBar_star * (1 - varphiBar) < varphiBar * (1 - varphiBar_star) ? 0 : 2;
   }
   const kappa = 2 * (1 - cdfNormalStd((a - x0) / sigt));
   return kappa;