@orderly.network/perp 2.0.4 → 2.0.5-alpha.1

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Files changed (7) hide show
  1. package/dist/index.d.mts +1 -1
  2. package/dist/index.d.ts +1 -1
  3. package/dist/index.js +2 -2
  4. package/dist/index.js.map +1 -1
  5. package/dist/index.mjs +2 -2
  6. package/dist/index.mjs.map +1 -1
  7. package/package.json +5 -5
package/dist/index.d.mts CHANGED
@@ -8,7 +8,7 @@ declare global {
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  };
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  }
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  }
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- declare const _default: "2.0.4";
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+ declare const _default: "2.0.5-alpha.1";
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  /**
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  * Calculates the notional value of a single position.
package/dist/index.d.ts CHANGED
@@ -8,7 +8,7 @@ declare global {
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  };
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  }
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  }
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- declare const _default: "2.0.4";
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+ declare const _default: "2.0.5-alpha.1";
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  /**
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  * Calculates the notional value of a single position.
package/dist/index.js CHANGED
@@ -31,9 +31,9 @@ module.exports = __toCommonJS(src_exports);
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  // src/version.ts
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  if (typeof window !== "undefined") {
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  window.__ORDERLY_VERSION__ = window.__ORDERLY_VERSION__ || {};
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- window.__ORDERLY_VERSION__["@orderly.network/perp"] = "2.0.4";
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+ window.__ORDERLY_VERSION__["@orderly.network/perp"] = "2.0.5-alpha.1";
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  }
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- var version_default = "2.0.4";
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+ var version_default = "2.0.5-alpha.1";
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  // src/positions.ts
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  var positions_exports = {};
package/dist/index.js.map CHANGED
@@ -1 +1 @@
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- {"version":3,"sources":["../src/index.ts","../src/version.ts","../src/positions.ts","../src/constants.ts","../src/account.ts","../src/order.ts"],"sourcesContent":["export { default as version } from \"./version\";\nexport * as positions from \"./positions\";\nexport * as account from \"./account\";\nexport * as orderUtils from \"./order\";\n\nexport * as order from \"./order\";\n","\ndeclare global {\n interface Window {\n __ORDERLY_VERSION__?: {\n [key: string]: string;\n };\n }\n}\nif(typeof window !== 'undefined') {\n window.__ORDERLY_VERSION__ = window.__ORDERLY_VERSION__ || {};\n window.__ORDERLY_VERSION__[\"@orderly.network/perp\"] = \"2.0.4\";\n};\n\nexport default \"2.0.4\";\n","import { API } from \"@orderly.network/types\";\nimport { Decimal, zero } from \"@orderly.network/utils\";\nimport { IMRFactorPower } from \"./constants\";\n\n/**\n * Calculates the notional value of a single position.\n * @param qty The quantity of the position.\n * @param mark_price The price of the position.\n * @returns The notional value of the position.\n */\nexport function notional(qty: number, mark_price: number): number {\n return new Decimal(qty).mul(mark_price).abs().toNumber();\n}\n\n/**\n * Calculates the total notional value of all positions.\n * @param positions The array of positions.\n * @returns The total notional value of all positions.\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 * Calculates the unrealized profit or loss of a single position.\n * @param inputs The inputs for calculating the unrealized profit or loss.\n * @returns The unrealized profit or loss of the position.\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};\n\n/**\n * Calculates the return on investment (ROI) of a single position's unrealized profit or loss.\n * @param inputs The inputs for calculating the ROI.\n * @returns The ROI of the position's unrealized profit or loss.\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(Math.abs(inputs.positionQty)).mul(openPrice).mul(IMR))\n .toNumber();\n}\n\n/**\n * Calculates the total unrealized profit or loss of all positions.\n * @param positions The array of positions.\n * @returns The total unrealized profit or loss of all positions.\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 positions: Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"mmr\">[];\n MMR: number;\n};\n\n/**\n * Calculates the liquidation price of a single position.\n * @param inputs The inputs for calculating the liquidation price.\n * @returns The liquidation price of the position.\n */\nexport function liqPrice(inputs: LiqPriceInputs): number | null {\n const { markPrice, totalCollateral, positions, positionQty, MMR } = inputs;\n\n // console.log(\"inputs\", inputs);\n\n if (positionQty === 0 || totalCollateral === 0) {\n return null;\n }\n\n // totalNotional of all poisitions\n const totalNotional: Decimal = positions.reduce((acc, cur) => {\n return acc.add(\n new Decimal(notional(cur.position_qty, cur.mark_price)).mul(cur.mmr)\n );\n }, zero);\n\n return Math.max(\n new Decimal(markPrice)\n .add(\n new Decimal(totalCollateral)\n .sub(totalNotional)\n .div(new Decimal(positionQty).abs().mul(MMR).sub(positionQty))\n )\n .toNumber(),\n 0\n );\n}\n\nexport type MMInputs = {\n positionQty: number;\n markPrice: number;\n MMR: number;\n};\n\n/**\n * Calculates the maintenance margin of a position.\n * @param inputs The inputs for calculating the maintenance margin.\n * @returns The maintenance margin of the position.\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/**\n * Calculates the unrealized profit or loss of each position.\n * @param inputs The inputs for calculating the unrealized profit or loss.\n * @returns The unrealized profit or loss of each position.\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/**\n * Calculates the total unrealized profit or loss of all positions.\n * @param positions The array of positions.\n * @returns The total unrealized profit or loss of all positions.\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\nexport type MMRInputs = {\n baseMMR: number;\n baseIMR: number;\n IMRFactor: number;\n positionNotional: number;\n IMR_factor_power: number;\n};\n\n/**\n * Calculates the maintenance margin requirement (MMR) of a position.\n * @param inputs The inputs for calculating the MMR.\n * @returns The MMR of the position.\n */\nexport function MMR(inputs: MMRInputs): 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.pow(Math.abs(positionNotional), IMR_factor_power))\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 */\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 */\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 const value = inputs.totalCollateral.sub(inputs.totalInitialMarginWithOrders);\n // free collateral cannot be less than 0\n return value.isNegative() ? zero : value;\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 */\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 */\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(\n inputs: Omit<MaxQtyInputs, \"side\">,\n options?: ResultOptions\n): 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))\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(\n inputs: Omit<MaxQtyInputs, \"side\">,\n options?: ResultOptions\n): 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))\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(sellOrdersQty)\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 * 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 */\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 * 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\nexport type AccountMMRInputs = {\n // Total Maintenance Margin of all positions of the user (USDC)\n positionsMMR: number;\n /**\n * Notional sum of all positions,\n * positions.totalNotional()\n */\n positionsNotional: number;\n};\n\n/**\n * total maintenance margin ratio\n * @param inputs AccountMMRInputs\n * @returns number|null\n */\nexport function MMR(inputs: AccountMMRInputs): number | null {\n // If the user does not have any positions, return null\n if (inputs.positionsNotional === 0) {\n return null;\n }\n return new Decimal(inputs.positionsMMR)\n .div(inputs.positionsNotional)\n .toNumber();\n}\n","import { API } from \"@orderly.network/types\";\nimport { Decimal, zero } from \"@orderly.network/utils\";\nimport { notional } from \"./positions\";\n\n/**\n * Maximum price when placing an order\n */\nexport function maxPrice(markprice: number, range: number) {\n return markprice * (1 + range);\n}\n\n/**\n * Minimum price when placing an order\n */\nexport function minPrice(markprice: number, range: number) {\n return markprice * (1 - range);\n}\n\n/**\n * Scrope price when placing an order\n * @returns number\n */\nexport function scropePrice(\n price: number,\n scrope: number,\n side: \"BUY\" | \"SELL\"\n): number {\n if (side === \"BUY\") {\n return price * (1 - scrope);\n }\n return price * (1 + scrope);\n}\n\nexport type EstimatedLiquidationPriceInputs = {\n totalCollateral: number;\n markPrice: number;\n baseMMR: number;\n baseIMR: number;\n IMR_Factor: number;\n positions: Pick<\n API.PositionExt,\n \"position_qty\" | \"mark_price\" | \"symbol\" | \"mmr\"\n >[];\n newOrder: {\n symbol: string;\n qty: number;\n price: number;\n };\n};\n\n/**\n * Estimated liquidation price\n * @param inputs\n * @returns\n */\nexport function estLiqPrice(inputs: EstimatedLiquidationPriceInputs): number {\n const {\n positions,\n newOrder,\n totalCollateral,\n markPrice,\n baseIMR,\n baseMMR,\n IMR_Factor,\n } = inputs;\n // opened positions for the symbol\n let currentPosition:\n | Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"symbol\" | \"mmr\">\n | undefined = undefined;\n\n let newTotalMM = zero;\n\n const newOrderNotional = new Decimal(newOrder.qty).mul(newOrder.price);\n\n for (let index = 0; index < positions.length; index++) {\n const position = positions[index];\n let notional = new Decimal(position.position_qty).mul(position.mark_price);\n if (newOrder.symbol === position.symbol) {\n currentPosition = position;\n notional = notional.add(newOrderNotional);\n }\n\n newTotalMM = newTotalMM.add(notional.abs().mul(position.mmr));\n }\n\n const newMMR = Math.max(\n baseMMR,\n new Decimal(baseMMR)\n .div(baseIMR)\n .mul(IMR_Factor)\n .mul(\n newOrderNotional\n .add(\n !!currentPosition\n ? new Decimal(currentPosition.position_qty).mul(\n currentPosition.mark_price\n )\n : zero\n )\n .abs()\n )\n .toPower(4 / 5)\n .toNumber()\n );\n\n const newQty = new Decimal(newOrder.qty).add(\n currentPosition?.position_qty ?? 0\n );\n\n if (newQty.eq(0)) {\n return 0;\n }\n\n const price = new Decimal(markPrice)\n .add(\n new Decimal(totalCollateral)\n .sub(newTotalMM)\n .div(newQty.abs().mul(newMMR).sub(newQty))\n )\n .toNumber();\n\n return Math.max(0, price);\n}\n\nexport type EstimatedLeverageInputs = {\n totalCollateral: number;\n positions: Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"symbol\">[];\n newOrder: {\n symbol: string;\n qty: number;\n price: number;\n };\n};\n\n/**\n * Estimated leverage\n * @param inputs EstimtedLeverageInputs\n * @returns number\n */\nexport function estLeverage(inputs: EstimatedLeverageInputs): number | null {\n const { totalCollateral, positions, newOrder } = inputs;\n if (totalCollateral <= 0) {\n return null;\n }\n let hasPosition = false;\n let sumPositionNotional = positions.reduce((acc, cur) => {\n acc = acc.add(\n new Decimal(new Decimal(cur.position_qty).mul(cur.mark_price).abs())\n );\n\n if (cur.symbol === newOrder.symbol) {\n hasPosition = true;\n acc = acc.add(new Decimal(newOrder.qty).mul(newOrder.price));\n }\n\n return acc;\n }, zero);\n\n 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1
+ {"version":3,"sources":["../src/index.ts","../src/version.ts","../src/positions.ts","../src/constants.ts","../src/account.ts","../src/order.ts"],"sourcesContent":["export { default as version } from \"./version\";\nexport * as positions from \"./positions\";\nexport * as account from \"./account\";\nexport * as orderUtils from \"./order\";\n\nexport * as order from \"./order\";\n","\ndeclare global {\n interface Window {\n __ORDERLY_VERSION__?: {\n [key: string]: string;\n };\n }\n}\nif(typeof window !== 'undefined') {\n window.__ORDERLY_VERSION__ = window.__ORDERLY_VERSION__ || {};\n window.__ORDERLY_VERSION__[\"@orderly.network/perp\"] = \"2.0.5-alpha.1\";\n};\n\nexport default \"2.0.5-alpha.1\";\n","import { API } from \"@orderly.network/types\";\nimport { Decimal, zero } from \"@orderly.network/utils\";\nimport { IMRFactorPower } from \"./constants\";\n\n/**\n * Calculates the notional value of a single position.\n * @param qty The quantity of the position.\n * @param mark_price 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inputs.openPrice)\n .toNumber();\n}\n\nexport type UnrealPnLROIInputs = {\n positionQty: number;\n openPrice: number;\n IMR: number;\n unrealizedPnL: number;\n};\n\n/**\n * Calculates the return on investment (ROI) of a single position's unrealized profit or loss.\n * @param inputs The inputs for calculating the ROI.\n * @returns The ROI of the position's unrealized profit or loss.\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(Math.abs(inputs.positionQty)).mul(openPrice).mul(IMR))\n .toNumber();\n}\n\n/**\n * Calculates the total unrealized profit or loss of all positions.\n * @param positions The array of positions.\n * @returns The total unrealized profit or loss of all positions.\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 positions: Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"mmr\">[];\n MMR: number;\n};\n\n/**\n * Calculates the liquidation price of a single position.\n * @param inputs The inputs for calculating the liquidation price.\n * @returns The liquidation price of the position.\n */\nexport function liqPrice(inputs: LiqPriceInputs): number | null {\n const { markPrice, totalCollateral, positions, positionQty, MMR } = inputs;\n\n // console.log(\"inputs\", inputs);\n\n if (positionQty === 0 || totalCollateral === 0) {\n return null;\n }\n\n // totalNotional of all poisitions\n const totalNotional: Decimal = positions.reduce((acc, cur) => {\n return acc.add(\n new Decimal(notional(cur.position_qty, cur.mark_price)).mul(cur.mmr)\n );\n }, zero);\n\n return Math.max(\n new Decimal(markPrice)\n .add(\n new Decimal(totalCollateral)\n .sub(totalNotional)\n .div(new Decimal(positionQty).abs().mul(MMR).sub(positionQty))\n )\n .toNumber(),\n 0\n );\n}\n\nexport type MMInputs = {\n positionQty: number;\n markPrice: number;\n MMR: number;\n};\n\n/**\n * Calculates the maintenance margin of a position.\n * @param inputs The inputs for calculating the maintenance margin.\n * @returns The maintenance margin of the position.\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/**\n * Calculates the unrealized profit or loss of each position.\n * @param inputs The inputs for calculating the unrealized profit or loss.\n * @returns The unrealized profit or loss of each position.\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/**\n * Calculates the total unrealized profit or loss of all positions.\n * @param positions The array of positions.\n * @returns The total unrealized profit or loss of all positions.\n */\nexport function totalUnsettlementPnL(\n positions: (API.Position & {\n sum_unitary_funding: number;\n })[]\n): number {\n if 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IMR_factor_power))\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 */\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 */\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 const value = inputs.totalCollateral.sub(inputs.totalInitialMarginWithOrders);\n // free collateral cannot be less than 0\n return value.isNegative() ? zero : value;\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 */\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 */\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(\n inputs: Omit<MaxQtyInputs, \"side\">,\n options?: ResultOptions\n): 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))\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(\n inputs: Omit<MaxQtyInputs, \"side\">,\n options?: ResultOptions\n): 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))\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(sellOrdersQty)\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 * 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 */\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 * 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\nexport type AccountMMRInputs = {\n // Total Maintenance Margin of all positions of the user (USDC)\n positionsMMR: number;\n /**\n * Notional sum of all positions,\n * positions.totalNotional()\n */\n positionsNotional: number;\n};\n\n/**\n * total maintenance margin ratio\n * @param inputs AccountMMRInputs\n * @returns number|null\n */\nexport function MMR(inputs: AccountMMRInputs): number | null {\n // If the user does not have any positions, return null\n if (inputs.positionsNotional === 0) {\n return null;\n }\n return new Decimal(inputs.positionsMMR)\n .div(inputs.positionsNotional)\n .toNumber();\n}\n","import { API } from \"@orderly.network/types\";\nimport { Decimal, zero } from \"@orderly.network/utils\";\nimport { notional } from \"./positions\";\n\n/**\n * Maximum price when placing an order\n */\nexport function maxPrice(markprice: number, range: number) {\n return markprice * (1 + range);\n}\n\n/**\n * Minimum price when placing an order\n */\nexport function minPrice(markprice: number, range: number) {\n return markprice * (1 - range);\n}\n\n/**\n * Scrope price when placing an order\n * @returns number\n */\nexport function scropePrice(\n price: number,\n scrope: number,\n side: \"BUY\" | \"SELL\"\n): number {\n if (side === \"BUY\") {\n return price * (1 - scrope);\n }\n return price * (1 + scrope);\n}\n\nexport type EstimatedLiquidationPriceInputs = {\n totalCollateral: number;\n markPrice: number;\n baseMMR: number;\n baseIMR: number;\n IMR_Factor: number;\n positions: Pick<\n API.PositionExt,\n \"position_qty\" | \"mark_price\" | \"symbol\" | \"mmr\"\n >[];\n newOrder: {\n symbol: string;\n qty: number;\n price: number;\n };\n};\n\n/**\n * Estimated liquidation price\n * @param inputs\n * @returns\n */\nexport function estLiqPrice(inputs: EstimatedLiquidationPriceInputs): number {\n const {\n positions,\n newOrder,\n totalCollateral,\n markPrice,\n baseIMR,\n baseMMR,\n IMR_Factor,\n } = inputs;\n // opened positions for the symbol\n let currentPosition:\n | Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"symbol\" | \"mmr\">\n | undefined = undefined;\n\n let newTotalMM = zero;\n\n const newOrderNotional = new Decimal(newOrder.qty).mul(newOrder.price);\n\n for (let index = 0; index < positions.length; index++) {\n const position = positions[index];\n let notional = new Decimal(position.position_qty).mul(position.mark_price);\n if (newOrder.symbol === position.symbol) {\n currentPosition = position;\n notional = notional.add(newOrderNotional);\n }\n\n newTotalMM = newTotalMM.add(notional.abs().mul(position.mmr));\n }\n\n const newMMR = Math.max(\n baseMMR,\n new Decimal(baseMMR)\n .div(baseIMR)\n .mul(IMR_Factor)\n .mul(\n newOrderNotional\n .add(\n !!currentPosition\n ? new Decimal(currentPosition.position_qty).mul(\n currentPosition.mark_price\n )\n : zero\n )\n .abs()\n )\n .toPower(4 / 5)\n .toNumber()\n );\n\n const newQty = new Decimal(newOrder.qty).add(\n currentPosition?.position_qty ?? 0\n );\n\n if (newQty.eq(0)) {\n return 0;\n }\n\n const price = new Decimal(markPrice)\n .add(\n new Decimal(totalCollateral)\n .sub(newTotalMM)\n .div(newQty.abs().mul(newMMR).sub(newQty))\n )\n .toNumber();\n\n return Math.max(0, price);\n}\n\nexport type EstimatedLeverageInputs = {\n totalCollateral: number;\n positions: Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"symbol\">[];\n newOrder: {\n symbol: string;\n qty: number;\n price: number;\n };\n};\n\n/**\n * Estimated leverage\n * @param inputs EstimtedLeverageInputs\n * @returns number\n */\nexport function estLeverage(inputs: EstimatedLeverageInputs): number | null {\n const { totalCollateral, positions, newOrder } = inputs;\n if (totalCollateral <= 0) {\n return null;\n }\n let hasPosition = false;\n let sumPositionNotional = positions.reduce((acc, cur) => {\n acc = acc.add(\n new Decimal(new Decimal(cur.position_qty).mul(cur.mark_price).abs())\n );\n\n if (cur.symbol === newOrder.symbol) {\n hasPosition = true;\n acc = acc.add(new Decimal(newOrder.qty).mul(newOrder.price));\n }\n\n return acc;\n }, zero);\n\n if (!hasPosition) {\n sumPositionNotional = sumPositionNotional.add(\n new Decimal(newOrder.qty).mul(newOrder.price).abs()\n );\n }\n\n if (sumPositionNotional.eq(zero)) {\n return null;\n }\n\n const totalMarginRatio = new Decimal(totalCollateral).div(\n sumPositionNotional\n );\n\n return new Decimal(1)\n .div(totalMarginRatio)\n .toDecimalPlaces(2, Decimal.ROUND_HALF_EVEN)\n 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package/dist/index.mjs CHANGED
@@ -7,9 +7,9 @@ var __export = (target, all) => {
7
7
  // src/version.ts
8
8
  if (typeof window !== "undefined") {
9
9
  window.__ORDERLY_VERSION__ = window.__ORDERLY_VERSION__ || {};
10
- window.__ORDERLY_VERSION__["@orderly.network/perp"] = "2.0.4";
10
+ window.__ORDERLY_VERSION__["@orderly.network/perp"] = "2.0.5-alpha.1";
11
11
  }
12
- var version_default = "2.0.4";
12
+ var version_default = "2.0.5-alpha.1";
13
13
 
14
14
  // src/positions.ts
15
15
  var positions_exports = {};
package/dist/index.mjs.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"sources":["../src/version.ts","../src/positions.ts","../src/constants.ts","../src/account.ts","../src/order.ts"],"sourcesContent":["\ndeclare global {\n interface Window {\n __ORDERLY_VERSION__?: {\n [key: string]: string;\n };\n }\n}\nif(typeof window !== 'undefined') {\n window.__ORDERLY_VERSION__ = window.__ORDERLY_VERSION__ || {};\n window.__ORDERLY_VERSION__[\"@orderly.network/perp\"] = \"2.0.4\";\n};\n\nexport default \"2.0.4\";\n","import { API } from \"@orderly.network/types\";\nimport { Decimal, zero } from \"@orderly.network/utils\";\nimport { IMRFactorPower } from \"./constants\";\n\n/**\n * Calculates the notional value of a single position.\n * @param qty The quantity of the position.\n * @param mark_price The price of the position.\n * @returns The notional value of the position.\n */\nexport function notional(qty: number, mark_price: number): number {\n return new Decimal(qty).mul(mark_price).abs().toNumber();\n}\n\n/**\n * Calculates the total notional value of all positions.\n * @param positions The array of positions.\n * @returns The total notional value of all positions.\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 * Calculates the unrealized profit or loss of a single position.\n * @param inputs The inputs for calculating the unrealized profit or loss.\n * @returns The unrealized profit or loss of the position.\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};\n\n/**\n * Calculates the return on investment (ROI) of a single position's unrealized profit or loss.\n * @param inputs The inputs for calculating the ROI.\n * @returns The ROI of the position's unrealized profit or loss.\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(Math.abs(inputs.positionQty)).mul(openPrice).mul(IMR))\n .toNumber();\n}\n\n/**\n * Calculates the total unrealized profit or loss of all positions.\n * @param positions The array of positions.\n * @returns The total unrealized profit or loss of all positions.\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 positions: Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"mmr\">[];\n MMR: number;\n};\n\n/**\n * Calculates the liquidation price of a single position.\n * @param inputs The inputs for calculating the liquidation price.\n * @returns The liquidation price of the position.\n */\nexport function liqPrice(inputs: LiqPriceInputs): number | null {\n const { markPrice, totalCollateral, positions, positionQty, MMR } = inputs;\n\n // console.log(\"inputs\", inputs);\n\n if (positionQty === 0 || totalCollateral === 0) {\n return null;\n }\n\n // totalNotional of all poisitions\n const totalNotional: Decimal = positions.reduce((acc, cur) => {\n return acc.add(\n new Decimal(notional(cur.position_qty, cur.mark_price)).mul(cur.mmr)\n );\n }, zero);\n\n return Math.max(\n new Decimal(markPrice)\n .add(\n new Decimal(totalCollateral)\n .sub(totalNotional)\n .div(new Decimal(positionQty).abs().mul(MMR).sub(positionQty))\n )\n .toNumber(),\n 0\n );\n}\n\nexport type MMInputs = {\n positionQty: number;\n markPrice: number;\n MMR: number;\n};\n\n/**\n * Calculates the maintenance margin of a position.\n * @param inputs The inputs for calculating the maintenance margin.\n * @returns The maintenance margin of the position.\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/**\n * Calculates the unrealized profit or loss of each position.\n * @param inputs The inputs for calculating the unrealized profit or loss.\n * @returns The unrealized profit or loss of each position.\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/**\n * Calculates the total unrealized profit or loss of all positions.\n * @param positions The array of positions.\n * @returns The total unrealized profit or loss of all positions.\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\nexport type MMRInputs = {\n baseMMR: number;\n baseIMR: number;\n IMRFactor: number;\n positionNotional: number;\n IMR_factor_power: number;\n};\n\n/**\n * Calculates the maintenance margin requirement (MMR) of a position.\n * @param inputs The inputs for calculating the MMR.\n * @returns The MMR of the position.\n */\nexport function MMR(inputs: MMRInputs): 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.pow(Math.abs(positionNotional), IMR_factor_power))\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 */\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 */\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 const value = inputs.totalCollateral.sub(inputs.totalInitialMarginWithOrders);\n // free collateral cannot be less than 0\n return value.isNegative() ? zero : value;\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 */\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 */\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(\n inputs: Omit<MaxQtyInputs, \"side\">,\n options?: ResultOptions\n): 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))\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(\n inputs: Omit<MaxQtyInputs, \"side\">,\n options?: ResultOptions\n): 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))\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(sellOrdersQty)\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 * 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 */\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 * 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\nexport type AccountMMRInputs = {\n // Total Maintenance Margin of all positions of the user (USDC)\n positionsMMR: number;\n /**\n * Notional sum of all positions,\n * positions.totalNotional()\n */\n positionsNotional: number;\n};\n\n/**\n * total maintenance margin ratio\n * @param inputs AccountMMRInputs\n * @returns number|null\n */\nexport function MMR(inputs: AccountMMRInputs): number | null {\n // If the user does not have any positions, return null\n if (inputs.positionsNotional === 0) {\n return null;\n }\n return new Decimal(inputs.positionsMMR)\n .div(inputs.positionsNotional)\n .toNumber();\n}\n","import { API } from \"@orderly.network/types\";\nimport { Decimal, zero } from \"@orderly.network/utils\";\nimport { notional } from \"./positions\";\n\n/**\n * Maximum price when placing an order\n */\nexport function maxPrice(markprice: number, range: number) {\n return markprice * (1 + range);\n}\n\n/**\n * Minimum price when placing an order\n */\nexport function minPrice(markprice: number, range: number) {\n return markprice * (1 - range);\n}\n\n/**\n * Scrope price when placing an order\n * @returns number\n */\nexport function scropePrice(\n price: number,\n scrope: number,\n side: \"BUY\" | \"SELL\"\n): number {\n if (side === \"BUY\") {\n return price * (1 - scrope);\n }\n return price * (1 + scrope);\n}\n\nexport type EstimatedLiquidationPriceInputs = {\n totalCollateral: number;\n markPrice: number;\n baseMMR: number;\n baseIMR: number;\n IMR_Factor: number;\n positions: Pick<\n API.PositionExt,\n \"position_qty\" | \"mark_price\" | \"symbol\" | \"mmr\"\n >[];\n newOrder: {\n symbol: string;\n qty: number;\n price: number;\n };\n};\n\n/**\n * Estimated liquidation price\n * @param inputs\n * @returns\n */\nexport function estLiqPrice(inputs: EstimatedLiquidationPriceInputs): number {\n const {\n positions,\n newOrder,\n totalCollateral,\n markPrice,\n baseIMR,\n baseMMR,\n IMR_Factor,\n } = inputs;\n // opened positions for the symbol\n let currentPosition:\n | Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"symbol\" | \"mmr\">\n | undefined = undefined;\n\n let newTotalMM = zero;\n\n const newOrderNotional = new Decimal(newOrder.qty).mul(newOrder.price);\n\n for (let index = 0; index < positions.length; index++) {\n const position = positions[index];\n let notional = new Decimal(position.position_qty).mul(position.mark_price);\n if (newOrder.symbol === position.symbol) {\n currentPosition = position;\n notional = notional.add(newOrderNotional);\n }\n\n newTotalMM = newTotalMM.add(notional.abs().mul(position.mmr));\n }\n\n const newMMR = Math.max(\n baseMMR,\n new Decimal(baseMMR)\n .div(baseIMR)\n .mul(IMR_Factor)\n .mul(\n newOrderNotional\n .add(\n !!currentPosition\n ? new Decimal(currentPosition.position_qty).mul(\n currentPosition.mark_price\n )\n : zero\n )\n .abs()\n )\n .toPower(4 / 5)\n .toNumber()\n );\n\n const newQty = new Decimal(newOrder.qty).add(\n currentPosition?.position_qty ?? 0\n );\n\n if (newQty.eq(0)) {\n return 0;\n }\n\n const price = new Decimal(markPrice)\n .add(\n new Decimal(totalCollateral)\n .sub(newTotalMM)\n .div(newQty.abs().mul(newMMR).sub(newQty))\n )\n .toNumber();\n\n return Math.max(0, price);\n}\n\nexport type EstimatedLeverageInputs = {\n totalCollateral: number;\n positions: Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"symbol\">[];\n newOrder: {\n symbol: string;\n qty: number;\n price: number;\n };\n};\n\n/**\n * Estimated leverage\n * @param inputs EstimtedLeverageInputs\n * @returns number\n */\nexport function estLeverage(inputs: EstimatedLeverageInputs): number | null {\n const { totalCollateral, positions, newOrder } = inputs;\n if (totalCollateral <= 0) {\n return null;\n }\n let hasPosition = false;\n let sumPositionNotional = positions.reduce((acc, cur) => {\n acc = acc.add(\n new Decimal(new Decimal(cur.position_qty).mul(cur.mark_price).abs())\n );\n\n if (cur.symbol === newOrder.symbol) {\n hasPosition = true;\n acc = acc.add(new Decimal(newOrder.qty).mul(newOrder.price));\n }\n\n return acc;\n }, zero);\n\n if (!hasPosition) {\n sumPositionNotional = sumPositionNotional.add(\n new Decimal(newOrder.qty).mul(newOrder.price).abs()\n );\n }\n\n if (sumPositionNotional.eq(zero)) {\n return null;\n }\n\n const totalMarginRatio = new Decimal(totalCollateral).div(\n sumPositionNotional\n );\n\n return new Decimal(1)\n .div(totalMarginRatio)\n .toDecimalPlaces(2, Decimal.ROUND_HALF_EVEN)\n 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1
+ {"version":3,"sources":["../src/version.ts","../src/positions.ts","../src/constants.ts","../src/account.ts","../src/order.ts"],"sourcesContent":["\ndeclare global {\n interface Window {\n __ORDERLY_VERSION__?: {\n [key: string]: string;\n };\n }\n}\nif(typeof window !== 'undefined') {\n window.__ORDERLY_VERSION__ = window.__ORDERLY_VERSION__ || {};\n window.__ORDERLY_VERSION__[\"@orderly.network/perp\"] = \"2.0.5-alpha.1\";\n};\n\nexport default \"2.0.5-alpha.1\";\n","import { API } from \"@orderly.network/types\";\nimport { Decimal, zero } from \"@orderly.network/utils\";\nimport { IMRFactorPower } from \"./constants\";\n\n/**\n * Calculates the notional value of a single position.\n * @param qty The quantity of the position.\n * @param mark_price The price of the position.\n * @returns The notional value of the position.\n */\nexport function notional(qty: number, mark_price: number): number {\n return new Decimal(qty).mul(mark_price).abs().toNumber();\n}\n\n/**\n * Calculates the 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unrealized profit or loss.\n * @param inputs The inputs for calculating the ROI.\n * @returns The ROI of the position's unrealized profit or loss.\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(Math.abs(inputs.positionQty)).mul(openPrice).mul(IMR))\n .toNumber();\n}\n\n/**\n * Calculates the total unrealized profit or loss of all positions.\n * @param positions The array of positions.\n * @returns The total unrealized profit or loss of all positions.\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 positions: Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"mmr\">[];\n MMR: number;\n};\n\n/**\n * Calculates the liquidation price of a single position.\n * @param inputs The inputs for calculating the liquidation price.\n * @returns The liquidation price of the position.\n */\nexport function liqPrice(inputs: LiqPriceInputs): number | null {\n const { markPrice, totalCollateral, positions, positionQty, MMR } = inputs;\n\n // console.log(\"inputs\", inputs);\n\n if (positionQty === 0 || totalCollateral === 0) {\n return null;\n }\n\n // totalNotional of all poisitions\n const totalNotional: Decimal = positions.reduce((acc, cur) => {\n return acc.add(\n new Decimal(notional(cur.position_qty, cur.mark_price)).mul(cur.mmr)\n );\n }, zero);\n\n return Math.max(\n new Decimal(markPrice)\n .add(\n new Decimal(totalCollateral)\n .sub(totalNotional)\n .div(new Decimal(positionQty).abs().mul(MMR).sub(positionQty))\n )\n .toNumber(),\n 0\n );\n}\n\nexport type MMInputs = {\n positionQty: number;\n markPrice: number;\n MMR: number;\n};\n\n/**\n * Calculates the maintenance margin of a position.\n * @param inputs The inputs for calculating the maintenance margin.\n * @returns The maintenance margin of the position.\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/**\n * Calculates the unrealized profit or loss of each position.\n * @param inputs The inputs for calculating the unrealized profit or loss.\n * @returns The unrealized profit or loss of each position.\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/**\n * Calculates the total unrealized profit or loss of all positions.\n * @param positions The array of positions.\n * @returns The total unrealized profit or loss of all positions.\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\nexport type MMRInputs = {\n baseMMR: number;\n baseIMR: number;\n IMRFactor: number;\n positionNotional: number;\n IMR_factor_power: number;\n};\n\n/**\n * Calculates the maintenance margin requirement (MMR) of a position.\n * @param inputs The inputs for calculating the MMR.\n * @returns The MMR of the position.\n */\nexport function MMR(inputs: MMRInputs): 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.pow(Math.abs(positionNotional), IMR_factor_power))\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 */\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 */\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 const value = inputs.totalCollateral.sub(inputs.totalInitialMarginWithOrders);\n // free collateral cannot be less than 0\n return value.isNegative() ? zero : value;\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 */\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 */\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(\n inputs: Omit<MaxQtyInputs, \"side\">,\n options?: ResultOptions\n): 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))\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(\n inputs: Omit<MaxQtyInputs, \"side\">,\n options?: ResultOptions\n): 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))\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(sellOrdersQty)\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 * 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 */\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 * 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\nexport type AccountMMRInputs = {\n // Total Maintenance Margin of all positions of the user (USDC)\n positionsMMR: number;\n /**\n * Notional sum of all positions,\n * positions.totalNotional()\n */\n positionsNotional: number;\n};\n\n/**\n * total maintenance margin ratio\n * @param inputs AccountMMRInputs\n * @returns number|null\n */\nexport function MMR(inputs: AccountMMRInputs): number | null {\n // If the user does not have any positions, return null\n if (inputs.positionsNotional === 0) {\n return null;\n }\n return new Decimal(inputs.positionsMMR)\n .div(inputs.positionsNotional)\n .toNumber();\n}\n","import { API } from \"@orderly.network/types\";\nimport { Decimal, zero } from \"@orderly.network/utils\";\nimport { notional } from \"./positions\";\n\n/**\n * Maximum price when placing an order\n */\nexport function maxPrice(markprice: number, range: number) {\n return markprice * (1 + range);\n}\n\n/**\n * Minimum price when placing an order\n */\nexport function minPrice(markprice: number, range: number) {\n return markprice * (1 - range);\n}\n\n/**\n * Scrope price when placing an order\n * @returns number\n */\nexport function scropePrice(\n price: number,\n scrope: number,\n side: \"BUY\" | \"SELL\"\n): number {\n if (side === \"BUY\") {\n return price * (1 - scrope);\n }\n return price * (1 + scrope);\n}\n\nexport type EstimatedLiquidationPriceInputs = {\n totalCollateral: number;\n markPrice: number;\n baseMMR: number;\n baseIMR: number;\n IMR_Factor: number;\n positions: Pick<\n API.PositionExt,\n \"position_qty\" | \"mark_price\" | \"symbol\" | \"mmr\"\n >[];\n newOrder: {\n symbol: string;\n qty: number;\n price: number;\n };\n};\n\n/**\n * Estimated liquidation price\n * @param inputs\n * @returns\n */\nexport function estLiqPrice(inputs: EstimatedLiquidationPriceInputs): number {\n const {\n positions,\n newOrder,\n totalCollateral,\n markPrice,\n baseIMR,\n baseMMR,\n IMR_Factor,\n } = inputs;\n // opened positions for the symbol\n let currentPosition:\n | Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"symbol\" | \"mmr\">\n | undefined = undefined;\n\n let newTotalMM = zero;\n\n const newOrderNotional = new Decimal(newOrder.qty).mul(newOrder.price);\n\n for (let index = 0; index < positions.length; index++) {\n const position = positions[index];\n let notional = new Decimal(position.position_qty).mul(position.mark_price);\n if (newOrder.symbol === position.symbol) {\n currentPosition = position;\n notional = notional.add(newOrderNotional);\n }\n\n newTotalMM = newTotalMM.add(notional.abs().mul(position.mmr));\n }\n\n const newMMR = Math.max(\n baseMMR,\n new Decimal(baseMMR)\n .div(baseIMR)\n .mul(IMR_Factor)\n .mul(\n newOrderNotional\n .add(\n !!currentPosition\n ? new Decimal(currentPosition.position_qty).mul(\n currentPosition.mark_price\n )\n : zero\n )\n .abs()\n )\n .toPower(4 / 5)\n .toNumber()\n );\n\n const newQty = new Decimal(newOrder.qty).add(\n currentPosition?.position_qty ?? 0\n );\n\n if (newQty.eq(0)) {\n return 0;\n }\n\n const price = new Decimal(markPrice)\n .add(\n new Decimal(totalCollateral)\n .sub(newTotalMM)\n .div(newQty.abs().mul(newMMR).sub(newQty))\n )\n .toNumber();\n\n return Math.max(0, price);\n}\n\nexport type EstimatedLeverageInputs = {\n totalCollateral: number;\n positions: Pick<API.PositionExt, \"position_qty\" | \"mark_price\" | \"symbol\">[];\n newOrder: {\n symbol: string;\n qty: number;\n price: number;\n };\n};\n\n/**\n * Estimated leverage\n * @param inputs EstimtedLeverageInputs\n * @returns number\n */\nexport function estLeverage(inputs: EstimatedLeverageInputs): number | null {\n const { totalCollateral, positions, newOrder } = inputs;\n if (totalCollateral <= 0) {\n return null;\n }\n let hasPosition = false;\n let sumPositionNotional = positions.reduce((acc, cur) => {\n acc = acc.add(\n new Decimal(new Decimal(cur.position_qty).mul(cur.mark_price).abs())\n );\n\n if (cur.symbol === newOrder.symbol) {\n hasPosition = true;\n acc = acc.add(new Decimal(newOrder.qty).mul(newOrder.price));\n }\n\n return acc;\n }, zero);\n\n if (!hasPosition) {\n sumPositionNotional = sumPositionNotional.add(\n new Decimal(newOrder.qty).mul(newOrder.price).abs()\n );\n }\n\n if (sumPositionNotional.eq(zero)) {\n return null;\n }\n\n const totalMarginRatio = new Decimal(totalCollateral).div(\n sumPositionNotional\n );\n\n return new Decimal(1)\n .div(totalMarginRatio)\n .toDecimalPlaces(2, Decimal.ROUND_HALF_EVEN)\n 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package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@orderly.network/perp",
3
- "version": "2.0.4",
3
+ "version": "2.0.5-alpha.1",
4
4
  "description": "",
5
5
  "main": "dist/index.js",
6
6
  "module": "dist/index.mjs",
@@ -8,7 +8,7 @@
8
8
  "author": "leo",
9
9
  "license": "ISC",
10
10
  "peerDependencies": {
11
- "@orderly.network/types": "0.2.4"
11
+ "@orderly.network/types": "0.2.5-alpha.1"
12
12
  },
13
13
  "files": [
14
14
  "dist"
@@ -23,11 +23,11 @@
23
23
  "tsup": "^7.1.0",
24
24
  "typedoc": "^0.24.8",
25
25
  "typescript": "^5.1.6",
26
- "tsconfig": "0.1.4"
26
+ "tsconfig": "0.1.5-alpha.1"
27
27
  },
28
28
  "dependencies": {
29
- "@orderly.network/types": "0.2.4",
30
- "@orderly.network/utils": "0.1.4"
29
+ "@orderly.network/utils": "0.1.5-alpha.1",
30
+ "@orderly.network/types": "0.2.5-alpha.1"
31
31
  },
32
32
  "publishConfig": {
33
33
  "access": "public"