@pendle/sdk-boros 0.2.7 → 0.2.8
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
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@@ -1,2 +1,2 @@
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1
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import { AMMStateResponse, OrderBooksV3Response } from '../../backend/secrettune/BorosBackendSDK';
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2
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-
export declare function combineMarketOrderBookAndAMM(tickSize: number, marketOrderBook: OrderBooksV3Response, ammStateResponse: AMMStateResponse, isPositiveAMM: boolean): OrderBooksV3Response;
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2
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export declare function combineMarketOrderBookAndAMM(tickSize: number, marketOrderBook: OrderBooksV3Response, ammStateResponse: AMMStateResponse, isPositiveAMM: boolean, ammFeeRateBigInt: string): OrderBooksV3Response;
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package/dist/entities/amm/amm.js
CHANGED
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@@ -5,17 +5,16 @@ const boros_offchain_math_1 = require("@pendle/boros-offchain-math");
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const NegativeAMMMath_1 = require("./NegativeAMMMath");
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const PositiveAMMMath_1 = require("./PositiveAMMMath");
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const constants_1 = require("./constants");
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-
function combineMarketOrderBookAndAMM(tickSize, marketOrderBook, ammStateResponse, isPositiveAMM) {
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8
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function combineMarketOrderBookAndAMM(tickSize, marketOrderBook, ammStateResponse, isPositiveAMM, ammFeeRateBigInt) {
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const ammFeeRate = boros_offchain_math_1.FixedX18.fromRawValue(BigInt(ammFeeRateBigInt)).toNumber();
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const ammState = convertAMMStateResponseToAMMContractState(ammStateResponse);
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const { normFixedAmount, totalFloatAmount } = ammState;
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const AMMImpliedRate = isPositiveAMM
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? boros_offchain_math_1.FixedX18.fromRawValue(PositiveAMMMath_1.PositiveAMMMath.calcImpliedRate(totalFloatAmount, normFixedAmount)).toNumber()
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: boros_offchain_math_1.FixedX18.fromRawValue(NegativeAMMMath_1.NegativeAMMMath.calcImpliedRate(totalFloatAmount, normFixedAmount)).toNumber();
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const bestBidRate = marketOrderBook.long.ia.length > 0 ? marketOrderBook.long.ia[0] * tickSize : AMMImpliedRate;
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const bestAskRate = marketOrderBook.short.ia.length > 0 ? marketOrderBook.short.ia[0] * tickSize : AMMImpliedRate;
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let longOrderBookIndex = 0, shortOrderBookIndex = 0;
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let ammShortRate = AMMImpliedRate;
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let ammLongRate = AMMImpliedRate;
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let ammShortRate = AMMImpliedRate + ammFeeRate;
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let ammLongRate = AMMImpliedRate - ammFeeRate;
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const short = {
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ia: [],
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sz: [],
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@@ -24,25 +23,24 @@ function combineMarketOrderBookAndAMM(tickSize, marketOrderBook, ammStateRespons
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ia: [],
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sz: [],
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};
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let longIa = Math.floor(
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let shortIa = Math.ceil(
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long.sz.push(marketOrderBook.long.sz[longOrderBookIndex]);
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longOrderBookIndex++;
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}
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shortIa = (marketOrderBook.long.ia[0] ?? longIa) + 1;
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let longIa = Math.floor(ammLongRate / tickSize);
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let shortIa = Math.ceil(ammShortRate / tickSize);
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while (longOrderBookIndex < marketOrderBook.long.ia.length && marketOrderBook.long.ia[longOrderBookIndex] > longIa) {
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long.ia.push(marketOrderBook.long.ia[longOrderBookIndex]);
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long.sz.push(marketOrderBook.long.sz[longOrderBookIndex]);
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longOrderBookIndex++;
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}
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longIa = (marketOrderBook.short.ia[0]
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while (shortOrderBookIndex < marketOrderBook.short.ia.length &&
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marketOrderBook.short.ia[shortOrderBookIndex] < shortIa) {
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short.ia.push(marketOrderBook.short.ia[shortOrderBookIndex]);
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short.sz.push(marketOrderBook.short.sz[shortOrderBookIndex]);
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shortOrderBookIndex++;
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}
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if (marketOrderBook.short.ia.length > 0) {
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longIa = Math.min(longIa, marketOrderBook.short.ia[0] - 1);
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}
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if (marketOrderBook.long.ia.length > 0) {
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shortIa = Math.max(shortIa, marketOrderBook.long.ia[0] + 1);
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}
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while (short.ia.length < constants_1.ORDER_BOOK_SIZE_PER_SIDE) {
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let sz = 0n;
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@@ -53,8 +51,8 @@ function combineMarketOrderBookAndAMM(tickSize, marketOrderBook, ammStateRespons
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}
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const newAMMShortRate = shortIa * tickSize;
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sz += calSwapAMMFromToRate({
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fromRate: ammShortRate,
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toRate: newAMMShortRate,
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fromRate: Math.max(AMMImpliedRate, ammShortRate - ammFeeRate),
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toRate: Math.max(AMMImpliedRate, newAMMShortRate - ammFeeRate),
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isPositiveAMM,
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state: ammState,
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});
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@@ -77,8 +75,8 @@ function combineMarketOrderBookAndAMM(tickSize, marketOrderBook, ammStateRespons
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}
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const newAMMLongRate = longIa * tickSize;
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sz += calSwapAMMFromToRate({
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fromRate: newAMMLongRate,
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toRate: ammLongRate,
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fromRate: Math.min(AMMImpliedRate, newAMMLongRate + ammFeeRate),
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toRate: Math.min(AMMImpliedRate, ammLongRate + ammFeeRate),
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isPositiveAMM,
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state: ammState,
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});
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@@ -1 +1 @@
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1
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-
{"version":3,"file":"amm.js","sourceRoot":"","sources":["../../../src/entities/amm/amm.ts"],"names":[],"mappings":";;AAMA,
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1
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{"version":3,"file":"amm.js","sourceRoot":"","sources":["../../../src/entities/amm/amm.ts"],"names":[],"mappings":";;AAMA,oEAyHC;AA/HD,qEAAuD;AAEvD,uDAAoD;AACpD,uDAAsE;AACtE,2CAAuD;AAEvD,SAAgB,4BAA4B,CAC1C,QAAgB,EAChB,eAAqC,EACrC,gBAAkC,EAClC,aAAsB,EACtB,gBAAwB;IAExB,MAAM,UAAU,GAAG,8BAAQ,CAAC,YAAY,CAAC,MAAM,CAAC,gBAAgB,CAAC,CAAC,CAAC,QAAQ,EAAE,CAAC;IAC9E,MAAM,QAAQ,GAAG,yCAAyC,CAAC,gBAAgB,CAAC,CAAC;IAC7E,MAAM,EAAE,eAAe,EAAE,gBAAgB,EAAE,GAAG,QAAQ,CAAC;IACvD,MAAM,cAAc,GAAG,aAAa;QAClC,CAAC,CAAC,8BAAQ,CAAC,YAAY,CAAC,iCAAe,CAAC,eAAe,CAAC,gBAAgB,EAAE,eAAe,CAAC,CAAC,CAAC,QAAQ,EAAE;QACtG,CAAC,CAAC,8BAAQ,CAAC,YAAY,CAAC,iCAAe,CAAC,eAAe,CAAC,gBAAgB,EAAE,eAAe,CAAC,CAAC,CAAC,QAAQ,EAAE,CAAC;IAEzG,IAAI,kBAAkB,GAAG,CAAC,EACxB,mBAAmB,GAAG,CAAC,CAAC;IAC1B,IAAI,YAAY,GAAG,cAAc,GAAG,UAAU,CAAC;IAC/C,IAAI,WAAW,GAAG,cAAc,GAAG,UAAU,CAAC;IAE9C,MAAM,KAAK,GAAqB;QAC9B,EAAE,EAAE,EAAE;QACN,EAAE,EAAE,EAAE;KACP,CAAC;IAEF,MAAM,IAAI,GAAqB;QAC7B,EAAE,EAAE,EAAE;QACN,EAAE,EAAE,EAAE;KACP,CAAC;IAEF,IAAI,MAAM,GAAG,IAAI,CAAC,KAAK,CAAC,WAAW,GAAG,QAAQ,CAAC,CAAC;IAChD,IAAI,OAAO,GAAG,IAAI,CAAC,IAAI,CAAC,YAAY,GAAG,QAAQ,CAAC,CAAC;IAEjD,OAAO,kBAAkB,GAAG,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,MAAM,IAAI,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,kBAAkB,CAAC,GAAG,MAAM,EAAE,CAAC;QACnH,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,kBAAkB,CAAC,CAAC,CAAC;QAC1D,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,kBAAkB,CAAC,CAAC,CAAC;QAC1D,kBAAkB,EAAE,CAAC;IACvB,CAAC;IAED,OACE,mBAAmB,GAAG,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,MAAM;QACrD,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,mBAAmB,CAAC,GAAG,OAAO,EACvD,CAAC;QACD,KAAK,CAAC,EAAE,CAAC,IAAI,CAAC,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,mBAAmB,CAAC,CAAC,CAAC;QAC7D,KAAK,CAAC,EAAE,CAAC,IAAI,CAAC,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,mBAAmB,CAAC,CAAC,CAAC;QAC7D,mBAAmB,EAAE,CAAC;IACxB,CAAC;IAED,IAAI,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;QACxC,MAAM,GAAG,IAAI,CAAC,GAAG,CAAC,MAAM,EAAE,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IAC7D,CAAC;IAED,IAAI,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;QACvC,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,OAAO,EAAE,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IAC9D,CAAC;IAED,OAAO,KAAK,CAAC,EAAE,CAAC,MAAM,GAAG,oCAAwB,EAAE,CAAC;QAClD,IAAI,EAAE,GAAG,EAAE,CAAC;QACZ,OACE,mBAAmB,GAAG,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,MAAM;YACrD,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,mBAAmB,CAAC,IAAI,OAAO,EACxD,CAAC;YACD,EAAE,IAAI,MAAM,CAAC,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,mBAAmB,CAAC,CAAC,CAAC;YAC5D,mBAAmB,EAAE,CAAC;QACxB,CAAC;QAED,MAAM,eAAe,GAAG,OAAO,GAAG,QAAQ,CAAC;QAE3C,EAAE,IAAI,oBAAoB,CAAC;YACzB,QAAQ,EAAE,IAAI,CAAC,GAAG,CAAC,cAAc,EAAE,YAAY,GAAG,UAAU,CAAC;YAC7D,MAAM,EAAE,IAAI,CAAC,GAAG,CAAC,cAAc,EAAE,eAAe,GAAG,UAAU,CAAC;YAC9D,aAAa;YACb,KAAK,EAAE,QAAQ;SAChB,CAAC,CAAC;QAEH,YAAY,GAAG,IAAI,CAAC,GAAG,CAAC,YAAY,EAAE,eAAe,CAAC,CAAC;QAEvD,IAAI,EAAE,GAAG,EAAE,EAAE,CAAC;YACZ,KAAK,CAAC,EAAE,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC;YACvB,KAAK,CAAC,EAAE,CAAC,IAAI,CAAC,EAAE,CAAC,QAAQ,EAAE,CAAC,CAAC;QAC/B,CAAC;aAAM,IAAI,mBAAmB,IAAI,eAAe,CAAC,KAAK,CAAC,EAAE,CAAC,MAAM,EAAE,CAAC;YAClE,MAAM;QACR,CAAC;QAED,OAAO,EAAE,CAAC;IACZ,CAAC;IAED,OAAO,IAAI,CAAC,EAAE,CAAC,MAAM,GAAG,oCAAwB,EAAE,CAAC;QACjD,IAAI,EAAE,GAAG,EAAE,CAAC;QACZ,OACE,kBAAkB,GAAG,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,MAAM;YACnD,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,kBAAkB,CAAC,IAAI,MAAM,EACrD,CAAC;YACD,EAAE,IAAI,MAAM,CAAC,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,kBAAkB,CAAC,CAAC,CAAC;YAC1D,kBAAkB,EAAE,CAAC;QACvB,CAAC;QAED,MAAM,cAAc,GAAG,MAAM,GAAG,QAAQ,CAAC;QAEzC,EAAE,IAAI,oBAAoB,CAAC;YACzB,QAAQ,EAAE,IAAI,CAAC,GAAG,CAAC,cAAc,EAAE,cAAc,GAAG,UAAU,CAAC;YAC/D,MAAM,EAAE,IAAI,CAAC,GAAG,CAAC,cAAc,EAAE,WAAW,GAAG,UAAU,CAAC;YAC1D,aAAa;YACb,KAAK,EAAE,QAAQ;SAChB,CAAC,CAAC;QAEH,WAAW,GAAG,IAAI,CAAC,GAAG,CAAC,WAAW,EAAE,cAAc,CAAC,CAAC;QAEpD,IAAI,EAAE,GAAG,EAAE,EAAE,CAAC;YACZ,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;YACrB,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,EAAE,CAAC,QAAQ,EAAE,CAAC,CAAC;QAC9B,CAAC;aAAM,IAAI,kBAAkB,IAAI,eAAe,CAAC,IAAI,CAAC,EAAE,CAAC,MAAM,EAAE,CAAC;YAChE,MAAM;QACR,CAAC;QAED,MAAM,EAAE,CAAC;IACX,CAAC;IAED,OAAO;QACL,IAAI;QACJ,KAAK;KACN,CAAC;AACJ,CAAC;AAED,SAAS,oBAAoB,CAAC,EAC5B,QAAQ,EACR,MAAM,EACN,aAAa,EACb,KAAK,GAMN;IACC,IAAI,QAAQ,GAAG,MAAM,EAAE,CAAC;QACtB,OAAO,EAAE,CAAC;IACZ,CAAC;IAED,MAAM,UAAU,GAAG,iBAAiB,CAAC;QACnC,IAAI,EAAE,MAAM;QACZ,aAAa;QACb,KAAK;KACN,CAAC,CAAC;IAEH,MAAM,YAAY,GAAG,iBAAiB,CAAC;QACrC,IAAI,EAAE,QAAQ;QACd,aAAa;QACb,KAAK;KACN,CAAC,CAAC;IAEH,IAAI,UAAU,GAAG,CAAC,EAAE,CAAC;QACnB,OAAO,IAAI,CAAC,YAAY,CAAC,GAAG,IAAI,CAAC,UAAU,CAAC,CAAC;IAC/C,CAAC;IAED,IAAI,YAAY,GAAG,CAAC,EAAE,CAAC;QACrB,OAAO,UAAU,GAAG,IAAI,CAAC,YAAY,CAAC,CAAC;IACzC,CAAC;IAED,OAAO,UAAU,GAAG,YAAY,CAAC;AACnC,CAAC;AAED,SAAS,iBAAiB,CAAC,EACzB,IAAI,EACJ,aAAa,EACb,KAAK,GAKN;IACC,OAAO,aAAa;QAClB,CAAC,CAAC,iCAAe,CAAC,YAAY,CAAC,KAAK,EAAE,8BAAQ,CAAC,UAAU,CAAC,IAAI,CAAC,CAAC,KAAK,CAAC,CAAC,QAAQ;QAC/E,CAAC,CAAC,iCAAe,CAAC,YAAY,CAAC,KAAK,EAAE,8BAAQ,CAAC,UAAU,CAAC,IAAI,CAAC,CAAC,KAAK,CAAC,CAAC,QAAQ,CAAC;AACpF,CAAC;AAED,SAAS,IAAI,CAAC,KAAa;IACzB,OAAO,KAAK,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC;AACrC,CAAC;AAED,SAAS,yCAAyC,CAAC,QAA0B;IAC3E,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