@gainsnetwork/sdk 0.0.0-v10.rc1

package/lib/trade/liquidation.js

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+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getLiqPnlThresholdP = exports.getLiquidationPrice = void 0;
+const fees_1 = require("./fees");
+const spread_1 = require("./spread");
+const types_1 = require("../contracts/types");
+const getLiquidationPrice = (trade, fee, initialAccFees, context) => {
+    var _a, _b;
+    const closingFee = (0, fees_1.getClosingFee)(trade.collateralAmount, trade.leverage, trade.pairIndex, fee, context.collateralPriceUsd);
+    const borrowingFee = (0, fees_1.getBorrowingFee)(trade.collateralAmount * trade.leverage, trade.pairIndex, trade.long, initialAccFees, context);
+    const liqThresholdP = (0, exports.getLiqPnlThresholdP)(context.liquidationParams, trade.leverage);
+    let liqPriceDistance = (trade.openPrice *
+        (trade.collateralAmount * liqThresholdP - (borrowingFee + closingFee))) /
+        trade.collateralAmount /
+        trade.leverage;
+    if ((context === null || context === void 0 ? void 0 : context.contractsVersion) !== undefined &&
+        context.contractsVersion >= types_1.ContractsVersion.V9_2 &&
+        ((((_a = context === null || context === void 0 ? void 0 : context.liquidationParams) === null || _a === void 0 ? void 0 : _a.maxLiqSpreadP) !== undefined &&
+            context.liquidationParams.maxLiqSpreadP > 0) ||
+            (((_b = context === null || context === void 0 ? void 0 : context.userPriceImpact) === null || _b === void 0 ? void 0 : _b.fixedSpreadP) !== undefined &&
+                context.userPriceImpact.fixedSpreadP > 0))) {
+        const closingSpreadP = (0, spread_1.getSpreadP)(context.pairSpreadP, true, context.liquidationParams, context.userPriceImpact);
+        liqPriceDistance -= trade.openPrice * closingSpreadP;
+    }
+    return trade.long
+        ? Math.max(trade.openPrice - liqPriceDistance, 0)
+        : Math.max(trade.openPrice + liqPriceDistance, 0);
+};
+exports.getLiquidationPrice = getLiquidationPrice;
+const getLiqPnlThresholdP = (liquidationParams, leverage) => {
+    if (liquidationParams === undefined ||
+        leverage === undefined ||
+        liquidationParams.maxLiqSpreadP === 0 ||
+        liquidationParams.startLiqThresholdP === 0 ||
+        liquidationParams.endLiqThresholdP === 0 ||
+        liquidationParams.startLeverage === 0 ||
+        liquidationParams.endLeverage === 0) {
+        return 0.9;
+    }
+    if (leverage < liquidationParams.startLeverage) {
+        return liquidationParams.startLiqThresholdP;
+    }
+    if (leverage > liquidationParams.endLeverage) {
+        return liquidationParams.endLiqThresholdP;
+    }
+    if (liquidationParams.startLiqThresholdP === liquidationParams.endLiqThresholdP) {
+        return liquidationParams.endLiqThresholdP;
+    }
+    return (liquidationParams.startLiqThresholdP -
+        ((leverage - liquidationParams.startLeverage) *
+            (liquidationParams.startLiqThresholdP -
+                liquidationParams.endLiqThresholdP)) /
+            (liquidationParams.endLeverage - liquidationParams.startLeverage));
+};
+exports.getLiqPnlThresholdP = getLiqPnlThresholdP;

package/lib/trade/oiWindows.d.ts

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+import { OiWindows, OiWindowsSettings } from "../trade/types";
+export declare const getCurrentOiWindowId: (oiWindowSettings: OiWindowsSettings) => number;
+export declare const getActiveOi: (currentOiWindowId: number, windowsCount: number, oiWindows: OiWindows | undefined, buy: boolean) => number;

package/lib/trade/oiWindows.js

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+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getActiveOi = exports.getCurrentOiWindowId = void 0;
+const getCurrentOiWindowId = (oiWindowSettings) => {
+    return Math.floor((Math.floor(Date.now() / 1000) - oiWindowSettings.startTs) /
+        oiWindowSettings.windowsDuration);
+};
+exports.getCurrentOiWindowId = getCurrentOiWindowId;
+const getActiveOi = (currentOiWindowId, windowsCount, oiWindows, buy) => {
+    var _a, _b;
+    if (oiWindows === undefined || windowsCount === 0)
+        return 0;
+    let activeOi = 0;
+    for (let id = currentOiWindowId - (windowsCount - 1); id <= currentOiWindowId; id++) {
+        activeOi +=
+            (buy ? (_a = oiWindows === null || oiWindows === void 0 ? void 0 : oiWindows[id]) === null || _a === void 0 ? void 0 : _a.oiLongUsd : (_b = oiWindows === null || oiWindows === void 0 ? void 0 : oiWindows[id]) === null || _b === void 0 ? void 0 : _b.oiShortUsd) || 0;
+    }
+    return activeOi;
+};
+exports.getActiveOi = getActiveOi;

package/lib/trade/pnl.d.ts

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+import { GetBorrowingFeeContext } from "./fees";
+import { Fee, LiquidationParams, Trade, TradeInfo, TradeInitialAccFees } from "./types";
+import { ContractsVersion } from "../contracts/types";
+export type GetPnlContext = GetBorrowingFeeContext & {
+    fee: Fee | undefined;
+    collateralPriceUsd: number | undefined;
+    contractsVersion: ContractsVersion | undefined;
+    feeMultiplier: number | undefined;
+};
+export declare const getPnl: (price: number | undefined, trade: Trade, tradeInfo: TradeInfo, initialAccFees: TradeInitialAccFees, liquidationParams: LiquidationParams, useFees: boolean, context: GetPnlContext) => number[] | undefined;

package/lib/trade/pnl.js

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+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getPnl = void 0;
+const fees_1 = require("./fees");
+const liquidation_1 = require("./liquidation");
+const getPnl = (price, trade, tradeInfo, initialAccFees, liquidationParams, useFees, context) => {
+    if (!price) {
+        return;
+    }
+    const posCollat = trade.collateralAmount;
+    const { openPrice, leverage } = trade;
+    const { fee } = context;
+    let pnlCollat = trade.long
+        ? ((price - openPrice) / openPrice) * leverage * posCollat
+        : ((openPrice - price) / openPrice) * leverage * posCollat;
+    if (useFees) {
+        pnlCollat -= (0, fees_1.getBorrowingFee)(posCollat * trade.leverage, trade.pairIndex, trade.long, initialAccFees, context);
+    }
+    let pnlPercentage = (pnlCollat / posCollat) * 100;
+    // Can be liquidated
+    if (pnlPercentage <=
+        (0, liquidation_1.getLiqPnlThresholdP)(liquidationParams, leverage) * -100) {
+        pnlPercentage = -100;
+    }
+    else {
+        pnlCollat -= (0, fees_1.getClosingFee)(posCollat, trade.leverage, trade.pairIndex, fee, context.collateralPriceUsd, context.feeMultiplier);
+        pnlPercentage = (pnlCollat / posCollat) * 100;
+    }
+    pnlPercentage = pnlPercentage < -100 ? -100 : pnlPercentage;
+    pnlCollat = (posCollat * pnlPercentage) / 100;
+    return [pnlCollat, pnlPercentage];
+};
+exports.getPnl = getPnl;

package/lib/trade/spread.d.ts

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+import { LiquidationParams, OiWindows, OiWindowsSettings, PairDepth, PairFactor, UserPriceImpact } from "./types";
+import { ContractsVersion } from "../contracts/types";
+export type SpreadContext = {
+    isOpen?: boolean;
+    isPnlPositive?: boolean;
+    createdBlock?: number;
+    liquidationParams?: LiquidationParams | undefined;
+    currentBlock?: number | undefined;
+    contractsVersion?: ContractsVersion | undefined;
+    protectionCloseFactorWhitelist?: boolean;
+    userPriceImpact?: UserPriceImpact | undefined;
+} & Partial<PairFactor>;
+export declare const getProtectionCloseFactor: (spreadCtx: SpreadContext | undefined) => number;
+export declare const isProtectionCloseFactorActive: (spreadCtx: SpreadContext | undefined) => boolean | undefined;
+export declare const getCumulativeFactor: (spreadCtx: SpreadContext | undefined) => number;
+export declare const getLegacyFactor: (spreadCtx: SpreadContext | undefined) => number;
+export declare const getSpreadWithPriceImpactP: (pairSpreadP: number, buy: boolean, collateral: number, leverage: number, pairDepth: PairDepth | undefined, oiWindowsSettings?: OiWindowsSettings | undefined, oiWindows?: OiWindows | undefined, spreadCtx?: SpreadContext | undefined) => number;
+export declare const getSpreadP: (pairSpreadP: number | undefined, isLiquidation?: boolean | undefined, liquidationParams?: LiquidationParams | undefined, userPriceImpact?: UserPriceImpact | undefined) => number;

package/lib/trade/spread.js

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+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getSpreadP = exports.getSpreadWithPriceImpactP = exports.getLegacyFactor = exports.getCumulativeFactor = exports.isProtectionCloseFactorActive = exports.getProtectionCloseFactor = void 0;
+const oiWindows_1 = require("./oiWindows");
+const constants_1 = require("../constants");
+const types_1 = require("../contracts/types");
+const getProtectionCloseFactor = (spreadCtx) => {
+    var _a;
+    const protectionCloseFactor = spreadCtx === undefined ||
+        spreadCtx.contractsVersion === types_1.ContractsVersion.BEFORE_V9_2 ||
+        spreadCtx.isOpen === undefined ||
+        spreadCtx.isPnlPositive === undefined ||
+        spreadCtx.protectionCloseFactor === undefined ||
+        (0, exports.isProtectionCloseFactorActive)(spreadCtx) !== true
+        ? constants_1.DEFAULT_PROTECTION_CLOSE_FACTOR
+        : spreadCtx.protectionCloseFactor;
+    const protectionCloseFactorMultiplier = ((_a = spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.userPriceImpact) === null || _a === void 0 ? void 0 : _a.cumulVolPriceImpactMultiplier) !== undefined &&
+        spreadCtx.userPriceImpact.cumulVolPriceImpactMultiplier > 0
+        ? spreadCtx.userPriceImpact.cumulVolPriceImpactMultiplier
+        : 1;
+    return protectionCloseFactor * protectionCloseFactorMultiplier;
+};
+exports.getProtectionCloseFactor = getProtectionCloseFactor;
+const isProtectionCloseFactorActive = (spreadCtx) => {
+    if (spreadCtx === undefined ||
+        spreadCtx.currentBlock === undefined ||
+        spreadCtx.createdBlock === undefined ||
+        spreadCtx.protectionCloseFactorBlocks === undefined ||
+        spreadCtx.protectionCloseFactor === undefined) {
+        return undefined;
+    }
+    return (spreadCtx.isPnlPositive === true &&
+        spreadCtx.isOpen === false &&
+        spreadCtx.protectionCloseFactor > 0 &&
+        spreadCtx.currentBlock <=
+            spreadCtx.createdBlock + spreadCtx.protectionCloseFactorBlocks &&
+        spreadCtx.protectionCloseFactorWhitelist !== true);
+};
+exports.isProtectionCloseFactorActive = isProtectionCloseFactorActive;
+const getCumulativeFactor = (spreadCtx) => {
+    if (spreadCtx === undefined ||
+        spreadCtx.cumulativeFactor === undefined ||
+        spreadCtx.cumulativeFactor === 0) {
+        return constants_1.DEFAULT_CUMULATIVE_FACTOR;
+    }
+    return spreadCtx.cumulativeFactor;
+};
+exports.getCumulativeFactor = getCumulativeFactor;
+const getLegacyFactor = (spreadCtx) => {
+    return (spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.contractsVersion) === types_1.ContractsVersion.BEFORE_V9_2 ? 1 : 2;
+};
+exports.getLegacyFactor = getLegacyFactor;
+const getSpreadWithPriceImpactP = (pairSpreadP, buy, collateral, leverage, pairDepth, oiWindowsSettings, oiWindows, spreadCtx) => {
+    if (pairSpreadP === undefined) {
+        return 0;
+    }
+    if (
+    // No spread or price impact when closing pre-v9.2 trades
+    ((spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.isOpen) === false &&
+        (spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.contractsVersion) === types_1.ContractsVersion.BEFORE_V9_2) ||
+        // No spread or price impact for opens when `pair.exemptOnOpen` is true
+        ((spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.isOpen) === true && (spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.exemptOnOpen) === true) ||
+        // No spread or price impact for closes after `protectionCloseFactor` has expired
+        // when `pair.exemptAfterProtectionCloseFactor` is true
+        ((spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.isOpen) === false &&
+            (spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.exemptAfterProtectionCloseFactor) === true &&
+            (0, exports.isProtectionCloseFactorActive)(spreadCtx) !== true)) {
+        return 0;
+    }
+    const onePercentDepth = buy
+        ? // if `long`
+            (spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.isOpen) !== false // assumes it's an open unless it's explicitly false
+                ? pairDepth === null || pairDepth === void 0 ? void 0 : pairDepth.onePercentDepthAboveUsd
+                : pairDepth === null || pairDepth === void 0 ? void 0 : pairDepth.onePercentDepthBelowUsd
+        : // if `short`
+            (spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.isOpen) !== false
+                ? pairDepth === null || pairDepth === void 0 ? void 0 : pairDepth.onePercentDepthBelowUsd
+                : pairDepth === null || pairDepth === void 0 ? void 0 : pairDepth.onePercentDepthAboveUsd;
+    let activeOi = undefined;
+    if (oiWindowsSettings !== undefined) {
+        activeOi = (0, oiWindows_1.getActiveOi)((0, oiWindows_1.getCurrentOiWindowId)(oiWindowsSettings), oiWindowsSettings.windowsCount, oiWindows, (spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.isOpen) !== false ? buy : !buy);
+    }
+    if (!onePercentDepth || activeOi === undefined || collateral === undefined) {
+        return pairSpreadP / 2;
+    }
+    return ((0, exports.getSpreadP)(pairSpreadP, undefined, undefined, spreadCtx === null || spreadCtx === void 0 ? void 0 : spreadCtx.userPriceImpact) +
+        ((activeOi * (0, exports.getCumulativeFactor)(spreadCtx) + (collateral * leverage) / 2) /
+            onePercentDepth /
+            100 /
+            (0, exports.getLegacyFactor)(spreadCtx)) *
+            (0, exports.getProtectionCloseFactor)(spreadCtx));
+};
+exports.getSpreadWithPriceImpactP = getSpreadWithPriceImpactP;
+const getSpreadP = (pairSpreadP, isLiquidation, liquidationParams, userPriceImpact) => {
+    var _a;
+    const fixedSpreadP = (_a = userPriceImpact === null || userPriceImpact === void 0 ? void 0 : userPriceImpact.fixedSpreadP) !== null && _a !== void 0 ? _a : 0;
+    if (pairSpreadP === undefined || (pairSpreadP === 0 && fixedSpreadP === 0)) {
+        return 0;
+    }
+    const spreadP = pairSpreadP / 2 + fixedSpreadP;
+    return isLiquidation === true &&
+        liquidationParams !== undefined &&
+        liquidationParams.maxLiqSpreadP > 0 &&
+        spreadP > liquidationParams.maxLiqSpreadP
+        ? liquidationParams.maxLiqSpreadP
+        : spreadP;
+};
+exports.getSpreadP = getSpreadP;