@orderly.network/perp 5.0.4 → 5.1.0-alpha.0

package/dist/index.mjs

@@ -10,9 +10,9 @@ var __export = (target, all) => {
 // src/version.ts
 if (typeof window !== "undefined") {
   window.__ORDERLY_VERSION__ = window.__ORDERLY_VERSION__ || {};
-  window.__ORDERLY_VERSION__["@orderly.network/perp"] = "5.0.4";
+  window.__ORDERLY_VERSION__["@orderly.network/perp"] = "5.1.0-alpha.0";
 }
-var version_default = "5.0.4";
+var version_default = "5.1.0-alpha.0";
 
 // src/positions/index.ts
 var positions_exports = {};
@@ -65,6 +65,8 @@ function totalUnrealizedPnL(positions) {
 
 // src/constants.ts
 var IMRFactorPower = 4 / 5;
+var IsoTakerFeeBuffer = 6e-4;
+var MaxQtySafetyFactor = 0.995;
 var DMax = (...values) => {
   if (values.length === 0) {
     throw new Error("DMax requires at least one argument");
@@ -300,7 +302,8 @@ function liquidationPriceIsolated(inputs) {
     referencePrice,
     orderSide,
     orderQty = 0,
-    leverage
+    leverage,
+    isoTakerFeeBuffer = IsoTakerFeeBuffer
   } = inputs;
   const refPrice = referencePrice != null ? referencePrice : 0;
   if (refPrice <= 0 && orderQty !== 0) {
@@ -313,12 +316,13 @@ function liquidationPriceIsolated(inputs) {
   }
   let newIsolatedPositionMargin;
   let newCostPosition;
+  const getMarginRate = () => new Decimal(1).div(leverage).add(isoTakerFeeBuffer);
   if (orderQty === 0) {
     newIsolatedPositionMargin = new Decimal(isolatedPositionMargin);
     newCostPosition = new Decimal(costPosition);
   } else if (positionQty === 0 || orderSideMultiplier > 0 && positionQty > 0 || orderSideMultiplier < 0 && positionQty < 0) {
     newIsolatedPositionMargin = new Decimal(isolatedPositionMargin).add(
-      new Decimal(orderQty).mul(refPrice).div(leverage)
+      new Decimal(orderQty).mul(refPrice).mul(getMarginRate())
     );
     newCostPosition = new Decimal(costPosition).add(
       new Decimal(orderSideMultiplier).mul(orderQty).mul(refPrice)
@@ -332,7 +336,7 @@ function liquidationPriceIsolated(inputs) {
         new Decimal(orderSideMultiplier).mul(orderQty).mul(refPrice)
       );
     } else {
-      newIsolatedPositionMargin = new Decimal(Math.abs(newPositionQty)).mul(refPrice).div(leverage);
+      newIsolatedPositionMargin = new Decimal(Math.abs(newPositionQty)).mul(refPrice).mul(getMarginRate());
       newCostPosition = new Decimal(newPositionQty).mul(refPrice);
     }
   }
@@ -376,6 +380,7 @@ __export(account_exports, {
   getQtyFromOrdersBySide: () => getQtyFromOrdersBySide,
   getQtyFromPositions: () => getQtyFromPositions,
   groupOrdersBySymbol: () => groupOrdersBySymbol,
+  isolatedMarginRate: () => isolatedMarginRate,
   maxAdd: () => maxAdd,
   maxQty: () => maxQty,
   maxQtyByLong: () => maxQtyByLong,
@@ -764,6 +769,10 @@ function maxQtyByShort(inputs, options) {
     return 0;
   }
 }
+function isolatedMarginRate(inputs) {
+  var _a;
+  return new Decimal(1).div(inputs.leverage).add((_a = inputs.isoTakerFeeBuffer) != null ? _a : IsoTakerFeeBuffer);
+}
 function maxQtyForIsolatedMargin(inputs) {
   const {
     orderSide,
@@ -776,8 +785,10 @@ function maxQtyForIsolatedMargin(inputs) {
     pendingLongOrders,
     pendingSellOrders,
     symbolMaxNotional,
-    epsilon = 1
+    epsilon = 1,
+    isoTakerFeeBuffer = IsoTakerFeeBuffer
   } = inputs;
+  const marginRate = isolatedMarginRate({ leverage, isoTakerFeeBuffer });
   const maxNotional = Math.min(
     new Decimal(1).div(new Decimal(leverage).mul(IMR_Factor)).pow(5 / 4).toNumber(),
     symbolMaxNotional
@@ -788,7 +799,7 @@ function maxQtyForIsolatedMargin(inputs) {
         (acc, order) => acc + new Decimal(order.referencePrice).mul(order.quantity).toNumber(),
         0
       );
-      const maxQtyByBalance = new Decimal(availableBalance2).div(currentOrderReferencePrice).mul(leverage).toNumber();
+      const maxQtyByBalance = new Decimal(availableBalance2).div(marginRate).div(currentOrderReferencePrice).mul(MaxQtySafetyFactor).toNumber();
       const maxQtyByNotional = new Decimal(maxNotional).sub(new Decimal(markPrice).mul(positionQty)).sub(pendingLongNotional).div(currentOrderReferencePrice).toNumber();
       return Math.max(0, Math.min(maxQtyByBalance, maxQtyByNotional));
     } else {
@@ -803,7 +814,8 @@ function maxQtyForIsolatedMargin(inputs) {
           pendingLongOrders,
           pendingSellOrders,
           isoOrderFrozenLong: inputs.isoOrderFrozenLong,
-          isoOrderFrozenShort: inputs.isoOrderFrozenShort
+          isoOrderFrozenShort: inputs.isoOrderFrozenShort,
+          isoTakerFeeBuffer
         },
         maxNotional,
         epsilon,
@@ -816,7 +828,7 @@ function maxQtyForIsolatedMargin(inputs) {
         (acc, order) => acc + new Decimal(order.referencePrice).mul(order.quantity).toNumber(),
         0
       );
-      const maxQtyByBalance = new Decimal(availableBalance2).div(currentOrderReferencePrice).mul(leverage).toNumber();
+      const maxQtyByBalance = new Decimal(availableBalance2).div(marginRate).div(currentOrderReferencePrice).mul(MaxQtySafetyFactor).toNumber();
       const maxQtyByNotional = new Decimal(maxNotional).sub(new Decimal(markPrice).mul(Math.abs(positionQty))).sub(pendingSellNotional).div(currentOrderReferencePrice).toNumber();
       return Math.max(0, Math.min(maxQtyByBalance, maxQtyByNotional));
     } else {
@@ -831,7 +843,8 @@ function maxQtyForIsolatedMargin(inputs) {
           pendingLongOrders,
           pendingSellOrders,
           isoOrderFrozenLong: inputs.isoOrderFrozenLong,
-          isoOrderFrozenShort: inputs.isoOrderFrozenShort
+          isoOrderFrozenShort: inputs.isoOrderFrozenShort,
+          isoTakerFeeBuffer
         },
         maxNotional,
         epsilon,
@@ -849,7 +862,8 @@ function maxQtyIsolatedBinarySearch(inputs, maxNotional, epsilon, orderSide) {
     pendingLongOrders,
     pendingSellOrders,
     isoOrderFrozenLong,
-    isoOrderFrozenShort
+    isoOrderFrozenShort,
+    isoTakerFeeBuffer
   } = inputs;
   inputs.baseIMR;
   inputs.IMR_Factor;
@@ -858,18 +872,22 @@ function maxQtyIsolatedBinarySearch(inputs, maxNotional, epsilon, orderSide) {
   let right = new Decimal(maxNotional).div(currentOrderReferencePrice).add(Math.abs(positionQty)).toNumber();
   for (let i = 0; i < 30; i++) {
     const mid = (left + right) / 2;
-    const orderNotional = new Decimal(mid).mul(currentOrderReferencePrice);
-    const orderMargin = orderNotional.div(leverage);
-    const totalFrozenMargin = orderSide === OrderSide.BUY ? isoOrderFrozenLong + orderMargin.toNumber() : isoOrderFrozenShort + orderMargin.toNumber();
+    const pendingOrders = orderSide === OrderSide.BUY ? pendingLongOrders : pendingSellOrders;
+    const existingFrozen = orderSide === OrderSide.BUY ? isoOrderFrozenLong : isoOrderFrozenShort;
+    const totalOrderNotional = pendingOrders.reduce(
+      (acc, order) => acc.add(new Decimal(order.referencePrice).mul(order.quantity)),
+      new Decimal(mid).mul(currentOrderReferencePrice)
+    );
+    const orderFrozen = totalOrderNotional.mul(isolatedMarginRate({ leverage, isoTakerFeeBuffer })).sub(existingFrozen);
     const newPositionQty = orderSide === OrderSide.BUY ? positionQty + mid : positionQty - mid;
     const openNotional = new Decimal(Math.abs(newPositionQty)).mul(
       currentOrderReferencePrice
     );
-    const frozenOk = totalFrozenMargin <= availableBalance2;
+    const frozenOk = orderFrozen.lte(availableBalance2);
     const notionalOk = openNotional.lte(maxNotional);
     if (frozenOk && notionalOk) {
       left = mid;
-      if (new Decimal(availableBalance2).sub(totalFrozenMargin).lte(epsilon)) {
+      if (new Decimal(availableBalance2).sub(orderFrozen).lte(epsilon)) {
         break;
       }
     } else {
@@ -1106,6 +1124,7 @@ function estLiqPriceIsolated(inputs) {
     baseIMR,
     IMR_Factor: IMRFactor,
     leverage,
+    isoTakerFeeBuffer = IsoTakerFeeBuffer,
     newOrder
   } = inputs;
   const signedOrderQty = (_a = newOrder == null ? void 0 : newOrder.qty) != null ? _a : 0;
@@ -1130,6 +1149,7 @@ function estLiqPriceIsolated(inputs) {
   const decCostPosition = new Decimal(costPosition);
   const decIsolatedMargin = new Decimal(isolatedPositionMargin);
   const decOrderCost = new Decimal(signedOrderQty).mul(orderRefPrice);
+  const getMarginRate = () => new Decimal(1).div(leverage).add(isoTakerFeeBuffer);
   let newIsolatedPositionMargin;
   let newCostPosition;
   switch (getScenario()) {
@@ -1139,7 +1159,7 @@ function estLiqPriceIsolated(inputs) {
       break;
     case "OPEN_ADD":
       newIsolatedPositionMargin = decIsolatedMargin.add(
-        new Decimal(Math.abs(signedOrderQty)).mul(orderRefPrice).div(leverage)
+        new Decimal(Math.abs(signedOrderQty)).mul(orderRefPrice).mul(getMarginRate())
       );
       newCostPosition = decCostPosition.add(decOrderCost);
       break;
@@ -1148,7 +1168,7 @@ function estLiqPriceIsolated(inputs) {
       newCostPosition = decCostPosition.add(decOrderCost);
       break;
     case "FLIP":
-      newIsolatedPositionMargin = decAbsNewPositionQty.mul(orderRefPrice).div(leverage);
+      newIsolatedPositionMargin = decAbsNewPositionQty.mul(orderRefPrice).mul(getMarginRate());
       newCostPosition = decNewPositionQty.mul(orderRefPrice);
       break;
   }