@orderly.network/perp 1.0.0

package/dist/index.d.ts

@@ -0,0 +1,425 @@
+import { API, OrderSide } from '@orderly.network/types';
+import { Decimal } from '@orderly.network/utils';
+
+/**
+ * 单个仓位价值
+ * @param qty 数量
+ * @param mark_price 价格
+ */
+declare function notional(qty: number, mark_price: number): number;
+/**
+ * 所有仓位价值
+ * @param positions
+ * @returns
+ *
+ * @link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Notional
+ */
+declare function totalNotional(positions: API.Position[]): number;
+type UnrealPnLInputs = {
+    markPrice: number;
+    openPrice: number;
+    qty: number;
+};
+/**
+ * 单个仓位未实现盈亏
+ * @param qty 数量
+ * @param price 价格
+ */
+declare function unrealizedPnL(inputs: UnrealPnLInputs): number;
+type UnrealPnLROIInputs = {
+    positionQty: number;
+    openPrice: number;
+    IMR: number;
+    unrealizedPnL: number;
+};
+declare function unrealizedPnLROI(inputs: UnrealPnLROIInputs): number;
+/**
+ * 所有仓位未实现盈亏
+ * @param inputs
+ */
+declare function totalUnrealizedPnL(positions: API.Position[]): number;
+type LiqPriceInputs = {
+    markPrice: number;
+    totalCollateral: number;
+    positionQty: number;
+    MMR: number;
+};
+/**
+ * 单个仓位强平价格
+ *
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Position-Liq.-Price}
+ */
+declare function liqPrice(inputs: LiqPriceInputs): number;
+type MMInputs = {
+    positionQty: number;
+    markPrice: number;
+    MMR: number;
+};
+declare function maintenanceMargin(inputs: MMInputs): number;
+type UnsettlementPnLInputs = {
+    positionQty: number;
+    markPrice: number;
+    costPosition: number;
+    sumUnitaryFunding: number;
+    lastSumUnitaryFunding: number;
+};
+/**
+ * 计算每个仓位未结算 PnL
+ * @link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Unsettlement-PNL-%5BinlineExtension%5D
+ */
+declare function unsettlementPnL(inputs: UnsettlementPnLInputs): number;
+type TotalUnsettlementPnLInputs = {
+    positions: (API.Position & {
+        sum_unitary_funding: number;
+    })[];
+    sumUnitaryFunding: number;
+};
+/**
+ * 计算所有仓位未结算 PnL
+ * @param inputs
+ * @returns
+ * @link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Unsettlement-PNL-%5BinlineExtension%5D
+ */
+declare function totalUnsettlementPnL(positions: (API.Position & {
+    sum_unitary_funding: number;
+})[]): number;
+/**
+ * 计算仓位强平价格
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Position-Liq.-Price}
+ */
+declare function MMR(inputs: {
+    baseMMR: number;
+    baseIMR: number;
+    IMRFactor: number;
+    positionNotional: number;
+    IMR_factor_power: number;
+}): number;
+
+type positions_LiqPriceInputs = LiqPriceInputs;
+type positions_MMInputs = MMInputs;
+declare const positions_MMR: typeof MMR;
+type positions_TotalUnsettlementPnLInputs = TotalUnsettlementPnLInputs;
+type positions_UnrealPnLInputs = UnrealPnLInputs;
+type positions_UnrealPnLROIInputs = UnrealPnLROIInputs;
+type positions_UnsettlementPnLInputs = UnsettlementPnLInputs;
+declare const positions_liqPrice: typeof liqPrice;
+declare const positions_maintenanceMargin: typeof maintenanceMargin;
+declare const positions_notional: typeof notional;
+declare const positions_totalNotional: typeof totalNotional;
+declare const positions_totalUnrealizedPnL: typeof totalUnrealizedPnL;
+declare const positions_totalUnsettlementPnL: typeof totalUnsettlementPnL;
+declare const positions_unrealizedPnL: typeof unrealizedPnL;
+declare const positions_unrealizedPnLROI: typeof unrealizedPnLROI;
+declare const positions_unsettlementPnL: typeof unsettlementPnL;
+declare namespace positions {
+  export {
+    positions_LiqPriceInputs as LiqPriceInputs,
+    positions_MMInputs as MMInputs,
+    positions_MMR as MMR,
+    positions_TotalUnsettlementPnLInputs as TotalUnsettlementPnLInputs,
+    positions_UnrealPnLInputs as UnrealPnLInputs,
+    positions_UnrealPnLROIInputs as UnrealPnLROIInputs,
+    positions_UnsettlementPnLInputs as UnsettlementPnLInputs,
+    positions_liqPrice as liqPrice,
+    positions_maintenanceMargin as maintenanceMargin,
+    positions_notional as notional,
+    positions_totalNotional as totalNotional,
+    positions_totalUnrealizedPnL as totalUnrealizedPnL,
+    positions_totalUnsettlementPnL as totalUnsettlementPnL,
+    positions_unrealizedPnL as unrealizedPnL,
+    positions_unrealizedPnLROI as unrealizedPnLROI,
+    positions_unsettlementPnL as unsettlementPnL,
+  };
+}
+
+type ResultOptions = {
+    dp: number;
+};
+type TotalValueInputs = {
+    totalUnsettlementPnL: number;
+    USDCHolding: number;
+    nonUSDCHolding: {
+        holding: number;
+        markPrice: number;
+        discount: number;
+    }[];
+};
+/**
+ * 用戶總資產價值 (USDC計價)，包含無法作為保證金的資產
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Value}
+ */
+declare function totalValue(inputs: TotalValueInputs): Decimal;
+/**
+ * 用戶帳戶當前可用保證金的價值總和 (USDC計價)
+ *
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Free-collateral}
+ */
+type FreeCollateralInputs = {
+    totalCollateral: Decimal;
+    totalInitialMarginWithOrders: number;
+};
+/**
+ * 计算可用保证金
+ */
+declare function freeCollateral(inputs: FreeCollateralInputs): Decimal;
+type TotalCollateralValueInputs = {
+    USDCHolding: number;
+    nonUSDCHolding: {
+        holding: number;
+        markPrice: number;
+        discount: number;
+    }[];
+    unsettlementPnL: number;
+};
+/**
+ * 计算总保证金
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-collateral-%5BinlineExtension%5D}
+ */
+declare function totalCollateral(inputs: TotalCollateralValueInputs): Decimal;
+declare function initialMarginWithOrder(): void;
+type PositionNotionalWithOrderInputs = {
+    markPrice: number;
+    positionQtyWithOrders: number;
+};
+/**
+ * 單一 Symbol position / orders notional 加總
+ */
+declare function positionNotionalWithOrder_by_symbol(inputs: PositionNotionalWithOrderInputs): Decimal;
+type PositionQtyWithOrderInputs = {
+    positionQty: number;
+    buyOrdersQty: number;
+    sellOrdersQty: number;
+};
+/**
+ *  單一 Symbol position / orders qty 加總
+ */
+declare function positionQtyWithOrders_by_symbol(inputs: PositionQtyWithOrderInputs): number;
+type IMRInputs = {
+    maxLeverage: number;
+    baseIMR: number;
+    IMR_Factor: number;
+    positionNotional: number;
+    ordersNotional: number;
+    IMR_factor_power?: number;
+};
+/**
+ * 單一 Symbol 初始保證金率
+ * Max(1 / Max Account Leverage, Base IMR i, IMR Factor i * Abs(Position Notional i + Order Notional i)^(4/5))
+ */
+declare function IMR(inputs: IMRInputs): number;
+declare function buyOrdersFilter_by_symbol(orders: API.Order[], symbol: string): API.Order[];
+declare function sellOrdersFilter_by_symbol(orders: API.Order[], symbol: string): API.Order[];
+/**
+ * 从仓位列表中获取指定symbol的仓位数量
+ */
+declare function getQtyFromPositions(positions: API.Position[], symbol: string): number;
+/**
+ * 从订单列表中获取指定symbol的看多，看空订单数量，
+ */
+declare function getQtyFromOrdersBySide(orders: API.Order[], symbol: string, side: OrderSide): number;
+declare function getPositonsAndOrdersNotionalBySymbol(inputs: {
+    positions: API.Position[];
+    orders: API.Order[];
+    symbol: string;
+    markPrice: number;
+}): number;
+type TotalInitialMarginWithOrdersInputs = {
+    positions: API.Position[];
+    orders: API.Order[];
+    markPrices: {
+        [key: string]: number;
+    };
+    symbolInfo: any;
+    IMR_Factors: {
+        [key: string]: number;
+    };
+} & Pick<IMRInputs, "maxLeverage">;
+/**
+ * 计算用戶已使用初始保證金加總 ( 包含 position / orders )
+ */
+declare function totalInitialMarginWithOrders(inputs: TotalInitialMarginWithOrdersInputs): number;
+/**
+ * 把订单按照symbol分组, 因为一个symbol可以有多个挂单
+ */
+declare function groupOrdersBySymbol(orders: API.Order[]): {
+    [key: string]: API.Order[];
+};
+/**
+ * Extracts all unique symbols from positions and orders.
+ * @param positions - An array of position objects.
+ * @param orders - An array of order objects.
+ * @returns An array of unique symbols.
+ */
+declare function extractSymbols(positions: Pick<API.Position, "symbol">[], orders: Pick<API.Order, "symbol">[]): string[];
+type OtherIMsInputs = {
+    positions: API.Position[];
+    orders: API.Order[];
+    markPrices: {
+        [key: string]: number;
+    };
+    maxLeverage: number;
+    symbolInfo: any;
+    IMR_Factors: {
+        [key: string]: number;
+    };
+};
+/**
+ * 除当前symbol外的其他symbol已占用的总保证金
+ */
+declare function otherIMs(inputs: OtherIMsInputs): number;
+type MaxQtyInputs = {
+    symbol: string;
+    baseMaxQty: number;
+    /**
+     * 用户保证金总额（USDC 计价）, 可以由 totalCollateral 计算得出
+     * @see totalCollateral
+     */
+    totalCollateral: number;
+    maxLeverage: number;
+    baseIMR: number;
+    /**
+     * @see otherIMs
+     */
+    otherIMs: number;
+    markPrice: number;
+    positionQty: number;
+    buyOrdersQty: number;
+    sellOrdersQty: number;
+    IMR_Factor: number;
+    takerFeeRate: number;
+};
+/**
+ * 最大可下单数量
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Max-Order-QTY}
+ */
+declare function maxQty(side: OrderSide, inputs: MaxQtyInputs, options?: ResultOptions): number;
+declare function maxQtyByLong(inputs: Omit<MaxQtyInputs, "side">): number;
+declare function maxQtyByShort(inputs: Omit<MaxQtyInputs, "side">): number;
+type TotalMarginRatioInputs = {
+    totalCollateral: number;
+    markPrices: {
+        [key: string]: number;
+    };
+    positions: API.Position[];
+};
+/**
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Margin-Ratio}
+ */
+declare function totalMarginRatio(inputs: TotalMarginRatioInputs, dp?: number): number;
+type TotalUnrealizedROIInputs = {
+    totalUnrealizedPnL: number;
+    totalValue: number;
+};
+/**
+ * totalUnrealizedROI
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Unrealized-ROI}
+ */
+declare function totalUnrealizedROI(inputs: TotalUnrealizedROIInputs): number;
+/**
+ * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Current-account-leverage}
+ */
+declare function currentLeverage(totalMarginRatio: number): number;
+type AvailableBalanceInputs = {
+    USDCHolding: number;
+    unsettlementPnL: number;
+};
+declare function availableBalance(inputs: AvailableBalanceInputs): number;
+
+type account_AvailableBalanceInputs = AvailableBalanceInputs;
+type account_FreeCollateralInputs = FreeCollateralInputs;
+declare const account_IMR: typeof IMR;
+type account_IMRInputs = IMRInputs;
+type account_MaxQtyInputs = MaxQtyInputs;
+type account_OtherIMsInputs = OtherIMsInputs;
+type account_PositionNotionalWithOrderInputs = PositionNotionalWithOrderInputs;
+type account_PositionQtyWithOrderInputs = PositionQtyWithOrderInputs;
+type account_ResultOptions = ResultOptions;
+type account_TotalCollateralValueInputs = TotalCollateralValueInputs;
+type account_TotalInitialMarginWithOrdersInputs = TotalInitialMarginWithOrdersInputs;
+type account_TotalMarginRatioInputs = TotalMarginRatioInputs;
+type account_TotalUnrealizedROIInputs = TotalUnrealizedROIInputs;
+type account_TotalValueInputs = TotalValueInputs;
+declare const account_availableBalance: typeof availableBalance;
+declare const account_buyOrdersFilter_by_symbol: typeof buyOrdersFilter_by_symbol;
+declare const account_currentLeverage: typeof currentLeverage;
+declare const account_extractSymbols: typeof extractSymbols;
+declare const account_freeCollateral: typeof freeCollateral;
+declare const account_getPositonsAndOrdersNotionalBySymbol: typeof getPositonsAndOrdersNotionalBySymbol;
+declare const account_getQtyFromOrdersBySide: typeof getQtyFromOrdersBySide;
+declare const account_getQtyFromPositions: typeof getQtyFromPositions;
+declare const account_groupOrdersBySymbol: typeof groupOrdersBySymbol;
+declare const account_initialMarginWithOrder: typeof initialMarginWithOrder;
+declare const account_maxQty: typeof maxQty;
+declare const account_maxQtyByLong: typeof maxQtyByLong;
+declare const account_maxQtyByShort: typeof maxQtyByShort;
+declare const account_otherIMs: typeof otherIMs;
+declare const account_positionNotionalWithOrder_by_symbol: typeof positionNotionalWithOrder_by_symbol;
+declare const account_positionQtyWithOrders_by_symbol: typeof positionQtyWithOrders_by_symbol;
+declare const account_sellOrdersFilter_by_symbol: typeof sellOrdersFilter_by_symbol;
+declare const account_totalCollateral: typeof totalCollateral;
+declare const account_totalInitialMarginWithOrders: typeof totalInitialMarginWithOrders;
+declare const account_totalMarginRatio: typeof totalMarginRatio;
+declare const account_totalUnrealizedROI: typeof totalUnrealizedROI;
+declare const account_totalValue: typeof totalValue;
+declare namespace account {
+  export {
+    account_AvailableBalanceInputs as AvailableBalanceInputs,
+    account_FreeCollateralInputs as FreeCollateralInputs,
+    account_IMR as IMR,
+    account_IMRInputs as IMRInputs,
+    account_MaxQtyInputs as MaxQtyInputs,
+    account_OtherIMsInputs as OtherIMsInputs,
+    account_PositionNotionalWithOrderInputs as PositionNotionalWithOrderInputs,
+    account_PositionQtyWithOrderInputs as PositionQtyWithOrderInputs,
+    account_ResultOptions as ResultOptions,
+    account_TotalCollateralValueInputs as TotalCollateralValueInputs,
+    account_TotalInitialMarginWithOrdersInputs as TotalInitialMarginWithOrdersInputs,
+    account_TotalMarginRatioInputs as TotalMarginRatioInputs,
+    account_TotalUnrealizedROIInputs as TotalUnrealizedROIInputs,
+    account_TotalValueInputs as TotalValueInputs,
+    account_availableBalance as availableBalance,
+    account_buyOrdersFilter_by_symbol as buyOrdersFilter_by_symbol,
+    account_currentLeverage as currentLeverage,
+    account_extractSymbols as extractSymbols,
+    account_freeCollateral as freeCollateral,
+    account_getPositonsAndOrdersNotionalBySymbol as getPositonsAndOrdersNotionalBySymbol,
+    account_getQtyFromOrdersBySide as getQtyFromOrdersBySide,
+    account_getQtyFromPositions as getQtyFromPositions,
+    account_groupOrdersBySymbol as groupOrdersBySymbol,
+    account_initialMarginWithOrder as initialMarginWithOrder,
+    account_maxQty as maxQty,
+    account_maxQtyByLong as maxQtyByLong,
+    account_maxQtyByShort as maxQtyByShort,
+    account_otherIMs as otherIMs,
+    account_positionNotionalWithOrder_by_symbol as positionNotionalWithOrder_by_symbol,
+    account_positionQtyWithOrders_by_symbol as positionQtyWithOrders_by_symbol,
+    account_sellOrdersFilter_by_symbol as sellOrdersFilter_by_symbol,
+    account_totalCollateral as totalCollateral,
+    account_totalInitialMarginWithOrders as totalInitialMarginWithOrders,
+    account_totalMarginRatio as totalMarginRatio,
+    account_totalUnrealizedROI as totalUnrealizedROI,
+    account_totalValue as totalValue,
+  };
+}
+
+/**
+ * 下单时的最高价格
+ * @see https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Max-price
+ */
+declare function maxPrice(markprice: number, range: number): number;
+/**
+ * 下单时的最低价格
+ * @see https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Min-price
+ */
+declare function minPrice(markprice: number, range: number): number;
+
+declare const order_maxPrice: typeof maxPrice;
+declare const order_minPrice: typeof minPrice;
+declare namespace order {
+  export {
+    order_maxPrice as maxPrice,
+    order_minPrice as minPrice,
+  };
+}
+
+export { account, order, order as orderUtils, positions };