@exponent-labs/exponent-sdk 0.1.6 → 0.1.8

package/src/orderbook/events.ts

@@ -0,0 +1,13 @@
+import { IdlTypes } from "@coral-xyz/anchor"
+
+import { ExponentOrderbook, IDL, PROGRAM_ID } from "@exponent-labs/exponent-orderbook-idl"
+
+import { EventDecoderV2 } from "../EventDecoderV2"
+import { createAnchorProgram } from "../utils"
+
+export const ORDERBOOK_PROGRAM_ID = PROGRAM_ID
+const ORDERBOOK_PROGRAM = createAnchorProgram(IDL as ExponentOrderbook)
+export const ORDERBOOK_EVENT_DECODER = new EventDecoderV2(ORDERBOOK_PROGRAM)
+
+export type OrderbookEventNames = ExponentOrderbook["events"][number]["name"]
+export type OrderbookEvent<Name extends OrderbookEventNames> = IdlTypes<ExponentOrderbook>[Name]

package/src/orderbook/index.ts

@@ -0,0 +1,12 @@
+export { Orderbook } from "./orderbook"
+export { OfferTradeDirection, QuoteDirection, OfferTypeAnchor, OfferOptionsAnchor, OrderbookLoadOptions } from "./types"
+export {
+  getOfferType,
+  getOfferTypeFromTradeDirection,
+  convertOfferTypeToAnchorType,
+  convertOfferTypeFromAnchorType,
+  getOfferDirectionFromQuoteDirection,
+  isQuoteInputTokenBase,
+  isQuoteOutputTokenBase,
+} from "./utils"
+export * as orderbookEvents from "./events"

package/src/orderbook/math.ts

@@ -0,0 +1,122 @@
+import { tradeFee } from "@exponent-labs/market-math"
+
+import { Offer, OfferType } from "./types"
+
+const SECONDS_IN_DAY = 24 * 60 * 60
+export const PRICE_BASE_POINTS = 1e6
+export const MAX_FILLED_OFFERS = 120 // maximum number of filled offers in a single post_offer or market_offer transaction, to prevent CU overflow
+
+/**
+ * How much token offer can get (offer buys)
+ */
+export function getOfferAmountToGet(offer: Offer, syExchangeRate: number, secUntilMaturity: number): number {
+  if (offer.isVirtual) {
+    const offerAmountToGet = getOfferAmountToGetVirtual(offer, syExchangeRate, secUntilMaturity)
+    return Math.floor(offerAmountToGet)
+  } else {
+    const offerAmountToGet = getOfferAmountToGetNoVirtual(offer, syExchangeRate, secUntilMaturity)
+    return Math.floor(offerAmountToGet)
+  }
+}
+
+/**
+ * How much YT/SY offer can give (offer sells)
+ */
+export function getOfferSize(offer: Offer, secUntilMaturity: number, syExchangeRate: number): number {
+  const { isVirtual, priceApy, amount, type } = offer
+
+  if (!isVirtual) return amount
+
+  if (type === OfferType.BuyYT) {
+    return getOfferAmountToGetNoVirtual({ ...offer, type: OfferType.SellYT }, syExchangeRate, secUntilMaturity)
+  } else {
+    const ptToSyRate = getPtToSyRate(priceApy, syExchangeRate, secUntilMaturity)
+    const ytToSell = offer.amount / ptToSyRate
+    return ytToSell
+  }
+}
+
+export function calcPriceInAssetsByAPYPt(priceApy: number, secUntilMaturity: number): number {
+  const factor = -secUntilMaturity / (SECONDS_IN_DAY * 365)
+  const ptPriceInAsset = Math.exp(priceApy * factor)
+
+  return ptPriceInAsset
+}
+
+export function getPtToSyRate(priceApy: number, syExchangeRate: number, secUntilMaturity: number): number {
+  const ptPriceAsset = calcPriceInAssetsByAPYPt(priceApy, secUntilMaturity)
+  return ptPriceAsset / syExchangeRate
+}
+
+export function getYtToSyRate(priceApy: number, syExchangeRate: number, secUntilMaturity: number): number {
+  const ptPriceAsset = calcPriceInAssetsByAPYPt(priceApy, secUntilMaturity)
+
+  const rate = (1 - ptPriceAsset) / syExchangeRate
+  return rate
+}
+
+export function getOfferAmountToGetNoVirtual(offer: Offer, syExchangeRate: number, secUntilMaturity: number): number {
+  const ytToSyRate = getYtToSyRate(offer.priceApy, syExchangeRate, secUntilMaturity)
+  const amountToGet = offer.type === OfferType.SellYT ? offer.amount * ytToSyRate : offer.amount / ytToSyRate
+  return Math.floor(amountToGet)
+}
+
+export function getOfferAmountToGetVirtual(offer: Offer, syExchangeRate: number, secUntilMaturity: number): number {
+  const ptToSyRate = getPtToSyRate(offer.priceApy, syExchangeRate, secUntilMaturity)
+  if (offer.type === OfferType.SellYT) {
+    return offer.amount / ptToSyRate / syExchangeRate - offer.amount
+  } else {
+    return offer.amount
+  }
+}
+
+/**
+ * Rounds priceApy(float) to priceDecimals precision. Returns integer
+ */
+export function roundPriceApy(priceApy: number, priceDecimals: number) {
+  const factor = 10 ** priceDecimals
+  const roundedPrice = Math.round(priceApy * factor) / factor
+
+  return Math.round(roundedPrice * PRICE_BASE_POINTS)
+}
+
+export function calcRemainingAmountOnCounterOfferFilling(
+  offerToGet: number,
+  takenAmount: number,
+  isQuoteVirtualOffer: boolean,
+  quoteOfferType: OfferType,
+  syExchangeRate: number,
+) {
+  if (!isQuoteVirtualOffer) return offerToGet
+
+  if (quoteOfferType === OfferType.BuyYT) {
+    return takenAmount
+  } else {
+    return offerToGet / syExchangeRate - takenAmount
+  }
+}
+
+export function calcOutAmountOnCounterOfferFilling(
+  offerToGet: number,
+  takenAmount: number,
+  isQuoteVirtualOffer: boolean,
+  quoteOfferType: OfferType,
+  syExchangeRate: number,
+  makerFeeRate: number,
+) {
+  let feeBase = !isQuoteVirtualOffer
+    ? takenAmount
+    : quoteOfferType === OfferType.BuyYT
+      ? takenAmount / syExchangeRate - offerToGet
+      : offerToGet
+  let fees = tradeFee(feeBase, makerFeeRate)
+  return {
+    tradeFee: fees,
+    outAmount: feeBase - fees,
+  }
+}
+
+export function getTradeFeesForTakerOffer(offer: Offer, syExchangeRate: number, secUntilMaturity: number, takerFeeRate: number) {
+  let amountToGet = getOfferAmountToGet(offer,syExchangeRate, secUntilMaturity)
+  return tradeFee(amountToGet, takerFeeRate)
+}