@orderly.network/perp 1.0.0

package/dist/index.mjs

@@ -0,0 +1,450 @@
+var __defProp = Object.defineProperty;
+var __export = (target, all) => {
+  for (var name in all)
+    __defProp(target, name, { get: all[name], enumerable: true });
+};
+
+// src/positions.ts
+var positions_exports = {};
+__export(positions_exports, {
+  MMR: () => MMR,
+  liqPrice: () => liqPrice,
+  maintenanceMargin: () => maintenanceMargin,
+  notional: () => notional,
+  totalNotional: () => totalNotional,
+  totalUnrealizedPnL: () => totalUnrealizedPnL,
+  totalUnsettlementPnL: () => totalUnsettlementPnL,
+  unrealizedPnL: () => unrealizedPnL,
+  unrealizedPnLROI: () => unrealizedPnLROI,
+  unsettlementPnL: () => unsettlementPnL
+});
+import { Decimal } from "@orderly.network/utils";
+
+// src/constants.ts
+var IMRFactorPower = 4 / 5;
+
+// src/positions.ts
+function notional(qty, mark_price) {
+  return new Decimal(qty).mul(mark_price).abs().toNumber();
+}
+function totalNotional(positions) {
+  return positions.reduce((acc, cur) => {
+    return acc + notional(cur.position_qty, cur.mark_price);
+  }, 0);
+}
+function unrealizedPnL(inputs) {
+  return new Decimal(inputs.qty).mul(inputs.markPrice - inputs.openPrice).toNumber();
+}
+function unrealizedPnLROI(inputs) {
+  const { openPrice, IMR: IMR2 } = inputs;
+  if (inputs.unrealizedPnL === 0 || inputs.positionQty === 0 || openPrice === 0 || IMR2 === 0)
+    return 0;
+  return new Decimal(inputs.unrealizedPnL).div(new Decimal(inputs.positionQty).mul(openPrice).mul(IMR2)).toNumber();
+}
+function totalUnrealizedPnL(positions) {
+  return positions.reduce((acc, cur) => {
+    return acc + unrealizedPnL({
+      qty: cur.position_qty,
+      openPrice: cur.average_open_price,
+      markPrice: cur.mark_price
+    });
+  }, 0);
+}
+function liqPrice(inputs) {
+  const { markPrice, totalCollateral: totalCollateral2, positionQty, MMR: MMR2 } = inputs;
+  const totalNotional2 = notional(positionQty, markPrice);
+  if (positionQty === 0) {
+    return 0;
+  }
+  return Math.max(
+    new Decimal(markPrice).add(
+      new Decimal(totalCollateral2).sub(new Decimal(totalNotional2).mul(MMR2)).div(new Decimal(positionQty).abs().mul(MMR2).sub(positionQty))
+    ).toNumber(),
+    0
+  );
+}
+function maintenanceMargin(inputs) {
+  const { positionQty, markPrice, MMR: MMR2 } = inputs;
+  return new Decimal(positionQty).mul(markPrice).mul(MMR2).abs().toNumber();
+}
+function unsettlementPnL(inputs) {
+  const {
+    positionQty,
+    markPrice,
+    costPosition,
+    sumUnitaryFunding,
+    lastSumUnitaryFunding
+  } = inputs;
+  const qty = new Decimal(positionQty);
+  return qty.mul(markPrice).sub(costPosition).sub(qty.mul(new Decimal(sumUnitaryFunding).sub(lastSumUnitaryFunding))).toNumber();
+}
+function totalUnsettlementPnL(positions) {
+  if (!Array.isArray(positions) || positions.length === 0) {
+    return 0;
+  }
+  return positions.reduce((acc, cur) => {
+    return acc + unsettlementPnL({
+      positionQty: cur.position_qty,
+      markPrice: cur.mark_price,
+      costPosition: cur.cost_position,
+      sumUnitaryFunding: cur.sum_unitary_funding,
+      lastSumUnitaryFunding: cur.last_sum_unitary_funding
+    });
+  }, 0);
+}
+function MMR(inputs) {
+  const {
+    baseMMR,
+    baseIMR,
+    IMRFactor,
+    positionNotional,
+    IMR_factor_power = IMRFactorPower
+  } = inputs;
+  return Math.max(
+    baseMMR,
+    new Decimal(baseMMR).div(baseIMR).mul(IMRFactor).mul(Math.abs(positionNotional)).toPower(IMR_factor_power).toNumber()
+  );
+}
+
+// src/account.ts
+var account_exports = {};
+__export(account_exports, {
+  IMR: () => IMR,
+  availableBalance: () => availableBalance,
+  buyOrdersFilter_by_symbol: () => buyOrdersFilter_by_symbol,
+  currentLeverage: () => currentLeverage,
+  extractSymbols: () => extractSymbols,
+  freeCollateral: () => freeCollateral,
+  getPositonsAndOrdersNotionalBySymbol: () => getPositonsAndOrdersNotionalBySymbol,
+  getQtyFromOrdersBySide: () => getQtyFromOrdersBySide,
+  getQtyFromPositions: () => getQtyFromPositions,
+  groupOrdersBySymbol: () => groupOrdersBySymbol,
+  initialMarginWithOrder: () => initialMarginWithOrder,
+  maxQty: () => maxQty,
+  maxQtyByLong: () => maxQtyByLong,
+  maxQtyByShort: () => maxQtyByShort,
+  otherIMs: () => otherIMs,
+  positionNotionalWithOrder_by_symbol: () => positionNotionalWithOrder_by_symbol,
+  positionQtyWithOrders_by_symbol: () => positionQtyWithOrders_by_symbol,
+  sellOrdersFilter_by_symbol: () => sellOrdersFilter_by_symbol,
+  totalCollateral: () => totalCollateral,
+  totalInitialMarginWithOrders: () => totalInitialMarginWithOrders,
+  totalMarginRatio: () => totalMarginRatio,
+  totalUnrealizedROI: () => totalUnrealizedROI,
+  totalValue: () => totalValue
+});
+import { Decimal as Decimal2, zero } from "@orderly.network/utils";
+import {
+  OrderSide
+} from "@orderly.network/types";
+function totalValue(inputs) {
+  const { totalUnsettlementPnL: totalUnsettlementPnL2, USDCHolding, nonUSDCHolding } = inputs;
+  const nonUSDCHoldingValue = nonUSDCHolding.reduce((acc, cur) => {
+    return new Decimal2(cur.holding).mul(cur.markPrice).add(acc);
+  }, zero);
+  return nonUSDCHoldingValue.add(USDCHolding).add(totalUnsettlementPnL2);
+}
+function freeCollateral(inputs) {
+  return inputs.totalCollateral.sub(inputs.totalInitialMarginWithOrders);
+}
+function totalCollateral(inputs) {
+  const { USDCHolding, nonUSDCHolding } = inputs;
+  const nonUSDCHoldingValue = nonUSDCHolding.reduce((acc, cur) => {
+    return acc + new Decimal2(cur.holding).mul(cur.markPrice).mul(cur.discount).toNumber();
+  }, 0);
+  return new Decimal2(USDCHolding).add(nonUSDCHoldingValue).add(inputs.unsettlementPnL);
+}
+function initialMarginWithOrder() {
+}
+function positionNotionalWithOrder_by_symbol(inputs) {
+  return new Decimal2(inputs.markPrice).mul(inputs.positionQtyWithOrders);
+}
+function positionQtyWithOrders_by_symbol(inputs) {
+  const { positionQty, buyOrdersQty, sellOrdersQty } = inputs;
+  const positionQtyDecimal = new Decimal2(positionQty);
+  const qty = Math.max(
+    positionQtyDecimal.add(buyOrdersQty).abs().toNumber(),
+    positionQtyDecimal.sub(sellOrdersQty).abs().toNumber()
+  );
+  return qty;
+}
+function IMR(inputs) {
+  const {
+    maxLeverage,
+    baseIMR,
+    IMR_Factor,
+    positionNotional,
+    ordersNotional: orderNotional,
+    IMR_factor_power = IMRFactorPower
+  } = inputs;
+  return Math.max(
+    1 / maxLeverage,
+    baseIMR,
+    new Decimal2(IMR_Factor).mul(
+      new Decimal2(positionNotional).add(orderNotional).abs().toPower(IMR_factor_power)
+    ).toNumber()
+  );
+}
+function buyOrdersFilter_by_symbol(orders, symbol) {
+  return orders.filter(
+    (item) => item.symbol === symbol && item.side === OrderSide.BUY
+  );
+}
+function sellOrdersFilter_by_symbol(orders, symbol) {
+  return orders.filter(
+    (item) => item.symbol === symbol && item.side === OrderSide.SELL
+  );
+}
+function getQtyFromPositions(positions, symbol) {
+  if (!positions) {
+    return 0;
+  }
+  const position = positions.find((item) => item.symbol === symbol);
+  return (position == null ? void 0 : position.position_qty) || 0;
+}
+function getQtyFromOrdersBySide(orders, symbol, side) {
+  const ordersBySide = side === OrderSide.SELL ? sellOrdersFilter_by_symbol(orders, symbol) : buyOrdersFilter_by_symbol(orders, symbol);
+  return ordersBySide.reduce((acc, cur) => {
+    return acc + cur.quantity;
+  }, 0);
+}
+function getPositonsAndOrdersNotionalBySymbol(inputs) {
+  const { positions, orders, symbol, markPrice } = inputs;
+  const positionQty = getQtyFromPositions(positions, symbol);
+  const buyOrdersQty = getQtyFromOrdersBySide(orders, symbol, OrderSide.BUY);
+  const sellOrdersQty = getQtyFromOrdersBySide(orders, symbol, OrderSide.SELL);
+  const markPriceDecimal = new Decimal2(markPrice);
+  return markPriceDecimal.mul(positionQty).add(markPriceDecimal.mul(new Decimal2(buyOrdersQty).add(sellOrdersQty))).abs().toNumber();
+}
+function totalInitialMarginWithOrders(inputs) {
+  const {
+    positions,
+    orders,
+    markPrices,
+    IMR_Factors,
+    maxLeverage,
+    symbolInfo
+  } = inputs;
+  const symbols = extractSymbols(positions, orders);
+  const total_initial_margin_with_orders = symbols.reduce((acc, cur) => {
+    const symbol = cur;
+    const positionQty = getQtyFromPositions(positions, symbol);
+    const buyOrdersQty = getQtyFromOrdersBySide(orders, symbol, OrderSide.BUY);
+    const sellOrdersQty = getQtyFromOrdersBySide(
+      orders,
+      symbol,
+      OrderSide.SELL
+    );
+    const markPrice = markPrices[symbol] || 0;
+    const positionQtyWithOrders = positionQtyWithOrders_by_symbol({
+      positionQty,
+      buyOrdersQty,
+      sellOrdersQty
+    });
+    const position_notional_with_orders = positionNotionalWithOrder_by_symbol({
+      markPrice,
+      positionQtyWithOrders
+    });
+    const markPriceDecimal = new Decimal2(markPrice);
+    const imr = IMR({
+      positionNotional: markPriceDecimal.mul(positionQty).toNumber(),
+      ordersNotional: markPriceDecimal.mul(new Decimal2(buyOrdersQty).add(sellOrdersQty)).toNumber(),
+      maxLeverage,
+      IMR_Factor: IMR_Factors[symbol],
+      baseIMR: symbolInfo[symbol]("base_imr", 0)
+    });
+    return position_notional_with_orders.mul(imr).add(acc).toNumber();
+  }, 0);
+  return total_initial_margin_with_orders;
+}
+function groupOrdersBySymbol(orders) {
+  const symbols = {};
+  orders.forEach((item) => {
+    if (!symbols[item.symbol]) {
+      symbols[item.symbol] = [];
+    }
+    symbols[item.symbol].push(item);
+  });
+  return symbols;
+}
+function extractSymbols(positions, orders) {
+  const symbols = /* @__PURE__ */ new Set();
+  positions.forEach((item) => {
+    symbols.add(item.symbol);
+  });
+  orders.forEach((item) => {
+    symbols.add(item.symbol);
+  });
+  return Array.from(symbols);
+}
+function otherIMs(inputs) {
+  const {
+    orders,
+    positions,
+    maxLeverage,
+    IMR_Factors,
+    symbolInfo,
+    markPrices
+  } = inputs;
+  const symbols = extractSymbols(positions, orders);
+  return symbols.reduce((acc, cur) => {
+    const symbol = cur;
+    if (typeof markPrices[symbol] === "undefined") {
+      console.warn("markPrices[%s] is undefined", symbol);
+      return acc;
+    }
+    const markPriceDecimal = new Decimal2(markPrices[symbol] || 0);
+    const positionQty = getQtyFromPositions(positions, symbol);
+    const positionNotional = markPriceDecimal.mul(positionQty).toNumber();
+    const buyOrdersQty = getQtyFromOrdersBySide(
+      orders,
+      symbol,
+      OrderSide.BUY
+    );
+    const sellOrdersQty = getQtyFromOrdersBySide(
+      orders,
+      symbol,
+      OrderSide.SELL
+    );
+    const ordersNotional = markPriceDecimal.mul(new Decimal2(buyOrdersQty).add(sellOrdersQty)).toNumber();
+    const IMR_Factor = IMR_Factors[symbol];
+    if (!IMR_Factor) {
+      console.warn("IMR_Factor is not found:", symbol);
+      return acc;
+    }
+    const imr = IMR({
+      maxLeverage,
+      IMR_Factor,
+      baseIMR: symbolInfo[symbol]("base_imr", 0),
+      positionNotional,
+      ordersNotional
+    });
+    const positionQtyWithOrders = positionQtyWithOrders_by_symbol({
+      positionQty,
+      buyOrdersQty,
+      sellOrdersQty
+    });
+    const positionNotionalWithOrders = positionNotionalWithOrder_by_symbol({
+      markPrice: markPrices[symbol] || 0,
+      positionQtyWithOrders
+    });
+    return acc.add(positionNotionalWithOrders.mul(imr));
+  }, zero).toNumber();
+}
+function maxQty(side, inputs, options) {
+  if (side === OrderSide.BUY) {
+    return maxQtyByLong(inputs);
+  }
+  return maxQtyByShort(inputs);
+}
+function maxQtyByLong(inputs) {
+  try {
+    const {
+      baseMaxQty,
+      totalCollateral: totalCollateral2,
+      otherIMs: otherIMs2,
+      maxLeverage,
+      baseIMR,
+      markPrice,
+      IMR_Factor,
+      positionQty,
+      buyOrdersQty,
+      takerFeeRate
+    } = inputs;
+    if (totalCollateral2 === 0) {
+      return 0;
+    }
+    const totalCollateralDecimal = new Decimal2(totalCollateral2);
+    const factor_1 = totalCollateralDecimal.sub(otherIMs2).div(
+      new Decimal2(takerFeeRate).mul(2).mul(1e-4).add(Math.max(1 / maxLeverage, baseIMR))
+    ).div(markPrice).mul(0.995).sub(new Decimal2(positionQty).add(buyOrdersQty).abs()).toNumber();
+    if (positionQty === 0 && buyOrdersQty === 0) {
+      return Math.min(baseMaxQty, factor_1);
+    }
+    const factor_2 = totalCollateralDecimal.sub(otherIMs2).div(IMR_Factor).toPower(1 / 1.8).div(markPrice).sub(
+      new Decimal2(positionQty).add(buyOrdersQty).abs().div(new Decimal2(takerFeeRate).mul(2).mul(1e-4).add(1))
+    ).mul(0.995).toNumber();
+    return Math.min(baseMaxQty, factor_1, factor_2);
+  } catch (error) {
+    return 0;
+  }
+}
+function maxQtyByShort(inputs) {
+  try {
+    const {
+      baseMaxQty,
+      totalCollateral: totalCollateral2,
+      otherIMs: otherIMs2,
+      maxLeverage,
+      baseIMR,
+      markPrice,
+      IMR_Factor,
+      positionQty,
+      buyOrdersQty,
+      sellOrdersQty,
+      takerFeeRate
+    } = inputs;
+    const totalCollateralDecimal = new Decimal2(totalCollateral2);
+    const factor_1 = totalCollateralDecimal.sub(otherIMs2).div(
+      new Decimal2(takerFeeRate).mul(2).mul(1e-4).add(Math.max(1 / maxLeverage, baseIMR))
+    ).div(markPrice).mul(0.995).add(new Decimal2(positionQty).add(sellOrdersQty).abs()).toNumber();
+    if (positionQty === 0 && buyOrdersQty === 0) {
+      return Math.min(baseMaxQty, factor_1);
+    }
+    const factor_2 = totalCollateralDecimal.sub(otherIMs2).div(IMR_Factor).toPower(1 / 1.8).div(markPrice).add(
+      new Decimal2(positionQty).add(buyOrdersQty).abs().div(new Decimal2(takerFeeRate).mul(2).mul(1e-4).add(1))
+    ).mul(0.995).toNumber();
+    return Math.min(baseMaxQty, factor_1, factor_2);
+  } catch (error) {
+    return 0;
+  }
+}
+function totalMarginRatio(inputs, dp) {
+  const { totalCollateral: totalCollateral2, markPrices, positions } = inputs;
+  if (totalCollateral2 === 0) {
+    return 0;
+  }
+  const totalCollateralDecimal = new Decimal2(totalCollateral2);
+  const totalPositionNotional = positions.reduce((acc, cur) => {
+    const markPrice = markPrices[cur.symbol] || 0;
+    return acc.add(new Decimal2(cur.position_qty).mul(markPrice).abs());
+  }, zero);
+  if (totalPositionNotional.eq(zero)) {
+    return 0;
+  }
+  return totalCollateralDecimal.div(totalPositionNotional).toNumber();
+}
+function totalUnrealizedROI(inputs) {
+  const { totalUnrealizedPnL: totalUnrealizedPnL2, totalValue: totalValue2 } = inputs;
+  return new Decimal2(totalUnrealizedPnL2).div(totalValue2 - totalUnrealizedPnL2).toNumber();
+}
+function currentLeverage(totalMarginRatio2) {
+  if (totalMarginRatio2 === 0) {
+    return 0;
+  }
+  return 1 / totalMarginRatio2;
+}
+function availableBalance(inputs) {
+  const { USDCHolding, unsettlementPnL: unsettlementPnL2 } = inputs;
+  return new Decimal2(USDCHolding).add(unsettlementPnL2).toNumber();
+}
+
+// src/order.ts
+var order_exports = {};
+__export(order_exports, {
+  maxPrice: () => maxPrice,
+  minPrice: () => minPrice
+});
+function maxPrice(markprice, range) {
+  return markprice * (1 + range);
+}
+function minPrice(markprice, range) {
+  return markprice * (1 - range);
+}
+export {
+  account_exports as account,
+  order_exports as order,
+  order_exports as orderUtils,
+  positions_exports as positions
+};
+//# sourceMappingURL=index.mjs.map

package/dist/index.mjs.map

@@ -0,0 +1 @@
+{"version":3,"sources":["../src/positions.ts","../src/constants.ts","../src/account.ts","../src/order.ts"],"sourcesContent":["import { API } from \"@orderly.network/types\";\nimport { Decimal } from \"@orderly.network/utils\";\nimport { IMRFactorPower } from \"./constants\";\n\n/**\n * 单个仓位价值\n * @param qty 数量\n * @param mark_price 价格\n */\nexport function notional(qty: number, mark_price: number): number {\n  return new Decimal(qty).mul(mark_price).abs().toNumber();\n}\n\n/**\n * 所有仓位价值\n * @param positions\n * @returns\n *\n * @link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Notional\n */\nexport function totalNotional(positions: API.Position[]): number {\n  return positions.reduce((acc, cur) => {\n    return acc + notional(cur.position_qty, cur.mark_price);\n  }, 0);\n}\n\nexport type UnrealPnLInputs = {\n  markPrice: number;\n  openPrice: number;\n  qty: number;\n};\n\n/**\n * 单个仓位未实现盈亏\n * @param qty 数量\n * @param price 价格\n */\nexport function unrealizedPnL(inputs: UnrealPnLInputs): number {\n  return new Decimal(inputs.qty)\n    .mul(inputs.markPrice - inputs.openPrice)\n    .toNumber();\n}\n\nexport type UnrealPnLROIInputs = {\n  positionQty: number;\n  openPrice: number;\n  IMR: number;\n  unrealizedPnL: number;\n};\nexport function unrealizedPnLROI(inputs: UnrealPnLROIInputs): number {\n  const { openPrice, IMR } = inputs;\n\n  if (\n    inputs.unrealizedPnL === 0 ||\n    inputs.positionQty === 0 ||\n    openPrice === 0 ||\n    IMR === 0\n  )\n    return 0;\n\n  return new Decimal(inputs.unrealizedPnL)\n    .div(new Decimal(inputs.positionQty).mul(openPrice).mul(IMR))\n    .toNumber();\n}\n\n/**\n * 所有仓位未实现盈亏\n * @param inputs\n */\nexport function totalUnrealizedPnL(positions: API.Position[]): number {\n  return positions.reduce((acc, cur) => {\n    return (\n      acc +\n      unrealizedPnL({\n        qty: cur.position_qty,\n        openPrice: cur.average_open_price,\n        markPrice: cur.mark_price,\n      })\n    );\n  }, 0);\n}\n\nexport type LiqPriceInputs = {\n  markPrice: number;\n  totalCollateral: number;\n  positionQty: number;\n  MMR: number;\n};\n\n/**\n * 单个仓位强平价格\n *\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Position-Liq.-Price}\n */\nexport function liqPrice(inputs: LiqPriceInputs): number {\n  const { markPrice, totalCollateral, positionQty, MMR } = inputs;\n  const totalNotional = notional(positionQty, markPrice);\n\n  if (positionQty === 0) {\n    return 0;\n  }\n\n  return Math.max(\n    new Decimal(markPrice)\n      .add(\n        new Decimal(totalCollateral)\n          .sub(new Decimal(totalNotional).mul(MMR))\n          .div(new Decimal(positionQty).abs().mul(MMR).sub(positionQty))\n      )\n      // .todp(4, Decimal.ROUND_DOWN)\n      .toNumber(),\n    0\n  );\n}\n\nexport type MMInputs = {\n  positionQty: number;\n  markPrice: number;\n  MMR: number;\n};\n\nexport function maintenanceMargin(inputs: MMInputs) {\n  const { positionQty, markPrice, MMR } = inputs;\n\n  return new Decimal(positionQty).mul(markPrice).mul(MMR).abs().toNumber();\n}\n\nexport type UnsettlementPnLInputs = {\n  positionQty: number;\n  markPrice: number;\n  costPosition: number;\n  sumUnitaryFunding: number;\n  lastSumUnitaryFunding: number;\n};\n/**\n * 计算每个仓位未结算 PnL\n * @link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Unsettlement-PNL-%5BinlineExtension%5D\n */\nexport function unsettlementPnL(inputs: UnsettlementPnLInputs): number {\n  const {\n    positionQty,\n    markPrice,\n    costPosition,\n    sumUnitaryFunding,\n    lastSumUnitaryFunding,\n  } = inputs;\n\n  const qty = new Decimal(positionQty);\n\n  return qty\n    .mul(markPrice)\n    .sub(costPosition)\n    .sub(qty.mul(new Decimal(sumUnitaryFunding).sub(lastSumUnitaryFunding)))\n    .toNumber();\n}\n\nexport type TotalUnsettlementPnLInputs = {\n  positions: (API.Position & {\n    sum_unitary_funding: number;\n  })[];\n  sumUnitaryFunding: number;\n};\n/**\n * 计算所有仓位未结算 PnL\n * @param inputs\n * @returns\n * @link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Unsettlement-PNL-%5BinlineExtension%5D\n */\nexport function totalUnsettlementPnL(\n  positions: (API.Position & {\n    sum_unitary_funding: number;\n  })[]\n): number {\n  if (!Array.isArray(positions) || positions.length === 0) {\n    return 0;\n  }\n\n  return positions.reduce((acc, cur) => {\n    return (\n      acc +\n      unsettlementPnL({\n        positionQty: cur.position_qty,\n        markPrice: cur.mark_price,\n        costPosition: cur.cost_position,\n        sumUnitaryFunding: cur.sum_unitary_funding,\n        lastSumUnitaryFunding: cur.last_sum_unitary_funding,\n      })\n    );\n  }, 0);\n}\n\n/**\n * 计算仓位强平价格\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Position-Liq.-Price}\n */\nexport function MMR(inputs: {\n  baseMMR: number;\n  baseIMR: number;\n  IMRFactor: number;\n  positionNotional: number;\n  IMR_factor_power: number;\n}): number {\n  const {\n    baseMMR,\n    baseIMR,\n    IMRFactor,\n    positionNotional,\n    IMR_factor_power = IMRFactorPower,\n  } = inputs;\n  return Math.max(\n    baseMMR,\n    new Decimal(baseMMR)\n      .div(baseIMR)\n      .mul(IMRFactor)\n      .mul(Math.abs(positionNotional))\n      .toPower(IMR_factor_power)\n      .toNumber()\n  );\n}\n","/**\n * The power of the IMR factor.\n * @constant\n * @default\n */\nexport const IMRFactorPower = 4 / 5;\n","import { Decimal, zero } from \"@orderly.network/utils\";\nimport { IMRFactorPower } from \"./constants\";\nimport {\n  API,\n  OrderSide,\n  OrderType,\n  type WSMessage,\n} from \"@orderly.network/types\";\n\nexport type ResultOptions = {\n  dp: number;\n};\n\nexport type TotalValueInputs = {\n  totalUnsettlementPnL: number;\n\n  USDCHolding: number;\n  nonUSDCHolding: {\n    holding: number;\n    markPrice: number;\n    //保證金替代率 暂时默认0\n    discount: number;\n  }[];\n};\n/**\n * 用戶總資產價值 (USDC計價)，包含無法作為保證金的資產\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Value}\n */\nexport function totalValue(inputs: TotalValueInputs): Decimal {\n  const { totalUnsettlementPnL, USDCHolding, nonUSDCHolding } = inputs;\n\n  const nonUSDCHoldingValue = nonUSDCHolding.reduce((acc, cur) => {\n    return new Decimal(cur.holding).mul(cur.markPrice).add(acc);\n  }, zero);\n\n  return nonUSDCHoldingValue.add(USDCHolding).add(totalUnsettlementPnL);\n}\n\n/**\n * 用戶帳戶當前可用保證金的價值總和 (USDC計價)\n *\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Free-collateral}\n */\nexport type FreeCollateralInputs = {\n  // 总保证金\n  totalCollateral: Decimal;\n  // 总初始保证金\n  totalInitialMarginWithOrders: number;\n};\n/**\n * 计算可用保证金\n */\nexport function freeCollateral(inputs: FreeCollateralInputs): Decimal {\n  return inputs.totalCollateral.sub(inputs.totalInitialMarginWithOrders);\n}\n\nexport type TotalCollateralValueInputs = {\n  // USDC 的 holding 數量\n  USDCHolding: number;\n  nonUSDCHolding: {\n    holding: number;\n    markPrice: number;\n    //保證金替代率 暂时默认0\n    discount: number;\n  }[];\n  // 未结算盈亏\n  unsettlementPnL: number;\n};\n/**\n * 计算总保证金\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-collateral-%5BinlineExtension%5D}\n */\nexport function totalCollateral(inputs: TotalCollateralValueInputs): Decimal {\n  const { USDCHolding, nonUSDCHolding } = inputs;\n  const nonUSDCHoldingValue = nonUSDCHolding.reduce((acc, cur) => {\n    return (\n      acc +\n      new Decimal(cur.holding).mul(cur.markPrice).mul(cur.discount).toNumber()\n    );\n  }, 0);\n\n  return new Decimal(USDCHolding)\n    .add(nonUSDCHoldingValue)\n    .add(inputs.unsettlementPnL);\n}\n\nexport function initialMarginWithOrder() {}\n\nexport type PositionNotionalWithOrderInputs = {\n  markPrice: number;\n  positionQtyWithOrders: number;\n};\n/**\n * 單一 Symbol position / orders notional 加總\n */\nexport function positionNotionalWithOrder_by_symbol(\n  inputs: PositionNotionalWithOrderInputs\n): Decimal {\n  return new Decimal(inputs.markPrice).mul(inputs.positionQtyWithOrders);\n}\n\nexport type PositionQtyWithOrderInputs = {\n  positionQty: number;\n  // 单个Symbol的所有买单合计\n  buyOrdersQty: number;\n  // 单个Symbol的所有卖单合计\n  sellOrdersQty: number;\n};\n/**\n *  單一 Symbol position / orders qty 加總\n */\nexport function positionQtyWithOrders_by_symbol(\n  inputs: PositionQtyWithOrderInputs\n): number {\n  const { positionQty, buyOrdersQty, sellOrdersQty } = inputs;\n  const positionQtyDecimal = new Decimal(positionQty);\n  const qty = Math.max(\n    positionQtyDecimal.add(buyOrdersQty).abs().toNumber(),\n    positionQtyDecimal.sub(sellOrdersQty).abs().toNumber()\n  );\n\n  return qty;\n}\n\nexport type IMRInputs = {\n  maxLeverage: number;\n  baseIMR: number;\n  IMR_Factor: number;\n  positionNotional: number;\n  ordersNotional: number;\n  IMR_factor_power?: number;\n};\n\n/**\n * 單一 Symbol 初始保證金率\n * Max(1 / Max Account Leverage, Base IMR i, IMR Factor i * Abs(Position Notional i + Order Notional i)^(4/5))\n */\nexport function IMR(inputs: IMRInputs): number {\n  const {\n    maxLeverage,\n    baseIMR,\n    IMR_Factor,\n    positionNotional,\n    ordersNotional: orderNotional,\n    IMR_factor_power = IMRFactorPower,\n  } = inputs;\n  return Math.max(\n    1 / maxLeverage,\n    baseIMR,\n    new Decimal(IMR_Factor)\n      .mul(\n        new Decimal(positionNotional)\n          .add(orderNotional)\n          .abs()\n          .toPower(IMR_factor_power)\n      )\n      .toNumber()\n  );\n}\n\nexport function buyOrdersFilter_by_symbol(\n  orders: API.Order[],\n  symbol: string\n): API.Order[] {\n  return orders.filter(\n    (item) => item.symbol === symbol && item.side === OrderSide.BUY\n  );\n}\n\nexport function sellOrdersFilter_by_symbol(\n  orders: API.Order[],\n  symbol: string\n): API.Order[] {\n  return orders.filter(\n    (item) => item.symbol === symbol && item.side === OrderSide.SELL\n  );\n}\n\n/**\n * 从仓位列表中获取指定symbol的仓位数量\n */\nexport function getQtyFromPositions(\n  positions: API.Position[],\n  symbol: string\n): number {\n  if (!positions) {\n    return 0;\n  }\n  const position = positions.find((item) => item.symbol === symbol);\n  return position?.position_qty || 0;\n}\n\n/**\n * 从订单列表中获取指定symbol的看多，看空订单数量，\n */\nexport function getQtyFromOrdersBySide(\n  orders: API.Order[],\n  symbol: string,\n  side: OrderSide\n): number {\n  const ordersBySide =\n    side === OrderSide.SELL\n      ? sellOrdersFilter_by_symbol(orders, symbol)\n      : buyOrdersFilter_by_symbol(orders, symbol);\n  return ordersBySide.reduce((acc, cur) => {\n    return acc + cur.quantity;\n  }, 0);\n}\n\nexport function getPositonsAndOrdersNotionalBySymbol(inputs: {\n  positions: API.Position[];\n  orders: API.Order[];\n  symbol: string;\n  markPrice: number;\n}): number {\n  const { positions, orders, symbol, markPrice } = inputs;\n  const positionQty = getQtyFromPositions(positions, symbol);\n  const buyOrdersQty = getQtyFromOrdersBySide(orders, symbol, OrderSide.BUY);\n  const sellOrdersQty = getQtyFromOrdersBySide(orders, symbol, OrderSide.SELL);\n\n  const markPriceDecimal = new Decimal(markPrice);\n\n  return markPriceDecimal\n    .mul(positionQty)\n    .add(markPriceDecimal.mul(new Decimal(buyOrdersQty).add(sellOrdersQty)))\n    .abs()\n    .toNumber();\n}\n\nexport type TotalInitialMarginWithOrdersInputs = {\n  positions: API.Position[];\n  orders: API.Order[];\n  // account: API.AccountInfo;\n  markPrices: { [key: string]: number };\n  symbolInfo: any;\n  IMR_Factors: { [key: string]: number };\n} & Pick<IMRInputs, \"maxLeverage\">;\n\n/**\n * 计算用戶已使用初始保證金加總 ( 包含 position / orders )\n */\nexport function totalInitialMarginWithOrders(\n  inputs: TotalInitialMarginWithOrdersInputs\n): number {\n  const {\n    positions,\n    orders,\n    markPrices,\n    IMR_Factors,\n    maxLeverage,\n    symbolInfo,\n  } = inputs;\n\n  const symbols = extractSymbols(positions, orders);\n\n  const total_initial_margin_with_orders = symbols.reduce((acc, cur) => {\n    const symbol = cur;\n    const positionQty = getQtyFromPositions(positions, symbol);\n    const buyOrdersQty = getQtyFromOrdersBySide(orders, symbol, OrderSide.BUY);\n    const sellOrdersQty = getQtyFromOrdersBySide(\n      orders,\n      symbol,\n      OrderSide.SELL\n    );\n\n    const markPrice = markPrices[symbol] || 0;\n\n    //---\n    const positionQtyWithOrders = positionQtyWithOrders_by_symbol({\n      positionQty,\n      buyOrdersQty,\n      sellOrdersQty,\n    });\n\n    //---\n    const position_notional_with_orders = positionNotionalWithOrder_by_symbol({\n      markPrice,\n      positionQtyWithOrders,\n    });\n\n    //----\n    const markPriceDecimal = new Decimal(markPrice);\n\n    const imr = IMR({\n      positionNotional: markPriceDecimal.mul(positionQty).toNumber(),\n      ordersNotional: markPriceDecimal\n        .mul(new Decimal(buyOrdersQty).add(sellOrdersQty))\n        .toNumber(),\n      maxLeverage,\n      IMR_Factor: IMR_Factors[symbol],\n      baseIMR: symbolInfo[symbol](\"base_imr\", 0),\n    });\n\n    return position_notional_with_orders.mul(imr).add(acc).toNumber();\n  }, 0);\n\n  return total_initial_margin_with_orders;\n}\n\n/**\n * 把订单按照symbol分组, 因为一个symbol可以有多个挂单\n */\nexport function groupOrdersBySymbol(orders: API.Order[]) {\n  const symbols: { [key: string]: API.Order[] } = {};\n\n  orders.forEach((item) => {\n    if (!symbols[item.symbol]) {\n      symbols[item.symbol] = [];\n    }\n\n    symbols[item.symbol].push(item);\n  });\n\n  return symbols;\n}\n\n/**\n * Extracts all unique symbols from positions and orders.\n * @param positions - An array of position objects.\n * @param orders - An array of order objects.\n * @returns An array of unique symbols.\n */\nexport function extractSymbols(\n  positions: Pick<API.Position, \"symbol\">[],\n  orders: Pick<API.Order, \"symbol\">[]\n): string[] {\n  const symbols = new Set<string>();\n\n  positions.forEach((item) => {\n    symbols.add(item.symbol);\n  });\n\n  orders.forEach((item) => {\n    symbols.add(item.symbol);\n  });\n\n  return Array.from(symbols);\n}\n\n//=========== max qty ==================\n\n// function otherIM(inputs: {}): number {}\n\nexport type OtherIMsInputs = {\n  // 传入除当前symbol外的其他symbol的仓位列表\n  positions: API.Position[];\n  // 传入除当前symbol外的其他symbol的订单列表\n  orders: API.Order[];\n\n  markPrices: { [key: string]: number };\n  maxLeverage: number;\n  symbolInfo: any;\n  IMR_Factors: { [key: string]: number };\n};\n/**\n * 除当前symbol外的其他symbol已占用的总保证金\n */\nexport function otherIMs(inputs: OtherIMsInputs): number {\n  const {\n    orders,\n    positions,\n    maxLeverage,\n    IMR_Factors,\n    symbolInfo,\n    markPrices,\n  } = inputs;\n\n  const symbols = extractSymbols(positions, orders);\n\n  return symbols\n    .reduce((acc, cur) => {\n      const symbol = cur;\n\n      if (typeof markPrices[symbol] === \"undefined\") {\n        console.warn(\"markPrices[%s] is undefined\", symbol);\n        return acc;\n      }\n\n      const markPriceDecimal = new Decimal(markPrices[symbol] || 0);\n\n      const positionQty = getQtyFromPositions(positions, symbol);\n      const positionNotional = markPriceDecimal.mul(positionQty).toNumber();\n\n      const buyOrdersQty = getQtyFromOrdersBySide(\n        orders,\n        symbol,\n        OrderSide.BUY\n      );\n      const sellOrdersQty = getQtyFromOrdersBySide(\n        orders,\n        symbol,\n        OrderSide.SELL\n      );\n\n      const ordersNotional = markPriceDecimal\n        .mul(new Decimal(buyOrdersQty).add(sellOrdersQty))\n        .toNumber();\n\n      const IMR_Factor = IMR_Factors[symbol];\n\n      if (!IMR_Factor) {\n        console.warn(\"IMR_Factor is not found:\", symbol);\n        return acc;\n      }\n\n      const imr = IMR({\n        maxLeverage,\n\n        IMR_Factor,\n        baseIMR: symbolInfo[symbol](\"base_imr\", 0),\n        positionNotional,\n        ordersNotional,\n      });\n\n      const positionQtyWithOrders = positionQtyWithOrders_by_symbol({\n        positionQty,\n        buyOrdersQty,\n        sellOrdersQty,\n      });\n\n      const positionNotionalWithOrders = positionNotionalWithOrder_by_symbol({\n        markPrice: markPrices[symbol] || 0,\n        positionQtyWithOrders,\n      });\n\n      return acc.add(positionNotionalWithOrders.mul(imr));\n    }, zero)\n    .toNumber();\n}\n\nexport type MaxQtyInputs = {\n  symbol: string;\n\n  //單次開倉最大 Qty 限制,  /v1/public/info.base_max\n  baseMaxQty: number;\n  /**\n   * 用户保证金总额（USDC 计价）, 可以由 totalCollateral 计算得出\n   * @see totalCollateral\n   */\n  totalCollateral: number;\n  maxLeverage: number;\n  baseIMR: number;\n  /**\n   * @see otherIMs\n   */\n  otherIMs: number;\n  markPrice: number;\n  // 已开仓数量\n  positionQty: number;\n  // 已挂多单数量\n  buyOrdersQty: number;\n  // 已挂空单数量\n  sellOrdersQty: number;\n\n  IMR_Factor: number;\n\n  takerFeeRate: number;\n};\n\n/**\n * 最大可下单数量\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Max-Order-QTY}\n */\nexport function maxQty(\n  side: OrderSide,\n  inputs: MaxQtyInputs,\n  options?: ResultOptions\n): number {\n  if (side === OrderSide.BUY) {\n    return maxQtyByLong(inputs);\n  }\n  return maxQtyByShort(inputs);\n}\n\nexport function maxQtyByLong(inputs: Omit<MaxQtyInputs, \"side\">): number {\n  try {\n    const {\n      baseMaxQty,\n      totalCollateral,\n      otherIMs,\n      maxLeverage,\n      baseIMR,\n      markPrice,\n      IMR_Factor,\n      positionQty,\n      buyOrdersQty,\n      takerFeeRate,\n    } = inputs;\n\n    if (totalCollateral === 0) {\n      return 0;\n    }\n\n    const totalCollateralDecimal = new Decimal(totalCollateral);\n\n    const factor_1 = totalCollateralDecimal\n      .sub(otherIMs)\n      .div(\n        new Decimal(takerFeeRate)\n          .mul(2)\n          .mul(0.0001)\n          .add(Math.max(1 / maxLeverage, baseIMR))\n      )\n      .div(markPrice)\n      .mul(0.995)\n      .sub(new Decimal(positionQty).add(buyOrdersQty).abs())\n      .toNumber();\n\n    if (positionQty === 0 && buyOrdersQty === 0) {\n      return Math.min(baseMaxQty, factor_1);\n    }\n\n    const factor_2 = totalCollateralDecimal\n      .sub(otherIMs)\n      .div(IMR_Factor)\n      .toPower(1 / 1.8)\n      .div(markPrice)\n      .sub(\n        new Decimal(positionQty)\n          .add(buyOrdersQty)\n          .abs()\n          .div(new Decimal(takerFeeRate).mul(2).mul(0.0001).add(1))\n      )\n      .mul(0.995)\n      .toNumber();\n\n    return Math.min(baseMaxQty, factor_1, factor_2);\n  } catch (error) {\n    return 0;\n  }\n}\n\nexport function maxQtyByShort(inputs: Omit<MaxQtyInputs, \"side\">): number {\n  try {\n    const {\n      baseMaxQty,\n      totalCollateral,\n      otherIMs,\n      maxLeverage,\n      baseIMR,\n      markPrice,\n      IMR_Factor,\n      positionQty,\n      buyOrdersQty,\n      sellOrdersQty,\n      takerFeeRate,\n    } = inputs;\n\n    const totalCollateralDecimal = new Decimal(totalCollateral);\n\n    const factor_1 = totalCollateralDecimal\n      .sub(otherIMs)\n      .div(\n        new Decimal(takerFeeRate)\n          .mul(2)\n          .mul(0.0001)\n          .add(Math.max(1 / maxLeverage, baseIMR))\n      )\n      .div(markPrice)\n      .mul(0.995)\n      .add(new Decimal(positionQty).add(sellOrdersQty).abs())\n\n      .toNumber();\n\n    if (positionQty === 0 && buyOrdersQty === 0) {\n      return Math.min(baseMaxQty, factor_1);\n    }\n\n    const factor_2 = totalCollateralDecimal\n      .sub(otherIMs)\n      .div(IMR_Factor)\n      .toPower(1 / 1.8)\n      .div(markPrice)\n      .add(\n        new Decimal(positionQty)\n          .add(buyOrdersQty)\n          .abs()\n          .div(new Decimal(takerFeeRate).mul(2).mul(0.0001).add(1))\n      )\n      .mul(0.995)\n      .toNumber();\n\n    return Math.min(baseMaxQty, factor_1, factor_2);\n  } catch (error) {\n    return 0;\n  }\n}\n\nexport type TotalMarginRatioInputs = {\n  totalCollateral: number;\n  markPrices: { [key: string]: number };\n  positions: API.Position[];\n};\n/**\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Margin-Ratio}\n */\nexport function totalMarginRatio(\n  inputs: TotalMarginRatioInputs,\n  dp?: number\n): number {\n  const { totalCollateral, markPrices, positions } = inputs;\n\n  if (totalCollateral === 0) {\n    return 0;\n  }\n\n  const totalCollateralDecimal = new Decimal(totalCollateral);\n\n  const totalPositionNotional = positions.reduce((acc, cur) => {\n    const markPrice = markPrices[cur.symbol] || 0;\n    return acc.add(new Decimal(cur.position_qty).mul(markPrice).abs());\n  }, zero);\n\n  if (totalPositionNotional.eq(zero)) {\n    return 0;\n  }\n\n  return totalCollateralDecimal.div(totalPositionNotional).toNumber();\n}\n\nexport type TotalUnrealizedROIInputs = {\n  totalUnrealizedPnL: number;\n  totalValue: number;\n};\n\n/**\n * totalUnrealizedROI\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Total-Unrealized-ROI}\n */\nexport function totalUnrealizedROI(inputs: TotalUnrealizedROIInputs) {\n  const { totalUnrealizedPnL, totalValue } = inputs;\n\n  return new Decimal(totalUnrealizedPnL)\n    .div(totalValue - totalUnrealizedPnL)\n    .toNumber();\n}\n\n/**\n * @see {@link https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Current-account-leverage}\n */\nexport function currentLeverage(totalMarginRatio: number) {\n  if (totalMarginRatio === 0) {\n    return 0;\n  }\n  return 1 / totalMarginRatio;\n}\n\nexport type AvailableBalanceInputs = {\n  USDCHolding: number;\n  unsettlementPnL: number;\n};\nexport function availableBalance(inputs: AvailableBalanceInputs) {\n  const { USDCHolding, unsettlementPnL } = inputs;\n\n  return new Decimal(USDCHolding).add(unsettlementPnL).toNumber();\n}\n","/**\n * 下单时的最高价格\n * @see https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Max-price\n */\nexport function maxPrice(markprice: number, range: number) {\n  return markprice * (1 + range);\n}\n\n/**\n * 下单时的最低价格\n * @see https://wootraders.atlassian.net/wiki/spaces/WOOFI/pages/346030144/v2#Min-price\n */\nexport function minPrice(markprice: number, range: number) {\n  return markprice * (1 - 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package/package.json

@@ -0,0 +1,41 @@
+{
+  "name": "@orderly.network/perp",
+  "version": "1.0.0",
+  "description": "",
+  "main": "dist/index.js",
+  "module": "dist/index.mjs",
+  "keywords": [],
+  "author": "leo",
+  "license": "ISC",
+  "peerDependencies": {
+    "@orderly.network/types": "0.1.0"
+  },
+  "files": [
+    "dist"
+  ],
+  "devDependencies": {
+    "@babel/core": "^7.22.9",
+    "@babel/preset-env": "^7.22.9",
+    "@babel/preset-typescript": "^7.22.5",
+    "@types/jest": "^29.5.3",
+    "babel-jest": "^29.6.1",
+    "jest": "^29.6.1",
+    "tsup": "^7.1.0",
+    "typedoc": "^0.24.8",
+    "typescript": "^5.1.6",
+    "tsconfig": "0.0.82"
+  },
+  "dependencies": {
+    "@orderly.network/types": "0.1.0",
+    "@orderly.network/utils": "0.0.75"
+  },
+  "publishConfig": {
+    "access": "public"
+  },
+  "scripts": {
+    "dev": "tsup --watch",
+    "build": "tsup",
+    "doc": "typedoc --out docs src",
+    "test": "echo \"Error: no test specified\" && exit 1"
+  }
+}