@pear-protocol/types 1.31.0 → 1.32.0

package/dist/trigger/entities/index.js

@@ -4,6 +4,8 @@ import { TradeLegPostOnly, TradeLeg } from '../../common/trade-legs';
 import { Connector } from '../../connector';
 import { Fill } from '../../fill';
 import { InstrumentId } from '../../instrument';
+import { TWAPRandomization } from '../../schedule/randomization';
+import { TWAPSliceIntervalSec, MIN_TWAP_SLICE_INTERVAL_SEC, FINAL_TWAP_SLICE_START_HEADROOM_SEC, MAX_TWAP_DURATION_SEC, TWAPTargetNotional, TriggerTWAPOpenLegs } from '../../schedule/twap-config';
 import { TrailingMode, BracketType, TriggerStatus, TriggerCancelledReason, TpSlBracketType } from '../common';
 import { TriggerConditionOpen, TriggerConditionAdjust, TriggerConditionClose } from './conditions';
 
@@ -197,8 +199,59 @@ const TriggerMarket = z.discriminatedUnion("intent", [
   TriggerMarketAdjust,
   TriggerMarketClose
 ]);
+const TriggerTWAPContext = z.object({
+  type: z.literal("TWAP"),
+  durationSec: z.int().min(MIN_TWAP_SLICE_INTERVAL_SEC + FINAL_TWAP_SLICE_START_HEADROOM_SEC).max(MAX_TWAP_DURATION_SEC),
+  sliceIntervalSec: TWAPSliceIntervalSec,
+  randomization: TWAPRandomization,
+  position: z.object({
+    id: z.uuid(),
+    initialExposure: z.record(InstrumentId, SignedDecimalString)
+  })
+}).refine((context) => context.durationSec >= context.sliceIntervalSec + FINAL_TWAP_SLICE_START_HEADROOM_SEC, {
+  message: `TWAP duration must leave ${FINAL_TWAP_SLICE_START_HEADROOM_SEC} seconds after the first slice`,
+  path: [
+    "durationSec"
+  ]
+});
+const TriggerTWAPAdjust = BaseTrigger.extend({
+  /** Intent. */
+  intent: z.literal("ADJUST"),
+  /** Order type. */
+  type: z.literal("TWAP"),
+  /** Schedule created when the trigger fired, absent before firing or after a skipped fire. */
+  scheduleId: z.uuid().optional(),
+  /** Condition. */
+  condition: TriggerConditionAdjust,
+  /** Persisted TWAP execution context. */
+  context: TriggerTWAPContext.safeExtend({
+    legs: TriggerTWAPOpenLegs,
+    targetNotional: TWAPTargetNotional
+  }),
+  /** Optional trailing configuration. */
+  trailing: Trailing.optional()
+});
+const TriggerTWAPClose = BaseTrigger.extend({
+  /** Intent. */
+  intent: z.literal("CLOSE"),
+  /** Order type. */
+  type: z.literal("TWAP"),
+  /** Schedule created when the trigger fired, absent before firing or after a skipped fire. */
+  scheduleId: z.uuid().optional(),
+  /** Condition. */
+  condition: TriggerConditionClose,
+  /** Persisted TWAP execution context. */
+  context: TriggerTWAPContext,
+  /** Optional trailing configuration. */
+  trailing: Trailing.optional()
+});
+const TriggerTWAP = z.discriminatedUnion("intent", [
+  TriggerTWAPAdjust,
+  TriggerTWAPClose
+]);
 const Trigger = z.discriminatedUnion("type", [
-  TriggerMarket
+  TriggerMarket,
+  TriggerTWAP
 ]);
 
-export { Trailing, Trigger, TriggerMarket, TriggerMarketAdjust, TriggerMarketClose, TriggerMarketOpen, TriggerMarketOpenAttachedTrigger };
+export { Trailing, Trigger, TriggerMarket, TriggerMarketAdjust, TriggerMarketClose, TriggerMarketOpen, TriggerMarketOpenAttachedTrigger, TriggerTWAP, TriggerTWAPAdjust, TriggerTWAPClose };