@reyaxyz/common 0.1.0

package/LICENSE.md

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+MIT License

package/README.md

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+# @voltz-protocol/commons-v2
+
+<p align="center">
+  <a href="https://app.voltz.xyz/">
+    <picture>
+      <img src="./assets/voltz-background.jpeg" alt="Voltz" width="512" />
+    </picture>
+  </a>
+</p>
+
+<p align="center"> API for the Voltz v2 </p>
+
+<br />
+
+| Statements                  | Branches                | Functions                 | Lines             |
+| --------------------------- | ----------------------- | ------------------------- | ----------------- |
+| ![Statements](https://img.shields.io/badge/statements-0%25-red.svg?style=flat) | ![Branches](https://img.shields.io/badge/branches-0%25-red.svg?style=flat) | ![Functions](https://img.shields.io/badge/functions-0%25-red.svg?style=flat) | ![Lines](https://img.shields.io/badge/lines-0%25-red.svg?style=flat) |
+

package/dist/commands/exposure/command.js

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+"use strict";
+var __spreadArray = (this && this.__spreadArray) || function (to, from, pack) {
+    if (pack || arguments.length === 2) for (var i = 0, l = from.length, ar; i < l; i++) {
+        if (ar || !(i in from)) {
+            if (!ar) ar = Array.prototype.slice.call(from, 0, i);
+            ar[i] = from[i];
+        }
+    }
+    return to.concat(ar || Array.prototype.slice.call(from));
+};
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.ExposureCommand = void 0;
+var bignumber_js_1 = __importDefault(require("bignumber.js"));
+var lodash_1 = __importDefault(require("lodash"));
+var utils_1 = require("../../utils");
+var ExposureCommand = /** @class */ (function () {
+    function ExposureCommand(rootCollateralPoolId, oraclePricePerMarket, accountBalancePerAsset, groupedByCollateral, riskMultipliers, riskMatrices, exchangeInfoPerAsset, positionInfoMarketConfiguration, uniqueTokenAddresses, uniqueQuoteCollaterals, tokenMarginInfoPerAsset, realizedPnLSum, unrealizedPnLSum) {
+        this.rootCollateralPoolId = rootCollateralPoolId;
+        this.oraclePricePerMarket = oraclePricePerMarket;
+        this.accountBalancePerAsset = accountBalancePerAsset;
+        this.groupedByCollateral = groupedByCollateral;
+        this.riskMultipliers = riskMultipliers;
+        this.riskMatrices = riskMatrices;
+        this.exchangeInfoPerAsset = exchangeInfoPerAsset;
+        this.positionInfoMarketConfiguration = positionInfoMarketConfiguration;
+        this.uniqueTokenAddresses = uniqueTokenAddresses;
+        this.uniqueQuoteCollaterals = uniqueQuoteCollaterals;
+        this.tokenMarginInfoPerAsset = tokenMarginInfoPerAsset;
+        this.realizedPnLSum = realizedPnLSum;
+        this.unrealizedPnLSum = unrealizedPnLSum;
+    }
+    ExposureCommand.prototype.getState = function () {
+        return {
+            rootCollateralPoolId: this.rootCollateralPoolId,
+            oraclePricePerMarket: this.oraclePricePerMarket,
+            accountBalancePerAsset: this.accountBalancePerAsset,
+            groupedByCollateral: this.groupedByCollateral,
+            riskMultipliers: this.riskMultipliers,
+            riskMatrices: this.riskMatrices,
+            exchangeInfoPerAsset: this.exchangeInfoPerAsset,
+            positionInfoMarketConfiguration: this.positionInfoMarketConfiguration,
+            uniqueTokenAddresses: this.uniqueTokenAddresses,
+            uniqueQuoteCollaterals: this.uniqueQuoteCollaterals,
+            tokenMarginInfoPerAsset: this.tokenMarginInfoPerAsset,
+            realizedPnLSum: this.realizedPnLSum,
+            unrealizedPnLSum: this.unrealizedPnLSum,
+        };
+    };
+    Object.defineProperty(ExposureCommand.prototype, "getUsdNodeMarginInfo", {
+        get: function () {
+            return ExposureCommand.getUsdNodeMarginInfo(this.rootCollateralPoolId, this.uniqueTokenAddresses, this.exchangeInfoPerAsset, this.tokenMarginInfoPerAsset);
+        },
+        enumerable: false,
+        configurable: true
+    });
+    Object.defineProperty(ExposureCommand.prototype, "balancePerAsset", {
+        get: function () {
+            return this.tokenMarginInfoPerAsset;
+        },
+        enumerable: false,
+        configurable: true
+    });
+    Object.defineProperty(ExposureCommand.prototype, "exchangePricePerAsset", {
+        get: function () {
+            return this.exchangeInfoPerAsset;
+        },
+        enumerable: false,
+        configurable: true
+    });
+    ExposureCommand.prototype.getUsdNodeMarginInfoPostTrade = function (positionAmount, collateralAddress, marketConfiguration) {
+        // perform deep copy of the object
+        var positionInfoMarketConfiguration = lodash_1.default.cloneDeep(this.positionInfoMarketConfiguration);
+        // Check if the market_id already exists in the array
+        var existingConfigIndex = positionInfoMarketConfiguration.findIndex(function (config) {
+            return config.market_id ===
+                (0, bignumber_js_1.default)(String(marketConfiguration.market_id)).toNumber();
+        });
+        if (existingConfigIndex !== -1) {
+            // If it exists, update the amount
+            positionInfoMarketConfiguration[existingConfigIndex].base = (0, bignumber_js_1.default)(positionInfoMarketConfiguration[existingConfigIndex].base).plus(positionAmount);
+        }
+        else {
+            // If it doesn't exist, add a new element
+            positionInfoMarketConfiguration.push({
+                base: (0, bignumber_js_1.default)(positionAmount),
+                realized_pnl: (0, bignumber_js_1.default)(0),
+                last_price: (0, bignumber_js_1.default)(0),
+                last_timestamp: (0, bignumber_js_1.default)(0),
+                funding_value: (0, bignumber_js_1.default)(0),
+                base_multiplier: (0, bignumber_js_1.default)(0),
+                adl_unwind_price: (0, bignumber_js_1.default)(0),
+                market_id: (0, bignumber_js_1.default)(String(marketConfiguration.market_id)).toNumber(),
+                market_configuration: marketConfiguration,
+            });
+        }
+        var uniqueQuoteCollaterals = new Set(this.uniqueQuoteCollaterals);
+        uniqueQuoteCollaterals.add(collateralAddress);
+        var tokenMarginInfoPerAsset = ExposureCommand.calculateTokenMarginInfoPerAsset(this.groupedByCollateral, this.rootCollateralPoolId, this.riskMatrices, this.riskMultipliers, uniqueQuoteCollaterals, this.realizedPnLSum, this.unrealizedPnLSum, positionInfoMarketConfiguration, this.oraclePricePerMarket);
+        var uniqueTokenAddresses = __spreadArray([], this.uniqueTokenAddresses, true);
+        if (!this.uniqueTokenAddresses.includes(collateralAddress)) {
+            uniqueTokenAddresses.push(collateralAddress);
+        }
+        return ExposureCommand.getUsdNodeMarginInfo(this.rootCollateralPoolId, uniqueTokenAddresses, this.exchangeInfoPerAsset, tokenMarginInfoPerAsset);
+    };
+    ExposureCommand.calculateTokenMarginInfoPerAsset = function (groupedByCollateral, rootCollateralPoolId, riskMatrices, riskMultipliers, uniqueQuoteCollaterals, realizedPnLSum, unrealizedPnLSum, positionInfoMarketConfiguration, oraclePricePerMarket) {
+        var _a;
+        var tokenMarginInfoPerAsset = [];
+        var uniqueQuoteTokens = Array.from(uniqueQuoteCollaterals);
+        var tokenUnion = new Set(__spreadArray(__spreadArray([], Object.keys(groupedByCollateral), true), uniqueQuoteTokens, true)); // get unique union of those arrays
+        var uniqueTokenAddresses = Array.from(tokenUnion);
+        for (var _i = 0, uniqueTokenAddresses_1 = uniqueTokenAddresses; _i < uniqueTokenAddresses_1.length; _i++) {
+            var token = uniqueTokenAddresses_1[_i];
+            tokenMarginInfoPerAsset.push(ExposureCommand.getTokenMarginInfo(rootCollateralPoolId, riskMatrices, riskMultipliers, ExposureCommand.getCollateralInfo(token, uniqueQuoteCollaterals.has(token) ? realizedPnLSum : (0, bignumber_js_1.default)(0), uniqueQuoteCollaterals.has(token) ? unrealizedPnLSum : (0, bignumber_js_1.default)(0), ((_a = groupedByCollateral[token]) === null || _a === void 0 ? void 0 : _a.amount) || 0), token, positionInfoMarketConfiguration, oraclePricePerMarket, uniqueQuoteTokens));
+        }
+        return tokenMarginInfoPerAsset;
+    };
+    ExposureCommand.calculateLiquidation = function (globalMarginInfo, oraclePrice, positionBase) {
+        var liquidationPrice = (0, bignumber_js_1.default)(oraclePrice).minus((0, bignumber_js_1.default)(globalMarginInfo.marginBalance)
+            .minus(globalMarginInfo.liquidationMarginRequirement)
+            .div(positionBase));
+        return bignumber_js_1.default.max(0, liquidationPrice);
+    };
+    ExposureCommand.calculateImpliedLeverage = function (notionalExposure, oldIMR, newIMR) {
+        var changeInImr = (0, bignumber_js_1.default)(newIMR).minus(oldIMR);
+        if (changeInImr.eq(0)) {
+            return 0;
+        }
+        return (0, bignumber_js_1.default)(notionalExposure).div(changeInImr).toNumber();
+    };
+    ExposureCommand.combineMarginInfo = function (parentMarginInfo, sonMarginInfo, sonParentExchangeInfo) {
+        return {
+            assetAddress: parentMarginInfo.assetAddress,
+            marginBalance: (0, bignumber_js_1.default)(parentMarginInfo.marginBalance)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(sonMarginInfo.marginBalance, sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+            realBalance: (0, bignumber_js_1.default)(parentMarginInfo.realBalance)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(sonMarginInfo.realBalance, sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+            initialDelta: (0, bignumber_js_1.default)(parentMarginInfo.initialDelta)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(bignumber_js_1.default.min(sonMarginInfo.realBalance, sonMarginInfo.initialDelta).toNumber(), sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+            maintenanceDelta: (0, bignumber_js_1.default)(parentMarginInfo.maintenanceDelta)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(bignumber_js_1.default.min(sonMarginInfo.maintenanceDelta, sonMarginInfo.realBalance).toNumber(), sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+            liquidationDelta: (0, bignumber_js_1.default)(parentMarginInfo.liquidationDelta)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(bignumber_js_1.default.min(sonMarginInfo.liquidationDelta, sonMarginInfo.realBalance).toNumber(), sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+            dutchDelta: (0, bignumber_js_1.default)(parentMarginInfo.dutchDelta)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(bignumber_js_1.default.min(sonMarginInfo.dutchDelta, sonMarginInfo.realBalance).toNumber(), sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+            adlDelta: (0, bignumber_js_1.default)(parentMarginInfo.adlDelta)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(bignumber_js_1.default.min(sonMarginInfo.adlDelta, sonMarginInfo.realBalance).toNumber(), sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+            initialBufferDelta: (0, bignumber_js_1.default)(parentMarginInfo.initialBufferDelta)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(bignumber_js_1.default.min(sonMarginInfo.initialBufferDelta, sonMarginInfo.realBalance).toNumber(), sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+            liquidationMarginRequirement: (0, bignumber_js_1.default)(parentMarginInfo.liquidationMarginRequirement)
+                .plus(ExposureCommand.exchangeWithPriceHaircut(sonMarginInfo.liquidationMarginRequirement, sonParentExchangeInfo.price, sonParentExchangeInfo.priceHaircut))
+                .toNumber(),
+        };
+    };
+    ExposureCommand.getUsdNodeMarginInfo = function (accountCollateralPoolId, quoteTokens, exchangeInfoPerAsset, marginInfoPerToken) {
+        var usdNodeMarginInfo = {
+            assetAddress: '',
+            marginBalance: 0,
+            realBalance: 0,
+            initialDelta: 0,
+            maintenanceDelta: 0,
+            liquidationDelta: 0,
+            dutchDelta: 0,
+            adlDelta: 0,
+            initialBufferDelta: 0,
+            liquidationMarginRequirement: 0,
+        };
+        var _loop_1 = function (quoteToken) {
+            var exchangeInfo = exchangeInfoPerAsset.find(function (exchangeInfo) {
+                return quoteToken === exchangeInfo.tokenAddress;
+            });
+            var marginInfo = marginInfoPerToken.find(function (marginInfo) {
+                return quoteToken === marginInfo.assetAddress;
+            });
+            if (!exchangeInfo || !marginInfo) {
+                throw Error('Missing exchangeInfo/marginInfo');
+            }
+            usdNodeMarginInfo = ExposureCommand.combineMarginInfo(usdNodeMarginInfo, marginInfo, exchangeInfo);
+        };
+        for (var _i = 0, quoteTokens_1 = quoteTokens; _i < quoteTokens_1.length; _i++) {
+            var quoteToken = quoteTokens_1[_i];
+            _loop_1(quoteToken);
+        }
+        return usdNodeMarginInfo;
+    };
+    ExposureCommand.getCollateralInfo = function (collateralAddress, realisedPnl, unrealizedPnL, netDeposits) {
+        return {
+            netDeposits: netDeposits,
+            marginBalance: (0, bignumber_js_1.default)(netDeposits)
+                .plus(realisedPnl)
+                .plus(unrealizedPnL)
+                .toNumber(),
+            realBalance: (0, bignumber_js_1.default)(netDeposits).plus(realisedPnl).toNumber(),
+        };
+    };
+    ExposureCommand.getTokenMarginInfo = function (rootCollateralPoolId, riskMatrices, riskMultipliers, collateralInfo, collateralAddress, positions, oraclePricePerMarket, uniqueQuoteTokens) {
+        var marginRequirements = {
+            liquidationMarginRequirement: 0,
+            initialMarginRequirement: 0,
+            maintenanceMarginRequirement: 0,
+            dutchMarginRequirement: 0,
+            adlMarginRequirement: 0,
+            initialBufferMarginRequirement: 0,
+        };
+        if (uniqueQuoteTokens.includes(collateralAddress)) {
+            // uniqueQuoteTokens is list is active markets tokens
+            for (var _i = 0, riskMatrices_1 = riskMatrices; _i < riskMatrices_1.length; _i++) {
+                var riskMatrix = riskMatrices_1[_i];
+                if (Number(riskMatrix.risk_block_id) === 1)
+                    continue; // @todo remove and implement correct logic!
+                var filledExposures = ExposureCommand.getBlockExposures(positions, oraclePricePerMarket);
+                marginRequirements.liquidationMarginRequirement = (0, bignumber_js_1.default)(marginRequirements.liquidationMarginRequirement)
+                    .plus(ExposureCommand.computeLiquidationMarginRequirement(riskMatrix.matrix, filledExposures))
+                    .toNumber();
+            }
+            // Get the initial margin requirement
+            marginRequirements.initialMarginRequirement = (0, utils_1.amountNormalizer)(String(riskMultipliers.im_multiplier))
+                .multipliedBy(marginRequirements.liquidationMarginRequirement)
+                .toNumber();
+            // Get the maintenance margin requirement
+            marginRequirements.maintenanceMarginRequirement = (0, utils_1.amountNormalizer)(String(riskMultipliers.mmr_multiplier))
+                .multipliedBy(marginRequirements.liquidationMarginRequirement)
+                .toNumber();
+            // Get the dutch margin requirement
+            marginRequirements.dutchMarginRequirement = (0, utils_1.amountNormalizer)(String(riskMultipliers.dutch_multiplier))
+                .multipliedBy(marginRequirements.liquidationMarginRequirement)
+                .toNumber();
+            // Get the adl margin requirement
+            marginRequirements.adlMarginRequirement = (0, utils_1.amountNormalizer)(String(riskMultipliers.adl_multiplier))
+                .multipliedBy(marginRequirements.liquidationMarginRequirement)
+                .toNumber();
+            // Get the initial buffer margin requirement
+            marginRequirements.initialBufferMarginRequirement = (0, utils_1.amountNormalizer)(String(riskMultipliers.im_buffer_multiplier))
+                .multipliedBy(marginRequirements.liquidationMarginRequirement)
+                .toNumber();
+        }
+        return {
+            assetAddress: collateralAddress,
+            marginBalance: collateralInfo.marginBalance,
+            realBalance: collateralInfo.realBalance,
+            initialDelta: (0, bignumber_js_1.default)(collateralInfo.marginBalance)
+                .minus(marginRequirements.initialMarginRequirement)
+                .toNumber(),
+            maintenanceDelta: (0, bignumber_js_1.default)(collateralInfo.marginBalance)
+                .minus(marginRequirements.maintenanceMarginRequirement)
+                .toNumber(),
+            liquidationDelta: (0, bignumber_js_1.default)(collateralInfo.marginBalance)
+                .minus(marginRequirements.liquidationMarginRequirement)
+                .toNumber(),
+            dutchDelta: (0, bignumber_js_1.default)(collateralInfo.marginBalance)
+                .minus(marginRequirements.dutchMarginRequirement)
+                .toNumber(),
+            adlDelta: (0, bignumber_js_1.default)(collateralInfo.marginBalance)
+                .minus(marginRequirements.adlMarginRequirement)
+                .toNumber(),
+            initialBufferDelta: (0, bignumber_js_1.default)(collateralInfo.marginBalance)
+                .minus(marginRequirements.initialBufferMarginRequirement)
+                .toNumber(),
+            liquidationMarginRequirement: marginRequirements.liquidationMarginRequirement,
+        };
+    };
+    ExposureCommand.computeLiquidationMarginRequirement = function (matrix, filledExposures) {
+        var lmrFilledSquared = 0;
+        for (var i = 0; i < filledExposures.length; i++) {
+            if ((0, bignumber_js_1.default)(filledExposures[i]).eq(0)) {
+                continue;
+            }
+            for (var j = 0; j < filledExposures.length; j++) {
+                var riskParam = matrix[i][j];
+                if ((0, bignumber_js_1.default)(filledExposures[j]).eq(0) || (0, bignumber_js_1.default)(riskParam).eq(0)) {
+                    continue;
+                }
+                lmrFilledSquared = (0, bignumber_js_1.default)(lmrFilledSquared)
+                    .plus((0, bignumber_js_1.default)(filledExposures[i])
+                    .multipliedBy(filledExposures[j])
+                    .multipliedBy(riskParam))
+                    .toNumber();
+            }
+        }
+        return (0, bignumber_js_1.default)(lmrFilledSquared).sqrt().toNumber();
+    };
+    ExposureCommand.getBlockExposures = function (positions, oraclePricePerMarket) {
+        var filledExposures = [];
+        for (var _i = 0, positions_1 = positions; _i < positions_1.length; _i++) {
+            var position = positions_1[_i];
+            var marketFilledExposure = ExposureCommand.getAccountFilledExposures(position, position.market_configuration, oraclePricePerMarket[position.market_id]);
+            filledExposures[marketFilledExposure.riskMatrixIndex] = (0, bignumber_js_1.default)(filledExposures[marketFilledExposure.riskMatrixIndex] || 0)
+                .plus(marketFilledExposure.exposure)
+                .toNumber();
+        }
+        return filledExposures.map(function (num) { return (0, bignumber_js_1.default)(num); });
+    };
+    ExposureCommand.getAccountFilledExposures = function (position, marketConfiguration, oraclePrice) {
+        var base = position.base;
+        return {
+            exposure: (0, bignumber_js_1.default)(oraclePrice).multipliedBy(base),
+            riskMatrixIndex: (0, bignumber_js_1.default)(String(marketConfiguration.risk_matrix_index)).toNumber(),
+        };
+    };
+    ExposureCommand.computePricePnL = function (openBase, openPrice, exitPrice) {
+        return (0, bignumber_js_1.default)((0, bignumber_js_1.default)(exitPrice).minus(openPrice).multipliedBy(openBase));
+    };
+    ExposureCommand.getMarginRatio = function (marginInfo) {
+        if (marginInfo.liquidationMarginRequirement === 0) {
+            return 0;
+        }
+        if (marginInfo.marginBalance <= 0) {
+            return 1;
+        }
+        var health = (0, bignumber_js_1.default)(marginInfo.liquidationMarginRequirement).div(marginInfo.marginBalance);
+        if (health.gt(1)) {
+            return 1;
+        }
+        return health.toNumber();
+    };
+    ExposureCommand.exchangeWithPriceHaircut = function (quantity, price, haircut) {
+        // For positive quantities, the haircut is `quantity * (1 - haircut)`
+        // For negative values, the haircut is `quantity / (1 - haircut)` because a negative value means the haircut should be applied from B to A.
+        var calHelper = (0, bignumber_js_1.default)(quantity).gt(0)
+            ? (0, bignumber_js_1.default)(1).minus(haircut)
+            : (0, bignumber_js_1.default)(1).div((0, bignumber_js_1.default)(1).minus(haircut));
+        var haircutPrice = (0, bignumber_js_1.default)(price).multipliedBy(calHelper);
+        return haircutPrice.multipliedBy(quantity).toNumber();
+    };
+    ExposureCommand.prototype.getSlippage = function (deltaBase, marketConfiguration, marketStorage) {
+        var deltaExposure = (0, bignumber_js_1.default)(this.oraclePricePerMarket[marketConfiguration.market_id])
+            .times(deltaBase)
+            .toNumber();
+        var riskMatrixIndex = (0, bignumber_js_1.default)(String(marketConfiguration.risk_matrix_index)).toNumber();
+        var _a = this.getMaxExposure(marketConfiguration, marketStorage), maxExposureShort = _a.maxExposureShort, maxExposureLong = _a.maxExposureLong, exposures = _a.exposures;
+        var netExposure = exposures[riskMatrixIndex].plus(deltaExposure);
+        var maxExposure = netExposure.lt(0) ? maxExposureShort : maxExposureLong;
+        return (0, bignumber_js_1.default)(netExposure)
+            .negated()
+            .div((0, bignumber_js_1.default)(maxExposure).plus(netExposure))
+            .toNumber();
+    };
+    ExposureCommand.prototype.getMaxExposure = function (marketConfiguration, marketStorage) {
+        var riskMatrix = this.riskMatrices.find(function (riskMatrix) {
+            return (riskMatrix.risk_block_id ===
+                (0, bignumber_js_1.default)(String(marketStorage.risk_block_id)).toNumber());
+        });
+        if (!riskMatrix) {
+            throw new Error("RiskMatrix Doesn't exist");
+        }
+        var riskMatrixIndex = (0, bignumber_js_1.default)(String(marketConfiguration.risk_matrix_index)).toNumber();
+        var imrMultiplier = (0, utils_1.amountNormalizer)(String(this.riskMultipliers.im_multiplier)).toNumber();
+        var marginInfo = this.tokenMarginInfoPerAsset.find(function (marginInfo) {
+            return marginInfo.assetAddress === marketStorage.quote_collateral;
+        });
+        if (!marginInfo) {
+            throw new Error("marginInfo doesn't exist");
+        }
+        var exposures = ExposureCommand.getBlockExposures(this.positionInfoMarketConfiguration, this.oraclePricePerMarket);
+        var _a = ExposureCommand.computeMaxExposures(riskMatrix.matrix, exposures, marginInfo.liquidationMarginRequirement, marginInfo.marginBalance < 0 ? 0 : marginInfo.marginBalance, imrMultiplier, riskMatrixIndex), maxExposureShort = _a.maxExposureShort, maxExposureLong = _a.maxExposureLong;
+        return {
+            maxExposureShort: maxExposureShort,
+            maxExposureLong: maxExposureLong,
+            exposures: exposures,
+        };
+    };
+    ExposureCommand.computeMaxExposures = function (riskMatrix, exposures, lmr, balance, imrMultiplier, exposureIndex) {
+        var b = (0, bignumber_js_1.default)(0);
+        for (var i = 0; i < exposures.length; i++) {
+            b = (0, bignumber_js_1.default)(b).plus((0, bignumber_js_1.default)(exposures[i]).multipliedBy((0, bignumber_js_1.default)(riskMatrix[exposureIndex][i]).plus(riskMatrix[i][exposureIndex])));
+        }
+        var _a = this.solveQuadraticEquation((0, bignumber_js_1.default)(riskMatrix[exposureIndex][exposureIndex]).toNumber(), // changes here
+        b.toNumber(), this.computeC(lmr, balance, imrMultiplier)), x1 = _a.x1, x2 = _a.x2;
+        var maxShortExposure = (0, bignumber_js_1.default)(x1).plus(exposures[exposureIndex]);
+        var maxLongExposure = (0, bignumber_js_1.default)(x2).plus(exposures[exposureIndex]);
+        var availableShortExposure = maxShortExposure.lt(0)
+            ? maxShortExposure.negated().toNumber()
+            : 0;
+        var availableLongExposure = maxLongExposure.gt(0)
+            ? maxLongExposure.toNumber()
+            : 0;
+        return {
+            maxExposureShort: availableShortExposure,
+            maxExposureLong: availableLongExposure,
+        };
+    };
+    ExposureCommand.solveQuadraticEquation = function (a, b, c) {
+        if ((0, bignumber_js_1.default)(a).eq(0)) {
+            throw new Error('ZeroQuadraticCoefficient');
+        }
+        var delta = (0, bignumber_js_1.default)(b)
+            .multipliedBy(b)
+            .minus((0, bignumber_js_1.default)(4).multipliedBy(a).multipliedBy(c));
+        if (delta.lt(0)) {
+            throw new Error('ComplexQuadraticRoots(a, b, c)');
+        }
+        var rootDelta = delta.sqrt();
+        var x1 = (0, bignumber_js_1.default)(b)
+            .multipliedBy(-1)
+            .minus(rootDelta)
+            .div((0, bignumber_js_1.default)(2).multipliedBy(a));
+        var x2 = (0, bignumber_js_1.default)(b)
+            .multipliedBy(-1)
+            .plus(rootDelta)
+            .div((0, bignumber_js_1.default)(2).multipliedBy(a));
+        return {
+            x1: x1,
+            x2: x2,
+        };
+    };
+    ExposureCommand.computeC = function (lmr, balance, imrMultiplier) {
+        var lmrSD = (0, bignumber_js_1.default)(lmr);
+        var lmrSquared = lmrSD.multipliedBy(lmrSD);
+        var balanceSD = (0, bignumber_js_1.default)(balance);
+        var balanceSquared = balanceSD.multipliedBy(balanceSD);
+        var imrMultiplierSD = (0, bignumber_js_1.default)(imrMultiplier);
+        var imrMultiplierSquared = imrMultiplierSD.multipliedBy(imrMultiplierSD);
+        return lmrSquared
+            .minus(balanceSquared.div(imrMultiplierSquared))
+            .toNumber();
+    };
+    ExposureCommand.calculateFee = function (price, amount, feeParameter) {
+        return (0, bignumber_js_1.default)(price).times(amount).times(feeParameter).abs().toNumber(); // @todo abs value
+    };
+    ExposureCommand.calculateEstimatedPrice = function (price, slippage) {
+        return (0, bignumber_js_1.default)(price).times((0, bignumber_js_1.default)(1).plus(slippage)).toNumber();
+    };
+    ExposureCommand.evaluateHealthStatus = function (number) {
+        // todo update logic
+        if (number >= 67) {
+            return 'danger';
+        }
+        else if (number >= 34) {
+            return 'warning';
+        }
+        else {
+            return 'healthy';
+        }
+    };
+    return ExposureCommand;
+}());
+exports.ExposureCommand = ExposureCommand;
+//# sourceMappingURL=command.js.map

package/dist/commands/exposure/command.js.map

@@ -0,0 +1 @@
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BigNumber from 'bignumber.js';\nimport _ from 'lodash';\nimport {\n  AccountAssetBalance,\n  CollateralInfo,\n  ExchangeInfo,\n  ExposureCommandState,\n  MarginInfo,\n  MarketConfiguration,\n  MarketIdToOraclePriceMap,\n  MarketStorage,\n  PositionInfo,\n  PositionInfoMarketConfiguration,\n  RiskMatrix,\n  RiskMultipliersConfiguration,\n} from './types';\nimport { amountNormalizer } from '../../utils';\n\nexport class ExposureCommand {\n  rootCollateralPoolId: number;\n  oraclePricePerMarket: MarketIdToOraclePriceMap;\n  accountBalancePerAsset: AccountAssetBalance[];\n  groupedByCollateral: Record<string, AccountAssetBalance>;\n  riskMultipliers: RiskMultipliersConfiguration;\n  riskMatrices: RiskMatrix[];\n  exchangeInfoPerAsset: ExchangeInfo[];\n  positionInfoMarketConfiguration: PositionInfoMarketConfiguration[];\n  uniqueTokenAddresses: string[];\n  uniqueQuoteCollaterals: string[];\n  tokenMarginInfoPerAsset: MarginInfo[];\n  realizedPnLSum: BigNumber;\n  unrealizedPnLSum: BigNumber;\n  constructor(\n    rootCollateralPoolId: number,\n    oraclePricePerMarket: MarketIdToOraclePriceMap,\n    accountBalancePerAsset: AccountAssetBalance[],\n    groupedByCollateral: Record<string, AccountAssetBalance>,\n    riskMultipliers: RiskMultipliersConfiguration,\n    riskMatrices: RiskMatrix[],\n    exchangeInfoPerAsset: ExchangeInfo[],\n    positionInfoMarketConfiguration: PositionInfoMarketConfiguration[],\n    uniqueTokenAddresses: string[],\n    uniqueQuoteCollaterals: string[],\n    tokenMarginInfoPerAsset: MarginInfo[],\n    realizedPnLSum: BigNumber,\n    unrealizedPnLSum: BigNumber,\n  ) {\n    this.rootCollateralPoolId = rootCollateralPoolId;\n    this.oraclePricePerMarket = oraclePricePerMarket;\n    this.accountBalancePerAsset = accountBalancePerAsset;\n    this.groupedByCollateral = groupedByCollateral;\n    this.riskMultipliers = riskMultipliers;\n    this.riskMatrices = riskMatrices;\n    this.exchangeInfoPerAsset = exchangeInfoPerAsset;\n    this.positionInfoMarketConfiguration = positionInfoMarketConfiguration;\n    this.uniqueTokenAddresses = uniqueTokenAddresses;\n    this.uniqueQuoteCollaterals = uniqueQuoteCollaterals;\n    this.tokenMarginInfoPerAsset = tokenMarginInfoPerAsset;\n    this.realizedPnLSum = realizedPnLSum;\n    this.unrealizedPnLSum = unrealizedPnLSum;\n  }\n\n  getState(): ExposureCommandState {\n    return {\n      rootCollateralPoolId: this.rootCollateralPoolId,\n      oraclePricePerMarket: this.oraclePricePerMarket,\n      accountBalancePerAsset: this.accountBalancePerAsset,\n      groupedByCollateral: this.groupedByCollateral,\n      riskMultipliers: this.riskMultipliers,\n      riskMatrices: this.riskMatrices,\n      exchangeInfoPerAsset: this.exchangeInfoPerAsset,\n      positionInfoMarketConfiguration: this.positionInfoMarketConfiguration,\n      uniqueTokenAddresses: this.uniqueTokenAddresses,\n      uniqueQuoteCollaterals: this.uniqueQuoteCollaterals,\n      tokenMarginInfoPerAsset: this.tokenMarginInfoPerAsset,\n      realizedPnLSum: this.realizedPnLSum,\n      unrealizedPnLSum: this.unrealizedPnLSum,\n    };\n  }\n\n  get getUsdNodeMarginInfo() {\n    return ExposureCommand.getUsdNodeMarginInfo(\n      this.rootCollateralPoolId,\n      this.uniqueTokenAddresses,\n      this.exchangeInfoPerAsset,\n      this.tokenMarginInfoPerAsset,\n    );\n  }\n\n  get balancePerAsset() {\n    return this.tokenMarginInfoPerAsset;\n  }\n  get exchangePricePerAsset() {\n    return this.exchangeInfoPerAsset;\n  }\n\n  getUsdNodeMarginInfoPostTrade(\n    positionAmount: number,\n    collateralAddress: string,\n    marketConfiguration: MarketConfiguration,\n  ) {\n    // perform deep copy of the object\n    const positionInfoMarketConfiguration: PositionInfoMarketConfiguration[] =\n      _.cloneDeep(this.positionInfoMarketConfiguration);\n\n    // Check if the market_id already exists in the array\n    const existingConfigIndex = positionInfoMarketConfiguration.findIndex(\n      (config) =>\n        config.market_id ===\n        BigNumber(String(marketConfiguration.market_id)).toNumber(),\n    );\n\n    if (existingConfigIndex !== -1) {\n      // If it exists, update the amount\n      positionInfoMarketConfiguration[existingConfigIndex].base = BigNumber(\n        positionInfoMarketConfiguration[existingConfigIndex].base,\n      ).plus(positionAmount);\n    } else {\n      // If it doesn't exist, add a new element\n      positionInfoMarketConfiguration.push({\n        base: BigNumber(positionAmount),\n        realized_pnl: BigNumber(0),\n        last_price: BigNumber(0),\n        last_timestamp: BigNumber(0),\n        funding_value: BigNumber(0),\n        base_multiplier: BigNumber(0),\n        adl_unwind_price: BigNumber(0),\n        market_id: BigNumber(String(marketConfiguration.market_id)).toNumber(),\n        market_configuration: marketConfiguration,\n      });\n    }\n\n    const uniqueQuoteCollaterals = new Set(this.uniqueQuoteCollaterals);\n    uniqueQuoteCollaterals.add(collateralAddress);\n\n    const tokenMarginInfoPerAsset =\n      ExposureCommand.calculateTokenMarginInfoPerAsset(\n        this.groupedByCollateral,\n        this.rootCollateralPoolId,\n        this.riskMatrices,\n        this.riskMultipliers,\n        uniqueQuoteCollaterals,\n        this.realizedPnLSum,\n        this.unrealizedPnLSum,\n        positionInfoMarketConfiguration,\n        this.oraclePricePerMarket,\n      );\n\n    const uniqueTokenAddresses = [...this.uniqueTokenAddresses];\n    if (!this.uniqueTokenAddresses.includes(collateralAddress)) {\n      uniqueTokenAddresses.push(collateralAddress);\n    }\n\n    return ExposureCommand.getUsdNodeMarginInfo(\n      this.rootCollateralPoolId,\n      uniqueTokenAddresses,\n      this.exchangeInfoPerAsset,\n      tokenMarginInfoPerAsset,\n    );\n  }\n\n  static calculateTokenMarginInfoPerAsset(\n    groupedByCollateral: Record<string, AccountAssetBalance>,\n    rootCollateralPoolId: number,\n    riskMatrices: RiskMatrix[],\n    riskMultipliers: RiskMultipliersConfiguration,\n    uniqueQuoteCollaterals: Set<string>,\n    realizedPnLSum: BigNumber,\n    unrealizedPnLSum: BigNumber,\n    positionInfoMarketConfiguration: PositionInfoMarketConfiguration[],\n    oraclePricePerMarket: MarketIdToOraclePriceMap,\n  ): MarginInfo[] {\n    const tokenMarginInfoPerAsset: MarginInfo[] = [];\n\n    const uniqueQuoteTokens: string[] = Array.from(uniqueQuoteCollaterals);\n\n    const tokenUnion = new Set([\n      ...Object.keys(groupedByCollateral),\n      ...uniqueQuoteTokens,\n    ]); // get unique union of those arrays\n    const uniqueTokenAddresses: string[] = Array.from(tokenUnion);\n\n    for (const token of uniqueTokenAddresses) {\n      tokenMarginInfoPerAsset.push(\n        ExposureCommand.getTokenMarginInfo(\n          rootCollateralPoolId,\n          riskMatrices,\n          riskMultipliers,\n          ExposureCommand.getCollateralInfo(\n            token,\n            uniqueQuoteCollaterals.has(token) ? realizedPnLSum : BigNumber(0),\n            uniqueQuoteCollaterals.has(token) ? unrealizedPnLSum : BigNumber(0),\n            groupedByCollateral[token]?.amount || 0,\n          ),\n          token,\n          positionInfoMarketConfiguration,\n          oraclePricePerMarket,\n          uniqueQuoteTokens,\n        ),\n      );\n    }\n\n    return tokenMarginInfoPerAsset;\n  }\n  static calculateLiquidation(\n    globalMarginInfo: MarginInfo,\n    oraclePrice: number,\n    positionBase: number,\n  ): BigNumber {\n    const liquidationPrice = BigNumber(oraclePrice).minus(\n      BigNumber(globalMarginInfo.marginBalance)\n        .minus(globalMarginInfo.liquidationMarginRequirement)\n        .div(positionBase),\n    );\n\n    return BigNumber.max(0, liquidationPrice);\n  }\n\n  static calculateImpliedLeverage(\n    notionalExposure: number,\n    oldIMR: number,\n    newIMR: number,\n  ): number {\n    const changeInImr = BigNumber(newIMR).minus(oldIMR);\n\n    if (changeInImr.eq(0)) {\n      return 0;\n    }\n    return BigNumber(notionalExposure).div(changeInImr).toNumber();\n  }\n\n  static combineMarginInfo(\n    parentMarginInfo: MarginInfo,\n    sonMarginInfo: MarginInfo,\n    sonParentExchangeInfo: ExchangeInfo,\n  ): MarginInfo {\n    return {\n      assetAddress: parentMarginInfo.assetAddress,\n      marginBalance: BigNumber(parentMarginInfo.marginBalance)\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            sonMarginInfo.marginBalance,\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n      realBalance: BigNumber(parentMarginInfo.realBalance)\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            sonMarginInfo.realBalance,\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n      initialDelta: BigNumber(parentMarginInfo.initialDelta)\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            BigNumber.min(\n              sonMarginInfo.realBalance,\n              sonMarginInfo.initialDelta,\n            ).toNumber(),\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n      maintenanceDelta: BigNumber(parentMarginInfo.maintenanceDelta)\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            BigNumber.min(\n              sonMarginInfo.maintenanceDelta,\n              sonMarginInfo.realBalance,\n            ).toNumber(),\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n      liquidationDelta: BigNumber(parentMarginInfo.liquidationDelta)\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            BigNumber.min(\n              sonMarginInfo.liquidationDelta,\n              sonMarginInfo.realBalance,\n            ).toNumber(),\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n      dutchDelta: BigNumber(parentMarginInfo.dutchDelta)\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            BigNumber.min(\n              sonMarginInfo.dutchDelta,\n              sonMarginInfo.realBalance,\n            ).toNumber(),\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n      adlDelta: BigNumber(parentMarginInfo.adlDelta)\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            BigNumber.min(\n              sonMarginInfo.adlDelta,\n              sonMarginInfo.realBalance,\n            ).toNumber(),\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n\n      initialBufferDelta: BigNumber(parentMarginInfo.initialBufferDelta)\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            BigNumber.min(\n              sonMarginInfo.initialBufferDelta,\n              sonMarginInfo.realBalance,\n            ).toNumber(),\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n      liquidationMarginRequirement: BigNumber(\n        parentMarginInfo.liquidationMarginRequirement,\n      )\n        .plus(\n          ExposureCommand.exchangeWithPriceHaircut(\n            sonMarginInfo.liquidationMarginRequirement,\n            sonParentExchangeInfo.price,\n            sonParentExchangeInfo.priceHaircut,\n          ),\n        )\n        .toNumber(),\n    };\n  }\n\n  static getUsdNodeMarginInfo(\n    accountCollateralPoolId: number,\n    quoteTokens: string[],\n    exchangeInfoPerAsset: ExchangeInfo[],\n    marginInfoPerToken: MarginInfo[],\n  ) {\n    let usdNodeMarginInfo: MarginInfo = {\n      assetAddress: '',\n      marginBalance: 0,\n      realBalance: 0,\n      initialDelta: 0,\n      maintenanceDelta: 0,\n      liquidationDelta: 0,\n      dutchDelta: 0,\n      adlDelta: 0,\n      initialBufferDelta: 0,\n      liquidationMarginRequirement: 0,\n    };\n    for (const quoteToken of quoteTokens) {\n      const exchangeInfo = exchangeInfoPerAsset.find((exchangeInfo) => {\n        return quoteToken === exchangeInfo.tokenAddress;\n      });\n\n      const marginInfo = marginInfoPerToken.find((marginInfo) => {\n        return quoteToken === marginInfo.assetAddress;\n      });\n\n      if (!exchangeInfo || !marginInfo) {\n        throw Error('Missing exchangeInfo/marginInfo');\n      }\n\n      usdNodeMarginInfo = ExposureCommand.combineMarginInfo(\n        usdNodeMarginInfo,\n        marginInfo,\n        exchangeInfo,\n      );\n    }\n\n    return usdNodeMarginInfo;\n  }\n  static getCollateralInfo(\n    collateralAddress: string,\n    realisedPnl: BigNumber,\n    unrealizedPnL: BigNumber,\n    netDeposits: number,\n  ): CollateralInfo {\n    return {\n      netDeposits: netDeposits,\n      marginBalance: BigNumber(netDeposits)\n        .plus(realisedPnl)\n        .plus(unrealizedPnL)\n        .toNumber(),\n      realBalance: BigNumber(netDeposits).plus(realisedPnl).toNumber(),\n    };\n  }\n\n  static getTokenMarginInfo(\n    rootCollateralPoolId: number,\n    riskMatrices: RiskMatrix[],\n    riskMultipliers: RiskMultipliersConfiguration,\n    collateralInfo: CollateralInfo,\n    collateralAddress: string,\n    positions: PositionInfoMarketConfiguration[],\n    oraclePricePerMarket: MarketIdToOraclePriceMap,\n    uniqueQuoteTokens: string[],\n  ): MarginInfo {\n    const marginRequirements = {\n      liquidationMarginRequirement: 0,\n      initialMarginRequirement: 0,\n      maintenanceMarginRequirement: 0,\n      dutchMarginRequirement: 0,\n      adlMarginRequirement: 0,\n      initialBufferMarginRequirement: 0,\n    };\n    if (uniqueQuoteTokens.includes(collateralAddress)) {\n      // uniqueQuoteTokens is list is active markets tokens\n      for (const riskMatrix of riskMatrices) {\n        if (Number(riskMatrix.risk_block_id) === 1) continue; // @todo remove and implement correct logic!\n        const filledExposures = ExposureCommand.getBlockExposures(\n          positions,\n          oraclePricePerMarket,\n        );\n\n        marginRequirements.liquidationMarginRequirement = BigNumber(\n          marginRequirements.liquidationMarginRequirement,\n        )\n          .plus(\n            ExposureCommand.computeLiquidationMarginRequirement(\n              riskMatrix.matrix,\n              filledExposures,\n            ),\n          )\n          .toNumber();\n      }\n\n      // Get the initial margin requirement\n      marginRequirements.initialMarginRequirement = amountNormalizer(\n        String(riskMultipliers.im_multiplier),\n      )\n        .multipliedBy(marginRequirements.liquidationMarginRequirement)\n        .toNumber();\n      // Get the maintenance margin requirement\n      marginRequirements.maintenanceMarginRequirement = amountNormalizer(\n        String(riskMultipliers.mmr_multiplier),\n      )\n        .multipliedBy(marginRequirements.liquidationMarginRequirement)\n        .toNumber();\n      // Get the dutch margin requirement\n      marginRequirements.dutchMarginRequirement = amountNormalizer(\n        String(riskMultipliers.dutch_multiplier),\n      )\n        .multipliedBy(marginRequirements.liquidationMarginRequirement)\n        .toNumber();\n\n      // Get the adl margin requirement\n      marginRequirements.adlMarginRequirement = amountNormalizer(\n        String(riskMultipliers.adl_multiplier),\n      )\n        .multipliedBy(marginRequirements.liquidationMarginRequirement)\n        .toNumber();\n\n      // Get the initial buffer margin requirement\n      marginRequirements.initialBufferMarginRequirement = amountNormalizer(\n        String(riskMultipliers.im_buffer_multiplier),\n      )\n        .multipliedBy(marginRequirements.liquidationMarginRequirement)\n        .toNumber();\n    }\n    return {\n      assetAddress: collateralAddress,\n      marginBalance: collateralInfo.marginBalance,\n      realBalance: collateralInfo.realBalance,\n      initialDelta: BigNumber(collateralInfo.marginBalance)\n        .minus(marginRequirements.initialMarginRequirement)\n        .toNumber(),\n      maintenanceDelta: BigNumber(collateralInfo.marginBalance)\n        .minus(marginRequirements.maintenanceMarginRequirement)\n        .toNumber(),\n      liquidationDelta: BigNumber(collateralInfo.marginBalance)\n        .minus(marginRequirements.liquidationMarginRequirement)\n        .toNumber(),\n      dutchDelta: BigNumber(collateralInfo.marginBalance)\n        .minus(marginRequirements.dutchMarginRequirement)\n        .toNumber(),\n      adlDelta: BigNumber(collateralInfo.marginBalance)\n        .minus(marginRequirements.adlMarginRequirement)\n        .toNumber(),\n      initialBufferDelta: BigNumber(collateralInfo.marginBalance)\n        .minus(marginRequirements.initialBufferMarginRequirement)\n        .toNumber(),\n      liquidationMarginRequirement:\n        marginRequirements.liquidationMarginRequirement,\n    };\n  }\n\n  static computeLiquidationMarginRequirement(\n    matrix: BigNumber[][],\n    filledExposures: BigNumber[],\n  ): number {\n    let lmrFilledSquared = 0;\n\n    for (let i = 0; i < filledExposures.length; i++) {\n      if (BigNumber(filledExposures[i]).eq(0)) {\n        continue;\n      }\n      for (let j = 0; j < filledExposures.length; j++) {\n        const riskParam = matrix[i][j];\n\n        if (BigNumber(filledExposures[j]).eq(0) || BigNumber(riskParam).eq(0)) {\n          continue;\n        }\n\n        lmrFilledSquared = BigNumber(lmrFilledSquared)\n          .plus(\n            BigNumber(filledExposures[i])\n              .multipliedBy(filledExposures[j])\n              .multipliedBy(riskParam),\n          )\n          .toNumber();\n      }\n    }\n    return BigNumber(lmrFilledSquared).sqrt().toNumber();\n  }\n\n  static getBlockExposures(\n    positions: PositionInfoMarketConfiguration[],\n    oraclePricePerMarket: MarketIdToOraclePriceMap,\n  ): BigNumber[] {\n    const filledExposures: number[] = [];\n\n    for (const position of positions) {\n      const marketFilledExposure = ExposureCommand.getAccountFilledExposures(\n        position,\n        position.market_configuration,\n        oraclePricePerMarket[position.market_id],\n      );\n      filledExposures[marketFilledExposure.riskMatrixIndex] = BigNumber(\n        filledExposures[marketFilledExposure.riskMatrixIndex] || 0,\n      )\n        .plus(marketFilledExposure.exposure)\n        .toNumber();\n    }\n\n    return filledExposures.map((num) => BigNumber(num));\n  }\n\n  static getAccountFilledExposures(\n    position: PositionInfo,\n    marketConfiguration: MarketConfiguration,\n    oraclePrice: number,\n  ) {\n    const base = position.base;\n\n    return {\n      exposure: BigNumber(oraclePrice).multipliedBy(base),\n      riskMatrixIndex: BigNumber(\n        String(marketConfiguration.risk_matrix_index),\n      ).toNumber(),\n    };\n  }\n\n  static computePricePnL(\n    openBase: BigNumber,\n    openPrice: BigNumber,\n    exitPrice: BigNumber,\n  ) {\n    return BigNumber(\n      BigNumber(exitPrice).minus(openPrice).multipliedBy(openBase),\n    );\n  }\n\n  static getMarginRatio(marginInfo: MarginInfo) {\n    if (marginInfo.liquidationMarginRequirement === 0) {\n      return 0;\n    }\n\n    if (marginInfo.marginBalance <= 0) {\n      return 1;\n    }\n\n    const health = BigNumber(marginInfo.liquidationMarginRequirement).div(\n      marginInfo.marginBalance,\n    );\n\n    if (health.gt(1)) {\n      return 1;\n    }\n    return health.toNumber();\n  }\n\n  static exchangeWithPriceHaircut(\n    quantity: number,\n    price: number,\n    haircut: number,\n  ) {\n    // For positive quantities, the haircut is `quantity * (1 - haircut)`\n    // For negative values, the haircut is `quantity / (1 - haircut)` because a negative value means the haircut should be applied from B to A.\n    const calHelper = BigNumber(quantity).gt(0)\n      ? BigNumber(1).minus(haircut)\n      : BigNumber(1).div(BigNumber(1).minus(haircut));\n    const haircutPrice = BigNumber(price).multipliedBy(calHelper);\n\n    return haircutPrice.multipliedBy(quantity).toNumber();\n  }\n\n  getSlippage(\n    deltaBase: number,\n    marketConfiguration: MarketConfiguration,\n    marketStorage: MarketStorage,\n  ): number {\n    const deltaExposure = BigNumber(\n      this.oraclePricePerMarket[marketConfiguration.market_id],\n    )\n      .times(deltaBase)\n      .toNumber();\n\n    const riskMatrixIndex = BigNumber(\n      String(marketConfiguration.risk_matrix_index),\n    ).toNumber();\n\n    const { maxExposureShort, maxExposureLong, exposures } =\n      this.getMaxExposure(marketConfiguration, marketStorage);\n\n    const netExposure = exposures[riskMatrixIndex].plus(deltaExposure);\n    const maxExposure = netExposure.lt(0) ? maxExposureShort : maxExposureLong;\n\n    return BigNumber(netExposure)\n      .negated()\n      .div(BigNumber(maxExposure).plus(netExposure))\n      .toNumber();\n  }\n\n  getMaxExposure(\n    marketConfiguration: MarketConfiguration,\n    marketStorage: MarketStorage,\n  ) {\n    const riskMatrix = this.riskMatrices.find((riskMatrix) => {\n      return (\n        riskMatrix.risk_block_id ===\n        BigNumber(String(marketStorage.risk_block_id)).toNumber()\n      );\n    });\n\n    if (!riskMatrix) {\n      throw new Error(\"RiskMatrix Doesn't exist\");\n    }\n\n    const riskMatrixIndex = BigNumber(\n      String(marketConfiguration.risk_matrix_index),\n    ).toNumber();\n\n    const imrMultiplier = amountNormalizer(\n      String(this.riskMultipliers.im_multiplier),\n    ).toNumber();\n\n    const marginInfo = this.tokenMarginInfoPerAsset.find((marginInfo) => {\n      return marginInfo.assetAddress === marketStorage.quote_collateral;\n    });\n\n    if (!marginInfo) {\n      throw new Error(\"marginInfo doesn't exist\");\n    }\n\n    const exposures = ExposureCommand.getBlockExposures(\n      this.positionInfoMarketConfiguration,\n      this.oraclePricePerMarket,\n    );\n\n    const { maxExposureShort, maxExposureLong } =\n      ExposureCommand.computeMaxExposures(\n        riskMatrix.matrix,\n        exposures,\n        marginInfo.liquidationMarginRequirement,\n        marginInfo.marginBalance < 0 ? 0 : marginInfo.marginBalance,\n        imrMultiplier,\n        riskMatrixIndex,\n      );\n\n    return {\n      maxExposureShort,\n      maxExposureLong,\n      exposures,\n    };\n  }\n\n  static computeMaxExposures(\n    riskMatrix: BigNumber[][],\n    exposures: BigNumber[],\n    lmr: number,\n    balance: number,\n    imrMultiplier: number,\n    exposureIndex: number,\n  ) {\n    let b = BigNumber(0);\n\n    for (let i = 0; i < exposures.length; i++) {\n      b = BigNumber(b).plus(\n        BigNumber(exposures[i]).multipliedBy(\n          BigNumber(riskMatrix[exposureIndex][i]).plus(\n            riskMatrix[i][exposureIndex],\n          ),\n        ),\n      );\n    }\n    const { x1, x2 } = this.solveQuadraticEquation(\n      BigNumber(riskMatrix[exposureIndex][exposureIndex]).toNumber(), // changes here\n      b.toNumber(),\n      this.computeC(lmr, balance, imrMultiplier),\n    );\n\n    const maxShortExposure = BigNumber(x1).plus(exposures[exposureIndex]);\n    const maxLongExposure = BigNumber(x2).plus(exposures[exposureIndex]);\n\n    const availableShortExposure = maxShortExposure.lt(0)\n      ? maxShortExposure.negated().toNumber()\n      : 0;\n\n    const availableLongExposure = maxLongExposure.gt(0)\n      ? maxLongExposure.toNumber()\n      : 0;\n\n    return {\n      maxExposureShort: availableShortExposure,\n      maxExposureLong: availableLongExposure,\n    };\n  }\n\n  static solveQuadraticEquation(a: number, b: number, c: number) {\n    if (BigNumber(a).eq(0)) {\n      throw new Error('ZeroQuadraticCoefficient');\n    }\n\n    const delta = BigNumber(b)\n      .multipliedBy(b)\n      .minus(BigNumber(4).multipliedBy(a).multipliedBy(c));\n\n    if (delta.lt(0)) {\n      throw new Error('ComplexQuadraticRoots(a, b, c)');\n    }\n\n    const rootDelta = delta.sqrt();\n\n    const x1 = BigNumber(b)\n      .multipliedBy(-1)\n      .minus(rootDelta)\n      .div(BigNumber(2).multipliedBy(a));\n\n    const x2 = BigNumber(b)\n      .multipliedBy(-1)\n      .plus(rootDelta)\n      .div(BigNumber(2).multipliedBy(a));\n\n    return {\n      x1,\n      x2,\n    };\n  }\n\n  static computeC(lmr: number, balance: number, imrMultiplier: number): number {\n    const lmrSD = BigNumber(lmr);\n    const lmrSquared = lmrSD.multipliedBy(lmrSD);\n\n    const balanceSD = BigNumber(balance);\n    const balanceSquared = balanceSD.multipliedBy(balanceSD);\n\n    const imrMultiplierSD = BigNumber(imrMultiplier);\n    const imrMultiplierSquared = imrMultiplierSD.multipliedBy(imrMultiplierSD);\n\n    return lmrSquared\n      .minus(balanceSquared.div(imrMultiplierSquared))\n      .toNumber();\n  }\n\n  static calculateFee(\n    price: number,\n    amount: number,\n    feeParameter: BigNumber,\n  ): number {\n    return BigNumber(price).times(amount).times(feeParameter).abs().toNumber(); // @todo abs value\n  }\n\n  static calculateEstimatedPrice(price: number, slippage: number): number {\n    return BigNumber(price).times(BigNumber(1).plus(slippage)).toNumber();\n  }\n\n  static evaluateHealthStatus(number: number) {\n    // todo update logic\n    if (number >= 67) {\n      return 'danger';\n    } else if (number >= 34) {\n      return 'warning';\n    } else {\n      return 'healthy';\n    }\n  }\n}\n"]}

package/dist/commands/exposure/index.js

@@ -0,0 +1,19 @@
+"use strict";
+var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    var desc = Object.getOwnPropertyDescriptor(m, k);
+    if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
+      desc = { enumerable: true, get: function() { return m[k]; } };
+    }
+    Object.defineProperty(o, k2, desc);
+}) : (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    o[k2] = m[k];
+}));
+var __exportStar = (this && this.__exportStar) || function(m, exports) {
+    for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+__exportStar(require("./command"), exports);
+__exportStar(require("./types"), exports);
+//# sourceMappingURL=index.js.map

package/dist/commands/exposure/index.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.js","sourceRoot":"/","sources":["commands/exposure/index.ts"],"names":[],"mappings":";;;;;;;;;;;;;;;;AAAA,4CAA0B;AAC1B,0CAAwB","sourcesContent":["export * from './command';\nexport * from './types';\n"]}

package/dist/commands/exposure/types.js

@@ -0,0 +1,3 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+//# sourceMappingURL=types.js.map

package/dist/commands/exposure/types.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"types.js","sourceRoot":"/","sources":["commands/exposure/types.ts"],"names":[],"mappings":"","sourcesContent":["import BigNumber from 'bignumber.js';\n\nexport interface MarketStorage {\n  market_id: number;\n  quote_collateral: string;\n  instrument_address: string;\n  name: string;\n  risk_block_id: number;\n  collateral_pool_id: number;\n  block_timestamp: number;\n  block_number: number;\n}\n\nexport interface MarketConfiguration {\n  market_id: number;\n  risk_matrix_index: number;\n  max_open_base: number;\n  velocity_multiplier: number;\n  minimum_order_base: number;\n  base_spacing: number;\n  price_spacing: number;\n  oracle_node_id: string;\n  mtm_window: number;\n  dutch_config_lambda: number;\n  dutch_config_min_base: number;\n  slippage_params_phi: number;\n  slippage_params_beta: number;\n  block_timestamp: number;\n  block_number: number;\n}\n\nexport type AccountAssetBalance = {\n  accountId: number;\n  collateral: string;\n  amount: number;\n};\n\nexport interface RiskMultipliersConfiguration {\n  collateral_pool_id: number;\n  im_multiplier: number;\n  mmr_multiplier: number;\n  dutch_multiplier: number;\n  adl_multiplier: number;\n  im_buffer_multiplier: number;\n  block_timestamp: number;\n  block_number: number;\n}\n\nexport interface RiskMatrix {\n  collateral_pool_id: number;\n  risk_block_id: number;\n  matrix: BigNumber[][];\n}\nexport type MarketIdToOraclePriceMap = {\n  [marketId: number]: number;\n};\n\nexport type CollateralAddressToExchangePriceMap = {\n  [address: string]: number;\n};\n\nexport interface ExchangeInfo {\n  price: number;\n  priceHaircut: number;\n  autoExchangeDiscount: number;\n  tokenAddress: string;\n}\n\nexport interface PositionInfo {\n  base: BigNumber;\n  realized_pnl: BigNumber;\n  last_price: BigNumber;\n  last_timestamp: BigNumber;\n  funding_value: BigNumber;\n  base_multiplier: BigNumber;\n  adl_unwind_price: BigNumber;\n  market_id: number;\n}\n\nexport type PositionInfoMarketConfiguration = PositionInfo & {\n  market_configuration: MarketConfiguration;\n};\n\nexport interface MarginInfo {\n  assetAddress: string;\n  marginBalance: number;\n  realBalance: number;\n  initialDelta: number;\n  maintenanceDelta: number;\n  liquidationDelta: number;\n  dutchDelta: number;\n  adlDelta: number;\n  initialBufferDelta: number;\n  liquidationMarginRequirement: number;\n}\n\nexport interface CollateralInfo {\n  netDeposits: number;\n  marginBalance: number;\n  realBalance: number;\n}\n\nexport type ExposureCommandState = {\n  rootCollateralPoolId: number;\n  oraclePricePerMarket: MarketIdToOraclePriceMap;\n  accountBalancePerAsset: AccountAssetBalance[];\n  groupedByCollateral: Record<string, AccountAssetBalance>;\n  riskMultipliers: RiskMultipliersConfiguration;\n  riskMatrices: RiskMatrix[];\n  exchangeInfoPerAsset: ExchangeInfo[];\n  positionInfoMarketConfiguration: PositionInfoMarketConfiguration[];\n  uniqueTokenAddresses: string[];\n  uniqueQuoteCollaterals: string[];\n  tokenMarginInfoPerAsset: MarginInfo[];\n  realizedPnLSum: BigNumber;\n  unrealizedPnLSum: BigNumber;\n};\n\nexport type TradeSimulationState = {\n  feeParameter: BigNumber;\n  marketStorage: MarketStorage;\n  marketConfiguration: MarketConfiguration;\n  exposureDataAccount: ExposureCommandState;\n  exposureDataPassivePool: ExposureCommandState;\n};\n"]}

package/dist/commands/index.js

@@ -0,0 +1,18 @@
+"use strict";
+var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    var desc = Object.getOwnPropertyDescriptor(m, k);
+    if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
+      desc = { enumerable: true, get: function() { return m[k]; } };
+    }
+    Object.defineProperty(o, k2, desc);
+}) : (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    o[k2] = m[k];
+}));
+var __exportStar = (this && this.__exportStar) || function(m, exports) {
+    for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+__exportStar(require("./exposure"), exports);
+//# sourceMappingURL=index.js.map

package/dist/commands/index.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.js","sourceRoot":"/","sources":["commands/index.ts"],"names":[],"mappings":";;;;;;;;;;;;;;;;AAAA,6CAA2B","sourcesContent":["export * from './exposure';\n"]}