@reyaxyz/common 0.308.0 → 0.309.0

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Files changed (7) hide show
  1. package/README.md +1 -1
  2. package/dist/types/utils/calculate.d.ts +2 -1
  3. package/dist/types/utils/calculate.d.ts.map +1 -1
  4. package/dist/utils/calculate.js +9 -5
  5. package/dist/utils/calculate.js.map +1 -1
  6. package/package.json +2 -2
  7. package/src/utils/calculate.ts +19 -7
package/README.md CHANGED
@@ -6,5 +6,5 @@
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  | Statements | Branches | Functions | Lines |
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  | --------------------------- | ----------------------- | ------------------------- | ----------------- |
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- | ![Statements](https://img.shields.io/badge/statements-20.35%25-red.svg?style=flat) | ![Branches](https://img.shields.io/badge/branches-18%25-red.svg?style=flat) | ![Functions](https://img.shields.io/badge/functions-10.31%25-red.svg?style=flat) | ![Lines](https://img.shields.io/badge/lines-22.05%25-red.svg?style=flat) |
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+ | ![Statements](https://img.shields.io/badge/statements-20.39%25-red.svg?style=flat) | ![Branches](https://img.shields.io/badge/branches-18%25-red.svg?style=flat) | ![Functions](https://img.shields.io/badge/functions-10.26%25-red.svg?style=flat) | ![Lines](https://img.shields.io/badge/lines-22.11%25-red.svg?style=flat) |
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package/dist/types/utils/calculate.d.ts CHANGED
@@ -93,8 +93,9 @@ export declare const calculateTotalMargin: ({ marketsTrackers, accountBalances,
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  rUSDAddress?: string | undefined;
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  }) => number;
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  export declare const calculatePositionAdjustedQty: (origQty: BigNumber, marketBaseMultiplier: BigNumber, positionBaseMultiplier: BigNumber) => BigNumber;
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+ export declare const calculateAdjustedPositionBase: (positionBase: number, positionBaseMultiplier: number, marketBaseMultiplier: number) => number;
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  export declare const calculateFundingPnl: (fundingValue: number, positionAvgEntryFundingValue: number, positionBase: number, positionBaseMultiplier: number) => number;
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- export declare const calculatePricePnl: (price: number, positionAvgEntryPrice: number, positionBase: number, positionBaseMultiplier: number) => number;
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+ export declare const calculatePricePnl: (price: number, positionAvgEntryPrice: number, positionBase: number, positionBaseMultiplier: number, marketBaseMultiplier: number) => number;
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  export declare const calculateAdlPnl: (adlUnwindPrice: number, baseMultiplier: number, positionAvgEntryPrice: number, positionAdlUnwindPrice: number, positionBaseMultiplier: number, positionBase: number) => number;
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  export declare const calculateRealBalance: (netDeposits: BigNumber, realized_pnl: BigNumber) => BigNumber;
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  export {};
package/dist/types/utils/calculate.d.ts.map CHANGED
@@ -1 +1 @@
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1
+ {"version":3,"file":"calculate.d.ts","sourceRoot":"/","sources":["utils/calculate.ts"],"names":[],"mappings":"AACA,OAAO,SAAS,MAAM,cAAc,CAAC;AAErC,eAAO,MAAM,QAAQ,MAAM,CAAC;AAE5B,KAAK,QAAQ,GAAG,MAAM,CAAC;AACvB,KAAK,OAAO,GAAG,MAAM,CAAC;AAEtB,eAAO,MAAM,oBAAoB;iBAKlB,MAAM;;gBAEP,MAAM;YACiC,CAAC;AAEtD,eAAO,MAAM,gCAAgC,cAChC,MAAM,QACX,MAAM,eACC,MAAM,eACN,MAAM,SACZ,MAAM,WAE8D,CAAC;AAE9E,eAAO,MAAM,iBAAiB;aAInB,MAAM;mBACA,MAAM;YACgB,CAAC;AAExC,eAAO,MAAM,eAAe;iBAOb,MAAM;iBACN,MAAM;iBACN,MAAM;eACR,MAAM;mBACF,MAAM;YAIR,CAAC;AAEhB,eAAO,MAAM,kCAAkC;SAOxC,MAAM;oBACK,MAAM;aACb,OAAO;cACN,MAAM;iBACH,MAAM;YAMlB,CAAC;AAEJ,eAAO,MAAM,iBAAiB;mBAIb,MAAM;gBACT,MAAM;YAC6B,CAAC;AAElD,eAAO,MAAM,uBAAuB;aAMzB,MAAM;qBACE,MAAM;cACb,MAAM;mBACD,MAAM;YAIX,CAAC;AAEb,eAAO,MAAM,qBAAqB;aAavB,MAAM;qBACE,MAAM;kBACT,MAAM;iBACP,MAAM;uBACA,OAAO;aACjB,MAAM;kBACD,OAAO;cACX,MAAM;iBACH,MAAM;iBACN,MAAM;eACR,MAAM;YAqBlB,CAAC;AAEF,eAAO,MAAM,YAAY;qBAKN,IAAI,QAAQ,EAAE,MAAM,CAAC;kBACxB,IAAI,QAAQ,EAAE,MAAM,CAAC;eACxB,IAAI,QAAQ,EAAE,MAAM,CAAC;YAajC,CAAC;AAEF,eAAO,MAAM,YAAY;;kBAQT,IAAI,QAAQ,EAAE,MAAM,CAAC;eACxB,IAAI,QAAQ,EAAE,MAAM,CAAC;iBACnB,IAAI,QAAQ,EAAE,MAAM,CAAC;;YAkB7B,CAAC;AAIR,eAAO,MAAM,oBAAoB;SAK1B,MAAM;kBACG,MAAM;eACT,MAAM;YAYlB,CAAC;AAEF,eAAO,MAAM,oBAAoB;qBAQd,IAAI,OAAO,EAAE,MAAM,CAAC;iBACxB,IAAI,OAAO,EAAE,MAAM,CAAC;sBACf,IAChB,QAAQ,EACR;QACE,YAAY,EAAE,MAAM,CAAC;QACrB,iBAAiB,EAAE,MAAM,CAAC;KAC3B,CACF;qBACgB,IACf,QAAQ,EACR;QACE,kBAAkB,EAAE,MAAM,CAAC;QAC3B,kBAAkB,EAAE,MAAM,CAAC;QAC3B,gBAAgB,EAAE,MAAM,CAAC;QACzB,mBAAmB,EAAE,MAAM,CAAC;QAC5B,mBAAmB,EAAE,MAAM,CAAC;QAC5B,iBAAiB,EAAE,MAAM,CAAC;KAC3B,CACF;eACU;QACT,cAAc,EAAE,MAAM,CAAC;QACvB,IAAI,EAAE,MAAM,CAAC;QACb,cAAc,EAAE,MAAM,CAAC;QACvB,YAAY,EAAE,MAAM,CAAC;QACrB,SAAS,EAAE,MAAM,CAAC;QAClB,QAAQ,EAAE,MAAM,CAAC;QACjB,WAAW,EAAE,MAAM,CAAC;KACrB,EAAE;;YA6DJ,CAAC;AAEF,eAAO,MAAM,4BAA4B,YAC9B,SAAS,wBACI,SAAS,0BACP,SAAS,cAGlC,CAAC;AAEF,eAAO,MAAM,6BAA6B,iBAC1B,MAAM,0BACI,MAAM,wBACR,MAAM,KAC3B,MAEF,CAAC;AAEF,eAAO,MAAM,mBAAmB,iBAChB,MAAM,gCACU,MAAM,gBACtB,MAAM,0BACI,MAAM,KAC7B,MAMF,CAAC;AAEF,eAAO,MAAM,iBAAiB,UACrB,MAAM,yBACU,MAAM,gBACf,MAAM,0BACI,MAAM,wBACR,MAAM,KAC3B,MAOF,CAAC;AAEF,eAAO,MAAM,eAAe,mBACV,MAAM,kBACN,MAAM,yBACC,MAAM,0BACL,MAAM,0BACN,MAAM,gBAChB,MAAM,KACnB,MAMF,CAAC;AAEF,eAAO,MAAM,oBAAoB,gBAClB,SAAS,gBACR,SAAS,cAGxB,CAAC"}
package/dist/utils/calculate.js CHANGED
@@ -1,6 +1,6 @@
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  "use strict";
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  Object.defineProperty(exports, "__esModule", { value: true });
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- exports.calculateRealBalance = exports.calculateAdlPnl = exports.calculatePricePnl = exports.calculateFundingPnl = exports.calculatePositionAdjustedQty = exports.calculateTotalMargin = exports.calculateMarginRatio = exports.calculateLMR = exports.calculateIMR = exports.calculateMaxOrderSize = exports.calculateRequiredMargin = exports.calculateLeverage = exports.calculateEstimatedLiquidationPrice = exports.calculateSpread = exports.calculateTradeFee = exports.calculateEstimatedExecutionPrice = exports.calculateMaxExposure = exports.POOL_IMR = void 0;
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+ exports.calculateRealBalance = exports.calculateAdlPnl = exports.calculatePricePnl = exports.calculateFundingPnl = exports.calculateAdjustedPositionBase = exports.calculatePositionAdjustedQty = exports.calculateTotalMargin = exports.calculateMarginRatio = exports.calculateLMR = exports.calculateIMR = exports.calculateMaxOrderSize = exports.calculateRequiredMargin = exports.calculateLeverage = exports.calculateEstimatedLiquidationPrice = exports.calculateSpread = exports.calculateTradeFee = exports.calculateEstimatedExecutionPrice = exports.calculateMaxExposure = exports.POOL_IMR = void 0;
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  var struct_1 = require("./struct");
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  exports.POOL_IMR = 9.1;
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  var calculateMaxExposure = function (_a) {
@@ -167,20 +167,24 @@ var calculatePositionAdjustedQty = function (origQty, marketBaseMultiplier, posi
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  return origQty.times(marketBaseMultiplier).div(positionBaseMultiplier);
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  };
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  exports.calculatePositionAdjustedQty = calculatePositionAdjustedQty;
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+ var calculateAdjustedPositionBase = function (positionBase, positionBaseMultiplier, marketBaseMultiplier) {
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+ return positionBase * (marketBaseMultiplier / positionBaseMultiplier);
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+ };
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+ exports.calculateAdjustedPositionBase = calculateAdjustedPositionBase;
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  var calculateFundingPnl = function (fundingValue, positionAvgEntryFundingValue, positionBase, positionBaseMultiplier) {
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  return (-1 *
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  (((fundingValue - positionAvgEntryFundingValue) * positionBase) /
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  positionBaseMultiplier));
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  };
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  exports.calculateFundingPnl = calculateFundingPnl;
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- var calculatePricePnl = function (price, positionAvgEntryPrice, positionBase, positionBaseMultiplier) {
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- return (((price - positionAvgEntryPrice) * positionBase) / positionBaseMultiplier);
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+ var calculatePricePnl = function (price, positionAvgEntryPrice, positionBase, positionBaseMultiplier, marketBaseMultiplier) {
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+ var adjustedPositionBase = (0, exports.calculateAdjustedPositionBase)(positionBase, positionBaseMultiplier, marketBaseMultiplier);
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+ return (price - positionAvgEntryPrice) * adjustedPositionBase;
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  };
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  exports.calculatePricePnl = calculatePricePnl;
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  var calculateAdlPnl = function (adlUnwindPrice, baseMultiplier, positionAvgEntryPrice, positionAdlUnwindPrice, positionBaseMultiplier, positionBase) {
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  var currentAdlUnwindPrice = (adlUnwindPrice - positionAdlUnwindPrice) / positionBaseMultiplier;
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- var currentBaseMultiplier = baseMultiplier / positionBaseMultiplier;
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- var initialPrice = (1 - currentBaseMultiplier) * positionAvgEntryPrice;
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+ var initialPrice = (1 - baseMultiplier / positionBaseMultiplier) * positionAvgEntryPrice;
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  return (currentAdlUnwindPrice - initialPrice) * positionBase;
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  };
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  exports.calculateAdlPnl = calculateAdlPnl;
package/dist/utils/calculate.js.map CHANGED
@@ -1 +1 @@
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- 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{ mergeMap } from './struct';\nimport BigNumber from 'bignumber.js';\n\nexport const POOL_IMR = 9.1;\n\ntype MarketId = string;\ntype Address = string;\n\nexport const calculateMaxExposure = ({\n poolBalance,\n riskFactor,\n poolIMR = POOL_IMR,\n}: {\n poolBalance: number;\n poolIMR?: number;\n riskFactor: number;\n}) => poolBalance / (poolIMR * Math.sqrt(riskFactor));\n\nexport const calculateEstimatedExecutionPrice = (\n poolPrice: number,\n size: number,\n oraclePrice: number,\n maxExposure: number,\n depth: number,\n) =>\n Math.max(0, poolPrice * (1 + (size * oraclePrice) / (depth * maxExposure)));\n\nexport const calculateTradeFee = ({\n feeRate,\n tradeNotional,\n}: {\n feeRate: number;\n tradeNotional: number;\n}) => feeRate * Math.abs(tradeNotional);\n\nexport const calculateSpread = ({\n depthFactor,\n maxExposure,\n oraclePrice,\n poolPrice,\n tradeNotional,\n}: {\n depthFactor: number;\n maxExposure: number;\n oraclePrice: number;\n poolPrice: number;\n tradeNotional: number;\n}) =>\n (poolPrice / oraclePrice) *\n (1 + tradeNotional / (depthFactor * maxExposure) - 1) *\n tradeNotional;\n\nexport const calculateEstimatedLiquidationPrice = ({\n LMR,\n accountBalance,\n isShort,\n notional,\n oraclePrice,\n}: {\n LMR: number;\n accountBalance: number;\n isShort: boolean;\n notional: number;\n oraclePrice: number;\n}) =>\n Math.max(\n 0,\n oraclePrice *\n (1 - ((accountBalance - LMR) / notional) * (isShort ? -1 : 1)),\n );\n\nexport const calculateLeverage = ({\n imrMultiplier,\n riskFactor,\n}: {\n imrMultiplier: number;\n riskFactor: number;\n}) => 1 / (imrMultiplier * Math.sqrt(riskFactor));\n\nexport const calculateRequiredMargin = ({\n currIMR,\n currentNotional,\n leverage,\n tradeNotional,\n}: {\n currIMR: number;\n currentNotional: number;\n leverage: number;\n tradeNotional: number;\n}) =>\n currIMR +\n (Math.abs(currentNotional + tradeNotional) - Math.abs(currentNotional)) /\n leverage;\n\nexport const calculateMaxOrderSize = ({\n currIMR,\n currNodeBalance,\n currNotional,\n depthFactor,\n extendingPosition,\n feeRate,\n isShortTrade,\n leverage,\n maxExposure,\n oraclePrice,\n poolPrice,\n}: {\n currIMR: number;\n currNodeBalance: number;\n currNotional: number;\n depthFactor: number;\n extendingPosition: boolean;\n feeRate: number;\n isShortTrade: boolean;\n leverage: number;\n maxExposure: number;\n oraclePrice: number;\n poolPrice: number;\n}) => {\n const a = poolPrice / oraclePrice;\n const c = 1 / (depthFactor * maxExposure);\n const R = a - 1 - feeRate * (isShortTrade ? -1 : 1);\n const SN = currNotional < 0 ? -1 : 1;\n const Q = R - (SN / leverage) * (extendingPosition ? 1 : -1);\n return Math.abs(\n (-1 * Q +\n Math.sqrt(\n Math.pow(Q, 2) -\n 4 *\n a *\n c *\n (currNodeBalance -\n currIMR +\n (extendingPosition ? 0 : ((2 * SN) / leverage) * currNotional)),\n ) *\n (isShortTrade ? 1 : -1)) /\n (2 * a * c),\n );\n};\n\nexport const calculateIMR = ({\n marketLeverages,\n marketPrices,\n positions,\n}: {\n marketLeverages: Map<MarketId, number>;\n marketPrices: Map<MarketId, number>;\n positions: Map<MarketId, number>;\n}) => {\n return Array.from(positions.entries()).reduce(\n (sum, [marketId, positionSize]) => {\n const leverage = marketLeverages.get(marketId);\n return leverage\n ? sum +\n (Math.abs(positionSize) * (marketPrices.get(marketId) ?? 0)) /\n leverage\n : sum;\n },\n 0,\n );\n};\n\nexport const calculateLMR = ({\n marketPrices,\n positions,\n riskFactors,\n marketId,\n tradeSize,\n}: {\n marketId?: string;\n marketPrices: Map<MarketId, number>;\n positions: Map<MarketId, number>;\n riskFactors: Map<MarketId, number>;\n tradeSize?: number;\n}) =>\n Array.from(\n (marketId && tradeSize\n ? mergeMap(positions, [\n [marketId, (positions.get(marketId) ?? 0) + tradeSize],\n ])\n : positions\n ).entries(),\n ).reduce((sum, [marketId, positionSize]) => {\n const riskFactor = riskFactors.get(marketId);\n return riskFactor\n ? sum +\n Math.abs(positionSize) *\n (marketPrices.get(marketId) ?? 0) *\n Math.sqrt(riskFactor)\n : sum;\n }, 0);\n\n// if account balance is below LMR position is liquidable\n\nexport const calculateMarginRatio = ({\n LMR,\n totalBalance,\n tradeCost,\n}: {\n LMR: number;\n totalBalance: number;\n tradeCost: number;\n}) => {\n if (LMR === 0) {\n return 0;\n }\n if (tradeCost > totalBalance) {\n return 1;\n }\n if (totalBalance === tradeCost) {\n return Infinity;\n }\n return Math.min(1, LMR / (totalBalance - tradeCost));\n};\n\nexport const calculateTotalMargin = ({\n marketsTrackers,\n accountBalances,\n assetPrices,\n marketsTokenInfo,\n positions,\n rUSDAddress,\n}: {\n accountBalances: Map<Address, number>;\n assetPrices: Map<Address, number>;\n marketsTokenInfo: Map<\n MarketId,\n {\n quoteTokenId: string;\n underlyingAssetId: string;\n }\n >;\n marketsTrackers: Map<\n MarketId,\n {\n longADLUnwindPrice: number;\n longBaseMultiplier: number;\n longFundingValue: number;\n shortADLUnwindPrice: number;\n shortBaseMultiplier: number;\n shortFundingValue: number;\n }\n >;\n positions: {\n adlUnwindPrice: number;\n base: number;\n baseMultiplier: number;\n fundingValue: number;\n lastPrice: number;\n marketId: string;\n realizedPnl: number;\n }[];\n rUSDAddress?: string;\n}) => {\n const pnl = new Map<Address, number>();\n const rUSDPrice = (rUSDAddress && assetPrices.get(rUSDAddress)) ?? 1;\n positions.forEach((position) => {\n const marketTracker = marketsTrackers?.get(position.marketId);\n const tokenInfo = marketsTokenInfo.get(position.marketId);\n if (!tokenInfo) return;\n let fundingCashFlow = 0;\n let adlCashFlow = 0;\n\n if (marketTracker) {\n // fundingCashFlow\n const marketTrackerFundingValue =\n position.base < 0\n ? marketTracker.shortFundingValue\n : marketTracker.longFundingValue;\n const trackerDelta = marketTrackerFundingValue - position.fundingValue;\n fundingCashFlow =\n (trackerDelta / position.baseMultiplier) * -1 * position.base;\n\n // adlCashFlow\n const adlUnwindPrice =\n ((position.base < 0\n ? marketTracker.shortADLUnwindPrice\n : marketTracker.longADLUnwindPrice) -\n position.adlUnwindPrice) /\n position.baseMultiplier;\n const baseMultiplier =\n (position.base < 0\n ? marketTracker.shortBaseMultiplier\n : marketTracker.longBaseMultiplier) / position.baseMultiplier;\n const lastPriceCoefficient = 1 - baseMultiplier;\n const initialPrice = lastPriceCoefficient * position.lastPrice;\n adlCashFlow = (adlUnwindPrice - initialPrice) * position.base;\n }\n\n const unrealizedPnl =\n ((assetPrices.get(tokenInfo.quoteTokenId) ?? 0) - position.lastPrice) *\n position.base;\n\n pnl.set(\n tokenInfo.underlyingAssetId,\n (pnl.get(tokenInfo.underlyingAssetId) ?? 0) +\n position.realizedPnl +\n fundingCashFlow +\n adlCashFlow +\n unrealizedPnl,\n );\n });\n\n return Array.from(accountBalances.entries()).reduce(\n (sum, [address, balance]) =>\n sum +\n (balance + (pnl.get(address) ?? 0)) *\n (address === rUSDAddress\n ? 1\n : (assetPrices.get(address) ?? 0) / (rUSDPrice || 1)),\n 0,\n );\n};\n\nexport const calculatePositionAdjustedQty = (\n origQty: BigNumber,\n marketBaseMultiplier: BigNumber,\n positionBaseMultiplier: BigNumber,\n) => {\n return origQty.times(marketBaseMultiplier).div(positionBaseMultiplier);\n};\n\nexport const calculateFundingPnl = (\n fundingValue: number,\n positionAvgEntryFundingValue: number,\n positionBase: number,\n positionBaseMultiplier: number,\n) => {\n return (\n -1 *\n (((fundingValue - positionAvgEntryFundingValue) * positionBase) /\n positionBaseMultiplier)\n );\n};\n\nexport const calculatePricePnl = (\n price: number,\n positionAvgEntryPrice: number,\n positionBase: number,\n positionBaseMultiplier: number,\n) => {\n return (\n ((price - positionAvgEntryPrice) * positionBase) / positionBaseMultiplier\n );\n};\n\nexport const calculateAdlPnl = (\n adlUnwindPrice: number,\n baseMultiplier: number,\n positionAvgEntryPrice: number,\n positionAdlUnwindPrice: number,\n positionBaseMultiplier: number,\n positionBase: number,\n) => {\n const currentAdlUnwindPrice =\n (adlUnwindPrice - positionAdlUnwindPrice) / positionBaseMultiplier;\n const currentBaseMultiplier = baseMultiplier / positionBaseMultiplier;\n const initialPrice = (1 - currentBaseMultiplier) * positionAvgEntryPrice;\n return (currentAdlUnwindPrice - initialPrice) * positionBase;\n};\n\nexport const calculateRealBalance = (\n netDeposits: BigNumber,\n realized_pnl: BigNumber,\n) => {\n return netDeposits.plus(realized_pnl);\n};\n"]}
1
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{ mergeMap } from './struct';\nimport BigNumber from 'bignumber.js';\n\nexport const POOL_IMR = 9.1;\n\ntype MarketId = string;\ntype Address = string;\n\nexport const calculateMaxExposure = ({\n poolBalance,\n riskFactor,\n poolIMR = POOL_IMR,\n}: {\n poolBalance: number;\n poolIMR?: number;\n riskFactor: number;\n}) => poolBalance / (poolIMR * Math.sqrt(riskFactor));\n\nexport const calculateEstimatedExecutionPrice = (\n poolPrice: number,\n size: number,\n oraclePrice: number,\n maxExposure: number,\n depth: number,\n) =>\n Math.max(0, poolPrice * (1 + (size * oraclePrice) / (depth * maxExposure)));\n\nexport const calculateTradeFee = ({\n feeRate,\n tradeNotional,\n}: {\n feeRate: number;\n tradeNotional: number;\n}) => feeRate * Math.abs(tradeNotional);\n\nexport const calculateSpread = ({\n depthFactor,\n maxExposure,\n oraclePrice,\n poolPrice,\n tradeNotional,\n}: {\n depthFactor: number;\n maxExposure: number;\n oraclePrice: number;\n poolPrice: number;\n tradeNotional: number;\n}) =>\n (poolPrice / oraclePrice) *\n (1 + tradeNotional / (depthFactor * maxExposure) - 1) *\n tradeNotional;\n\nexport const calculateEstimatedLiquidationPrice = ({\n LMR,\n accountBalance,\n isShort,\n notional,\n oraclePrice,\n}: {\n LMR: number;\n accountBalance: number;\n isShort: boolean;\n notional: number;\n oraclePrice: number;\n}) =>\n Math.max(\n 0,\n oraclePrice *\n (1 - ((accountBalance - LMR) / notional) * (isShort ? -1 : 1)),\n );\n\nexport const calculateLeverage = ({\n imrMultiplier,\n riskFactor,\n}: {\n imrMultiplier: number;\n riskFactor: number;\n}) => 1 / (imrMultiplier * Math.sqrt(riskFactor));\n\nexport const calculateRequiredMargin = ({\n currIMR,\n currentNotional,\n leverage,\n tradeNotional,\n}: {\n currIMR: number;\n currentNotional: number;\n leverage: number;\n tradeNotional: number;\n}) =>\n currIMR +\n (Math.abs(currentNotional + tradeNotional) - Math.abs(currentNotional)) /\n leverage;\n\nexport const calculateMaxOrderSize = ({\n currIMR,\n currNodeBalance,\n currNotional,\n depthFactor,\n extendingPosition,\n feeRate,\n isShortTrade,\n leverage,\n maxExposure,\n oraclePrice,\n poolPrice,\n}: {\n currIMR: number;\n currNodeBalance: number;\n currNotional: number;\n depthFactor: number;\n extendingPosition: boolean;\n feeRate: number;\n isShortTrade: boolean;\n leverage: number;\n maxExposure: number;\n oraclePrice: number;\n poolPrice: number;\n}) => {\n const a = poolPrice / oraclePrice;\n const c = 1 / (depthFactor * maxExposure);\n const R = a - 1 - feeRate * (isShortTrade ? -1 : 1);\n const SN = currNotional < 0 ? -1 : 1;\n const Q = R - (SN / leverage) * (extendingPosition ? 1 : -1);\n return Math.abs(\n (-1 * Q +\n Math.sqrt(\n Math.pow(Q, 2) -\n 4 *\n a *\n c *\n (currNodeBalance -\n currIMR +\n (extendingPosition ? 0 : ((2 * SN) / leverage) * currNotional)),\n ) *\n (isShortTrade ? 1 : -1)) /\n (2 * a * c),\n );\n};\n\nexport const calculateIMR = ({\n marketLeverages,\n marketPrices,\n positions,\n}: {\n marketLeverages: Map<MarketId, number>;\n marketPrices: Map<MarketId, number>;\n positions: Map<MarketId, number>;\n}) => {\n return Array.from(positions.entries()).reduce(\n (sum, [marketId, positionSize]) => {\n const leverage = marketLeverages.get(marketId);\n return leverage\n ? sum +\n (Math.abs(positionSize) * (marketPrices.get(marketId) ?? 0)) /\n leverage\n : sum;\n },\n 0,\n );\n};\n\nexport const calculateLMR = ({\n marketPrices,\n positions,\n riskFactors,\n marketId,\n tradeSize,\n}: {\n marketId?: string;\n marketPrices: Map<MarketId, number>;\n positions: Map<MarketId, number>;\n riskFactors: Map<MarketId, number>;\n tradeSize?: number;\n}) =>\n Array.from(\n (marketId && tradeSize\n ? mergeMap(positions, [\n [marketId, (positions.get(marketId) ?? 0) + tradeSize],\n ])\n : positions\n ).entries(),\n ).reduce((sum, [marketId, positionSize]) => {\n const riskFactor = riskFactors.get(marketId);\n return riskFactor\n ? sum +\n Math.abs(positionSize) *\n (marketPrices.get(marketId) ?? 0) *\n Math.sqrt(riskFactor)\n : sum;\n }, 0);\n\n// if account balance is below LMR position is liquidable\n\nexport const calculateMarginRatio = ({\n LMR,\n totalBalance,\n tradeCost,\n}: {\n LMR: number;\n totalBalance: number;\n tradeCost: number;\n}) => {\n if (LMR === 0) {\n return 0;\n }\n if (tradeCost > totalBalance) {\n return 1;\n }\n if (totalBalance === tradeCost) {\n return Infinity;\n }\n return Math.min(1, LMR / (totalBalance - tradeCost));\n};\n\nexport const calculateTotalMargin = ({\n marketsTrackers,\n accountBalances,\n assetPrices,\n marketsTokenInfo,\n positions,\n rUSDAddress,\n}: {\n accountBalances: Map<Address, number>;\n assetPrices: Map<Address, number>;\n marketsTokenInfo: Map<\n MarketId,\n {\n quoteTokenId: string;\n underlyingAssetId: string;\n }\n >;\n marketsTrackers: Map<\n MarketId,\n {\n longADLUnwindPrice: number;\n longBaseMultiplier: number;\n longFundingValue: number;\n shortADLUnwindPrice: number;\n shortBaseMultiplier: number;\n shortFundingValue: number;\n }\n >;\n positions: {\n adlUnwindPrice: number;\n base: number;\n baseMultiplier: number;\n fundingValue: number;\n lastPrice: number;\n marketId: string;\n realizedPnl: number;\n }[];\n rUSDAddress?: string;\n}) => {\n const pnl = new Map<Address, number>();\n const rUSDPrice = (rUSDAddress && assetPrices.get(rUSDAddress)) ?? 1;\n positions.forEach((position) => {\n const marketTracker = marketsTrackers?.get(position.marketId);\n const tokenInfo = marketsTokenInfo.get(position.marketId);\n if (!tokenInfo) return;\n let fundingCashFlow = 0;\n let adlCashFlow = 0;\n\n if (marketTracker) {\n // fundingCashFlow\n const marketTrackerFundingValue =\n position.base < 0\n ? marketTracker.shortFundingValue\n : marketTracker.longFundingValue;\n const trackerDelta = marketTrackerFundingValue - position.fundingValue;\n fundingCashFlow =\n (trackerDelta / position.baseMultiplier) * -1 * position.base;\n\n // adlCashFlow\n const adlUnwindPrice =\n ((position.base < 0\n ? marketTracker.shortADLUnwindPrice\n : marketTracker.longADLUnwindPrice) -\n position.adlUnwindPrice) /\n position.baseMultiplier;\n const baseMultiplier =\n (position.base < 0\n ? marketTracker.shortBaseMultiplier\n : marketTracker.longBaseMultiplier) / position.baseMultiplier;\n const lastPriceCoefficient = 1 - baseMultiplier;\n const initialPrice = lastPriceCoefficient * position.lastPrice;\n adlCashFlow = (adlUnwindPrice - initialPrice) * position.base;\n }\n\n const unrealizedPnl =\n ((assetPrices.get(tokenInfo.quoteTokenId) ?? 0) - position.lastPrice) *\n position.base;\n\n pnl.set(\n tokenInfo.underlyingAssetId,\n (pnl.get(tokenInfo.underlyingAssetId) ?? 0) +\n position.realizedPnl +\n fundingCashFlow +\n adlCashFlow +\n unrealizedPnl,\n );\n });\n\n return Array.from(accountBalances.entries()).reduce(\n (sum, [address, balance]) =>\n sum +\n (balance + (pnl.get(address) ?? 0)) *\n (address === rUSDAddress\n ? 1\n : (assetPrices.get(address) ?? 0) / (rUSDPrice || 1)),\n 0,\n );\n};\n\nexport const calculatePositionAdjustedQty = (\n origQty: BigNumber,\n marketBaseMultiplier: BigNumber,\n positionBaseMultiplier: BigNumber,\n) => {\n return origQty.times(marketBaseMultiplier).div(positionBaseMultiplier);\n};\n\nexport const calculateAdjustedPositionBase = (\n positionBase: number,\n positionBaseMultiplier: number,\n marketBaseMultiplier: number,\n): number => {\n return positionBase * (marketBaseMultiplier / positionBaseMultiplier);\n};\n\nexport const calculateFundingPnl = (\n fundingValue: number,\n positionAvgEntryFundingValue: number,\n positionBase: number,\n positionBaseMultiplier: number,\n): number => {\n return (\n -1 *\n (((fundingValue - positionAvgEntryFundingValue) * positionBase) /\n positionBaseMultiplier)\n );\n};\n\nexport const calculatePricePnl = (\n price: number,\n positionAvgEntryPrice: number,\n positionBase: number,\n positionBaseMultiplier: number,\n marketBaseMultiplier: number,\n): number => {\n const adjustedPositionBase = calculateAdjustedPositionBase(\n positionBase,\n positionBaseMultiplier,\n marketBaseMultiplier,\n );\n return (price - positionAvgEntryPrice) * adjustedPositionBase;\n};\n\nexport const calculateAdlPnl = (\n adlUnwindPrice: number,\n baseMultiplier: number,\n positionAvgEntryPrice: number,\n positionAdlUnwindPrice: number,\n positionBaseMultiplier: number,\n positionBase: number,\n): number => {\n const currentAdlUnwindPrice =\n (adlUnwindPrice - positionAdlUnwindPrice) / positionBaseMultiplier;\n const initialPrice =\n (1 - baseMultiplier / positionBaseMultiplier) * positionAvgEntryPrice;\n return (currentAdlUnwindPrice - initialPrice) * positionBase;\n};\n\nexport const calculateRealBalance = (\n netDeposits: BigNumber,\n realized_pnl: BigNumber,\n) => {\n return netDeposits.plus(realized_pnl);\n};\n"]}
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@reyaxyz/common",
3
- "version": "0.308.0",
3
+ "version": "0.309.0",
4
4
  "publishConfig": {
5
5
  "access": "public",
6
6
  "registry": "https://registry.npmjs.org"
@@ -44,5 +44,5 @@
44
44
  "generate:coverage-badges": "npx istanbul-badges-readme --silent"
45
45
  },
46
46
  "packageManager": "pnpm@8.3.1",
47
- "gitHead": "f1d5b06d6e311aa60a1b72647937c4f6ffacbfed"
47
+ "gitHead": "cee3f03df7be228d759bb70bf82f5e1695cbd27a"
48
48
  }
package/src/utils/calculate.ts CHANGED
@@ -320,12 +320,20 @@ export const calculatePositionAdjustedQty = (
320
320
  return origQty.times(marketBaseMultiplier).div(positionBaseMultiplier);
321
321
  };
322
322
 
323
+ export const calculateAdjustedPositionBase = (
324
+ positionBase: number,
325
+ positionBaseMultiplier: number,
326
+ marketBaseMultiplier: number,
327
+ ): number => {
328
+ return positionBase * (marketBaseMultiplier / positionBaseMultiplier);
329
+ };
330
+
323
331
  export const calculateFundingPnl = (
324
332
  fundingValue: number,
325
333
  positionAvgEntryFundingValue: number,
326
334
  positionBase: number,
327
335
  positionBaseMultiplier: number,
328
- ) => {
336
+ ): number => {
329
337
  return (
330
338
  -1 *
331
339
  (((fundingValue - positionAvgEntryFundingValue) * positionBase) /
@@ -338,10 +346,14 @@ export const calculatePricePnl = (
338
346
  positionAvgEntryPrice: number,
339
347
  positionBase: number,
340
348
  positionBaseMultiplier: number,
341
- ) => {
342
- return (
343
- ((price - positionAvgEntryPrice) * positionBase) / positionBaseMultiplier
349
+ marketBaseMultiplier: number,
350
+ ): number => {
351
+ const adjustedPositionBase = calculateAdjustedPositionBase(
352
+ positionBase,
353
+ positionBaseMultiplier,
354
+ marketBaseMultiplier,
344
355
  );
356
+ return (price - positionAvgEntryPrice) * adjustedPositionBase;
345
357
  };
346
358
 
347
359
  export const calculateAdlPnl = (
@@ -351,11 +363,11 @@ export const calculateAdlPnl = (
351
363
  positionAdlUnwindPrice: number,
352
364
  positionBaseMultiplier: number,
353
365
  positionBase: number,
354
- ) => {
366
+ ): number => {
355
367
  const currentAdlUnwindPrice =
356
368
  (adlUnwindPrice - positionAdlUnwindPrice) / positionBaseMultiplier;
357
- const currentBaseMultiplier = baseMultiplier / positionBaseMultiplier;
358
- const initialPrice = (1 - currentBaseMultiplier) * positionAvgEntryPrice;
369
+ const initialPrice =
370
+ (1 - baseMultiplier / positionBaseMultiplier) * positionAvgEntryPrice;
359
371
  return (currentAdlUnwindPrice - initialPrice) * positionBase;
360
372
  };
361
373