@pear-protocol/utils 0.0.1 → 0.0.2

package/dist/fills/compute.d.ts

@@ -1,9 +1,12 @@
 import BigNumber from 'bignumber.js';
 import type { Fill } from './fill.types';
 /**
- * Compute weighted average entry price for a SINGLE INSTRUMENT.
+ * Cost-basis average entry price for a single instrument.
  *
- * - Handles flips automatically
- * - Uses ONLY active fills since last flip
+ * Processes fills chronologically in a single pass:
+ *  - Increase position : weighted average of old + new
+ *  - Reduce position   : entry price unchanged
+ *  - Close to zero     : keep last entry price (for tracking purpose)
+ *  - Flip sign         : entry price resets to flip fill's price
  */
 export declare function computeEntryPriceForAsset(fills: Fill[]): BigNumber;

package/dist/fills/compute.js

@@ -1,18 +1,24 @@
 import BigNumber from 'bignumber.js';
 import { ZERO } from '../math';
-import { getActiveFillsSinceLastFlip } from './flips';
 
 function computeEntryPriceForAsset(fills) {
-  const activeFills = getActiveFillsSinceLastFlip(fills);
-  let weightedSum = ZERO;
-  let totalQty = ZERO;
-  for (const fill of activeFills) {
+  let entryPrice = ZERO;
+  let positionSize = ZERO;
+  for (const fill of fills) {
     const price = new BigNumber(fill.price);
-    const qty = new BigNumber(fill.quantity);
-    weightedSum = weightedSum.plus(price.times(qty));
-    totalQty = totalQty.plus(qty);
+    const quantity = new BigNumber(fill.quantity);
+    const signed = fill.side === "BUY" ? quantity : quantity.negated();
+    const newPositionSize = positionSize.plus(signed);
+    const isSameDirection = !positionSize.isZero() && positionSize.isPositive() === signed.isPositive();
+    const isFlip = !positionSize.isZero() && !newPositionSize.isZero() && newPositionSize.isPositive() !== positionSize.isPositive();
+    if (positionSize.isZero() || isFlip) {
+      entryPrice = price;
+    } else if (isSameDirection) {
+      entryPrice = entryPrice.times(positionSize.abs()).plus(price.times(quantity)).div(newPositionSize.abs());
+    }
+    positionSize = newPositionSize;
   }
-  return totalQty.isZero() ? ZERO : weightedSum.div(totalQty);
+  return entryPrice;
 }
 
 export { computeEntryPriceForAsset };

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@pear-protocol/utils",
-  "version": "0.0.1",
+  "version": "0.0.2",
   "description": "Pear Protocol Utility functions",
   "private": false,
   "type": "module",
@@ -25,7 +25,7 @@
     "typecheck": "tsc --noEmit"
   },
   "dependencies": {
-    "@pear-protocol/types": "0.0.1",
+    "@pear-protocol/types": "0.0.2",
     "bignumber.js": "9.3.1"
   },
   "devDependencies": {

package/dist/fills/flips.d.ts

@@ -1,5 +0,0 @@
-import type { Fill } from './fill.types';
-/**
- * Returns only the fills contributing to the CURRENT exposure.
- */
-export declare function getActiveFillsSinceLastFlip(fills: Fill[]): Fill[];

package/dist/fills/flips.js

@@ -1,23 +0,0 @@
-import BigNumber from 'bignumber.js';
-import { sign } from '../math';
-
-function getActiveFillsSinceLastFlip(fills) {
-  const lastFlipIndex = detectLastFlipIndex(fills);
-  return fills.slice(lastFlipIndex + 1);
-}
-function detectLastFlipIndex(fills) {
-  let runningExposure = new BigNumber(0);
-  let lastFlipIndex = -1;
-  fills.forEach((fill, i) => {
-    const qty = new BigNumber(fill.quantity);
-    const signedQty = fill.side === "BUY" ? qty : qty.negated();
-    const nextExposure = runningExposure.plus(signedQty);
-    if (!runningExposure.isZero() && sign(runningExposure) !== sign(nextExposure)) {
-      lastFlipIndex = i;
-    }
-    runningExposure = nextExposure;
-  });
-  return lastFlipIndex;
-}
-
-export { getActiveFillsSinceLastFlip };