@reyaxyz/common 0.322.0 → 0.324.0
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.
- package/README.md +1 -1
- package/dist/transactions/sign.js +1 -1
- package/dist/transactions/sign.js.map +1 -1
- package/dist/types/utils/calculate.d.ts +8 -1
- package/dist/types/utils/calculate.d.ts.map +1 -1
- package/dist/utils/calculate.js +9 -2
- package/dist/utils/calculate.js.map +1 -1
- package/package.json +2 -2
- package/src/transactions/sign.ts +1 -1
- package/src/utils/calculate.ts +26 -8
package/README.md
CHANGED
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@@ -6,5 +6,5 @@
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| Statements | Branches | Functions | Lines |
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| --------------------------- | ----------------------- | ------------------------- | ----------------- |
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-
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@@ -249,7 +249,7 @@ function isConditionalOrderSignatureValid(signerAddress, signature, reyaChainId,
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};
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// Recover the address
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var recoveredAddress = (0, ethers_1.verifyTypedData)(domain, conditionalOrderTypes, value, signature);
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return recoveredAddress === signerAddress;
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+
return recoveredAddress.toLowerCase() === signerAddress.toLowerCase();
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}
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exports.isConditionalOrderSignatureValid = isConditionalOrderSignatureValid;
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function signCancelConditionalOrder(signer, orderId) {
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@@ -1 +1 @@
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1
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-
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{\n JsonRpcSigner,\n Signature,\n Signer,\n TypedDataField,\n verifyTypedData,\n} from 'ethers';\nimport { ContractType, getAddress } from './contractAddresses';\nimport { Command } from './action';\nimport {\n Address,\n ConditionalOrderStatus,\n ConditionalOrderType,\n OrdersGatewayOrderType,\n ReyaChainId,\n} from '../types';\n\nexport type EIP712Signature = {\n v: number;\n r: string;\n s: string;\n deadline: number;\n};\n\nexport type CoreCommandsEIP712SignatureAndPayload = {\n signature: EIP712Signature;\n payload: {\n verifyingContract: string;\n types: Record<string, Array<TypedDataField>>;\n value: {\n verifyingChainId: number;\n caller: Address;\n accountId: number;\n commands: Command[];\n nonce: number;\n deadline: number;\n extraSignatureData: string;\n };\n };\n};\n\nexport function convertEthersSignatureToEIP712Signature(\n signature: Signature,\n deadline: number,\n): EIP712Signature {\n return {\n v: signature.v,\n r: signature.r,\n s: signature.s,\n deadline,\n };\n}\n\nexport async function signCoreCommands(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n caller: Address,\n accountId: number,\n commands: Command[],\n nonce: number,\n deadline: number,\n extraSignatureData: string,\n): Promise<CoreCommandsEIP712SignatureAndPayload> {\n const types = {\n ExecuteBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'caller', type: 'address' },\n { name: 'accountId', type: 'uint128' },\n { name: 'commands', type: 'Command[]' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n { name: 'extraSignatureData', type: 'bytes' },\n ],\n Command: [\n { name: 'commandType', type: 'uint8' },\n { name: 'inputs', type: 'bytes' },\n { name: 'marketId', type: 'uint128' },\n { name: 'exchangeId', type: 'uint128' },\n ],\n };\n\n const value = {\n verifyingChainId: reyaChainId,\n caller: caller,\n accountId: accountId,\n commands: commands,\n nonce: nonce,\n deadline: deadline,\n extraSignatureData: extraSignatureData,\n };\n\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.CORE_PROXY),\n types,\n value,\n );\n\n const eip712Signature = convertEthersSignatureToEIP712Signature(\n signature,\n deadline,\n );\n\n return {\n signature: eip712Signature,\n payload: {\n verifyingContract: getAddress(reyaChainId, ContractType.CORE_PROXY),\n types: types,\n value: value,\n },\n };\n}\n\nexport async function signPoolRemoveLiquidity(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n caller: Address,\n owner: Address,\n poolId: number,\n sharesAmount: bigint,\n minOut: bigint,\n nonce: number,\n deadline: number,\n extraSignatureData: string,\n): Promise<EIP712Signature> {\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.PASSIVE_POOL_PROXY),\n {\n RemoveLiquidityBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'caller', type: 'address' },\n { name: 'owner', type: 'address' },\n { name: 'poolId', type: 'uint128' },\n { name: 'sharesAmount', type: 'uint256' },\n { name: 'minOut', type: 'uint256' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n { name: 'extraSignatureData', type: 'bytes' },\n ],\n },\n {\n verifyingChainId: reyaChainId,\n caller: caller,\n owner: owner,\n poolId: poolId,\n sharesAmount: sharesAmount,\n minOut: minOut,\n nonce: nonce,\n deadline: deadline,\n extraSignatureData: extraSignatureData,\n },\n );\n\n return convertEthersSignatureToEIP712Signature(signature, deadline);\n}\n\nasync function signReyaTypedData(\n signer: Signer | JsonRpcSigner,\n verifyingContract: string,\n types: Record<string, Array<TypedDataField>>,\n // eslint-disable-next-line @typescript-eslint/no-explicit-any\n value: Record<string, any>,\n): Promise<Signature> {\n const domain = getReyaDomain(verifyingContract);\n\n const signatureString = await signer.signTypedData(domain, types, value);\n\n return Signature.from(signatureString);\n}\n\nfunction getReyaDomain(verifyingContract: string) {\n return {\n name: 'Reya',\n version: '1',\n verifyingContract: verifyingContract,\n };\n}\n\nconst conditionalOrderTypes = {\n ConditionalOrder: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n { name: 'order', type: 'ConditionalOrderDetails' },\n ],\n ConditionalOrderDetails: [\n { name: 'accountId', type: 'uint128' },\n { name: 'marketId', type: 'uint128' },\n { name: 'exchangeId', type: 'uint128' },\n { name: 'counterpartyAccountIds', type: 'uint128[]' },\n { name: 'orderType', type: 'uint8' },\n { name: 'inputs', type: 'bytes' },\n { name: 'signer', type: 'address' },\n { name: 'nonce', type: 'uint256' },\n ],\n};\n\nexport function createOrdersGatewayOrderNonce(\n accountId: number,\n marketId: number,\n timestampMs: number,\n): bigint {\n // Validate the input ranges\n if (marketId < 0 || marketId >= 2 ** 32)\n throw new Error('marketId is out of range');\n if (accountId < 0 || accountId >= 2 ** 128)\n throw new Error('accountId is out of range');\n if (timestampMs < 0 || timestampMs >= 2 ** 64)\n throw new Error('timestamp is out of range');\n\n const hashUint256 =\n (BigInt(accountId) << BigInt(98)) |\n (BigInt(timestampMs) << BigInt(32)) |\n BigInt(marketId);\n\n return hashUint256;\n}\n\ntype SignOrdersGatewayOrderOutput = {\n serializedSignature: string;\n nonce: bigint;\n signature: EIP712Signature;\n};\n\nexport async function signOrdersGatewayOrder(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n accountId: number,\n marketId: number,\n exchangeId: number,\n counterpartyAccountIds: number[],\n orderType: ConditionalOrderType | OrdersGatewayOrderType,\n inputs: string,\n deadline: number,\n creationTimestampMs: number,\n): Promise<SignOrdersGatewayOrderOutput> {\n const nonce = createOrdersGatewayOrderNonce(\n accountId,\n marketId,\n creationTimestampMs,\n );\n\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.ORDERS_GATEWAY_PROXY),\n conditionalOrderTypes,\n {\n verifyingChainId: reyaChainId,\n deadline: BigInt(deadline),\n order: {\n accountId: accountId,\n marketId: marketId,\n exchangeId: exchangeId,\n counterpartyAccountIds: counterpartyAccountIds,\n orderType: orderType,\n inputs: inputs,\n signer: await signer.getAddress(),\n nonce: nonce,\n },\n },\n );\n\n return {\n serializedSignature: signature.serialized,\n nonce,\n signature: convertEthersSignatureToEIP712Signature(signature, deadline),\n };\n}\n\nexport function isConditionalOrderSignatureValid(\n signerAddress: string,\n signature: string,\n reyaChainId: ReyaChainId,\n accountId: number,\n marketId: number,\n exchangeId: number,\n counterpartyAccountIds: number[],\n orderType: number,\n inputs: string,\n nonce: bigint,\n deadline: number,\n): boolean {\n // Encode the data for recovering the address\n const domain = getReyaDomain(\n getAddress(reyaChainId, ContractType.CONDITIONAL_ORDERS_PROXY),\n );\n\n const value = {\n verifyingChainId: reyaChainId,\n deadline: BigInt(deadline),\n order: {\n accountId: accountId,\n marketId: marketId,\n exchangeId: exchangeId,\n counterpartyAccountIds: counterpartyAccountIds,\n orderType: orderType,\n inputs: inputs,\n signer: signerAddress,\n nonce: nonce,\n },\n };\n\n // Recover the address\n const recoveredAddress = verifyTypedData(\n domain,\n conditionalOrderTypes,\n value,\n signature,\n );\n\n return recoveredAddress === signerAddress;\n}\n\nexport async function signCancelConditionalOrder(\n signer: Signer | JsonRpcSigner,\n orderId: string,\n): Promise<string> {\n const message = {\n orderId: orderId,\n status: ConditionalOrderStatus.CANCELLED,\n actionType: 'changeStatus',\n };\n return await signer.signMessage(JSON.stringify(message));\n}\n\nexport async function signGrantPermission(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n accountId: number,\n permission: string,\n user: string,\n nonce: number,\n deadline: number,\n): Promise<EIP712Signature> {\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.CORE_PROXY),\n {\n GrantAccountPermissionBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'accountId', type: 'uint128' },\n { name: 'permission', type: 'bytes32' },\n { name: 'user', type: 'address' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n ],\n },\n {\n verifyingChainId: reyaChainId,\n accountId: accountId,\n permission: permission,\n user: user,\n nonce: nonce,\n deadline: deadline,\n },\n );\n\n return convertEthersSignatureToEIP712Signature(signature, deadline);\n}\n\nexport async function signVote(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n contractAddress: string,\n voter: string,\n isYesVote: boolean,\n deadline: number,\n): Promise<string> {\n const types = {\n CastVoteBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'voter', type: 'address' },\n { name: 'yesVote', type: 'bool' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n ],\n };\n const values = {\n verifyingChainId: reyaChainId,\n voter: voter,\n yesVote: isYesVote,\n nonce: 1, // hardcoded because a user cannot vote more than once\n deadline: deadline,\n };\n\n const domain = getReyaDomain(contractAddress);\n\n const signatureString = await signer.signTypedData(domain, types, values);\n\n return signatureString;\n}\n\nexport async function signRevokePermission(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n accountId: number,\n permission: string,\n user: string,\n nonce: number,\n deadline: number,\n): Promise<EIP712Signature> {\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.CORE_PROXY),\n {\n RevokeAccountPermissionBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'accountId', type: 'uint128' },\n { name: 'permission', type: 'bytes32' },\n { name: 'user', type: 'address' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n ],\n },\n {\n verifyingChainId: reyaChainId,\n accountId: accountId,\n permission: permission,\n user: user,\n nonce: nonce,\n deadline: deadline,\n },\n );\n\n return convertEthersSignatureToEIP712Signature(signature, deadline);\n}\n\nexport const signManagePermissionBySig = async (\n signer: Signer | JsonRpcSigner,\n signerAddress: string,\n reyaChainId: ReyaChainId,\n targetAddress: string,\n permissionState: boolean,\n deadline: number,\n): Promise<EIP712Signature> => {\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.ORDERS_GATEWAY_PROXY),\n {\n ManagePermissionBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'owner', type: 'address' },\n { name: 'target', type: 'address' },\n { name: 'permissionState', type: 'bool' },\n { name: 'deadline', type: 'uint256' },\n ],\n },\n {\n verifyingChainId: reyaChainId,\n owner: signerAddress,\n target: targetAddress,\n permissionState: permissionState,\n deadline: deadline,\n },\n );\n\n return convertEthersSignatureToEIP712Signature(signature, deadline);\n};\n"]}
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{\n JsonRpcSigner,\n Signature,\n Signer,\n TypedDataField,\n verifyTypedData,\n} from 'ethers';\nimport { ContractType, getAddress } from './contractAddresses';\nimport { Command } from './action';\nimport {\n Address,\n ConditionalOrderStatus,\n ConditionalOrderType,\n OrdersGatewayOrderType,\n ReyaChainId,\n} from '../types';\n\nexport type EIP712Signature = {\n v: number;\n r: string;\n s: string;\n deadline: number;\n};\n\nexport type CoreCommandsEIP712SignatureAndPayload = {\n signature: EIP712Signature;\n payload: {\n verifyingContract: string;\n types: Record<string, Array<TypedDataField>>;\n value: {\n verifyingChainId: number;\n caller: Address;\n accountId: number;\n commands: Command[];\n nonce: number;\n deadline: number;\n extraSignatureData: string;\n };\n };\n};\n\nexport function convertEthersSignatureToEIP712Signature(\n signature: Signature,\n deadline: number,\n): EIP712Signature {\n return {\n v: signature.v,\n r: signature.r,\n s: signature.s,\n deadline,\n };\n}\n\nexport async function signCoreCommands(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n caller: Address,\n accountId: number,\n commands: Command[],\n nonce: number,\n deadline: number,\n extraSignatureData: string,\n): Promise<CoreCommandsEIP712SignatureAndPayload> {\n const types = {\n ExecuteBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'caller', type: 'address' },\n { name: 'accountId', type: 'uint128' },\n { name: 'commands', type: 'Command[]' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n { name: 'extraSignatureData', type: 'bytes' },\n ],\n Command: [\n { name: 'commandType', type: 'uint8' },\n { name: 'inputs', type: 'bytes' },\n { name: 'marketId', type: 'uint128' },\n { name: 'exchangeId', type: 'uint128' },\n ],\n };\n\n const value = {\n verifyingChainId: reyaChainId,\n caller: caller,\n accountId: accountId,\n commands: commands,\n nonce: nonce,\n deadline: deadline,\n extraSignatureData: extraSignatureData,\n };\n\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.CORE_PROXY),\n types,\n value,\n );\n\n const eip712Signature = convertEthersSignatureToEIP712Signature(\n signature,\n deadline,\n );\n\n return {\n signature: eip712Signature,\n payload: {\n verifyingContract: getAddress(reyaChainId, ContractType.CORE_PROXY),\n types: types,\n value: value,\n },\n };\n}\n\nexport async function signPoolRemoveLiquidity(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n caller: Address,\n owner: Address,\n poolId: number,\n sharesAmount: bigint,\n minOut: bigint,\n nonce: number,\n deadline: number,\n extraSignatureData: string,\n): Promise<EIP712Signature> {\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.PASSIVE_POOL_PROXY),\n {\n RemoveLiquidityBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'caller', type: 'address' },\n { name: 'owner', type: 'address' },\n { name: 'poolId', type: 'uint128' },\n { name: 'sharesAmount', type: 'uint256' },\n { name: 'minOut', type: 'uint256' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n { name: 'extraSignatureData', type: 'bytes' },\n ],\n },\n {\n verifyingChainId: reyaChainId,\n caller: caller,\n owner: owner,\n poolId: poolId,\n sharesAmount: sharesAmount,\n minOut: minOut,\n nonce: nonce,\n deadline: deadline,\n extraSignatureData: extraSignatureData,\n },\n );\n\n return convertEthersSignatureToEIP712Signature(signature, deadline);\n}\n\nasync function signReyaTypedData(\n signer: Signer | JsonRpcSigner,\n verifyingContract: string,\n types: Record<string, Array<TypedDataField>>,\n // eslint-disable-next-line @typescript-eslint/no-explicit-any\n value: Record<string, any>,\n): Promise<Signature> {\n const domain = getReyaDomain(verifyingContract);\n\n const signatureString = await signer.signTypedData(domain, types, value);\n\n return Signature.from(signatureString);\n}\n\nfunction getReyaDomain(verifyingContract: string) {\n return {\n name: 'Reya',\n version: '1',\n verifyingContract: verifyingContract,\n };\n}\n\nconst conditionalOrderTypes = {\n ConditionalOrder: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n { name: 'order', type: 'ConditionalOrderDetails' },\n ],\n ConditionalOrderDetails: [\n { name: 'accountId', type: 'uint128' },\n { name: 'marketId', type: 'uint128' },\n { name: 'exchangeId', type: 'uint128' },\n { name: 'counterpartyAccountIds', type: 'uint128[]' },\n { name: 'orderType', type: 'uint8' },\n { name: 'inputs', type: 'bytes' },\n { name: 'signer', type: 'address' },\n { name: 'nonce', type: 'uint256' },\n ],\n};\n\nexport function createOrdersGatewayOrderNonce(\n accountId: number,\n marketId: number,\n timestampMs: number,\n): bigint {\n // Validate the input ranges\n if (marketId < 0 || marketId >= 2 ** 32)\n throw new Error('marketId is out of range');\n if (accountId < 0 || accountId >= 2 ** 128)\n throw new Error('accountId is out of range');\n if (timestampMs < 0 || timestampMs >= 2 ** 64)\n throw new Error('timestamp is out of range');\n\n const hashUint256 =\n (BigInt(accountId) << BigInt(98)) |\n (BigInt(timestampMs) << BigInt(32)) |\n BigInt(marketId);\n\n return hashUint256;\n}\n\ntype SignOrdersGatewayOrderOutput = {\n serializedSignature: string;\n nonce: bigint;\n signature: EIP712Signature;\n};\n\nexport async function signOrdersGatewayOrder(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n accountId: number,\n marketId: number,\n exchangeId: number,\n counterpartyAccountIds: number[],\n orderType: ConditionalOrderType | OrdersGatewayOrderType,\n inputs: string,\n deadline: number,\n creationTimestampMs: number,\n): Promise<SignOrdersGatewayOrderOutput> {\n const nonce = createOrdersGatewayOrderNonce(\n accountId,\n marketId,\n creationTimestampMs,\n );\n\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.ORDERS_GATEWAY_PROXY),\n conditionalOrderTypes,\n {\n verifyingChainId: reyaChainId,\n deadline: BigInt(deadline),\n order: {\n accountId: accountId,\n marketId: marketId,\n exchangeId: exchangeId,\n counterpartyAccountIds: counterpartyAccountIds,\n orderType: orderType,\n inputs: inputs,\n signer: await signer.getAddress(),\n nonce: nonce,\n },\n },\n );\n\n return {\n serializedSignature: signature.serialized,\n nonce,\n signature: convertEthersSignatureToEIP712Signature(signature, deadline),\n };\n}\n\nexport function isConditionalOrderSignatureValid(\n signerAddress: string,\n signature: string,\n reyaChainId: ReyaChainId,\n accountId: number,\n marketId: number,\n exchangeId: number,\n counterpartyAccountIds: number[],\n orderType: number,\n inputs: string,\n nonce: bigint,\n deadline: number,\n): boolean {\n // Encode the data for recovering the address\n const domain = getReyaDomain(\n getAddress(reyaChainId, ContractType.CONDITIONAL_ORDERS_PROXY),\n );\n\n const value = {\n verifyingChainId: reyaChainId,\n deadline: BigInt(deadline),\n order: {\n accountId: accountId,\n marketId: marketId,\n exchangeId: exchangeId,\n counterpartyAccountIds: counterpartyAccountIds,\n orderType: orderType,\n inputs: inputs,\n signer: signerAddress,\n nonce: nonce,\n },\n };\n\n // Recover the address\n const recoveredAddress = verifyTypedData(\n domain,\n conditionalOrderTypes,\n value,\n signature,\n );\n\n return recoveredAddress.toLowerCase() === signerAddress.toLowerCase();\n}\n\nexport async function signCancelConditionalOrder(\n signer: Signer | JsonRpcSigner,\n orderId: string,\n): Promise<string> {\n const message = {\n orderId: orderId,\n status: ConditionalOrderStatus.CANCELLED,\n actionType: 'changeStatus',\n };\n return await signer.signMessage(JSON.stringify(message));\n}\n\nexport async function signGrantPermission(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n accountId: number,\n permission: string,\n user: string,\n nonce: number,\n deadline: number,\n): Promise<EIP712Signature> {\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.CORE_PROXY),\n {\n GrantAccountPermissionBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'accountId', type: 'uint128' },\n { name: 'permission', type: 'bytes32' },\n { name: 'user', type: 'address' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n ],\n },\n {\n verifyingChainId: reyaChainId,\n accountId: accountId,\n permission: permission,\n user: user,\n nonce: nonce,\n deadline: deadline,\n },\n );\n\n return convertEthersSignatureToEIP712Signature(signature, deadline);\n}\n\nexport async function signVote(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n contractAddress: string,\n voter: string,\n isYesVote: boolean,\n deadline: number,\n): Promise<string> {\n const types = {\n CastVoteBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'voter', type: 'address' },\n { name: 'yesVote', type: 'bool' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n ],\n };\n const values = {\n verifyingChainId: reyaChainId,\n voter: voter,\n yesVote: isYesVote,\n nonce: 1, // hardcoded because a user cannot vote more than once\n deadline: deadline,\n };\n\n const domain = getReyaDomain(contractAddress);\n\n const signatureString = await signer.signTypedData(domain, types, values);\n\n return signatureString;\n}\n\nexport async function signRevokePermission(\n signer: Signer | JsonRpcSigner,\n reyaChainId: ReyaChainId,\n accountId: number,\n permission: string,\n user: string,\n nonce: number,\n deadline: number,\n): Promise<EIP712Signature> {\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.CORE_PROXY),\n {\n RevokeAccountPermissionBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'accountId', type: 'uint128' },\n { name: 'permission', type: 'bytes32' },\n { name: 'user', type: 'address' },\n { name: 'nonce', type: 'uint256' },\n { name: 'deadline', type: 'uint256' },\n ],\n },\n {\n verifyingChainId: reyaChainId,\n accountId: accountId,\n permission: permission,\n user: user,\n nonce: nonce,\n deadline: deadline,\n },\n );\n\n return convertEthersSignatureToEIP712Signature(signature, deadline);\n}\n\nexport const signManagePermissionBySig = async (\n signer: Signer | JsonRpcSigner,\n signerAddress: string,\n reyaChainId: ReyaChainId,\n targetAddress: string,\n permissionState: boolean,\n deadline: number,\n): Promise<EIP712Signature> => {\n const signature = await signReyaTypedData(\n signer,\n getAddress(reyaChainId, ContractType.ORDERS_GATEWAY_PROXY),\n {\n ManagePermissionBySig: [\n { name: 'verifyingChainId', type: 'uint256' },\n { name: 'owner', type: 'address' },\n { name: 'target', type: 'address' },\n { name: 'permissionState', type: 'bool' },\n { name: 'deadline', type: 'uint256' },\n ],\n },\n {\n verifyingChainId: reyaChainId,\n owner: signerAddress,\n target: targetAddress,\n permissionState: permissionState,\n deadline: deadline,\n },\n );\n\n return convertEthersSignatureToEIP712Signature(signature, deadline);\n};\n"]}
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@@ -7,7 +7,14 @@ export declare const calculateMaxExposure: ({ poolBalance, riskFactor, poolIMR,
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7
7
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poolIMR?: number | undefined;
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8
8
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riskFactor: number;
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9
9
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}) => number;
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10
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-
export declare const calculateEstimatedExecutionPrice: (poolPrice
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10
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+
export declare const calculateEstimatedExecutionPrice: ({ poolPrice, oraclePrice, tradeBaseSize, poolMaxExposure, marketDepthFactor, marketSpread, }: {
|
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11
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poolPrice: number;
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12
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oraclePrice: number;
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13
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tradeBaseSize: number;
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14
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+
poolMaxExposure: number;
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15
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marketDepthFactor: number;
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16
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+
marketSpread: number;
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17
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+
}) => number;
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11
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export declare const calculateTradeFee: ({ feeRate, tradeNotional, }: {
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feeRate: number;
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tradeNotional: number;
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@@ -1 +1 @@
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1
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-
{"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,
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1
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+
{"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;eAQhC,MAAM;iBACJ,MAAM;mBACJ,MAAM;qBACJ,MAAM;uBACJ,MAAM;kBACX,MAAM;MAClB,MAWH,CAAC;AAEF,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,mBAAmB;wBAMV,MAAM;0BACJ,MAAM;kCACE,MAAM;0BACd,MAAM;MAC1B,MAOH,CAAC;AAEF,eAAO,MAAM,iBAAiB;WAKrB,MAAM;2BACU,MAAM;0BACP,MAAM;MAC1B,MAEH,CAAC;AAEF,eAAO,MAAM,oBAAoB,gBAClB,SAAS,gBACR,SAAS,cAGxB,CAAC;AAEF,eAAO,MAAM,4BAA4B,YAC9B,SAAS,wBACI,SAAS,0BACP,SAAS,KAChC,SAEF,CAAC;AAEF;;GAEG;AACH,eAAO,MAAM,uBAAuB;iCAQL,SAAS;iCACT,SAAS;kBACxB,SAAS;2BACA,SAAS;mCACD,SAAS;mCACT,SAAS;MACtC,SAqBH,CAAC"}
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package/dist/utils/calculate.js
CHANGED
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@@ -12,8 +12,15 @@ var calculateMaxExposure = function (_a) {
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return poolBalance / (poolIMR * Math.sqrt(riskFactor));
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};
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14
14
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exports.calculateMaxExposure = calculateMaxExposure;
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15
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-
var calculateEstimatedExecutionPrice = function (
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16
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-
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15
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+
var calculateEstimatedExecutionPrice = function (_a) {
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16
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var poolPrice = _a.poolPrice, oraclePrice = _a.oraclePrice, tradeBaseSize = _a.tradeBaseSize, poolMaxExposure = _a.poolMaxExposure, marketDepthFactor = _a.marketDepthFactor, marketSpread = _a.marketSpread;
|
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17
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+
if (tradeBaseSize === 0) {
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18
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+
return poolPrice;
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19
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+
}
|
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20
|
+
var poolDeviation = (tradeBaseSize * oraclePrice) / (marketDepthFactor * poolMaxExposure);
|
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21
|
+
var appliedSpread = tradeBaseSize > 0 ? marketSpread : -marketSpread;
|
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22
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+
var estExecutionPrice = poolPrice * (1 + poolDeviation + appliedSpread);
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23
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+
return Math.max(0, estExecutionPrice);
|
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17
24
|
};
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18
25
|
exports.calculateEstimatedExecutionPrice = calculateEstimatedExecutionPrice;
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19
26
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var calculateTradeFee = function (_a) {
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@@ -1 +1 @@
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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 calculateFundingPnl = ({\n marketFundingValue,\n marketBaseMultiplier,\n positionAvgEntryFundingValue,\n positionAdjustedBase,\n}: {\n marketFundingValue: number;\n marketBaseMultiplier: number;\n positionAvgEntryFundingValue: number;\n positionAdjustedBase: number;\n}): number => {\n return (\n -1 *\n (((marketFundingValue - positionAvgEntryFundingValue) *\n positionAdjustedBase) /\n marketBaseMultiplier)\n );\n};\n\nexport const calculatePricePnl = ({\n price,\n positionAvgEntryPrice,\n positionAdjustedBase,\n}: {\n price: number;\n positionAvgEntryPrice: number;\n positionAdjustedBase: number;\n}): number => {\n return (price - positionAvgEntryPrice) * positionAdjustedBase;\n};\n\nexport const calculateRealBalance = (\n netDeposits: BigNumber,\n realized_pnl: BigNumber,\n) => {\n return netDeposits.plus(realized_pnl);\n};\n\nexport const calculatePositionAdjustedQty = (\n origQty: BigNumber,\n marketBaseMultiplier: BigNumber,\n positionBaseMultiplier: BigNumber,\n): BigNumber => {\n return origQty.times(marketBaseMultiplier).div(positionBaseMultiplier);\n};\n\n/**\n * Note: This function assumes all the inputs are scaled by 10^18.\n */\nexport const calculatePositionAdlPnL = ({\n marketTrackerAdlUnwindPrice,\n marketTrackerBaseMultiplier,\n positionBase,\n positionAvgEntryPrice,\n positionTrackerBaseMultiplier,\n positionTrackerAdlUnwindPrice,\n}: {\n marketTrackerAdlUnwindPrice: BigNumber;\n marketTrackerBaseMultiplier: BigNumber;\n positionBase: BigNumber;\n positionAvgEntryPrice: BigNumber;\n positionTrackerBaseMultiplier: BigNumber;\n positionTrackerAdlUnwindPrice: BigNumber;\n}): BigNumber => {\n const currentAdlUnwindPrice = marketTrackerAdlUnwindPrice\n .minus(positionTrackerAdlUnwindPrice)\n .multipliedBy(1e18)\n .div(positionTrackerBaseMultiplier);\n\n const initialPrice = positionAvgEntryPrice\n .times(\n BigNumber(1e18).minus(\n marketTrackerBaseMultiplier\n .multipliedBy(1e18)\n .div(positionTrackerBaseMultiplier),\n ),\n )\n .div(1e18);\n\n const adlPnL = positionBase\n .times(currentAdlUnwindPrice.minus(initialPrice))\n .div(1e18);\n\n return adlPnL;\n};\n"]}
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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,\n oraclePrice,\n tradeBaseSize,\n poolMaxExposure,\n marketDepthFactor,\n marketSpread,\n}: {\n poolPrice: number;\n oraclePrice: number;\n tradeBaseSize: number;\n poolMaxExposure: number;\n marketDepthFactor: number;\n marketSpread: number;\n}): number => {\n if (tradeBaseSize === 0) {\n return poolPrice;\n }\n\n const poolDeviation =\n (tradeBaseSize * oraclePrice) / (marketDepthFactor * poolMaxExposure);\n const appliedSpread = tradeBaseSize > 0 ? marketSpread : -marketSpread;\n const estExecutionPrice = poolPrice * (1 + poolDeviation + appliedSpread);\n\n return Math.max(0, estExecutionPrice);\n};\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 calculateFundingPnl = ({\n marketFundingValue,\n marketBaseMultiplier,\n positionAvgEntryFundingValue,\n positionAdjustedBase,\n}: {\n marketFundingValue: number;\n marketBaseMultiplier: number;\n positionAvgEntryFundingValue: number;\n positionAdjustedBase: number;\n}): number => {\n return (\n -1 *\n (((marketFundingValue - positionAvgEntryFundingValue) *\n positionAdjustedBase) /\n marketBaseMultiplier)\n );\n};\n\nexport const calculatePricePnl = ({\n price,\n positionAvgEntryPrice,\n positionAdjustedBase,\n}: {\n price: number;\n positionAvgEntryPrice: number;\n positionAdjustedBase: number;\n}): number => {\n return (price - positionAvgEntryPrice) * positionAdjustedBase;\n};\n\nexport const calculateRealBalance = (\n netDeposits: BigNumber,\n realized_pnl: BigNumber,\n) => {\n return netDeposits.plus(realized_pnl);\n};\n\nexport const calculatePositionAdjustedQty = (\n origQty: BigNumber,\n marketBaseMultiplier: BigNumber,\n positionBaseMultiplier: BigNumber,\n): BigNumber => {\n return origQty.times(marketBaseMultiplier).div(positionBaseMultiplier);\n};\n\n/**\n * Note: This function assumes all the inputs are scaled by 10^18.\n */\nexport const calculatePositionAdlPnL = ({\n marketTrackerAdlUnwindPrice,\n marketTrackerBaseMultiplier,\n positionBase,\n positionAvgEntryPrice,\n positionTrackerBaseMultiplier,\n positionTrackerAdlUnwindPrice,\n}: {\n marketTrackerAdlUnwindPrice: BigNumber;\n marketTrackerBaseMultiplier: BigNumber;\n positionBase: BigNumber;\n positionAvgEntryPrice: BigNumber;\n positionTrackerBaseMultiplier: BigNumber;\n positionTrackerAdlUnwindPrice: BigNumber;\n}): BigNumber => {\n const currentAdlUnwindPrice = marketTrackerAdlUnwindPrice\n .minus(positionTrackerAdlUnwindPrice)\n .multipliedBy(1e18)\n .div(positionTrackerBaseMultiplier);\n\n const initialPrice = positionAvgEntryPrice\n .times(\n BigNumber(1e18).minus(\n marketTrackerBaseMultiplier\n .multipliedBy(1e18)\n .div(positionTrackerBaseMultiplier),\n ),\n )\n .div(1e18);\n\n const adlPnL = positionBase\n .times(currentAdlUnwindPrice.minus(initialPrice))\n .div(1e18);\n\n return adlPnL;\n};\n"]}
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package/package.json
CHANGED
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@@ -1,6 +1,6 @@
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1
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{
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"name": "@reyaxyz/common",
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"version": "0.
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"version": "0.324.0",
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"publishConfig": {
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"access": "public",
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"registry": "https://registry.npmjs.org"
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"generate:coverage-badges": "npx istanbul-badges-readme --silent"
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},
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"packageManager": "pnpm@8.3.1",
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-
"gitHead": "
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+
"gitHead": "e15017f58699786807cde9dacb018929f9636f7c"
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}
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package/src/transactions/sign.ts
CHANGED
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signature,
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);
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return recoveredAddress === signerAddress;
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return recoveredAddress.toLowerCase() === signerAddress.toLowerCase();
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}
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export async function signCancelConditionalOrder(
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package/src/utils/calculate.ts
CHANGED
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@@ -16,14 +16,32 @@ export const calculateMaxExposure = ({
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16
16
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riskFactor: number;
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17
17
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}) => poolBalance / (poolIMR * Math.sqrt(riskFactor));
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-
export const calculateEstimatedExecutionPrice = (
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poolPrice
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-
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export const calculateEstimatedExecutionPrice = ({
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20
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+
poolPrice,
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21
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+
oraclePrice,
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22
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+
tradeBaseSize,
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poolMaxExposure,
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24
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+
marketDepthFactor,
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25
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+
marketSpread,
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|
+
}: {
|
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27
|
+
poolPrice: number;
|
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28
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+
oraclePrice: number;
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29
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+
tradeBaseSize: number;
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30
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+
poolMaxExposure: number;
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31
|
+
marketDepthFactor: number;
|
|
32
|
+
marketSpread: number;
|
|
33
|
+
}): number => {
|
|
34
|
+
if (tradeBaseSize === 0) {
|
|
35
|
+
return poolPrice;
|
|
36
|
+
}
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|
37
|
+
|
|
38
|
+
const poolDeviation =
|
|
39
|
+
(tradeBaseSize * oraclePrice) / (marketDepthFactor * poolMaxExposure);
|
|
40
|
+
const appliedSpread = tradeBaseSize > 0 ? marketSpread : -marketSpread;
|
|
41
|
+
const estExecutionPrice = poolPrice * (1 + poolDeviation + appliedSpread);
|
|
42
|
+
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+
return Math.max(0, estExecutionPrice);
|
|
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};
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export const calculateTradeFee = ({
|
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47
|
feeRate,
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