@gainsnetwork/sdk 0.2.20-rc2 → 0.2.21

package/lib/contracts/types/index.d.ts

@@ -16,4 +16,8 @@ export declare enum CollateralTypes {
     ARB = "ARB",
     USDC = "USDC"
 }
+export declare enum ContractsVersion {
+    BEFORE_V9_2 = 0,
+    V9_2 = 1
+}
 export type ContractAddressList = Record<string, Partial<Record<CollateralTypes | "global", Partial<ContractAddresses>>>>;

package/lib/contracts/types/index.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.CollateralTypes = void 0;
+exports.ContractsVersion = exports.CollateralTypes = void 0;
 var CollateralTypes;
 (function (CollateralTypes) {
     CollateralTypes["DAI"] = "DAI";
@@ -8,3 +8,8 @@ var CollateralTypes;
     CollateralTypes["ARB"] = "ARB";
     CollateralTypes["USDC"] = "USDC";
 })(CollateralTypes = exports.CollateralTypes || (exports.CollateralTypes = {}));
+var ContractsVersion;
+(function (ContractsVersion) {
+    ContractsVersion[ContractsVersion["BEFORE_V9_2"] = 0] = "BEFORE_V9_2";
+    ContractsVersion[ContractsVersion["V9_2"] = 1] = "V9_2";
+})(ContractsVersion = exports.ContractsVersion || (exports.ContractsVersion = {}));

package/lib/contracts/utils/openTrades.js

@@ -14,7 +14,7 @@ const ethcall_1 = require("ethcall");
 const fetchOpenPairTrades = (contracts, overrides = {}) => __awaiter(void 0, void 0, void 0, function* () {
     const rawTrades = yield (0, exports.fetchOpenPairTradesRaw)(contracts, overrides);
     const collateralPrecisions = (yield contracts.gnsMultiCollatDiamond.getCollaterals()).map(({ precision }) => precision);
-    return rawTrades.map(rawTrade => _prepareTradeContainer(rawTrade.trade, rawTrade.tradeInfo, rawTrade.initialAccFees, collateralPrecisions[parseInt(rawTrade.trade.collateralIndex.toString()) - 1]));
+    return rawTrades.map(rawTrade => _prepareTradeContainer(rawTrade.trade, rawTrade.tradeInfo, rawTrade.liquidationParams, rawTrade.initialAccFees, collateralPrecisions[parseInt(rawTrade.trade.collateralIndex.toString()) - 1]));
 });
 exports.fetchOpenPairTrades = fetchOpenPairTrades;
 // @todo rename
@@ -40,6 +40,7 @@ const fetchOpenPairTradesRaw = (contracts, overrides = {}) => __awaiter(void 0,
         while (running) {
             const trades = yield multiCollatDiamondContract.getAllTrades(offset, offset + batchSize);
             const tradeInfos = yield multiCollatDiamondContract.getAllTradeInfos(offset, offset + batchSize);
+            const tradeLiquidationParams = yield multiCollatDiamondContract.getAllTradesLiquidationParams(offset, offset + batchSize);
             // Array is always of length `batchSize`
             // so we need to filter out the empty trades, indexes are reliable
             const openTrades = trades
@@ -48,6 +49,7 @@ const fetchOpenPairTradesRaw = (contracts, overrides = {}) => __awaiter(void 0,
                 .map((trade, ix) => ({
                 trade,
                 tradeInfo: tradeInfos[ix],
+                liquidationParams: tradeLiquidationParams[ix],
                 initialAccFees: {
                     accPairFee: 0,
                     accGroupFee: 0,
@@ -83,7 +85,7 @@ const fetchOpenPairTradesRaw = (contracts, overrides = {}) => __awaiter(void 0,
     }
 });
 exports.fetchOpenPairTradesRaw = fetchOpenPairTradesRaw;
-const _prepareTradeContainer = (trade, tradeInfo, tradeInitialAccFees, collateralPrecision) => ({
+const _prepareTradeContainer = (trade, tradeInfo, tradeLiquidationParams, tradeInitialAccFees, collateralPrecision) => ({
     trade: {
         user: trade.user,
         index: parseInt(trade.index.toString()),
@@ -106,6 +108,15 @@ const _prepareTradeContainer = (trade, tradeInfo, tradeInitialAccFees, collatera
         maxSlippageP: parseFloat(tradeInfo.maxSlippageP.toString()) / 1e3,
         lastOiUpdateTs: parseFloat(tradeInfo.lastOiUpdateTs),
         collateralPriceUsd: parseFloat(tradeInfo.collateralPriceUsd.toString()) / 1e8,
+        contractsVersion: parseInt(tradeInfo.contractsVersion.toString()),
+        lastPosIncreaseBlock: parseInt(tradeInfo.lastPosIncreaseBlock.toString()),
+    },
+    liquidationParams: {
+        maxLiqSpreadP: parseFloat(tradeLiquidationParams.maxLiqSpreadP.toString()) / 1e12,
+        startLiqThresholdP: parseFloat(tradeLiquidationParams.startLiqThresholdP.toString()) / 1e12,
+        endLiqThresholdP: parseFloat(tradeLiquidationParams.endLiqThresholdP.toString()) / 1e12,
+        startLeverage: parseFloat(tradeLiquidationParams.startLeverage.toString()) / 1e3,
+        endLeverage: parseFloat(tradeLiquidationParams.endLeverage.toString()) / 1e3,
     },
     initialAccFees: {
         accPairFee: parseFloat(tradeInitialAccFees.accPairFee.toString()) / 1e10,

package/lib/trade/fees/borrowing/index.d.ts

@@ -4,7 +4,6 @@ export type GetBorrowingFeeContext = {
     currentBlock: number;
     groups: BorrowingFee.Group[];
     pairs: BorrowingFee.Pair[];
-    openInterest: OpenInterest;
 };
 export declare const getBorrowingFee: (posDai: number, pairIndex: PairIndex, long: boolean, initialAccFees: BorrowingFee.InitialAccFees, context: GetBorrowingFeeContext) => number;
 export declare const withinMaxGroupOi: (pairIndex: PairIndex, long: boolean, positionSizeCollateral: number, context: {

package/lib/trade/fees/borrowing/index.js

@@ -28,10 +28,7 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.BorrowingFee = exports.borrowingFeeUtils = exports.withinMaxGroupOi = exports.getBorrowingFee = void 0;
 const getBorrowingFee = (posDai, pairIndex, long, initialAccFees, context) => {
-    if (!context.groups ||
-        !context.pairs ||
-        !context.openInterest ||
-        !context.pairs[pairIndex]) {
+    if (!context.groups || !context.pairs || !context.pairs[pairIndex]) {
         return 0;
     }
     const { pairs } = context;
@@ -39,9 +36,13 @@ const getBorrowingFee = (posDai, pairIndex, long, initialAccFees, context) => {
     const firstPairGroup = (pairGroups === null || pairGroups === void 0 ? void 0 : pairGroups.length) > 0 ? pairGroups[0] : undefined;
     let fee = 0;
     if (!firstPairGroup || firstPairGroup.block > initialAccFees.block) {
+        const openInterest = pairs[pairIndex].oi;
         fee =
             (!firstPairGroup
-                ? getPairPendingAccFee(pairIndex, context.currentBlock, long, context)
+                ? getPairPendingAccFee(pairIndex, context.currentBlock, long, {
+                    pairs,
+                    openInterest,
+                })
                 : long
                     ? firstPairGroup.pairAccFeeLong
                     : firstPairGroup.pairAccFeeShort) - initialAccFees.accPairFee;
@@ -96,13 +97,14 @@ const getPairGroupAccFeesDeltas = (i, pairGroups, initialFees, pairIndex, long,
     const beforeTradeOpen = group.block < initialFees.block;
     let deltaGroup, deltaPair;
     if (i == pairGroups.length - 1) {
-        const { currentBlock, groups, pairs, openInterest } = context;
+        const { currentBlock, groups, pairs } = context;
+        const openInterest = pairs[pairIndex].oi;
         deltaGroup = getGroupPendingAccFee(group.groupIndex, currentBlock, long, {
             groups,
         });
         deltaPair = getPairPendingAccFee(pairIndex, currentBlock, long, {
             pairs,
-            openInterest: openInterest,
+            openInterest,
         });
     }
     else {

package/lib/trade/liquidation.d.ts

@@ -1,6 +1,11 @@
 import { GetBorrowingFeeContext, BorrowingFee } from "./fees";
-import { Fee, Trade } from "./types";
+import { Fee, LiquidationParams, Trade } from "./types";
+import { ContractsVersion } from "../contracts/types";
 export type GetLiquidationPriceContext = GetBorrowingFeeContext & {
+    liquidationParams: LiquidationParams | undefined;
+    pairSpreadP: number | undefined;
     collateralPriceUsd: number | undefined;
+    contractsVersion: ContractsVersion | undefined;
 };
 export declare const getLiquidationPrice: (trade: Trade, fee: Fee, initialAccFees: BorrowingFee.InitialAccFees, context: GetLiquidationPriceContext) => number;
+export declare const getLiqPnlThresholdP: (liquidationParams: LiquidationParams | undefined, leverage: number | undefined) => number;

package/lib/trade/liquidation.js

@@ -1,16 +1,50 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getLiquidationPrice = void 0;
+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;
     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 liqPriceDistance = (trade.openPrice *
-        (trade.collateralAmount * 0.9 - (borrowingFee + closingFee))) /
+    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) {
+        const closingSpreadP = (0, spread_1.getSpreadP)(context.pairSpreadP, true, context.liquidationParams);
+        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;
+    }
+    return (liquidationParams.startLiqThresholdP -
+        ((leverage - liquidationParams.startLeverage) *
+            (liquidationParams.startLiqThresholdP -
+                liquidationParams.endLiqThresholdP)) /
+            (liquidationParams.endLeverage - liquidationParams.startLeverage));
+};
+exports.getLiqPnlThresholdP = getLiqPnlThresholdP;

package/lib/trade/pnl.d.ts

@@ -1,9 +1,11 @@
 import { GetBorrowingFeeContext } from "./fees";
-import { Fee, Trade, TradeInfo, TradeInitialAccFees } from "./types";
+import { Fee, LiquidationParams, Trade, TradeInfo, TradeInitialAccFees } from "./types";
+import { ContractsVersion } from "../contracts/types";
 export type GetPnlContext = GetBorrowingFeeContext & {
     fee: Fee | undefined;
     maxGainP: number | undefined;
     collateralPriceUsd: number | undefined;
+    contractsVersion: ContractsVersion | undefined;
     feeMultiplier: number | undefined;
 };
-export declare const getPnl: (price: number | undefined, trade: Trade, tradeInfo: TradeInfo, initialAccFees: TradeInitialAccFees, useFees: boolean, context: GetPnlContext) => 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

@@ -2,7 +2,8 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.getPnl = void 0;
 const fees_1 = require("./fees");
-const getPnl = (price, trade, tradeInfo, initialAccFees, useFees, context) => {
+const liquidation_1 = require("./liquidation");
+const getPnl = (price, trade, tradeInfo, initialAccFees, liquidationParams, useFees, context) => {
     if (!price) {
         return;
     }
@@ -19,7 +20,8 @@ const getPnl = (price, trade, tradeInfo, initialAccFees, useFees, context) => {
     }
     let pnlPercentage = (pnlCollat / posCollat) * 100;
     // Can be liquidated
-    if (pnlPercentage <= -90) {
+    if (pnlPercentage <=
+        (0, liquidation_1.getLiqPnlThresholdP)(liquidationParams, leverage) * -100) {
         pnlPercentage = -100;
     }
     else {

package/lib/trade/spread.d.ts

@@ -1,2 +1,18 @@
-import { OiWindows, OiWindowsSettings, PairDepth } from "./types";
-export declare const getSpreadWithPriceImpactP: (pairSpreadP: number, buy: boolean, collateral: number, leverage: number, pairDepth: PairDepth | undefined, oiWindowsSettings?: OiWindowsSettings | undefined, oiWindows?: OiWindows | undefined) => number;
+import { LiquidationParams, OiWindows, OiWindowsSettings, PairDepth } from "./types";
+import { ContractsVersion } from "../contracts/types";
+export type SpreadContext = {
+    isOpen?: boolean;
+    isPnlPositive?: boolean;
+    protectionCloseFactor?: number;
+    protectionCloseFactorBlocks?: number;
+    cumulativeFactor?: number;
+    createdBlock?: number;
+    liquidationParams?: LiquidationParams | undefined;
+    currentBlock?: number | undefined;
+    contractsVersion?: ContractsVersion | undefined;
+};
+export declare const getProtectionCloseFactor: (spreadCtx: SpreadContext | undefined) => number;
+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) => number;

package/lib/trade/spread.js

@@ -1,22 +1,83 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getSpreadWithPriceImpactP = void 0;
+exports.getSpreadP = exports.getSpreadWithPriceImpactP = exports.getLegacyFactor = exports.getCumulativeFactor = exports.getProtectionCloseFactor = void 0;
 const oiWindows_1 = require("./oiWindows");
-const getSpreadWithPriceImpactP = (pairSpreadP, buy, collateral, leverage, pairDepth, oiWindowsSettings, oiWindows) => {
+const constants_1 = require("../constants");
+const types_1 = require("../contracts/types");
+const getProtectionCloseFactor = (spreadCtx) => {
+    if (spreadCtx === undefined ||
+        spreadCtx.contractsVersion === types_1.ContractsVersion.BEFORE_V9_2 ||
+        spreadCtx.isOpen === undefined ||
+        spreadCtx.isPnlPositive === undefined ||
+        spreadCtx.protectionCloseFactor === undefined ||
+        spreadCtx.protectionCloseFactorBlocks === undefined ||
+        spreadCtx.createdBlock === undefined ||
+        spreadCtx.currentBlock === undefined)
+        return constants_1.DEFAULT_PROTECTION_CLOSE_FACTOR;
+    if (spreadCtx.isPnlPositive &&
+        !spreadCtx.isOpen &&
+        spreadCtx.protectionCloseFactor > 0 &&
+        spreadCtx.currentBlock <=
+            spreadCtx.createdBlock + spreadCtx.protectionCloseFactorBlocks) {
+        return spreadCtx.protectionCloseFactor;
+    }
+    return constants_1.DEFAULT_PROTECTION_CLOSE_FACTOR;
+};
+exports.getProtectionCloseFactor = getProtectionCloseFactor;
+const getCumulativeFactor = (spreadCtx) => {
+    if (spreadCtx === undefined || spreadCtx.cumulativeFactor === undefined) {
+        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;
     }
+    // No spread or price impact when closing pre-v9.2 trades
+    if ((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) {
+        return 0;
+    }
     const onePercentDepth = buy
-        ? pairDepth === null || pairDepth === void 0 ? void 0 : pairDepth.onePercentDepthAboveUsd
-        : pairDepth === null || pairDepth === void 0 ? void 0 : pairDepth.onePercentDepthBelowUsd;
+        ? // 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 && (oiWindowsSettings === null || oiWindowsSettings === void 0 ? void 0 : oiWindowsSettings.windowsCount) > 0) {
-        activeOi = (0, oiWindows_1.getActiveOi)((0, oiWindows_1.getCurrentOiWindowId)(oiWindowsSettings), oiWindowsSettings.windowsCount, oiWindows, buy);
+        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;
+        return pairSpreadP / 2;
     }
-    return (pairSpreadP +
-        (activeOi + (collateral * leverage) / 2) / onePercentDepth / 100);
+    return ((0, exports.getSpreadP)(pairSpreadP) +
+        ((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) => {
+    if (pairSpreadP === undefined || pairSpreadP === 0) {
+        return 0;
+    }
+    const spreadP = pairSpreadP / 2;
+    return isLiquidation === true &&
+        liquidationParams !== undefined &&
+        liquidationParams.maxLiqSpreadP > 0 &&
+        spreadP > liquidationParams.maxLiqSpreadP
+        ? liquidationParams.maxLiqSpreadP
+        : spreadP;
+};
+exports.getSpreadP = getSpreadP;

package/lib/trade/types.d.ts

@@ -1,4 +1,4 @@
-import { ITradingStorage, IBorrowingFees } from "../contracts/types/generated/GNSMultiCollatDiamond";
+import { ITradingStorage, IBorrowingFees, IPairsStorage } from "../contracts/types/generated/GNSMultiCollatDiamond";
 import { BorrowingFee } from "./fees/borrowing";
 import { FeeTier, TraderInfo } from "./fees/tiers/types";
 export type PairIndexes = {
@@ -7,6 +7,7 @@ export type PairIndexes = {
 export type TradeContainer = {
     trade: Trade;
     tradeInfo: TradeInfo;
+    liquidationParams: LiquidationParams;
     initialAccFees: TradeInitialAccFees;
     receivedAt?: number;
 };
@@ -31,6 +32,15 @@ export type TradeInfo = {
     maxSlippageP: number;
     lastOiUpdateTs: number;
     collateralPriceUsd: number;
+    contractsVersion: number;
+    lastPosIncreaseBlock: number;
+};
+export type LiquidationParams = {
+    maxLiqSpreadP: number;
+    startLiqThresholdP: number;
+    endLiqThresholdP: number;
+    startLeverage: number;
+    endLeverage: number;
 };
 export type TradingGroup = {
     maxLeverage: number;
@@ -122,6 +132,7 @@ export declare enum PositionType {
 export type TradeContainerRaw = {
     trade: ITradingStorage.TradeStruct;
     tradeInfo: ITradingStorage.TradeInfoStruct;
+    liquidationParams: IPairsStorage.GroupLiquidationParamsStruct;
     initialAccFees: IBorrowingFees.BorrowingInitialAccFeesStruct;
 };
 export type OiWindowsSettings = {
@@ -156,6 +167,11 @@ export type TraderFeeTiers = {
     lastDayUpdatedPoints: number;
     expiredPoints: number[];
 };
+export type PairFactor = {
+    cumulativeFactor: number;
+    protectionCloseFactor: number;
+    protectionCloseFactorBlocks: number;
+};
 export declare enum PendingOrderType {
     MARKET_OPEN = 0,
     MARKET_CLOSE = 1,

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@gainsnetwork/sdk",
-  "version": "0.2.20-rc2",
+  "version": "0.2.21",
   "description": "Gains Network SDK",
   "main": "./lib/index.js",
   "files": [