@gainsnetwork/sdk 1.3.0-rc7 → 1.4.2-rc1

package/lib/trade/priceImpact/cumulVol/converter.js

@@ -4,8 +4,7 @@
  * @dev All BigNumber values are normalized to floats with appropriate precision
  */
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.convertPairDepthBandsFromSlots = exports.convertPairDepthBandsDecoded = exports.validateDepthBandsMapping = exports.validateDepthBands = exports.convertDepthBandsMapping = exports.convertPairDepthBands = exports.convertDepthBands = exports.convertOiWindowsSettingsArray = exports.convertOiWindows = exports.convertOiWindow = exports.convertOiWindowsSettings = void 0;
-const depthBands_1 = require("../../../pricing/depthBands");
+exports.convertOiWindowsSettingsArray = exports.convertOiWindows = exports.convertOiWindow = exports.convertOiWindowsSettings = void 0;
 /**
  * @dev Converts contract OI windows settings to SDK format
  * @param contractData Contract OiWindowsSettings struct
@@ -58,98 +57,3 @@ const convertOiWindowsSettingsArray = (contractDataArray) => {
     return contractDataArray.map(exports.convertOiWindowsSettings);
 };
 exports.convertOiWindowsSettingsArray = convertOiWindowsSettingsArray;
-/**
- * @dev Converts decoded depth bands from contract to SDK format
- * @param totalDepthUsd Total depth in USD (already decoded from contract)
- * @param bandsBps Array of 30 band percentages in basis points from contract
- * @returns Normalized depth bands with bands in 0-1 range
- */
-const convertDepthBands = (totalDepthUsd, bandsBps) => {
-    // Convert bands from basis points to 0-1 range
-    const bands = bandsBps.map(bps => bps / 10000);
-    return {
-        totalDepthUsd,
-        bands,
-    };
-};
-exports.convertDepthBands = convertDepthBands;
-/**
- * @dev Converts decoded pair depth bands from contract to SDK format
- * @param aboveDepth Decoded above depth bands from getPairDepthBandsDecoded
- * @param belowDepth Decoded below depth bands from getPairDepthBandsDecoded
- * @returns Normalized pair depth bands with above/below
- */
-const convertPairDepthBands = (aboveDepth, belowDepth) => {
-    // Convert above bands if configured
-    const above = aboveDepth && aboveDepth.totalDepthUsd > 0
-        ? (0, exports.convertDepthBands)(aboveDepth.totalDepthUsd, aboveDepth.bands)
-        : undefined;
-    // Convert below bands if configured
-    const below = belowDepth && belowDepth.totalDepthUsd > 0
-        ? (0, exports.convertDepthBands)(belowDepth.totalDepthUsd, belowDepth.bands)
-        : undefined;
-    return {
-        above,
-        below,
-    };
-};
-exports.convertPairDepthBands = convertPairDepthBands;
-/**
- * @dev Converts decoded depth bands mapping from contract to SDK format
- * @param bandsBps Array of 30 band offset values in basis points from getDepthBandsMappingDecoded
- * @returns Normalized depth bands mapping with offset values in 0-1 range
- */
-const convertDepthBandsMapping = (bandsBps) => {
-    // Convert bands from basis points to 0-1 range
-    const bands = bandsBps.map(bps => bps / 10000);
-    return {
-        bands,
-    };
-};
-exports.convertDepthBandsMapping = convertDepthBandsMapping;
-/**
- * @dev Validates depth bands have correct number of bands
- * @param depthBands Depth bands to validate
- * @returns True if valid (30 bands)
- */
-const validateDepthBands = (depthBands) => {
-    return depthBands.bands.length === 30;
-};
-exports.validateDepthBands = validateDepthBands;
-/**
- * @dev Validates depth bands mapping has correct number of bands
- * @param mapping Depth bands mapping to validate
- * @returns True if valid (30 bands)
- */
-const validateDepthBandsMapping = (mapping) => {
-    return mapping.bands.length === 30;
-};
-exports.validateDepthBandsMapping = validateDepthBandsMapping;
-/**
- * @dev Alternative converter for decoded pair depth bands from contract
- * @param contractData Decoded pair depth bands from getPairDepthBandsDecoded
- * @returns Normalized pair depth bands
- */
-const convertPairDepthBandsDecoded = (contractData) => {
-    return (0, exports.convertPairDepthBands)(contractData.above, contractData.below);
-};
-exports.convertPairDepthBandsDecoded = convertPairDepthBandsDecoded;
-/**
- * @dev Alternative converter for raw slot-based pair depth bands (if needed for legacy)
- * @param aboveSlot1 First slot for above bands
- * @param aboveSlot2 Second slot for above bands
- * @param belowSlot1 First slot for below bands
- * @param belowSlot2 Second slot for below bands
- * @returns Normalized pair depth bands
- */
-const convertPairDepthBandsFromSlots = (aboveSlot1, aboveSlot2, belowSlot1, belowSlot2) => {
-    // Use the decoding functions from pricing module if raw slots are provided
-    const above = aboveSlot1 !== BigInt(0) || aboveSlot2 !== BigInt(0)
-        ? (0, depthBands_1.decodeDepthBands)(aboveSlot1, aboveSlot2)
-        : undefined;
-    const below = belowSlot1 !== BigInt(0) || belowSlot2 !== BigInt(0)
-        ? (0, depthBands_1.decodeDepthBands)(belowSlot1, belowSlot2)
-        : undefined;
-    return (0, exports.convertPairDepthBands)(above, below);
-};
-exports.convertPairDepthBandsFromSlots = convertPairDepthBandsFromSlots;

package/lib/trade/priceImpact/cumulVol/index.d.ts

@@ -2,8 +2,7 @@
  * @dev Cumulative volume price impact calculations
  * @dev Mirrors contract's getTradeCumulVolPriceImpactP functionality
  */
-import { PairDepthBands, DepthBandsMapping } from "./types";
-import { LiquidationParams, OiWindows, OiWindowsSettings, PairFactor, UserPriceImpact } from "../../types";
+import { LiquidationParams, OiWindows, OiWindowsSettings, PairDepth, PairFactor, UserPriceImpact } from "../../types";
 import { ContractsVersion } from "../../../contracts/types";
 export type CumulVolContext = {
     isOpen?: boolean;
@@ -13,10 +12,9 @@ export type CumulVolContext = {
     currentBlock?: number | undefined;
     contractsVersion?: ContractsVersion | undefined;
     protectionCloseFactorWhitelist?: boolean;
+    pairDepth?: PairDepth | undefined;
     oiWindowsSettings?: OiWindowsSettings | undefined;
     oiWindows?: OiWindows | undefined;
-    pairDepthBands?: PairDepthBands | undefined;
-    depthBandsMapping?: DepthBandsMapping | undefined;
     userPriceImpact?: UserPriceImpact | undefined;
     collateralPriceUsd?: number;
 } & Partial<PairFactor>;
@@ -57,7 +55,7 @@ export declare const getLegacyFactor: (context: CumulVolContext | undefined) =>
  * @param context Additional context with depths, OI data, and factors
  * @returns Cumulative volume price impact percentage (not including spread)
  */
-export declare const getTradeCumulVolPriceImpactP: (_trader: string, _pairIndex: number, long: boolean, tradeOpenInterestUsd: number, isPnlPositive: boolean, open: boolean, lastPosIncreaseBlock: number, context: CumulVolContext) => number;
+export declare const getTradeCumulVolPriceImpactP: (trader: string, pairIndex: number, long: boolean, tradeOpenInterestUsd: number, isPnlPositive: boolean, open: boolean, lastPosIncreaseBlock: number, context: CumulVolContext) => number;
 /**
  * @dev Gets the fixed spread percentage with direction
  * @dev Mirrors contract's getFixedSpreadP function
@@ -85,12 +83,13 @@ export declare const getSpreadP: (pairSpreadP: number | undefined, isLiquidation
  * @param buy True for long, false for short
  * @param collateral Collateral amount
  * @param leverage Position leverage
+ * @param pairDepth 1% depth values for the pair
  * @param oiWindowsSettings OI windows configuration
  * @param oiWindows Current OI windows data
  * @param context Additional context for the calculation
  * @returns Total spread + cumulative volume price impact percentage
  */
-export declare const getSpreadWithCumulVolPriceImpactP: (pairSpreadP: number, buy: boolean, collateral: number, leverage: number, context: CumulVolContext) => number;
+export declare const getSpreadWithCumulVolPriceImpactP: (pairSpreadP: number, buy: boolean, collateral: number, leverage: number, pairDepth: PairDepth | undefined, oiWindowsSettings?: OiWindowsSettings | undefined, oiWindows?: OiWindows | undefined, context?: CumulVolContext | undefined) => number;
 /**
  * @dev Convenience function for calculating cumulative volume price impact
  * @dev Uses collateral and leverage instead of USD position size
@@ -104,6 +103,6 @@ export declare const getSpreadWithCumulVolPriceImpactP: (pairSpreadP: number, bu
 export declare const getCumulVolPriceImpact: (buy: boolean, collateral: number, leverage: number, open: boolean, context: CumulVolContext & {
     collateralPriceUsd: number;
 }) => number;
-export declare const getSpreadWithPriceImpactP: (pairSpreadP: number, buy: boolean, collateral: number, leverage: number, context: CumulVolContext) => number;
+export declare const getSpreadWithPriceImpactP: (pairSpreadP: number, buy: boolean, collateral: number, leverage: number, pairDepth: PairDepth | undefined, oiWindowsSettings?: OiWindowsSettings | undefined, oiWindows?: OiWindows | undefined, context?: CumulVolContext | undefined) => number;
 export { convertOiWindowsSettings, convertOiWindow, convertOiWindows, convertOiWindowsSettingsArray, } from "./converter";
 export { buildCumulVolContext } from "./builder";

package/lib/trade/priceImpact/cumulVol/index.js

@@ -73,108 +73,6 @@ const getLegacyFactor = (context) => {
     return context?.contractsVersion === types_1.ContractsVersion.BEFORE_V9_2 ? 1 : 2;
 };
 exports.getLegacyFactor = getLegacyFactor;
-/**
- * @dev Mirrors contract's _calculateDepthBandsPriceImpact function
- * @param tradeSizeUsd Trade size in USD (always positive here)
- * @param depthBandParams Depth band parameters
- * @returns Price impact percentage
- */
-const _calculateDepthBandsPriceImpact = (tradeSizeUsd, depthBandParams) => {
-    console.log("tradeSizeUsd", tradeSizeUsd);
-    console.log("depthBandParams", depthBandParams);
-    const totalDepthUsd = depthBandParams.depthBands.totalDepthUsd;
-    if (totalDepthUsd === 0 || tradeSizeUsd === 0)
-        return 0;
-    let remainingSizeUsd = tradeSizeUsd;
-    let totalWeightedPriceImpactP = 0;
-    let prevBandDepthUsd = 0;
-    let topOfPrevBandOffsetPpm = 0;
-    for (let i = 0; i < 30 && remainingSizeUsd !== 0; i++) {
-        const bandLiquidityPercentageBps = depthBandParams.depthBands.bands[i]; // Already in 0-1 format
-        const topOfBandOffsetPpm = depthBandParams.depthBandsMapping.bands[i]; // Already in 0-1 format
-        const bandDepthUsd = bandLiquidityPercentageBps * totalDepthUsd;
-        console.log("bandDepthUsd", bandDepthUsd);
-        // Skip if band has same depth as previous (would cause division by zero)
-        if (bandDepthUsd <= prevBandDepthUsd) {
-            console.log("Skipping band");
-            prevBandDepthUsd = bandDepthUsd;
-            topOfPrevBandOffsetPpm = topOfBandOffsetPpm;
-            continue;
-        }
-        // Since bandDepthUsd represents liquidity from mid price to top of band, we need to subtract previous band depth
-        const bandAvailableDepthUsd = bandDepthUsd - prevBandDepthUsd;
-        console.log("bandAvailableDepthUsd", bandAvailableDepthUsd);
-        let depthConsumedUsd;
-        // At 100% band always consume all remaining size, even if more than band available depth
-        if (bandLiquidityPercentageBps === 1 ||
-            remainingSizeUsd <= bandAvailableDepthUsd) {
-            depthConsumedUsd = remainingSizeUsd;
-            remainingSizeUsd = 0;
-            console.log("Consumed all remaining size");
-        }
-        else {
-            // Normal case: consume entire band and continue to next
-            depthConsumedUsd = bandAvailableDepthUsd;
-            remainingSizeUsd -= bandAvailableDepthUsd;
-            console.log("Consumed entire band");
-        }
-        // Calculate impact contribution from this band using trapezoidal rule
-        // Low = previous band's price offset, High = current band's price offset
-        const lowOffsetP = topOfPrevBandOffsetPpm;
-        const offsetRangeP = topOfBandOffsetPpm - topOfPrevBandOffsetPpm;
-        console.log("lowOffsetP", lowOffsetP);
-        console.log("offsetRangeP", offsetRangeP);
-        console.log("depthConsumedUsd", depthConsumedUsd);
-        console.log("bandAvailableDepthUsd", bandAvailableDepthUsd);
-        // Calculate average impact using trapezoidal rule: low + (range * fraction / 2)
-        const avgImpactP = lowOffsetP +
-            (offsetRangeP * depthConsumedUsd) / bandAvailableDepthUsd / 2;
-        console.log("avgImpactP", avgImpactP);
-        totalWeightedPriceImpactP += avgImpactP * depthConsumedUsd;
-        console.log("totalWeightedPriceImpactP", totalWeightedPriceImpactP);
-        // Update previous values for next iteration
-        topOfPrevBandOffsetPpm = topOfBandOffsetPpm;
-        prevBandDepthUsd = bandDepthUsd;
-    }
-    console.log("totalWeightedPriceImpactP", totalWeightedPriceImpactP);
-    console.log("tradeSizeUsd", tradeSizeUsd);
-    return totalWeightedPriceImpactP / tradeSizeUsd;
-};
-/**
- * @dev Mirrors contract's _getDepthBandsPriceImpactP function
- * @param cumulativeVolumeUsd Cumulative volume in USD (can be negative)
- * @param tradeSizeUsd Trade size in USD (can be negative)
- * @param depthBandParams Depth band parameters (contains both pair bands and global mapping)
- * @param priceImpactFactor Price impact factor (protection close factor)
- * @param cumulativeFactor Cumulative factor for volume impact
- * @returns Price impact percentage (can be negative)
- */
-const _getDepthBandsPriceImpactP = (cumulativeVolumeUsd, tradeSizeUsd, depthBandParams, priceImpactFactor, cumulativeFactor) => {
-    // Check for opposite signs
-    if ((cumulativeVolumeUsd > 0 && tradeSizeUsd < 0) ||
-        (cumulativeVolumeUsd < 0 && tradeSizeUsd > 0)) {
-        throw new Error("Wrong params: cumulative volume and trade size have opposite signs");
-    }
-    const effectiveCumulativeVolumeUsd = cumulativeVolumeUsd * cumulativeFactor;
-    const totalSizeLookupUsd = effectiveCumulativeVolumeUsd + tradeSizeUsd;
-    const isNegative = totalSizeLookupUsd < 0;
-    const effectiveCumulativeVolumeUsdUint = isNegative
-        ? -effectiveCumulativeVolumeUsd
-        : effectiveCumulativeVolumeUsd;
-    const totalSizeLookupUsdUint = isNegative
-        ? -totalSizeLookupUsd
-        : totalSizeLookupUsd;
-    console.log("effectiveCumulativeVolumeUsdUint", effectiveCumulativeVolumeUsdUint);
-    console.log("totalSizeLookupUsdUint", totalSizeLookupUsdUint);
-    const cumulativeVolPriceImpactP = _calculateDepthBandsPriceImpact(effectiveCumulativeVolumeUsdUint, depthBandParams);
-    const totalSizePriceImpactP = _calculateDepthBandsPriceImpact(totalSizeLookupUsdUint, depthBandParams);
-    console.log("cumulativeVolPriceImpactP", cumulativeVolPriceImpactP);
-    console.log("totalSizePriceImpactP", totalSizePriceImpactP);
-    const unscaledPriceImpactP = cumulativeVolPriceImpactP +
-        (totalSizePriceImpactP - cumulativeVolPriceImpactP) / 2;
-    const scaledPriceImpactP = unscaledPriceImpactP * priceImpactFactor;
-    return isNegative ? -scaledPriceImpactP : scaledPriceImpactP;
-};
 /**
  * @dev Calculates cumulative volume price impact percentage
  * @dev Mirrors contract's getTradeCumulVolPriceImpactP function
@@ -188,9 +86,7 @@ const _getDepthBandsPriceImpactP = (cumulativeVolumeUsd, tradeSizeUsd, depthBand
  * @param context Additional context with depths, OI data, and factors
  * @returns Cumulative volume price impact percentage (not including spread)
  */
-const getTradeCumulVolPriceImpactP = (_trader, // Unused - kept for compatibility
-_pairIndex, // Unused - kept for compatibility
-long, tradeOpenInterestUsd, isPnlPositive, open, lastPosIncreaseBlock, context) => {
+const getTradeCumulVolPriceImpactP = (trader, pairIndex, long, tradeOpenInterestUsd, isPnlPositive, open, lastPosIncreaseBlock, context) => {
     // Update context with passed parameters
     const updatedContext = {
         ...context,
@@ -208,43 +104,34 @@ long, tradeOpenInterestUsd, isPnlPositive, open, lastPosIncreaseBlock, context)
         (!open &&
             context?.exemptAfterProtectionCloseFactor === true &&
             (0, exports.isProtectionCloseFactorActive)(updatedContext) !== true)) {
-        console.log("No price impact, protection close factor");
         return 0;
     }
+    // Calculate trade skew direction (matches Solidity logic)
     const tradePositiveSkew = (long && open) || (!long && !open);
     const tradeSkewMultiplier = tradePositiveSkew ? 1 : -1;
-    console.log("bands", context.pairDepthBands);
-    console.log("mapping", context.depthBandsMapping);
-    if (!context.pairDepthBands || !context.depthBandsMapping) {
-        console.log("No price impact, bands");
-        return 0;
+    // Select depth based on trade direction
+    // For positive skew (long open or short close), use depth above
+    // For negative skew (short open or long close), use depth below
+    const onePercentDepth = tradePositiveSkew
+        ? context.pairDepth?.onePercentDepthAboveUsd
+        : context.pairDepth?.onePercentDepthBelowUsd;
+    let activeOi = undefined;
+    if (context.oiWindowsSettings !== undefined) {
+        activeOi = (0, oiWindows_1.getActiveOi)((0, oiWindows_1.getCurrentOiWindowId)(context.oiWindowsSettings), context.oiWindowsSettings.windowsCount, context.oiWindows, open ? long : !long);
     }
-    // Select depth bands based on trade direction
-    const depthBands = tradePositiveSkew
-        ? context.pairDepthBands.above
-        : context.pairDepthBands.below;
-    // Return 0 if no depth bands configured (matching contract lines 588-590)
-    if (!depthBands || depthBands.totalDepthUsd === 0) {
-        console.log("No price impact, depth bands");
+    if (!onePercentDepth || activeOi === undefined) {
         return 0;
     }
-    // Get active OI for cumulative volume calculation
-    let activeOi = 0;
-    if (context.oiWindowsSettings !== undefined) {
-        activeOi =
-            (0, oiWindows_1.getActiveOi)((0, oiWindows_1.getCurrentOiWindowId)(context.oiWindowsSettings), context.oiWindowsSettings.windowsCount, context.oiWindows, open ? long : !long) || 0;
-    }
-    console.log("activeOi", activeOi);
+    // Apply trade skew multiplier to match Solidity's signed calculation
     const signedActiveOi = activeOi * tradeSkewMultiplier;
     const signedTradeOi = tradeOpenInterestUsd * tradeSkewMultiplier;
-    console.log("signedActiveOi", signedActiveOi);
-    console.log("signedTradeOi", signedTradeOi);
-    // Calculate price impact using depth bands
-    const priceImpactP = _getDepthBandsPriceImpactP(signedActiveOi, signedTradeOi, {
-        depthBands: depthBands,
-        depthBandsMapping: context.depthBandsMapping,
-    }, (0, exports.getProtectionCloseFactor)(updatedContext), (0, exports.getCumulativeFactor)(updatedContext));
-    return priceImpactP;
+    // Calculate impact with proper signs (matching Solidity's _getTradePriceImpactP)
+    const finalPriceImpactP = ((signedActiveOi * (0, exports.getCumulativeFactor)(updatedContext) +
+        signedTradeOi / 2) /
+        onePercentDepth /
+        (0, exports.getLegacyFactor)(updatedContext)) *
+        (0, exports.getProtectionCloseFactor)(updatedContext);
+    return finalPriceImpactP;
 };
 exports.getTradeCumulVolPriceImpactP = getTradeCumulVolPriceImpactP;
 /**
@@ -295,12 +182,13 @@ exports.getSpreadP = getSpreadP;
  * @param buy True for long, false for short
  * @param collateral Collateral amount
  * @param leverage Position leverage
+ * @param pairDepth 1% depth values for the pair
  * @param oiWindowsSettings OI windows configuration
  * @param oiWindows Current OI windows data
  * @param context Additional context for the calculation
  * @returns Total spread + cumulative volume price impact percentage
  */
-const getSpreadWithCumulVolPriceImpactP = (pairSpreadP, buy, collateral, leverage, context) => {
+const getSpreadWithCumulVolPriceImpactP = (pairSpreadP, buy, collateral, leverage, pairDepth, oiWindowsSettings, oiWindows, context) => {
     if (pairSpreadP === undefined) {
         return 0;
     }
@@ -309,7 +197,16 @@ const getSpreadWithCumulVolPriceImpactP = (pairSpreadP, buy, collateral, leverag
     const positionSizeUsd = collateral * leverage * (context?.collateralPriceUsd || 1);
     const cumulVolImpact = (0, exports.getTradeCumulVolPriceImpactP)("", // trader - not used in calculation
     0, // pairIndex - not used in calculation
-    buy, positionSizeUsd, context?.isPnlPositive || false, context?.isOpen !== false, context?.createdBlock || 0, context);
+    buy, positionSizeUsd, context?.isPnlPositive || false, context?.isOpen !== false, context?.createdBlock || 0, {
+        ...context,
+        pairDepth,
+        oiWindowsSettings,
+        oiWindows,
+    });
+    // If no depth or OI data, return just half spread
+    if (cumulVolImpact === 0 && (!pairDepth || !oiWindowsSettings)) {
+        return pairSpreadP / 2;
+    }
     return baseSpread + cumulVolImpact;
 };
 exports.getSpreadWithCumulVolPriceImpactP = getSpreadWithCumulVolPriceImpactP;

package/lib/trade/priceImpact/open/index.js

@@ -23,17 +23,14 @@ const getTradeOpeningPriceImpact = (input, context) => {
     // Calculate fixed spread
     const spreadP = (0, cumulVol_1.getFixedSpreadP)(input.pairSpreadP, input.long, true // opening
     );
-    console.log("spreadP", spreadP);
     // Calculate position size in USD
     const positionSizeUsd = positionSizeCollateral * context.collateralPriceUsd;
-    console.log("positionSizeUsd", positionSizeUsd);
     // Calculate cumulative volume price impact
     const cumulVolPriceImpactP = (0, cumulVol_1.getTradeCumulVolPriceImpactP)("", // trader - not needed for calculation
     input.pairIndex, input.long, positionSizeUsd, false, // isPnlPositive - not relevant for opening
     true, // open
     0, // lastPosIncreaseBlock - not relevant for opening
     context.cumulVolContext);
-    console.log("cumulVolPriceImpactP", cumulVolPriceImpactP);
     // Calculate price after spread and cumulative volume impact (before skew)
     const priceAfterSpreadAndCumulVolPriceImpact = (0, __1.getPriceAfterImpact)(input.openPrice, spreadP + cumulVolPriceImpactP);
     // Calculate position size in tokens using the price after fixed spread and cumul vol impact

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@gainsnetwork/sdk",
-  "version": "1.3.0-rc7",
+  "version": "1.4.2-rc1",
   "description": "Gains Network SDK",
   "main": "./lib/index.js",
   "files": [